Progress in Nonlinear Differential Equations

and Their Applications

Volume 19

Editor
Haim Brezi s
Universite Pierre et Marie Curie
Par is
and
Rutgers Univer sity
New Brunswick, N .J .

Editorial Boa rd
A. Bahri , Rutger s Univ ersity, New Brun swick
Jo hn Ball , H eriot-Watt Un iversity, Edi nburgh
Luis Cafarelli , Institute for Ad vanced Study, Prin ceton
Michael Crandall , Univ er sity of Californ ia , Sant a Barb ara
Mariano Giaquinta , Un iver sity of Floren ce
David Kind erleh rer, Carnegie-Mellon Unive rsity, Pitt sburgh
Robert Kohn, New York University
P. L. Lions, university of Paris IX
Loui s Nirenberg , New York Univ ersit y
Lambertus Peletier, University of Leiden
Paul Rabinowitz, Univ ersity of Wisconsin, Madison
Nonlinear Dynamical
Systems and Chaos

H.W. Broer
S. A. van Gils
1. Hoveijn
F. Takens
Editors

1996 Springer Basel AG

H . W. Broer, I. Hoveijn and F. Takens
Institute of Mathematics and Computer Science
University of Groningen
P.O. Box 800
9700 AVGroningen
The Netherlands

S . A . van Gils
Faculty of Mathematics and Computer Science
University of Twente
P.O . Box 217
7500 AE Enschede
The Netherlands

A CIP catalogue record for this book is available from the Library of Congress.
Washington D.C., USA

Deutsche Bibliothek Calaloging-in-Publication Data

Nonlineardynamical systems and chaos f H. W. Broer . .. ed .
- Basel ; Boston ; Berlin : Birkhäuser, 1996
(Progress in nonlinear differential equations and their applications ; Vol. 19)
ISBN 978-3-0348-7520-2 ISBN 978-3-0348-7518-9 (eBook)
DOI 10.1007/978-3-0348-7518-9
NE: Broer, H. W. [Hrsg.); GT

This work is subject to copyright. All rights are reserved , whether the whole or part of the
material isconcerned, specificallythe rightsof translation, reprinting , re-use of illustrations ,
broadcasting, reproduction on microfilmsor in other ways, and storage in data banks, For any
kind of use permission of the copyright owner must be obtained .

© 1996 Springer Basel AG

Originally published by Birkhäuser Verlag Basel, Switzerland in 1996

Printed on acid-free paper produced from chlorine-free pulp. TCF ee

987654321
 Contents

Preface vii

Symmetries in dyn amical syst ems

Thomas .J. Brid ges
Symplccticity, reversibility and elliptic operators .
R. Cu shman , .1 . Hermans , D. Kemppain en
Th e Rolling Disc 21
Karin Gatermann
Testing for S,,-Symrr wtry with a R ecursive Det ect ive . .. .. . . . . .. .. . .. . . . . . . 61
LV. Bronst ein , A.Ya. Kop an skii
Norm al form s of vector fields satisfyin g certain geome tric conditions 79
J erocn S.\\'. Lamb , Matthew Nicol
On symmetric w-limit sets in rev ersib le flows 103
Rein er La uterbach
Symmetry Breaking in Dynamical Systems 121
Matthias Rumberger , Jiirgcn Scheu rle
Invariant Ci functions and center manifold reduction 145
Jurgcn Knobloch, Andre Vanderbauwhcde
Hopf bifur cation at k-fold resonances in cons ervative sys tems 155

KAM theory and other perturbation th eories

H.W . Broer, G .B. Huitcma, M.B. Sevryuk
Families of Quasi-Periodic Motions in Dyn amical Systems
Depending on Parameters 171
John Gu ckenh eimer
Towards a Global Theory of Singul arly Perturbed Dyn amical Systems 213
Heinz HanBmann
Equivariant Pert urbations of the Euler Top 227
A. L Neishtadt, C. Sima a nd D. V. Treschev
On stability loss delay for a periodic traj ectory 253
M. Ruij gro k, F . Verhulst
Parametric and autoparametric resonance 279
Marcelo Viana
Global attra ctors and bifurcations 299
vi CO NT ENTS

Infinite dimensional syst ems

Stephan A. van Gils, Ed y Socwono
Modu lated waves in a perturbed Kort eweg-de Vries equat ion 325
E.R. Flcdd erus , E. van Groesen
Hamiltonian Perturbation Theory for Concentra ted Structures
in InllOmugeIleous Media 347
Xianhua Hliang
On instability of minimal foliatiuns for a variational problem on T 2 373
Xiao-Biao Lin
Local and Global Existence of Mu ltip le \Vaves Near
Formal Approximations 385

T ime series analysis

Floris Ta kens
Estimation of dimension and order of time series . . . . . . . . . . . 405

~ umeric al continuation and bifurcation an alysis

H.W . Broer, H.l\I. Osinga, G. Vegter
On the comp utation of norm ally hyperbolic invariant manifolds 423
Micha el Dcllnit z, Andreas Hohm a nn
Th e Computati on of Unst able Manifolds Using Subdivision
and Continu ation 449
 Preface

T his volume contains t he proceedings of th e 'Dyna mical Systems Conference' held

at th e Univers ity of Gro ningen in Decemb er 199.5. in honour of Jo ha nn Bern oulli
who was appointed at t he un iversity in t he year 1695. T his confere nce is abo part
of a rather young tradition of similar conferences in 198-\ and 1989.
In t he field of 'Nonlinear Dyn am ical Systems'. th ere is qu ite a rich variety of
approac hes. In th is conference t he main to pics arc:

• Symmet ries in dy namica l systems

• K A~I theory a nd ot her pert ur bation t heories
• Infini te d imensional systems
• T ime series ana lysis
• Numerical cont inuat ion and bifur cat ion ana lysis

We would like to t han k a ll cont ributors a nd referees for t heir coop eration. Fur-
t hermore we t hank all attenda nts and lect urers of t he conference. In particular ,
we tha nk those insti tu tions which mad e this conferen ce possible by t heir fina n-
cial sup port : th e Net herla nds Organ izati on for Scient ific Research (NWO) , th e
Royal Dut ch Acade my of Sciences (KNAW). th o Xla th cmatical Resear ch Inst i-
tu te (Ai R I , a joint Resear ch School of the Universit ies of G roningen, Nij mcgcn,
T wcnt c a nd Ut recht) and the Insti tute of Mathemat ics an d Com pu ter Science of
t he University of Gro ningen.

Gro ningen, Sept emb er 1995.

T he ed itors :
H.W . Broer , 1. Hovcijn, F. Takens
Institute of Math ematics and Compute r Science.
University of Gronin gen
P.O . Box 800, 9700 AV Gro ningen
The Neth erlands
S.A. van Gils
Faculty of Mathematics and Com pute r Science,
University of Twentc
P.O. Box 217,7500 AE Enschede
The Net herla nds
Progress in Nonlinear Differential Equations
and Their Applications , Vol. 19
© 1996 Birkhau ser Verlag Basel/Switzerland

Symplecticity, reversibility and elliptic operators

T homas J. Bridges •

Abstract
The concepls of symplect icity and reversibility a re ge neralised and t hen used
as a fram ework for a na lyzing so me as pects of grad ient elliptic operato rs.
In thi s pap er we focus on semi-linea r ellipt ic equa t ions of t he form fl.1/; +
V'( I ~f ) 0 = 0 wher e 0 is a sca la r-valued funct ion , fl. is th e Laplacian an d
V is some smoo t h function .

1 Introduction
There has been recent and act ive interest in th e liter ature on th e int erplay between
th e t heory of ellipt ic oper ators and sy mplcct icity from various viewpo int s (d. Flo or
[1988], Mielke [19911 , Mclruff [1990], Salamon [1990] and references th er cin) .
The work of Floor and th o related work in symplect ic geomet ry (d. th e review
articles of illcDuff [1990] and Salamon [1990]) use th e th eory of ellipt ic op erators to
st udy thc symplect ic geometry of finite-dim ensional t ime-dep endent Hamiltoni an
sys te ms on th c loop space . Ellipticity comes in when considering th e gra dient flow
associated with th c finite-dimensional system,

-au au
as + J -at - V H(u t ) = 0
'
(1.1)

where u : IR x § I -.... R 2 rt and J is a symplectic op erator (cf. Salamon [1990, equation

(4.4)]) . Equation (1.1) is a n ellipt ic partial differenti al equat ion and when V H == 0
it is th e Cauchy-Ri emann operator. Methods of ellipt ic operator theory are a pplied
to (1.1) in order to const ruc t a relative Mors e index on th e space of bounded
solutions of (1.1).
The work of Mielke [1991] takes the opposite point of view: methods of
infinite-dimensional symplectic geomet ry ar e used as a fram ework for studying
gra d ient ellipt ic operators on an infinite cylinder with a preferred direction and a
symplect ic structure is introduced for th e preferred direction. The resultinz evolu-
'Department of Mathemati cal and Computing Sciences. University of Surrey, Guildford, Sur-
rey GU2 5XH, UK
2 THOMA S J. B RIDG ES

t ion equ ation is ill-posed and bounded solut ions ar e obta ined by sy mplect ic cent re
manifold redu ction.
In thi s paper we cons ide r gradient ellipt ic operators on Ron (pa rt icularly IR~).
T he main idea is th at an ind ep end ent symplectic st ruct ure and a reversible st r uc-
ture - with particular attent ion to the interaction between reversib ility and sy m-
plccticit y - may be int roduced for each unbounded dir ection - a multi-symplecti c
str uct ure (cf. Bridges [1993, 1994,1995]). Moreover , even though the basic system
is infinite dim ensional - a parti al differential equa t ion .- each of t he reversibl e a nd
sy mplect ic st ruct ures are ass ociate d with a finit e dim ensional space ; in this way
mu ch of the classic theory of differ enti al forms and finit e-d imen sional symplec-
ti c geomet ry ca n he appealed to in th e an alysis. Such a st ruc t ure is useful for
analysing gradien t elliptic op er ators wit ho ut a preferred dir ecti on such as pa ttern
formation systems.
For exa mple consider the sc milinear elliptic eq uat ion

cPu cPu
EJx 2 + EJ y 2 + V'(u ) = a (z, y) E IR 2 (1.2)

for th e scalar -valued functi on u wher e V : IR ---> IR is som e smoot h function . Letting
v = /Lx an w = u y th e oquat ion is easily reformulat ed to

[~
000
~1 ~] (~)
w x
+ [~ ~ ~1] (~~)
100 U'
y
(\ " I~ll))
Ie

or
(1.3)
wher e the definitions of Z , J 1 and J 2 ar e clear a nd

(1.4 )

where the gradient of S in (1.3) is with respect to th e sta ndard inn er product on
IR 3 .
When Zx = 0, J 2 Z y = "VS(Z) is a classical Hamiltonian system on Ker(J 2).L
and when Zy = 0, J t Zx = "VS(Z) is a classical Hamiltonian sys te m on Ker(Jd .L .
In gen eral we refer to th e com plete syst em (1.3) as a Hamiltonian sys tem on a
multi-symplectic st ruct ure : (M , w (1) , w (2») whe re

j = 1.2 (1.5)

for any U t , U2 E IR 3 where (-, -) is the standard inn er product on IR 3 . Not e that
both J j and J 2 arc degenerate a nd so, in principle, cor respond to pr e-symplectic
structures or ind eed to a contact structure - since M in th e above case is odd
dimensional. However it is the concepts a nd results of sy mplectic geometry whi ch
lead to int eresting results when generalised to the multi-component setting a nd
 SY ~IPL ECTI CI TY , REVERSiBI LITY Ai' D ELLIPT IC OP ERATOR S 3

t horoforc we refer to th e st ruc t ure (Ai , w (l) , W( 2 )) as a multi- sy mpl ect ic structure
alt hough th e above qualifications should be kept in mind .
Not e th at t here ar c other ways of formulat ing equa tion (1.2 ) (and other such
equations) using th e th eory of differential form s. For exa mple th e syst em (1.2) can
be formulat ed as an exterior differential sys tem in t he sense of Cart an (cf. Edelen
[1985, Chap ter 6]) and there is th e Hod ge t heory for ellipt ic oper ators on manifold s
(cf. Warner [1983]). However th e t he form (1.3) has additiona l st ruc t ure and thi s is
th e main ad vantage of th e formul ati on. The struct ures in the x an y dire ctions arc
sepa rat ed and identifi ed precisely wit h parti cular closed exa ct two-forms and th ere
is a special functi onal , here denot ed 5 (Z ), th at acts as a n organi sing cent re much
like (but different from in essential ways - for example 5( Z ) is not a n invariant ) a
Ham iltonian function al in classica l Hamiltonian mechanics. Moreover t he "phase
space" /111 is finite-dimension al and th erefor e many of th e famili ar oper ations from
finit e-dimensional Hamil ton ian mechani cs carry over.
The pap er has six sect ions a nd each sect ion t reats a particular consequence
of formulatin g a gra dient ellipt ic operato r as a Hamil toni an syste m on a mul ti-
sym plecti c st ructure with a finit e-dimension al phase space. Man y of the famili ar
results from finitc-dim cnsion a! Hamil toni an mechan ics genera lise to ellipt ic opcr-
ators - wit hout requ iring infinite-dimensional techniques.
In §2 th e formulation of gra dient elliptic oper at ors as a Hamiltonian sys te m is
int roduced wit h particul ar attention to two example s along with a multi-symplectic
formulation of symmet ry and th e "moment um map" .
In §3 the concept of reversibili ty is genera lised to include mor e than one
dim ension in which case reversers can be both symplectic a nd ant i-sy mplectic
dep ending on th e di rection of rever sibility.
Restriction of an ellipt ic op erator to the loop space - of th e finit e-dimension al
ph ase space - lead s to a geomet ric formul ation of diagonal periodic pattern s. In
§4 such patt ern s arc formulated as genera lised relati ve equilibria and it is shown
that fam ilies of such pattern s have a naturally defined index. In §5 a model for
pattern form ati on, th e cubic Gin zburg-Landau equat ion on IR.2 , is considered and
it is shown tha t the loop spa ce index . evalua ted along a bran ch of d iagona l periodi c
pattern s chan ges by a n int eger precisely at th e Eckhaus instability threshold.
Sympl ccti city and reversibility constrict th e way eigenvalu es can a ppear for
lincaris ed equat ions a nd thi s pro perty is genera lised to th e mult i-symplectic, mul ti-
reversible sett ing in §6.
Radi ally symmetric states of ellipt ic equat ions. in th e pre sen t fram ework ,
appear as bounded sur faces of revolution in th e finit e-dimension al ph ase space.
Some geometrical properties of such states arc considered in §7.
4 T HOMAS J. B RID GES

2 Multi-symplecti c st ructure and elliptic operators

Alth ough sufficient conditions for a genera l for mulat ion can be given for gradi-
cnt ellipt ic operators starting with a multipic integral formul ation and th e multi-
dimensional Legendre transform we will rest rict attention here to giving complete
details for two simple exa mples. Generalisation to other sernilinear and qu asilin-
ea r ellipti c opera tors on IR" will be clear in principle but will require sub stan tially
more technica lities.
First consider the semilin ear ellipt ic equat ion (1.2). With coordina tes 2 =
(u ,v , UJ) E M = R 3 this syste m was formulat ed in t he introd uct ion as a Hamil-
to nian syst em on a bi-sy rnplect ic st ructure (A'l, w (1 ), w( 2); 5 ) with Hamiltonia n
functional 5 (2) (d. equat ions (1.3)-(1.4 )). Here, several furth er observations will
be presented abo ut this st ruct ure .
The Hamiltonian functi onal is not an invariant as in the classical cas coIndeed ,

and so

which do not in general vanish. Note however that Dx5 y = Dy5x generates a
conservation law

which may be interp reted as a generalisation of the abso lut e invar ian ce, under the
flow, of t he symplecti c form (in th e one dim ensional case), to the multi-symple cti c
framework where a conservat ion law - conservat ion of syrnplect icity - appears .
The two operators J I and J 2 a re a two-d imensio nal subsp ace (but not a Lie
sub algebra) of th e Lie algeb ra 50(3). It is int eresti ng that th e missing clement of
th e st and a rd basis for 50(3) ap pear s as a symmet ry. Let

and ge = exp(J 3 l1 ) . (2.1)

Then {J I , J 2 , J 3 } span th e Lie algebra 50(3) and ge is a rotation, an actio n for t he

group 5 0(2) on M . The fact th at (1.2) is invari ant und er rot ati on in the (x,y)-
plan e appears in t he formul ation (1.3) in th e following way. Let AdcJ de note the
adjoint actio n of th e Lie group 5 0 (3) on its Lie algebra 50(3): AdcJ = G J G- 1
for G E 5 0(3) and J E 50(3). Then for th e actio n of ge on (M , w {1 ) . w (2) )

cos II J I + sin II J 2
(2.2)
- sin IIJ I + cos II J 2 .
 SY~ IPL ECT I C ITY , RE VERS IBILITY AND ELLIP T IC OP ERATOR S 5

Define an act ion for 50(2) as follows

O· Z (X, y) = 90 Z (x cos 0 + ysin O. - nin O + y cos 0) .

Then acti ng on (1.3).

90JrZ.c + 9 0J 2 Z y = 90V 5 (Z ) .

Noting th at 5 {9oZ) = 5 ( Z) it follows th at 9ov 5 (Z ) = v 5{9oZ ) a nd so

(Adg. J r) 9 0Zx + (Adg. J 2) 9 0Z y = 9ov5 (Z ) = \75{9oZ )

or, using (2.2)-(2.3),

t hat is, 8 · Z is a solut ion of (1.3) whenever Z is a solu tion.

T he second example to be considered is
2 2
D 'Ii ~ r! 2 _
(.c . y ) E 1R2
iJ.r2 + Dy2 + \ (1'Ii 1 ) \{J - 0 (2.'1)

where 'Ii : i?,2 --+ C and V : IR --+ IR is aga in some. in gener al arbit ra ry, smoot h
funct ion. T he int eresti ng feature of (2.4) is t he presence of addit iona l symmet ry:
eiO 'Ii is a solut ion of (2.4) for any 0 E 50(2) when \Ihs a solut ion.
In order to reformula te (2.4) let

(2.5)

T hen syst em (2.4) has th e Hamilt on ian formulation

Z E j\lt = IRfi (2.6)

where
(2.7)
T he opera to rs J rand J 2 ar e the skew-symmetric operators acting on 1R~ as defined
in th e intr oduction and

5(Z) = ~( Z, Z ) + ~ V(ui + ei) - ~ (lli + L'i) (2.8)

where (-. .) is t he standard inner prod uct on IR fi . Xoto th at th e gradient of 5 in

(2.6) is with respect to th e inner produ ct on IR fi . The two sy mplecti c form s in thi s
case ar c

(2.9)
6 THO MAS J. BR IDGES

In terms of t hc mult i-symplecti c struct ure , t hc 5 0 (2)-sy mnwtry a nd goner-

atc d conservat ion law for (2.4) ca n be given an intcrestin g geom etrica l for mul ati on
t hat generalises t he framework used in t he finite-d imens iona l sctt ing. F irst we in-
trod ucc a n act ion for the 50(2) sy mm et ry an d its generator on ;\,1. The ac t ion of
50(2) on I{I is e iO I{I . W it h th c definition of Z in (2.5) an action on ;\If Is

o. Z (~f R oZ with where ro =

COS O - ~i n O )
( sine cos e

and 13 is t he identity on IR 3 . T he infinit esima l gcncrator is clearly

~ ~f ~Ro zi
de 11=0
= (0 -1
I:J 0
3
) Z (2.10)

an d th er efore
(2.11)

We now gene ra lise the usu al symplect ic theor y of sy mme try and conse rvat ion
laws in finit e dim ensions to t he pr esen t case . The finite-dimensiona l th eor y is qui te
adequa te here even though we arc considering partial differen ti al equat ions since
t he "phase space" ;\If is finit e dim ensional an d t here fore th e act ion of t he group is
on a finit e d imen sional space.
It is easily verified that R o (in (2.11)) co mmute s wit h both K 1 a nd K 2 (not ing
th at K I and K 2 have a tensor produ ct representati on : K j = 12 C J j for j = 1, 2
where 12 is t he indenti ty on IR 2 ) . T herefore we say th at R IJ in (2.11) is a mult i-
sy mp lectic action of the Lie gro up 50(2) . We now have the following generalisat ion
of the usual definition of a mo men tum mapping in th e finite dimensional cas e (d.
Ab ra ham &- Marsden [1978, p. 276]).

Defini ti on 2.1. Let (A-L W(1),w (2») be a manifold on whi ch there is a pair of clos ed
two f0171IS and suppose R o is a on e param eter Lie gro up with bi-sum pleci ic act ion
on M and qen erator E. W e sa y that (PI , P2 ) is a basis for a cons er-uati on law if
there exi sts [uu ctionals P j : M -+ JR , j = 1,2 such that

j = 1,2 . (2.12)

Remark: note th at the generalisa tion to (M,w (l ), . . . , w(Il») is st raig htfo rwa rd .
The above definition follows pre cisely the definition in the finit e-dimen sional
case. The PDE properties of the ellipt ic equa t ion appea r here only by the pr esen ce
of an additiona l two-form .
Bi-symplect icity of the ac t ion of R o is eq uivalent to

j = 1, 2
 SY~IPLE CTl c.:ITY , REV ERSIB ILI Ty 'A :"D ELLIPTI C OPERA TORS 7

wher e L is t he Lie derivati ve (Abra ha m & Xlar sden [1978, C ha pte r 2]) which
satisfies (rest rict ing at.tention to the presen t case )

L XW = d ix w + ixd:.v' (2.13)

where w is a two form and X a vectorfi cld a nd so. since ",,( I ) and w (2 ) arc closed ,

Ther efor e. by t he Poin car e Lemma it follows t ha t i~ w·(j l for j = 1, 2 a rc exact one
forms which is t he basis for the form (2.12) . For t he present exa m ple (eq ua tions
(2.4)- (2.11)) t his result is trivial since ,\it = IR 6 and the two for ms ar c ex act anti
in fact more precise results are poss ible a nd arc stated in th e following Theor em
alon g wit h th e connec tion betw een (PI. P2) and conserva tion laws.

Theorem 2.2. Let R o be a bi-s ymplect ic: act ion of a one-param et er L ie group act ing
on M gen erat ed by E, ; that is, L~ W(j ) = 0 fo r j = 1. 2. Suppo se the two [orms on
M are eru ct: w (j ) = d o (j ) f or j = 1, 2 and that th e on e forms n. ( l ) an d n. (2 ) are
also R II in ('ariant
for j = 1. 2 . (2.14)
Let Z( .1:. y ) be a solution of th e equa tio ns

(2. 15)

Th rre there ex ists a basis fo r u conse r vation la w P : ,VI - IR 2 defin ed by

j = 1. 2 (2.16)

satisfying
DPI + DP2 = -£c 5 . (2.17)
DJ.: DU '
In particular . if 5 (Z ) is also R o invarian t th en (PI . P2 ) satisfy a conservat io n law.

P roof. The ex istence of th e fun cti on P : ,\it - R 2 is proved using th e R o invari-

a ncc of th e one forms 0 (1 ) and 0 (2 ) as follows. Using th e identi ty (2.13) and th e
hyp othes is (2.14)

and so
i~ w Ul = i~do (j ) = - d (i( o(j) ) = dPj j = 1, 2

for some O-for ms (i.e. fun cti ons) P, : M - IR. j = 1. 2. T herefore according to
Definition 2.1. (P I ,P2 ) form a basi s for a conservat ion law. The connection wit h
8 TH O MAS .J. BRIDG ES

a conse rvation law is established as follows

iZ,dP I + iZ y d P2 (by definition)
i Z)~ w ( l )+ iZ ) ( W (2 ) (using (2.12) a nd (2.16))
- i( i Z w(1 ) - i(i Z w(2 ) (skew-symmetry of ",,( I) a nd W (2»)

.
- i~ (dS(Z)) v (using (2.15))
- £(5 (using (2.13))

proving (2.17). If 5 is in addition R o invariant the n £~ 5 = 0 complet ing t he

~~
To apply T heorem 2.2 to t he problem (2.4) not e t hat w( j) = d n U) for j = 1, 2
with

It is easily verified th at R on U ) = n U) for j = 1, 2 a nd th erefore

- i( n (1) = V I U2 - UI V2 = (Jl v, Uh 3
(2.18)
_ i~ Q (2) = V I U3 - ( 1 1 V3 = (J 2 v, uh 3
where J I and J 2 ar e t he skew-sym met ric operators on ]R3 defined in th e introduc-
t ion. Accordi ng to Definit ion 2.1, (PI, P2 ) is a basis for a conservation law.
To prove that Dx P I + DyP2 = 0 it remains to verify t hat 5 (Z) , defined in
(2.8), is R o invariant bu t

5 (R eZ) = ~ (Re Z, ReZ ) + ~ V (ui + vi) - ~ (lli + vi) = 5(Z )

and th e result follows.

3 On generalising reversibili ty
For finite-dimensional Ha miltonian systems th ere is a n interesting inte rplay be-
tween reversibility and symplecticity, In finite dim ensions, although reversers can
he eit her sym plectic or a nt i-symp lectic, t he system is ra t her degenera te when t he
reversor is not an ti-sy mplectic (cr. Hoveijn [1995]) a nd t herefore th ere is good rea-
son to rest rict atte nt ion to ant i-sy mplect ic involut ions. In thi s sect ion th e effect
of more th a n one symplect ic ope ra tor and mor e than one reversor is considered
in order to generalize t he concept of reversibility. When there are two symplecti c
ope ra tors , say J 1 and J 2 , a reversor and be bot h sy mplectic and ant i-sy mplect ic;
for exa m ple, J I-symplect ic and J 2 -anti-symplect ic.
 S nIPL ECTI CITY , R EVERSIBILITY Ai'D ELLIPTI C OP ERATORS 9

Recall t he definition of reversibility when th e involution is anti-symplect ic

for a classical Hamiltonian system wr it ten in th e form

J Ut =VH (U ) (3.1)

where A1 is th e ph ase space , J is a skew-symmetric operator associated with a

closed two-form and V H(U) is th e gra d ient of t he Hamiltonian function al. The
syste m (3.1) is called a reversible-H amiltonian syste m if th ere exist s a n anti-
symplect ic involuti on R (we will consider only linear re ver se rs}; th at is, R sa t isfies
1
R=R - and

where R I' is th e t ra nspose of R , such th at H is Rvinvari ant: H (R . U) = li (U ).

For such systems RU( -t) is a soluti on whene ver U (t ) is a solut ion since , act ing
on (3.1) with R I' res ults in

(3.2)

But R I'J = -JR, since R is ant i-sy mplect ic. and R-invariance of H impli es th at
R'l\,7H(fJ ) = 'VH(R · U) and th erefore

- J (RU )t = 'VH (RC ) . (3.3)

showing th at RU( - t) is also a solut ion .

Th e concept of reversibility is now genera lised to higher dim ension with par-
ticular at te nt ion to the role of th e multi-symplectic struct ure. Consider a Hamil-
toni an syste m on a hi-symplecti c st ructure with governing equa t ion

ZE A1 =1R IV , (3.4)

where j\.;j is th e ph ase space and the operators J I and J 2 are skew-symmet ric and
associated with closed two- form s. There are two independent d irections, x and y ,
in which th e syste m ca n be reversible. We introd uce th e following definitions.
The syste m (3.4) is called x -reuersible if th ere exist s a n involution R I acti ng
on M , R I = R I ! , such th at 5(R 1 . Z ) = 5 (Z) ,

and

In other words the involution is anti-symplectic with respect to th e operator J 1

bu t symplectic with resp ect to th e oper ator J 2 .
Similarly, t he sys tem (3.4) is called v-reversible if th ere exists a n involution
R 2 act ing on M, R 2 = R;l , such t ha t 5 (R 2 . Z ) = 5(Z ),

and

In thi s case th e involution is required to be s ym plectic with resp ect to the operator
J 1 bu t anti-sym plectic with resp ect to the op erator J 2 ·
10 T HOl\lAS J. B RID GES

The above definit ion of reversibility, in th e conte xt of multi-sympl ect ic st ruc-

tu res, has nat ur al furt her generalisat ion to elliptic systems wit h add it ional space
dimensions.
An exa mple of th e utili ty of th e a bove definitions is given by th e semilinca r
ellipt ic equatio n
U x x + " vu + V' (u) = 0 (3.5)
int roduced in §1-2. Thi s system is dearl y reversible in both i: and y; th at is, if
u(x , y ) is a solutio n then so is u( -x , y ) and u (x, - y ). By lett ing L' = '/Lx and
no = " u t he syste m (3.5) ca n be refor mulat ed as a Hamiltonian system on a multi-
symplectic st ruc ture (d. §1)

Z EM =]R3 .

Int rodu ce the following reversers

and R2 = (~o 0~ -~)1 (3.6)

It is clear t hat R 1 = Ri 1 an d R 2 = R 21 and since 5(Z) is even in both v and w

(cL eq uati on (1.4)) it follows that 5(R 1 . Z) = 5 (Z ) = 5(R2 . Z) . It rem ain s to
check th e symplecticity of J 1 and J 2 . Using the definiti ons of J 1 an d J 2 we find

a nd

Therefore R 1 is symplect ic (ant i-symplect ic) wit h respect to J 2 (respect ively .It}
a nd R 2 is symplectic (ant i-symplect ic) wit h resp ect to J 1 (respect ively J 2 ) ; es-
tablish ing a connectio n between th e genera lised reversibility a nd th e generalised
symplect icity for t he ellipt ic ope rator (3.5).

4 Action, ind ex and the loop space

Consider a gra dient ellipt ic operator on ]R2, formul at ed as a Hamiltonian syste m
on a bi-symplecti c st ruct ure as in §1- 2, wit h governing equat ion

Z EM= lR"V (4.1)

where w U ) = doh ), j = 1,2 are closed and exac t two forms on .:\..1 .
A diagon al per iodi c pattern of (4.1) is a solut ion of th e form

Z( x , y) = ')'(8) where 8 = k1x + k2 y and ')'(8 + 271) = A/(8) . (4.2)

 SY~IPLECTI CITY , REVERSIBILITY A1>O ELLI PT IC OPERATORS 11

In thi s section a geometric framework for di agonal peri odic patterns is pre sent ed
along with an index for such solut ions which. as will he shown , appear in 2-
paramet er (or in general n when the elliptic operator is posed on IR") familie s.
Diagonal periodic pattern s correspond to th e restriction of (4.1) to th e loop
space of .-\:t . Recall th at th e loop space of a manifold is th e space of paramctri scd
closed curves , : § I ---> o\:t (d. Weinst ein [1978, §1.1]). " 'e shall identify § I = RjZ
and represent a loop in M by its cover , : lR. ~ . \.1 sat isfying , (0 + 2;r) = ,(0).
By definiti on a diagonal periodi c pattern sa tis fies

(4.3)

However. since w (i) a nd w ( 2) ar e exact , t he governing equation (4.3) ca n be cha rac-

terised. formally, as the Lagrange necessary condition for a constrained vari ation al
prin ciple. Define the following family of action functi on als

j = 1. 2

and the Hamiltonian functional on the loop space

S (r)= f 5 0 -, . (4.5)
i'S 1
In terms of th e functionals S , Al and A 2 diagonal periodi c pattern s th erefore
correspond . formally , to crit ical points of S on level sets of th e act ion functi onals

crit { S : Al = II , A 2 = 12 } . (4.6)

for real numb ers II and 12 , with Lagrange necessary condition dF(r: k) = 0 wher e

Thi s follows since

and when required to vani sh recover s (4.3).

It follows from the theory of Lagrange multipliers (cr. Maddocks [1994]) that

j = 1. 2 (4.7)

and th erefore , assuming sufficient differentiability.

D~:~O ) = HessdS) . (4.8)

DiT
12 THOMAS J. B RID G ES

In t he calculus of variations such matrices are called sensit ivity mat rices and pro-
vide information about critical point type (d. Maddocks [1994]). We say th at a
diagonal periodic pattern is non-degenerate if

Thi s lead s to th e following naturally defined index for families of such patte rns

indexd , ) == # negative eigenvalues of Hess/ (S ). (4.9)

In th e pr esent case index; h) is eit her 0, 1 or 2. It should be not ed th at t he above

index can be naturally genera lised to gra dient ellipt ic operators on jRn in which
case the index is eit her 0 or a natural numb er in {I , ... , n }. In the next secti on an
example of th e use of t he above index is given; in par ticular it car ries inform ation
abo ut t he linear stability of periodic pattern s.

5 Example: loop space ind ex and Eckhaus inst ability

Consider th e sys tem (2.4) as t he stationary pa rt of a par ab olic part ial different ial
equat ion
(5.1)
where, for simplicity, we will t ake, in this section, V to be of t he form V' (1'l'12 ) ==
1- 1'l'1 2 • The equa t ion (5.1) is generally called the Ginzburg-Land au equa t ion with
real coefficients and , with V taking t he above special form, t he cubic Ginzburg-
Land au equat ion.
We will consider a family of stationary d iagonal periodic pat terns of (5.1),
compute th e loop space index of t he bra nch and t hen show th e relevan ce of the
index for the Eckhaus instability.
There is a family of diagona l period ic pat tern s of (5.1) whose solutio n can be
writ ten down explicitly

llJ (x , y) == A ei O (5.2)

which when substituted into (5.1) sa tisfies

k ·k + IAI 2 == 1 (5.3)

Now consider thi s family of solut ions in th e bi-symplect ic framework . The for-
mulation of t he st eady part of (5.1) as a Hamiltonian syst em on a bi-sym pleeti c
structure is given in equat ions (2.5)-(2.9). The solution (5.2) corresponds to a
(x , y)-depende nt flow along th e 50 (2) group orbi t and therefore has t he explicit
form
Z(x, y) == , (8) == R oZ (5.4)
 SY~ I P LECT IC ITY , REVERS IBILITY AND ELLIPTIC O P ERATORS 13

In fact the solut ion (5.4), more precisely th e vecto r Z E IR 6 , is a genera lised form
of rela tive equilibr ium in t he sense that the solut ion (5..1) red uces to a constant
vector Z E R G on t he orb it space.
T he govern ing equat ion for a solut ion of (2.6) can be written

(5.5)

where w (1) and w(2 ) are defined in (2.7) a nd (2.9) and 5 (Z) is defined in (2.8)
(wit h V' (a) = 1 - a) . For t he solut ion (5.4)

where
f =!!.de. - ROZ! O~O =(0I~
and so, using t he R o-invarian ce of w(l) ,

Similarly.

an d so (5.4) sat isfies

k lRei~ ( l ) + k2ReiE:",(2 ) = d5 (R oZ)

or, using (2. 12) and (2.13) ,

k1dPj (Z ) + k 2 d P2 (Z ) = d5 (Z ) (5.6)
which is th e Lagran ge necessa ry condition for a constrained '0riat iona l pr inciple
on IR6 , with (k 1 , k2 ) as Lagran ge multip liers , for t he vect or Z . Solution of (5.6)
result s in

with 'iii + vi + k · k = 1

recoverin g (5.2)-(5.3).
To evaluate t he index defined in §4, along th e above bran ch of solut ions, t he
act ion funct ionals arc necessar y and a stra ight forward calculat ion using th e exac t
solut ion results in
j = 1. 2
 THOMAS J. BRIDGES

where IAI2 = uI + vI. Now, using (5.3),

2
DIAI = - 2/';· j = 1.2
o/.;j J

for the cubic Ginzburg-Landau equat ion and so

" (S)]- I - Mt
Dk, Mt
ok, ) _ ( 1 - 3/.;·21 - /.;.22
[H essr - ( Qd4 Qd4 - -2k k
uk, ok, 1 2

Let T , ~ denote resp ectively the trace ann determinant of t he inverse of

Hess[(S) . Then
T = 2(1 - 2k · k)
and therefore the index changes from 0 to 1 when k . k = ~ which is precisely the
Eckhau s threshold (cf. Eckhaus [1965]).
The explicit conn ection of th e above index cal culati on and the Eckhau s in-
stability of (5.1) is seen as follows. Let 'lI( x , y , t) = 'lIo(x , y ) + U (x . y , t) wher e
'lIo(x ,y) = Aei O is the basi c st at e (5.2) (equivalently (5.4)) . Then sub stitution into
(5.1) and lin earisation about 'lIo results in
u, = ~U + [F' (I'lIo12 ) + l'lIoI2V"( I'lIoI2) ]U + V"( I'lIoI2)'lI6U
which has a genera l solution
U( x , y. t) = eiO[U I ei (J.l 1x + J.l 2y )+ >.t + U2e- i (J.l 1X+ 1'2y )+ :\ t j
for complex scalars U, and U2 , real numbers J.lI and 112 and complex stability
exponent A. With V"(I'lI o I2 ) = -1 the eigenvalue problem for A E iC reduces to
2
A + 2(J.lI + tt~ + IAI 2 ) ,\ + (ILI + IL~)2 + 2(J.lI + J.l~) IA I 2 - 4(k1l l 1 + /'wd = o.
First , it is eas ily verified that if J.lI and J.l2 arc real the a bove quadrati c equat ion
has two real roots. Moreover one of the roots is alway s negati ve a nd hence st able.
The sign of th e other root can be eit her positive or negative a nd it is easily verified
th at both roots are negative if and only if k - k < ~ and when k k > there exist s 1
a real positive (unst abl e) linear st ability exponent for som e value of J.l E lR2 .

6 Symplecticity, reversibility and eigenvalues

An elliptic op er ator. of the form considered in §1-2, on a mul ti-symplecti c struc-
ture, lineariscd about a constant solut ion, has the following form
Z E JRN (6.1)
where A E g€N(JR) ann sy mme t ric and J , E g€N(lR) i=1.2 ann anti-symmetric.
The generalisation of (6.1) to include add it iona l symplectic operators is clear; for
example for ellipt ic operators on lR n , n ::::: 2.
 SY ;\lPL ECT IC IT Y, REVERSI BILIT Y AND ELLIP T IC OP ERATORS 15

T he eigenvalue pr obl em correspond ing to (6.1) is

(6.2)
wh ere A = (AI , A2) E e 2 and ~ E c«. We say t ha t A E c 2 is a n eigenva lue of (6.2)
c
if (A, 0 E 2 X eN sa t isfies (6.2) wit h 1 1 ~ 1I > 0 or eq uiva lent ly if

.6.(AI , A2 ) = d et (A - AIJ I - A2.J2) = O.

Proposition 6.1. Under th e above hypotheses on A . J [ and J 2

Remark: T his is a gener a lisation of t he eigenvalue relation ind uced by a single

sy mplect ic str uct ure for o rd inary diffe rentia l equa t ions (cf. Abraham & Marsden
[19i8, p. 1iO: T heorcm3 .1.1i]).

Proof. T he determinant is invar iant under transposition: th erefore

.6.(AI. A2) d ef det (A - A1J 1 - A2.J2)

det (A T - AIJT - A2J f)
uet( A + AIJ 1 + A2J2)
.6.(- AI , - A2) .
T he det er min an t .6.(AI , A2) is a polyn om ial and every such fun cti on can be ex-
pre ssed as a polynom ial in ter ms of t he 2:2 invaria nts: Af, AI A2 and A§ comp let ing
t he pro of. •

PlOP osition 6.2. In addition to the hypotheses of Proposition 6. 1, su ppose th e sys -

tem is also either x -reversi ble or y-reversible. T hen
(6.3)

Proof. Suppose the sys te m is z -revcrsible. T he proof is sim ilar if it is y-reve rsible.
z -rcve rs ibilitv implies
R IAR I =A, R IJIR 1 = - J I . R I J 2R I = J2
wit h R I = 1. T he n , since det( Rddet( R 1 ) = L

.6.(AI , A2) dcf det(A - A1J I - A2 .J2 )

det[RI (A - AIJ I - A2J2 )R J]
de t [RI AR I - A1 R 1J IR I - A2R IJ 2R d
det[A + AIJ I - A2J2]
.6.( -AI , A2) .

By P roposit ion 6.1 .6.(AI , A2) is a polyn om ial function of AI , AIA2 a nd A§. E venness
in Al eliminates t he de pe nde nce on the invariant Al A2 result ing in the for m (6.3)
where 3. is also a polyn om ial. •
16 TH O:-'IAS J. BRIDG ES

We now consider th e case where th ere is fur th er symmet ry: in par ticu lar
when t he basic ellipt ic operator is invarian t und er rota t ion in t he (x , y)-plane
which a rises in t he case of a scmilinca r ellipt ic equat ion. Such a symmet ry lead s
to furt her simplificat ion of th e eigenvalue struct ure.
For exa mple consider the semilinea r elliptic equat ion Llu + F' (u) = 0 which
has a form ulat ion as a Ha miltonia n system on a mult i-symplectic st ruct ure (cf.
§1- 2)
J IZz + J 2 Z y = 'VS (Z ) (6.4)
where the form of S (Z ) is given in §l. Let

Then 90 is an action for S O( 2) an d t he rot ation invar ianc e in th e (x, y)-p lane leads
to th e following symmetry propert ies for (6.4)

9J J I9 0 cos OJ I - sin 8J 2
9[J290 sln OJ I + cos 8J 2 (6.5)
'VS(9o Z ) 9 0'VS (Z )

and in the linear case, when 'VS(Z ) = AZ we have 9J A90 = A.

Prop ositi on 6.3. S uppose that (6.2) is posed on 1[3 and is SO (2)-eqllivorion t in the
sens e that the Lasic operators A, J I and J 2 satisfy (6.5). Th en

Remark. Not e that for t he semilinea r ellipt ic equat ion (6.4) t his result is t rivial.
T he interest in t he for mulation lies in its potential for generalisa t ion: for exa mple,
it is clear how to generalise th is resu lt to ot her grou p act ions a nd to ellipt ic systems
on higher dim ensional spaces.

Proof. Since det 90 = 1,

Ll(Al ,A2) d ef det( A - AIJ I - A2J 2)

det[9J (A - A1 J I - A2J 2)90]
det[9J A90 - Aj9Pl90 - A29JJ 2gel
det[A - (AI cos 0 + A2 sin O)J 1 - (- AI sin 0 + A2cos 8)J 21
Ll(AI cos 0 + A2 Sill 0, - AI sin 0 + A2 cos 0)

a nd so Ll(A" A2 ) is an SO(2)-invari ant polyn omial on 1[2 and every such functi on
can be expressed as a polyn omial function of Ai + A§. •
 SYMPLECTI CITY , REV ERSIBILITY A"D ELLIPTI C OP ERATORS 17

7 Radially symmetric states and phase space geometry

An inter esting a nd important class of solutions of. for exa m ple, semilinea r elliptic
equ ations of t he form ~u + V'(u ) = 0 is th e bound sta tes or "higher dimension al
solitary waves" (d . Ber cstyki et al. [1981] and referen ces therein) . Such st ates
ar e radially symmet ric a nd asy m ptotic to th e trivial state as x 2 + y2 -> 00 (in
]ft2 for exam ple) . In the multi-symplectic structures framework such state s me
characterised , geometrically, as follows.
Consider th e elliptic equation ~u + V ' (u) = 0 formul ated as a Hamiltonian
system (cf. equa tions (1.3)-(1.5) )
(7.1)

Introducing polar coord inates x = rcosO and y = r cosO into (7.1) results in

(cos OJI + sin OJ 2)Z,. + ~(- sin OJ1 + cosOh)Ze = V'S (Z) (7.2)
which is again a Hamilton ian sys te m on a multi-symplectic st ruct ure of th e form
(]ft:l, o(1).0(2), S) wit h
0 (1 ) cos Odv /\ du + sin Odu' /\ d u
0 (2) -~ sin e d» /\ d« + ~ cos 0 d«. /\ du

wher e, to avoid the sing ular ity at I' = 0, t he limit s d e/ r a nd d w /r as r -> 0 shou ld
he finite .
In the phase spac e R3 rad ially sy mmet ric st ate s corres pond preci sely to
parametrisations of solut ions of (7.2) as a sur face of revolution in ]ft3, or (cf. O 'Neill
[19GG. P. 234]),
g(r ) )
Z (r',O) = h (r )co sO (7.3)
(
h (r) sin 0
Substitution of (7.3) into (7.2) results in

[cos OJ1 + sinOJ 2]

. !; )
'.I COS O
1 ( 0 )
+ - [-sin OJI +cos OJ 2 ] - h sin O =
(V,(g))
hcosO
( h sinO r h cosO h sinO
.
- h - -r' h
I
V'(g)
or cosO !; h cos O
sinO !; h sinO
which together impl y

(j29, + ~ elg + V' (g ) = 0 : h = elg (7.4)

dr- r ell' ell'
recoverin g the usu al equa t ion for radi ally symmet ric states of (1.2) on ]ft" (cf.
Borestyki et al. [l U81. equa tion (2)]) .
18 THOMA S .J. BRID GE S

Going back to th e formul ation (7.1), th e ra dia lly symmet ric solutions corr e-
sp ond to surfaces of revolution in ]R3 a nd t herefo re t he different ia l geomet ry of
such surfaces ca n be app lied in ord er to a na lyze t he geomet ry of solutio ns as well
as th e geomet ry of perturbed problems such as

6. u + V ' (u ) + e Ft x , y, u ) = O. (7.5)

An ana lyt ic a pproac h for pert urb ed problems of t he type (7.5) is given in Angenct
[1981, §D]) bas ed on an exte nsion of t he Mclnikov th eory. However. th e Mclnikov
t heory for perturbat ion of homoclinic orbits can be formulated geomet rically a nd
by st udying (7.5) in th e ph ase space, with t he basic state considered as a bounded
surface of revolution in the phase spa ce - a genera lised homoclinic orbit, geomet ric
methods ca n be used for a na lyz ing t he perturbati on prob lem .
A simple exa mple of a radially symmet ric solution is as follows. Let V ' (u) =
u~ - u2 a nd so
U x x + ll yy - u + u = O.
2 3
(7.6)
It is easi ly verified t hat (7.6) has th e exact solution
4
u(:r ,y ) = 2 2 (7.7)
2 + :z: + y
which decays a lgebra ically as :z:2 + y2 -+ 00 . In the ph ase space t he above solution
has th e form

Z (x, y) =
u( x , y) )
( w(:z. . y)
( u )
v(x.. y ) ~f U x =u
uy
(1)
-tx u
- 'l y u

and th e image of Z : ]R2 -+ ]R3 is a "balloon" in th e ph ase space wit h a cusp

singularity at t he origin a nd is shown plott ed in F igur e 1. T he cusp point at t he
origin is du e to t he algebra ic decay of u a t infin ity.
In general rad ially symmet ric solut ions of semi-linear ellipt ic equa t ions (on
JR2 or in general a n) can be cha racterised geometrically as bou nded sur faces of
revolu tion in t he phase space associated wit h th e Hamiltonian for mulation .
Secondly in t his sect ion a geomet rical characterisat ion of diagonal pa ttern s
(cf. §4) for the syste m (1.2) will be given. For simplicity suppose t hat V" (u) > 0
for a ll u E ]R in which case

(7.8)

is diffeomorphic to a sphere (and henceforth S(Z) = s will be referr ed to as a

sphere).
Diagonal periodic patterns of (7.1) satisfy

(7.9)
 S Y;\IPL ECTI CIT Y , RE VERSIBILITY A0:D ELLIPTIC O PE RATORS 19

v
w

Figur e I. Image in the phase space of the radially

symmetric solution (7.7)

for some k = (k l , k2 ) with k · k f= O. The syst em (7.9) is an ODE and in thi s case
S( Z ) is an invariant sur face in jR3 for solut ions of (7.9) since

using th e fact that (k[J [ + k2J 2 ) is skew-sy mmet ric. Therefor e all diag onal periodic
patt ern s lie on invari ant spheres in jR3. However k[J[ + k2J 2 is singular with

Therefore solut ions of (7.9) ar e restricted to

which is a plan e passing t hrough the origin. Geometrically diagonal periodic pat-
terns of (7.1) ar c therefore closed cur ves in IR 3 given by th e int ersecti on of a sphere
S(Z) = s and th e plan e ( Z , ~ ) = O. Not e that in th e special case V' (u) = u the
diagonal periodi c pattern s cor respond precisely to geodesics on § 2 = {Z E IR:l :
(Z,Z ) = s E R, },
As a third example, doubly periodic pattern s: that is solu tions of (7.1) of t he
form
Z (X+ £j, Y) = Z (X,Y+ £2) = Z( x.y ) If (x , y) E jR2

with wavelength s £[ and £2 , corres po nd geomet rically to tori in th e ph ase spac e.

20 TH O MAS J. BRIDG ES

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[13] A . MI ELK E [1991 ] Hamilton ian and Lagrangian flows on cent er manifold s with
application to elliptic variational problem s, Lect . Note s in l\lat h. 1489 , Springer-
Verlag: Heidelb erg
[14] B . O ' N EILL [1966] Elem ent ary Differenti al Geometry , Acad em ic Press: NY
[15] D . SALA MON [1990] Morse theory, the Conl ey index and Floer homology , Bull.
Lond . l\lat h. Soc. 22, pp . 113-40
[16] F . \VARNER [1983] Found ations of different iable ma nifolds and Lie groups ,
Sp rin ger-Verlag : New York
[17] A . W EINSTEI N [1978] Bifurcations and Hamilton's pr-inciple, l\lath. Z. 159 , pp . 23 5-
48
Progress in Nonlinear Differential Equations
and Th eir App lications, Vol. 19
© 1996 Birkhauscr Verlag Basel/Switzerland

T he Rolling Disc

R. Cushman J . Hermans' D. Kemppainen!

1 Int roducti on
In this paper we consider a homogeneous disc, which rolls without slipping on a
horizontal pla ne und er t he influence of a verti cal gravitational field. Due to th e
four dimensiona l symmetry group consisting of t rans lations in the plan e, rotations
aro und a vertical axis and rotations around th e axis perpendi cular t o the disc, one
can reduce the dynamics to a four dim ensional syste m. see section 2. This reduced
syst em was obtained for the first time by Ferrcrs [6) in 1872, using Euler- an gles.
The first serious a na lysis of these equation s was given by Vierkandt [181 in 1892.
He showed th at almost all orbits are per iodic .
The easiest way to obtain this periodicity result is to use th e reversibi lity of th e
syste m, which is typi cal for mechanical syst ems. A vector field V is 1'eversible if
t here is an involution R such that R*V = - \f. Birkhoff [41 proved that orb its
which intersect t he fixed po int set of R twice are periodic. The interesting thing
here is th at t he fixed point set of t he reverser R has only codimension one. For
other applicat ions of this idea to describe t he moti on of rollin g bodies, sec Hermans
[7] . Th e motion of th e dis c is complic at ed by the existe nce of hyp erbolic relative
equilibria and by the incompleteness of the flow of t he redu ced vector field. The
non-periodic orbits arc of two types: those cor responding to the st ab le and unst able
manifolds of hyperbolic equilibria , and thos e where the disc falls flat in finite time
(incompleteness of t he flow). (T he 'complete analogue ' of th e rollin g d isc is th e
problem of a rolling body of revolution whose red uced dyn amics was first an alyzed
by Chap lygin , see Moschuk [13J.) The manifold s of init ial conditions giving rise
to non-period ic orbits are of codimension one in a given energy sur face, which
is remarkably low. T he main achievement of thi s paper is to describe both t he
periodi c and th e non -p eriodic orbits qu alit atively.
Another , more class ical approach to solving th e reduced equat ions of motions is
to const ruct a second order linear d ifferenti a l equation. Surprisingly t his equat ion
is Legend re's equation, see Routh [17], §244. In 1899, Kort eweg [10] first observed

*l\lath em at ics Inst itute, University of Utrecht , 3508 TAo Utrecht , The Netherlands
t Depa rtment of Mathematics and St at ist ics, University of Ca lgary , Calgary, Alberta, Canada
22 R. CUS HMAN , J. H ER :,IANS, D. KE :,IPPAI"E"

th at hyp ergeometric functi ons a ppear in th e solution of th e redu ced eq uations

of motion . App ell [2] ind epend entl y made th e sa me observa tion in 1900. In th e
past one hundred years there has been little int erest in th e rolling disc. In th is
period , many aut hors were conte nt only to rep eat th e derivation of th e equ ati ons
of motion and the proof of inte gra bility by quadratures a nd leave it at t ha t. Only
recentl y has interest ar isen in the geomet ric beh avior of t he solutions of th e rolling
disc in phase sp ace. Kemppain en [91 was t he first to construc t a two par am eter
family of one degree of freedom Hamiltonian subs ystems of th e redu ced vector
field . These systems arc our basic tool for analyzing th e redu ced vector field. In
a recent preprint O'R eilly [15] has a n int eresting discussion of th e motion of the
rollin g disc a nd num erically finds severa l bifurc ati ons.
T his paper is orga nized as follows. Sect ion 2 consist s of a (geometrical) redu ction
of th e symmetries which resul ts in a four dimension al dyn amical syst em, In section
3 we consider the relati ve equilibria of t his syste m, In sect ion 4 we give a rigorous
qu alitative description of all t he moti ons of the disc and in sect ion 5 we reconstruct
th e moti on from th e redu ced space to th e eight dim ensional constraint mani fold.
Unfor tunat ely, we have not succedcd in giving a descript ion of how t he const rai nt
manifold is singularly foliated by 3-tori.

2 Reduced equations of motion

In thi s sect ion we derive t he eq uat ions of moti on for a rolling disc.

2.1 Equ ation s of motion

Consider a reference disc of radius r, with uniformly distributed mass Ill , lyin g
flat in a fixed reference fram e with cente r of mass at th e origin, (see figure 2.1) .
T he position of th e moving disc is given by applying an element (A, a) of the
Eu clidian group £ (3) S;; SO (3) x R 3 to a position of th e reference disc. Using the
left trivi alizati on

£ (3) x 1'(3) --. T£ (3) : (A ,a ,n,b) = (A , a,A-iJi,A-i a) --. (A,a),

where 1'(3) is th e Lie algebra of £(3), we pull back the Lagrangian of t he un con-
strain ed disc to £( 3) x 1'(3) and obtain t he Lagrangian

L = Trot + Ttr ans - V.

Here Trot = ~ (1w,,,.:) is t he rot ational kineti c energy of th e disc with 1 = diag(Ii ,
It ,13 ) the moment of inertia tensor with respect to th e principal axes and (, ) is
th e Euclidian inn er product on R 3 . We have identified n= ( '"~ -w~ -~~) E
-W2 WI 0
 TH E R OLLI i\G D ISC 23

50(3) wit h the angular velocit y vect or W = (W I, ",' 2, ;.,)3) E R3 . This iden t ificati on
defines th e mapping i : so(3) ---> R3 . T he t ranslat iona l kineti c energy of t he cen-
ter of mass is T tra ns = ~ (b, b) and th e pot en tial energy is V = mg (a. C3 )' The
Lagra ngian der ivative of I: is

DC- = ( -dd (I w) - [W x w, m rJ!!. - m (b x c.) - mg A~ l c3) ' (1)

t dt
which is a linear form on e (3) depending on a base point in £ (3). (For more details
sec Arnol'd [3. p.14].)

2.2 Const raints

T he moving d isc is s ubject to two kind s of const ra int : a holonom ic const raint of
moving on a hori zontal plan e and a nonh olonomic constra int of rolling. To tr eat
t hese constr aints, let
u. = - A - 1C3 (2)
and suppose that 'll f. ±e:l, otherwi se the dis c is lying flat. Choose a vector

,
F igur e 2.1. The rollin g disc .

8= s(A ) in th e el -e 2 plan e of length r which lies in the plan e spa nned by u. and e3.
Appl ying the clem en t (A ,a ) of £ (3) to th e reference disc gives the vecto r A s + a
which is t he point of cont act P of the movin g disc with the horizontal plan e.
Therefore
0 = (As + a, ( 3) = - (s. u) + (a, (3 ) . (3)
Let
U = 1L - (u , e3) e:3 ' (4)
Then Ii is t he projection of u. on to the plan e of t he reference disc and hence is
colinear wit h s . Conseq uent ly,
r ~
s = 8(A) (5)
Il ul(
24 R. C USHMA N, J. H ERMA NS, D. KEMPPAI" EN

The cond ition th at the disc rolls with ou t slipping is th e same as requi rin g that th e
velocity of th e point of contact with th e plan e is zero: 0 = As + a. th at is,

(6)

Equ ations (3) and (6) define the constra int manifold C as a subset of £ (3) x T R3:

{ (A , a, w, b)1b = - w x s( A) & (a , C3) = (5(A ), u (A )) }. (7)

2.3 Symmetry group

The rollin g disc is invariant under tr an slati ons in the horizont al plane and rot a tions
about th e vertica l axis. Consid er t he 2-dimension al Eu clidian gro up

£ (2) = {(R 'I" x ) E £(3)IR 'I' =

COS lp
sin o
- sin e
cos o
0)
0 & x = (Xl,X2, O)) .
(
o 0 1

Viewed as a subgroup of £(3), £(2) acts on t he constrai nt man ifold C by

<I> : £(2 ) x C --> C : (R'I" x) , (A , a, w , Ii) --> (R'I'A, R"a +:T. w, b). (8)

Becau se th e £ (2) act ion <I> is free and prop er , its orbit space C/£ (2) is a smoo t h
man ifold , which after a litt le thought is see n to be diffeomorphic to 52 x R 3 . Sin ce

th e ac tion <I> preserves t he Lagra ngia n L ,

2.4 Reduced equations of motion

To derive th e £ (2)-reduced equations of motion on 5 2 x R 3 we a pp ly t he d 'Al ernbcrt
pr inciple, which states t ha t o£ is perp endicular to all vectors (w, b) satisfying (6).
This gives

o = \ft(IW)- IW X w, w)+\m~~ - m (b X w )- mg u ,b )

j:!:.- (Iw)
\ ill
- Iw x w - { TTI :!:'ill- (w x s) - m (w x s) x w + mgu} x s. w )
.

w
for a ll E R 3 . T herefore th e term s in th e ang led brackets before th e comma are
zero . Aft er expanding t he vector product ((w x s) x w) x s we obt ain

d(Iw) dw
I w x w- m r2 di + m \ di ' S
jdw) s +
dt (9)
ds
+ m (s, w) dt +m (w, s) w x s + mgu x s
 T HE RO LLING DISC 25

and
du
ill = -w X 11, (10)

by d iffere ntiating (2) , T hese are t he desired equations of motion of t he d isc after
the £(2) symmet ry has been removed, Here s and u are related by (5) . Equations
(9) and (10) defin e t he int egral curves of a vector field Von 52 x R 3 .
A straightforward calculation shows t hat the total energy of t he disc

E = ~ (I (w),w ) + ~ (w x s ,W x s ) + mg (s , u ) (11)

is constant on t he integral curves of V.

T here is sti ll another symmetry-that of rotation about the principal axis perpen-
dicu lar to the plane of the disc. In more detail , consi der t he 51 action

where ti; = ( ~~~~ - :~~ ~ ~) . Since t he £ (2)-action <I.> (8) and the 5 1
-act ion
00 1
'Ii (12) commute, the 5 1-act ion 'Ii induces an 5 1 action ;Ji on th e £(2 )-orbit space
52 x R 3 defined by

;Ji : 51 x (5 2 X R 3 ) ---> 52 X R3 :

R .p ,(u,w) ---> (R~,u ,R~,w) = (e L' E3u,e tPE3w) ,

where E 3 is the matrix ( ~ ~I ~ ) . A st ra ight forward calcu lation shows that

o 0 0
t he vector field V is invaria nt und er the 51 act ion ;Ji. Thus V induces a vector
field on the space of 51 orbits on 52 x R:l.
In order to determi ne this vector field we need an explicit description of this orbit
space. \Ve use invari ant theory. T he algebra of polynomials on R 3 x R 3 , which are
invarian t und er t he diagonal action of e.pE3, is generated by

a1= U3 = (u ,e3) a~ = W3 = (w, e3)

a2 = - (1L IW2 - u2wJl =- (w x u, e3) a-, = wi +w§ (13)
a3 = U1W1 + U2W2 = (w, u) a6 = UI + u§
and satisfy the relation

(14)

The orbit space of the 5 1-act ion 1> is defined by (14) and

1 = a6 + a i, (15)
26 R. C USHr..lAN , J. H ERMANS , D. K E1\I PPAI:'\E :\

becau se ~ acts 0 11 5 2 x R 3. Using (15) to elimina te a 6 from (I-I) shows t hat t his
orb it space is t he semialgebra ic variety M ~ R ' defined by

a? + a~ = (1- an as as 2: 0 an d lad :S 1. (16)

A ,I is not smoo t h, beca use t he 5 1 act ion ~ has fixed points. In fact it is creased
along t he ha lf-p lanes

In order th at 8 = ~ 11 (sec (5)) makes sense, we must have IU31 < 1 and t herefore
lIull
iaI I < 1.Equat ion (16) wit h t he cond it ion lad :s 1 rep laced by lad < 1 defines a
smoo t h 5 1-inva riant open dense subset AI of M , nam ely

a? + a~
as = -1- - - '
- a 21
lad < 1. (17)

Not e th at M is diffeomo rp hic to R I .

To deter min e the indu ced vector field V 0 11 AI we compute t he Lie derivati ve of
±
a, with respect to V. Using I I = mr ? a nd h = ~ mr" . after a lengt hy but
st raightforward calc ulat ion we obta in

6
~
o
a3a4 - I
" -
"
al
-
1 - a l .l
2
-2 a ' - -
1-
al
-
al
-2
~ + '\ a l
a:;
-
R 1- a1 (18)

4<>
Here ,\ = ~, a nd lad < 1.
5r

Since t he ~ times th e total ene rgy E ( 11) is invariant und er th e 51 act ion ~ ,
it ind uces a funct ion

(19)

on AI ca lled t he reduced energy. A st ra ightforwa rd calculat ion shows t hat E is

const ant on t he inte gral cur ves of V.
 TH E R OLLI NG DISC 27

3 Relative equilibria
In th is sect ion we give a physical int erpret ati on of th e equilibr ium poin ts of t he
reduced vector field V (18), which give rise to th e £ (2) x SI relative equilibria of
the rollin g disc. These cqulibria were called st ead y mot ions by Routh [17] and ca n
be found in Ncim ar k a nd Fufaev [14, p.304].
Becau se th e £ (2) x S I· act ion on t he constraint manifold C is free a nd pr op er with
orbit mapping
rr : C -+ C/(£ (2) X SI ) = M .
an equilibri um point (To of V gives rise t o a motion on the fiber 71' -1 ((TO) whi ch is
conj ugate to a I-par.unetcr grou p t -+ exp t~ = e(t ) of £ (2) x SI . (Sec Herman s
[8] .) From th e definitions of the £( 2)-aet ion <I> (8) and th e S I-aet ion W (12) it
follows th at

e(t) (A( t) ,a(t) , w(t) , b(t ))

(R""t AOR;l , R<ptaO+ :I'(t ). n.;».R,pt bo) , (20)

where e(O) = (Ao,ao, wO,bo ) E C. To determine t he cleme nt ~ in t he Lie algebra

e(2) x R of £ (2) x SI we need only compute (y , AObo , Ii') as a fun ctio n of t he
compone nts of (To. Wo need t he following

Facts .
- <pUO-1/;e3 (21)
u(t ) R~) tuO (22)
s(A( t)) R if)fSo (23)
(a(t ), e3) (ao, e:3 ) (24)
sin <pt
1
a(t) aO+ - 1 - cos <pt (25)
<p (
o

(3.1) Proof. First we check t hat (21) hold s. Since A (t ) = R<ptA OR~l and w(t) =
R,pt wO= exp( 1M E 3 )wO, using th e definition of w( t) and the mapping i we obtain

w(t) = i ( A(t) -I ..i( t) )

i( Aclexp ( wt £3)(04° ) - 1 (y E J ) ) - i (~J E 3 )

exp(1/;t £ 3)( (AO) - I(y/'J) - 1/;e3).

Using th e definiti on of uO we ob t ain (21) . Equa t ions (22) , (23) and (24) follow
dir ectl y from th e definition of the £(2) x SI -act ion. To prove (25) we not e that
from the definition of b(t ) it follows tha t &(t ) = .-l(t )b(t) = R""tAo/P.
28 R. C USHMAN, J. H ERM ANS , D. K E:VIPPAI" EN

On t he ot her hand , differen tiati ng t he definition of a(l ) in (20) gives

it(l) = R<pd <pE3 ao) + i .

Therefore
(26)
Equ at ion (26) integr at es to

sin <.pI cos ip t - 1

x (l) = ~ 1 - cos <.pI sin <pI
<p ( 0 o
since x(O) = X O = 0 using (20). From the definit ion of a(l) we ob ta in (25) . 0

t> The following argument shows th at th e Lie algebra clement ~ = (<p , A Obo, ljJ )
correspondi ng to the equilibrium point a O of t he redu ced vect or field V is

a nd (27)

(3.2) Proof. From th e definition of a3 (13) we obta in

a~ ( 1l0 , WO) - 1l~ W~

- <.p - lj.'a ? - a?a~. using (21) a nd th e definition of al a nd a4'

Using (21) and t he definit ion of a4 we find t ha t

a~ = (wo, e3) = -<p a? - ljJ . (28)

Solving t he abo ve two equations gives (27). o

Note t hat t he choice of CO in t he const ra int man ifold e which lies in t he fiber of t he
orbit ma p 11' over the equi librium point a O of the reduced vect or field V dep ends on
d im e - dim (£ (2) x S I ) = 8 - 4 = 4 parameters: two which fix t he init ial positi on
a O of t he center of mass of t he d isc , one which fixes the initi al a mount of rotation
<po of t he d isc abo ut th e ver tica l and a not her ljJo which fixes th e initi al amount of
rot ation of th e disc abo ut a n ax is perp endicu lar to the plan e of th e disc.

t> We now are in position to give a physica l int erpret at.ion of t he motion of t he
d isc corres po nding to an equilibr ium point a O. T he disc rolls uni formly wit h a
frequen cy -1-'(3 )2 at a constant incl ination cos- I (an and the point of contact
7
traces out a circle wit h center at aO + ~ E 3A obo and of radi us

R= r 1 - (a 0)2
1 + -(a~ )2 (1 -
( 0)2 °
al -
(a 0)2)2.
l (29)
a :l
 TH E R OLLI NG DI SC 29

(3.3) Proof. Using (23) and (25) we see th at t he position of th e point of contac t
of t he disc is given by

A( t)s( t) + a(t) R ytAOR;f (Rlj;tsO) + aO + ~ E3A.obo - ~ R ytE3Aobo

<P cP
aO + ~ E 3Aobo + R tAO ( so - ~ (AO) - l e3 x bO) .
cp y

*
'P

Therefore th e point of contact trace s out a circle with center aO+ E 3Aobo at a
o
freq uency <p = - 1-(';n 2 ' using (27). T he square of th e radiu s is
2
R2 I Ao(so + ~cp 110 X bO)11 = 118°11 2 + ~cp (s0, u O x bO) + -;
cp
IluO X 2
bOl1

1'2 + ~ (uO ,e3) (so x e3,sO x WO) + ~2 IlsO X w01l 2,

<p <p

since uO = ;;0 + (uO, e3) e3' bO = sO x wO and (uO , bO ) = O. The last eq uality
here follows because (uO , sO x wO) = - (uO, s O x (<p uO + V e3)) = - 1/J (uO x so, e3) =
- 1/J (uO , e3) (e3 x so, e3)= O. Therefore
R2 = 1'2 + ~ (uo,e3) (sa x (SO x e3),cpuo + 1/Je3) + ~2 IIso x (cpuo + 1jJe3)112
<p y
2 ~
1'2 _ _ r 2 (uo,e3) (cp(uO ,e3) + 1/J) +2 (cp(uO.e3 ) + 1jJ)2
cp cp
2 'lj;2
1'2 - 1'2 (uO, e3) + 1'2 2 '
.p
which using (27) gives th e desired resul t. o
To det ermin e which way th e disc t ilts as it rolls in a circle. it is enough to determ ine
the sign of (AOsO x AObO , e3), since th e vector AOso, which points from the initi al
position of th e cente r of mass to t he initi al point of contac t, is perp endi cular to
t he vector AObo , which is th e initi al velocity of t he center of mass. Now
(Aosox AObo,e3) = (so,uox bo) = -r 2 (uO, e3)(cp (uo, e3)+ 1/J)
= r 2 a~a~ , using (28).
Thus when a? > 0 t he disc t ilts inward when a2 > 0 and out ward when a2 < O.
Both cases can occur.

4 Analysis of the redu ced vector field

In thi s section we give a complete qu alit ative description of th e integra l curve s of
th e redu ced vector field V on AI . We begin by showing th at V has a 2-par amet er
family of invar iant 2-di mensional ma nifolds on which its orbits are level sets of t he
30 R. C USH:-'l AN, J. H ER:-'IANS , D. K EMPPA1 :"E :"

2-parameter family of functions (iJ3, iJ4) -+ H(i3,(i, = J( + U(i3.(i, (37). We an alyze

th is family using ideas from singul arity t heory. The results arc given in figure 3,L
In more det ail, first we find th e discriminant locus, th at is th e set 15 of par am eter
valu es where H(i3,(i, is not a Morse function . Actually we show in section 4.1 th at
when (iJ3,iJ4) lies on 15, the fun ction H(i 3,(i, has exactly one degenerate crit ical
point. Next . we show ((4.1)) th at H(i3,(i, is a proper Morse functon if a nd only
if U(i3,(i, is. T his happens precisely when (iJ3,iJ4) does not lie eit her on 15 or
on two lines £] (43) and £2 (44). Consequ ently, when (7f 3 ,7f4 ) lies in one of the
eight connected components of R 2 - (15 u (£] u (2)), th e number and type of t he
nond egenerat e crit ical points of U(i3,(i., docs not chan ge.
Next we need a lengthy anal ysis to establish what th e gra ph of [/(i3,(i4 looks like.
The resul ts arc given in figure 4.2. In more det ail, we begin showing (sec ((4.3)) -
((4.4))) th at at th e cusp point (iJg, 7f~) = (O, ~) of 15, t he Z2-versal normal form
of th e l -pararnetcr family iJ4 -+ UU ,(i4 of even functions is J1 --> b+pai +aa1 where a
and b arc smoot h function s of 11 and a(O) i= 0, Thus ncar a ] = 0 we have found th e
number and typ e of th e crit ical point s of UU ,(i4 for all iJ4 ncar i7~ . A global arg ument
(see ((4.5)) - ((4.7 ))) shows th at there arc no oth er critical point s on (-1 ,1 ). A
similar argument works for t he ot her cusp points of th e discriminant locus. Thus
we know th e gra ph of U(i3,(i4 on each connected component of R 2 - (15U (£1 u (2))'
To compl ete our description of th e graphs of U(i3.(i" we look at th e parameter
values on t he segments of 15 between t he cusp poin ts and th e points where t he
lines £1 and £2 meet 15. Another ana lysis (see ((4 ,8)) - ((4.10)) ) using singularity
th eory shows th at U(i3 .(i4 undergoes a Morse cancellat ion of a cr it ical point of
index 2 or 0 wit h a crit ical point of ind ex 1 as t he par am eters (iJ3. iJ4) cross each
segment . Special argu ments (see ((4.11)2 - ((4.13))) t ake care of gra phs of U(i3 .(i4
for th e remainin g par amet er values on 'D. We now know th e gra phs of U(i" ,(i4 and
hence th e level sets of H(i3.(i4 '
Using the integral map J : R 4 --> R 3 : (al ,a2,iJ 3,iJ4) --> (H(i 3,(i, .iJ3,iJ4) of th e
redu ced vector field, we invest igate how these level set s foliat e a red uced energy
level set . First we describe the ran ge and critic al values of J (see ((4.1.:1)) - ((4.15)))
and th en we determine the topology of each fiber (see figure 4.·1 and table 1).
Fin ally we investi gat e how these fibers fit tog ether. This det ermines the topology
of a redu ced energy surface (sec table 1) and shows how it is foliat ed.

4,1 Equilibrium points and linear ization

We begin by looking for equilibrium points of V, which are the relative equilbria
of section 3. The set E of equilibrium points is defined by

(30)
 TH E ROLLI KG DI SC 31

Since 0 is a regular va lue of E 21{a 2 = O}, £ is a smooth 2-dim ension al suhmanifold

of (- 1, 1) x R 3 , An add it iona l argument, which we will not give, shows th at every
connecte d component of E is diffeomorphic to R 2
Lineari zing th e redu ced vect or field V at a point a' E E gives th e linear map
DV (a') , whose char act er isti c polyn omi al X is

where
12 2 t at 1 5 - 3ar 2 \ 1- 2af
E 3(a ' ) = "
v
a4 - =-
5 - -
1- af a 3a 4 + -5 a - /\
(1 - af) 2 :3 VI- a T' (31)

Becau se E is a smoot h 2-d imensiona l submanifold of {a 2 = O} , the non zero roots

of X cha nge ty pe when
E 3 (a' ) = 0, (32)
Equat ions (30) and (32) define t he eigenvalu e lows £V where DV(a' ) has an
eigenvalue zero of multiplicit y 4, £V has four br anches B 'I1.'/2 , As at varies over
[_ cc j , _cI ] wit h"- 1 =) 24 -9
38 y'i; ' B'/ I ,1/, is defined bv,

(33)

where
)1- 2uf + V o(uf) , if 1]2 = +
) 3"
io + "(
u aI2) ' 1if Tl2 -- -r- ,

and

I -¥ af + 7j ",t,
1-2uf - ~ 10
af - 3 '

Becau se
(ut +(ft! ,U: +( fJ! ) = (a3-(-ft! , u4- (-f t! ),
(a3-(ft ),a4-( c!l ) = (u3+ (-c t!, a4+( - cl )),
(U3+ (lOt!, u4+ (lO t! ) = (u:: - (-ell, a: - (-lOll),
and
32 R. CUS HM AN , J. H E RMANS , D. K E l\IP PAI :'-: E:-I

we see that th e project ion of the bra nches of t he eigenvalue locus [V along the
a I-axis onto th e a3-(74 plane fit togeth er to form a topo logical circle [ V, which is
act ua lly smoot h.

4.2 A family of Hamil toni an syste ms

Introdu ce al as a new time scale by sett ing' = -d (11
d =..L
(1 2
-ddt ' In the new t ime scale
the int egral curves of 17 satisfy
da l
-=1
d(7 1
da 2 6 1
(72 - = - a3a 4 - -
do , 5 5
(34)
da3
- = -2 (74
dal
do; 1
ar .
2
- - - --a3
do , 3 1-

T he t hird and fourth equatio ns in (34) form an invariant subsystem V. Let <1>/71
be t he flow of V, t hat is, for every initial condit ion (0'3,0'4)

(71 -> (a3(a 1;0'3,0'4), a4(al ;0'3,0'4) ) = <1>/7 1(0'3. 0'4), (35)

is an integral curve of t he vecto r field V, which is rea l analytic in (-1 , 1). Substi-
tutin g (35) into th e first two equa t ions of (18) gives
dal
----;It = a2
da2 -_
----;It 1\6 a3 ( a l •, -a 3,a4
-)
a4 ( (71 ., -(73 , -a4 ) - "51 (36)

-
(71
---
2
2 (72 + /\\ (71 ~
V 1- (71 '
1 - (71

A calculatio n verifies that (36) is in Ham iltonian form on R 2 wit h coordi nates
( (71 , (72) and symplectic form 1 l/72 d(71 I\d(72 . The corr esponding Hamilt onian func-
1
tio n is

(37)

Let us now interpret th e Hamil tonian system X H "3'". geomet rically. Let 'It/7, be
t he flow of (34), which is not defined on (72 = O. Because the vector field V is an
 TH E R OL LI N G DISC 33

invar iant subsyst em of (34) , we find that

Wa;( iTI , iT2, 0'3 , iT4 ) = ( a ; + iTI , a2 (iTI , iT2 · 0'3. 0'4). <P a; +a, (iT3 , (T 1) ) .

Thus for every fixed init ial condition (0'3 ,0'4) E R 2 , th e image of th e 2-plane

under th e diffeomor phism

is a smoot h invariant 2-dim ensional manifold of t he reduced vector field V. More-

over, th e image und er 1p of an orbit of XU-o"."., on 11 a3.a, is an orbit of V . As
(a3,iT4) varies over R 2 , th e invariant man ifolds y:(Il a3.G, ) foliat e (- 1, 1) x R 3 .
Hence we can obtain a full descrip tion of th e ph ase portr ai t of th e redu ced vect or
field on all of (- 1, 1) x R3 from th e ph ase portr aits of th e Hamil ton ian sys te ms
X U ;;3'" ' .

We can also look at t he Ham iltonian H a3,a, in a n algebraic way. This will allow
us to compute with coordinates a = (al ,a2,a3,a4) inst ead of with coord inates
(j = (a l , a2.O'3, O'4) . Consider th e funct ion

- --;. - 1 1 2 1 1 2 3 2 ~
H = K +U = 2' 1 _ a 2 a2 + 10 1 _ a 2 a :l + :5 a4 + .\ V1 - at · (38)
I 1

Then Ifa3,a, = cp*H. Let S = R{aI}R[a2,a3,a41 be th e rin g of polynomia ls in

a2, a3, a4 wit h coefficients in t he ring of real ana lyt ic functions on jaIl < 1. Think
of S as a differential algebm wit h derivations -Di)<11 and -D D whose acti on on t he
0' 2
generators is given by

and
-
a al = 0, -
a a2 = 1, -
a a3 = 0, -
a a4 = 0,
0 0'2 0 0' 2 0 0'2 0 0'2

respectiv ely. Then every computation involvi ng ta king derivati ves of Ifa3,a4 ca n
be performed on if considere d as an clement of S .

4.3 Qualit ati ve properties

Thi s sect ion is concern ed with descri bing the qu alit ative features of th e level sets
of the 2-paramete r family of Hamiltonian functi ons (iT3 . iT4 ) -: Ha3,a, ' The resul ts
are summar ized in figur e 4.1. We begin by findin g th e locus V of par amet er values
34 R. C USHMAN , J. H EIUvlA NS, D. K El\I PPAI :>E:--i

line I

line 2
D
03-axis ~A-1!"E~_-"--'--~---"'--~r-

line 3

line 4

Along line 1.

Along line 2.

Figure 4.1. Level sets of Ha3Ji4.

TH E R OLLI NG DI SC 35

Figure 4. 1 conti nued.

36 R. C USHMA N , J . H ERMANS , D. K EI>I P PAI " EN

((73, (74) where H ii 3 ,ii . has a degen erate crit ica l point a. A stra ight forw ard arg ument
shows t hat
2
a il (a) = a il (a) =0 an d det ( a il (a) ) = 0, (39)
aa 1 aa2 Oaiaaj l Si,j ::;2

if and only if
~
a2 = 0, -a
au (_)a = 0, a nd -aa 2 (_)a = O.
2u
(40)
a1 a1
A calc ulat ion shows that t he poten t ial

sa tisfies th e last two equa tio ns in (40) if and only if

6 1 a1 2 ro--::2
-5 a3a4--5 -
1 _- . + Aa1 V1-al1 = 0
ar a3
12 2 4 a1 1 5 - 3ar 2 1 - 2a r (41)
- "5 a 4 +:5 1 _ ar a3a 4 - :5 (1 _ a rJ 2 a3 + A -~/l - ar = O.

But a2 = 0 a nd (41) are t he defining equa tions of t he eigenvalue locus [ V ; thus,

[V is t he locus of points where il sati sfies (39). We determine th e discrim ina nt
l OClLS 15 of t he smoot h family ((73, (74) --+ Hii 3 ,7i. as follows. First , conside r t he real
a na lyti c cur ve B in t he first octant of a 1-(73-(74 space mad e up of half of t he bran ch
B+- of t he eigenvalue locus [V going from (O, O, ~) to (c 1,aj-(Ed , at -(Etl) ,
followed by half of th e branch B++ going from (El, aj+ (Ed , at +(Ed) to (0,0 , v'X) .
Next app ly t he d iffeomor phi sm

;j = ('1'1 2:)- 1: 2: ~ (- 1, 1) x R3 --+ 2: ~ (- 1, 1) x R3 :

(42)
(a1, O, a3 , a4) --+ (a 1,O,(73,(74) = (a 1,O, <P _u , (a3.a4))

to each of t hc cur ves given by reflecti ng B in t he a1-(73 and a 1-(74 coo rdina te
plan es. Because <P U l (35) is a linear map , it follows t ha t (a i , O. <P - u , (7]1 a3, 7]2 a4)) =
(a i, 0, 1]1 (73,7]2(74 ), where 7]r = 1]~ = 1. Hence, t he four reflect ed curves fit toget her
to form a real ana lyt ic locus V , which is singular at (0, ±v'X, 0) a nd (0, 0, ± ~) .
~roj ect V along th e a i-axi s ont o t he (73-(74 plan e to obt ain t he discriminant locus
V . Becau se thi s project ion is a d iffeomorph ism when restricted to B, we ded uce
that 15 is a smoot h circle with singular points at (±v'X,0) and (O.±~) . (See
th e diam ond sha ped cur ve in figure 4.1.)

t> Next we show th at th e function H ii 3 ,ii . on (-1 ,1) x R is prop er except when
((73, (74) lies on two lines ( 1 and (2 (see (43 ) and (44) below).
 TH E R OLLI1\G DI SC 17

(4.l ) Proof. From (37) we see th at Ha3.a, is t he sum of two nonn egat ive functio ns
J( and Ua" .a, . T herefore H a3.a , is nonn egat ive and for every li 2: 0

But
J(-I ([O,h ]) = {(a l ,a2) E (- l , 1) x Rla~ ~ h(l - ail}
is bo und ed in (- 1, l) x R. Hence H~I-
0' 3 , 0' .1
([O , h]) is com pact if U~ I- ([O, h]) is a
0" 3 , 0".1
closed subset of R and hence is compact , t hat is. if Ua" .a, is proper.
To prove th at th e potentia l Ua3,a, is pro per , it suffices to show that each of the
nonn egati ve funct ions x J1=01,
a5(a l :0'3,0'4) and a1(a t:0'3,0'4) (35) is proper
on (- l , I) . Beca use al ---; >-JI-ar has a contin uous extension to [- 1, 1], it is
prop er. From th e asy mptotic prop erties of the function a l ---; a3(a l ;0'3, a.Il (see
ap pendix 1), it follows that its squa re has a cont inuous extension to [- 1, 1] a nd
hence is prop er. Now consider the lines £1 a nd [2 of init ial cond it ions defined by

(43)

(44)

resu ecti vcly. From th e resul ts in ap pe nd ix 1 we know th at if (0'3 ,0'4) E £1 th e func-

tion al ---> a .t(a l : 0'3 ,0'4) has a finite limit as at ~ 1- a nd blows up like ± In H I",
as al ---; - 1+. Also when (0'3,0'4) E £2 , the functi on a t ---> a4(a l ;0'3,0'.Il has a
finit e limit as al ---; - 1+ and blows up like ± In I-!", as a l ---> 1- . Therefore when
(a3,( 4) E [ I uf2 t he functi on at ---; a1(al :0'3,0'4) is not pro per ; t herefore neith er is
t he potential Ua3:a, . For (0'3 ,0'4) rf. f l U f 2, th e function a l ---; aJ( a l ;0'3, 0'4) blows
2
up like ( I n -,: - )
I , 0'1
as al ---> ±I 'F. T herefore ii:':
0'3 ·0'.-
([O.h ]) is a compact subset of
(-1 , 1) and hence Ua;l,a, is pro per. 0

Becau se Ha;l.a, is a proper Morse funct ion when (0'3.( 4) rf. 'DUf l U£2, it has a finit e
number of critical poin ts all of which are nond ogcncr ato. Since a nond cgcncrate
crit ical poin t is isolat ed , th eir number and typ e remain th e sa me as (0'3,0'4) var ies
over each conn ect ed compo nent of R 2 - C DU f l U (2) . (See figure 4.1).
To determ ine th e top ology of th e level sets of t ho Hamilt onian H ch a, as (0':J' 0'4)
varies over R 2 • we need only det ermine th e graph of the po ten tial Ua;l.a,. Our
results are summarized in figur e 4.2.

Let R be th e compac t region bounded by t he discriminant locus 15. First we

det ermine wha t th e gra ph of Us , »; looks like when (03. 0'.1) E .6 t = R - R n (£I U
[2) . We will use singularity t heory to show how (/a 3';7, cha nges along the O'.t-ax is
 R. C USH:\IAN, J. H ER:-'IANS, D . K D IP PAJ:\ E:\

line 1

line 2
a 3- axis A D

line 3

line 4

Along line I. a C
A!

-1 -1 1 -I -I -1

5 E

-1 1 -1 1 -1 1 -1 1

Along line 2.
a C

Ai
-1 -1 -1 1 -1 -1 1

Y 51 E

i
-1 1 -1 1 -I

Figur e 4.2. The pot entia ls Uq, .q, .

 TH E RO LLING D ISC

Along line 3.

-1

a,
Along line 4.
)
-1 1 -1 1

-1 1 -1

Figure 4.2 continued.

40 R. CUSlI l\IAN , J. H ERM ANS , D. KE MP PAI:\ E:\

near (0, ~) where it intersect s 15. (Sec Post on a nd Stewart [16] for bac kgro und
on the sing ularity t heory used here.) The a rgument for t he ot her int ersect ion po int
(0, - lfi),
and for th e int ersect ion points of t he 0'3-axis wit h 15. is similar to the
one given below a nd is omitted .

l> \Ve begin by proving th e smoot h l -par arnet cr family of smoot h even fun cti ons
It -- G, L> where

with a(O ) l' 0 (45)

is versal ncar 0 in th e space of smoot h even functions for all fL ncar O.

(4.2) Proof. Conside r t he Z2-act ion on R generated by 171 ~ - 171 . It suffices

to work in th e space R[[aill of form al power series in th e genera tor ai of th e
algebra of Zz-invariant polynom ials . The Zz-J acob ian ideal :I of Go is genera ted
by DGo = 4a(0) at , since t he vector field D = 171';- generates th e mod ule of Zz-
invari ant vector fields over R[[afJ] . T he maximal ideal M of R[[aill is generated by
a ? Since M Z <;;; :I, th e funct ion Go is z;
l-dotorrnincd . T hus GI' is t he Zz-versal
unfoldin g of Go. 0

From vcrsa lity of the fam ily fL -- Gil it follows that for any smoot h family v -- L ;
of smoot h even functions, whose 4-jet at the origin is close to Go, there is a
local diffeomorphism f) : R -- R fixing th e origin with u( - .1') = - v (x ) a nd a
smoot h map p : R -- R with p(O) = 0 such th at in a neighb orh ood of 0 we have
f) * L p(I' ) = Gil for every fL ncar O. Consequent ly, the gra phs of L pU' ) an d G I , a rc
the sa me ncar 0 for every sufficient ly small fl .

l> To show th at It -> Gil (45) is th e versal normal form of th e smoot h fam ily
0'4 UO ,a. - UO,iT1(0) = Ua• - UiT1 (0) when 0'4 is ncar
-> as= ~. we need only
verify th at th e 4t h derivat ive of Ua4 at 0 is non zero .

(4.3) Proof. By definition of th e potenti al function Ua:l ,a. (3/) .

From equat ions (71) and (74) of a ppendix 1 we obtai n

and
 THE ROLLING DISC 41

hence U!i4 is an even function . Therefore 0 is a critical point for every 0'4 . From
the Taylor series of F (72) and the fact that ~+~ = i +i ~ I¥ we obtain

0
and
CT3(CTtl = - 3 O'4 CT I(1 - CTi ) + ~ CTi + O(CTt)).
Therefore th e Taylor series of Us, about °up through terms of order 4 is

Wh en 0'4 = i7~ = lVi, th e coefficient of a? in (46) van ishes and th e coefficient of

CTt is positiv e. 0

t> We now show th at for every (0'3,0'4) in th e connect ed component of tJ. I con-
taining th e portion of th e O'4-axis where 0 < 0'.1 < i7.~ , th e function U(j4 is a Morse
function with t hree critical points: one of index 1 and two of index O.

(4.4) Proof. Since the fourth derivative of Uan at 0 is positiv e, from (46) and th e
versal normal form (45) it follows th at for 0': slightly less th an i7~ the function
U(j4 is a Morse function with 0 a crit ical point of index 1 and two critical points
±CT~ , CT~ > 0 of index 1. The following argument shows that U(j4 has no other
critical point s. Because U(j4 is even , we need only look at U(j4 on the int erval [0,1) .
Suppose that Ua4 has more th an three critical point s. Let al be a fourth critical
point. Since (0,0'4) rf. V, al is nondegenerate. Because U(j4 is prop er, it has only a
a
finite numb er of nondegenerate critical points. Choose I E (0, a~) as close to 0 as
possible. Then al is of ind ex o. For suppose th at it has index 1. Then th ere must
be a critical point between 0 and al which is nondeg enerate and of index o. This
contradicts the definition of al. Hence al is of index o. By the sam e argu ment
there is anot her critical point 0'1 E (ai , CT~) which is nond egenerate and of index 1.
Let 0'4 increase toward i7~ . Then neither al nor 0'1 can run off to 1. Hence, either
al or 0'1 remain unequal a nd converg e to 0 or a~ or for some i7~ the critical points
&1 and 0'1 are equal. Neither possibil ity ca n occur : th e first becaus e 0 and a~ are
nondegcnerat e critical points and hence are isolated; and th e second because the
resulting critical point is degenerate. But (0, a~ ) E V. Thus neither al nor 0'1
exists. Now suppose that al E (a~ , 1) and al is as close to CT~ as possible. Then al
has index 1. Since (0, (74) rf. €I U €z, the function Us, blows up as CTI -> 1- . Hen ce
there is a critical point 0'1 E (ai , 1) which is of index o. Again let 0'4 incr ease
toward 172. Then neither al nor 0'1 can run off to 1. Rep eating the argument above
shows that th ey cannot fuse or converge to CT~ . Thus th ey do not exist . Hence U!i 4
is a Morse function with three critical points: one of index 1 and two of index 0
for 0'4 slightly less th an i7~ .
42 R. C CSHl\IA N, J . H ER MANS , D. K E ~I P PA I " E "

Becau se UCJ,c, is a proper Morse funct ion for every (iT3, 0 ,il in th e connected
compo nent of 6.\ containing t he portion of t he 04-axis where 0 4 E ( O,a~), t he
potenti al U" J,C' is a Morse fun ction with three crit ical points: one of index 1 a nd
two of ind ex O. 0
A simil ar argument holds for every connecte d component of 6. \ .

t> Next we show tha t 0 is the only crit ical point of Ui7~ in (- 1, 1). It is degenerate
and Ui7~ - Ui7 ~( O ) has a nonzero 4-jet t here.

(4.5) Proof. Suppose not. T hen has a nonzero crit ical point al ' Since (a I, 0,
Ui7 ~
a~) does not lie on the locus D , the crit ical point a\ is a nond egener ate. Choose
a\ to be the closest nonzero critical point to O. Then a\ has index l. Hence for 04
slightl y smaller t han a2, t he funct ion Uc• has a nonzero cr it ical point of ind ex 1.
U".
Since (0, ( 4 ) E 6.\ , by ((4.4)) has a unique crit ica l poin t of index 1, which lies
at th e origin, becau se Uc , is eve n. T his is a cont radict ion. 0

t> We now show th at in th e connecte d component of 6. 2 = R 2 - (R U 1' \ U 1'2)

containing that portion of th e o r ax is wher e 04 > 0'2 the pot ential Uc , is a Morse
function with one crit ical point 0 of index O.

(4.6) P roof. From t he versal nor mal form (45) it follows t hat t here is a neighb or-
hood .Ai of 0 such that for every 0 4 slightly lar ger t ha n a2, th e only crit ical point
of U". in N is O. Becau se t he funct ion Uc , is even, we may rest rict our atten-
t ion to t he interval [0, 1). Suppose t ha t O'~ is a nonzero cri t ical point of Uc , for
some 04 slightly lar ger than o'~ . As in ((4.5)) we may choose O'~ to be t he closest
nonzero critical point to O. Thus O'~ has index 1. Since Us; blows up to + 00 as
0'\ -+ ± 1± , there is anot her crit ical point CT1 between a;and t he closer of -l or
1. Let 0 4 decrease to a-2- Becau se Uc , is prop er when 0 4 > 0'2 and because 0 is
th e only crit ical point of Ui7~ ' one of t he following two situations occur. E ith er for
some o'~ slightl y larger th an 0'2 th e funct ion Ui7 ~ has a degener at e crit ical point
0';
0'\ (t ha t is, th e crit ica l poi nts a nd 0'\ fuse toget her a t (71 ) or a;
an d a\ remain
unequal a nd lie in N (t ha t is, th ey converge to 0). Neit her of th ese possibili ties
can occur : th e first becau se (0'\ , 0, o'~ ) '1. D and th e second by t he const ruction of
t he neighborh ood N .
Since UCJ,c, is proper when (03, 0 4) lies in the connecte d com ponent of 6. 2 con-
taining t he segment (0'2. 00) of the 0 4-ax is, we deduce th a t UC3 .C , has a uniqu e
nondegener ate minimum t here . 0
A similar argument shows th a t t he conclusion of ((4.6)) holds on every connect ed
com ponent of 6.2 . Thi s complet es th e descri pt ion of th e gra ph of UCJ,,,. when
(03, ( 4 ) lies in a connected component of R 2 - (15 U 1'\ U £2)'

We now det ermine what th e graph of UC3 ,c, looks like when (03. (4) lies in 15 U
£\ U £2 .
 TH E ROLLl :'\G DISC

t> fi rst we trea t t he case when (ato-g) E ir = 15 - {(± ..;x, 0), (O,±/Mn T he
3-jet of V" 3'
o ,,0 - Vir" ""( IT?) at th e degenera te critical point IT ~ is non zero . It suffices
4 3' 4
3- t'
to verify th a t g<7~~ (a) is non zero at every point a E [V ' = [ V - {(O, ± v A, 0), (0, 0,

±/Mn.
(4.7) Proof. Let V = - ~II
- a
~)DU
1
(O't
and define W by OBI'
0' 1
1-<7?
I \-1'' . A ca 1cu Ia tion
'
shows th at
~ = --t,
W 10
(1 -
2
IT] ) 1T 4
2
+ "54 ITjlT3 1T4 -
5 --3ar
"51 - '-2
1 - ITI
>+ A (1 - 2az)
ITj
2 R" 1 - lTi· (47)

·
S mce ou () = -&2&U()
-0 (1 1 IT IT = 0, . 0' 1
2 It f0 11 ows t 1iat -0"0 " IT) =
U(
a t'
- ~l I mI' ( )
- a )2 -0 a,
1
0 1
IV1icro

mv ( ) _ .!.Q 2 _ .:L al (5 - 21Tf) 2 § 5 - 4a r 5 - Gar

iio , a - 5 a la 4 15 (1 - lT r )2 IT.l + [i 1 _ 17r IT.JCT4 - A } 1 - ar ' (48)

Note t hat a E [V * if a n only if (4 1) hold s a nd a i' O. Using th e secon d equation

in (41) to eliminate in (48) gives a1

Using t he first eq uation in (41 ) to eliminate 17;ja 4 in (49) gives

2
aw (17 ) = :! a! ( 1T - 3) a2 +! A 17 1 ( 7017 r - 93)
aa j 9 (1 - af)2 .l 9 } l- a r (50)

f ina lly using the par am et rization (33) of [V we obt ain

(51)

whe re 17~ = I,
T, = - 297 + 438ai - 152at .
and
T 2 = 6(ai - 3).

A short argument shows t ha t Tf > Ti b(a r) when l17d ~ C j and tha t sgn T I =
sgn a j . Therefore th e third de rivative of fj at 17 E [V* is non zero . 0

Using singularity theory one ca n show that t he vcrsal norm al form of t he fun ctio n
a(O, 0) 17r , a(O ,O) i' 0, whi ch has a cu bic degenerate critical poin t at 0,
F o,o(lTz) =
is the smoo th 2-param et er family

(52)
44 R. CUS HMAN, J. H ERMANS, D. K E:-'I PPAI" EX

In figure 4.3 we have sketched the discrimina nt locus D and some grap hs of (52) .
Let t : /-l -+ (0'3({1),0'4(/-l)) be a line which int ersects 15* t ransversely at (0'3({10),
0'4({10)), From th e versality of the family (v, '\) -+ Fv .>. it follows th at t here arc
smoot h functions a(p) , V(ll) , ami '\ (p ) such t ha t t he l -par ameter family

(53)

III II

Figure 4.3. The family Fv ,>. , when a(O ,O) < O.

with a(v (/-lo), '\(P o)) '" 0 and v(Po) = '\(Po) = 0 is th e versal norm al form of the
l- paramotor famil y

(54)
near the crit ical point CT? for every /1 near P O. From ((4.4)) and ((-1.5)) we sec th at
th e smoot h curve
/1 -+ (,\(p ), v(/-l)) (55)
st arts in th e region in figure 4.3 above the discrim inant locus D when P < /-lo,
passes through (0,0) when /-l = /-lo, and returns to th e origina l region when P > Po
without crossing D.
We now concent rate on the line £1 : P -+ (0'3(/-l) ,0'4(/-l)) (43) which intersect s the
discriminant locus 15* t ra nsversely when /-l = Po . From ((4,7)) it follows that the
3-jet of U1'0 - U,'o(CT? ) (54) at the degenerat e crit ical point CT? is nonzero. Hence
(53) is the versal norm al form of t he famil y 11 -+ U" - U" o(CT?) .
 THE R OL L ING D ISC 4;:)

t> T he following argument shows that the smooth curv e (55) crosses t he A-axis
transversely a nd t hus goes from th e region abov e the discriminant locus D in figure
4.3 to t he region below as fl increases t hrough /lo ·

(4.8) Proof. From the definition of the line e1 (43) and th e pot enti al Ua" .iT, (37)
we obtain

UI,(ad = 112 [:fh (1 - a~)(P:(ad)2 + ~ (P,,(ad )2] +A VI- ar.

Substituting a3(ad = - ~ II (1 - af)P:(ad , a4(all = II P,,(al) into

dUll 6 1 + 1 al a2 _ \ al
da, - ;; -
v
-2 a3a4
l -a 1
"( l - a 2)2 3 II v ~
0
1 l - a r
a nd combining terms gives

su, () !J
-d al = 20 fl 2 [4P" (adP", (a )
l +al (P"
' (ad )2] - A ~al . (56)
al VI - ar
About th e critic al point a? th e Taylor expansion of Up is

UI,(ad = UI,(a?) + ~~I: (a?)(a l - a?) +O( (a l - a?)2)

= U1,(a?) + (~I (~~I: (a?) ) (110)(11 - fl o) + 0 ((11 - flu)2) ) (al - a?)

+ 0 ( h - a?)2.) , (57)

T he last equ ality follows because a? is a critical point of Up o ' To show that the
curve fl .-+ (A(11) , V(11))crosses th e A-axis tr ansversely at 0 when II = flo it suffices
to show that ;i~ (flo) is nonzero . From (57) and t he versality of (5:1) we see th at we
need only show that U = j/" ( ~~:' (a?) ) (fl o) is nonzero. Partially differentiating
(56) with respect to II and evaluating the result at (a?, 110) gives U = 110 C(a?) , fa
where C (a?) = 4P,,(a?)P:(ajl) + al( P:(a?)f . Suppose t hat C(a?) = O. Since a?
is a critical point of Up o , evaluating (56) at (a?, flo) gives
o
0 - 2- C(a o) _ A al (58)
J l - (a?)2'
2
- 20 flo I

From t he hypothesis an d (58) it follows that a? = O. Using (82) of appendix 1 we

obtain
C(O) = 4 P,,(O)P' (0) = - 4 r(! )r(~) i- 0,
" Ir( ! _~ )12 1r( ~ +1)12

which is a contradiction. Therefore C(a?) i- 0 and thu s j/" ( ~ (a? ) ) (110) is

nonzero. 0
46 R. CUSHMAN, J. H ERMA N S, D. K EM PPAl :\ E:\

I> Now we arc in positi on to show t hat Uit"3 ' it "4 has only one crit ical poin t (7°1 when
(0-°3 ,0-°)
4 E 15** = 15* - 15* n (£I U (2) ' Mor eover , Uit " itO -
3 ' -I
U,,"3 · ,,"-I ((7°1 ) has a non zero
3-jet at (7~.

(4.9) Proof. We begin by notin g tha t t he above discussion shows th at as (0'3,0'4) E

R - R n (£I U ( 2) converges to a point (ag, 0-2) on 15*", two nondege nera te crit ical
points (one of index 0 and t he other of ind ex 1) of Ua3,a4 fuse togeth er to form
t he cubic degenerat e crit ical point (7~ of Uit~ , it~ . Becau se (o-g . o-~) rf. £1 U £2 by
hyp oth esis, it follows t hat Uit~,it~ blows up to + 00 as (71 --> ± 1:F Since U" ~ , "1 has
a cubic degener acy at (7~ , it is st rict ly decreasin g ncar (7~ in one of th e int er vals
((7~ , 1) or (- 1, (7n , depending on th e sign of its third derivat ive at (7~. Therefore
in th at inter val U,, ~ .it 1 has a nondcgcncratc crit ical point a;- of index O. Su ppose
t ha t Ucr~ ,it~ has a nond cgcncr atc crit ical point 0'1 in the inter val (17 1. 1) or (-1 , aJl
which contains (7? Choose 0'1 as close to 171 as possible. Then 0'1 is of ind ex 1.
Therefore for (0'3,0'4) E R -R n( £1 U (2) ncar (o-g ,a~) , t he functi on Ua3,a4 has two
nondcgencr atc critica l points 0'1 of index 1. This is a cont ra d icts ((-1.4)). Hen ce on
th e int er val (0'1 .1 ) or (-1 ,0'1) which contains (7~ , Uitg ,,,~ is stric t ly decr easing. A
similar argument shows th at U,,~ . it~ is st rict ly increasin g on th e interval (- 1, 0'1)
or (0'1 ,1) , which does not contain (7°1, Thus U,,"3' ir -I0 has one crit ical point (7°1 which
is degen era te a nd Uitg . it~ - U"g . ,,~((7~) has a non zero 3-jet at (7~ . 0

We now concent ra te on th e case when (0'3(11) ,0'4(11) ) lies on th e line £1' The arg u-
ment for the other line £2 is similar and is omitted .

I> We first show th at when (0'3(11) ,0'4(11 )) E (R - {OJ) n £1 t he pot ent ial U/-L is a
Morse fun ction with t wo crit ical points: one of index 0 and th e ot her of index 1.

(4.10) Proof. Suppose th at (0'3 (11) ), 0'4(11 )) E (R - {OJ) n £1 is close to (0'3(,Lu)) ,

0'4(110)). From ((4.9)) we see th at U/-L has two nond egcncra tc crit ical points: one
(7~ of ind ex 0 and th e other (71 of ind ex 1. Moreover , between (7~ and (71, U1i has
no crit ical points. Sup pose th at (7? > (71 . Becau se PI.' (1) = 1 a nd P~ (1) = ~ , from
(56) we dedu ce t ha t lim", ~ I - l ~ = -00 . Con sequ ently, th ere is a not her crit ica l
point (7i which is nond egener ate and lies to th e right of a~ . Ch oose ai as close
to a? as possibl e. Th en (7i has ind ex 1. Take (0':l, 0'4 ) E R - (( 1 U (2 ) close to
(0'3(/l)) ,0'4(/l) ). From ((-1 .4)) we kno w that Ua3,a , has only one critical po int of
index 1. This is a cont ra dict ion. Hence (7~ < (71, \\'e now show th at U1l is strictl y
decreasin g on [(7i , 1). Suppose not . Then th ere is a nond egenera te crit ical poin t 0'1
to th e right of ai which when chose n as close to (7i as possible has index O. Because
lim", ~I - ' ~ = - x th ere is anot her critical point 0'1 to th e right of 0'1 of inde x
1. As befor e th is is a cont ra dict ion. Now we show th at on (-1. (7~1 t he funct ion U/-L
is strictly decreasin g. Sup pose not . There t here is a crit ical point 0'1 E (-1 , (7~)
which is of ind ex 1. Again this leads to a cont ra d ictio n. Thus (7~ and (71 arc th e
only crit ical point s of U/-L for IL slightly lar ger tha n 110.
 T HE R OLLI NG DI SC 47

We now show t hat UIL is a Morse function with two crit ical points when (0'3(l l) .
0'4 (11)) lies in R n (e, u ( 2) a nd is n ot close to (0'3(110) ,0'(/1 04)' Suppose th a t Ii is t he
infimum of t he set of all Ii E (0, 1/0) where UIL is a Xlorse function with two crit ica l
points: O"? a nd 0"1. Suppose th at Ii > O. Becau se neither of t hese cr it ical poin ts
runs off t he interva l (- 1, 1) as 11 converges to Ii. th ey must fuse to form a degen-
erate crit ica l poin t a t al . But thi s ca nnot happ en becau se (&1,0'3(1i),0'4(1i)) rf- V .
Th erefore for every JI E (Ii,1/0), U,L is a Morse fun cti on wit h two crit ica l point s.
For Ii slight ly less t ha n Ii but lar ger th an 0, th e argument of th e first par agraph
wit h Jlo replaced by Ii shows t hat Uf; is a Morse funct ion wit h two cr it ical po ints.
This contradict s th e definit ion of Ii. 0

At Jl = /10 two of th e crit ical points of Ull with Jl E (0. Jlo) fuse toget her to form a
degenerate critical poin t O"? where Ull - UIl(O"?) has a nonvanish ing 3-jet .

t> We now show tha t UI , ,, has no ot her critical points.

(4.11) Proof. If it d id, say at &1 i= O"?, t hen &1 is nondcgoncra te. For every JI
slight ly less th an lio, th e functio n UIL has a nond cgoncr atc crit ical point &1(Ii )
which converges to &1 as 11 --; Jlo. I3ut from ((4.10)) we see that for Jl < Jlo every
cri tica l point of U,L conve rges to t he degener ate critica l point O"? as II --; li o. Since
&1 i= O"?, we have a contra dict ion. Therefore UllOhas on ly one crit ical point , which
is degenera te. Therefore th e 3-jet of Ui L - UIl(O"?) at O"? is non zero. 0

t> We now show t ha t if Jl is lar ger th an lio, then UI , has no crit ical point s.

(4.12) Proof. Sup pose tha t Ull has a crit ical point O"? when Jl is slight ly larger th an
110. T hen O"? is nond cgcncrate. It must be of index 0 becau se for every (if:l. 0'4) not
on el bu t close to (0':I(P), 0'4(P)) th e functio n [70', .0', has a unique nond cgencratc
critical point of index 0. Since lim" l _l - ~~': = - x . t he function Ull has anot her
nondcgcneratc crit ica l point 0'1 which lies to th e right of cr? an d has index 1. Hence
for every (0':1 ,0'4 ) not on el but close to (0'3(1/ ),if4(j/ )) th e funct ion UO'".o', has two
nond egenerat e critical points. This cont radicts ((.1.6)). T hus for It slight ly larger
than Jlo, the functi on Ull has no critical points.
Let Ii be th e supremum of th e set W of numbers such that for every 11 E (jIO, Ii ),
t he function UI , has no critical po int s. The sa me argument as in t he preceding
par agraph now applied to UJ; shows that Ii E W . Aga in t his argument applied to
Ii slight ly greater tha n Ii shows t hat Ii E W . Thi s cont radicts th e definiti on of ii·
Hence for every Ii > 1/0, t he function U IL has no critical points. 0

This completes our tr eatment of th e gra ph of UO'3.O', when (0'3 ,0'4 ) lies 0 11 (i l'

Thus we have det ermined t he gra ph of UO'3.O', when (0':1 ' if 4) lies in R 2.

From th e gra ph of UO'"o', it is st ra ight forward to read off the level sets of H O'3,O', '
Thus we obta in figur e 4.1.
48 R. C USHMAN , J. H ERM A NS, D. K EMP PA I:\ EN

4.4 Foliation of redu ced energy sur faces

In t his sect ion we will describ e how t he level set of the reduc ed energy funct ion
H : R4 --t R: ( 0"\ ,0" 2 , 0' 3 , 0' 4 ) --t Hii 3 ;ii , ( 0"\ . a z )
are foliat ed by the integral curves of t he 2-parameter family of Hamiltonia n vecto r
fields X H" 3';;4 ' Because th e flow of t he vector field XH" 3 ;; is not always com-
plete, we must regular ize it a nd also t he red uced energy h . For th e details of
t his regular izat ion , which a mount s to changing t he t ime scale a nd compac t ifying
t he energy sur faces, see a ppe ndix 2. The results of our a nalysis is given in figur e
4.4. From now on we will assume t hat the vector field X H ;;3';;4 and t he energy
funct ion H have been regularized . From th e const ru cti on of t he 2-par amet er fa m-
ily (0'3 , 0' 4) --t H a 3 ,a 4 ( a \ , 0"2 ) of Ham iltoni ans in sect ion 4.2. it follows th at the
funct ions H a 3 •a 4 , 0' 3 and i'T4 on R 2 with coordinates ( 17\ , 172) are cons tan t on t he
integral curves of X H;;3';;4 ' T herefore we define the integral ma p

J : R4 --t R3 : (0" 1,0" 2 ,0'3 .0'4) --t (H a 3 ,a , (0"1, 0"2 ).0'3 ,0'4)' (59)

T his map encodes all the qualitiativc behav ior of t he 2-parameter family of vecto r
fields X H" 3'''4 ' Our tas k is t o find the image of J , describe th e topology of all of
t> its fibers, and show how th ese fibers foliate a level set of H. We begin by
observing t hat th e point (O"? ,O"~ , at(j~) is a crit ical point of th e int egral mappi ng
J if and on ly if (a ? ,O"~ ) is a cr itical po int of th e Hamiltonian Huo uo .
3' ,

(4.13) Proof. Prom

(
DH ( 0") OH (0" ) OH (0")
8 <71 0 <72 u a3 ' "4 (a )
0<7 )
rank D J (a ) ran k 0 0 1 0
0 0 0 1

)
8 H"3 ';;' ( 17 ) OH"3 '''' ( 17 ) 0 0
0<71 1, 0"2 8 <72 1. 0"2
ra nk ( 0 0 1 0
0 0 0 1
th e assert ion follows. 0
Therefore th e set CV of crit ical values of J is t he image under J of th e set of crit ica l
poi nts of H ii3 ,0'4 as (0'3,0'4) var ies over R 2 . Let CVh be th e h-slice of CV forme d
by set ting t he first coordina te in R 3 equa l to h . (CVh are th e dar kened cur ves in
figure 4.4) . To obt ain th e crit ical locus CVh we first find a param etrization of th e
critical points of th e regular ized energy funct ion F h = (1 - ai)(H- h) usin g (38)
and t he first two equat ions of (40) . On t he piece of t his locus in t he first octant
of 0"\-173- 174 space we apply t he diffeomorphism ;;; (42), reflect t he result in th e
coordinate planes of 0"\ -0'3-0'4 space , a nd th en project onto th e 0' 3-0'.1 plan e. From
t his procedure (which we car ried out num erically to produ ce figure 4.4) we see
t hat CVh is a unio n of finitely many piecewise rea l analyt ic curv es. Let V h be t he
 TH E RO LLING DISC 40

h =9 h = 10 h = 10.3

', 13 12
(9)( 7)
" 13
(9 ) ( 7) I~
( ) "9
12
(8 ) (8)
It 5 It 7 I 13 It
'5
(6) (1 ) (1 1) (1) ( 4 )( I~P) (I )
h = 10.617....

Figur e ,1.-1. T he bifurcation dia gram for half of a h-slice of t he integral map J of
th e rolling disc. Here ,\ is equa l to 10. The dar kened curves are the critical values of
J in the h-slice a nd th e numbers in pa re nt heses under th e vcrt ical Iiucs correspond
to t he row of table 1.
50 R. CUS HI\IA N , J. H ER1\IA NS , D. KE1\IPPA1:\"E:\"

h = 10.8

h = 11 h = 11.5 h = 12.5
'6
(5)

" ' . I) I, I. I)
(3X2XI0)
(3 ) (2)( 10)
1, /, 1,
(4) (I ) ( 4)

Figure 4.4 cont inued .

 TH E ROLLI NG DI SC 51

largest connected region conta ining th e orig in which is bounded by a subset of the
real ana lyt ic cur ves makin g make up CV". Then V " is a n h-slice of th e image of
J . Since F" is a proper map , the j)reimage of 0 is a comp act subset f{" of n-.
Hence 1/J( K h ) is compact. Since J( 1/J(K,, )) = V" , we sec t hat V " is compac t. From
t he definition of t he int egra l map J it follows th at for every hER and every
(0'3,0'4 ) E V th e fiber of .1 over th e poin t (h ,O'3,O'4 ) is th e O-lcvcl set of F", which
is th e regulari zed h-level set of H'hO', ' From figur e 3.1 we sec t hat every such level
set is a fini te d isjoint union of one or more of th e following sets : a point (pt) , a
circle (5 1) or two circles joined a t a point (5 1 V 5 1). Having det ermined th e fibers
of J over every point of V " (aga in we used a compute r here to help to dr aw figur e
4.4) , we must find ou t how they fit to gether. Fir st. we look at the fibers over a 0'3-
slice of V " . We dr aw th e following diagram . (Sec tab le 2). Whenever th e O':J-slice
int ersect s th e critical locus CV" we d ra w a point in th e diag ra m. Und er eac h point
we write th e topo logical ty pe of the fiber of the map .1 over th at point. Next we
join two consec ut ive point s of th e di agram wit h a line segment if the por tion P of
th e 0'3-slice between t hese two points lies in V" . Above this line segment we write
th e topological type of a fiber of .1 over a point of P . This typ e do cs not depend of
t he point chosen on P , becau se P lies in th e set regular values of .1. An inspection
of figur e 4.4 shows th at only th e diagram s appea ring in t he first column of tabl e
1 occur .
To obt ain th e topology of th e 2-manifold s defined by t he preimage of th e
O'3-slice of V", one can d raw pictures or more rigorously usc a formula of Viro [19]
to compute th e Eul er cha racte rist ic.
We now have to piece together th e topology of th e fiber s over t he 0'3-slices
of V" to obt ain th e topology of th e regu larize d h-Ie\'el set of t he energy. Let ct"."
be th e set of points in V " which lie on or to the right of t he ver tic al line CO'" in th e
0'3-0'4 plan e. In figure 4.'1 as 0'3 decreas es to 0 we obtain t he following sequences for
the topology of J - 1 (C~",1J (Sec t abl e 1.) From the sequences in the first column of
tab le 1 and using th e axial symmetry of V" in the 0'4-axis. we sec t ha t (F") - I (0) is
th e union of two copies of J - 1 (ct ,,) glued along th eir boundar y, This exp lain s the
entries in rows 1 a nd 2 in t able 1: To expl ain th e entry in row :3, think of a height
function on 5 3 with 4 nond egenerate critical point s: two of ind ex 3, one of ind ex 2
and one of index O. (The sit ua t ion on 5 2 is easier to visualizo.) The point s on 5 3
above a fixed height (which is greater th an or equa l to th e height of the equa tor )
gives th e sequence in row 3. Th is is an example of th e well known ph enom enon
of cancellation of critical point s in Morse theory (sec Xlilnor [12]). Even though
th e regu larized energy level set (F") -I (O ) is topolo gically a 3-sphere for every
h > ..\. th e fibration of (F" )-I(O ) by regularized integra l cur ves of X u 0"3- _ with
, 0' ",

(0'3, 0'4) E V" changes as t he topology of th e set of crit ical values CV" cha nges.
We now explain th e origin of three bifurcati ons in th e geometry of CVh which arc
clearly visible in figur e 4.4 .
l> T he first bifurcation is is th e appeara nce of sect ions of two symmet rical swal-
lowt ail sur faces as h decreases through -M ..\ and ~ /\ . Ph ysically when h decreases
52 R. C USHMA N , J. H ERM A NS, D. KE1\lPPAI :\ EN

Sequence Top ology

1. pt U pt , [) 3 U [)3
2. pt U pt , [)3 U [)3, [)3 V [)3
3. pt U pt , [)3 U [)3, [)3 V [)3, [)3

Table 1. Topology of regulari zed energy level set (F h)- l( O) .

Diagra m Topology
1. e e pt Upt
pt pt

S'
2. e ---e
pt pt

3.
s'
e - -- e - - - e - - - e
Sl s'

--------.
pt s' s' pt

s' U Sl Sl Sl U Sl
4. ..--
pt U pt s 'vs l s 'vs ' p l Upt

5. e - s'
- -. s' U s' ..-.....---
s' s' U s' _Sl_ .
pt p t US I S I VS ' S I VS ' pt U s ' pt

S' U S'
6. e e
pt U p t pt Il »
8' S'
7. e---_e
pt pt U p t pt

5' S'
8. e---e e - - -e
pt pt pt pt

9. e --5' - . S' U S' • S' •

pt pt U s' pt U S ' pt

10. e- s'
- S'
-e - - -e
pt pt pt

s' U s' s' U s'

11. • • •
p t U pt s' vs ' pt U pt

e---.
s' s' U s' • s' U s' a - -s'- e
12.
pt p t US l s' vs' p t Us ' pt

Tab le 2. Diagr am of a li'3-slice of V /t and top ology of preim age under th e map J
of thi s slice. The symbol U mean s disjoin t uni on and th e symbol \' mean s uni on
with one poin t in common.
 THE ROLLI NG DI SC 53

through #.\ t he ver tically spinning disc losses sta bility : whereas when h decreases
through ~ .\ t he vertically rolling d isc losses stability. Th e second bifurcation is t he
appearance of a topological circle of critical point s which springs from the origin
as h incre ases through the value .\ . The third bifur cation is th e pairwise fusion of
two swallowtail cusps at h = 1.0617 . . . .\ . Her e th e tilt ed rolling disc gains stability
as h increases through 1.0617 . . . .\ .

(4.14) Proof. The proof of the first two bifurcations begins with find ing th e Taylor
expa nsion of the regularized Hamiltonian

F h(aj , a2,0'3,(1'4) (1 - aD(H - h) = ~ a? + It a5(al ,0'3,0'4)

+~ a~(al ,0'3 '0'4) + .\(1 - a?)3/2 - h(l - a? ) (60)

about (0,0 ,0'3.0'4) up through terms of ord er fOUL Using th e results of append ix
1, a calculat ion gives

0'
F h (a I, a2,0'3, 4) ~ a~ + (It 0'5+ ~ O'~ + x- h) + (- ~ 0'30'4)al
+( f, 0'5+ ~ 0'; - ~ .\ + h )a? + (- fg 0'3 0'4)af
+(- rs 0'5+ ft O'~ - ~ .\)at + O(a~) . (til)

When h = N.\ and (iT~ ,iT~) = (± v0: ,0) or when li = %.\ and (O'g ,(f~ ) =
(O,±~) , using (61) it is stra ight forward to check that th e 3-jet of F h at (O, O, iT~ ,
iTg) vanishes and th e 4-jet docs not. From singul arity th eory we know that th e ver-
sal unfolding of g(aj ,a2) = ~ a~ + aat with a i= 0 is

! (aj ,a2) = ~ a~ + e + do , + ca? + baf + aat . (62)

After rescalin g and translating aI , (62) becomes

F(aj ,a2) = ~ a~ + C + Bo , + Aa ? + at . (63)

h
Thus th e versal normal form of F is given by (63). Using (61) th e parameters
A , B , C are explicit ly known functions of h, 0'3, 0'1.
As a function of A , B , C th e
critical values of F corresponding to critical po ints in F -1 (O) form a swallowt ail
surface . This proves the ex isten ce of the s wallow tail s ur faces in figure 4.4.

To explain th e appea rance of th e circle of critic al points corning from th e origin ,

we know th at F;3 '~" has a cr it ical poin t when

o =
(64)

o
54 R. C li SH lvIAf' , J. H ERlvIA NS , D. KE lvlPPAJ :\ E:\

Since F(~ ,O) = °and

rPFA
~(O. O) = 2 ( ~ O'~ + ;! 0'2 - ;! ,\ + h)'
UO" 12 ' 5· 5 4 2 1(<13 ,<1. ) = (0 .0)
= -,\ < °,
(65)

t he imp licit funct ion t heorem gives a smoot h functi on (TI = si h , 0'3 , 0'4) with = °
s( '\, O, O) such t hat for every (h,a3, a4) near (0, 0, 0), t he point p = (8(h, a3,a4), 0)
is a cri tical point of F{~ .o) near (0. 0) . In orde r t hat p lie in (F h );;:.<1) O)

° h
Gh(a3.a4) = F (s(h,a3,a4),0,a 3.a4)
(fa 0'5 + ~ a~ + ,\ - h) + ( -~ a30'4)8(h, 0'3, 0'4 ) + O (a~ + a~),
usin g (61).
(fa 0'5 + t a~ + ,\ - h) + 0 ((0'5 + a~ ) :l/2) ,
since 8('\, 0, 0) = O.

From (65) it is obvious t hat (0, 0) is a nondegenerate critical point of G h of index

0. Therefore, using th e Morse lemma , we find t hat for every h slight ly lar ger than
'\ , th e level set Gh l(O) is diffeomorphic to a circle e
in t he 0'3-0'4 plan e. From
D2 F A D2F A
. - (0. 0) = o.. and -=-~
o
(65), "7-1 D-
(1(
o (72 o . o (0, 0) ~ 1 it follows that cverv",. crit ical point of F h
(72

corresponding to (0'3 , 0'4) of e is nond egenerate and of index 1. T his proves th e

existe nce of a circle of cr itical point s of Fh in figur e 4.4.
To explain th e pairwise fusion of two swallowtail cusps, we look at th e locus Eh
of eq uilibrium point s of th e redu ced vector field V of red uced energy h which is
defined by equat ions (30) of sect ion 3.1 a nd (19) of sect ion 2.-1. These eq uat ions
can be solved to give

an d
±( I (TI ±( 5
(T4 h ,O"d = 6 - - 20"3 h ,O"d - 6 '\ ±
0" 1
V~
1 - O"j
1 - (T I (T3 (h ,O"d
where I(TI I < 1 and

~ (h,(Td = 12'\h (70"~ - 6))1- (T~ + (1 - (T~ )[36h2 +,\2 (36 - 5-10"~ )1 2: 0,

which are a paramet rization of th e br an ches of Eh . The image of the piece of Eh in

th e first octant of 0"1 -0"3-0"4 spac e und er th e diffeomo rphism ;:: (see (-12) of sect ion
4.3) gives a branch of th e critical valu e locus ev of the integral map J . The ot her
bra nches are obtained by reflect ion in th e h-a3 and h-a4 plan es. For a fixed value
of h, th e cusp points of t he h-slice eV h of ev occur when two br anch es of ev
coincide, t hat is, when
~ ( h , O" d = 0. (66)
 TH E ROLLI NG DI SC 55

Furthermore t wo cusp s coincide when these two br an ches coinc ide with multiplicity
grea ter t ha n 1, th at is , whe ng;;
= O. This is equivalent to

0 = - 12ft.>- ~
1 - 0-
+ 168ft'>- 0-1)1 - o-r + 360- d6.>-20-i - 5.>-2 - 6h2 ] . (67)
1

Solvin g (66) and (67) gives (It,o-d = (.>- , 0) or (is

} 552 - 22380-; + 12600-t . o-d
where .r = o-r is the unique positive root of 1 5x~ - 38.r 2 + 26x - 2 = 0 , which is
ap proxima tely, (1.0617'>- , ± .296307).
This com plete s t he proof of th e bifur ca tions in figure 'I.-I. o

5 Reconstruction
In thi s section we reconstruct th e ph ysical moti on of the disc corresponding to a
relativ e equilibr ia. It turns out th at the motion can be described by two a ngles.
This is related to general th eorem about reconstructi on of the motion of relati ve
equilibria. In our case th is t heorem says th at the mot ion through a relative cqui-
lihrium is quasi-p eri odic on a two dimen sion al toru s (sec Herman s [8, Theor em
2.2.1]).

l> Consider a prin cipal C -bundle wit h tot al space C . base spa ce J1£, and bundle
pro jecti on map To : C -+ M . Suppose that C is a compact connec ted Lie gro up
of rank r and suppose that th e Coact ion <I> on C is free a nd proper. Let V be a
C-iavarian t vecto r field on C wit h flow ,/ . Hence V induces a vector field V on
AI. Assuming t hat the monodrorny element associated to a relativ e equilibrium is
scmis implc, we have

(i) the motion t hro ugh a relative equilibrium is qu asi-p eriod ic on a torus of
rank r.
(ii) if the reduced flow is periodi c then t he moti on in C is qu asi-peri od ic on tori
of d imension r + 1. The number of param et ers t he vector field on t hese tori
dep ends on is equa l to the dimension of l\l minus 1.

(5.1) Proof. See [7]. o

We ca n weaken the compac t ness condi tion on C in ((5.1»). T he esse nce of th e pro of
of ((5.1) is to cons ider the mon odromy element : na mely, th at clement It E C for
whi ch <pT(C) = <1>/,(c), where T is the peri od of th e orbit through 7l'(c) of t he
reduced vect or field . To ca rr y th rou gh the arg ument in ((5 .1)) it is sufficient t ha t
the cent ra lizer of a generic monodrorny element in C is com pact. In the case of the
disc C = £ (2) X 5 1. Hen ce we need to verify whether th e cent ra lizer of an clement
(A,a) E £ (2) is com pact. If A of I the centralizer of (A. a ) is
{ (b, B) E £(2) Ib= (A - 1) -I (B - l)a }, (68)
56 R. C USHMAN , J. H ERM A NS, D. K EM PPAI :\ E:\

which is ditfeomorp hie to a circle . Lookin g at th e action of £ (2) on R3, we see that
t he group orb it (B, b) . x is a rot ati on about th e point (I - A )- la. If A = I a nd
a i' 0, th en t he orhit is t ra nslat ion hy a ny vector in R 2 x {O}.
Consequent ly we see th at all redu ced per iodi c orbits corres pond to quas i-periodic
moti on on th ree dimensiona l tori inside th e const raint manifold . The tor i are easi ly
interpret ed in term s of th e physical motion. On e a ngle 1/; measures th e a mount th e
disc has rota ted about its vertical principal ax is. Another an gle 'P measures th e
position of the point of contact , a nd t he t hird an gle 8 measures the wobbling of
th e disc with respect to th e vertical.
The three dimensional tori lie a round the two dimensional tor i comming from th e
relative equilibria . Since a 3-toru s is det ermined by a single per iodic orbit in t he
redu ced space we have a t hree parameter fam ily of tori . The three par am eters
are t he energy and th e two int egrals coming from Legend re's equ ation . T he eight
dim ensional constraint ma nifold C is filled up by the th ree par am eter fami ly of 3-
to ri. The remaining two dimension al gap is explained by th e act ion of th e remaining
of t he symmetry grou p (£(2) x SI) jT 2 , where T 2 is t he 2-tor us coming from t he
two dim ension al cent ra lizer of monod romy element 11.

App endix 1 Asymptoti c behavior

In thi s appendix we study th e asym ptot ic behavior as 0"1 -> ± 1:;: of solut ions of
th e tim e dependent linear syste m

(69)

which has regular singular point s at 0"1 = ±l. The main result is th at on two lines
of initi al conditions 0"4 is bound ed at one endpoint , wher eas in all ot her cases it
has a logari thmic singularity at both end points.
Since

(70)

0"4 sa t isfies Legendre's equation wit h par am eter v = - ~ + i ~ I¥,because v (v +

1) = - ~ . A general solut ion of (70) is given by

0"4(O"d=A F(~+~,-~,~ ;lTn+ BO"I F(~ - ~ , ~ +l. ~ : lTn , (71)

where A, B E R and

~ (a)k (b)k k
F(a , b,c ;z) = Z:: () k l Z a, b,c E C (72)
k=O C k .
 TH E ROLLI NG DISC 57

with (a)k = ala + 1) · ·· (a + k - 1) is th e hyp ergeometri c function. The function

F is holomorphic in Izi < 1 and sa tis fies th e differential equat ion
d2F dF
z( 1 -a)~+ [c - ( a+ b + 1)z] dz - UDZ= O. (73)
2
, -. (a) k (b)k l(a )kI
1111. \\ hen
.
sec a = b and C IS real , th en () = - (-) '- IS real and hen ce
e ke k
Fia .l), «: z) is real valued on (- 1, 1). Note th at ~ + ~ = - ~ a nd ~ - ~ = ~ + 1.
T hus (71) is real valued when lad < 1. Sub sti tuting (T1) into th e second compo-
nent of (44) gives

a3(a)
l = - ,3A a l ( 1 - a 2) dF (" 1 " I 2)
l da 2 2 + 2'- 2-:i ;a l
I

-~ B( 1 -a~) F( 1 - ~ ,~ + 1,~; a~)

dF (I
- 3B a 2(1
j -at2) -d22 - 2"'"2 ' , 1·2:1 ., a 2)
l · (74)
al
From (Tl) and (74) we obtain th e initial cond it ions

0'3 = a3(O) = -~ B F (~ - ~ , ~ + 1. ~ : O) = -~ B
(75)
0'4 = a4( 0) = A F(~+~, -~,~ : 0 ) = A.
Let 0 (z) = f '( z)/r( z) . Using th e series [1, formula 15.3.10 on p. 559)
F(a ,b ,a +b;z ) =

~ (a).. (b)k [
r( a + b)
= r(a )r(b) t:o (k!)2 '1jJ
(r( k + 1)2 )
r(a)f(b)
] k
- In( l - z) (1 - z) , (76)

which converges when 11 - zl < 1 and [arg z ] < 7[ . We obtain th e formula:

r(a + b) [. i ( f (1)2 ) ]
F (a.b ,a +b;z ) = f (a) r( b) Ii' r( a )f (b) - In(l - z) +

+ O ( (1 - z) In(l - z)) (77)

and
dF r( a + b) [ 1 ( r(2)2 )]
dz (a.b .a +b:z ) r( a) r(b) 1 - z + In(l - c ) + ab ib r(a )r(b) +

+ O ( (1 -z ) ln( l -z ) ). (78)

Sub stituting (77) a nd (78) into (74) gives

58 R. CUS HMAN, J. H ER r-IA NS, D. K EMPPAIN EN

as a l -> ± I T. Thus for every initial condition (0'3, 0'4) th e function al -> a3(a l ;
0'3,0'4) rem ains bounded on [- 1, 1]. Substituting (77) and (78) into (71) gives

a4(a tl ~ ct + c; In _ 1_2 (80)

1 - al
as al -> ±I T. Here

C±=A r( ~ ) ±3B f{~) (81)

I f{~ + I )f{ - ~ ) f{ ~ - ~)f{~ + 1)
Suppose t hat al -> 1- . From th e fact t hat
f{~2 ) 1
I P, (0) and -2 P~ (O) = (82)
:2 v = r O - ~ ) f{ ~ +I )
where
Pv(z) = F( -v,v + 1, 1; ~ (1- z))
on 11- zl < 2, see [11, formulas (7.66) and (7.68) on p. 178], it follows that = 0 c;
if an d only if A = II Pv(O) an d B = IL P~ (O ) for every /L E R . In view of (75) an d t he
definit ion of th e line l' 1 (43), we see t hat t he function al -> a4(a J:O':l , O'4) remai ns
bo unded as III -> 1- if (0'3 ,0'4) lies on t he line l' 1' If C + =F 0, t hen it follows from
(81) th at a4(atl has a logrithmic singu lar ity at 1. More precisely.
+ 1
a4(atl ~ Co + C+ In - - as al -> 1- .
1- a l
T herefore the funct ion a l -> a4(a l; O'3 ,O'4) remains bo unded as a l -> 1- if and
only if (0'3,0'4) lies on t he line l'1' A similar argu ment shows t hat t he function
a l -> a4(al ;O'3 ,O'4) rema ins bo unded as III -> - 1+ if an d on ly if (0'3 ,0'4) lies on
the line l'2 (see (44)). If (0'3 ,0'4) does not lie on t he line l'2 then
1
a4(a tl ~ Co + C- In - - as al -> -1+ .
1 +al

Appendix 2 Regul arization

In th is ap pe ndix we show how to regularize t he fam ily of Hamilton ian vector fields
X H "3'''' on (- 1, 1) x R wit h symplecti c for m I-!"r dill 1\ da z corr esponding to th e
2-paramcter famil y of Ha miltonian functio ns
I a~
H ii3;ii, (al , az ) = :2 -1--2 + Uii3,ii,(al )
-al
_
-
I a~
1- a l
I 1
1- al
2 - - 3 2' - -
:2 - - 2 + fQ - - 2 a3( al, a3, a 4)+g a 4( a l ,a3 , a 4) + '\
R I -a l ·

The integral curves of X H"3' '4 satisfy

-do , = ( I- a 2) UH'i73 .ii,

l ---
da2 = - (1 _ ail o Hiij.ii, . (83)
dt ua2 dt oal
 TH E ROLLI NG DI SC 59

Th e flow of X H"3'''. is no t defined for all time, becau se for some initi al conditions
th e disc falls flat in finit e time. After regularizati on thi s docs n ot occur.
To begin th e regulari zation pro cess we rest rict our at te nt ion to the h-level set of
H(i3,'5. when h ~ O. Look at th e function

(1 - O'i )(H(i3.iY• - h )
~ O'~ + To O'~ (O'I ' 0'3, O'.ll + ~ (1 - O' i ) O'~(O'I' 0'3 , O',ll + ,\ (1 - O'i)·1/2.

On Hii3~ '5, (h ), considered as a subset of R 2 wit h symplectic form do , II d0'2 , Hamil-

ton 's equa t ions defining th e inte gral cur ves of X F!: _ arc
""3 . a~

(84)

since we have restricted th e equations of moti on to th e level set Hil~iY, (h). Th ese
ar c th e same equ ations as (8:3) . Becau se F.!! - is a once differentiable at 0'1 = ± I.
F!! - is th e regulari zati on of H~
O':j , O'-:I
1_ on H~~~ (h ).
0' ;1,0' 4 0"3 ,0'4

t> Note th at th e O-level set of F~3 ,'(i. is compac t. having been obt ained by adding
th e points (± 1, 0) to Hii3\. (h).

(A2.1 ) Proof. Since 0 = (1 - 0'f)U1iY",iY, - h) if and only if (J' I = ± 1 or HiY",iY. = h,

we see th a t {F~3 'iY. = O} = {O'j = ± 1} U {H5".'5. = h} .
Because H iY3,'5. is nonnegative,

ll'5".'5. =h} ~ {0'~ ~ 2h(1 -(J'i)} u({U"3 '5.~h}XR)

~ {O'~ ~ 2h (1- O'i )} U ((-1.1) x R).

Consequentl y. F~3 .'5. = O} ~ ( [-1. 1J x R) U {O'~ :s 2h (1 - O'f)},

which is compac t . 0
T herefore th e flow of X F.!c _ on th e O-level set of F; 3.'5. is defined for all tim e,
17 3 · '7 4 '
tha t is, th e vector field X F.!: _ is complete .
"3 ·0' 4

Acknowledgment. We would like to th ank Prof. J .J . Duist erm aa t of t he Universit y

of Ut recht for giving us a copy of his note s on th e rolling disc. Thi s was th e starti ng
point of our resear ch . The Lie group formulation of the problem given in section
2 is due to him .
60 R. CUSHMAN, J. H E R MA NS , D. K E ~I PPAI :-; E :\

References
[1] Ab romowitz. Xl. and St egun , I., "T he Handbook of Mathemat ica l Functions" , Dover ,
New York , 1972.
[2] App ell, P. 1900: S ur I'integration des equations du m ouvem ent d 'un corps pesan t de
revolution roulant par un e crete circulaire sur un plan horizontal : ces particulier du
cerceau, Rend . Palermo vol 14, 1-6 .
[3] Arnol'd , V.I.. "E ncyclopaed ia of Mat hemat ical Sciences" , volume 3. Dyn am ical S ys-
t ems , III, Sprin ger Ver lag, New York , 1988.
[4J Birkhoff, G. D. 1915: Th e rest rict ed problem of three bodies, Rend . C irc. Mat.
Paler mo, vol 39. 265- 33'1. == Collected Math ematical Papers , American Math emat i-
cal Society, New York , 1950; vol 1, 682- 751.
[5j Cha plygin, S. A. 1897: On the m otion of a heavy body on a horizont al plane,
P hysics Secti on of t he Imperial Frien ds of Physics, Ant hro pology and Et hnograph-
ies, Moscow 9. Reprod uced in Selected Works on Mechanics and Mathematics , State
P ubl. House, Technical T heoreti cal Literature, Moscow 1954, 413- 42.i . (bot h in Ru s-
sia n) .
[6] Ferr el'S, N. 1\1. 1872: Extension of Lagrange 's equations , Qu ar tely Journ al of Math-
ema t ics, vol 12. 1-5.
[7j Her man s, J. 199.i : A symmetri c sphere rollinq on a surface, Nonlinearity , 8 (4),
493-5 15.
[8] Herman s, J. 1995: "Rolling Rigid Bodies with a nd wit hout Symm etri es" , P h. D.
t hesis , University of Ut recht , ISBN 90-393-0680-X .
[9] Kem ppainen. D. 1993: Master t hesis , Univers ity of Ca lgary.
[10] Korteweg, D. J. 1899: Uber ein e ziem lich verbreitete unri chtige Behandlungsweise
ein es Prcblems der rollend eti Bewegung, Nieuw Archief voor Wiskunde, 4 (2) , 130-
155.
[11] Leb ed ev, N. :\ .. "Special Fun cti ons a nd th eir Ap plicat ions" , Dover. New York, 1972.
[12] Milnor, J ., "Lectur es on th e h-cob ord ism t heorem" , P rinceton Universlty P ress,
Princet on , N.J .. 1965.
[13] Moshchuk , N. K. 1988: A qualitat ive anal ysis of the m otion of a heavy solid of
revolution on an absolutely rough plane, J . App!. Mat h. Mech. (2) 52, 159-1 65.
[14J Neirna rk, J. I. and Fufaev, N. A., "Dyna mics of Nonholonom ic Systems" . Tr a ns-
lat ions of Mathemati cal Monographs , volume 33, American :\Iat hemat ical Society,
Providence, R.I.. 1972,
[15] O'Reilly, O. 1995: The dynam ics of rolling disks and sliding disks. prep rint , Depart-
men t of Mechanical Engi neering, University of Ca liforn ia, Berkeley.
[16] Post on. T. and Stewa rt , I., "Taylor Exp an sions and Ca tastrophe Theory" , P it man ,
London , 1976.
[17] Rout h, E . J .: "Advanced Dyn amics of a Syst em of Rigid Bodies". Sixt h ed it ion,
Dover, l':ew York. 1960.
[18] Vierkandt , A. 1892: Uber gleiten de un d rollend e Bewegung. Monatsh. f. Math . u.
P hysik, vol 3. 31-54, 97-1 34.
[19] Viro, Ya., Som e integral calculus based on Eu ler characteris tic, in: "Topology a nd
Geomet ry - Rohlin Seminar " , Lect ure Notes in Math emati cs, vo!' 1346, 1988, 127-
138.
Progress in Nonlinear Differential Equations
and Th eir Applications , Vol. 19
© 1996 Birkhliuser Verlag Basel/Switzerland

Testing for Sn-Symmetry with a Recursive

Detective
Karin Gat ermann"

Abstract
The th eory of the sy mmet ry incr easin g or decreasi ng bifurcation s of a n at -
tractor in sym met ric dyn ami cal sys tems has been st ud ied intensively. Special
funct ions called det ectiv es ena bles one to deter min e t he sy m metr y pr oper-
ties of a certain attractor. B ut it ca n be difficult to find a det ective a nd
moreover t he numerical eva luat ion ca n be costly . Representati on theor y a nd
invariant theor y ar e used to deri ve efficient method s. A method is p ropose d
to eva lua te a det ecti ve recursi vely for th e sy mmet ric gro up S" . Com par ision
shows t ha t this is very efficient bo th in C PU tim e an d in storage .

1 Introduction
Th e th eory of the symmetry increasing or decreasing bifur cat ions of an at t racto r
in symmetric dyn amical syste ms is largely complete , see [12], [6], [9], [10], [5],
[20], [3], [13], [4]. Given a symmetric dynamical syste m, t hen th ere exists a set of
function s, called det ect ives t hat ena bles one to determin e th e symmet ry proper ties
of a cert ain at t rac to r. However , in a pr actical sit uation it ca n be difficul t to find
thi s set of detect ives wit hin a reas ona ble amount of t ime. Fur thermore it can be
quite cost ly to evaluate them on an attract or in ord er to determine its symmet ry.
The aim of th e article is to present an efficient numerical method to obtain a
set of detectives for a given symmetry grou p. The methods are from repr esenta tion
th eory and invar ian t th eory. In connect ion with the latter, th e recently develop ed
algorithms for polynomial rings are very useful. Applying th e results t o the gro up
B" shows that th e presented method can be very efficient ind eed.
Secti on 2 int roduces th e concept of det ectives and gives a precise definition.
Then some aspect s of using th em to det ermine th e symm etry prop erties of a given
set (attractor) are discussed. As an exa mple and for lat er use two possibilities of
detecti ves for B" are given.
• Konrad-Zuse-Zentrurn fiir Informati onstechnik Berlin, Heilbronner Str . 10, D-I0 711 Berlin-
Wilmcrsdorf, a nd Freic Universitat Berlin , Institu t fur Mathemarik I, Fachbereich Math ematik
lind lnformatik, Arn imalle 2-6, D-14195 Berlin
62 KARI N GATERI\IAN N

In section 3 the structure of the det ect ives themselves gives rise to decom -
position properties th at ca n be used to express th e detectives in a sma ller set of
functions. This property turns out t o be very powerfu l for th e group 5 n since it
allows one to recursively define th e det ectives. This is t he subje ct of section 4.
First I pres ent th e recursion for the detectives, which is then applied to an array
of Josephson j unctions with 5 10 symmetry. Compared to previou s results in [25]
for 54 and 55 th e recursive method turns out to be very efficient both in CPU
time as in storage.

2 T he concept of detectives
In this section t he det ection of the symmetry of a tt ractors is recalled .
We ar c int erest ed in dynami ca l systems

i: = f( x ,>,,) , x E Rn, >.. E R (1)

or discrete dyn ami cal syst ems

x k = f( x k - 1 , >.. ), x E Rn, >.. E R (2)

which ar e equivariant wit h resp ect to a faithful , orthogonal representation {} : G -->

Gl (Rn) of a finit e group G. In th e following {} always refer s to this representation.
To make th e notion of eq uivariance more precise we give th e following defi-
nition.

Definition 2.1 (f16J) Let {} ,p be two representations of G . A ex function h is

called {} -p-equivariant, if

h({}(t)x) = p(t)h(x) Vt E G , v x ERn .

The mapping fin (1) or (2) is assumed to be {}-{}-equivariant which usually

is called G-equivariant.
In [6] at tractors which do not lie completely in a fixed point spa ce ar e thick-
ened to open set s. So let .A be t he class of all op en subsets A of R" wit h piecewis e
smooth boundary t hat satisfy the dichotomy

{}(t)A = A or {}(t)A n A = 0 V t E G ,

whe re {} is t he faithful representat ion in (1).

H(A) = {t E GI{}(t)A = A}

denotes t he isotropy group of an a ttractor. Observables transform the symmetry

of attractors into a physical space W .
 T ESTI NG FO R S,,-SY l\I ~I E TRY 63

Definition 2.2 (f6}) Let P : G ---+ Gl (W) be a lin ear repr esentation . A tl-p- equivar-
iant e x fu n ct ion ¢ : R " ---+ IV is called an observa ble. Th e vector

K ¢(A) := r
1.4
¢dl'

is an observation, uilierc It is assum ed to be th e Lebesgue m easu re.

The det ermination of H(A ) is thus shifte d to deter min ing th e isotropy gro up of
K ¢(A) E W de note d by I-f¢(A ).
Checking isotropy m ay be don e with distan ces:
Let Fix(I-f, W ) be t he fixed poin t space of a subg roup H of G wit hin W and

pp ,H (y) = I~ I 'L p(t )(y). (3)

t EH

the proj ection ont o Fix (I-f, W) . Then

d H (y) = I!y - PP ,Hy l l ~ = Il(Id_ Pp H) y l l ~ , (4)
gives the dist an ce to th e fixed point space . Clearl y. th e isot ropy of y is th e maximal
subgroup I-f with distan ce zero.
For th e det ection of symmet ry of att ra ctors it becomes important th at P
distinguishes all subgroups. i.e. all subgroups I-f = G y of G appear to be isotropy
gro ups in lIT for one II E W .

Definition 2.3 (f6) Def. 4. 2) : T wo represen ta tion s PI : G ---+ Gl (IV I ) an d P2 : G---+

Gl(W2 ) arc lattice equivalent if th ere exis ts a linear isom orphi sm L : H'1 ---+ W 2
such that
L(Fi x(H, WIll = F ix(H.1I'2 ) .
f or every su bqroup II of G .

Let o', i = 1, . . . , h denote th e inequi valent irre d ucible repr esent ations of G. ()1
denot es th e un it representat ion. For a linear repr esent ation p : G ---+ Gl (R") let
TT! i(P) be th e multiplicity in the canonical decompo sition P = 2:::'=1 TTl i(P){)i. Let
Pi denot e th e projecti on onto th e isotypi c comp onent with respect to 19 i .

Lemma 2.4 ([6) Th m. 4.3): p = L: ~= 1 Vi distinqu ish cs all subgrou ps of G , where

Vi deno te th e irreduc ible repre se ntati ons of G.

A det ect ive is an observ able which generically determines all symmetries of sets
in A.

Definition 2.5 (f6) Def. 5.1) Th e obs eroabl e ¢ is a det ecti ve f or G if fo r each su bse t
A E A almost all near ide ntit y {)-(). eqlliva ri ant diffeomorphism '¢ sa tis f y

H¢('¢(A) ) = H(A ).
64 K A Rl " GATERMANI\'

Theorem 2.6 {[6} Thm . 5.2) : Let qi, i = 1, . . . , h be JJ -iJi-equivariant obseruables

which are polynomial and ¢i 't- O. Then r/J = (¢1, . .. , ¢h) is a detective for G.

It is clear that in T hm . 2.6 it is sufficient to cons ider a ll latt ice inequivalent

irred ucible rep resent ati ons.
It turned out in cas e where the at tractor is cont ained wit hin a fixed poin t
space of K one has to be more careful, see [151 . T hen t he symmetry of A may be
one of the subgro ups of t he nor malizer Nc( K) of K . So t he requirement is that
r/JWi x( K) is a det ect ive for the gro up Nc( K).

Before we d iscuss specia l det ectives we short ly discuss th e pr act ical eva luation
of t he observ ati on . Precise des criptions can be found in the liter ature. For discret e
dy na mica l syste ms one uses
N
1
lim -N ' " <fi(f k(x o)),
Nr-r sx: ~
k=O
provid ed t he ergodic theorem is valid. For ordinary d ifferent ial equat ions the at-
tract or is {x (t )lt 2: O} and the obse rvat ion becomes

lim T
T- oo
- liT 0
<fi(x (t ))dt .

T here are two suggestions for det ectives:

1.) In [6],[91 the observable <fi( x) = x xt was chos en as detecti ve. 6 is isomorphic to a
p-'I9-equivari ant mapping where p is a su brepresentation of the tensor product '19019'
where 13' : G -. G/(Rn) ,lJ' (t) = 'I9( t - 1 )t is t he contragredi ent representati on . In
our case when iJ is ort hogo na l t hen '19' = lJ. Obviously, ran ge o i= R":",
If lJ = L 7=1m;(v )iJi is th e ca no nical decom posit ion and
h
lJi 0 lJj = L c~lJk
k= 1
with the multiplicities c~ being the Clebsch- Go rdan coefficients , th en

Assume lJ has t he followin g prop erty :

For each k = 1, . . . . h th ere exists i and j such t ha t

mi(lJ) i= 0, mj(lJ) i= 0 and c~ i= o.

Assuming t his property we have mk (lJ 0 '19) > 0, k = 1, . . . , h . To pr ove tha t r/J
is a det ect ive for G it rem ain s to show tha t P k r/J 't- 0, k = 1, . . . . h. Using the
 T ESTI NG F OR 5,,-SYl\l ~I ET RY 65

decomposition one need s to find for each k irreducible representations {ji , {ji with
c~ > 0 and PkXiX; # 0, where X i , Xj behave like tJ i and tJi , respe ctivel y. This ca n
easily be imp lement ed and checked in a Computer Algebra environment.
In [6] it is shown that {j @{j d istinguishes all subgro ups in t he case of rings of
coupl ed cells with G = D p symmetry. For this p 2: 3 and th e number of equ ations
per cell Tn 2: 2 is essent ial.
2.) A second dete ctive was given by th e left regular repr esent ati on L : G -.
GI(R IGI), see [9]. Its well-known decomposition is
h h
L = I::TTl i(L ){ji = I::di m(i;i )J'.
i= l i= l

So a ny u-L -equiv ari ant mapping </J with p/ ¢ t 0, i = 1.. .. , h is a det ecti ve. L
a nd 19 define a group action on th e space of polyn omial mappings
6: G-. GI (R [x]iGl )
t '---+ 6(t )
6(t) : R [x )IGI -. R [J:]IGI
b(t )(</J(x )) = L(t )6 (tJ (t - 1 ).r ).
Thi s is a linear represent ation.

G I:: 6(1).
1
p 6•G = (5)
I I lEG
is ::'. projc ction onto th e trivi al component with resp ect to 6 which consist s of u-
L-equivari an t mappings. In [25] it is suggeste d to choose a polynomi al p(x ) and
q(x) = (p(x ), 0, . .. , 0)1 . An observa ble is defined by

</J( x) := p 6 .G (q) = I~I I::6(t)(q) = I ~I I::L (Cl )((p(U(t )x) ,O,.. . , O)t ), (6)
t EG t EG

For t he special choice p(x) = XI X~ '" x~ ::: ~ th e mapping tp is a det ect ive for 5,,,
see [25].

3 Poincare series and irreducible observables

Th e aim of thi s sect ion is to show the richn ess of polynomial det ectives. Applying
some th eory we der ive results for th e degree of det ecti ves and its decomp osition
into smaller functions.
Th e polynomial, p-{j-equivariant mappings o (x ) form a module over th e ring
of f)-invariant polynomials. Then eac h component ¢,(x), i = 1, . . . , dim(p) is a
polynomial. </Ji is said to be homogeneous of degree k if in th e repr esentation with
monomials ,pi (X) = Li EJ aj x i only monomials of degree k appear. The vector of
polynomi als ¢(x ) is said to be homogeneous of degree k if for each component
66 KARI N GATERl\IA NN

°
eit her q\(:1') == or Qi(X) is hom ogeneous of degree k , Let m i. deno te th e dimen sion
of t he vector sp ace of u-p-equivari an t mappings which ar e homogeneous of degr ee k ,

v
Theor em 3.1 ([26}.[16}) Let p and be lin ear represe n tations of G. Let mi. be th e
number of lin ear independen t p-l9-equiva ria nt polynomial mappings homogen eous
of degree k . Th en the Hilbert-Poincare series is

1
~ k 1 '" tr (p (t - ) )
z
L mk =
k=O
TGf lEG
L det(Id - z· t7( t) ) '

For p = 19 thi s is exac t ly the series given by Sa ttinger [21]. For p being the tri vial
irr educible represent at ion the series is the well-kn own l\Iolien series for invar iant
polyn om ials which was prov ed at th e end of the last cent ury.
T he righthand side is easily evalua te d and thus the dim ensions mk for sm all k
are cheap ly det er mined with a Tay lor expansion . This has been imp lemented in a
Computer Algebr a System.

The following th eorem is a gen eralization of the results for th e invariants, see e.g.
[24] and for the isotyp ic compo nent s of R[x].

Theor em 3.2 ([26}.[16}) Th ere ex ist n hom ogen eous in varian ts a i. i = L . .. , n

su ch th at th e ii-p-equivaria nts form a f ree m odule ove r th e su bring R[a]. ( T he
m odule is Cohen -Macau lay')

Thm. 3.2 states th at each equ ivariant has a un iqu e represent at ion L::Ai(a l ,
a Tl)b i with polynomials A i ' Not e t hat if on e considers the invariant ring instead of
t he subring R[a] such rep resentations are non-unique in general.
The free basis is det ermined with the help of proj ect ions and the ser ies, see [16].
From Computer Algebra graded Gr abner bases with respect to weighte d orderings
are used for t his purpose.

Lemma 3.3 Th e min im al degree of a detect ive f or a given group act ion 19 is

d = max i=I .....h( k min(t7 i , 17)) ,

where iJi, i = 1, . . . . h are the pairw ise lattice in equivalent irreducible rep resen -
tations which an, necessary to distinguish all subgroups of G. km in(19i, 19 ) is th e
minimal degree of a non-zero, homogeneous t7i -l9 -equivarian t.

Proof: Thm. 2.6 means t hat for eac h det ective ¢(x) t he restrictio ns Pf ¢ (x ) ¢.
a
0, i = 1, . . . , h hold . The ma pping Pf¢ (x ) contain s at least one i -l9-equivaria nt
mapping un equal zero which has mi nimal degr ee km initl" , 19) . 0
 TEST ING FOR 5n -Sn l :-1ET RY 67

The values k m in(1Ji, {I) ca n eas ily be read off from the series in T heorem 3.1 with
P = 17'.

Detecti ves may be build from smaller functions. In cont rast to above where we
used a decomposition on t he image we will now st udy the conseque nces of a de-
com pos it ion in t he do mai n.

Definition 3.4 A {Ii -l?L eqllivariant mapping 4>j (3') 1'= 0 is called {I'-l}J -obseroable
(irre d ucible ohscruablc],

R emark: T here ar e combinatio ns o',19j such that no 19' -{J1 -observables exist.
Example: Do = {id, 1', r , r , r , r • 8 , sr, sr", o9r 3 , 8To4, sr 5 } .
2 3 4 5

19 2(1') = 1. 19 2(09 ) = - 1 and 0 5 th e 2-dim. faithful repr esent ati on . Then there exists
no {l2-05-observable, since t he series eq ua ls zero. But th ere are 19" -02-obse rva bles.
kmin(d 5 , IJ2) = 6 ca n be rea d off from t he series.
Tensor pro ducts of representations ca n be used to construct such sma ll ob-
sorva hlcs from known obsc rva blcs. Let ¢ be a TI-8-obse[\'able and 1/J a TI-p-observab le
where b, '1. P arc irredu cible representa tions. T hen a TI-( f. .2) p)-equ ivar iant observ-
ab le is defined by X
Xi+j( X) = <Pi(X)' lPj (x ) i = 1, .. . , dim (b). j = 1, . . . , dim (p). (7)
If rnd8 \S p) = 1 t hen PLY. is a II-ilk-obser vable.
Ex ample: Let ij2 be th e non-tr ivial, I-di m represent ation of 54 , iI:1 t he 2-dim
irreducible repr esent ation, a nd 194. v" t he 3-dim . irreduc ible represen tati ons of 54 '
Let 19 4 be faithful. T he 3-dim . irr educible represe ntation J5 is equivalent t o {l2®0 4.
Let 4>(:r) be a il3 -v2-observable and 11' a 03- v4- observa ble. T hen X(3:) = cp(3' ) · 1j!(x)
is a 19 3 _1)5-obscrvabl o.
Since every repres entation 19 has a decomposit ion J = 2:::'=1
TTti(v)19 i t he sma ll
iji-19 j-obs erva bles ca n help to build a detective, but in genera l more complicated
functi ons are necessary.
Another compositio n of obscrvables is the following. Assume the representa,
tion 19 in t he domain deco mp oses int o ij = 81 + /)2 and R" = VI + V2 , resp ecti vely.
Let <Pi : Vi --. R'" be 8i- p-obse rvables, i = 1, 2. T hen (0 1 + <P2) : R" --. R'" is a
17-p-observable.
T here may be det ecti ves for G which do not depend on t he full do mai n H" :
But t he contrary seems to be ap propriate. T he following seems to be a reason able
dema nd for a detecti ve ¢ : R" --. R'"
For a ll {I-invariant subspac cs W of R" t he fun ction IIJ : W --. R" ; IIJ (w) =
1/J (U.·1 + w) is not a constant fun ction , where WI E IV J.. is a fixed value in
th e direct comp lement IV J.. of W in R " .

An even shar per dem and is t ha t Pi 0 IIJ is not a constant fun cti on for i = 2. . . . , h.
68 K ARIN GATERMA NN

4 Detectives with recursive evaluat ion

Assume t hat If is a proper subgro up of G and t hat we already have a det ective for
H . Is it possible to use t his inform ation in ord er to construct a detecti ve for G?
We looked at th eoretical resul ts on indu ced representations such as th e Frobenius
recipro city and t he Th eorem by Mackey (see [23] or [1]), but th ey are not suitable
for practical considera tions since no explicit formul as are obt ained . However , for
the symmetric group 5" explicit formulas for th e relat ion between th e irredu cible
representations a" of STl and 5 " -1 ar e known , see [7] . The main ad vantage is that
R es s" _l a " is already in block diagonal form . So no innerconn ecti vity matrices as
in [14] are needed. Based on th e Youn g tableaux we give a det ecti ve for STl which
is evaluated recursively. In order to elari fy the grou p t heoretic st ruct ure we recall
a simple, but useful lemma.

Lemma 4.1 Let r/ : G --> G l( V) be a lin ear represen aiion of G and H a proper
subgroup of G . Furthermo re let ti , i = 1, . . . , [G : Hl be representativ es of left
cosets and 11J E V a H -invari ant vector with respect to R es II (v ). T hen
1 [G:HJ
V := [G: HI L
z= l
1J(t ;)w

is G -imuiriani .

Proof: The left cosets form a par ti tion of G and each g E G corresponds to a
permutati on of the left cosets. 0
The symmet ric group STl has irredu cible repr esent ati ons o" ; where a =
(al,a2, . .. ),ai 2: a ;+1 are th e par titions of n , denoted by a I- n. These repre-
sentations can nicely be describ ed with the Young diagrams. Thi s is present ed in
a way suitable for applicat ions in [7] from where th e following recursive scheme
for a" was taken. Also [1 8] and [19] are interest ing references for th e irre ducible
repr esent ati ons of the symmet ric group .
Each par titi on Q corres ponds to an ordere d collectio n of boxes, t he Youn g
diagr ams. The numbers 1, . .. ,n are put int o t he diagram such th at in each row
and each column t he numb ers increase. Th e number of th ese so-called st and ard
a-tableau equa ls the dimension of a" , The matrices a Q(t ) are given in a bas is
indexed by the stand ard a -tableau, which are ordered in th e last lett er sequence
which successively compares the last entries in each row.
Now two facts are import ant:
a.) Th e restricted represent ation decomposes as R es s n _ 1 (u = L JI--Tl-l ,13C QU13.
Q
)

Moreover one can work with the same coordinate s. Thus a Q(t) = diag(u13(t)) ,
t E 5 Tl- I .
b.) It is sufficient to give a" (t) for gener at ors of th e group, e.g. th e neighboring
transpositions (i , i + 1), i = 1, .. . , n - 1.
 TESTI NG FO R 5,,-SnI ~IETRY 69

The consequence is that the matrices a n (i, i + 1) ar e known from the matrices
(J13(i , i + 1), ;3 f- 7! - 1, i = 1, . . . , 7! - 2. For i = n - 1 a precise description of t he
sparse matrix a" (n - 1, n ) is given in [7]. T he spa rse matrix a" (i , i + 1) can be
sto red in a vector of length 2 · dim(a°), see [7] .
Based on th e two fact s a bove we now develop a recur sive det ective for th e
represent ation {) which describes th e permutati on of vari abl es. Let for all par titions
;3 f- (n -l) t he mappings jl3 : R,, -I ---+ R'li m (a 'J) be R ess " _l (O)-a iJ-equivariant. For
each partition a f- n we have by cond it ion a.) a mapping f : R,,-I --+ Rdi m (a " ) , f =
(fIJI , . . . ,fB. ). All mappings pi with m IJ(R ess ,,_1(an)) = 1 or equivalentl y ;3 C a
arc involved . The ord erin g of th e jii ,s in f is given by th e last letter ord ering of
the st andard a-tabl eaux. Let P be the projection R " - R,,-I (XI , .. . ,x n )
(XI , . .. . xn - d . f oP is n ess" . l (O)-l)-equivariant with 'I = L I3f-n-l ,fi c c< a IJ.
As represent ati ves of left coscts of 5 n / 5 n - 1 the cyclic permu tati ons
t, = (i , i + 1, . .. , n) = (i , i + 1)(i + 1, i + 2) · .. (n - 1, II). i = 1, ... , n - Un = id

arc chosen.

Lemma 4.2 A ssume th e above n ota tions. T he m app ings F" : R " --+ g li m (a " )

"
F" (x) = L aO(t i) [j OP](IJ(t i1 ).r ) (8)
i =l

are {)-a" -equivariant for all part it ions a f- n .

Proof: Appl y Lemma 4.1 wit h 1LJ = f oP an d th e repr esentation

lJ(t) W = a O(t)[j 0 P ]({)(t - 1):1:) .

Remark 4.3 i.) E valuation of F n(x) only nee ds eva luati ons at
( X l , . .. , Xn - l, X n ) , ( Xl , >. . , I n- I ' :.r n ) . .. ·. (i 1 , X2 , ' " ,:Lon),
wh ere th e symbol Xi m eans that the variable I i is dropped.
ii.} S ince th e m atrices a " (i, i + 1) are sparse the n ecessaru m airix -uector opera -
tion s can be perfo rm ed ch eaply, see (7, p . l SI ).

Example 4.4 FOl'S2 = Z 2 = {iii , (1,2)} th e You ng di agram s arc

OJ an d
B·
Th e correspon dinq irreduci ble representa tions are given in th e n otat ion above by
a 13 (1, 2) = 1 for ;3 = 2 and a IJ(l , 2) = -1 fo r 3 = (1. 1). Par n = 3 and th e
partit io n a = (1,2) we have 2 standard Young tabl eaux

lTIT1 < c:zTIJ .

[fl--
~
70 KA RI N GATERM A 1\N

By the branching theorem we have

17° (1. 2) = ( a( l,I~(l , 2) ) = (

-10)
o 1 .

Th e last matrix is

a O(2,3) = ( t ;J. ) _
4
-~ -
(d-1
I

where d = Ix - ul + Iy - vi = 2 is the distance between the positions (x , y ) and

(u ,v) for n = 3 in the stan dard a -tableaux. Represent atives of left cosets are id,
the transposition ( 1, 2), and the 3-cycle (1, 2)· (2, 3). Let t? and f (l.I ) be invarian t
and equivarian t functions, respectively,

f 2((1,2)(x l ,X2)) = P (x 2,xd = a 2( 1,2) f 2(x l ,X2) = f 2(xI ..r2)

f(1 ·I)((1,2)(Xl ,X2)) = f (I ,I)(X2,xd = a(1,I)(1,2)f(1 ,1) (XI ,.r2) = - f l I,I)(XI ,X2)'

Define f( XI, X2) = (f (I,I)(XI, X2),f 2(X I, X2)) and

F (2.1)(xl ,X2. X3) = f (xi ,X2) + 17(2,I ) (2,3 )f(XI ,X3 )+a(2,1 )(1.2 )a (2.1 ,(2,3)f (X2,X3)'

The m apping F (2,1 ) is O-a(2,1)-equivari ant, where fJ is the permu tat ion of variables.

In orde r to const ruct a detect ive we necd t hat F" is not th e zero- ma pping .
This is true if there exists Xo E R" with

"
FQ(x o) = 2:>0(t;)[f 0p ](fJ (t jl )xu) # O.
1= 1

Lemma 4.5 Let f l3 't 0, {3 f- n - 1 be given R ess n_1 ti-o" -equivariant funct ions.
Then for each partition Q l- n there exists a 5 " -1 -invariant f unction 9 : R,,-I ->
R such that F Q as defined in (8) with f = g . (f f31, . . . , f [Jr ). ,3 ; C Q is fJ-a" -
equivariant and not the zero mapp ing. F = (F" l , .. . . FO' ) is a detective f or 5 "
where Q I , . .. , 0" denote the partitions of n .

Proof: Ch oose Xo E R" such tha t it is not 5,, -invariant and such that f l3 (px o) ¥ O.
Either we already have FO(xo) # 0 with f = (f 131, . . . . f ar) or we choose an 5" - 1-
invariant g. Since f a(x o) # 0 and Xo is not invari ant it is possible that t he values
g(P O(tjl )xo) are such that the vectors g(P fJ(tjl ):1'o)a" (t ;)f( P( u(t ; 1)xo)) do not
sum to zero . 0
Of cour se the step of Lemma 4.2 ca n be repeated. Let 5 j be rep rese ntatives
of t he left coscts of 5,,-2 in 5,, -1 , For exa mple choose 8,,- 1 = id.

5j = (j ,j + 1. .. . , n - 1) = (j ,j + 1) .. · (n - 2. n - 1). j = 1, .. . , n - 2.
 T ESTl1\G FOR 5n - S Y!'.I~ IET RY 71

k= ] j (x Jl j( X:l )

k_ 2 / 2(Xl , X2) l (Xl , X3) j 2(X l , X.j) j 2(X2. X3 ) j 2(X2, X.j) j 2(X3, X,t}
- j l1.1)( Xl , X2) l l ,I)(X I,x3) j (l.I }(.r l ,xt} j l1,1)(X2, X3) j( I,I )(X2 ,X,,) j ll,I }(X3, X·.j)

j 3(Xl , X2, X3) / 1(Xl , X· 2, X.j) j 3(Xl .. r 3. X.j) j 3( X2, X3. X.j)
k = 3 j (2.1)(Xl , X2, X:l) j I 2.1)(Xl , X2, X.j) j I 2 . 1 ) (Xl . .ra. X.j ) j I 2 . 1) (X2 , X:l, X.j)
j i L l.! ) (Xl , X2, X3) I' 1.1,1 ) (X I , :1'2 , X.j) j ( I,1.1)(Xl . .1'3 . X.j) j l 1.1,1 )(X2, X:l. Xl)

r 1(X l , X2, X3, X,I) j (2.1.1)(X l. X2. X3, X,,)

k=4 l :l.l ) (Xl , X2, X:I, X.j) j l l . l . 1,1 ) (Xl . 3' 2. X:l , X,,)
j I 2 ,2 ) (.r l , X2 , X3, X.j)

Fi gure 1: The qu antities which are computed in Algorithm 4.6 for n = 4.

Then

F" (x ) ~a°(t ;) EB f li(Pn _d19(t ; 1).r ) (9)

i= 1 )3f- n-l,f3 Co

n n- l
~()'O (ti ) EB ~ (/IJ ( Sj) EB F( P ll _ 2(19(.sj l )p ll . 10(t ; l )x) .
, =1 13r n- l,i3C o j= 1 "/r n - 2,,,/C 3

We use P" for th e restriction to the first k coordinat es. Secondly. let us int rod uce
the not ation tj = (j ,j + 1) · · · (k - 1, k) for cyclic permut ation s. For con veni enc e
t ~ = id .
In th ese not ations it is clear th at (9) need s int ermedi at e evaluat ions of typ e

n- I
f P(Pn- 1v (ti') - I .T ) = ~ a I3(t j,- I ) EB F(Pn _ 2 rJ (tj'-I ) - 11~ (ti') -I .T ) .
j = 1 ,,/Cn - 2 ~ C Ii

Ob serve th at t he argum ent s Pn - 20(t j' -I) -I O(t;' )-l x may be eq ua l alt hough i and
j a re different. We have Pn- 2{)(t j - 1)- I O(ti ' )-l x = ( X V! " . . , X V" . 2)' Vi < Vi + l . i =
1, .. . , n - 2, but x v" . " x v" with V n - I , V n E {I , .. . . n} \ {VI" ' " V n - 2} have been
del et ed . Since the or der of x v " .! and xv " does not matt er this ca n be achieved in
severa l ways.

Rep eating th e division process we have the following a lgorit hm

Algorithm 4.6 (R ecursive evaluati on of a det ect ive for 5 n )

72 KARI N GAT ER l\IANN

Given: f : R -> R .f t= c,c E R .

Stored: (J1J(k - 1. k). i3 l- k, k = 2, . .. , n
Input : x E R"
Output: F (x) E R'" , m = L on d irn rr" where F is 1'!-(Lol- " aU)-equivaria nt
and 1? describes the permutation of variables.
Init ialization : k = 1
Evaluat e f( xJl , .. . . f (x ,,) .
for k = 2 to n do
fur' each 3f-- k du
f or all possible values of
y = PkiJ (tJ:+\ ) -I1'!(tJk:~ )-1 . . · 1'! (t j'" )- I X, 1 ~ j i ~ i, i = k + 1, . . . , n
(equivalently Y = (XVI" " , Xvk ), lJi < lJi+l ,i = 1, . . . . l: - 1)
evaluate
p 3(y ) = t L~= 1 a 13 (tn EB-yl-k-I " C IJ !"'(Pk_ 1l)((tn - 1)y)
if(3 l' k andk ~ n - l thenflJ(y) := g·fl3( y ) where g = L~=o(-f k (y))j

Figure 1 shows the numb ers which a rc computed in layers k = 1. 2. 3, 4 for n = 4.

The multiplication wit h g assures th at no components arc th e zero mapping a nd
gives a num erical balancing in th e compone nts .

Lemma 4.7 Algorithm 4.6 evaluates a detective for S n at X E R" . More precisely:
Let the represent ation 1'! denot e the permutation of variables and a" the irreduci ble
representations o] S" correspond ing to the part ition s Q l- n (You ng 's sem in orrnal
f017n ). Th e values f"( x ) are comp uted for li-a O -equiva'riant f unctions f Ot= o.

Proof: From Lemm a 4.2 and th e multiple di vision it is clear th at f" is 1'!-a" -
equi vari an t . It remains to show th at f " t= O. Using Lemm a 4.5 we need to show
t hat t he Sk-invariant functions g have been chosen sufficient ly generic. The main
point for a polynomial f for thi s to happen is t hat th e polynomial degree of f {! is
sufficiently lar ge.
The degree of a v - a ( I ,• . ,I)-equivariant polynomial f(1 ,· ·,I ) t= 0 is 2: "( "2- 1) . (T hese
equivariants form a modul e over the invariant ring generated by n~= I ,j = i+l (Xi -
Xj )) . Since (1, . . . . 1) is th e most sensitive case a nd th e functions 9 are chosen
sufficiently generic th e statement follows by Lemm a 4.5. 0
The proof includ es alread y the proof of the following lemma.

Lemma 4.8 Let J denot e the represent ation of S " which perm utes n variables.
Th en the lowest degree maxol-nkmin(a" , t?) of a polynom ial detective is ( ~ ).
 T ESTI :-lC FOR Sn-SY l\I l\I ETRY 73

n n! regular rep . stored perm s. Youn g's seminorm al form

5 120 0 .01 sec 0.01 sec 0.01 sec
6 720 0.01 sec 0.02 sec 0.02 sec
7 5040 0.08 sec 0.04 sec 0.10 sec
8 40320 0 .67 sec 0.29 sec 0.42 sec
9 362880 6.54 sec 6.60 sec 1.98 sec
10 3628800 77.55 sec - sec 9.47 sec
11 39916800 - sec - sec 48.66 sec

Table 1: Compari son between a detecti ve based on regular re present at ion (impl e-
mentations with and without storage of permutations) and a det ective based on
Young's scminorma l form (recur sion) : Computin g ti mes for one function evaluatio n
on a Sun 4 imp lement ed in C.

Recall th e formul a Ih l L p(t )q(iJ(t- 1 )x ) for a iJ-p-eCjuivariant mapping. A simple

choice is p = L th e regular repr esent ation and q(x ) = (p(x) . 0, . . . , 0) such th at p is
a mon omial. Lemma 4.8 shows that p(x ) = XI X~ ' " x;: ::: : is a monomial of lowest
possibl e degree in order to give a det ective. In [251 it is shown th at this is ind eed
a det ecti ve.

The num erical prop erties of Algorithm 4.6 are th e following. In each step k eval-
uation at ( Z ) value s yare needed . The tupel Uk,... . / (1 .....1)) has dimension
L ork dim a" : The det ermin ati on of these ( Z ) L or kd im o" values necessitates
# (a f- k ) k(\- I ) matrix-vector multiplications which are perfor med chea ply. Here
#(a f- k) denot es the number of partitions. The number of add it ions at layer k is
( ~ ) (k - 1) L or kdimao.
If we compa re this det ectiv e F = ff!",rn/ o with th e det ect ive above based
on t he left regular represent ation we notic e th at the dim ension is much smaller.
Q
We have L ol-n dim o" with L Ql-n(dima )2 = ISnl = n! (the genera l formul a for
th e dim ensions of irr educible representat ions) in comparison to n! itself. Tabl e 1
shows th e performance of one fun ction eva luation as n increases. Various impl c-
mcntations for th e det ectiv e with tho left regular represent ation have been tested .
The powers x; are computed once and sto red . The first alte rnat ive is to genera te
all permutations while th e detective is evalu at ed , but this requires a lot of trivial
computa t ions. We have impl emented the algorit hm in [22] for this pu rpose. The
second alte rn ati ve is to generate th e permutati ons in advance , which is necessary
for th e det ermination of the symmetry of the vector. For this one needs to know
at which position which permutation is placed . But the storage needs n!(n - 1)
int egers for pointers. This leads to the effect that for n lar ge a lot of syste m cpu
is spent on administr ation of th is storage . For n = 10 it even fails to allocate th e
storage .
74 KARI N GATER:-'lANN

The det ecti ve based on Young's scminorrnal form also necessit ates some
am ount of st or age shown in Table 2. Although th e matrices a" (k - L k), Q f- k and
some poin ter s for a Q(i, i + 1), i < k - 1 need to be stored th e comput ing time is
sma ller if all a" (i. i + 1). i = L . . . , k: - 1 are stored. For n = 10 th e representation
matri ces need space for 227376 integers a nd t he int ermediate function valu es are
stored in 123108 reals. The expe rience shows t hat thi s detecti ve is pr eferable for
lar ger n du e to lower dimension an d smaller stora ge requ irem ent s.

n n! #(0 f- n ) L f- d irn rr" rep .matrices f' s

5 120 7 26 288 int 141 rea l
6 720 11 76 1048 int 498 rea l
7 5040 15 232 3832 int 1849 rea l
8 40320 22 764 14528 int 7192 rea l
9 362880 30 2620 56448 int 29185 rea l
10 3628800 42 9496 227376 int 123108 rea l
11 39916800 56 35696 94 1296 int 538077 rea l

Table 2: Comparison of storage requirement s between detectives based on regular

represent ation and based on You ng's scm inormal for m.

Fin a lly, we like to mention t hat Algorithm 4.6 uses a prin ciple known as
Divide and Conquer. For ot her divide a nd conquer algorithms sec [22].
Due to ~6], [9] [8] det ecting th e sy mmet ry of a n attractor mea ns comput ing
w := fJ L;:'\ F (Yi ). a nd distances [[( p H - I d )w lb for all subgro ups H . Her e we
denote by pH th e proj ection on the fixed point sp ace of H . The maxima l subgroup
H with II(p H - 1d)wll2 = 0 is the sy mmetry group of th e attractor. On e st ill need s
t o think abo ut how to perform pH - I d.
For completeness we state:

Lemma 4.9 If TI: H -> GI (V ) wit h 1](t ) = di ag(iJi (t )), iJ\i = l.. . . .li being th e
irredu cible representati ons of H , 1'JI being th e trivial irredu cible represen tatio n th en
(pH _ I d )w = (0, U·2 , . .. , w m ) , m = L7:1dim (19 i ) .

T his sugges ts to collect within algorithm 4.6 all tupel ${Jf-k .3# f i3(y) for all
k = 2, . . . , n and all possib le y. But this needs too much storag e.

Lemma 4.10 Let Sn , gen erated by (1,2), . .. , (n - 1, n) be repres en ted by 1] acting

as diag(a Q ) , Q f- n where a" are th e irredu cible repres entations git'en by th e You ng
ta bleaux. Th en fOT Sk gen erated by (1,2), . . . , (k - 1, k), k = 2, . . . . n there exi sts a
set of indices 1k suc h th at

i E h (10)
if/. h
 T EST I NG FO R Sn -Sn l ~ IETRY 7.5

For conjuga te s ubqroups SSkS - 1 we ha ve th e [ormu la

Proof: The vector w decomposes as w = (w n , . . . , 1(''' , . . . , w ( 1... . ,1) ) into subvecto rs

W" ,Q a par ti tion of n . Since a n = 2:: 3f- n - \JJC " as each w" decomposes into
r
subvcctors lC" ,fJ , (3 f- 71 - 1. The ordering of w" .{J depend s on the last lett er order ing.
Repeat ing t his st ep we ob tain W " l ' '' ' '''k where O n is a parti t ion of n a nd Q i is a
part it ion of i with Q i C Q i +l , i = 1/ - 1. . . . . k , T he tri vial irredu cible representa t ion
of Skis denoted by a k. T his yields

(P Sk _ I d)w" ''' ....''k =

O n
W ,..
.0 ,1"
if Ok f: l:
{
O. if Q k = k
o
Remark: For prop er sub grou ps H of Sk it is mor e difficult to evaluate t he d istance
II(pH - I d)wll. But once tho projections p H,Ii .,:'3 f- I.: in th e coor d inates of a n
irr ed ucible repr esen tat ion a IJ of Sk a rc known, t he d istan ce ca n bc evalua te d using
F'!, - l d.

5 Example
Coup led arrays of Josephson j unct ions ar c a typical exa mple of a dynamical system
wit h S n-symmetry given by permutations. T hese arrays have been d iscussed in
var ious papers, e.g. [21. In [25] a lot of numerical simulat ions of symmet ric chaos
arc present ed for t he Josephson junct ions for n = 4 an d n = 5. Both , the pure
ca pacit ive and the pur e resistive cases arc tr eat ed in t ha t article.
In contrast to [251 our aim is to per form calc ulations for larger n .
The equat ions for the pure cap acit ive load read

I/Jk
3~iJ - ~( ¢k + sin(~k ) - n(3:m 2::J= 1("I/Jj + sin(~j ))) k = 1. . . . , n .

We have done com put ations for 11 = 10 using the program Code+ + [17]. F igur e 2
shows an S IO-inva riant at t ra ctor , where t he par am et er values have been chosen to
be (3 = 0.2 and I = 1.05. The solut ion seems to converge against a peri odic orbit
wit h S w-symm etr y. The t ria ngu lar shape in the right pict ure is explained by t he
fact that { ~I = 6, 7/JI = 7/J2}, { ~I = 6 , 7/JI = W3}. and {6 = 6 , 1/.-'2 = 7/J3} are fixed
point spaces which arc flow invari an t.
The value of t he d istance IIId - p SlO vl1 to t he fixed point spa ce of SIO is
1.26185e - 07 where the approximate observat ion t' = 2::;: 1F (~i ) was used and
th e recur sive det ecti ve F was evaluated at N = 3000 poin ts. T his sma ll value
76 KARI N GAT ERMA NN

=.~; :. :. :; ; ;.: :::::::: ;.. ~

.j ·1 ·l

.,
·1

.,
Figure 2: SIO-symm etric attrac tor in t he coupled array of Josephson junctions (20
equa t ions) for the param et er valu es (J = 0.2, I = 1.05. The left picture shows ~1
versus 6 plot ted modulo 271" a nd the right picture shows ~1 - 6 \-efSUS 6 - 6 .

.; ,
. . j .,

Figure 3: Symmetric a t. tractor in th e coupl ed array of Joseph son junctions for th e

param et er valu es :3 = 0.23, I = 1.13. The left picture shows 6 versus ~8 plotted
modulo 271" and the right picture shows 6 - 6 versus 6 - 6 ·

clearly indicates that th e typ e of symmetry is SIO . It is rem arkably small since
usually already a value of 0.05 is accepted to ind icat e a symmetry type.
In Figure 3 a more complicated attractor is pres ent ed . The parameter values
are (J = 0.23 and I = 1.13. The distances have been computed for SSkS-I, k =
2, . . . , n yielding a symmetry different from SJO .
In Algorithm 4.6, th e recursive det ective, the funct ion f was chosen as f(x j) =
~ +-L+1.
4 4Xl
 T ESTI NG FOR S n -SVl\I\I ETRY 77

Th ese comput at ions for SIO clea rly demonst rated t hat one needs a sophisti-
ca ted funct ion for t he detect ion of symmetry. The computing time dep ends on the
detect ive since it is evaluated many ti mes and second ly the d ista nces are comp ut ed
for a lot of subgroups of S n - The recur sive detective in Algorithm 4.6 was used
successfully and is a typ ical example of modern algorithm technique.

Acknowledgments: Special th an k are d ue to Michael Dellnit z for helpful discussions

and to A. Kerber for th e hin t to th e reference [7].

References
[IJ \V.A. Ad kins a nd SU I. Weint.rau b . Algebra An Approa ch via Module Th eory. volume
136 of Graduat e Texts in Mathem atics. Spr inge r. New York , 1992.
[2] D.G . Aron son , Iv1. Golub it sky, a nd M. Kru pa . Co upled a rrays of J oseph son ju nct ion s
a nd bifurcati on of map s with SN sym me t ry. Nonlin earit y. 4:861-902, 19!1l.
[3] P. Ash win and I. Melb ourne. Symmet ry groups of a t t rac tors . A rch. Rat. Mech.
Anal.. 126:59-78, 1994.
['I] P. Ashwin a nd M , Nicol. Detect ion of sy m met ry of att ractors from observations .
P art 1: Theory. Preprint , Universi ty of War wick, 199.j.
[5} Ph .J . Aston a nd M. Dellnitz. Symm et ry breaking bifur ca tio ns a nd chaot ic at t ractors.
SC 94-27 , Konrad- Zuse-Zen t rum fU r Informat ionst echn ik. Berlin , 1994.
[6j E. Ba ra ny, M. Delln itz, a nd M. Go lub it sky. Detecti ng th e sy m met ry of attractors.
Physica D 1993, 67:66- 87, 1993.
[71 !v !. Clausen an d U. Bau m . Fast Fourier Transforms. BI Wissenschaftsverl ag,
Man nheim , Leipzig, W ien , Zuri ch , 1993.
[81 M. Dellni tz, 1\1. Gol ub itsky, and I. Melbou rne. Mecha nisms of sym me t ry crea t ion.
In E . Allgower , K . Bohmer, and M , Golubi tsky, ed ito rs. Bifurcation and Symmetry ,
volum e ISNI\[ 104 , pages 99-109, Basel, Bost on , Berli n, 1992. Birk ha user .
[9] 1\1. Dellnit z, 1\1. Gol ubit sky, and I. Nicol. Symmetry of a t tractors and t he Kar hunen-
Loeve deco mpos it ion. In L. Sirov ich, ed itor , Trends and Perspectives in Applied
Math ematics, New Yor k, 1994. Springer.
[10] 1\1. Dellnitz a nd C . Heinr ich. Admi ssibl e sy mmetry increasin g bifurca tion s . Resear ch
Repo rt UH/ l\I D 187, University of Hou ston , Department of Mathem a t ics, Houston ,
1994.
[I I] A. F as sler a nd E . Sti efel. Group Theoretical Methods and Their Applications.
Birk hauser , Boston, 1992.
[12] !v!. Fi eld an d M. Golubitsky. S ymmetry in Chaos . Oxford Universit y P ress, Ox ford ,
1992.
[l:l] l\1. Field. I. Melbourne, a nd M , Nicol. Sy m met ric a t tr act ors for diffeornorph lsms
a nd flows. Proc. London Math. Soc ., 1995. To ap pear.
78 KA RI N G AT ERM A NN

[14] K. Gat erm ann. Comput at ion of bifur cati on gra phs. In E . Allgower , K. Georg,
and R. Miranda, editors, Exploiting S ymmet ry in Appl ied and Nu merica l Analysis,
volume 29 of AMS Lectures in Ap plied Math emat ics, pages 187- 201 , P rovide nce,
Rhode Island. 1993. AMS.
[15] K. Gatermann. A rem ark on th e det ecti on of symmet ry of at tracto rs. In P. Chossat ,
ed itor, Dyn amics, Bifu rcation and S ym me try New Trends and New Tools, volume
437 of NA T O ASI Series C: Math emat ical and Physical Sciences . pages 123-125 ,
Dordrecht , Bost on , Lond on , 1994. Kluwer.
[161 K. Ga term an n. Semi-invariants, eq uivariants and algorithms. SC 94-11 , Konrad-
Zuse-Zent rum fiir Informationst echnik , Berlin, 1994. To appear in AAECC .
[17] A. Hohmann , 199·1. Code ++ , a program written in C+ +.
[18] G. J am es and A. Kerb er. Representa tion Th eory of the Symmetric Group. Addi son-
Wesley Publ, Comp., Reading , Massachusetts, 1981.
[19] W . Ludwig and C. Falter. S ymmetTies in Physics Group Th eory A pplied to Phy sical
Problem s, volume 64 of Spr inger Series in S olid-S tate Sciences. Springer , Berl in ,
1988.
[20] l. Melb ourne. :\1. Dellnitz , and !\ 1. Golubitsky. St ruct ure of symmet ric attracto rs.
Arch. Rat . Mech. An al., 123:75- 98. 1993.
[21] D.H. Satt inger. Group Theoretic Methods in Bifur catio n Theory. volume 762 of
Lecture Noles in Moihematics. Springer Verlag, 1978.
[22] R. Sedgew ick. Algorithms. Addi son-Wesley Publ . Comp ., Reading. Massachusetts,
1983.
[23] J .P. Ser re. Lin ear Represent ations of Fin it e Groups. Sprin ger , New York, 1977 .
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in S ym bolic Computation. Springer , W ien , 1993.
[25] V. Tchi stiakov. Det ecting symmetry breakin g bifurcati ons in th e system describing
th e dyn amic s of coupled arrays of J oseph son junct ions. P reprint , University of
Tw ente, En schede, 1995.
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J. Sy mb. Comp ., 17:487-511 , 1994 .
Progress in Nonlin ear Differential Equations
and Their Application s. Vol. 19
© 1996 Birkhiiuser Verlag Basel/Switzerland

Normal forms of vector fields satisfying certain

geometric conditions
LU . Bronstein A.Ya . Kop anskii"

Abstract
The pap er describes th e simplified polynomial resonant normal forms of vec-
tor fields sa t isfying some geomet ric conditions (namely, pr eserving volume or
c:
sy mplectic form s or co nt act st ruct ur es) with respe ct to smo ot h cha nges
of varia bles pr eser ving th e sa me st ruc t ur e.

Introduction
In th e last years much a t tent ion has been paid to th e th eor y of finit ely smooth
normal forms of vector fields in th e neighbourhood of a singular poin t (sec, for
example, [11, [2]). The problem of reducing t o norm al form ca n be divided int o three
st eps . At th e first stage, one brings finit e jets of th e vector field to the resonant
normal form by t he aid of polynomial changes of variables. The second ste p deals
with "cutting th e t ail" , i.e., redu cing to the polyno m ial (reson ant) normal form .
Fin ally, one uses finitel y smooth tran sformations to si mpl ify th e resonant normal
form , i.e.. to elimina te as many monomial terms as possible. Many results obtain ed
in th ese resear ch dir ection s are summed up in th e book [2].
Th e recent work [3] is devoted to (the second step of ) normalization of vector
fields satisfying some geometric conditions (namely. preserving volume or symplec-
tic forms or cont act structures) by a smooth cha nge of variables pre serving the
same struct ure. The method of proof used in [3] is bas ed on the dejormatioti m ethod
of singularity theory (R.Tom, J .1\1ather) . As th e a ut hors emphasize, this method
is ideally suit ed to discussing conjugacy problems in which a geometric structure
is pre served. The deformation method reduces non-local non-linear problems to
linear ones, nam ely, to solving cohomology equations (for the corres ponding hamil-
to nians) .
Thi s pap er is concerned with finit ely smooth normal form s of volum e pre-
serving, sympl ecti c and contact vector fields in th e vicinity of a hyp erbolic singular
point. We make essential usc of th e techniques developed in [3] as well as of th e
results present ed in [2]. Similar results hold for diffeomorphisms .
' Inst it ute of Ma th em atics, Academy of Scien ces of Moldova. Kishinev 2ii028 Moldov a,
comptrrevel.moldova.s u
80 I.U . BRONSTEIN, A .YA . KOPA NSKII

We would like to warn the reader th at in this pap er (as well as in the book
[2]) th e term resona nce refers to th e real parts of t he eigenvalues. Thi s ena bles us
to obtain normal form which smoot hly depend on the vector fields. That is why
one may hope th at th ese normal form s ar e of int erest to bifurca tion the ory.
The main results are given in Theorem 9.1. The proof makes use of a new
version of the smoot h invari ant section th eorem present ed in th e App endix.

1 Geometric structures and differential forms

Let Ai be a contractible manifold of dim ension dim M = d (for example, a convex
neighbourhood of th e origin in IR") . Let p be an int eger , 0 ~ p ~ d , and I be
a d ifferential p-form. Th e form I is sa id t o be non-degenerate if th e mapping
~ --t i~h) which to every vector field ~ : M --t T M puts in correspondence
th e (p - l l-forrn i~ (r ) is an isomorphism ; t ha t is, for each x E M th e mapping
TxM --t AP-l(T;A1 ) defined by v .-. ivh(x)) is an isomorphism of th e t an gent
space TxM onto th e space of all skew-symmetric (p - I)-li near forms on Txht.
This is possible only when

d=dim (TxM)=dim(AP-l(T;M)) = ( d ) ,
p -I
i.e., whenev er p = 2 or p = d.
If I is a non-degener ate p-form, th en eac h differential (p - I)-form w det er-
mine s a unique vector field ~ su ch that i~h) = w (and vice versa) .
If w is a closed (p - l j-form (i .e. , dw = 0) th en by Poin car e's lemm a th ere
exist s a (p - 2)-form F such th at

In this case th e form F is called the hamiltonian of th e vect or field ~ . If, in addit ion,
I is a closed p-form , then the form w = it: ( I ) is closed iff LO = O. The last equality
mean s th at the ph ase flow of ~ respects the p-form 'Y.
We sha ll consider three particular cases of geomet ric structures defined by
differential forms.
Let J.I be a no n-d egen erat e d-form (volum e form) on M (note th at each volum e
form is closed) . A vect or field is called volume preserving (more exact ly, pre serv ing
the volume form /1) if its (local) ph ase flow resp ect s th e form u, i.e., L~J.I = O. In
this case , there exists a (d - 2)-form F such that i~J.I = dF . The hamiltonian
F is det ermined up to add ing a closed form . Each (d - 2)-form F det ermines a
/1-preserving vector field ~ .
Let M be a contractible manifold of dimension 2d provided with the sym~
plect ic structure, i.e.. with a closed non-degen erat e 2-form 1,,;. The vector field ~ is
said to be sym plectic if L~ w = O. The hamiltonian F . i~ (~' ) = dF . is a functi on
det ermined up to a constant. Ea ch functi on may serve as a hamiltonian of some
symplectic vector field .
 NORi\lAL FORMS OF VECTOR FIELD S ... 81

Now let M he a contractible manifold of dimension 2d + 1 and B be a differ-

ent ial l-form on M such th at 0 /\ (dO)d is a volume form. The con t act struct ure
on M is defined to be th e codim cnsion 1 subbundle of the tangent bundle T}V/
determined by B = O. Note th at if.\ : M -> ]R is a non-vani shing function th en t he
form .\B gives the same contact structure. The vector field ~ is said to be a contact
vect or field if its flow preserves the cont act structure, i. e.. there exist s a function
Il~ : }v/ -> !R such th at

If ~ is a cont act vector field, th en the function F = i~B =: B (~) is called the contact
hamilto n ia n. Every function F : }v/ -> ]R det ermin es a cont act vector field ~ . The
corre spondence ~ -> F, F = B (~) , is one-t o-one.
2d
Let It be a volum e form on ]Rd, w be a symplect ic form on IR and B be
a contact form on ]R 2d +l. According to a th eorem due to Darboux, the following
statements arc true:
d
1. There exists a syste m of coordinates u = (UI' . .. , lid ) on IR such that

(1.1)

2. There exist coordinates (u,v) = (Ul , ' . . , lid , l'l , . . . . Cd) on ]R2d such that

(1.2)

3. One can find coordinates (u ,v, w ) = (UI , . . . . Ud. l' \ . .. . , Vd, W) on ]R2d+ 1 so
th at
B(ll , V, W) = uldv\ + ... + lIddl'd + dw . (1.3)

In what follows, the forms (1.1)-(1.3) will be called standard. The cha nges of
variables which respe ct the se forms arc called canonical.

2 Transition formulas
Let u E ]Rd, 1 :S i < j :S d. In orde r to simplify notation . we sha ll write

du , = ~tl /\ ..• /\ dll i - l /\ dUi +1 /\ . . . /\ dUd.

dll; /\ dll j = dUI /\ ... /\ dll i - l /\ dll i + l /\ . . . /\ dUj_l /\ dUj+l /\ _" /\ dUd-

For example. each (d - l l-forrn v ca n be written as

d
,(u) = L ,S (/l);L;;s.
s= l
82 LU . BRO:-;ST El N, A.YA. KOPA NSKI!

Similarl y, if F is a (d - 2)-form, t hen

d- l d
F (u ) =:L :L Fpq(u )'ilitp /\'ilit q
1'=1 q=p+1

Let ~ be a vect or field wh ich preserves t he volume form fl . With respect to

canonical coord ina tes . we ca n choose a ha miltonian F so t hat

(2.1)

(p = 1, .. . , d - 1; q = P + 1, .. . , d).
Conversely, every (d - 2)-form F serves as a ham ilton ian of th e following volume
pr eservin g vector field:

~p(u)
1'- 1
= :L ( - 1)P-q ~
q=1
9Fqp( )
llq
- :L
d
q=p+l
9F pq( )
( - 1)P+q ~
ou .,
(p = 1.. .. ,d). (2.2)

T he relat ions hip between sy mp lectic vector fields (~.II ) = ,~d, 1]l , «',.. .
. .. , lId)0 <1 ]R2d and th e corre spo nd ing ha miltoni an s F ca n be exp ressed as fol-
lows:

:L 1 W (ut , vt )vp - 1]p(ut. vt )rp]dt:

d 1
F (u.l') = (2.3)
1'= 1 0

1' ( ) _ fJ F (u, v ) OF (ll, v)

~ u, v - 0 ' (p = l. .... d). (2.4)
vI' oU p
Simi larly, for contac t vector fields (~ , 1/ , () on ]R2d +l and cont act hamil toni an s
F (u , v, w) one has
d
F ( u. v , w ) = L Uplt ( U. V. w ) + (( u .v, lr ): (2.5)
1'=1

e (u , v , w) = - o F/o vp + upo F/ow ,

I/P ( U,V,w) = 8 F / 8u p (p = 1, .. .. d). (2.6)
d
( (u , v , w) = F( u , v, w) - :L up8F j(hl p
1'= 1

Moreover ,
I l ( ~ . TI . () ( U , 1) , w) = 8 F(u, v , w )/ 8 lL' .
 NORMAL FORi\l S OF VE CTOR FI ELDS . . .

3 Normalization of linear parts of vector fields

We sha ll say that th e hyp erboli c linear vect or field i = Ax (:I: E jRd) is reduced
to th e block-diagon al norm al [orm if:

(1) A = diag{ A t, . . . , A ,,}:

(2) Ai is a linear opera to r all of whose eigenvalues have one and the same real
part (Ji (i = 1, . . . ,n );

(3) all th e diagon al elements of the matrix A, are equa l to (Ji ;

(4) if i i' j , then (Ji i' (Jj .

Let ~ be a vector field on jRd a nd th e origin 0 E }<.d be a hyp erb olic singular
point. Assume th at ~ preser ves th e volume form 11. There exists a coordinate
syste m II = (Ul, . . . , ((d ) on jRd which redu ces i1 to th e sta nda rd form (1.1). Denote
B = D ( (O ). It is well-kn own th at one can find a real linear cha nge of vari abl es
y = S u. det S = 1, which brin gs th e op erator B to th e Jordan real normal form .
Clearly. th e vecto r field :II = Ay , where A = 5 B5 - 1 • takes t he block-di agonal
normal form. Beca use dct S = 1 th e volum e form is st ill th e standa rd one. Observe
th at div-l = L7=t (Ji . dim A, = O.
Now let ~ be a symplect ic vector field on jR2d. wit h t he origin being a hyp er-
bolic singular point. Choose coord ina tes (lll , . . .. li d . t'] . .. . , V d ) so th at th e sym-
plect ic form w takes th e form (1.2) . Denot e B = D~ (O ) . It is known th at B = IC ,
where C is a symplect ic linear operator and

I = ( 0
E
-E)
o .
Accord ing to William son 's th eorem (see [4]), th ere exists a canonical linear t ran s-
for mat ion which brings B = IC to th e form

(~ -~)
where A is expressed in t he block-d iagonal norm al form and all its eigenvalues
have positive real parts.
Let ~ be a contact vector field on jR2d+l and th e origin be a hyp erbolic
singular point of ~ . Suppose (u , v , w) are can onical coord ina tes, i.e ., the contact
form (J is given by (1.3) . Den ot e B = D~ (O) , th en we have

Au )
B(u, v , w) = -Av + ~' l'
,w
•
(
84 LV . BRO NST EIN, A .YA. KOPA NSKII

where A is a hyperbolic d x d-m atrix and, is a non- zero number. Now "symploc-
tize'' the linear par t of th e vect or field ~ by introducin g coor dinates (z, v, 10, A) on
JR2d+2 so that z = /lA. A E JR\{O}, and letting

i = Az - -(Z, iJ = -Av + ~fV , W = , 10, ), = - -IA.

This linear symplecti c vector field can be reduced to the block-di agonal normal
form by some can onical linear transformation wh ich leaves invaria nt the subsp ace
10 = 0, A = O. Becau se th is tr an sforma tion commutes with th e natural ac t ion of
th e multiplicative group of non- zero real numbers, it induces a canonical contact
tran sformati on on ]RUT l which brings the linear part of th e contact vector field ~
to th e block-di agon al norm al form .

4 Deformation method
The deformation meth od is a powerful to ol for solving various conj ugacy problem s
[1 ,3] . Let us outline thi s ver y useful ap proach (in the context of vector fields).
Let ~ and TJ be vector fields defined on a manifold M . For ~ E JR set ~, =
C: TI + (1 - c: ) ~ . Define t he vector field =
on M x JR by j : = ~,( x ) , t. = O. Suppose
we have found a vector field <I.> on M x JR of the form :i: = 'P,(x ). t. = 1, whi ch
commutes with <1.> , i.c.
[<1> ,=1 =0. (4.1)

Let F( x, e, t) (x E A1. ~ E JR, t E JR) den ot e the ph ase flow of <1.> . Put h(x) =
prJ o f (x , O, 1). It is easy to show that (h).(O == Th o s o h': ! = '1. i.e., ~ and TJ are
conjugat e by h. Observe that (4.1) is equivalent to

D <.p, . ~ , ( .r ) = D~,( x) . 'P, + 11(X) - ~( x) (x E M ). (4.2)

which is ca lled th e cohomology equatio n. The cor respo nding characte ristic system
is
if = D~,( x ) . y + TJ(x) - ~ (x) , j; = ~,,(x) (x , y E M : e E JR) . (4.3)
The solutions of (4. 2) arc nothing else than invariant sect ions y = 'P,(x ) of (4.3).
Thus, the deformation method reduces the conjugacy problem to finding a smooth
invari ant secti on y = 'PJ r) of the affine exte ns ion (4.3) and then to integrating
the sys te m j; = <.p,,(x ). t. = 1.
Now let us turn to the case where the vector fields ~ andn sa tis fy a cert ain
geom etric condition (for example, they are symplectic) . It is natural to ask whether
on e can choose the conju gation map to he canonical (in th e corres ponding sense ).
In order to solve thi s more delicate conj ugacy problem , we need to use the rel a-
t ionsh ips between vector fields and differential form s (see sect ion 2). as suggested
in [3].
 N ORMA L FO R~ IS OF VECT OR FI ELDS . . . 85

Let '"Y be a closed non-d egenerat e k-form and ~ and l' be vector fields which
preserve '"Y. It is not hard to verify that

therefore (4.2) implies th at

Let F and G be t he hamiltonians of th e vector fields ~ and 1/. Denot e by H , th e

hamiltonian of th e vector field 'P, we are seeking. Th en

d( i~ ,(dH, ) ) = dG - d F.

Takin g into account th e equ alit y

we get

whence
d(L~,Hc - G+ F) = o.
It suffices to find th e hamiltonian H , from th e equat ion

(4.3)

which is called th e cohom ology equation for ham ilton ians.

Let () be a cont act differenti al l -forrn . Because

th e equat ion (4.2) writ es

(4.4)

where F and G are th e contact hamil tonians of th e given contact vector fields ~
and TI , and H , is th e contac t hamiltonian of th e unknown vector fidd 'Pc.
Thus, in ord er to prove that two vector fields which pres erve the volum e
form (the symplect ic form , the contact structure) are conjugate with one anot her
by a diffeomorphism resp ecting the corre sponding structure, we have to solve th e
cohomology equation (4.3) or (4.4), th en find th e corresponding vector field 'P,
and integrate th e system :i.: = 'P, (x ), € = 1.
86 I.U. BRONST EIN , A .YA . KOPA :- SKII

5 Cohomology equations for hamiltonians

Let us writ e out the cohomol ogy equations for hamiltonians exp ressed in the canon-
ical coordinates (see (1.1)-( 1.3)) as well as th e corres ponding charac terist ic sys-
tem s.

a) The volum e preservin g case

(p = 1, . .. , d - l; q = p + 1, .. . , d) :

(5.2)
(1 ::; p < q ::; d; 11
d
E lR , Hf q E lR).

Here H, = {H fq : 1 ::; p < q ::; d} a nd , for each 1L E lRd, A pq(1I) E

L(lRd (d - l ) / 2 , lR).

b) T he symplect ic case

d
t 8H 8H
L (c", 8 , + 1),t 8 £) =
""' C _ F '. (5.3)
t= 1 1It Vt

n, = C (lL, v) - F(u ,v) , it = ~€(u, v), V = T],,(lL. r) . (5.4)

 NORlI.IAL FO R" lS OF VECT OR FIELDS ... 87

c) The contact case

~( tDH, t DH , ) on, (5.5)

L ~'-D + 17' -D +~'-D -p ~ ,H, =G-F ;
t =1 ILl ni , IC

n, = p~, . HE + G(IL, v , u') - F (lt . l'. W),

(5 .6)
·ti = ~, ( u,v , w ) , i' =T/,(U ,V,lr ). U' = ( ,(U, V,W ).

6 Introducing integrated variables

Before proceed ing to th e normali zation of jets of vector fields and th eir hamiltoni-
ans we have to int roduce integrated canonical "coord ina tes". As it was shown in
sect ion 3. without loss of gene ra lity we may assume that t he linear par ts of vector
fields arc reduced to the block-diagon al normal form (wit h respect to th e ca nonical
coord ina tes) .
Denote eli = dim Ai (i = 1, . . . , n ). T hen ell + ... + el n = d. Given a point
11 = (UI, . . . • ltd) E ffi.d, den ot e X i = (Uj,_ I+I " . . . Uj ,) . where i. = L \ =I rip (i =
1, . ... n) . jo = O. We sha ll also use the not ation J, = {j' -l + 1, . . . ,j, }.
Let u.: E Z~ be some mul ti-index. Denote r ' = (i = 1, . . . , n).
L j EJ w J
i

Clea rly, T = (T I , ... , Tn) E Z~ . Thus, we have defined an operator S : Z~ -->

S(w). Every monomial ir: == ·u1 . ... . ud ca n be wr itten as x

1 J
z!~ . T =
T
=
x l' . .. . . :r~" . where T = S(w).
Let ( be a polynomial vector field of degree Q. i.e..

Q
(j (u) = A j 1L + L iif., u'" (j = 1, .. .. d) . (6.1)
1"'1=2

In terms of the integrated variab les , ( ca n be rewritten as

Q
~i (X ) = AiXi + I:: a~xT (i = 1. . .. . n) , (6 .2)
ITI=2

where ~i = {(j : j E J;}, a~ = {iiL : j E Ji ,T = S(w)} .

Assum e that the vector field (6.1) preserves the sta nd ard volume from (1,1),
then its hamiltonian F defined by (2.1) is a po lynomial of deg ree Q + 1, i.e .,

Q+l
tpq(U) = L b~?u'" (p = I , .. . , el - l: q=p +l , .. . , d). (6.3)
1"-'1=2
88 L V. B RONST EIN, A .YA. K OP ANSKII

By using t he integ rated variab les xI , . .. ,X ", we get

Q +l
p j (X) == L b1 x r (1::; i ::; j ::; n ). (6.4)
Ir l=2

where

F ij == (F P'I: p E Ji, q E J j ), b~ == (bf:,'I : p E Ji, q E Jj .T == 5 (.<1)),

(6.5)
(1 ::; i < i : n).
Here it is convenient to ass ume that FM == - F'IP for q,p E .Ii . q < p.
If ~ is a symplectic polyn omial vector field on ]R2d . th en its hamiltoni an
expressed in t he integrat ed variables becomes

Q+I
F (x , y ) == L bn 13 x n y/3 , (6.6)
1"1 +1,11=2

where o , fJ E Z ~ . Similarly, for th e contact hamiltoni an we get

Q +I
F (x , y , z) == L ba i31 x" y13 z1 + bz. (6.7)
10+13+11=2

7 Normalizat ion of jets of vector fields and hamil tonians

T he polynomial vector field (6.2) is sa id to be resonant if th e condit ion Bi l'
(T, B) =: TIB I + ... + TnBn implies a~ == O.
Assum e that the vector field (6.2) preserves t he standard volume form (1.1)
a nd F is its hamiltonian defined by (2.1). It is easy to verify th at (6.2) is reson ant
iff th e condit ion Bi + Bj l' (T, B), i < i , implies that bij == 0 (see (6.4)) . Thus, it
is nat ural to say t hat t he hamilton ia n (6.4) is resonant if it cont ains only terms
bij x r with Bi + Bj == (T, B).
Similarly, t he symplecti c ha miltonian (6.6) is called resonant if (0, B) f ({3, B)
implies bo13 == O. Recall t hat in t he symp lectic case t he real pa rts of the eigenvalues
of A a rc equal to BI, . . . , Bn, - BI , . . . , - B".
In t he contact case, th e rea l parts of t he eigenvalues are equal to Bl , . . . , Bn ,
-B I + V, . . . , - Bn + u, i/ , Therefore, th e contact ham iltoni an (6.7) is said to be
resonant if the condition (0 , B) - ({J, B) + (, + {31 + ...+ (3n) v f v implies b0131 == O.
Let us consider the vecto r field ~ ,

Q
~i(X ) == A iXi + L a~xr + ~Q(x) , (7.1)
Ir l=2
 NORMAL FOR1\IS OF VECTOR FIELDS . . . 89

where ~Q E C K , K 2: Q + 1, DP~Q(O) = 0 (p = 0.1. . . . , Q ). Assume th at

(7.1) preserves t he sta ndard volume form. Clear ly. th e corresponding hamiltonian
F = (F ij) is of the form
Q +l
r j( x) = L b~ :r ' + F~+I(X ) . (7.2)
[,[= 2

where FQ + 1 E C K , DPFQ + 1 (0) = 0 (p = 0,1 , . 00 • Q + 1).

Lemma 7.1. Let s E {1, oo . ,n }, t E {L oo . , n }. s ::; t . Let a E z: ~ be a
multi-index such that lal = Q + 1 and Os + 0t =P (a , 0). There exists a canonical
change of variables y = g(:r) such that Dp(g - id)(O) = 0 (p = 0, 1. . . . , Q - 1) and
the hamilton ian F of the vector field E, = g.~ takes the f orm
Q+1
Fij(y) = L b~y' + F;j+1(y)·
[,[ = 2

where b'J = b~ whenever (i ,j. T) =P (s, t, a) : b~t = O. DPF;j+! (0) = 0 fo r p =

O,l , oo . ,Q +1.
Pro of. Let x = Ax be th e linear part of ~ at th e point J: = O. Let j = (]iJ)
be th e (d - 2)-form defined by j lJ = 0 if (i ,j) =P (s.t) . I 't(x) = b~t :ra . Consider
t he equation
(7.3)
Try to find the unknown (11 - 2)-form G = (G'J) so that Gij = 0 for (i ,j) =p (s , t)
an d Gst(x) = h~t x(1 . Note that (7.3) is a spec ial case of (5.1). Hence , (7.3) redu ces
to

+L rUr (-1)q+r-1(lqrGpr = j pq (p E i . . q E .fil·

Let us show th at th e real parts of all the eigenvalues of th e linear operator
LA,s,t : G" >-+ L AxG"t arc equal to t he number (a. O) - 0" - 0t. To this end,
approxima te th e (comp lexificd) matrix A by a semi-simple matrix B . T hen

where V l'OO ' ,Vd are the eigenvalues of B,p E .fs, q E .ft . a = S(w) . Takin g into
account that t he spectrum of a matrix dep ends cont inuously on its ent ries and t hat
A is a block-diagonal matrix we eas ily arrive to th e conclusion that th e spec trum
of L..\ ,.d lies on the line RCA = (a. O) - Os - 0t, as asserted above .
Because (a, 0) - Os - Ot =p 0, we see that syst em (7.4) (as well as equation
(7.3)) has a solut ion of the desired form .
90 LV . BROi'\ST EIN, A.YA. KOPAN SKII

Iden tify t he jet j~ (~) with th e Taylor 's polynomial of ~ of degree Q. Becau se
~ preserv es the sta nda rd volume form , th e polynomi al vector field j~ (0 is also
volum e pr eservin g. It s hamiltonian , I, coincides with j~ +I( F) . Let

Q+1
j ij(x) = L b1.T T
, j = (jij ) , j = j - f.
ITI=2

Clearly, jij (x) = 0 if (i.j) i- (s. r); l" = b~t x (f . Let C denote th e solut ion of (7.3)
and T) be th e corr espond ing vector field. Let l : ]Rd -+ ]Rd be th e phase flow of T).
Define ~£ = g:~ . Let F, be th e hamiltonian of ~, (see (2. 1)). Th en C is nothing
else th an th e solut ion of th e cohomology equat ion

(7.5)

Ob ser ve t hat th e components of C are O(ll xIIQ + l ) as Ilxll - O.

Therefore j~ -'-I (Lc.,C) = L..\xC, whenc e j~ +I([)F, /DE ) = j.
Thus, j~ + I( F, ) = f + 101, hen ce j~+I( Fd = j. We conclude t hat g l : ]Rd -+
]Rd is t he desired cano nical C X smoot h cha nge of var iabl es a nd F = Fl' The proof
is complete.
Analogous result s hold for sy mplect ic a nd contact vector fields .
Lemma 7.2. Let F be a symplectic hamiltonian of the f017n
Q +l
F( .T,y) = L ba {J x O y13 + FQ + 1 (x ,y ).
la+ /l1=2

where FQ+1 EC I \ . J( ::::Q+l and D PFQ+1(0) = 0 (p = O. l.. . .. Q +l) . Let the

pair (0, il) be such that 101+ 181= Q + 1, (0, B) i- (8, B). Then there exists a C X>
smooth canonical change of variables which brings the ham iltonian F to the fo rm
Q+1
F(:r , y) = L ba{JxOy{J + FQ+l (:r, y).
la +131=2

where ba13 = bap lL'h enever (0 , /3) i- (Q, il) , and bOI! = O.
Lemma 7.3. Let F( x , y , z ) be a contact hamilton ian of the f017n
Q+1
F( x .y. z) = L bap"I x ay 13z"l + bz + FQ-d(x ,y. c).
1" +/:1+"11=2

where FQ+l E C/\. J( :::: Q + 1, DPFQ+1(0) = 0 (p = 0.1 , . .. . Q+ 1). Let (0 , il, i )

be a triple of multi- indices such that 101 + lill + Iii = Q+ Land (0. B) + (i+ lilJ)v i-
 NOR;VIAL FORl\IS OF VECTOR FI ELD S . .. HI

(6 ,0) + v . Th en there ex is ts a Coo sm ooth canonical change of variables whic h

reduces F to the [orin

Q+ I
F (x ,y, z) = L b"(h x" yi3 z' + bz + FQ + I (:z; , y, z ),
1<> +(1+, 1=2

8 Resonant polynomial normal forms of hamiltonians

°
Let ~ be a C K smoot h vector field , ~ (o ) = 0, A = D~ (O ) a nd 1 . " • , Oil denot e
th e real part s of the eige nvalues of A. Assume th at 0; i' 0 (i = 1, . . . , It), i.e., the
origin is a hyperbolic sing ular point of ~. Denote

l\! = max {o; : i = 1, . . . , n}, II = min {O, : 0; > O} ,

1\ = max { -O; : 0; < O} , A = min { - O, : 0, < O}.

Lemma 8.1. Let ~ preser'Ve th e stan dard volume form an d F be its h am ilt o-
nian defi ned by (2.1). Let k be an in teger sa tisf ying the inequality

21\ 2f1,r ;\1 A

K. :» - +-+(k+ l) (-+ - )+ 2. (8. 1)
A It A /l

Th en th ere exis ts a can onical tran sformation of class C " defi ne d in th e vicinity of
the origin uhicli conjugates F an d jl!
(F) .
Proof. Identify the jet jJ' -1 (0 with the corresp onding Taylor 's polynomia l.
Clearly. th e polynomial vector field j6' -I(O respect s th e standa rd volume form .
Recall th at th e hamiltonian F is a (d - 2)-for m of class C I ' . It eas ily follows th at
j fj (F) is the hamiltoni an for j6'- I (~ ) . Consider t he cohomology equat ion (5.1) a nd
th e relat ed affine extension (5.2), where ~€ = EjJ"- I(O + (1 - E) ~, G = j {j(F ).
Then A = (Apq(u)) is a family of linear morphisms of class C K - 1 C CH I a nd
j(j(G - F ) = O. It is eas ily seen from (5. 1) t hat the s pect r um of t he mat rix A (O )
lies between t he lines Rev = - 21\ and Rev = 2:--1. :\ow apply Theorem 10.3 from
t he App endi x. The pro of is complete.
Lemma 8.2. Let ~ be a s ymplectic vec tor fiel d on R~d , F be it s ha m ilto nian ,
I.: be an integer satisfying
' 21\(1.: + 1)
II. > A +2. (8.2)

Th en there exi sts a (locally defin ed) can onical chan ge of rari ables of class C" whic h
conjugate s F and jJ' (F) .
92 LV . BRONST EIN, A .YA . KO PANSKI!

The proof is similar to that of Lemma 8.1. Ob serve that th e spec t ru m of t he

linear part of ~ is symmetric rela tivel y t he imagin ary ax is and t he first eige nvalue
of (5.4) equ als to O.
Now let ~ be a contac t vect or field on JR2d+l, F be its cont act hamiltonian a nd
r] be the symplect ic vector field on JR2d+ 2 t ha t corresponds to ~ . Since ~ (O ) = 0, we
have: r](O) = 0 and the origin is a hyp erbolic singul ar point of T]. Denote A = Dr](O) .
Define the numbers ,\ and A for A , as before.
Lemma 8.3. If k sati sfies th e inequa lity (8.2) then there exis ts a canonical
tra nsformation of class C k wh ich conjugates F an d j t: (F ) near th e origin .
Combining these results with the results pres ented in t he pr eceding section,
we obt ain
Theorem 8.1. Let ~ be a vect or fi eld of clas s C K whic h preserv es th e (s tan -
dard) volume f orm (symplectic fo rm, con tac t st ru cture) and th e origin be a hyper-
bolic sing ular point of ~ . Let F be th e correspon din g local ham ilt onian. If k satisfi es
th e ine qu ali ty (8.1) or, respectively, (8.2) , th en th ere exis ts a local can onical tran s-
fo rm ation of class C k whic h reduces th e ha miltonian F (and. conseque n tl y, th e
vec to r fie ld ~ ) to th e polynomial resonan t n ormal [a rm .

9 Simplified resonant normal forms

Basically, a resonant vector field ca nnot be linear ized via real- an alytic or infinite ly
sm ooth t ra nsforma t ions. Never t heless , it turns ou t that some reson ant mo nomials
z" ca n be eliminate d by using c - (k < (0 ) changes of vari abl es. The first condition
on a mul ti-index T provid ing thi s pr ocedure was proposed by Sam ovol [5]. His main
idea was further develop ed by the aut hors in th e book [2]. In particular , we have
introdu ced the following sufficient cond it ion that comprises all th e known ones.
Condition 2t(k ). The mult i-ind ex T = (Tl , . .. , Tn) E Z~ is sa id to sa tisfy
the cond it ion 2t(k) , k 2: 1, if th er e is a collec t ion CT = (CT1 •. . . , CT p ) of n-vecto rs
a ; = (a} , . . . , a f ) (i = 1... . , p) with non-nega ti ve components such that eit he r
n

(O'i , O) == 'L, t:r{ Oj= 1 (i=I , . .. , p) or (O'i , O) =-1 (i =I , .. . , p)

j =l

and th e inequ ality

(T,11) > k max { Uj : j = 1, .. . , n}

holds for every vertex u = (iiI , .. . , un ) of the convex polyhedral domain D = D(O')
determined by t he inequa lit ies

Uj 2:0 (j=I , .. . . n ), (O'i, U) 2: 1 (i = l.. . . ,p).

In ord er to clarify the essence of the above cond iti on, let us not e t ha t t he ma p-
ping <I> : JR" -> IR. <I> (x) = Cln (lx l'" + ... + Ixl"p) (here Ix la, == Ixd "! . . · 1·r" I";' ),
 NORMAL FORMS OF VECT OR FI ELDS .. . 93

e
is k smooth iff the multi-index T sa t isfies th e condition 2l(k) with respect to th e
collect ion (J = (0'1 , " " O'p) . We point out that th e changes of vari ables of the form
z = y + <I> (x) arise naturally when linearizing th e model vector field

Let Q be an integer , Q ::0: 2. The polynomial

Q Q
P( x ) = (L p2 x w , .. . , L P:;' .rW )
Iwl=2 Iwl=2

is called T-divisible if P~ =!= 0 implies r ~ 1

WI , . . . .r" ~ wn .
Lemma 9.1. Let E and F be fin it e-dim ens ional real vector spaces, dim E =
d; ± = A x be a hyp erbolic lin ear vector field on E and :1; = By be a lin ear vector field
on F. Let r E Z ~ satisf y condition 2l(k) with respect to the vector field ± = Ax .
Let P : E -; F be a r-divisible resonant polynomial. Let Q, : Ex F -; F be a ex;
sm ooth fam ily of resonan t polynomials , Q,,(x ,O) = 0 (x E E), and qc : E -; E be
a ex; smo oth fam ily of resonant polynomials. Th en the extensi on

iJ = By + Q ,,(x , y) + P( x) , ± = A x + q,,(x ) (9.1)

admits a C" sm ooth invariant section y = 'Pe (x ) which ex; smoothly depend s on
the param eter E.
The proof of this lemma is based on th e techniques elaborated in [2], Chap-
ter II. It uses th e iter ative method of int roducing additional variables (see Lemma
II.8 .1) as well as Theorem II.5.23 ad apted to th e case of vector fields. Becaus e of
th e size limit ations, the details are left to the interest ed reader.
Let us say th at th e hamiltonian F of the vector field ~ is redu ced to th e
sim plified resonant polynomial k-normal f orm if F is a polynomial which contains
only such resonant terms x" that T does not satisfy condition 2l(k + 1).
Theorem 9.1. Let the vector fi eld ~ and its ham ilton ian F satisf y the hy-
poth eses of Th eorem 8.1, then F can be redu ced to the si mplifi ed resonant polyno-
mial k-normal f orm by a local canonical transformatio n of cla ss c» .

Proof. Let F be t he resonant polynomial hamiltonian of the vector field ~.

Represent F in th e form F = P + Q , where P is a r-divisible resonant polynomi al
and T sat isfies condition 2l(k + 1). Let A = D~(O ) and p be the polynomi al vector
field which corr esponds to th e hamiltonian P . Denot e F" = Q + EP , th en ~e(x) =
Ax + q(x) + Ep(X).
Let us prove that th e cohomology equations (5.1), (5.3), (5.5) with G-F = P
have CHI smooth solutions. Consider th e corresponding characterist ic systems
(5.2), (5.4) and (5,6). In each of the three cases. the characte rist ic system is of
th e form (9.1). Accordin g to Lemma 9.1, th ere exists a family of invariant sections
94 LU . BRO NSTEIN , A .YA . KOPA NSKII

y = He(x) of class C k + 1 . The hamiltonian He det ermines a cha nge of varia bles of
class C k (sec Secti on 4).
Appl ying successively these argument s to all multi-indices T satis fying C011 -
dition 2l(k + 1). we get th e desired result .

10 Appendix
At first, let us recall some definiti ons and state th e standing assumptions. We keep
th e te rminology a nd notation adopted in [2].
Let p : (E , JR, T. ) -> (B , JR, p) be a linear exte nsion. The numb ers

n (;r, b) = lim sup t In 1I1l't(b) ll,

t - + oc
""(T. . b) = -lim sup t In I11l'- t (pt (b))11 (b E B)
t- + :>o

arc called the upper and the lower Lyapunov exp onent s. They do not dep end on
th e choice of t he Riemannian metric on (E, p, E ).
Let M be a compac t smoot h manifold, ~ : M -> TA1 be a Ck ~ 1 vector field
a nd (M , IR, J) be th e phase flow determined by ~. Let f1 be a submanifold of AI( of
class C 1 invari ant und er th e flow f and T ~/vt denote th e restriction of t he tangent
bundle T}vt on f1.
In what follows, we shall assume that t here exist T f - Invariant vector sub-
bundles X and Y of T,:,.M such t hat

(a) T~M = Tf1 EEl X EEl Y ;

(b) n (Tf IY,b) < 0, -w(TfIX,b) < 0,
n (Tf IY,b) - kw(TfITf1 ,b) < 0,
-w(T fI X , b) + kO(T f IT f1. b) < 0 (b E B ).

These conditions mean t hat the submanifold f1 is norm ally k -h yperbolic. Accord -
ing to th e well-known resu lts (sec, for example, [2], Theorem V.2.2). t here exist
the st able manifold IP(f1) and the unstable manifold IVU(f1 ). both of class c»,
such that

Consequ ently, f1 is a C k submanifold .

Assume, in addit ion, th at

(c) O(Tf IY, b) - w(T fI T f1, b) + k · O(T f lTf1 , b) < 0,

- w(T f IX. b) + n(TfITf1 ,b) - k · w(T fITf1.b) < °
(b E B ).

By [21 , Theorem V.4.6. th ere exist f - invariant foliati ons of class C k.k+l
 I\ O H:\IAL FORMS O F VECTO R F IEL DS .. . 95

such t hat TbIP" (b) = Yb, nWlL"(b) = X b (b E ~ ) . Smoothness of class Ck.k+l

mean s th at the leaves ly' S(b) and W UU(b) ar c C H I submanifokls which C"-
smoo thl y depend on b E .6.. Henc e it follows th at X and Y ar e C " vector subbun-
dies of T':;' JV1 .
Let U = U(.6.) denot e a sufficient ly small neighbourhood of .6. in M a nd
H : X e Y -> U(.6.) be some t ub ula r neighb ourhood of class C" ·HI . By using t he
map H - I t ra nsfer the local flow f lU to th e neighb ourhood of th e zero section Z (.6.)
of the vector bundle X EB Y . In other word s, henceforth we sha ll assume th at in t he
vicinity U of Z (.6.) :=::: .6. th ere is defined a local flow of class C ",HI which preserves
Z(.6.). Takin g into account what has been sa id ab ou t the foliati ons {ly' S(b)} and
{W "" (b)} . we ca n st ra ighte n ou t these foliati ons by using an a ppropria te C ",HI
local diffeomorphism . So we shall ass ume that IpS(b) = }'i" ~V U " (b) = X b (b E B ).
Let P : X EB Y --> .6., [Ix : X EB Y -> X and PI' : X -3 Y --> Y be the natural
pro jections. Gi ven a point z E X b EB Yb, we sha ll write : = (b, :r , y) (b E .6. , J ' E X b,
Y E Yb ) and
F(z) = U f(b, x ,y) , !Hb , x. y). f:\ (b..r. y )).
Recall th at f i (i = 1,2 , 3) arc C" ·H I smooth and

f i(b ,O,O) = f t(b), f i(b ,O,V) = O. fW I.X,O) = O.

1'\ 0\\' let us st ate the last but one standing assump tion. Let (E , Jr , X EB Y ) be
a vector bundle of class C " a nd F' : E IU(.6. ) --> E IU ( ~) be an affine exte nsion of
th e local flow F IU(.6. ), i.e .,

F t(w) = At(b, x ,y)w + <pt(b, x ,y) (w E E z , z = (b, x ,y)), (10 .1)

where At is a linear F -morphism . Moreover . assume th at

where e,::t : X EB Y --> PQ(Y. E) is a C " sect ion of th e bundle PQ(Y, E ) (t he space
PQ (Yb , Ezl of hom ogeneou s pol ynomi als of degree Q serves as a fiber of PQ(Y, E )
over z = (b,x, y ) E X EB Y) a nd 'ljJ t : X EB Y --> Ps(X. E) is a C" section of the
bundle Ps (X , E) .
Let E.:;. be th e restriction of the vector bundle E to 6 and Ah = At jE ll .
Theorem 10.1. If the standing assumption (a). (b). (c), (d) and

(e) - w( A o, b) + Q . I1(TfIY,b) + k · I1(TfIX. b) < 0,

I1(A o, b) - S · w(T f iX, b) - k · w(T f lY. b) < 0 (b E 6 )

are fulfill ed. then there exist s a C " smooth local section a : U(.6.) --> E in variant
und er the local fl ow Ft .
Proof. Becau se At is a linear morphism . it suffices to pr ove the st atement in
th e case where 1/;t == O.
96 1.U. BRONSTEIN , A .YA . KOPA NSKII

According to [2], Lemm a III.2.3, th e cond itions

sup IITllYbl1 < L sup II T r tIX j' (b) 11 < 1,

bEt. bEt.

sup IITrt IXj ' (b)I II ITft ln~ ll k < 1,

bEt.

sup IIA-tIE(j' (b),o,Q) II IITft IYb IIQIITlIXbllk < 1 (10.2)

bEt.

hold for all sufficiently lar ge numbers t > O. Fix such a numb er t . Let us prove th e
existence of a C k smoot h sect ion a : U ---> E invari ant und er t he local diffeomor-
phism Ft . For simplicity of not ati on we sha ll drop th e upper index t.
At first , exte nd th e map f lU to X EB Y and th e ma p F to E in t he following
way. Denote LIXb Ell Yb = Df(b,O ,O) (b E ~) . Clearl y, L : X eY ---> X EBY is
a linear morphism of class C k and covers th e diffeomorphism f l~ . By shrinking
th e neighb ourhood U of th e zero sect ion Z(~) C X EB Y we can make th e map
L -1 0 flU as ncar to id as we like. Therefore there exist s a vector field v : U ---> TU
of class C k.k+1 such th at L- 1 0 f = expov on U . Let v : X Ell Y - T(X EB Y)
be a vector field of class C k,k+1 which agrees with v on U and vanishes out of
some lar ge; neighbourhood Uo. Define f = L 0 exp ofi. Clearl y, f lU = f lU and
f = L on (X EB Y) \Uo. Hencefor th , we shall omit t he tild a over f . Analogously,
ext end th e linear morphism A to E so t hat A(b, x ,y) = A(b, 0, 0) out side of some
neighbourhood Uo. At las t , exte nd <P to E by t he cut-off procedure.
Becau se h(b,x, 0) = 0 and h E Ck,k+l , t here exists a mappi ng b : X EB Y --->
L (Y, Y) of class Ck such that h(b,x ,y) = b(b, x ,y)y. Moreover , b = LIY outside
of some neighbourhood of th e zero sect ion.
That th e section a : X EB Y -. E is F - Invariant can be written in the form

A(b, x ,y)a(b,x,y) + <P(f(b,x ,y)) = a(f(b,x , y)),

or
a(b,x,y) = [A(b,x ,yW10'(f(b,x,y)) - [A(b, x ,yW1<P(f(b.x .y)) ,
which is equivalent to

O'(b, x,y) = A-1(f(b,x ,y))0'(f(b, x ,y)) - A-1(f(b, x ,y))<P(f (b.x.y)). (10.3)

At first , let us prove t ha t equat ion (10.3) has a cont inuous solut ion. Denote
by rO(E) th e set of all cont inuous sections of th e vector bundle E and by r~(E)
the set of all 0' E rO(E) such th at

1I 00 (b,x , y)11 }
1110'1110 == sup { IlyllQ : b E ~ , x E X b , Y E Yb , Ilyll l- 0 < 00 .
 NORMAL FOR~.IS OF VECTOR FI ELDS . . . 97

Clearly, [~ (E) provided with the norm III . 1110 is a Banach spa ce. Consid er the
affine op erator F# : [O(E ) -> [O(E) defined by

F# db .x,y) = A- 1(f (b, x,y ))er(j(b, x ,y) ) - A- 1(j (b.x,y))<1>(j (b,x,y)).

Let us show that [~(E) is invariant under F#. In fac t , let a E [~ ( E) . No te that
,p E r~(E ) accordi ng to hypothesis (d) . Therefo re

, III = ' {IIA- 1(f (b,X,y))er (j (b,X,y )) - A - 1 (j (b,x ,Y))<1> (j (b,X,Y))II }

I!IF# er ° sup IlyllQ

11 .4- 1(f (b,x ,y ))er(f (b,x ,y ))11 II A-1 (f (b ,~·.y ) )<1>(f(b,x ,Y))11
::;sup Il yIIQ + sup liy llQ

<. ,- 1 11<1> (j (b,x, y) )11 1I <'( b.x ,Y)II Q IIIJII Q

_sup
b E~
(II A " )IIQ ' SUp
IE!( b,O,(J) II+E ) ' SUP II! 3 (Ii ,oL,y II'Iy IQ

1I
::;sup (IIA- E J(b.o,0)II + E)' sup (II T f lYb l + E) Qm erilio + 11I <1> llI o}.
b E~ bED.

wher e E is a positive number whi ch depends on the neigh bourhood U of Z (~) and
can be made arbit rarily small by shrinking U . Thus , F#CT E r~(E) .
Next let us show that F# : r~(E) --+ [~(E) is a contracting op er ator. It is
eas ily seen from the above estimates that for a ny erl , er2 E r~(E) we have

111F#erl - F# er2 I11 o ::; (sup II A- 1IE ! (b,0,0)11 + E) ' (sup I Tfl Ybl1+E)QI IIO'I - er2 1110.
bED. bE D.

Recalling (10.2) and assuming th at E > 0 is sufficient ly small we co nclude that

F#If~(E) is a cont rac tion . Let ij E r~(E) be its fixed point . Then ij is a cont in-
uou s F - invaria nt sect ion of the vector bundle E .
Now let us pass to the proof that ij is C " smooth. Denote B = X EB Y. Recall
t hat (E, Jr . X EB Y ) == (E , rr, B) is a c - vect or bundle. Let us bri efly pr esent some
notions and facts from [7] whi ch we sh all use later on . For m = 0,1, . . . , k, denote
by pm(E) th e set of all m -jet s of sect ions of th e bundle (E , tt , B ) endowed with
the natural st r uct ure of a C k - m vector bundle over B . There exi st s a canonical
filtr ation
E L pl(E) L ... C- p m(E ).

where pi ar e surjective linear morphisms of clas s c s:' (i = 1, .. . ,m). Let N m(E)

denote the kernel of p'" , Then p m(E) = pm-l(E) e s m(E) is a c -:» vector
98 1.U . BRO:"ST EI:'J, A . YA . KOPA:\SK II

bundle over P", -I (E ). The kern el N "' (E) is naturally isomorphic to L ", (TH, E) .
Ther e exists a n isomorphism

JI", : P "' (E ) -+ E e L (TR , E ) Ef! . . . @ L", (T B , E ) == L ''' ( E ),

but Il ", is not natural. Every c - automorphism (F, f) of th e bun d le (E, n . B )
indu ces a morphism p m(F ) : P"' (E ) -+ P "' (E ). By using t he isomorphism 11""
P"' (F ) can be writt en as follows:

where 11", == ( 11"' -1 ' ~"') = (v, e, . · . ,~"'- I, ~rn) , v E E , E L ,(1'B ,E) (i = e
1, ... , rn ),1/I", E L (L m-I (E ),L", (TB , E)) and D v denotes t he derivati ve along
th e fiber.
Let [0 (P '" (E)) denote the space of all cont inuous bounded sect ions of th e
vector bundle p m(E ). Clearly,

Let (i~' : [O(P"'(E) ) -+ [O(p", - I(£)) denote the natural projection . T he a uto-
morph ism ( F, f) induc es F#: [0 (£) -+ [o(E ), where

and P#' (F ) : [ O(P "' (E )) -+ [O(p m(E )), which can be written as

P#' (F)('\ , IL)(d)

= (Pi;,-I (F)( '\ )(d), D v F ((J(f -l (d)) ) 0 Il 0 (T f - I (d))'" + J..';" ('\ )(d)) ,
(10.4)
whcre X E [ O(P", - I (E )), Il E [ O(L ", (TB , E )), (J = 0 .. . 0 p~' - I ( ,\ ), and P;
l/J;"('\ ) E [ O(L m(T B. E )) is a sect ion which depends only on '\ .
Let us return to th e pro of t hat (j is c- smoot h. App ly formula ( 10.4) to
th e morphism (F - 1. j- I ), where F is defined by (10.1). Becau se .Y"' ( E) ca n be
decomposed as a direct sum of £" ." s (1'6., X, Y ; E ) for all non-nega tive integers
q, r, S su ch th at q + r + s = rn, we get
1
P#, (F - )( '\ , /l )(b. x , y)
= ( p ; ,-I (F - 1
)( ,\) (b, x , y ), 1/1;"(,\)( b, z , y)
+ L A - I (f (b, X , y)) 0 11",r,s 0 (T f l7/,6.)"( 1'f lXb)"( T f lYb)'
q+r+s=m

+ L A -1 (f (b, x , y)) 0 <P" ,r,s 0 (Tf IT b 6.)"(TfI Xb)"(T f IYb )") ,

q+r+ s =rn

where IL",r,s denot es t he proj ection of Il onto £'1"',5(1'6.. X , Y : E ) and <pq ,r.s is t he
sam e proj ection of the ma in pa rt of jm (<p) .
 [\'OR:\IAL FOR i\IS O F VECTOR FIELDS . .. 99

LC'l r~ ( p m ( E ) ) denote t he su bspace of r O(p "' (E ) ) which consists of sections

~ E r O(p"' (E )) such that th e proj ection ~q . ,...< of ~ onto r O(Lq.,-..,(T Li. X. Y : E ))
~a l isfics t he cond ition

' 111
111"m sup
{ " ~'1.r,.(b ..-.,r . y)11 : (b.I.y
lI yIl Q ' )
E
v-e }',
A

II.IJII i' 0, If + r + S :::; TIl} < X .

P rovide r~ ( pm ( E) ) wit h the norm III · 111m'

To prove th at a is C" smoo t h. we proceed by indu ct ion ,
Induction hypothesis. For 1 :::; ni :::; l: and all i , 1 = 0. 1" . . , TIl - L a is a C I
smoo t h section a nd, moreover, /(a) is t he att racti ug fixed point of t he opera tor
P~ (F - I ) : r~ ( pl ( E) ) ---> r~ ( pl ( E ) ) .
Co nside r t he morphism P; ' (F - 1 ) : r ~ ( p m ( E ) ) - r ~ ( p m ( E) ) . Let us show
t hat P#' ( P - l ) transforms r ~ ( p TIl { E ) ) iuto itself. Let 11"1-1 E r~ ( p m - l ( E ) ) and
(1Im - I.C') E r~2 (pm (E ) ) , Since <I>( b, I ,y ) = <p(b.;r, y) yQ where .p is bou nded in
th e C k norm on X EB Y , it is not hard to show t hat / «1» E r~(pl (E )) for a ll
I = O. I. ... . k (see [2], section A.8). Hence

In fact. t he first term is bounded because 71"1- 1 E r~ (pm- I ( E) ) , the seco nd and
t he t hird terms arc bou nd ed since j "' (<f» E r~ ( p m(E )). ( 11m- I . e") E r~ (p m (E) )
and !:J (b.l·. y) = 8(b.x, y)y.
Next let us show t hat P; ' (F- l ) is fiberw isc contr acting on r~ ( p "' ( E ) ) over
r~ ( p "' - I ( E) ). If ( 7Im _ l , ~m) a nd ( 7'm_ l .~m) belong to r~ (pm ( E) ) , th en
100 L U . BRO NST EIN, A .YA . K OP ANSKII

~ L 1
sup( IIA - IEf(b.o,O)11+c)( II T f lnbo ll +E)q( II T f IX bll +c)' X
q +r+ " =7flbE~

<")5. . 11 (~ m _~m )(f (b, x,y)) 1 1 . lIo(b,x ,y)yIlQ -5

x (IIT f IYibII + - SUp II h(b,x,Y)IIQ 5 SUp lIyllQ- S

< L I
sup(II.4- IE! (b.o .O)1I +c )( II Tf IYb+ E)Q(IITf ITbbo ll +cfX
q+r+5 =mbE~

r . . 1I(~m _ ~m ) (f ( b, ;r , y ) ) 11
X
( 1IT f IX bII + E) SUp II h (b,x ,Y)II Q- .,

~sup(IIA-I I E!( b,O,O ) 1I +e:)(II T f lYbII +o)Q(IITf IXbli +d '1I 1~m - ~m l ll m ,

bE 6

becau se n (Tf ITbo , b) < w(T f IX , b) ~ ll(T f IX,b) . Tak ing into accou nt (10.2) and
ass uming E > 0 to be small enough, we der ive th at P; (F - 1 ) is fiberwise contract-
ing on r &(p m(E )) over r &(pm-l (E)). Accordin g to th e induct ion hypot hesis, a is
e m 1
- a nd r::'(a) is th e at tracting fixed point of p ;: -I (F - 1 ) : r &(pm- I (E)) ->
r &(p m-I(E) ). I3y T heorem A.25 from [2], th ere exists a secti on 17m E r &(N m(E ))
such th at 7Jm == (jm - I ( O' ) . ~"' ) is th e at tract ing fixed point of P; (F -l ).
Let us prove th at a E em and 17m = j""(O') . To this end. consider th e se-
quence {j"'(F;" (<1» }}n = {[ P;;'( F- 1 )]" (jm« I>))} (n = 1, 2, ... ). Because 7Jm is
th e att ra ct ing fixed point of P; ' (F- 1 ) , th e sequence {j m(F; " (<I>))} " =1.2 ,.. . uni-
formly converges to 7Jm and, moreover , {F; " (<I> )} -> a in th e COtopology. Hence,
ij is em smoot h and jm (O' ) = '1m' This means tha t jm (O') is th e att ract ing fixed
point of t he morphism P; (F -l ) : r~ ( pm (E) ) -> r &(pm(E )). Because a is t he
unique F -invarian t section of r &(E ), it is necessarily invariant under t he flow
[F"}, The proo f is comp lete .
z
Let = ~( z ) (z E R ) be a
d
c-
smooth vector field. Assume t hat th e origin
Z = 0 is a singular point of ~ . Denote L = D~ (O) . Decom pose ]Rd into a direct sum
of L- invar ian t linear subsp aces ~V, X and Y so t hat t he spectrum of LIB! is pur e
imagin ary and th e real parts of the eigenvalues of L !X (L IY) arc posit ive (negative,
resp ect ively). Let { jI} denote th e phase flow of ~ . With out loss of generality, we
may suppose th at l V, X and Y ar e f t- invari ant. Besides, consider the vecto r field
it = .4(Z)lI + <1> (z), z= ~(z) (z E ]Rd, 11 E IR C ) , (10.5)
d c d
e
where A : IR -> L(IR , IR ) an d <1> : IR -> IRe are k smoot h functions.
C

Let us introduce some more notat ion . Given a linear operator £ , denote by
0-( £ ) its sp ectrum and define
w(£ ) = min {ReA : A E a(£)} , ll(£) = max{ReA : A E a(£ )} .
Put e = ll(A(O)) . e = -w(A(O)), M = ll(L IX) , J.l = w(L IX ),
A = - w(LIY ), A = - ll (LIy) .
Observe th at M, It, A and A are positi ve numbers.
 NO R ~I AL FOR ~I S OF VECTO R FI ELD S .. . 101

Theorem 10.2. A ssum e that <P (b, x , y ) = y (b, x , y) . yQ + 'l/)(b. x , y ) . :r s . where

b E W, .?' E X,y E Y , y , 'l/' E C' , O- (J>' + 1.: r.1 < 0.8 - Sit + 1.:1\ < O. T hen th ere
exists a C" sm ooth fun ct ionu = a( z) define d in the neig hbou rhood of z = a su ch
that its graph is invari ant un der th e vec tor fi eld (I a..j ).
The proof of t his st at ement is similar to th at of T heorem 10.1 and will be
omitted . Wc only note that there is no need in assuming th at. th e vector field (10.5)
is of class C H I (as we did in Theorem 10.1).

Theorem 10.3. Assume that th e [u ct ion <P IF!;" - jRc is of class Cl\ and
1I <I> (b. :r. y)11 :S CII(x, y) IIQ , where

J( > 0/>. + 8lit + h,(:'>.I />. + A/ p + I ) + 2,

Q > 0/>. + 8 /11+ 1.: (1\1/>' + A/I I) + 2.
Th en there exis ts a (local) invarian t C' sm ooth secti on of th e affi n e extension
det ermined by (10.5).
Theorem 10.3 follows immediately from Theorem 10.2 by virt ue of Taylor 's
formul a.

References
[I ) Yu.S. Ilyashenko a nd S.Yu . Ya kovenko. Fi nit ely s moot h normal forms of local fami-
lies of diffeom orphism s a nd vect or field s. Usp ekhi Xla t , Xauk , 46. 1\'0.1 (1991 ), 3 -:l9
(in Ru ssian).
[2] l. U. Bronstein a nd A.Ya . Kop an skii. Smooth Invariant Manifolds and Norma l Forms.
World Scie nt ific. An Internation al Publish er. Sin gapor e. 1994.
[3] A. Ba nyag a , R . dc la Llav e and C. E. Wayn e. Co homology eq uations near hyp erbolic
p oint s a nd geo met ric versions of St ernber g lineari za tion th eorem. "IP ARC Preprint
94-135 .
[,1] V.l. Arnol'd . Ma t hemat ica l Method s in Cl as sical Xlech anics. Springer-Verl a g, New
York . 1978.
[5] V .S. Sa movo l. Lineari zation of sys t e ms of different ial equ ations in th e neighbourhood
of a toroid al manifold . Trudy Moscow Mat h. Ob .. 38 (1979). 187-2HJ (in Ru ssian)
[6) I\. Bourbak i. Differ en ti abl e a nd An aly ti c Manifolds (sum ma ry o f resul ts) . f-,[ir Pub-
lish ers. Moscow, 197.5 (in Ru ssia n ) .
Progress in Nonlinear Differential Equations
and Th eir Applications. Vol. 19
© 1996 Birkhauser Verl ag Basel/Switzerland

On symmetric w-limit sets in reversible fl ows

J eroen S.W. Lamb Matthew :'\icol*

Abstract
Let r c O (n ) be a finite group act ing ort hogonully on 2". We say t hat I' is
a reve rs ing sy mmet ry group of t he How I' if r has an index two subgroup
t whose eleme nts commute wit h l' and for all cleme nts p E r - i' and all
t , I' 0 p(x ) = p o 1- ' (x ) . In dimensions 11 = 1, 2 we describe all synu net ry
grou ps of w-limit sets for such reversible flows. In case Tl 2: I we give gro up
and representation th eoretic res t.rict.ions 0 11 po ss ible symmetry gro ups and
show that for subgroups of t our cond it ions are necessary and suffi cient. We
also describe in det ail t he possib le sy m me t rics of periodic orbi ts .
fi nally, we show th at if a Lia pun ov stable w-limit set is fixed se twiso by
a re versi ng sy mme t ry t hen it is transitive.

1 Introduct ion and outline

In t his pap er we will be conc ern ed wit h t he sym met ry prop er t ies of w-lim it sets of
reversib le flows. For complet en ess, in t his introd ucto ry discussion we will mention
earlier results pertain ing t o t he sy mmetry pro pert ies of ...:-limit sets of ma ppings
as well. In recent years, a num ber of st udies [2, 5, IG. 17] have resul ted in necessar y
and sufficient cond it ions for sta ble w-lim it set s t o ha ve sy mme t ries in cqu ivariant
dyn amical sys te ms. In t his pap er we will discuss ex te ns ions of th ese results in t he
flow co ntext by tak ing int o acco unt t he presence of reversing sy m metries.
\\'e will write invertible dyna m ical sys te ms in th e- form F : R" ....... R", wit h
t he tim e vari a b le t E Z (di screte time) or t E IR (cont inuous t ime), such t hat F
t
is cont inuous on 1R" , 1 e ] '» = t I +t z fo r all i] . t i - and 1° = id . In the case- of
d iscr ete t ime we t hus ha ve the dyna mics gene ra te d by a homeo mo r p hism f = 11
(wit h I" = f 0 . . . 0 I (n t imes) ). In case I is more-over cont inuously differ en t ia ble
it is a diffe-om orp hism. In t he case of cont inuous t ime It is t he flow of a vect or
field in 8," .
\\'c will di sti ngui sh two ty pes of sy mme t ry properties. The hom eom orph ism
a : 1R" ....... Irt," is a symm etry of F if for all t

F oa = a oF , (I )
' Nonlinea r Syst ems Lab orator y. Mat hemat ics Inst it ute. Univers ity of War wick, Covent ry C V4
7A L. United Kingdom
104 J ERO EN S.W . LA ~ l B . :\I AT TIl EW N ICOL

where 0 de not es composi tion. W hen r has a symmetry a it is a lso called a -

equiv ariant. T he collect ion of a ll symmet ries of r
form s a group under composi-
tion. This gro up is usua lly called the symmetry group of [' :
In additio n to symmetries, r may a lso possess reversing symm etri es: a hom e-
omorphism p : jR" f---+ R" is a reversing symmet ry of I' if for all t

(2)

As th e composition of two reversing sy mmetries yields a symmet ry and t he com-

positi on of a reversing symmet ry a nd a sy mmet ry yields a reversing symmet ry,
the union of t he sets of sy mmetries and reversing symmet ries of r for m a gro up,
which we will ca ll t he reversing symm etry qroup of I I [9]. It is eas ily checked t hat
a ny reversing symmet ry group cont a ins a normal subgroup of index two whic h
contains only symmetries . A dyn ami ca l sys te m which possesses a reversing sy m-
metr y will be called reversible. It should be not ed t hat we do not requ ire reversing
symmet ries to be involut ions. Recall t hat a map p is called an involut ion if (12 = id.
The w-limit set of a poin t x E ]R" consists of a ll y E IR" for which th ere
exists a st rict ly increasing set of posit ive ti mes {td (\\'ith eit her t k E Z or t k E ]R
and limk_ oo t k = oc) such t hat t k(x ) converges to y . The :.:-limit set of a flow
is always connected. We will be concern ed wit h sets A which are "" -limit sets of a
reversible flow r: ]R" f---+ ]R" , i.e. A = w(x) for some x E 1R 11 •
An w-limit set A is called Liapunou stable if for any open neighbourhood V
of A there exists an open neighb ourhood U C V of A such th at t (U ) C V for all
t 2: O. Lia punov sta bility should be clea rly disti nguished from t he stronger noti on
of asy mptot ic sta bility. An w-limit set A is ca lled as ymp totically sta ble if t here
exist s a n open neighbourhood U of A su ch th at w(x) ~ A for all x E U .
Our interest in this pap er will be with Liapunov stable ""-limit set s of flows
on ]R" hav ing a reversing symmet ry gro up r th a t is a finit e subgroup of O( n).
T hroughou t t his paper we will assu me r to be act ing as a linear representat ion on
]R" (a nd ort hogona l with resp ect to t he natura l inner prod uct on ::t").
\Ve define t he symm etry group I: ::; r of a subset A c 1R" as

I: = hE r I ,(A) = A }. (3)

Let T ::; I: denote t he subgroup of insta ntan eous symmet ries. i.c, the symmetries
which fix A pointwise. Since in describing t he symmet ry of t he set A it is relevant
to know bot h I: and T . we ind icate t he symme try of A by the pair (2:,T ). Not e
th at for all su ch pairs, T must be a nor mal subgro up of 2:.
In t his conte xt we have th e following noti on of adm iss ibilit y:
Definition 1.1 Suppose th at 2: is a subgroup of r . We say th at 2: is adm issib le for
flows (homeomorphisms, diffcomorphi sms] if th ere exists a flow (homeomorphism ,
di ffeomorphism ) with reversing symmet ry gro up r and a Liapu nov stable w-limit
set with sy mmetry (2:. 1).
 O N SYM:\IETRIC w -L IM IT SETS . . . 105

T he central qu estion we would like to add ress is.'

What su bgroups oj reversing symmetry groups arc adm issible as symme try
groups oj Liapu nov stable w -limit sets Jar reversible dyna mical systems?
In t he present pa per we will add ress t his questi on in th e context of flows. The
context of reversible ma ppings will be tr eat ed in a forthcomin g pap er [11] .
Th e above qu esti on has been a nswered in a variety of equivariant contexts.
An important observa t ion is th at th e symmetry group of a periodi c orbit must be
a cyclic extension of a n isotropy subgro up (sec [17]). However , if the asy mp tot ic
dyn am ics arc more comp lica ted t han thi s th en th e phenomenon of symm etry on
average may occur in which an w-limit set displays grea te r symmet ry t ha n t ha t
obtainable by period ic orbits .
In th e cont inuous category necessar y an d sufficient condit ions have been given
for admissibility in the work of Melbourne et al. [17] and Ashwin and Melbo urne
[2]. Gro up eleme nts which act as reflections play t he crucial role in determining
admissibility. In t his context we call 7 : jR" >---+ IR" a reflection if 7 2 = id a nd
dim Fix( 7) = n - 1. The fixed point sub space of 7 is called a reflec ti on hyperpla ne
and d ivides IR" in two .
lf 6. is a subgroup of I' we let Le:,. deno te th e union of reflection hyp erplanes
corr esponding to gro up element s not cont ained in 6.. A key resul t of [17] was that
if L: is admissible th en necessaril y th ere is a subgro up 6. such t ha t
a) 6. is a normal subgrou p of L:,

h) L: / 6. is cyclic,
c) 6. fixes a connected compo nent of IR" - Le:,. .
Ashwin and Melbourne [2) showed t ha t th is repr esent ation-theoretic cond i-
t ion is also sufficient by using a const ruction involving Cayley gra phs. In par ticular
t hey showed tha t all cyclic subgroups of r were ad missible, recap turing a resul t
of King and Ste war t [81. They also showed t hat if a L:-symmet ric attractor is
connected t hen L: must fix a con necte d compo nent of ];t" - L E . Furthermo re th e
attra ctors constr ucte d in t he proof of this t heorem were top ologically t ran siti ve,
possessed open basin s of attract ion a nd t he connecte d attract ors were to pologically
mixing.
Wh en cquiva riant homeomorphisms or flows are considered t hen th e restric-
t ions on admissibility are more severe. Let L denot e th e uni on of th e reflect ion
hyperpl anes correspond ing to reflections in r. Melbourne [16] showed t ha t if A is
a L:-sy mmetric w-limit set for a f- equ ivari an t homeomorphi sm t hen eit her
1 We would like to not e t hat the contex t of Liapunov stable w-limit sets is chose n in connection
with t he setting in pr evious work on sy mme tries of attractors in [2, 5, 16, 17J. However, in
par t icular in th e rever sibl e case , other types of w-lim it se ts may be eq ua lly (or more) relevant. In
t his resp ect it is impor t an t to note th at most of our resu lts a pply to w-lim it sets in genera l, rather
th an only to Liap unov stable ones. For further rem ark s we refer th e reader to the d iscussion in
Sectio n 7.
106 J ERO EN S .W . L ,uIB , MATTH EW N ICOL

a) ~ contains no reflections a nd fixes a connecte d compo nent of }t" - L, or

b) ~ has an ind ex two subgroup t ha t fixes a connec te d component of jR" - L

If ~ is to be adm issible for flows then ~ must fix a conn ect ed component of
IR" - L.
Precise necessar y and sufficient cond it ions for ad missibility of flows and home-
omorphisms arc given in [5]. In fact if n ~ 4 t hen t he w-limit sets t ha t realise
admissi bility ca n be taken to be Axiom A at tractors and in any case they ca n be
taken to be asy mpt ot ically stable. The sufficiency condit ions for flows is compli-
cated some wha t by a topol ogical obs tru ction in t he cas e n = 2, but ot herwise if ~
fixes a connected component of jR" - L then it is ad missible a nd th e ad missibility
can be realised by asym ptotica lly stable w-lim it sets (which ca n be t aken as Ax-
iom A if n ~ 5) . In th e case of dim ension 2 th en t he only su bgroup of [])'" tha t is
admissible for flows is 1 and if r = 12 m t hen the only ad missi ble su bgro ups arc 1
and 12 m .
In ord er to est abli sh adm issibility we usc t wo ingredient s: a collect ion of
necessa ry conditions for admissibility wh ich rul e out certain subgrou ps a nd for the
rem aining subgroups a construc t ion of w-limit sets with th e requ ired sy mmet ry.
\Ve will now su mma rize our main results. We give necessar y cond it ions on
finite subgro ups of O (n) for admissibility for flows a nd necessary and sufficient
conditions in t he case n :S 2. Furtherm ore , we extend t he result s of [5] on th e
admissibility of symmetry gro ups of w-limit sets that do not cont ain reversin g
symmet ries to the reversible flow conte xt. We first introduce some notation a nd
terminology.
We let t
denote th e symmetry gro up associa ted to I', i.e. r is t he lar gest
subgroup of r containing no reversin g symmetries. Then , r is a normal subgrou p
of r and when r =1= t it is a subgroup of ind ex two.
In equivari ant dyn am ical sys te ms rest rict ions on symme tr ies for w-limit sets
occur du e to the presence of symmet ries which a re reflections. As in th e cquivaria nt
case we let L denot e t he un ion of all the reflect ion hyp erpl an es of r. i.e.

L ·- U Fixfr ). (4)
re f r Ef

We define L to be th e uni on of a ll t he reflect ion hyp erpl an es of r . i.e.

L ·- U Eixf r ). (5)
re f! r E f

If r does not contain revers ing symmetries , the definitions of L and L coincide.
We first note th at , as a consequence of the results of [5]. if r is a finit e
subgroup of O(n) (n ~ 1), ~ :S r and A is a ~- symmetric w-limit set for a flow
F : ;Rn ...... jRn with reversing sy mmetry grou p r then ~ must fix a connecte d
compone nt of jR" - i:
 O N SYMMETRIC w -L IMI T SETS . . . 107

In case r docs not contain reversin g symmet ries it has been shown in [51th at
subgroups ~ are ad missible for flows only if t hey fix a connected component of
IR" - L and t ha t all such subgro ups arc admissible whenever n ::::: :3. For subgroups
~ t ha t do not contain reversing symmet ries . th is result exte nds to the reversibl e
case:

Theorem 1.2 Suppo se r is a fini te subgroup of O (n ), n ::::: 3 an d ~ ::; r . T hen,

a su bgroup ~ that does n ot contain a revers in g symmetry is adm issible fo r flo ws
l ' : lR" f---. 'R" with reversing sy m metry group r if and only if ~ jixes a con nected
com ponent of jR" - L . Th e w -limit sets tha t realize adm issi bility can be tak en to be
asym pto t ically stabl e. Mo reover, if n ::::: 5 th e w -lim it sets tha t realize admissibilit y
can be taken to be A xiom A aitraciors.

\\'e now give necessar y an d sufficient conditio ns for adm issibility of subgro ups
that do not fix a connecte d component of R" - L. For an explana t ion of our not ation
of reversing symmetry gro ups we refer t he read er tu th e Appendix.

Theorem 1.3 S uppose r is a fin ite subgroup of O (n ) n ::::: 2, an d ~ ::; r. Th en, a

subgroup L that does n ot fix a conn ecled comp onent of 1St" - L is admissi ble f or
flo ws r:
]R" f---. jR" with reversing sym me t7y qroup r if and on ly if

(i) L fires a connected compo n ent of lR" - t

(ii) ~ ~ Zk A !D~ (b ll') where the subqroup is om orphic to l!]/, (771') is gene rated
by a reversing reflection p an d th e cyclic su bgroup iso m orp hic to Zk (k) is a
m axim al cy clic subgroup of 2 r.
r
(iii) when k = 2 in (ii) , th e subgroup of is om orphic to Z2 acts fr eely on the
conn ected com ponents of lR" - Fix(p).
Th e w -limit sets that realise adm issib ility must be periodic orbits.

Further discussion un those subgroups for which admissibility may be realised by

periodic orb its is given in Sect ion 3, Remark 3.l.
In lR. th e sit uation is very spec ial du e to top ological restrictions.
Remark 1.4 Suppose I' is a finite subgroup of 0(1 ), and L ::; r. Th en th e only
admissible subgroup L for flows t :
lR f - ; lR with reversing symmetry group r is
1.
Also in jR2 , extra restri ctions arise. In summary, th ey lead to th e following
result, with referenc e to th e t ables in Section 5:

Theorem 1.5 Su ppose r is a fi ni te subqroup of 0(2), and ~ ::; r . Th cn all sub-

groups L whic h are admissible for flows t :
lR 2 f - ; lR 2 with revers in g sy mmet ry
group r are list ed in Table 1 and Tabl e 2. The co-limit se ts that r-ealiz e admissibility
can be taken to be Liapunov stable periodic orbits.
2 A maxim al cyclic subgroup of t is a cyclic subgroup th at is not co ntained st r ict ly in a no t her
cycl ic su bgro up of r .
108 J ERO E:'I S .W. L AMB, MATTHEW NICO L

This pap er is organized as follows. In Sect ion 2 we a rc concerne d with sy m-

met ry properti es of periodi c orbits. In Section 3 we prove Theorem 1.2 whi ch
conce rns t he ad missibility of subgro ups that d o not contain reversing symm et ries
by showing t ha t th e construct ions of [51 extend to th e reversible case . We a lso
prove T heorem 1.3 concerni ng t he ad missib ility of subgroups for w-limit sets t hat
inte rsec t more t ha n one connected compo nent of R n - L , exploit ing the fact t hat
these w-limit sets must be peri od ic or bits. In the sa me section, in Rem ark 3.1 we
add ress th e general qu est ion of for which sy mmetry groups adm issib ility is real-
isabl e by peri od ic orbits. In Secti on 4 we show that Lia punov stable w-limit sets
tha t are sy mme tric with resp ect to a reversin g symmet ry must be t ra nsit ive. 'vVe
also show th at if A is a Liapunov st ahle w-limit set a nd I' (A ) n A =f. 0 (wher e ')'
is a sy mmetry or a reversin g sy mmetry) then I' (A ) = A . We t hen focus on the
const r uct ion of sy mmetric w-limi t sets that a rc per iod ic orbits in the contex t of
jR2 and establish in Sect ion 5 t he admissibility of subgroups of 0 (1) a nd 0 (2).
In Secti on 6 we explain how our results exte nd to t he case of sy mmet ric w-limit
sets possessing nontrivial inst antan eous sy mme tries. The pa per is concluded wit h
a d iscussion .

2 Symmetric periodic orb its

In this sect ion we will foc us on symmetric peri odic or bits . They arc t he simplest
exa mples of transiti ve w-Iimit sets. 'We will include, for completeness, resu lts con-
cern ing per iodi c orbits of reversible mappings as well.
An orbit of F is defined as
o(x) := {t (X)}tER o r tEZ , (6)
An or bit o(x ) is called per iod ic wit h period p if p is the sm allest positi ve real (or
int eger ) for wh ich f P(x ) = X.
Our main res ult on symmetric periodic or bits is contained in the following
propositi on r'
Propositi on 2.1 Let F : IRn -+ jRn be a dyna mical sys tem with reversing symmetry
group r (which is finite subgroup of O(n )) and associated symmetry group r . Su p-
pose F has a periodic orbit and sym m et7y (1:, T ). Let t := 1: n t and t := T nt .
Th en we have one of the follo wing two situa tions
(a) T = t and either 1:/ T c::: Zk (k) , if 1: = t , or 1:/ T c::: Zk 1\ ][))'l (km' ), if
1: =f. t , and in the discrete tim e case k divides the period p of the periodic
orbit.
(b) T =f. t an d in the discrete tim e case the period p is eit her 1 or 2 and 'L. /T c:::
Zk (k divi ding p), while in the flow case 'L. /T c::: 1 and the periodic orbit is a
fix ed point.
3For an expla na t ion of our not a t ion of reversin g sym met ry gro ups th e read er is referred to
th e App end ix.
 O N SYM1\lE TRIC w-LI )'IIT SETS ... 109

A fur th er discussion on for whi ch groups L: admissibility may be achieved by

p eriod ic orbi ts is presented in Sect ion 3, Rcm ark 3.1.
The proof of Proposition 2.1 uses t he following Lemma.

Lemma 2.2 ([12]) If an orbit o(x) is symme tric wi th respect to a reversing symme -
try p, then o(x) <:;; Fi x (p2).

Proof. The pro of is eleme ntary. If o(x) is sy mmet ric wit h resp ect to p then for all
y E o(x ), p(y ) = r(y) for some t . Hence p2(y ) = po jI( y) = r' o p(y ) = y for all
y E o(x). 0

Proof of Proposition 2.1 Wc conside r case (b) first. Suppose T contains a reversin g
sy m metry p, th en t ' 0 p(x) = f - t( x) = p o jI (x) = jI(:l'). Hen ce in t he discre te
time case th e peri odi c orbit has per iod 1 or 2 (a nd L:IT is isomorphic to 1 or Z2)
and in t hc How casc thc periodi c orbit is a fixed point .
Now we conside r case (a) where T = T . Su ppose th at L: = t . T hen by [17]
we have L:IT ~ Zk (k) , whcr c k di vides th c period p in the discret e t imc cas co
Suppose now t hat L: =1= t t he n L: = t u pt for some reversing sy mme try p. Now
t iT is a norm al subg roup of L:IT and th c gro up generated by pTI T is of order 2
(sin ce (12 E T )and togeth er with tiT generat es L:IT . T hus L:I T is thc semi-di rect
pro du ct of tiT by (pTIT) . As before t iT ~ Zk (k) for some int eger k (whi ch
di vid es t he period JI in t he discrete time case) . The or de r 2 subgro up generated by
pTIT is isomorphic to IDJ'[ (m') . Note that the gro up Zk 1\ IDJ't (krn' ) is isomorphic
to th e dih edral gr oup IDJ k if one ignores thc difference betw een symmet ries and
reversing symme t ries. 0
Fin ally. we recall a well-known ch ar acteri zation of orbits of flows that arc sy rn-
metri c wit h respect to reversing sy m metries, d . e.g. [ot. 10]. and a useful Corollary.

Theorem 2.3 If r is a fl ow wit h reversing symmetrlJ p an d orbit o(x), th en o(x)

is s ym me tric with respect to p if an d only if o(x ) intersects F ix( p) . Th e orbit is
nonperiodic if an d onl y if th e in tersec tion consis ts of onl y on e point and o(x) !l
F ix(p). T he orbit is period ic (an d n ot stati onaru) if and only if o(x) in te rsec ts
F ix(p) in precise ly two points.

Corollary 2.4 S uppose p is a reflec tion an d a reversing sy m me try of a fl ow I'

IR" f-> IR" possessing an w -lirnit se t th at is symme tri c wit h respect to p. T hen

this co -limit set is eit her a fi xed point (con taine d in Fix(p )) or a periodi c orbit
(transue rsally intersecting Fix (p) in tw o poin ts) .

3 Stable symmetric w-limit sets

In t his section we establish Theorem 1.2 an d Theorem 1.3. Wc will begin with
the proof of Theorem 1.3. which is based up on the ideas of t hc prec eding sec t ion
and [5).
110 JERO EN S.W. L AMB, MATTH EW NICO L

P roof of Theor em 1.3 Suppose ~ is ad missible for flows. Then L must fix a co n-
nect ed compo nent of JR" - L by th e resul ts of [5]. Suppose ~ docs not fix a co nnected
compo nent of lR" - L. Then any flow which realises ad missibility of ~ must in-
te rsect Fix (p) for some reversing reflecti on p. Thus by Theor em 2.:3 th e w-lim it of
the flow is p-sym metric and so by Corollary 2.4 the w-limit set must be a peri odi c
orhit (as it is ass ume d to have t rivial instantan eous sy mmet ry ). P rop osition 2.1
shows, as ~ cont ains a reversing sy mmetry an d T = t= L t ha t ~ ~ '!lk /I l!JJ~
(km') for so me l: ~ L where t he subgroup isomor phic to l!JJ't (m') is generated by
th e rever sing reflecti on p.
Moreover , if th e w-limit set intersects the fixed sets of two reversin g reflec-
tio ns t he n t he sy mmet ry gro up of t he w-limit se t is precisely th e gro up generate d
by th ese two reflect ions, T herefore, if I.; ~ 2, the w-limit set (wh ich is a period ic
orbit ) must connec t two differen t faces of a connec ted componen t of lR" - L orig-
inatin g from two differe nt reversin g reflection hyp er plan es. Tw o of such reversin g
reflections genera te a dihedral gro up whose nonreversing cycli c subgrou p is maxi-
mal.
Conversely, if r contains a subgroup ~ ~ '!lk /I D'[ (I.;m') k 2: :3 that fixes a
connected component of lR" - L, but not of lR" - L , wit h t he gro up isom orphic
to l!JJ~ (m') bein g genera te d by a reversin g reflection p and th e subgroup of f
isomor phic to '!lk (1.;) being a max imal cyclic subgroup, one conn ected compo nent
of R" - L will possess two faces mad e up of t he fixed point sub spaccs of reversing
reflections PI , P2 generating ~ . A flow with a ~-symmetri c (Lia punov stable)
per iodic orbit is construct ed as follows: insid e the connec ted compo nent of lR" - L
with faces consist ing of par ts of Fix(pI ) and Fix(P2), th ese two faces ar c connec ted
by a flow-lin e (sa tisfying t he boundar y cond itio n of orthogon al impact on Fi x(pI )
and Fix(P2)) avoiding inte rsect ions with fixed poin t subs paces of other (revers ing)
sy mmetries. Th is flow-line can be smoothly em bedded in a flow in the connected
component of lR" - L satisfyi ng a ppropriate boundar y conditions at t he fixed
poin t subspaces. From here, the flow in all other connec te d components of lR" - L
follows by sy mmetry. such th at t he flow-lin e int ersectin g PI and P2 extends to
a ~- symmetr i c peri od ic orbit in R" . It is obvious that the embedd ing ca n be
const r ucted in such a way that th e orbit will be Liapunov st abl e. Note that the
const ruc te d peri odi c orbit ca nnot have more sy mmetry t ha n E-
In case I.; = 2. one must add t he requirem ent th at the subgroup of f isom or-
phic to '!l2 (2) act s freely on the connec ted components of lR" - Fix(p). Namely, if
it does not , t hen L ca nnot be th e symme try of a periodic orbit. This follows from
t he fact t hat Fix (p) divides an y p-symmetric orbit in two halves, Let a denot e
generator of the cyclic subgroup of f isomorphic to '!l2 (2), and su ppose th e peri od
of the symmet ric pe riodi c orb it is p, t hen for an y po int x(t ) on t his peri od ic orbit
a(x(t)) = x(t + p/2) . However, p(x(t)) = x (a - t) for some a E ?. Hence, if x(t )
is in one connect ed component of lR" - Fix(p) t hen x(t + p/2) must be in the
other connec ted component. Moreover , a fixes F ix(p) a nd thus should permut e
th e connec ted component s of [R" - Fix(p) .
 OJ\" SY;"'I~ IET RIC w - L1;"'lIT SETS . . . 111

In casc k: 2: 3, however , th is requ irement is redunda nt, as it follows dir ectl y

from th e (dihedral) grou p structure of ~ t hat th e ff..k ac t ion does not fix Fix (p).
F ina lly. in case l: = 1 t he const ruct ion of a sy mmetric periodi c orbit cons ists
of const r uct ing and embedd ing a flow line connect ing two poin ts on Fix(p) inside
one connected componen t of IR" - L. 0
Remark 3.1 In the case of flows, it is not d ifficult to ob tain from P ropositi on 2.1
a nd T heorem 2.3 necess ary and sufficient condit ions for subgro ups ~ of r con-
tainin g a reversing symmetry for which ad missibility ca n be realized by per iod ic
orbits. As discussed in t he proof of Theorem 1.3, for t he const r uct ion of symmetric
per iod ic or bit s it suffices to constr uct a flow containing ono flow-line con nect ing
two points of the fixed sets of reversing sy mmetries generati ng ~. As the peri-
odic orbi t must inte rsect each fixed set twice it. is necessar y th at th e fixed po int.
subs pacos of t.he reversing symmet ries have dim ensions great.e r or equa l t.o 1. T he
case t hat ~ does not. fix a connected component of Ron - L has been trea ted in
Theorem 1.3. In t he remai ning case, in which ~ fixes a connected component of
Rn - L a nd ~ c::: ff..k 11 11))'1 (km') one needs to consider t he cases k = 1, k = 2 a nd
k 2: :3 separately.
If l: = 1 (and ~ c::: IIJ); ) a necessar y a nd sufficient cond it ion for the possib iity
of const ruct ing a sy mmet ric peri odi c orbit is th at th e fixed set of th e reversin g
sy mmetry generati ng ~ has dim ension greater or equa l to 1. Within one connecte d
component of IR n - L it is poss ible to locally construct a flow-lin e connecting two
points of F ix(p) without inte rsec t.ing any other fixed point subspace a nd thi s ca n
be embed ded in a flow which has a reversin g sym metry gro up f .
If l: 2: 3 it is eas ily verified from the (dihedr al ) gro up structu re of ~ that
ind eed all rever sing symmetries in ~ must have fixed point subspac es of dimension
grea te r or equal to 1. Na me ly, t he only linear involu t ion in 0( 71 ) th at has a zero-
dim ensional fixed-point subspac e is -id , and - id docs commute wit h all k-fold
rotat ions in O(n ). Ad missibility for these subgroups can always be realized by
sy mmet ric peri od ic or bits, in a similar way as describ ed above.
In case l: = 2 one has to take more ca re and check exp licit ly th at th e two
reversing symmet ries genera ting ~ ind eed both han ' fixed point subspaces of di-
mension grea te r or equa l to 1.
t
In a similar way, it ca n also be shown that for every cyclic subgroup of t ha t
fixes a con nected component. of IR" - L , admissib ility ca n be rea lized by a period ic
or bit . Let us say t hat t his cyclic gro up is isomorphic to ff..k and generated by (7 .
Then. inside one component one constr ucts a flow with a flow-line connec ti ng two
ff..k -eq ui,·alent points (i.e. a point x and a point (7 (x)) . th at docs not intersect a ny
fixed point subspace . This flow-line ca n be em bed ded in a f- symmetric flow by first
embed ding t he flow line in a I'<sym motr ic flow inside th e connecte d component of
IR" - L and th en extend ing the flow by symmet ry exte nds to a flow in IR". Tak ing
appro pr iat e bounda ry conditions for t he initi al flow-line (to avoid th e occurrence
of a singularity at x ) will t hen lead to a flow wit h a ff.. k-symrnet ric peri odi c orb it.
Liap unov sta bility ca n also be realized in the embedd ing.
112 JEROEN S.\V . LAMB , IVIATTHE\V ?"I COL

Proof of Theorem 1.2 We will first establish th e necessity of th e condit ion. In t he

case th at L = L t hen th e results of [5] show tha t ~ must fix a connected component
of IRn - L. So we suppose th at t. v L. Note th at , in this case, if L docs not fix
a connected component of jRn - L th en t he flow which realises th e admissibilty
of ~ must intersect Fix (p) for some reversing reflecti on p and hence ~ conta ins p
(by Theorem 2.3). This cont ra dicts the ass um pt ion th at ~ contains no reversin g
symm etries. So th e condit ion is necessary.
The proof of sufficiency involves an obvious mod ification to th e corres ponding
proofs of [51 and we present in de ta il only th e const ruction of Axiom A attrac-
tors for flows in dimension n 2: 5. The case 11 = 3,4 (in which we may const ruc t
asymptotic ally st able at trac to rs) is handled wit h t he sa me (mutat is mutand i) mod-
ificati on to th e constru ct ions given in [5].
t
Let f be th e symmet ry group assoc iated to I' and be a subgrou p of f which
fixes a connect ed component of R" - L. Let p be a rever sing sy mmetry (reca ll th at
I' = pf U f) . Note t hat , by th e resu lts of [5], th ere exists a f - cquivariant flow
which has an at tractor with symmetry group t. Hence th ere exists a t invari ant
connecte d open set 0 such that ,, (0 ) nO = 0 for all I E I' - t.
The existence of such an open set 0 shows that we may as in [51const ruct a
t -equi variant flow t with at-symm etric at trac tor A c 0 (not e th at t is Class
I in th e terminology of [5]). This att racto r has if : t l conjugat e at trac to rs . In
th e construct ion of t t
and A we may requ ire that A has a invari ant neighbour-
hood U C 0 such th at t (U ) = U and tl ru< = id lr u< (t his follows from the
const ruct ion of [5]).
\Ve may smoothly isot ope Plu to a flow l which is th e identi ty map on 0 "
(since by construction in [5] we may take t
f- cq uiva riant ly isotopic to t he identity
and t (U ) = U for all t) and which has t he prop erties

a) glu = f {u for all t

b) gt(O) = 0 for all t.

Now we exte nd gl f- equiv ariantly to a flow li' , Fin ally define a flow F" by
P (x ) = ht (x ) if x E f (O ) and P (x ) = h - t (x ) if i: E pt (O). Xote th at F t
has revers ing symmetry group I' and F" has a t
symmet ric Axiom A at t rac tor
contained in O. 0

4 Marginal stability and transitiv ity

In this sect ion we will show th at Liapunov stable w-limit set s th at arc sym metric
with resp ect to a reversi ng symmetry must be transitive. Reca ll t ha t a set A is
called transitiv e if A = ".:(x) for some x E A .
 O N SYl\I:-"IETRlC w - Lll\ lIT SETS . . . 113

Theorem 4.1 S uppose that.4 is a Liapunou stable ic-limit set of a dynamical system
P with reversing sym metry p . Then,

p(A ) = A =? A is transitice.

T he proof of Theor em 4.1 will follow di rectly from Lem ma 4.3 and Lemma 4.4
below.
A common notion of att ract or in t he literat ur e is t hat of an asy m ptot ically
stab le u.:-limit set (for a definiti on see Secti on 1). In t he context of symm et ric
(cq uivaria nt] dy namica l syste ms , in or der to establish admissibility of sy mme t ry
groups for at tractors in [5] asy mpto t ically stable :.v-limit sets were const ruc te d,
a lt hough th e main results wer e ob ta ined un der t he assum ptio n of only Liapunov
stabi lity.
However, in reversibl e syste ms a n w-limit set th at is symmet ric wit h resp ect to
a reversing symmet ry ca nnot he asy mp totica lly stable, it can at most be marginally
stable.
Definition 4.2 An w-limit set A of a dyn amical system F is margin ally stable if
for all open neighb ourhood s V of A t her e exists an op en neighbourhood U of A
such th at t (U ) c V for all t E JR (in th e case of continuous time) or t E Z (in t he
case of discret e time).

Lemma 4.3 Suppose we have the sett ing of Theorem 4.1. Then.
p(.'1 ) = .'1 =? .4 is marginally stable.

Proof. Becau se A is Liapunov stable, by defin ition we have t hat for all neighbour-
hood s V t he re exists a neighbou rhood U C V such th at jI (U ) C V for all t 2 o.
We are thus left to prove the assert ion for t < O.
Su ppose t he asser tion does not hold . t hen p(.-1 ) = .-1 an d t here ex ists a neigh-
b ourhood V such t hat for a ll U C V t here exists a t < 0 such t hat f t (U ) rt. V
(note t ha t wit hout loss of genera lity we may assu me t hat all neighb ourhood s V, U
in t he following d iscussion are p-symmet ric). Thus. given U C V , t her e ex ists
a point x if. V for which jI (x) = i E U C V for some t > O. Bu t t hen also
p(i ) = p(jI (x )) = f - t (p(x )), which implies th at jI (p(i )) is not in V a nd hen ce A
is not Liapun ov st able since p(i ) E U a nd U C \ ' was arbit rary. 0

Lenuna 4.4 If an co -limit set is marginally stable then it is also transitive.

Proof. Suppose A = ,,-' (x) and A is mar gin ally stable. \Ye show t hat x if. A leads
to a cont radict ion. Every neighbourhood V :J A contains a point of t he F -orbit
of x. In turn t his implies t hat t her e exists a neighbou rhood V ' for whi ch t here
docs not exist a sma ller neigh bourhood U such th at f t(C ) C V ' for all t < O. T his
implies th at A can not be marginally stab le. 0
\Ye now pro ve a theorem wh ich is t he reversible analogue to a result of [:3, 17].
114 J ERO EN S .W. LAM B, l\IAT TH EW N ICOL

Theorem 4.5 Sup pose I' : JR." ---; JR." has a Liapunou sta ble w -lim it set A. Suppose
"t is eith er a symm etry or a reversing s ymmetry of ft . Th en if ~I (A ) n A i=- 0 th en
~I ( A) = A .

Proof. The case where, is a reversing symmet ry of t has been covered in [17].
Suppose th at , is a reversing sy mmet ry of f t . For convenience we let wg(x ) denot e
th e w-limit set of x und er gt (either a map or flow). Let x be such th at wf (x) = A .
Then, as, is a reversing symmetry of f t , Wf - i (-y (X)) = , (A ). Suppose th at , (A)
and A are not disjoint and , (A ) i=- A. We will der ive a contradiction.
In th is case th ere exists a neighbourhood V of A such th at -/(A) n V c i=- 0,
where V C denotes th e complement of V in JR." . T hen t here exists a neighbourhood
U C V such th at f t(U) C V for all t :::: O. There exists a n increas ing sequence
{td such t hat i': (-y (x)) E V C (since WI : ' (-y (x)) = ,(A) ). But there exists a t ime
t' > tl such t hat f- t ' (/(x)) E U and hen ce r u" (/ (x))) E V for all positive
t. However if t = t' - tl > 0 then J!U- t ' b (x))) E ve , which is a cont radict ion.
Thus ~I (A) = A if ,(A ) n A i=- 0 . 0

5 Constructions in lR. and lR. 2

In t his sect ion we outl ine th e const ruc tion of symmet ric per iodic or bits in JR. an d
R2 .
Before tr eat ing th e construction s in JR. 2, we first prove t he results on admis-
sibility in th e one-dim ensional case .
Proof of Remark 1.4, In th e case th at r = Z2 and docs not conta in a reversin g
symmetry, it is easily checked that its only admi ssible subgroup is 1, cr. [5]. We
are left to consider only one group r containing a reversing symmet ry, nam ely
ZS := (p), with p = - id. In t he case of a flow it follows immedi at ely th at the only
possible ZS-symmet ric w-limit set is a stat ionary point at Fix(p). 0
The rest of th is section will be devoted to const ruct ions of symmetr ic period ic
orbits in JR.2 .

Theorem 5.1 S uppose A is a Liapuno v stable co -lim it set of a jl ou: f t in JR.2 with
reversing sy mme try p. Th en, if p(A) = A , A is a perio dic orbit.

Proof. By Theorem 4.1, A is t ransit ive. Hence A is a n ..:-limit set for t

as well
as for r:'. For flows in ]R2 it is well known, cf. [13], t ha t this impl ies that A must
be a peri odi c orbit . 0

\Ve now discuss th e questi on of th e admissibility of subg roups of 0(2) .

From T heorem 5.1 a nd Theorem 2.3 it follows th at Z;, is not ad missible for
flows for any n :::: 2. In mor e det ail, Theorem 5.1 shows th at a Liapunov st able
w-limit set must be a periodi c orbit and Theorem 2.3 shows th at thi s peri od ic
orbit must int ersect Fix(p) (t he origin) in precisely two point s unless it is a fixed
point at t he origin (and hence possesses nontrivial instantaneous symmet ry ).
 O N SYMMETRIC w -LIlvlIT SET S . . . us

o
,

-e----+----e-
(a) (b)
o (e)

Figure 1: Schematic illustration of t he construction of flows t with a periodic

orbit that is symmetric wit h resp ect to a reversing sy mmetry p. The strategy
is to const ruct flows const it ut ing a local rotation in a small dom ain isotopcd to
the ident ity outside thi s domain . Some exa mples: (a) Loca l rotation consti tu tin g
][]I; (m') symmet ric marginally st able w-limit sets. (b ) Const ruc t ion with ][]I; (m' )
sym met ry when r C::' 2:2 X ][]I't (2m' ). (e) Construction with 2:2 x][]l; (2m' ) symmet ry
when r C::' 2:2 x ][]I; (2m') .

I I:
2:~ (n'), n > 1
IDJ; (m') ][]I; (m')
2:" /\][]I; (n m.'), n 2: 1 2:" /\ ][]I; (17 m'). JI)'t (m ' ), 1
IDJ II / \ IDJ; ((2n)' m) , ti 2: 1

Ta ble I: Subgroups I: of reversing sy mme t ry groups r that ar c ad missib le for flows

in t he case t hat r is a finit e subgroup of 0 (2) . Gr oups la beled with a prime indicate
groups genera ted by a reversing sy mmet ry. The notation between br ackets follows
conv entions in crystallogra phy (see t he Appendix or [1-1] for mor e det ails).

Ir
2:" (n) , n > 1
[lI " n >1

Table 2: Sub gr oup s L: of sy mmet ry group r which ar e ad missible for flows in th e

case that r is a finit e subgroup of 0(2) (t aken from [5]).

:'\0\\' we look a t t he subgro ups which fix a connected compo nent of IR" -
i: The subgroup [lI ; play s a dist ing uished role . The local const ru ct ion of a ][]I;
symmetric peri odic orbit is given in Fig . l (a ). The periodic orbit may be taken
to be ma rgin ally stab le. The cons t r uct ions in Fig. 1 show th at [lI ; is admissible in
C 'L.~ e r is ]D); (m' ) or 2:" /\j[])'l (nm') . In a sim ilar way. one finds t hat [lI't is admissible
in thc case th at r =0 [lI " /\ [lI ; ((2n )'m) .
116 J ERO EN S.W . L AMB , MATTHEW NI COL

In the case of Z" IIIlJi; it follows from Theor em 1.3 that the subgroups Zk (kin,
k # 1) and Zk II IlJi; (k ln,k # 1, TI ) ar e not ad missible, while Z" II IlJi'l is ad missible.
The const ruction of a Z" II IlJi; symmetric Liapunov stable attractor consists of a
IlJi'I sy mme tric period ic orbit with Z" symmetry, cf. Fi g. l (c).
The results are summari zed in Tabl e 1. Together with th e resul ts of [5] -
which are summa rized in Table 2 - they cover a ll admissible finite subgro ups of
0 (2) for flows in ]R2 .

6 Symmet ric w-limit sets in fixed point subs paces

In thi s pap er we have concen trated mainly on symmetric w-limit sets wit h trivial
inst a ntaneous sy mmet ry, i.c. in the notation of Section 1 we have st ud ied the
adm issib ility of subgroup (2:, 1' ) with T = 1. In this sect ion we discuss how the
res ults obtained in t he previous sect ions extend to the case of symmetry groups
(2:.1') with T # 1, giving a reversible ex te nsion to th e exposit ion in [5].
We first note T must be a normal subgroup of 2: and t hat T must be an
isotropy subgroup (d . [16]).4 Moreover , if T contains a reversing symmet ry then
t he :.v-lim it set must be a fixed po int (a nd hence 2: must be an isotr opy subgro up
of f ). T he sit uat ion may becom e more interest ing when T docs not cont ain a
reversing sy mmet ry, and from now on we will ass ume t hat this is the case . Not e
that then r ix (1' ) is an inva riant subspace for r.
On e obtains necessary condi tio ns for adm issibility of a pair of subgroups
(2:. T ) by restricting to Fi x (1' ), which is isomorphic to ]R"T for some nT ~ n .
Let N(1' ) denote the normalizer of T in I' , i.c,

N(1' ) := h E r I "( 0 T 0 _(- I E T for all T E 1'} . (7)

Then a flow F on jR" with reversing symmetry group I' rest rict s to a flow with
reversing sy mme tr y group f T := N (1' )/1' on F ix (1' ). T hen it follows t hat if (2:,1')
is ad missible for flows in ]R" with reversing sy mmet ry group I'. then also ( 2:T , 1) is
a d mi ss ib le for flows in ]RnT with rever sing sy mmet ry group f T. where 2: T := 2:/1'.
However , this observatio n does not lead to an opt imal result d ue to the pr esen ce
of so-ca lled hidden symm etries [71 whi ch a rc cleme nts "( of I' - X (1' ) wit h the
property t ha t "( F ix( 1' )) n F ix (1' ) # 0.
In order to det ermine the admissibili ty of a pai r of su bgroups (2:. 1') it suffices
to take account of hidden reflections , which arc cleme nt s "( E I' - J\" (1') such that
Fix b ) int ers ect s F ix (1' ) in a codimcnsion one subspace. Foll owi ng [5] we denote
the set of I E I' for which Fix("() intersects F ix(1' ) in a codimen sion one subspac e
as !\T .
Hid den reflect ions in r give rise to inva riant subs paces wit hin F ix (1' ) sepa-
rat ing F ix(1' ) in two connec ted components. In par ti cular, hidden reflecti on s du e

~ A gro up T ::; I' is ca lled an iso t ro py s u bg ro u p of r if th ere ex ist s a po int X E ]R" suc h that
T = hE r I ')'(x ) = x }.
 O N SY M METHIC w - L I M IT SETS ... 117

to reversing symmet ries give rise to invari ant subspaccs t hat arc fixed pointwise
by th e flow f t.

Lemma 6.1 Let jl : ffi.n >-+ Rn be a flow with reversing symme try group I' that is
r
a fin ite subqroup of O(n) . Furthermo re, let T ::; be an isotropy snbgroup and
p E I' - r be a reversing symme try that is not in S( T) . Suppo se that Fix (p)
int ersects Fix(T) in a codimension one subspace, then for all x E Fix (p) n Fix (T)
we have f t (x ) = x for all t.

Proof. For all x E F ix(T ) it follows from th e fact tha t T ::; r , th at jl (x) E Fi x(T )
for all t. Using th e fact th at I' is a finit e subgroup of O(n ) we furt hermore obtain
th at if Fix(p) intersect s Fix(T ) in a codimension one subspace and p if- N (T ), th en
for all x E Fix (T) - Fix (T) n Fix(p), p(x) if- Fix(T).
Now consider some point x E Fix(p ) n Fix(T) . For this point it follows th at
jl (x ) E Fix (T ) and f t(x) = p(J- t(x )) for all i , As for all x E Fix(T ) - Fix (T ) n
Fix (p), p(x ) if- Fix(T ), thi s implies t hat jl(x ) E Fix(p) for all t . In t urn , t his
implies t hat f t(x) = f - t(x ) for all t , and hence th at ft (x) = x for all t , 0

r)
Accordingly we define KT := J(T n (F - N(T) + N( T) n which is precisely
th e subgroup of J(T giving rise to invariant codimension one subspaces with in
Fix (T).
In analogy t o (4)-(5) one now defines

L T := U F ix fr ), (8)
TEKT

iT := U Fixfr }, (9)
TE K T

From here it is straighforward to show th at th e result s of Theorem 1.2 a nd

Theorem 1.3, as well as th e results on symmet ric period ic orbi ts in Section 2 and
Section 3, Remark 3.1, t ranslat e di rectly to th e cont ext of w-limit sets in fixed
point subspaces by simply replacing ffi.n by Fix(T ), L by L T, and L by LT.

7 Discussion
We have given necessary and sufficient condit ions for a subgroup t o be admi ssible
for flows in dimensions n = 1, 2.
We have also given restricti ons on admissibility in all dimensions and shown
(n > 1) th at a subgroup containing no reversing symmet ries is ad missible for
flows if and only if it fixes a conn ected component of ~n - L. Moreover , we have
given a full description of t he symmet ry groups for which admissibility can be
realized by period ic orbits. It should be not ed that in t he case of subgroups ~
that do fix a conne cted componentof IR n - L and conta in a reversing symm etry,
our conditions are only shown t o be necessar y and not yet to be sufficient if ~
118 J ERO EN S.W. LA :>.I B, !vl AT T HE W N ICO L

is such th at admissibility ca nnot be realized by periodi c orb its. Further insight in

t he st ruct ure of marginally stable w-limit set s ot her th a n per iodic orbits will be
needed to fully treat thes e cases .
We have concentrated on th e symmetry properties of reversible flows. We
add ress t he issue of th e symmet ry propert ies of w-limit sets of reversible ma ps in
a forth comin g pap er [111. Similar questi ons could be asked abo ut th e symmetry
propert ies of t he w-limit sets of sym plect ic maps and Hamiltonian flows with re-
versing symmet ry groups. In t his context it is wort hwhile to note that t he res ults
on ad missib ility of Th eorem 1.5 also apply in th e case of Ham iltonian flows. Ind eed ,
t he const ruct ions of periodi c or bits in Sectio n 5 can be done using solely Hamil to-
nian flows. For related work on the symmet ries of periodic orbits for Hamiltoni an
flows sec e.g. [6, 181 .
In th e Hamiltonian context (and indee d also in th e reversible context) more
consideration should be given to the noti on of stability that is used. One could
ask simply for t he possible symmetries of w-limit sets with no addit ional struc t ure
but to reflect th e behavior of physical systems some form of st abili ty is desirable.
For Hamiltonian syste ms with no more tha n two degrees of freedom th e conce pt
of Liapunov stability is reason abl e, e.g. in connectio n with t he stability res ults
implied by KAM-theory. cr. Moser [19]. However , especially in higher dimensional
syste ms th e phenomenon of Arnol'd diffusion makes topological noti ons less ade-
qu ate. Thom [20] has propo sed t he measure theoret ic notion of a vague att mc tor
as a Hamiltonian analog of th e at tr actors of differentiable dy na mics (cf. also [1,
p.583]). Similar considerations ex ist in th e work of Melbou rne [15] concern ing th e
not ion of essential asymptotic stability.
Another interestin g line of invest igat ion is the relation bet ween sy mmetry
and mixin g prope rt ies in revers ible (symplect ic, Hamiltonian) syste ms. An elemen-
t ar y result in th is dir ection is Theorem 4.1. Earli er work on equivariant systems
has shown t ha t topological mixin g is incompatible wit h attrac to rs having certain
symmet ries [17, 5]. As Hamilton ian syste ms have a natural invariant meas ure , re-
lations bet ween ergod ic prop erties of t he syste m and symmet ry properties would
be expecte d.

Acknowledgement s
We th ank Ian Melbourne for a helpful discussion and poin tin g out an error in
an earlier version of this paper. We acknowledge t he support of t he University of
Warwi ck a nd th e University of Amst erd am for mu tu al visit s in th e early stages of
this work . T he research of JSWL is suppor te d by th e Europ ean Union t hrough its
Hum an Cap ital & Mobility resear ch fellowship scheme (ERB CHBICT9 41533) .
 O N SY Ml\ IE T RIC w - LIl\IIT SET S ... 119

App endix: notation

In this appe nd ix we bri efly expl ain our notation of reversing symmet ry groups.
In th e notation of reversin g sy mme t ry groups one need s to take account of
the differ ence between sy mmet ries a nd reversing symmet ries of r. O ne way to do
thi s is to ado pt th e not ation used in crystallography in t he des cription of ma gneti c
gro ups, cf. [1-1]. In t his notation, t he finit e subgro ups of 0 (2) arc den ot ed in th e
following wav. A single integer ' n' denot es a n-fokl rot ation , and th e letter 'm '
denote s a reflection (mir ror ). As all finit e subgroups of 0 (2) ar c generated by
rot ations and reflection s t hey can just be denoted by th eir genera tors. Adopting
th e convention of denoting the cycli c subgroups of 0 (2 ) that arc gen erated by an
»-fokl rot ation by Z" and den otin g the dih cral subg ro ups of 0 (2) gene rated by a
reflecti on a nd an n -fold rot ation by []l" we th en have /I = Z" and nm = []I n ' In
t he case of reversin g symmet ry groups, in th e cr yst allographic notation on e labels
reversing genera tors wit h a prime, o.g , in' or 2' m .
Alt ern ativel y, we may write r as a gro up product r = \1 . 1-{I, with \1 ::; r, 1-{'
is a cyclic group generated by a reversing symmet ry (as indi cat ed by th e prime).
and th e product -.: hein g either sem i-di rect ' 1\' or direct "x '. Note that in case r
contains a reversing symmetry t hat is a n involu tion . we may choose \1 = f and
1-{ := Z2' This notation has i.he ad vantage th at it shows how reversing sy mmet ry
gr ou ps ca n be viewed as cyclic ex te nsions of sy mmet ry groups. In t he pr esent
discu ssion we will usc primaril y t he latter not ati on , followed by th e crystallographic
not ation betwe en bracket s, c.g. []lj x []l ~ (2' m ).
In denotin g th e symmet ry of a n w-limit set it is in principl e not relevant to
distinguish betwe en sy mmet ries and reversing sy mmet ries. It is however instructive
to usc a not ation which shows the origin of the sy mmet ry. On e eas ily verifies th e
sym met ry of th e set by ignoring t he primes in the not ation.

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[91 J. S.W . Lamb. Reversin g sym met ries in dyn ami cal systems. J. Phys. A : math. qcn.,
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of Amst erd am , 1994.
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systems. in prepa ra tio n, 199.5.
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Physica D, 73:277- 304, 1994.
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Mathem atics. Wiley Interscien ce, New York , 2nd edit ion, 1963.
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M atli em atics studi es. Princeton University Press, Pr inceton 1':.1, 1973.
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Progress in Nonlinear Differential Equations
a nd Their Applications. Vol. 19
© 1996 Birkhauser Verlag Basel/Switzerland

Symmetry Breaking in Dynamical Systems

Reiner Lauterbach"

Abstract
Symm etry br eak ing bifnrca tions a nd dyn a mica l syst ems have obt a ined a lot
of attent ion over t he last yea rs . T his has several reason s: real world a p-
plicat ions give rise to sys te ms wit h sym met ry. stea dy state solut ions a nd
periodi c or bits ma y have interesti ng pa t tern s. sym met ry cha nges t he notion
of st ruct ura l st ability a nd intro d uces degeneracies int o t he syst ems as well
as geomet ric simplificatio ns . Ther efore sy mme t ric syst ems a rc a t t rac tive to
t hose who study specific a pplica t ions as well as to th ose who a rc int er est ed
in a th e abst rac t t heo ry of dyn ami cal sys te ms . Dyn ami cal syste ms fall into
t wo classes. th ose wit h cont inuous time a nd t hose wit h discrete ti me. In t his
pap er we st udy only th e cont inuo us case . alt ho ugh th e d iscrete cas e is as
interestin g as t he cont inuous one . Many globa l results were obt a ined for t he
d iscrete case . O ur em phasis a re heteroclini c cycles a nd some mechan ism s
to create t hem . We do not pursu e t he quest ion of st ab ility. Of co urse man y
st ud ies have been mad e to give co nd it ions which imp ly t he existe nce a nd st a-
bility of such cyc les. In cont ras t to sys tems wit hout sy m met ry het erocl inic
cycles ca n be structurally stable in t he sy mmet ric case . Someti mes th e var -
ious solut io ns o n t he cycle get map ped on to each ot her by gro up eleme nts.
Then th is cycle will red uce to a homoclinic orbit if we proj ect t he equat ion
ont o t he orbit space . Therefore tec hniq ues to st udy hornoclinic bifurcat ions
become availab le. In rece nt year s som e efforts have been ma de to understan d
t he behaviour of dynam ical systems near point s where t he sy m met ry of t he
syst em was per t ur bed by o ut side influen ces . Thi s can lead to very com pli-
ca red dyn ami cal behaviour. as was poin ted out by severa l a ut ho rs . \Ve will
d iscuss some of t he technical difficu lti es which a rise in th ese prob lem s. T hen
we will review some recent resul t s on a geomet ric approach to t his prob lem
nea r ste ady st a te bifur cat ion point s .

1 Introduction
In t his pap er we would like to investigate the effects of sym met ry breakin g in
dyn ami cal syste ms. One th eme which seems to b closely related to it is t he occur-
rence of st ructurally stable het ero clinic cycles in cquivariant systems. There a re
severa l well known exa mples. see for example G CCKE:\H EnI ER & H OL:\IES [23]
'\vI AS Berlin . Mohr cnst r . 39. D- I011 7 Berlin. Germ any
122 REINER LAUTERBACH

an d t he work of K RUPA and M ELllOURl'\E [29, 30, 31, 40] which is d irectly related
to heteroclin ic cycles , an d th e pap ers by LAUTERllACII & ROllERTS [36] and also
[35, :191. Heteroclin ic cycles may be generated in various ways. we dist ingu ish

1. t he "invariant plan e case" ,

2. problems wit h higher cod imcnsion,

3. forced symme try breaking.

Of course there is some relat ion wit h the to pics of the very nice survey on hctc-
rocli nic cycles by K RUPA [29]. Bu t our per sp ect ives arc somew hat different, our
main emphas is arc methods in eq uivariant systems , het croclinic cycles arc to be
conside red as a spin off. Let us briefly discuss t he ite ms mentioned be fore:

1. W ith t he invari ant plan e case we mean a scenario for t he occ ur rence of hot-
eroc linic cycles in fixed poin t spaces of s ubgrou ps which was first describ ed
by Melbou rne, Chossat & Golubitsky [41]. We sha ll sec later th e exa mp le by
G UCKE1\IIEn IER & HOL:-'I ES [231 , which fits very nicely into thi s framework ,
where the gro up T ttl Z2 acts irredu cibly on R 3 . However in ma ny cases such a
sit ua tio n occ urs when th e group act ion is redu cible, compa re A RMllRUSTER
& C HOSSAT [2, 8). C IIOSSAT & G UYA RD [10, 24].

2. In systems without symmetry it is well known t ha t com plicated dynam i-

ca l beh aviour can occur if th e system under considerat ion has higher codi-
mension. Of course the same is true for cquivariant sys te ms. however , since
symmetric systems au to matically have some dege nerac ies, it beco mes in-
creas ingly difficul t to study probl ems with higher cod imension . \Ve present
a example du e to LAUTERllACH & SANDERS [38]. where invarian t th eory
has been used to study a problem with topological codimensio n 3. Aga in , a
hctcroclinic cycle occ urs. This cycle is construc ted for the equation on t he
orbit space. Th erefore th e issue of lifting it back to t he full space becomes
imp ortant . With respect to t his problem finite and infinit e gro ups show a
d ifferent behaviour. In the finit e case it is clear t hat a het ero clinic cycle lifts
to a heterocli nic cycle , which might involve more equilibria and more het e-
roclinic connect ions th an th e one on the orbit space , bu t in prin ciple we find
th e sa me object. However , in th e case of a conti nuous gro up t his cha nges.
Even an equilibrium do cs not necessarily lift to an equilibrium but to a so
called rela tive equilibrium. The het eroclinie connect ions ju st connects two
gro up orbits. There is ano t her impor tant d ifference' between t he d iscrete an d
t he cont inuous case: t he behaviour with resp ect to pert urb ations which do
not resp ect the (full) symmet ry. T his lead s to our last to pic.

3. \Ve speak of forced symmetry breaking when we perturb the system wit h
terms having less symmetry t han the origina l problem . We sha ll sec t ha t
t his is a natural probl em from the applicatio n point of view. It lead s to
 SYl-nl ETRY B REAKI NG IN DY NA ~lI CAL SYSTDIS 123

interesting dyn amic al effects an d again het ero clin ic cycles corne up . Our
techniques evolved from th e work of LAUTERflAC II &: ROflERTS [36, 37]. We
sha ll look at some que stions CO:l("~"!'~: l g group t heoret ic conditi ons for t he
existence of het ero clini c cycles a nd mor eover how to pr ove th e existe nce of
th em for PDE's when the sym metry has bee n slightly per turbed .

The exam ple 3,3 was found in a discussion wit h Karin Gaterrnann , Freder ic Cu yard
and Mat thias Rumberger.

2 Symmetric dynamical systems - why?

It is well known th at man y physical sys tems ca n he mod eled in term s of dyn ami-
cal systems, just conside r t he classical probl ems of mechan ics. In the course of th e
last decad es th e a pplicability of dyn ami cal system th eor y has widely exp anded .
Syst ems in chemistry, biology, economy and other sciences were tran slat ed into
mathematical language a nd can be written as dynamical systems. In t he course
of t his tra nslat ion pro cess man y simplifying and abst rac t ing assumpt ions are be-
ing made. In man y cases th ese abstract ions and simplificat ions lead to addit ional
st ructures in th e equa t ions . which were not present in t he ori gin al problem . On e
of those st ruct ures could be t he occ urrence of sy mmet ries. However, sy mmet ries
do not only come into t he ga me by the proc ess of mathematical idealization, but
can also be a very natural ingredient of th e problem und er considera t ion. Exp eri-
men ts can ta ke place in a symme tric surrounding. th e nature oft en finds beau tifull y
symmet ric form s or patterns. From thi s we see th at sy mmet ries ca n be a natural
context for th e study of real world phenomen a. By now it is well known th at t he
steady state or peri odi c solut ions of a sy mmetric system can reflect less sy mmetry
than we find origina lly in th e sys te m. This has been observed a long time ago, we
usually refer to thi s as spon innc ous sym me tr y breaking. see for exa mple SATTINGER
[45] . In contrast to this we can also imagin e sit uat ions where a system , on the first
gla nce, has a cert ain symmet ry, but a closer look reve als th at in fact some of these
symmetri es are pr esent only approx ima tely. Therefore. the full proble m has less
or no symmetry whatsoe ver. A ty pical exa mple would be a pr oblem in geophys ics
where th e eart h, in the first approx ima tio n, has th e sy mmetry of a ball, if we look
more closely we obser ve t he Rattening of the poles. reducing th e sy mmetry of th e
ball to th e sy mmet ry of a circula r disc, in th e group th eory lan guage, wh ich we
will ado pt. it has symmet ry 0(2). Taking the rot ation int o account reduces th e
symmetry to th e group 50 (2) a nd finally lookin g from very a close perspective,
the typic al hum an approach, we see no symmetry at all. Nevert heless we expec t
that a decent the ory t akes into account that we arc close to a symmetric problem .
We call this typ e of problem forced symm etry breaking. In fact in the exa m ple
of our planet we described a hi erarchy of forced symmetry br eakings. As we sha ll
point out the problem of forced symmetry br eakin g lead s to very severe concept ua l
and computa t iona l difficulties. A globa l und erst anding of th ese problems is not in
124 REI NER LA UTERBACH

reach. However it has been noted a nd we shall see that this ca n lead to extremely
rich a nd difficult dynamica l behav iour.
Symmetries can be describ ed in t he lan guage of group t heory. The most
obvious way of doing it is to consider a dom ain (or a comp act embedded ma nifold
wit hout boundary) n c R " an d its symmetr y group G n defined by

Gsi = {A E O(n ) I Aw E 0 Vw E O} . ( 1)

If th e mathema tical form ulat ion of th e problem leads to a partial differential cq ua-
t ion of th e typ e
all
at + Lll = f(u ,A) (2)

with a sectorial operator L and f sufficient ly smooth and "reasona ble" boundary
cond it ions, t hen (2) defines a semidyna mical system on L 2 (0 ) (or H 1 •2 (0 )). T he
group G n acts on function spaces X (for example X = [} (O) or a Sobo lev spac e
W k,P(O) over 0 ) simply by

Gn x X : h, ll) ..-. ,u, ,1l (W) = U (, - IW ) . (3)

We ass ume t hat t he linear operator is equivariant with resp ect to t his act ion, i.e.

L h u) = , (Lu) , for all u E X , , E G n (4)

This assu mpt ion is always satisfied if L is t he Laplace opera tor. Smaller groups al-
low some more general partial differential operators. In fact a reasonable mod eling
should lead to G n equivariant op erators.
We say t hat equation (2) is equivariant with respect to G n if

- L h u) + f h u , A) = ~I ( - Lu + f (u. A)) (5)

for all u E X and all , E G n and if the bo undar y conditions are invari ant und er
th e act ion of G n on u. T ypical exa mples a re the buckling of sp heres, where th e
spac e X is a function space over th e 2- sp here and no boundary condit ion are
present or t he spherica l Ben ar d problem , where 0 is a spherical annulus and we
have boundary condit ions on the inner and the outer sphere. Let us j ust recall t hat
t he Benar d problem is to describe a fluid flow between two infinit e plates, where
t he temperature on t he plat es is spatially constant and different. let T1 denot e
th e temp erature at th e lower plate and T u denot e t he temp erat ure at t he upper
plat e we requ ite Ti > T u . It is known t hat if the difference exceeds a certain valu e
some inte rest ing states occur. In th e spherical Ben ard probl em we consider a fluid
confined between two concentric spherica l shells with inner and out er temp eratures
T; and To, resp ectively. If Ti - To is sufficient ly large . we again observe new and
interesting states. The Navier equa tions, describing th ese probl ems. are equiva ria nt
with resp ect to th e Euclid ean group in t he plan ar case and with resp ect to 0 (3)
in th e spherical case.
 SYI-I l-IETRY BREAKING IN DYNA :-'I ICAL SYSTEMS 125

Observe t hat t he cquivarianc c was assum ed for t he operator L, the nonlin-

ea rity is automatically cq uivar ian t if it docs not explicitly dep end on t he spatial
vari able (w' . T herefore addi ng in sma ll te rms which arc sp atia lly non const ant leads
to forced sym met ry break ing. A typical scena rio for th e Benard prob lem is to
assume a small deviation from spa tia lly homogeneous tempe ratures on th e bound-
ary, which can be rewritten in terms of sma ll pert urbations in the int erior wit h
explicit space dep endence. We will come back later to th ese issues. Before we go
OI l. we collect some simple prop erties of dyn am ical syst ems wit h sy mmetry. which
arc easily verified .
Some simple facts
1. If u(t ) is a solution, t hen 'Y 1L(t ) is again a solution.

2. For u E X let H" denot e its isot ropy subgro up. i.e. H" = hE G n II 'Y 1L = u }.
Th en Hoy" = 'Y Hu'Y- I.

3. Along trajecto ries t he isotropy is not decreasing. i.e. if 0 < s < t th en

H ,, ( s ) C H ,, (t ) · If backward uniqu eness holds, th en we have equa lity.

The main issues to be st ud ied arc to characte rize t he symmet ry ty pe of bifurca ti ng

solutions, struct ura l stability in equivariant syste ms and globa l behaviour . For t he
local questions singularity t heory proved to be very successful, compa re GOLUBrT-
SKY , STEWART & SCHAEFFER [221. The main ingredient in a local th eory a rc t he
center manifold theory or Lyapunov-S chmidt redu ction. It is impo rtant to note
th at th ese tools carry over d irectl y to the equiva riant context. vVe ju st recall these
res tilts . For this we need some gro up theory lan guage. A representation of a gro up
G is a homomor ph ism p into GI(n ) for som e n. We also say t ha t G acts on R".
If t here is a conti nuous homomorphism into th e boun ded linear operators on a
Banach spa ce we speak about an infinite dim ensional rep resentation. Actions on
th e funct ion space as described before arc such infinite dim ension al rep resenta-
t ions. A subspace U of R" (or X ) is called invariant if for a ll , E G p{/ )u E U
for all u E U. A representat ion is ca lled redu cible if it has a nontr ivial invariant
subs pace, ot herwise it is irreducible. A representat ion is absolutely irred ucible if
t he only equivariant linear mappings arc scalar mult iples of t he ident ity. T wo rep-
resentations PI, P2 on spaces VI , V2 of a grou p G are called equivalent if th ere is
an isomorp hism T : VI -; V2 such t hat for all 1 E G we have T O PI (-y ) = P 2 (-y) 0 T as
mappings VI -; V2 . For a ny finit e group there ar e up to equivalence only finitely
many irreducible representat ions, any representation can be written as a sum of ir-
red ucib le ones. A similar state ment is tru e for infinite dimensiona l represent ations
of compac t Lie gro ups. An imp ortant tool is th e character of a representa tion . It
is a function x : G -; C' = {z E C I lzl = I} . defined by

x(g) = tr (p(g)). (6)

For an intr oduction into cha racter t heory, sec for exa mple SERRE [471 . A very nice
tool for doing act ual computations wit h cha rac te rs is the progra m GAP [18].
126 R EINER LAUTERB ACH

Some more facts

1. Any (dosed) invar ian t subspace has a (closed ) invarian t complement .

2. Any absolutely irr educible represent ation is irre ducible. Over C th e reversed
statement is also true. The gro up 50(2) acts (by rotat ions ) irreducibl y on
R 2 , but not a bsolute ly irreducib ly.

3. The kern el of an cquivariant linear map ping is invarian t .

4. Cons ider [} (G ) to be space of squa re int egrabl e (wit h respect to Haar mea-
sure, see H EWITT &0 Ross [25]) complex valued functi ons. The characte rs of
all irr edu cible represen tations form a comp lete ort honor ma l syste m.

GOLUB ITSKY, STEWART & SCH AEFFER [221 show t ha t in gener ic one par am et er
fam ilies of linear cq uivariant ma ppin gs on R " t he kernel is either tr ivial or abso-
lut ely irr educible. From this it follows th at in one par amet er fam ilies of cquiva ria nt ,
finit e dimensional bifur cat ion problems the kern els ar e generically absolutely irr e-
du cible rep resent ations of G n . A similar th eorem is true for one param eter famili es
of secto rial ope ra tors with compac t resolvent , see LACTEIWACH [3-!]. However th is
does not impl y th at it is sufficient to study only one pa ra mete r bifurcation s wit h
absolutely irr ed ucible kern els. For a n exa mple, see th e sect ion on local bifurcat ions.

Theorem 2.1 Let X be a B an ach space, F : X x R -; X be G - equim riant atul suf-

ficiently smooth. A ssume F(O, A) = 0 f or all A E Rand DxF(O . 0) has a non trivial
kern el K. Let f : K x R -; K denote the ma pping obtained via a Luapiu uni-
Schmidt reduction, then f is G- equivariant.

For th e cente r manifold reducti on we not e, that if a ll choices ar e made in a reas on-
ab le way, t hen th e equat ion on the center manifold is G-cqui\'<lriant. Just choos e
a cut-off which makes th e cente r manifold unique and apply t he gro up elements
to get ano th er cent er manifold, which by uniqueness coincides with t he first one .
This sets t he stage for a local t heory, which of course if well kn own. For fur t her
reference and for set ting up th e not ation we recall some of th e fund am ent al results
in th e next sect ion. First , however , we need some more not at ion . If G acts on the
space V, th en for v E V t he orbit is given by

O (v) = bv l/' E G} . (7)

The set of all orb its is denot ed by V / G . To eac h point we associate the orbit typ e
as th e class of subgroups [H] conjuga te to t he isotropy subgro up H of v, i.e.

(8)

where H is t he isotr opy subgro up of v . From our previous observation tha t th e

isotropy subgroup of 1 1' is given by /, H /, -l we conclude th at the orbit typ e is
constant along orbi ts . which jus t ifies thi s nomencl ature.
 SVI\IMETRV BREAKING I?' DV?'A\lI CAL SYSTEMS 127

3 Some Aspects of Local Bifurcations

The last sect ion prepar ed to consid er finit e d imensional cquivariant dyn amic al sys-
tem s, which we cons ider to be the reduced equa t ions ob tained via the eq uivariant
cente r manifold red uction. There a rc severa l methods to st udy a nd classify th ese
problems. In [22] an equivaria nt singularity t heory was deve loped, however in pr ac-
tical comput at ions it is oft en difficult to get to satisfactory answers. In BUZA KO ,
G EY\ IO\".-\T &: POSTON [G] this theory is applied to the low dim ension al repre-
sentations of th e di hed ral group D" , wh ich arc used to st udy the bu ckling of t hin
rod s with a cross-s ect ion of a regu lar n-gon. An attempt to give a classification of
G- equivarian t problems by t heir codimcnsion (in th e sense of contact eq uivalence ,
sec [22]) is made in GATERI\lAN" S: LAUTERBACH [19]. Here computer algebra
is used to constr uct G-equivari ant bifur cation problems. orde red by cod imcnsion.
T he calculations use Poin car e- series and give list s of genera ti ng elem ents for th e
ring of invariant func tions and the mod ule of equ ivariant mappings. However, even
here one can not expec t to t reat large groups or high di mension al representati ons.
A second approach is based on isotropy subgro ups and t he geometry of fixed
point sub-pa ces. Lct V be a finite dim ension al vecto r space and p : G -> Gl (V)
be a represent ation of a group G . Let f : V x R ~ V be G-equivar iant , i.e.
f (p(-y )1'. A) = pb)f(v , A) and consid er t he d ifferenti al eq uatio n

iJ = f (v ,A ). (9)

A subgroup H e G is ca lled an isotropy subgroup . if there exists some v E V, v =!

0, such th at H is t he isotropy subgro up of 1', i.o.

H = b E G l pb )l' = r} . (10)

An isot ropy subgroup H is called m axi m al if it is a maxim al element in the partial

ord ered set of all isotropy subgrou p. It is easy to sec that subgroups wit h one
dim ensional fixed poin t space are a lways maxim al. Du e to the so called equivariant
branching lemm a these groups play an imp ortant role, somet imes t hey are called
axial su bgroups. T he following resu lt goes back to V-\\"DERBA UWH ED E [48] and
C leOG"A [12]. The present for mul ation is d ue to I HRIG &: GOLUBITSKY [28].
Theorem 3,1 Let v be an absoluie h] irreduci ble re presentatio ti of G , th en we ha ve

1. f (O . A) = 0,

2. D ef (O. A) = c(A)l v fo r some scalar c(A) .

S uppose c(0) = 0, c' (O) =! ° and H is a maximal isotrop y subgroup of G , th en

th ere exists a bifurcating bran ch of solutions hal'ing iso tropy H .

The proof of t his important resu lt is very simp le. A similar theorem holds
in t he context of Hopf bifurcation, however it is much less trivi al. Again we just
recall th e state ment. It is due to GOLURITSKY &: STEWART [21]. It describes the
128 REINER LAUTERBACH

bifur cat ion of periodi c solut ions wit h spa tia l- tem pora l symmet ry. Bifur cati on of
period ic solutio ns can be st udied using a Lyapunov-Schmidt reduction in a space of
2rr period ic functi ons. The equat ions obta ined by t his redu cti on do not only allow
G- equi var ian ce, bu t du e to t he fact t hat the pro blem is invariant und er time shifts,
th e gro up G x 5 1 acts on t he kern el and t he bifurcation equatio n is equivariant
with resp ect to this act ion. Not e t ha t t his act ion is not absolutely irreducible,
in genera l it is an irre ducible sum of two absolutely irr edu cible represent a t ion s.
The set of commut ing ma tri ces is isomorphic to C. Such repr esent ations are called
simp le ([22]) . In fact a ge nc ricity resul t similar to th e one th at kern els at an
eigenvalues zero are generically absolut ely irr educible one shows t hat invari an t
with pure imaginary eigenvalues lead to generica lly to simple repr esenta tions, see
[221. A subgroup H of r = G x 5 1 is ca lled Coaxial if it has a two dim ension al
fixed point space.

T heorem 3.2 Let the trivial solut ion of equ ation(17) loose its stabilit y through a
pair' of conjugate com plex eigenvalu es which cross the imag inary axis with n ontri v-
ial speed, and suppose that the repres entation of r on the kern el is simple. Th en ,
if Her is a subgroup with dimFix(H) = 2, then a branch of peri odic solutions
with isotropy H bifurcat es.

These results have been used to classify bifurcating solut ions in many a ppli-
ca tions. Espe cially the equivariant Hopf th eor em lead s to very int eresting patterns
in coupled oscillators. One assumes th at t here are n identical oscillators and t here
a re various possibili ties of coupl ing. In gener al one has th e internal symmet ry of
th e single oscillator E a nd a gro up 5 of permutations act ing on th e set of oscilla-
tors. Dep ending on th e coupling one ca n have a dir ect product st ruct ure E x 5 or a
wrea th-produ ct G IS . For both typ es of coupling DIONNE, G OLUBITSKY & ST EW-
ART [14, 151 give a cha racterization of the C- axial subgroups. Alt hough further
solut ions could occur , thi s gives a broad class of solut ions leadin g to interest ing
patterns.

Example 3.3 N ow we would like to discuss an example which shows that althou gh
gen eri cally the kern els at bifurcat ion points are absolutely irreducible represe n ta-
tions , it m ight be important to underst and also bifu rcations with non absolut ely
irredu cible group act ions . Look at th e five dim en sion al absolutely irreducible rep-
resen tatio n of As, the group of even permutations of fi ve lett ers, also kn own as
the symmetry group of the icosahedron. Th e iso m orphism is given by viewing the
symmetry group of the icosah edron as a permutation group on its subgroups of
order 12, which are isomorphic to the sym metry group of a tetrah edron . In this
repres entation the 2-S ylow subgroup D 2 of As (see LANG (32} for the notion of
Sylow groups) of As is a maximal isotropy subgroup and has a tu:o dim en sional
fixed point space. The normalizer of D 2 is th e group A 4 (isomorphic to the symme-
try group of the tetrahedron) and it acts on Fix(D 2 ) . This is a general fa ct that
the normalizer of a subgroup H acts on the fix ed point space of H . Sin ce D 2 acts
 S YM ~ I E TH Y BHEAKING IN DY:\A;\llCA L SYSTE MS 129

tr ivially on its fixed point space, th e effec tive actio n is the action of Z3' T his acti on
is irreduc ible but not absolut ely irreduci ble. T he bif urcation wi thin this jixed poin t
su bspace is not the qencri c Z:J bifurcati on in R 2 . Th e later on e would allow fo r
a Hop] bifu rcatio n which is no t possible in the A 5-c ontext . To com pute the actual
bifurcations in Fix(D 2 ) requires an unders tatuli nq of the m odule of equiv aria n t
m appings. Th ese com pu tati ons touc h th e lim itations of todays workstations .

A different method of studying equi vari ant dyn ami cal sys te ms is to proj ect th ese
eq ua t ions onto th e orbit space. This can be combined with various ot her tech-
niqu es. For cont inuous group s it leads to a redu ction of dimension . Let us bri efly
describ e th e essent ial features.

Definit ion 3.4 Let G act on a space V (or on a man ifold. topolog ical space etc.).
Th e orbit space is given by V I ~ , where ~ is th e equico lence relati on, v , ~ V 2
if] v " "2 aTe on th e same group orbit. Th is definit ion is equiva len t to the p revious
defin iti on of VIG .

If l ' is a Hau sdorff space and if G is compact, th en V I G is again Hau sdorff.

In gener al V IG is not a manifold , but st ra t ified, where each st ra t um is a smoo th
manifold. Since the orbit ty pe is constant along orbits . we assoc iate to eac h element
in VI G a n orbit typ e. The strata for th e smoot h st ra t ificat ion arc given by orbi ts
of th e same orbit typ e. That thi s st ra tificat ion is finit e follows from t hc finiteness
of orbit types which is part of th e following theorem.
T heorem 3.5 Let G be a com pact Li e group, p a represent ation on a vector space
V . Th en we ha ve:
1. T here are only finitely many orbit types.

2. There is a uniquely determin ed m in im al obit type. called th e prin cip al orbit

type .
3. Th e set Pe(V ) of points of m in imal orbit type is open an d den se in V .

4· If G is connected, th en Pc(V ) is con nected.

Proof: See BREDON [5]. 0
SCHWARZ [46] shows th at th ere is a C OO - st ructure on the orbit space, t hat
each smooth, stratum preserving vector field on V I G lifts to a G---equivari ant vect or
field on V . Thi s will be useful later. At th e moment we are int erest ed in proj ecting
vector fields onto the orbi t space . This was used in LAUTERBACH & SAND ERS [38]
to study a certain degenerate case of O(3)---equivari ant bifurcations. As we shall
see later the orbit space is also an important tool for th e st udy of forced symmetry
breaking s, In ord er to get differentia l equa tions on the orbit space, we recall some
facts from invarian t th eor y. As we have seen , to each act ion of a group G on a
space V we have a natural action of G on function spa ces over V . This defines an
act ion on polynomia ls on V . A polynomial is called in mriant if it is fixed under
this action. Obviously the invari ant polynomials form a ring.
130 R EINER LAUTERBACH

Definition 3.6 Let R v den ote th e ring of all G -innarioni polynom ials. Mv is the
module of G - equivari ant polynomial m app ing s from V in to itse lf.

It is a fund amental resu lt of HILBERT that R v is a finitel y generated a lge-

bra, as well as Mv is finit ely generated over this ring . From here it follows th at
equivariant equations can be rewritten as

to
V = f( 1'. A) = L f j ("I (v) , 1r2 (V ), • . . , 1rs ( v ), A)ej (v). (11)
j= 1

The finit eness resu lt roger her with th is rewriting of th e equa t ion a nd th e following
lemma constitute t he basis for th e red uction to th e orbit space .

Lemma 3.7 R v separates orbits. i. e. for two different orbits TI , T2 th ere exi sts an
inv ari an t polynomial p such p is 0 on TI and 1 on T2 .

Proof: It is easy to construct a continuous functio n which is 0 on TI. and 1 on T2 .

From Wcierstraf a pproximat ion theorem we know th at for each E: > 0 there is a
polynomial q, such t hat q(v ) > l -E: for all v E T2 a nd q(v) < E: for v E T I ' Aver agin g
this po lynomial over t he group gives p (up to a mu ltiplicative consta nt ). 0
Toget her with Hilbert's finiteness theorem this te lls us, t hat t here are finitely
ma ny invari ant po lynomials 1r I , . . . , n 8 which generate t he algebra R v a nd which
separate orbits. Therefore t he map

II : V -> R' : v >--> (1r1 (8), . . . , 1rs (v)) (12)

gives rise to a continuous and injective mapping from V IG -> R' . Therefore the
range of II is a homeomorphic image of V IG and we can use the map II to derive
a differe nti al equat ion on th e orbit space. This can be don e as follows: choose
coordinates on R" using 7f1, • . . , ITs and compute for i = L . . . . 8

8
8~i = < , h i , V >=< 'VITi , f( v , A) = L f j(ITI, . . . , ITs. A) < 'VIT, . ej > .
~
(13)
j =1

Now, we have redu ced th e computatio n of th e equation on the orbit spa ce to a

computat ion of the scalar prod ucts < 'V1r i , e j >. Sometimes it is possible to com-
pute t hese sca lar pro duc ts wit hout knowing explicitly the functions "i, ej . In any
case it is possible to derive th ese equations automatically from t he invariants an d
equivariants, The explicit ex pressions for the invariants and equivariants are often
very cumbersome , while the reduced equation has a reasonable form . However , it
might be difficult to give a precise interpret at ion of t he res ults on t he orbit sp ace
to the full equation .
A relative equili brium is a solution v (t) which is part of a gro up orbit. St eady
st ates on t he orb it space ar e rela t ive equilibria for th e original eq uat ion,but need
 Sy :-.nl ETRY BREAKI NG IN Dv xx xncxt, SVST E:-'IS 1~1

no t be equilibria. In a sim ilar fashion periodic orbits on th e orbit sp ace are relati ve
period ic orbits for the fnll equ ation .
There are a few poin ts to be observed . It is in general not true, that 8 <
dim (I/) . This seems to indicat e a ga in in dimension rather th an a loss . However it
can be shown that the maximal number of algebra ica lly indep endent generators is
I' = dimf l ") - dimG ::; dim (I/ ). In th e reductio n pro cess described before on e gets

I' differ ential equat ions and s - r alge bra ic equat ions. Therefore th e reduction to
th e orbi t space lead s to an algcbro-diffcrcntial equa t ion. a feature whi ch has not
yet been exploite d .
The redu ction to th e orbit space gives some ext ra tools, which we wan t to
des cribe by th e way of an exam ple, compare [38]. If we look at th e local bifurc ation
for th e natura l action of the group D:l on R 2 (which is the sa me th eor y as th e
local bifurcation theory for th e 5 ~dimensi on al irr educible representation of 0 (3).
sec [22)) th en one find s t wo algebraic independ ent gen erators of th e a lge bra on
invariant funct ions, i.c. I' = S = 2, the orbit space is a subset of R 2 Sin ce on e of
the inva r iants ca n always be chosen as 1i1(v) = 11t' 112. th e range of TI is in th e right
half plan e. It is easy to check, that the invariants can be cho sen of degree 2 and
3. Up to a sca ling of th e invari ants on e has the following lemma

Lemma 3.8 Th e range of TI is equ al to 1l (1i1 .1i2) ~ 0 ui tli ll ("I . 1i2 ) = 1i1- 27r.~ .
Proof: See [38], or compute th e invariants a nd check. D
Now t his func tion II sa t isfies a differ ential equation . which ca n be eas ily seen:

( 14)

It is a general fact , that t he algeb raic relation s describing th e boundar y of the

range of TI give rise to differential equations. In our D J example thi s equation
can be used to deriv e global information in a bifurcation problem with topological
codirnension 3, sec [38).

Example 3.9 Let us look at a D 3 - equiva'riant probl em all R 2 (o r at th e fi ve di m en-

siona l absolutely irr edu cible represent ation of 0(3)) and let us wri te th e equ ati on in
form of equation (J 1). Fo1' both cases D 3 01' 0(3) th is equati on has th e same fo rm ,
th is is u'hg these two th eor ies are th e same . W e choo se II (" I , 1i2, A) = A + 8 1 7[2
an d 12("1 .7[2, A) = A2" 1' Using th e notion of con tact equivalenc e this probl em has
ex - codim ension 5 and topological codimen sion .'J. For th e computation of th ese
codimensions on e can follow th e lin e of [6) or on e uses a direct computation to
com pute the relevant modules us ing th e Grabner packa ge in some computer alge-
bra system . W e do not att empt to describ e th e beha vio ur fo r an unfolding , we just
describe an interesti ng region in paramet er space. From th e computation of th e
codituens ion we find an unfolding of th e form

II A + a l 1i] + CI"2
h c + a27[1 + C2 " 2·
132 R EI N ER LAIJT ERBACH

where £ 1 is near B I , a2 is near A 2 an d c , £ 2 and a l are close to O. Choos ing the

parameters such that al C2 - a 2£1 > 0 and 12ai + a2C < 0 is satisfied, one finds
Theorem 3.10 At A = 0 the tri via l solution v = 0 looses st ability and a tran scri tical
bifu rcation takes place. In th e orbit space, we fin d a secon dary bifurcation to ste ady
states and tert iary Hopf branch.
Tlie proo] of this result follows classical lin es an d is om itted here. Con cern ing
th e global behaviour of th e bran ch of peri odic solu tions we use the global Hopf
bifurcation theorem by A LEXANDER & Y OH K E [ 1[. Th is th eorem tells us that on e
of th e f ollowing is tru e
1. the amplitude goes to infin ity, or

2. th e the bran ch is unbounded in param eter space, or

3. th e period goes to infinity, or finally

4. th e th e closu re of th e conn ecte d com pon en t of peri odic solutions ema nating
at our Hopf point cont ain s another Hopf poin t.
In our exa mp le th e third alternative is tru e, in fa ct we can show
Theorem 3.11 A long the con nect ed com pon en t of periodic solutions in th e orbit
space bifu rr:ating at th e tertiary Hopf point the minimal peri od goes to infin ity , in
f act th e closure con tains a heteroclinic cycle with two equilibria. The two equilibria
have iso tropy Z 2 , th ere is on e connecti on in the space with isotrop y type Z 2 , one
connection in th e space with tri vial iso tropy.
Proof: W e prove the part uihere we have to us e the differen tia l equati on f or .6..
Th is is th e part where we show th at th e am plit ude of th e periodic solutions in th e
connec ted com ponen t con taining th e Hopf poin t in its closuT"C does n ot approach
infinity. Suppose it did. Front our assumption conce rni ng fJ we concl ude that th ere
is a 71"r > 0 such tha t fl is of on e sign in th e domain 71"1 > Tor . Due to th e
equati on for .6. we conclude th at .6. is a Lyapunov fun ct ion in the domain where
71" 1 > 71"r • Hen ce th ere exis ts a number Co > 0 such that the doma ins .6. > c > Co
are positively or negativel y invaria n t (depen ding on th e sign of fJ). From the fa ct
tha t th e curv es .6. = 0 and .6. = c > 0 aI"C asymptotically equal, we find th at the
amp lit ud es of period ic solut ions have to be uniformly boun ded. 0
Remark 3.12 1. Here the resu lt f or th e 0 (3) case looks slightly different , th e
iso tropy Z 2 is replaced by 0 (2) an d the t rivial iso tropy by D 2 (which is the
principal iso tropy in this exam ple)

2. S in ce D 3 is a fin ite group it is easy to see that equilibria in the orbit space
correspond to equilibria in th e state spa ce and periodic orbits correspon d to
peri odic or bits. In the case of th e continuous group 0 (3) thi s also true but less
trivial to see. Th is pmperty is very specifi c to the case of the 5-dime nsion al
irredu cible representation of 0 (3).
 Snl METRY B REAKING 1:'\ D YN A~ lICAL SYSTEI-IS 133

S. Another' differenc e bet ween th e two cases occu rs if 11Ie allo w pert urbation s
whic h destrou th e equiva ruuice property . such tha t the pert urbed equation is
on ly equioarian i with respect to a su bgrou p. I n the D:l - case the period ic sola-
ii ons unll lead to peri odic solut io ns i n the pert urbed equuiion near the original
periodics. In th e contin uou s case a very com plica ted dynamical behaviour is
expecte d ne ar th e m anifold of equili bria. Th is has not yet been completely
studied, however it is clear th at thi s question leads to interesting topo logical
an d dyna m ical problem s.

4 Forced symmetry breaking

As befor e we conside r a domain or a n embedded compac t man ifold wit hout bound-
ary nc R" wit h a partial differential equat ion on n of th e form
uu
Ut + L u = f(n , A). (15)

where L is a sector ia l operator and f is sufficiently smoot h. In th e case of a domain

n we also requ ire boundar y valu es, let us say of th e form

Du = ¢ ,
where B is a boundary ope ra tor of th e for m

Bu= au +b- '

uu (16)
an
with function s a, b, <p on the boundar y 8n and n de notes th e outer normal uni t
vect or. As said befor e, if a, b, <b are consta nt (homogeneous boundar y cond it ions)
and if th e coefficients of L do not dep end explicit ly on ",' E n th en we have a
G n cquivar iant equ ation . Forced symmetry breaking may occ ur through several
mecha nism which may differ in th e physical mechanism . bu t which can lead to
similar mathematical problems. \Ve classify according to th e mathematical effects.
Let us first men tion some physi cal sit ua tions as pert urb a tion s of boundary COIl-
ditions, perturbations by adding some terms depending explicit ly on the sta te
vari able or introducing drift . The first exa mple might be physically the most im-
portant one. when outs ide influences perturb th e boundary conditions. We might
think of non homo geneous temperature distribut ion ill th e spherical Benard prob-
lem or to spea k about more recent problems t he ph ase lockin g of high frequency
pulses in DFB-lasers to periodic outside signa ls, comp ar e \V UNSCHE, B AND ELOW .
F EISTE ET AL. [4, 16,42].
Associat ed to n we have G = G n th e symmet ry gro up of n. We ass ume
that th e equation (15) and th e boundar y operator D, both arc cqui vari ant und er
th e group act ion of G. Let H be a (closed ) subg roup of G. The forced symmet ry
breakin g perturbati ons which we want to study ill our mathemati cal fram ework
arc th e following
134 R EINER LAUT ERBACH

1. Add a fun cti on of th e form ch(J.:, u) in th e equ ati on . More spec ifically we add
terms of t he form hI (x )g(u ), where 9 is a (non-)linea r functi on of 'U a nd hI
is invar iant und er th e action of H . \Ve refer to these per turbat ions as class
J pe rt ur bations.
2. Add a term of th e form hdx ) < e(J.:) ,g(u )V u >, where h) is H invaria nt a nd
P. is an H - cquivariant mapping n -+ R" .T hcse pert ur ba tions will be ca lled
class II per turbati ons.
Note th at th ese two classes of perturbat ions of t he symmet ry lead to H - equivariant
equations. If we perturb in a similar fashion the boundar y opera to r B or th e
prescribed funct ion 9 . we ca n reduce th ese perturbations to perturbations of th e
equa tio n on n, Thi s docs not re ma in t rue if we perturb th e ty pe of boundar y
cond it ion, like Dirichlet to mixed or Neuma nn to mixed . by adding sma ll te rms .
Then some functi onal ana lyt ic problems arise which have not yet been solved in
genera l, compare ASH \\'I;--'; & l'd E I [3].
A specific sit uation arises when we look at t he effects of forced sym met ry break ing
near a bifur cat ion point. We beg in wit h t he discussion of a steady state bifur-
cation poin t. In prin ciple we have different ways to proceed . \\'e could compute
th e effect of th e per t ur ba t ion on t he cente r ma nifold and th en d iscuss th e finit e
dim ension al problem . T here are two ma in difficul ties involved with t his approach.
First of all symmet ry in general lead s to mul tiple eigenvalues. Perturbing th e sy m-
metry may split (some of ) th e eigenvalues and we have severa l bifurcation points.
If we discuss t he behaviour ncar t he full set of bifurca tion point s we run into ex-
tremely messy calc ulat ions. Ncar the bifurcat ion point we will see t he branches
as t hey come out of t he per turbed points. fur th er away. when th e effects of th e
forced symmetry break ing become sma ller (compa red with th e hyp erb olic st ruc -
ture of man ifolds of equilibria) we see a slightly distorted picture of th e origina l
bifurcat ion problem. There is very complex reco mbination of br an ches and lots of
secondary bifurcations going 01 1. Even in t he simple exam ple of a sp herical pr ob-
lem with th e f = 2- represe ntat ion on th e kern el a perturbation to ax isymmet ric
symmetry lead s to almost unsurmountabl e computa t iona l difficulties. This may
reflect th e following fact. If we consider t he G-equi\'ar iant problem wit hin t he
class of H - equivariant problem we could use a singularity t heory approac h in th e
sense of [22] to classify th ese problems. However if G is not a finit e gro up and if
th e dim en sion of dim(G I H ) (as a homogeneous man ifold) exceeds 0, th en any G-
equivariant bifurcati on proble m has cod imensio n infinit y. compa re G OLUBITSKY
& SCHAEFFER [20]. Therefore we st udy a more spec ific quest ion. th an describing
th e perturbed flow in a com plete neighb orh ood of the bifurcation point . In ord er
to describe th e principal ideas of our a pproac h, let us consider a G--equivari an t
ODE
:i: = f( x ,,X) (17)
and suppose a H - equ i\';u'iant vector field h(x) is given. Cons ider
:i: = f (x, 'x) + ch(x) . (18)
 S Y ~I ~l ETRY BREAKI NG IN DV ;,;A ~Il C A L S VST E" IS

Furthermore suppose :1'0 is a steady st ate solut ion of (17). Then th e orbit

O(xo) = GTo

is conta ined in th c set of equi libri a of (17). Let J( denot e th e isotropy of xo. Then
O(xo) is diffeomorphic to GI tc .We imp ose th e following hypotheses
H I) 0 (.1'0) is isolated in th e set of equilibria.

H2) 0(1'0) is a normally hyperbolic manifold .

HIRSCH . P l ' GH & S UB [26] give a det ailed th eory of norm ally hyp erbolic manifo lds.
Here , we ju st need , th at normally hyp erbolic invariant mani folds arc persistent,
i.c. if M is such a manifold, th en for a ny vector field sufficient ly close to (17)
th ere exists a unique invariant, normally hyp erb olic ma nifold if ncar AI which is
diffeomorphic to "U, i.c. there exists a diffeomorphism

(10)

For a manifold of equilibria to be normally hyp erb olic it is necessar y and sufficient
th at at each point x E M th e linearizat ion of th e vector field has precisely dim( ,U )
eigenvalues on th e imaginar y axis and a ll t he ot hers off t he imaginar y ax is. Ap-
plying thi s conce pt to our present sit uat ion. LACTE RB .-\CH & ROB ERT S [361 have
shown, th at for each sufficiently sma ll H - equ ivariant perturbation h (18) of (17)
an d for each normally hyp erb olic manifold of equilibria th ere exists a unique in-
vari an t manifold ifI for (18) ncar O (xo ) which is H - equ ivariantly diffeomor phic
to O (xo). i.e. the diffeomorphism 'l' is H -equivari ant. \\'e follow th e expos it ion
in [36]) and sta rt wit h th e observa t ion tha t th ere is a n act ion of II on AI, and
since 1\1 is Il - equivariant ly diffeomorphic to G I J( . an d t his homogeneous space is
a H - space. i.c. t here is a natural act ion of H on Gi l \. we find th at th e a- priori
unknown manifold 1\1 is d iffeomorphic to G I J( , with t he natural act ion of H on
G I J( . Th is act ion is given by multiplication

(20)

In genera l t his manifold 1\1 do cs not consist of equilibria, but it car ries a
nontri vial flow. Our aim is to describe some prop erti es of th is flow. Now it is
possible to classify H -oquivariant flows on G I J( . a program which was init iated
and ca rried through in [36] for some examples with G = SO(3) and H , J( closed
subgroups of G. In th at pap er possible flows for H = T and K = SO(2 ) (or
vice versa) were classified and in the case of ODE 's it was possible to cons truct
flows with hetcro clinic cycles. The main observat ion is a description of th e precise
loca tion of th e fixed poin t space for the action of I\. on G / H . Th e fixed point space
of a subgro up III of t his act ion is given by th e set of points where

(21)
136 REINER LAUTERBACH

This is satisfied if an d only if g -I hg E K for all h E HI , or g - I H Ig C K . Therefor e

we see
(22)
We denote this set {g E G I s:' Hlg C K} by N(H 1 , K ). This set was introduced
by IHRIG & GOLIJBlTSKY [28]. Some properties of N(H 1 , K) were deriv ed in [28] .
In th e spherical case th e comput at ions of N(H 1 , K) for all pairs of subgroups was
started in [33], and continued in [11, 36]. Now all fixed point spaces for act ions of
groups H on GIK for G = 0(3) and closed subgroups H,I( are available [35, 43].
From (22) the fixed point spaces for subgroups ca n be characterized in a purely
algebraic fashion. These fixed point spaces are flow invariant which gives severe
restrictions on th e flow. Pi ctures of the geometry of some of th ese spaces can be
found in [36, 35, 39]. The main idea in [35] is to give group theoretic conditions for
hotcroclinic cycles in prob lems with forced symmetry breaking. Thi s is translated
into a gra ph t heoreti cal problem using the stratificati on of th e doub le quo tient
H \GI K into orbit type s for the act ion of H on GI K. In th is conte xt we find a
notion which is similar to Krupa's notion of a robust hetcroclinic cycle [29].

Definition 4.1 A point [g ]K whi ch is isolated in its stratum is called a gro up t heo-
reti c equilibrium . A group theoretic connect ion of two equilibria is a one dimen-
sional fix ed point space, containing both equilibri a ~ 1,6 and an arc with en dpoin ts
~I, 6 containing no oth er group theoretic equilibri a. A collecti on of group theoret ic
equilibria ~I , " . , ~m and of one dimensional fixed point spaces VI. ' . . , Vk is called
a group th eoretic cycle if we can find a direct ed closed path consist ing of group
theoret ic equilibria and of arcs on group theoretic conn ections.

An application of the t heoretical results to problems with spherical symmet ry

yield s

Theorem 4.2 Given an ODE of the form (17) which is equioariant with respect
to 0 (3). Suppose a normally hyperbo lic orbit of equilibria with isotropy type K is
given . A necessary condition for the occurren ce of group theoretical cycles is that
either H = T or' I< = T .

In [43, 35] all graphs associat ed to forced symmetry breaking in problems

wit h spherical symmetry are computed. From this one gets a complet e list of group
t heoretical cycles. There is duality between the dyn amics associated to th e pair
(H , K) a nd the one corresponding to t he pai r (K, H ). Here again lifting theorem
(SCHWARZ [46]) is used .
In order to app ly this to PDE's we do not use center manifo ld reductions,
but we compute a approximat ion to the group theoretic cycle in t he Ban ach space
and determine the flow on this cycle. Let us first define the notation: suppose a
G-equivariant equat ion (2) is given and defines a semid ynarni cal system on H I (0.).
Assume

1. u = 0 is a solution for all .\ E R .

 SY;"I METHY BREAI<IKG IN D Y~AI>II C AL SYSTEMS 137

2. For >'0 th e linearization at th e tri vial solution has a nont ivial kernel V.

3. V is an absolutely irreducible representation of C .

4. K is an isotropy sub group for thi s act ion on V and has a one-d imensional
fixed point space.

G. Th e hyp otheses of the equivariant branchin g lemm a are sa t isfied.

6. The bifurc ating bra nch of steady states wit h isotr opy K is norm ally hyp er-
bolic. Obs erve th at thi s is a generic prop erty, compare FI ELD [17].
Suppose t hat we perturb equation (2) by an H - cquivariant t erm as described
above. We would like to compute t he group orbit of bifurcating solut ion a nd then
the near by invari ant man ifold for t he per tu rb ed syst em. However t he second step
is very difficult. As an approxima t ion we compute a grou p orbi t in th e kern el V
of a po int with isotropy K . Observe, that all th ese points lie in a one dimensional
sub space. Up to a sca ling by a real par amet er s we get a unique group orbi t , of t he
for m sCro , where s is th e real par am et er an d v a is a un it vecto r with isotropy K .
On t his orbi t we can compute th e gr oup th eoretieal cycle. This is a purely gro up
th eoreti c dat a and does not dep end on th e equation or on its perturbati on . For
eac h s , sufficient ly sma ll, we find a unique orb it M ., of st eady states of (2), ju st
usc th e mapp ing (J : V ~ V 1- descr ibin g th e cente r ma nifold , here V 1- denot es
a closed complement to \1 in th e Ban ach space. For th e class of problems we
have studied it is possible to prove th e existe nce of a closed invari ant complement.
Thi s mapping tr ansports t he group th eoreti c cycle onto i\ f., as well. Fin ally we
usc th e mapp ing (19) >It construc ted via norm al hyp erbolicity to tr an sp ort all t he
inform ation to ifs . It can be shown (L AUTERB ACH S: ROBERTS, [37]), that for
additive perturbations th e flow on th e group th eoreti c cycle ca n be computed , by
computin g th e sca lar product bet ween th e t angent vector to th e one-dimensiona l
pieces of th e cycle and th e perturbations, i.e. let r( T) be a par ametri zation of an
arc in th e group theoretic cycle and let

be th e tan gent vector to t he arc at T. \Ve have

Theorem 4.3 Th ere exis ts some co > 0, such that for ls i < co, s of- 0 the direction
of the flo w on the group theoretic cycle on f Is at v(r) is given by the scalar product

(t ,., h) L 2 ( fI ) , (23)
where eh. denotes pert urbation , of either form .
Using thi s result one can st udy what kind of perturbations h lead to het c-
roclini c cycles (on the grou p th eoreti c cycle) . In MAIER-PAA PE & LAUTERBACH
[39] th is result is used to investigate forced symmetry breaking ncar t he f = 2
bifurcation for a problem with sphe rical symmet ry.
138 R EINER LAUTERI:lACH

Theorem 4.4 Con sider a PDE of form (2) which is equuiaria nt icith respect to
0(3) . Suppo se f or all A E R u = 0 is a so lutio n which changes sta bility at Ao.
Suppo se moreover that the kern el V of th e lin eari zat ion at u = O. Ao is th e e = 2 -
representation of 0(3). Th en th en exis ts a bran cli of axis ym metric solutions. W e
consider' perturbations with H = T EB Z:; - equivari an ce. Th en there exists an open
set of perturbatio ns (in th e space of H -equiuari ani pertu rbation s of class 1 and
class 2 in th e C (O) top ology) whic h lead to het eroclin ic cycle s.

P roof: The main d ifficulty is to study th e type of perturbati ons leading to hetcro-
clinic cycles. The classification is based on a det ailed st udy of th e invariant th eory
for th e except ional subgroups of 0 (3). The det ails can be found in [39]. 0
A similar th eory ca n be develop ed for t he perturbations of Hopf bifurcations,
th is is work in pro gress. Different techniques to invest igate perturbation s of Hopf
bran ches were developed by CHOSSAT a nd FI ELD [9), for applications in physics,
see DANGELMAYR & K:-WI:lLOCH [13], and HIRSCHI:lERG & K NOBLOCH [27].
So far we have looked at forced symmetry breaking of cont inuous groups. In th e
case of finit e gro ups th ese techniques cannot work . SANDSTEDE & SCH EEL [44]
look at t he problem of forced symmetry breaki ng for finite groups. By projecting
on th e orbit spa ce th ey find a codimcnsion 2 hom oclini c bifurcation. This lead s to
various periodic orb its. hct ero clini c cycles a nd even geometri c Lorenz attractors.

5 Heteroclinic cycles and invariant planes

A typi cal scenario for th e creation of het croclinic cycles in cquivariant systems is
th e following (in th e simplest possible case ). Assume th at G cont ains subgroups
n., HI and H 2 with
1. H o ::) HI and H o ::) H 2 , and

2. (a) dimFix(Ho) = 1,
(b) dimFi x(Htl = 2 a nd
(c) dimFix(H2 ) = 2.
Moreover , we ass ume that th ere are two nontrivial hyperbolic fixed points in
Fix(Ho), say VI , V 2 such tha t th e unstabl e man ifold of VI inte rsects Fix(Htl in
a one dim ensional manifold, and so does th e stable manifo ld of r l with Fix(H2 ).
For stable and unst ab le manifo lds of the poin t V2 we require th e opposit e inclu-
sions , i.e. we have

dim (vF 1L (r tl n Fix(Htl) = dim (W S(vtl n Fix(H2 ) )

dim (W U (t'2) n Fix(H2)) = dim (W S (V2) n F ix(Htl) L

see figure 1.
 S YM:\IETRY B REAKI NG IN D Yi\'A:\IIC AL S YSTEMS 1:l9

Fix(IIo)

Fix(Hd

Figur e I: The geometry of th e fixed point planes wirh a hetero clini c cycle.

This typ e of hctero clini c cycle is ca lled robust heteroclinic cycle in K RUPA [29].
Of cour se. th ere migh t be several groups conjugate to HI or Jh contai ned in Ho.
In [111 th e numb er ui H , K ) is introduced as t he nu mber of conj uga te copies of
H contai ned in K . C IIOSSA T &: G UYAR D [10] ma ke a dist incti on bet ween the two
cases

1. n(Hj .Ho) = 1 for j = 1. 2 a nd

2. ni H] . H o ) > 1 for j = 1 or j = 2.
A nice and simple example for t his scena rio is du e to G l "CKEi\' HE II>IER &: H OL I>I ES
[23] . They give a vecto r field on R 3 which is cquivaria nt wit h respect to the group
T EB Z; of all rigid motio ns of a regul ar te trahedron T togeth er with Z!2 which act s
as a reflecti on at one of the coord inate plan es. The subgro ups of the form Z2 EB Z;
have a one dim ensional fixed poin t subspa ce. They cont ain two subgroups of orde r
2. Consider the vecto r field

i: AX + x(ax 2 + bi + cz 2 )
iJ Ay + y (ay 2 + bz 2 + cx 2 )
i AZ + z (az 2 + bx 2 + cy2).

This vect or field has the right equivaria ncc prope rty. th erefore we find t he t hree co-
ordina te planes as invar ian t subspaces. Choos ing the par am et er valu es a < O. , A >
o and eit her b < a < c or c < a < b we obtain a pair of non trivial eq uilibria on
140 R EINER LAUTERBACH

each coord inate line and a hct eroclinic orbit connected them , compare [23, 44].
Thi s gives a het eroclinic cycle involving 3 equilibria . Thi s exa mple is slightly more
complicated t ha n t he scena rio shown in figur e 1.
An applicat ion of this technique to problems with spherical symmetry was
given in C HOSSAT & G UYARD [10] . It can be shown th at in irreducible represen-
t at ions of 0(3) t here is no possibility of a local steady sta te bifurcat ion giving rise
to a heteroclinic cycle through th is scenar io. In fact th e bifurcat ion equa t ions have
some variatio nal st ruct ure ([45] to proh ibit hetero clinic cycles. The interest in hct-
eroclinic cycles in spher ical problems comes par tly from geophysics. Such cycles
could be a model for th e cha nge of orientation of t he eart hs magnetic field. Th ere
are some indications that th e relevant bifur cations come from mode int eractions
involving severa l irreduci ble repr esent ati ons of 0 (3). A syste matic invest igat ion of
th e scenario describ ed in [41] in mode inte ractions for problems with spherical sym-
met ry was done by C IIOSSAT & GUYARD [10,24]. They st udy two typ es of mode
interac tio ns, th e e= 2, e = 6 mode interact ion and t he interact ions of ty pe e,e+ 1.
Here f st ands for t he 2ell + l -edimcnsional repr esent ati on of 0(3). Th ese studies
follow some earlier work of C IIOSSAT & ARMBRUSTER [2, 8], where heteroclinic
cycles in th e (1,2) mode int erac tio n were found. Conce rning th e (€. e+ 1) mode
interaction C HOSSAT S: GUYA RD [10] give a complete list of heteroclinic cycles
which can be const ructed with t he invariant planes scenario. To describe th e re-
sults concerni ng t he spherical sym met ric case we follow the notation in [11, 22, 28].
Theorem 5.1 Consi der the spherical B enard problem and let e > 1. If the loss of
stability of the purely heat conducti ng solution leads to a kern el with the (e, e+ 1)
mode interaction, then there exists an open region in param eter space and an open
neighborhood U of the bifu rcation point such that for each param eter value in the
open region there exists at least one heteroclin ic cycle in U connec ting two 0(2) EBZ~
symmetri c point s. If e= 8 then besides this heteroclinic cycle there is anoth er one
connec ting two 0 @ Z~ symme tric poin ts.
Observe that the functions invariant und er th e group 0(2) are axisymmet ric, the
ones invar iant und er 0 have th e symmet ry of a cube. Z ~ stands for th e group
generated by x ....... - x in R 3 .
Proof: The proof consists of two part s. We begin with a group t heoretic verification
of th e geomet ry of th e fixed point sub spaces, There is a necessar y condition on the
par tial ordered set (po-set) of isotropy sub groups, namely the occurrence of a sub-
gra ph of t he form indicated in figure 2. This gives t he possibility of a het erocl inic
connect ion in Fix(H I) and in Fix(Hz) and in th e fixed point subspaces of groups
Hk C H o conjugate to HI or to Hz. The number of such conjugate subgroups
plays a cru cial role. In order to est ablish the existe nce of hete roclinic connect ions
one has to look at th e vector fields restricted to th ese sub spaees. For the genericity
state ment one has to show that for open regions in paramet er space th e equa tions
give rise to a steady state bifurcation of a pair of points in Fix(Ho) which have
the correct stability assignments within Fix(HI ,z) and moreover one has to show
that the stable or unst able manifold cannot go off to infinity. 0
 S YMMETRY B REAKI NG 1:-/ DY NA:-'lICAL S YSTE l\lS 141

Figur e 2: In ordc r to find hctcroclinic cycles a par t of t hc po-sct of isotr opy sub-
groups has to have th c ind icat ed form The numb ers indicat e t he dimension of t he
corres ponding fixed point subspace.

Remark 5.2 For a p roof th at the generic hypoth eses are satisfie d in a given system
on e has to stu dy th e specific equatio n . Here. the Clebsch - Gordan coej]!cients allo w
to qailier suffi cicnt info rm atio n to provc the cxis tencc of the hcteroclinic cycles as
asse rted.

Remark 5.3 This result canno t be directl y applied to the geophysical problem , one
reason is th e ear ths rotation . Taking it in to account the problem can be treated
as a for ced symmetry breaking to a 50 (2) - cquivariant problem . S ome work in
this direction has been done by C HOSSAT [7] . Th e study of th e beluunour of the
het eroclinic cycles un der this sym me try breaking pert urbatio ns is und er way and
promises some interes ting dyn am ical effects .

Remark 5.4 It is am using to n ote that the group theoreti c comp utatio ns to veri fy
the necessary conditi on in the mode in terac ti on case are very si mi lar to th e group
th eoret ic computati ons fo r the f orced sym m et ry breaking analysis, compare G u-
YARD [2.1], LA UT ERB ACH & ROB ERTS [36]' LA UT ER BACH, i\I AIER & R EISS:--: ER
[35] and R EISSNER [431.

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Progress in Nonlinear Differential Equations
and Their Applications. Vol. 19
© 1996 Birkh auser Verlag Basel/Switzerl and

Invari ant C j fun ctions and cent er manifold

red uction *
Matt hias Rum berger .l iirgen Scheurle!

1 Intr oduction
Recent ly th e orbit space red uct ion met hod has been successfully applied to st udy
comp lex dyna mical syste ms with symmet ry (sec e.g. Dias and Chossat [3], Marsden
[5], and Schcurle [9]). In par ticular , combined wit h some kind of center mani fold
redu ction procedure, that meth od has been used to ana lyze bifurcation and st a-
bility prop erti es of relat ive equi librium solut ions of mechani cal syst ems. Those
solut ions become genuine equilib ria on t he orbi t space .
A key feat ure of orbit space red uction is to ident ify whole orbit s of the sy m-
metr y group of th e system in phase spa ce with single points of t he so-ca lled or bit
space . T hus. mod ulo the mot ion on group orbi ts, t he origina l dyn amical sys te m
induces a dynam ical system on t he orbi t space. th e reduced dynam icaL system.
Relat ive equilibrium solutions have th e property th at th eir dyn am ic orbit in ph ase
space is also an or bit of a subgro up of t he symmetry gro up. So, t hey become fixed
point s un der orbit space reduct ion . In genera l, th is simplifies th eir analysis to a
large ext ent
A common way to repr esent th e orhit space and th e reduced dyn ami cal sys-
tem is to usc a Hilbert basis of th e ri ng of polyn omials on th e origina l phase space ,
th at arc invariant und er th e symmet ry gro up. LC't t he symmet ry group I' be a
compact Lie group which acts ort hogona lly on jR"' . Th en a well-kn own t heorem
says th at th e ring P (f ) of f -invarian t polynomials over E,fIl is finitely genera ted ,
i.o., th ere exist finitel y many polynom ials Pj E P (r) (j = 1. . . . • k) such t hat any
p E P (r) can be rep resented in the form P = P (Pl . ' . . . pd , where P is a polyn o-
mial OW l' R k • In ot her word s. t here exists a finit e Hilbert basis for P (r) (sec e.g.
Wcyl [12]). Xlorcovcr. P (f ) separa tes orbits of I' in R' " . Hence. an embedding into
lR k of tho orbit space lRfIljf of I' is given by p(lR"') wit h p = (PI, .. . ,pd, i.o.. by
functi onal relations of th e polyn omials Pj that genera te P (r) .

" This work I"", bee n su pported by t he DF G u nd er th e con t ract Schc2:l:l / :l- 1
t ll" ti t ut Iiir An gcwandtc Ma rh c mat ik . Un ivors it iit Ha ruh urg . Bun dr-sst russc 55.D-20 146 11alll-
burg . GtTtlIany
146 l\ I AT TIII AS R UM I3ERG ER , J URG E:>: SC IlEURLE

\Ve ca ll a dynam ical system on IR m [- symm etric, if it is given by a [-

equiuariant vector field X on IRm , i.c ., if for a ll x E IR m and I E r. X (-,.r) = ~i X (l :)
holds . Obviously, such a system ind uces a flow on the orbit space. T his flow is given
by the evolution of the values of t he polyn om ia ls Pi alo ng X -o rb its , If X is a poly-
nomial vector field, th en it follows from the t heorem menti oned a bo ve , that t he
red uced dynamical system is gen erated by a po lynomial vect or field "Y on IRk (cf.
sect ion 3).
In Sch warz [10]. t he above men tioned th eor em has bee n genera lized to (ge rms
of) C '>C funct ions. In fact , if Coo (IR m) denot es t he Frcchet space of a rbit rarily
often con tinuously d iffere nti a b le fun ct ions on IRn< equ ipp ed wit h t he usual topology
(a na logously, if IR71l is replaced by some subset of IRm) and if a superscript I' denotes
t he corr espond ing subspace of I'<inva rian t functions, t hen for any f E c oo(IRm)r
th ere exis ts a n F E CX (R k ) s uch t ha t f = F(P I, . . . ,pd , where as before t he Pi
are elem en ts of a given Hilber t basis of P (r) . Fur therm ore, F can he chosen such
t hat t he ma p

is linear a nd continuous (cr. Mather [6, Theor em 1J). Moreover, F 1,,, :,.m ) is uniquely
det ermined by f , and t he map I from C""(IR11l) r onto its rang e in C X(IRk ) is a
homeomor ph ism. Accordingly, given any cquivariant CX vector field X on IRm,
the correspond ing redu ced dyn amical system is generated by a CX vector field X
on IRk.
Let us now ass ume that locally in IRm, say ncar x = 0, t he vect or field X
represents a possibly infini te di mensiona l dy na m ical system on a cent er ma nifold.
As is well-known , in general such a vecto r field is not CX even if the origina l vector
field is a na ly t ic. On the ot her hand , it is of class CJ , pr ovided th at the or igina l
vector field has t hat prop er ty. Thus, the quest ion ar ises whether in th e c»case ,
th ere is a n analogue to Schwarz's th eor em and t he orbit space red uct ion procedu re
as outlined above.
In t his not e we want to make th e point t hat the answer to th at qu est ion is
e
'yes'. In fact , t he following t heorem holds t rue , where t he spaces i of j -times
continuously different iable functions are defined a nal ogou sly to the ex case.

Theor em 1.1 Let r be a com pact Li e group actin g orthogona lly on IRn<, let
{ Pl . . . . , pd be a Hilbert basis of P( r) , and let U be some r -inuariant neighborhood
of x = 0 in iR"' . Th en there is an in teger q and a neighborhood V C U of x = 0
such that f or all n E N. there exists a conti nuous, lin ear map

with
f = F (PI , . . . ,p,.) on V
 I ,,\'ARI A NT cj FUNCTI O KS A ND CE;,\TE R \L\ ;,\I FOLD RED UCTI O" 14 7

See Whit ney [13] for th e special case of thi s t heorem for even functi ons, where
q = 2.
It is to he not ed t hat t here are di fferences compa red t.o t he C X case. Fir st.
elementa ry examples show t.hat th ere is a loss of smoothness between f and F in
genera l. Accord ing t.o Th eorem 1.1. an upper hound for this loss of smoo thness is
given by (n - l )q. It t urns ou t t hat t he integer q ca n he est ima ted from ab ove by
4" t imes the maxi mal degree of t he polyn omials P ) : where a denot es t he maximal
length of direct path s t hro ugh t he latt ice of isotropy subgro ups uf r . \\'e poin t
out , t hough . t hat t his is a rough ho un d on ly. In part icular . t his bou nd dol'S not
depend on t he funct ional relations of th e polvnomials Pj '
Second . th e map I from Cq"(U f ont o its range in C "(I{k) is not a homeo-
morp hism in genera l, not even in t he case U = E "'. where V ca n be set eq ual to
IRm. In turn. the proof in Schwarz [10] do cs not fully carry over to th e present case.
Especially. severa l nice abstr act arguments from th at pap er do not work here. See.
in particular, th e proof of the Lemm a in §2 of [10].
We shall out line a proof of Theorem 1.1 in sect ion 2. In part icular, t his
t heorem justifies a n applicat ion of t he met hod of orb it space red uct ion on center
ma nifolds for sufficient ly smo oth symmet ric dyn am ical syst ems. To illustrate thi s
br iefly. we consider the Swift- Hohcub crg equat ion as a simple example in sect ion
:3. Th is oquat ion is sup posed to mod el convect ive instabilities of t.he basic moti on
of cert ain fluids.

2 Outline of a proof of T heorem 1.1

In t his section we mainly want to give t he reader a rough idea of how t he loss
of a finit e numb er of derivat ives for t he funct ion F in T heorem 1.1 comes ab out .
Basically. we follow th e ideas of Schwarz [10]. For tech nica l det ails in t he present
case we refer to Rumberger [8] . Throughout th is sect ion. n is chosen to he a fixed
integer.
T he proof proceeds by ma t hema tical ind uct ion with resp ect to t. he lattice of
isot ropy subgroups of t he symmet ry group r acti ng on Em. Note t ha t those are
agai n compact Lie grou ps and t here arc only finitely man y of th em . If r = {id}
is the trivi al group, th en th e theorem is clearly t ru e wit h k = TIl , q = 1, a nd for
exam ple. pj (:r) = :r j (j = 1. . . . ,m ) . We now assume. as inductive hyp ot hesis, t ha t
th e th eorem has been proved for appropriate represent at ions (see below) of a ny
prop er isotropy sub group of r. Of course, if the th eorem is true for one Hilbert
basis of P (f) . th en it. is also true for any ot her one. We can assume t hat the
polynomials Pj arc homogeneous a nd of degrees d j > O. Also, first we consider
th e case that t he fixed point sub sp ace of r in IR'" is equal to {O}. Moreover, since
both t he Taylor polynomial an d it.s remainder an' f -in\'uriant for a r -invari ant
functi on f. and Th eorem 1.1 is true for polyn omials of a fixed maximal degree by
t he classical resu lt , it suffices to pro ve th e th eorem for t he remainder. T hus. we
148 M AT THIAS R UIo.IBERG ER , J UR G EN S CH EURL E

assume th at 1 a nd all its derivati ves up t hrough ord er qn. vanis h at x = O. Let us
denot e th e corres pond ing subspace of e qn(IR",) r by eq" (IR"')I;' .
The basic idea of th e induct ion argument is th e decomp osti on of I into 13 0
1 2 0 h 0 1 0 , to t reat t he point of maximal isotropy in IR"', i.e. th e origin, and th e
points of less isotropy separately. Starting with 10, th e map s 1j will be const ruc te d
one after the ot her in four ste ps. Fir st one performs a blow-up of th e singularity
of 1 a t x = 0 to separate th e "radial" part and th e "angular" par t . T he second
step is t he main st ep of th e induction argument. There one proves th e claim of the
th eorem for t he "angular" par t . F inally, in th e last two ste ps one deals with the
"radial" part to ca pt ure th e origin .
To perform a blow-up of t he singular ity of 1 at x = 0, let us now introduce
t he map
o: (1',O) ~ 1'O ; IRx5", - I ---.IR"' ,
where 5"' - 1 denotes th e un it sphere in IR"'. Also, we introduce th e suhspaces E j of
fun ctions 1 E e j(IR x 5 "'-1 )1' such th at 1 (- 1', -0 ) = 1( 1',0 ) holds for all (r ,O) a nd
such th at f an d all its derivat ives up th rough order j vanish for r = O. Here a nd
subsequent ly, th e act ion of I' 011 5 "' -1 is given by th e restrict ion of th e f- acti on
on IR"', a nd r acts trivially 0 11 IR. Using Whitney' s ext ension th eorem one eas ily
e
finds a conti nuous linear map 10 : qn(U)S ---. E q " such th at

[o(/) I(_o,o)XS",- 1 = 10 01 ( _ . , o ) X S ", -1

holds for all 1 E e qn(U )I;' . Here {) > 0 is chosen su ch th at th e closed ba ll V := B 6 (0 )

in 1R'" is contained in U .
In t he second ste p, we prove t he assertion of Theorem 1.1 for function s 1 E
C'i"(5", - 1)1'. Choose p E 5 ", - 1 arbitra rily. According to our ass umptio ns above ,
t he isot ropy subgroup I'p of p , i.e. t he subgroup of all "I E I' th at fix p, is different
from f . Therefore we can a pply the ind uct ive hypo the sis to th at symm etry group.
Let N p denot e th e manifold given by th e int ersection of 5",-1 with t hat subspace
of th e affine space ]I + IR'" th at is orthogon al to th e f- orbit a t p. Introducing a
coord ina te cha rt, we can identify thi s manifold with a neighborhood of 0 in IRTh for
some m < m . Obviously, N p is I' p-illvariant , and I' p acts orthogon ally on it . Choose
any minim al Hilb ert basis {O'I , . . . , O'e} of th e corre sponding ring p (r pl. (In view of
th e indi cated upper bound for q, we mention th at this Hilbert basis can be chosen
such th at th e maxim al degree of t he polyn omial s O'j is less t ha n or equal to th e
maxim al degree of th e polyn omials Pj .) Then , by t he indu ctiv e hypoth esis, locally
in NI' ncar p , a nd provided t hat ij is sufficiently lar ge, any funct ion 1 E C''in( 5", - I)1'
call be rep resented as 1 = F(O'I , .. . , O'e) where F = 1p (J ) is given bv a cont inuous
linear map 1p : C'in(Np)r p ---. e nt IRe). Moreover , since different r p-orbi ts in N p
arc conta ined in different f -orbits in IR'" (ef. Bredon [1. p. 85]), th e polynomials
Pj restricted to N" separate I',,·o rbits th ere. Co nsequent ly, th e r p-invar ian ts O'j
arc functi ons of the Pj on N p • In fact , using t he property th at t he Hilbert basis
{O'I . . . . ,I'T ( } is minim al. one ca n prove t hat tho se functi ons arc smoot h. Hence,
th ere exists a en function t such th at 1 = t op holds locally on .\'1' ncar p. In
 l:\VARIA NT Cj F UN CTIO NS AND CEN T ER ~ I A NI FO L D RED UCTIO" 149

fact , by th e f-invari ance of! and the Pj, t his relation is even valid on S ",-I locally
ncar p. Xlorcover , F can be extended to a C" function on an open neighborhood ,
say n"I" of p(p ) in ~k , c.g. by extending th e rela t ion t hat gives a as a funct ion
of p on 1\'1" to all of ~k. Fin ally, one uses a partition of unity on S ",-I th at is
subord inated to the coverin g {IVp } p E 5'" _ I of p(S ",- I). to est ablish th e exist ence
of a continuous linear map Is".-I : C'i" (S", - !) r -; G"(:?.k) such th at

[ 5, ,, -1 (f) 0 P1s m- l = !
hold s for all ! E C'i,,(sm -! l . Since I' acts tri vially 011 t he iR-component of func-
tion s in E J • a similar Lemm a as in Schwar z [10.§2] shows th at th e latter resul t
implies th e existence of a cont inuous linear map [ I : E2 il'l - ; E; such that

holds for all ! E E 2 'i'" Here we ass ume th at , in particular.

1/ 2d := max {dj }
1 <;; j <;; k

hold s, and we use the not ation F" for the function space

F" = { [ : R x ~k -; ~ I! 0 A <I, all deri vatives of ! th at ar c a t most

of ord er dn with respe ct to th e ~-arg u llle nt and of ord er n wit h
resp ect to th e JRk-argument , exist , are cont inuou s, and vanish
together with! along {O} x :;<.k } .

The map A is defined by

A : (t. .If!, .. . , ykl >--> (- t , (_1)<1 1 Y! , .. . , ( - 1 )'hljkl : R X JRk -; JR X JRk ,

where dj is the degree of the polynomial Pj.

Next. in the third st ep of th e proof, we introduce a map

(j : (t , YI , . . . , Yk) >--> (t 2 , t dl YI , . . . , t dk.lfk ) : lR x jRk -; JR X JRk .

Obviously. we have the relation

(3 0 (id , p) = ( 1'2 . p) 0 (i

where 1' (x ) = xI + .. . + x ;;, is th e squa re of th e radius function in JR"'. Then,

2

using again Whitney 's extension theorem, one shows th at th ere is a continuous
linear map [2 : F" -; Gn( JR x JRk)o such th at

h(f) o (3=! on JRxp(S ",-I )

holds for all ! E Fn . Here one need s to employ the prop erty th at sufficiently many
derivatives of ! vanish alon g {O} x IRk.
150 i\ IATTHI AS R UMB ERGER , J UR GE i'! S CH El' RL E

Finally. in th e last ste p of t he induction argument , we observe t ha t t here is

a polynomial R such that
1'2 = R 0 P

holds for t he square 1'2 of t he ra dius functi on , because 1'2 is I'<invar iant . The map
I:l : C"(IR x IRk)o ---> C "(IRk)o given by

I 3 (1 ) = f 0 (R , id )

is clearl y linear a nd also conti nuous. Therefore, t.he map I : C~"( C ) r ---> C" (lR!')
t.hat. we arc looking for is given by t.he composit ion
I = I3 0 I2 0 II 0 Io,

q
with = 21/. T hus the indu ct ion a rgument to prove T heorem 1.1 in t.he case th at
t he fixed point subsp ace F ix (r) C IR'" is t rivial, is finished .
To complet e t he proof, we point out th a t r acts trivi ally on its fixed point
subspace F ix (r) , and or t.hogonally on t.he orthogonal comp lement Fi .T(r) .l. in
IRTIl . Thus, aft er the assertion of Theorem 1.1 has been proved as above , wit.h IR'"
replaced by Fi .1:(r) .1., we can aga in usc t he ab ove mentioned Lemma to extend I
t. o a ma p from cq" (U) r into C "( F ix( r) x IRk) with q = 27j. such th at.

I (I ) 0 (id, p) = f
holds in a neighb orh ood of x = 0 in IR'" .
Remark: Accordingly. t here is a version of Poen aru's nor mal form th eorem for
equivariant vector fields [7] in th e cj -case. In fact , we can usc T heorem 1.1 to
est ablish such a resu lt. Nam ely, if X is a r -equi vari an t vector field on IR'" of class
C!" with q sufficient ly large, th en we define a function f E C q"(R III x (IRm) *)I' by
f (x . w) = w(X( x) ). Here r acts on the second vari ab le w by (t lr) (l') = w(r - I x )
for all "y E r, x E IRTIl . Let {PI . . . . , Pk} be a Hilbert basis of th e corresponding ring
P(r) . By Theorem 1.1. t here exists a funct ion Q E cn(IR k ) such t hat f = Q 0 p.
Now, differen tiat ing f wit h resp ect to w at w = 0 yields
k
X (:r ) = D wf (:r ,O) = ~ 8Yj Q (p(x , O ) ) D", pj (x , 0 ) .
j =1

Obviously, for all j , D U' Pj (x ,O) ca n be iden tified with a I'<equivar iau t polynomi al
vector field on IR m • and th e functions 8 y)Q (p(x ,0 )) arc of class C,,- I (IR m ) and
r-invariant.

3 Example
In t his secti on we br iefly illustrate the usefulness of T heor em 1.1 in t he cont ext
of orh it space redu ctio n on cente r mani folds. To that end we consider t he Swift-
Hohenberg equat ion. As point ed out in t he introduct ion, t he Swift- Hohenberg
 l:\\'ARI A NT C J F UNCTI OI-lS A ND CE"TE R ~l.":\ I FOL D RED UCTIO" 151

equ at ion models certain hydrodyn ami cal instabilitv ph enomen a. It reads
2
Oil D 2 3
- = - (1 + -iJ.I:2 ) Il + IL/I - Il
of
where I E JR is a one-dim ensional spa tia l variab le. t E IT{ denotes tim e, a nd II E R
is suppose d to be a bifurcat ion parameter. Furt her more. we imp ose t he period ic
boundary condition
u(:r + 27T , f) = u(J-. t )
for th e unknown funct ion Il = U(I , f ) E JR. It is wel l-known , t hat th is equation
genera tes a seminow in an ap propr iate Ban ach space H of 2iT-period ic funct ions (d .
Collet an d Eckmann [2], Tcma m [11]). As a conseque nce of the period ic boundar y
condit ion. r = 0 (2) is a spa t ial symmet ry gro up of th e svstcm. Th at mean s, given
any solut ion. the image of th is solut ion und er t he act ion of any elemen t of r is
agai n a solut ion. Here r acts by t ran slations T" : .7; >- J.' + a wit h a E [0, 2r.)
as well as by t he flip S : ]: f-+ - I on t he .r-ax is. Th e action of r on II is given
by (Tau )(.r. I) = U(I + a, f) and (SIl) (X, f ) = u( - .r. I) . :\"ote t hat a n ad d it iona l
symmotry of th e present equation is given by Ru = U ,
°
-r

Obviously, th e Swift-Hohonbc rg equa t ion has t he trivial solut ion u == for

a ll values of II. T her efore , t he first st ep in a stability an d bifurca tion a na lysis of
th a t model consis ts in determining th e stability properties of t he triv ial solut ion
depending on /'- Since th e partial d ifferent ial equatio n is para bo lic, we ca n employ
th e pr inciple of lineari zed stability (cf. c.g. Henry [-I]). So we have to st udy th e
location of th e spect rum of th e linea r opera tor

in t he spa ce H . Bu t £ (/1 ) has only eigenva lues . since its resolvent is compac t. Those
arc eas ily compute d to be A(I' ) = /t - (1 - k 2 )2 (k = 0. L 2.. .. ), th e corr esponding
normalized eigenfunct ions being (c = e±ikx. Hence. th e eigenvalue AO(/I) is simple,
while for k > 1, th e eigenva lues Ad/l) ar e doubl e. For I' < 0 , all eigenvalues a re
negati ve. i.c. t he solution II = 0 is asy mptotically stable. Furthermore, if I' increases

°
t hrough O. t hen th e doubl e eigenvalue Al (/t) crosses zero from left to right , while a ll
oth er eigenvalues strict ly remain negat ive. Consoquont lv, Il = becomes unst able
for I' > O. and locally ncar /1 = 0, u = 0, th e syste m has a two-dim ension al center
manifold which can be invoked to perform a local sta bility and bifurcation a na lysis.
In fact. center manifold s arc invar ian t und er th e semiflow in H , and contain all
th e relevant local dyn ami cs including sta bility properti es in t he present case .
In complex coord inates ( , ( E C, one has t he following represe ntation of such
a cente r manifold AI :
u = ((t + ( (1 + h((. (. 11 )

Here, for any j E N, h considered as a functi on with values in H is of class C J

in a neighborho od of th e point B : ( = ( = O. I' = O. where t he diam et er of t hat
152 i\lAT TIII AS R U ~ m E RG E R , J URG EN S CHEl" RL E

neighborhood might shrink to zero, as j tends to infinity. Also. h and its first
derivatives with respect to ( and ( a re zero at B . Fur th er more, t here is an induced
act ion of the symmetry group on M; given by

Ta ( = e ia ( , Ta ( = e- ia (
5( = ( 5( = (

Th e redu ced dyn ami cs on M is governed by a vecto r field X ( . ( .l i) which is

as smoot h as h, and cquivariant with respect to th e indu ced f -action. Also,
X (O,O,II ) = 0 for all /1, and t he der ivati ve of X with resp ect to ( a nd (is zero at
B.
Now, in orde r to achieve a fur t her redu ct ion of t he dyn ami cs on ,\ 1, we use the
orbit space red uction met hod wit h resp ect to the maximal contin uous subgro up
51 of I', t ha t is represented by t he operators Ta . Obviously, t he corresponding ring
P (5 1 ) is generated by the polyn omial

p(, () = «.
Thus, using p as a coord inate, th e corresponding orbit space l\II 5 1 can be identified
wit h t he non-negat ive real axis lRt. The flow indu ced on Mi s t by th e flow on M ,
is determined by t he evolut ion of p along orbits on J\!, i.c, by th e equ at ion

P = \lp · X

e
But f = \lp . X is a i fun ction of (, ( and u , t ha t is invaria nt under the 5 1-ac t ion
on III . This follows by a st raight-forward ca lculation using th e invariance of p a nd
the commutat ivity of X wit h respect to t he operators Ta . T hus. if j = qn for
some n E N with an appropriate q EN. t hen Theorem 1.1 ap plies to establish
th e existe nce of a en funct ion F with f = F (p, /1). Here we let t he gro up 5 1 act
triv ially on th e par amet er u , so t hat, in addit ion t o Theorem 1.1. we can usc t he
same Lemma that we used twice in sect ion two, to t ake care of the parameter /l.
Since p = 0 corres ponds to ( = ( = 0, we have F (O, /1) = 0 for all /1. Also, since
the deri vative of X with resp ect to ( a nd ( vanishes at B , we have DpF(O, O) = O.
In fact , a more careful analysis shows th at

F (p,/l ) = /lP + al + O(p3) , as p --> 0,

holds unifor mly near /1 = 0, where a = a(/l ) < O. We not e th at th e ext ra sy mmet ry
generated by 5 acts tri vially on th e orbit space, since 5 maps any 5 1-orbit on A!
into itself.
Fin ally, we analyze t he redu ced syst em on th e orbi t space which now reads
(p > 0):
p = F(p ,/1) '
According to t he properties of F mentioned ab ove, th ere is a supercritical st eady
st at e bifur cation of t he trivial solution p = 0 at /1 = O.
 I :'\VARI ANT CJ FU NCTIONS AND CE NTER ,IIA:'\IFOLD REDUCT ION 1 5 :~

Asymptot ica lly, as II 1 0, t he non tr ivial steady st a te solut ions are give n by
II
P = - U(O) + 0(11 2 ) , 11 > O.

By t he standard exchange of stability p rinciple. t hose nontrivial so lut ions a re

asym ptot ica lly stable near II = O. The corr es ponding solut ions in t he original
phase s pac e are rela ti ve equili br ia (d. t he characteriz a t ion o f rel a t ive eq uilibr ia
in t he in t ro duct io n) that are orbitally asy mptot icall y stable. In fact , t hose ar e
contai ned in a 5 1-or b it given by t he cor res po nding va lue of p a nd co uld be eit her
steady state or time- periodic so lutions. In the for mer case. t he who le 5 1-o rb it is
filled by 5 1-conj uga t ed steady state solutions. This non-generic case actually oc -
curs in t he p resent problem . T he reason is t he add itional flip sy m metry in the
ph as e space ge ner ated by 5 .

References
[I] G .E. I3REDOI' , Introdu ct ion to Compac t Tra nsforma tio n Groups. Academic P ress,
New York 1972.
[2] P . COLLET AND .l.-P. E GK~IA N N , T he t ime dependent amp lit ude equatio n for t he
Swift-Hohenberg problem, Comm. !\lath. P hys. 132 (1990). 139-1 53.
[3] F . DIAS AI'D P . C HOSSAT, T he 1:2 resonance wit 0(2) symmet ry and its app licat ions
in Hydrodynamics, .I. Nonlinear Sci. 5(2) (1995), 105- 129.
[4] D. HE:->RY, Geometr ic T heory of Semilinear Par abolic Equat ions, Lect . Notes in
!\lat h. Vol 840, Spri nger-Verlag 1981.
[5] .I.E . :\lARSDEN, Lectures on Mecha nics, Londo n Xlat h. Soc. Lect. Note Ser. 174,
Cambridge Univ. Press 1992.
[6] 1':. :\I.U IlER, Different iable invariant s, Top ology 16 (1977). 145- 155.
[7] V. POE::-:ARU , Singularites C oo en P resence de Symet rie. Spr inger Lect . Notes in
Mat h. Vol 510, Springer-Verlag. Berlin 1976.
[8] M. RnIB ERGE R, C" -Funk tionen mit kompakter Liescher Symm etri egruppe da rge-
ste llt in Invariant en , Diploma t hesis, Univ. Hambur g 199 1.
[9] .I. SCIlEL'RLE, Some aspects of successive bifurca t ions in the Couette-Taylor prob lem,
to appear in Fields Inst . Comm. Vol 4, A!\IS.
[10] G .\ \' . SCHWA RZ, Smoot h functions invariant under t he act ion of a compac t Lie
gro up. Topology 14 (1975), 63- 68.
[II] R . T I'::\I A\ I, Infinite-Dimensional Dynamical Syste ms in Mechani cs an d Ph ysics,
Springer-Verlag, New York 1988.
[12] H. \\' EYL, Th e Classica l Grou ps (2nd edn.) , P rinceton Cn iv. Pr ess 1946.
[13] H. \\'HIT:-:EY, Differentiable even functions, Duke :\Iath . 10 (1943), 159-1 60.
Progress in Nonlinear Diff erenti al Equatio ns
and Their Ap plications, Vol, 19
© 1996 Birkh duser Verlag Basel/Switzer land

Hopf bifurcation at k-fold resonances in

conservative systems
Jii rgen Kn obloch' Andre Vander bau whede!

Abstract
We show t hat t he bi furcation pict ur e for fam ilies of perio dic orb it s at a k-
fold resonance in systems with a first int egral is t he same as in the rever sible
case st ud ied in [4]. T he approach is ba sed on the genera l redu cti on method
int roduced in [21 a nd a careful red ucti on to nor mal form of t he linea r par t
of t he eq ua t ion.

1 Introduction
Cons ider a paramet er-dep endent autonomous system

i; = I (X,A) (1.1)

where 1 : jR" X jRTIl -; jR" is smooth and such that 1(0, A) = 0 for all A E jRTIl.
We will assume that (1.1) has a first integral, i.c. t here exist s a smooth funct ion
K : IR n x IR'" -; IR such t hat

DxK(x , .\) . I(x , .\) = 0, V(.T,.\ ) E R" X IR m , (1.2)

We will be conce rn ed wit h t he existence of period ic orb its ncar t he equilibri um

x = 0 in such conservative sys tems. One of th e main resul ts in t his context is the
Liapunov Center T heorem which we can formulate as follows. Suppose t hat for
some value of t he parameter, say A = Ao, the following holds:
(i) the linearizat ion A o := Dxl (O ,AO) E L:(R" ) has a pair of simp le purely
imaginary eigenvalues ±'iwo (w o > 0) , wit h (real) eigenspac e U := ker (A6 +
'""51) ;
(ii) A o has no ot her eigenvalues of t he form ± iL.:o. with e E N, e=J 1;
(iii) th e quadratic form Qo(1L) := D~K (O , '\ 0) ' (1L , u ) on U is non-degenerate.
'Department of Mat he matics, Tcchnische Univer sitat Ilmena u. PSF 327. D-98684 Ilrnenau ,
Germa ny
t Depart ment of Pur e Xlathcma t.ics and Computer Algebra. Universi ty of Gent , Krijgslaan 281,
B-900 0 Gent. Belgium
156 J URGEN K NOBLOCH , A NDRE VA NDERBAUWHEDE

Then th e equa t ion (1.1) has , for each >. sufficiently close to >'0 . a smooth one-
parameter family of periodic orbits r~>") (0 ::; P < Po) , wit h ~(~:lo = {O}, a nd with
minimal period rY ) converging to 2rr/wo as (p, >') --> (0, >'0) .
This theorem associat es a one-p arameter family of periodic orbits to ea ch
pair of pur ely imaginary eigenva lues of A o for which th e non-resonanc e and non-
degeneracy condit ions are satisfied ; so if A o has severa l such pairs of eigenvalu es,
th en several local families of periodic orbits will ema nate from the equilibrium. In
part icular one might think ab out a situa tion where (for some k 2: 2) th ere are k
pairs of simple pur ely imagin ary eigenvalues close to each other: by changing th e
parameters the se eigenvalu es may move even closer and finally coalesce. Generi-
cally such scena rio requir es at least k - 1 par am et ers, and at th e criti cal valu e of
th ese parameters (that is, when all k pairs coalesce) the lineari zati on will have a
non-scmisimplc pair of purely imagin ar y eigenvalues, with geometric multiplicity
one but algebra ic multiplicity k ; we ca ll thi s a k-fold resonan ce. Moreover , explor-
ing the full neighborhood of such resonance, one finds that for certain parameter
values some or all of th e crit ical eigenvalues will be off th e imaginary axis (see Sec-
tion 3 and [4] for details). So, as one moves around in par ameter space the number
of one-p arameter families of periodic orbits as given by the Liapunov Center The-
orem will cha nge, i.e. bifur cations will occur. The aim of thi s paper is to describe
th ese bifur cations; more in particular , we want to det ermine th e bifurcation set
in parameter spa ce a nd th e changes which th e set of small periodic orbits of (1.1)
undergoes as t he par am eter crosses this bifurc ation set.
In an earli er paper [41 we have studied the sam e probl em for reversibl e sys-
tems; it will appear th at th e bifurcation results for th e conservat ive case consid ered
here are completely a nalogous to tho se found in [4] for th e reversible case. So thi s
is one further exa mple of something which has been notic ed in many other st ud-
ies: periodic orbits of Hamiltonian or more genera lly conser vative systems behav e
mostly in a way which is similar to th e behaviour of symmetric periodic orbits of
reversible systems . This does not mean th at the analysis leading to the results is
the sam e for both typ es of syste ms: in most cases one can use parall el arguments,
but at cruci al points one has to distinguish between reversibl e syste ms at one sid e,
and conservative syst ems at the other side. Therefore we will in this paper outline
the reduction proc edure for the study of th e k-fold resonance in conservative sys-
tems, a nd work out in detail those parts of the reduction which are specific for such
conservat ive syste ms (this includes in particular the norm al form reduction of the
linear part of th e system). For details on a number of argum ents and calculations
which are common for th e conservat ive and th e reversible case we will refer to [4] ;
also the discussion of th e final bifurcation picture has been given in [41. Wh ere
possible we will also use th e sam e not ation as in [4] .
We start by makin g our hypotheses precise. We noti ce th at by a par am et er
change we can assum e th at the critical par am et er valu e is a t >. = 0, while by a
time rescale we can make th e critical eigenvalues equal to ±i: thi s allows us to
formulate our main hypo th esis as follows:
 H OPF BIF URCATION AT K -FOLD RESO:-':ANCES 157

(H) T he smooth map pin g I : IR" x IR'" -> IR" appearing in (1.1) is such th at :
(i) 1( 0, A) == 0 for all A E IR"';
(ii) DxK(x , A) . I (x , A) == 0 for some smooth f{ : R" x IR'" -> IR;
(iii) th e operator A o :== Dxl(O,O) E ( (R" ) has t he eigenvalues ±i, and no
other eigenvalues of t he form ±ei, wit h t E N, =1= 1; e
(iv) the subs pace kcr (Ag + 1) is irredu cible under A o;
(v) the quad ratic form Qo(u) :== D~K (O , O ) . (Il. u) is non-d egenera te on
th e space U :== ker (56 + 1); here 50 is t he scmisimplc part of A o·
The hyp oth esis (H)(iv) mean s that t he eigenvalues ±i of A o have geometric mul ti-
plicity equ al to 1; th eir algebraic multi plicity is given by the smallest integer k such
th at ker (Ag + I) k+1 == kcr (Ag + 1)k. We will denote by A o == 50 + No the (un ique)
sernisimp le-nilpo tc nt decom position of A o; this means t hat 50 is semisimp le (i.c.
complex diugonalizabl c) , No is nil pot ent , and 5 0No == N 050 . The subspace U
appearing in (H)(v) is then t he generalized eigenspace correspo nd ing to th e eigen-
values ±i of A o; it is also given by U == kcr (Ag + I)k . It is clea r that U is invar iant
und er each of th e operators A o' 50 and No ; we denote th e rest ricti ons of t hese op-
erators to U by respectively A , 5 a nd N E ( ( U) . It follows from U == ker (52 + I u )
that 5 generates an 5 1-action on U , given by

<p E 5 1 ~ IR/211'Z f----> exp( ",5) E £( U ). (1.3)

Also, k is t he sma llest int eger such that N k == 0: alt hough our hyp otheses do not
exclude that k == 1 we are mainl y inte reste d in the case k 2: 2.
Under the hypothesis (H ) we want to st udy the following pro blem:
(P) Descr ibe, for all sufficient ly sma ll ,X E IR"' . all sm all periodic solutions of
(1.1 ) wit h period T ncar 211' .
As in [4] we will usc t he general red uction resul ts of [2] to immedi ately reduce t his
problem to a similar one on the redu ced ph ase space U. Inde ed , it follows from the
par t of [2] t hat deals with conserva t ive sys tems t hat the solut ions of (P) arc in
one-to-o ne relation with th e sma ll T- periodi c solutio ns of a reduc ed system

iL == g(u, A), (1.4)

where t he redu ced vecto r field 9 : U x IR'" -> U ca n be chosen to be of class C"
for any q 2: 2 (see [2] and [4] for more details) , ca n be det erm ined up to any order
by bringing the or igin al vect or field f in nor mal form with respec t to 5 0 (again ,
see [2]). and has the following pr operti es:
(a) g(O, A) == 0 for all A E IR'" a nd Dug(O ,O) == A == 5 + N ;
(b) 9 is 5 1-equiva riant:
g(exp(",5 )u, 'x) == exp(<p5)g(ll , ,X) . 'if<p E 5 1; (1.5)
(c) 9 has an 5 1- invariant first int egr al ; more precisely, there exist s a sm ooth
ma ppin g M : U x IRm -> IR, with D~M (O.O) · (u. u ) == D;K(O ,O) · (u, u)
and
AJ(ex p(<p5)u,'x ) == M (u.'x), 'if", E 51 , (1.6)
158 J URG E:\' K NO BLOCH , A N DRE V A ND ERBA UWH ED E

such t hat
D"M (u, >') . Y(l1 , >') = 0, \i (u, >' ) E U x !R"'. (1.7 )
1
Concerni ng propert y (b) we should stress th e fact that the 5 -equivariance of 9
is exact , a nd not ju st for mal as with th e normal form : th is exact 5 1-equivaria nce
of the redu ced vector field is d ue to the fact th at we concentrate on periodic
solutio ns, forgetting t he ot her dy na mics (see [2] for more details). It follows from
th e 5 1-equi variance that for all (>., T) near (0, 211") all sufficient ly small T-periodi c
solutio ns of (1.4)"., necessaril y have th e form

u(t) = exp(( 1 + u )5t )u (1.8)

for some sma ll 11 E U and wit h o E JR given from T = 211"/(1 + o ): th ese peri odic
solut ions can t herefore be obtained by solving t he determining equation

(1 + u) 5 u = y(u , >') (1.9)

for (u, >. , u ) near (0. 0,0) in U x JRTn X JR. The solut ions of (1.9) corne in 5 1-orbits;
each such solutio n orb it corresponds to a period ic orbit of our original equation
(1.1 ).
In the next section we will show how by param eter-d ep end ent linear tra ns-
form ations we can bring th e linear part D"g(O , >') of th e reduced vector field y in
a n explicit normal form which will allow us to determine t he bifurcation set for
(1.9).

2 The linear normal form

For each >. we define the linea r operato r A~ := D" g(O , >') E £ (U ) a nd th e quad ratic
form Q>,(u ) := D~M (O ,>. ) · (u ,u) (u E U) ; refer ring to t he 5 1-act ion on U given
by (1.3) one shows t hat these have t he following proper ties (for small A):
(1) A>,=o = A = 5 + N, where 52 + I u = 0, 5 generates the 5 1-action on U ,
5 N = N5, N k = 0 bu t Nk - I i' 0, and ker (A 2 + 1) = ker N is irreducible
un der 5 ;
(2) A>, 5 = SA>, (i.e. A>, is 5 1-equi vari an t) ;
(3) Q>,=o = Qo is non-degenerate;
(4) Q >, (exp (5 y )l1 ) = Q>, (u ) for all 'P E 51 ;
(5) DQ>,(u ) , A>, u = 0 for all u. E U.
One obtains (5) by differentiating t he identi ty (1.7) at u = 0: a first differenti at ion
combined with t he fact th at A>, is non- singular for small >. (thi s follows from (1))
shows th at DultI (O. >') = 0; a furt her different iat ion th en gives (.5) .
Our aim in thi s sectio n is to bring th e family of linear operators A>, (>' E JRTn)
in a simple a nd explicit form . As a preliminar y step we first prove th e ex iste nce of
an appro priate sca lar prod uct on t he space U .
 H OP F BIFURCAT IO K AT K- FOLD RESO:\A:-lC ES 159

Lemma 1 Under th e fo regoing h ypotheses there exists a scalar prod u ct (., .) on U

su ch that the fo llo wing prop ert ies hold (w e denote by L T E .c(U ) th e tran spose of
L E .c(U ) with respect to this scalar product):
(i) the S r-action on U is or thogonal. i.e . ST = -S = S -I ;
(ii) there exi sts an orthogonal an d S ' <i nioriont decom posit ion U = U I EB · .. EB
u; of th e space U su ch that each su bspace U j (l < j < k ) is SI -irredu cible,
UI = kcr N , and N is an is om orphis m [rom UJ onto Uj _ 1 for 2::; j ::; k ;
(iii ) we can wri te Q o(u) in th e fo rm Q o(u) = (u. Eou ), with E o E .c(U ) such
that EJ" = Eo an d E 6 = I u .
M oreo ver. th ese properties also im ply th e [a llo uiinq:
(iv ) lyT S = S N T, u,
= kcr NT and

1 <j <k - 1; (2.1)

(v ) an y Sl- equi varia nt lin ear operat or L j E L:. (U) (1 ::; j ::; k) necessaril y has
the f orm

f or som e (I, (3 E IR;

(vi ) Eo S = SEo and N T B o + Bo N = O.
Proof For t he first par t of the proof we refer to [4, Section 3] where th e det ails
of th e following const ruct ion arc given . Let Uk be any S I-invariant complement
of ker ((A 2 + IU )k- l ) in U , and set Uj := N k- ) (U k ) for 1 :s; j < k. T hen U =
U 1 EB .. . 8 Uk' each of the subspaccs Uj (1 ::; j ::; k) is invar ian t and irr edu cible
und er th e SI-action , U1 = kcr N , and N maps Uj isomorphically onto Uj _ 1 for
2 ::; .i :s; k. Choose a sca lar product (-, .) 1 on U I for wh ich th e S I-action on U 1 is
orthogona l, and define a sca lar product. on U by

Then th e cond it ions (i) a nd (ii) arc sa t isfied. and as a conseq uence also (iv) and
(v) hold (sec [4, Lemma 6] for th e proof of (v)) . Xloreover, th ere exists a unique
linear operat or E o E .c(U) such that Qo (u ) = (u. Eo u ) and E6 = B o . Since Qo is
non-d egenerate E o will be invertible, and t he condit ion DQ o (ll) ' A u = 0 trans lates
into
A T B o + E oA = O. (2.3)
This implies A - BO IAT E o = E olSE o - E OINTE o, and the uniqueness of
th e semisimple-nil pote nt decomposition of A th en proves th at E O I SE o = Sand
o
- E 11y T E o = N, i.c, we have (vi) .
It remain s to show that the foregoing const r uct ion can be done in such a
way th at also E6 = I u hold s. To prove th is we will (in an indirect way) usc the
160 J URGE N KNOBLO CH , A NDRE VA NDERBAUWII ED E

fact th at in our construct ion we can choose for Uk any Sl-invar ian t complement
of ker ((A 2 + IU)k- l ): alt hough formulat ed differ ently, the pro of which follows in
fact shows that Uk can be chose n such t hat B6
= li) . To start, fix a particular
such complement Uk and carry out t he const ruc t ion just descri bed: this lead s to
a particular decomp ositi on U = U1 EB . . . EB Uk and to a particular sca lar prod uct
(" .) on U , which we keep fixed from now on . In this framework a lso t he sym met ric
operator B o E .c(U ) is un iquely deter mined and sa t isfies (vi); we will use (vi) to
get more details on th e possible form of B o.
Using the Sl-equ ivari an ce of B o and th e prop erties (ii) and (\.) it is eas ily
seen t ha t th ere must exist numbers Q j , [3j E IR (1 ::; j ::; k) such t hat

L
k
B O(u k) = (Qj Sk-jNk-j uk + [3jS k-i+ I Nk - j U..) , VUk E Uk' (2.4)
j= l

(We have included th e oper ators Sk - j in ord er to simplify some of th e ex pressions

which follow). From (2.4) we see t hat for all Uk' Uk E Uk and a ll j E {I , . .. , k} we
have

From th e other side it follows from (vi) and the symmetry of B o th at

( B aN k- j Uk'- Uk ) -- ( - l )k- j ( ( 1V - Uk )
~ r T ) k -j B aUk'

_ l }k- j ( B - N k-j )
( UUk' Uk
j- j[3
( - l ) k- j Q.j ( S k- Uk' Uk ) + ( - l) k- j ( Sk- j + l Uk'- .Uk)

Qj
. ( Uk'
- S k-j Uk ) - ] Uk' Sk - j+l Uk ) .
[3 . ( -

Comparing t he two expressions we conclude that [3j = 0 (1 ::; j ::; k), such t hat
(2.4) simplifies to

k
B a ( Uk ) = "L Qj S k- j Nk - j Uk' (2.5)
j= 1

A further calcul ation (using (iv) a nd (vi)) th en gives

k
BO(S iN iuk ) = ( - SN T )i B u(Uk ) = ( -SN T )i LQj S k-j Nk -j uk
j =1
k k- i
( _S)i L QjSk- j (NT) i Nk -ju k = L QjSk- i - i N k- i - j i{f ,6)
j=1 j= 1

valid for all Uk E Uk and for 0 ::; i ::; k - 1. In particular we find for i = k - 1 t hat
B o(S k- 1Nk -1U k) = QI Uk for all Uk E Uk ' Since Sk- I Nk - I (U k) = U I and E o is
 H OP F B IF URCATIO N AT K - FOL D RESO:'\.-\:-iC ES Ifll

non-singular we conclude that (1 1 ¥ 0; in fact . mu lt iplying the first integral M of

(1.4) by 0] 1 we can without loss of genera lity assume that 0 1 == l.
Now suppose t hat
(2.7)
T hen (2.6) gives
Bo(S iN iu.J == S k- i- 1N k- ;-I Uk• (VI)

which implies B'5 (S iN iu k ) == srr«; Since t he subspaces S ' N i(Vd == V k- i (O:S

i :S k - 1) generate V we conclude t hat (2.7) implies that B6== Iv : also the
opposite is t rue, as one ca n eas ily show. T herefore, to conclude th e proof of t hc
lemma we have to find a way to sat isfy (2.7): we will do this by ap plying an
appropriate linea r transforma tion to t he equation (1.4).
Let l' E ( (V ) be of t he form l' == 2:'':-0 3i S ' N ' . with f30 == 1 and Pi E R
k I . .

( I :S i:S k - 1); th en T is an Sl -cquivariant isomorphism of V , wit h a n inverse of

th e sa me form . Now replace t he phase va riable u in (1.-l) by Tu; t hen th e vecto r
field g(U. A) is replaced by g(U, A) :== T-Ig (T u. A), t he first integra l M (U, A) by
l\J(U,A ) :== M(Tu ,A) , an d th e quad ra t ic form Q), (u ) by Q), (u ) :== Q),(Tu ,A ).
It follows t hat for A == 0 th e linearization D u.q(O .O) = 1'-1 AT == A == 5 + N
rema ins unchanged , while B o is re placed by Eo :== T T BoT ; as before we can writ e
EO(U k) == L~= 1 QjS k- JN k- JUk for all u k E V k a nd for cert ain coefficients Qj
( 1 :S j :S k). We will now show t hat it is possible to choose t he constants .Bi
(1 :S i ::; k - 1) in the definit ion of T such t hat (2.7) is satisfied for Eo, i.e. such
t ha t ti 2 == . .. == Uk == O.
We have (S N )T B o == Bo(S N ), and hence Eo == B oT 2 . The operator 1'2 has
the form 1'2 == 2:1:0 "Y; s' N " wit h ~fo == f36 == 1 and "Yi == 2f30 f3, + ( i(130 , · · · ,f3i _ 1 )
1

for some quad ratic po lyn omia ls (; (1 ::; i ::; k - 1); it follows t ha t the map ping
(13 1 , . . . , 3k- 1 ) ...-- ("'(1' . . . ,"Yk- l ) is a biject ion on R k - I . Using (2.6) and rear rang-
ing ter ms one find s th en t hat

EOU k Bo (I:
i=O
"Yi S iN; ) Uk == I: ~
i=O j=l
"YiOjSk -j-i Nk -j-iuk

== ~ (~ l'i Qj -i) S k- j Nk - jUk'

i.e. the new coefficients Qj a re given by Qj == L;':-~ "riOj - i (1 ::; j ::; k ). Using
"Yo ==0 1 == 1 it is th en an easy mat ter to show t hat th e set of equa tions

j - I

Uj = L "I;Oj - i == 0 , (2 ::; j ::; k) (2.9)

;= 0

can be solved for "I I " " ,"Ik- l in funct ion of (12 " " ' Ok: hence also th e coefficients
,8 1 - . . . , /3. _ 1 app earing in t he definit ion of T can be chosen such th at (2.9) holds.
162 J UR GE:'>1 K NOBLO CH , A NDRE V A ND ERB A UWII ED E

By our ea rlier result s. this impli es .8 = Ii) , which compl etes t he proof of t he
6
lemm a. Ob serve th at the linear t ran sformation which we used in fact amounts to
replacing t he origina lly chosen subspace Uk by u; := 1' - 1(Uk)' which is aga in
(becau se of t he form of 1') a n S I-invariant complement of ker (( A 2 + Iv )k-I) in U.
•
From now on we fix a sca lar product on U such t ha t all t he prop erti es of Lemma 1
arc satisfied; eac h of t hc prop erties given by t he Lemma will bc used a t various
places in th e reducti on which follows. Th e first ste p in thi s redu cti on consists in
mak ing th e qu adr ati c form Q ),(u) inde pende nt of th e par am et er ..\ .
Lemma 2 There exis ts a smooth mapping ill : IR'" --> £ (U ). ..\....... ill)" with ilI o = l v ,
and suc h that we ha ve for all sufficiently small ..\ that

(2.10)

and
(2.11)
Proof We write Q ),( u ) in t he form Q ),(u ) = (u, B),1t), wit h B), E £ (U) symmetric
(Sf = S ),), commut ing with Sand depending smoo t hly on ..\ : for ..\ = t his °
op erator is pre cisely the operato r So considered in Lemm a 1. T hen Q),(Wu )
(u, ilI T s ), ilI1tJ for ill E £ (U ), and we have to show t ha t th e equat ion
(2.12)

has for eac h sufficiently sma ll ..\ a solut ion ill = ill), E £ (U ) which depend s smo othly
on ..\ , reduces to l u for A = 0, an d com mutes with S . Such solutio n can be obtained
from an ap plication of t he implicit funct ion t heorem, as follows. Let X := {ill E
£( U) I illS = Sill} . Y := { <l> E £( U) I <l> S = S<l> and <l> T = ,p}. and define F :
°
X x IR'" --> Y by F (ilI ,.\ ) := ilI T S ),ill-So . Then F(Iu ,O) = and D'!fF(Iv ,O)·ilI =
ilI T S o + So ill; t he resul t will follow if we ca n show t hat D '!fF (Iv . O) E £(X , Y ) is
sur jecti ve, i.e. th at th e equat ion

(2.13)

has for eac h <l> E Y a solut ion W EX . Since So is non-singular t he equat ion (2.13)
has , by a classical resul t . for eac h symmet ric <l> E £ (U) a solut ion ill E £( U) - in
fact , (2.13) has a unique sol utio n W wh ich is lower- tri angular wit h resp ect to an
orthonormal basis of U which consists of eigenvectors of B o. If <l> belongs a lso to
Y (i.e. commutes wit h S), a nd if W E £ (U ) is an y solut ion of (2.13). th en also

~ 1
ilI := 211'
r:
io exp (-S<p) illexp(S<p) d:p E X

is a solut ion (here one uses th e ort hogona lity of th e S I-action) . Th is shows th at
D« F(Iu , 0) is indeed surjec t ive from X onto Y , which completes th e proof. •
 H OP F BI FUR CATIO N AT K -FO LD RESO:-:.-\NCES 163

Using thi s lemma a nd replacing u by 'lJ Au in ( IA ) we find a new equation which

is st ill S l-eq uivariant, and which has t he Sl -im 'ariant first integral M 1 (u, ,X) :=
M (\[IA1L. 'x): the qu ad ratic par t of t his first integr al is given by ~CJA ( 'lJAU) =
~ Qo(ll) , i.c. it is ind ep enden t of t he parameter ,X. Den oting th e new vector field
aga in by g(u, ,X) a nd t he new first integral by M ( u. .\) t his mean s that a fte r t his
first. linear t ra ns format ion we ca n repl ace th e prop er ty (5) above by
(5') DQo(u) · AAU = 0 for a ll u E U.
Next we define for eac h <I> E L(U) linear op erators Ad (<I» and ad (<I» on
L (U ) by

Ad (<I» . 'lJ := e-<I> \[Ie<I> and ad «I» . 'lJ := \[I<I> - <I> \[I, V'lJ E L (U ) . (2.14 )

We also int rodu ce the vector space

Z := {<I> E L(U) 1(1)5 = ScI> and DCJO(H )' <1>u = O. Va E U } . (2.15)

Using QU(lL) = (u , Bou ) t he seco nd condit ion in (2.15) ca n be rewritten as

<I>T flo + Bo<1> = O. (2.Hi)

and is also equivalent to

Qo ( e<I>t u) = Qo(u), Vt E::t. Vu E U. (2.17)

It follows from t he prop erties (2) a nd (5') above t hat th e ope rators AA (,X E JR! " )
belong to th e spa ce Z. The followin g lemma summar izes th e main pro perti es of Z.

Lenuna 3 The space Z defined by (2.15) has the [ollaui nq properties:

(i) <I> E Z implies <I>T E Z ;
(ii) if <1> E Z then Ad UP) and ad (<I» map Z into itself, i.e.

Ad «1» . 'lJ E Z and ad «1» . \[I E Z . V<1> , IlJ E Z ; (2.18)

(iii) if <I> = 5,1' + N s. is the sem isim ple-tulpoteni decomposition of <I> E Z , then
both Sq, and N 1> belong to Z.
Proof P roper ty (i) follows fro m 5 1' = < S , B'5 = I e and (2. 16). To prove (ii)
observe first t hat both Ad (<I» . IlJ a nd ad (<I» . 'lJ comm ute with 5 if <I> an d IlJ do .
Also, if <I> bel ongs to Z t hen we have by (2.17) th at CJo (e<I>u) = QO(lL ) for all
u E U. an d henc e

This implies t hat for all 'lJ E Z and all 11 E U we have

164 J URGE:'\ K NOBLOCH , A NDRE VA ND ERBA UWHEDE

i.e. Ad (<1» . Wbelongs indeed to Z . The sam e conclusion then also holds for ad (<I» .
W, as follows from th e relation

ad (<I» . W = :~ 18=0 Ad (<I>8) . W, (2.19)

which is valid for all <I>, W E £-(U). Finally, if <I> = S.p + Nop is the scmisimple-
nilpotent decomposition of <I> E Z , th en it follows from (2.16) that
<1> = - B()I'J>T B o = - B(J ISr B o - BoliVIBo,
which gives us a second scmisimple-nilpot ent dec omposition of <I>. The uniqueness
°
of thi s decomposition then implies that Sr B o + BoSop = a nd NI B o + BoNop = 0.
Since obviously 5 ", and Nop commute with 5 , this proves (iii) . •
Since A = 5 + N belongs to Z it follows from this lemm a t ha t also 5 , N and
NT belong to Z; th is allows us to formul ate th e main result of this section in the
following form.
Theorem 4 Th ere exist a neighborhood n of A in Z and a sm ooth mapping <I>* :
n --+ °
Z with <I> *(A) = and such that fo r all W En we hav e
Ad «J>*(w)) . W- A E Z n ker (ad (N T )). (2.20)
Proof Define F : Z x Z --+ Z by F(<I> , w) := Ad (<1» . W - A . Then F(O, A) =
and D",F(O ,A) · <I> = A<~ - <I>A = N<I> - <I>N for a ll <I> E Z , i.e.
°
D<I>F(O, A) = - ad (N) lz E £-(Z). (2.21)
We will show further on that

Z = Im (ad (N) lz) EB ker ( ad (NT) lz) . (2.22)

I
Denote by tt the projection in Z onto Z I := Im ( ad (N) Z) and parallel to
ker( ad(NT) lz) , and define F I : Z x Z --+ Z I by FI(<I> , w) := rrF(<I> ,w) . Then
FI(O,A) = 0, and (2.21) impli es that D",F1(0, A) = 1ioD",F(O ,A) E £-(Z ;Zr) is
surjective. So we ca n apply the implicit function theorem to conclude that there
exist a neigh thorhood n of A in Z a nd a smooth mapping <I>' : n --+ Z such t hat
° °
<I>*(A) = and FI (<I>*(W ), w) = for all W En; going ba ck through the definitions
this means precisely that (2.20) holds .
It remains to pr ove (2.22). To do so we introduce a sca lar pr oduct « ',' »
on Z by
« WI , W2 » := trace (W[W2)' \lWI , W2 E Z. (2.23)
A dir ect calcu lation then show s that for all WI, W2 E Z we have
« w I N - N wI, W2» = tr ace((w IN - N Wlf w2)
trace (NTwfW2 - W[NTW2)
trace (W[ (W2NT - NT W2))
« w I, ad (N T ) . W2 » ·
 H OPF BI FUR CATIO N AT K- FO L D RESO:\ .-\NCES 165

So t he adjoint ( ad (N) I z rE £ (Z ) of ad (N) lz E £ (Z ) wit h respect « .,.»

r
to
is given by (ad (N) lz = ad (NT) lz-a nd (2.22) follows from t he classical result
which says t hat Z = Im (L ) E9 ker (L ") for any L E £( Z ). •
Again we use th is t heore m t o pe rform a linear tr an sformation on t he eq uation
(1.4): more precisely, we rcpl aceu by q,*(A>J u. Kee ping the old notation for the
new equation one ca n th en eas ily verify that all pro pe rt ies which we had before
rema in unchan ged , bu t that moreover th e linear ization A. A has t he spec ial form
AA = A + IJI A, wit h IJI A E Z n ker(ad (NT) ) (see (2.20) ). Th erefore our next task
consists in determining th e explicit form of th e d ements of Z n ker(ad (N T )); t his
is done in th e next lemma.
Lemma 5 A linear opcra iorw E £ (U ) belongs to Z n ker(ad (NT)) if and only if
it has the form

L OjSj(NT )j -1
k
IJI = (2.24)
j =l

[or som e OJ E R (1 < j ~ k).

Proof It is clear t hat if IJI E £ (U ) has t he form (2.2.1) t hen it commutes wit h Sand
N T, and using Lemm a l (vi) one ca n also d irectly verify tha t IJITB o + B olJI = 0;
hence, if IJI has th e form (2.24) t hen it belongs to Z n ker(ad (N T )). To prove
t he converse let us ass ume t ha t IJI belongs to Z n ker (acl (N T ) ); in part icular, IJI
comm utes wit h S a nd N T . By [4, T heorem 7] this imp lies that IJI must have th e
form

L (C't jlu + {3jS)(NT)j - 1 = L C''ljS ] -l + t]Sj)(NT) j - l

k k
IJI = (2.25)
]= 1 ] = 1

for some constants C'tj, {3j , lj ,Oj E R (1 ~ j ~ k ). Using agai n Lemm a l (vi)) t he
condition IJITB o + B oIJI = 0 th en gives
k
L I] Bo(SN T )j-l = O. (2.26)
j=1
Applying (SN )k- 1 to (2.26) shows t hat 11Bo(SNT )k-l = 0, from which we get
I I = O. since Bo(SNT)k - 1 i= O. Next we app ly (SJy) k-2 to (2.26) and obtain
in t he same way t hat 12 = 0; th e argument can be repeated to show th at all Ij
(1 :s; j ~ k ) must be zero. Hence eac h clement IJI E Z il ker (ad (NT)) must have
th e form (2.2.1). •
Using Lemm a 5 in combina tio n wit h th e remark after T heorem 4 we sec th at we
can assume that th e lineari za tion A A has the form
k k
A A = S + IV + L OJ( A)Sj (NTp - 1 = (1 + 01(A))S + S + L OJ(A)Sj (NT) j-l ,
j =1 j =2
(2.27)
166 J URGEN K NO BL OCH , A ;>.lDRE VA1'ID ERBA UWHEDE

for some sufficient ly smoot h functions I5j : IRTIl -> IR (1 ::; j ::; k ) sat isfying I5 j (O) =
0. There ar e two fur th er sim plifications which we can carry out. First , we ca n
make 151(A) == 0 by a parameter-d ep end en t resca ling of both th e t ime a nd th e
phase variables (see [41 for t he det ails); t hat is, we can assume th at

k
AA = S + N + L I5j (A)S j (N T ji- l . (2.28)
j=2

Obs erve t hat aft er such rescaling we will no longer have th at th e quad ratic form
Q A (u) is indep endent of A; however, at th is point of th e reducti on t his is no longer
important, since we have already achieved ou r goal. nam ely to br ing A A in a
simple explicit form . The second simplificat ion requires a n ad ditional hypothesis,
mot ivated by (2.28): we ass ume t he following tran sversality cond ition:
(T ) The mapping .6. : IR nl --> IRk -I, A f - > (15 2 (A), . . . . <5..( A)) is t ran sversa l to
t he origin at A = 0, i.e. D.6.(O) E .c(IRnl, IRk- I ) is surj ect ive.
T his implies th at 1T! ::::: k - 1, and with ou t loss of genera lity we can assume t hat

By a change of param eters we ca n t hen pu t t he funct ions <5 j in th e explicit form

I5 j (A) = Aj- l (2::; j ::; k ), which gives us our final form for A A:

k- l
AA = 5 +N +L Aj s i : 1 (N T ji . (2.29)
j= 1

This is precisely the same form as th e one obtai ned in [41for th e reversible case .

3 The bifurcation analysis

Wit h t he explicit for m (2.29) of t he lineari zati on AA at hand we can now t urn our
attent ion to solving th e determining equat ion (1.9); we write this equat ion in the
form
8 (u, A,a) := - (1 + a )5u + g(u. A) = O. (3.1)
We have to solve this equat ion for (!L, A. a) E U x IRnl X R ncar (0. 0. 0), an d from
th e foregoing sect ion we know th at t he vect or field g(u , A) appear ing in (3.1) has
th e following properties:
(I) g : U x IR ffi -> U is sufficient ly smooth and 5 1- equivari ant . g(O , A) = 0 for
all A E IR nl, and AA := D"g(O , A) has th e explicit form (2.29):

°
(II ) D"AI(U ,A ) ' g(U .A) = 0 for some smoot h 5 1-invariant M : U x IRnl --> IR
with D"AI (O ,A ) = for all A, and such th at Qo(u ) := D ~.\I (O ,O) · (u, u)
has th e form Qo(u) = (u, Bou). wit h B o E .c(U ) as in Lemm a 1.
 HOP F BIFURCATI ON AT K-FOL D Il ESO"A NC ES 167

It follows from the SI -invariance of l\! th at D"l\! (u. A) ' SII = °for all (11 . A), such
th at in fact we have
D ul\!(I1 ,A ) ·0(I1 ,A,a ) =0, V(I1 . A,a) EC'-x ;R'" xlR, (3.2)
or equivalent ly,
( 1'(I1, A), 0 (1I, A, a) ) = 0, V(I1. A.a) E U x R'" x JR, (3.3)
where qu . A) := \lull/(I1 , A) is th e gradient (in the u-variablc) of l\! wit h resp ect
to th e sca lar product (-. -). The mapping I' : U x JR'" - U is smooth and SI-
cqui vari an t , qo, A) = 0 for a ll A, and Duf(O ,O) = B o. The relation (3.3) will play
an imp ortant role whe n we solve (3. 1); in fact , (3.:3) will t ake over th e role of th e
reve rs ibilit y which we had in [4] but which we do not assume here . For a more
genera l discussion of bifur cation problems sati sfying a cons train t such as (3.3) sec
[1] .
In ord er to solve (3.1) we pro ceed as in [-I]. Setting U := ker( (N T) ':- I ) it
follows from Lemma 1 that U = U I $ U ; also. th e linear mapping 11 r-> (S-I.:N I.:-I II,
NTH ) is an SI-equi vari ant isomorphism from U ont o U I x U, with inverse (HI,il )
r-> N fi+S ' (N
T )I.: -l 1l 1 (for II I E U and ii E U). Writin g II E U as 1l = III + il , with
I
III E U I and It E U, it follows that (3.1) is equ ivalent to th e sys te m of eq uations
10
~1 (/lI , ~Al. ,A. ,a ) .- S- I.: NI.:- (1I 1 + (1.A.a) = 0, (3.4)
{ (-3(I1 I , H. A, a ) .- N T0(u +ii.A.a ) = 0.
l

Since 0( 111 + it, A, a ) = N 8 ( 111 ' it, A, a ) + SI.: (;VT)I.: -I 0 1 (111 ' It. A, a) we ca n rewrite
(3.3) as

( 1'1(u l , ii , A), 0 1(Ill ' it , A, a) ) + ( [(til' it. A). 8(1101. A, a) ) = 0, (3.5)

where 1'1 : U I x U x JR'" -+ U I and r : UI x (; x JR'" -+ ( T arc given by

1'1(I1 I , fi. A) := S- I.:NI.: -I1' (HI +iL. A) and T
[(ll l . fi. A) := N f( 1l 1 + ii, A). (3.6)

As in [4] th e second equation in (3.4) can be solved by the impli cit funct ion th eorem
for 11 = (l*(I1 I , A, a ); th e mapping ii" : UI X JR'" x lR -+ ( - is uniquely defin ed , SI.
oquivariant a nd as smoot h as th e mapping 9 for ( 11 1' A. a ) sufficient ly sma ll; also
ii*(O,A,a) = 0 for all (A,a) , and DIll *(O,O .O ) = O. Bringing this solut ion in t he
first equ at ion of (3.4) gives us the bifurcat io n equatio n
(3.7 )
The bifurc ation mapping 0 0 : UI X jR m X JR -+ UI is as smooth as g , SI-equi vari ant ,
and satisfies 0 0(0,A ,a) = 0 for all (A.a) , and D I 0 0(0 .0.0) = 0. As in [4] it is
possible to do more detailed calculations based on (2.29): these show t hat
1.:-1
1l* (ll l , A, a ) = L h i(a ,A)S '(N T r I11 + 0 (1 111 1 112 ) (3.8)
z=l
168 J URGE;'; K NOBLOCH , A NDRE VANDERBAuWHEDE

and
(3.9)
where th e funct ions hi (17, A) are polyno mials given by t he following iteration
scheme:

.- 17, (3.10)
,- 17h i - I(O', A) -L~:/lAjh i _I_j(17.A ) (2 :<:;i :<:;k ).

These polynomials only depend on th e first k - 1 component s (A).. .. ,A k _ , ) of

A E IR m ; we call th ese t he essenti al parame ters. Also, as shown in [4, Rem ar k 5],
°
we have h k(a , A) = if and on ly if ±(1 + ali are eigenvalues of the linear operator
A.\ given by (2.29). Fi nally, t he bifurcation mapping 8 0 (u ). A, a) has one further
important prop erty which is related to the fact that our origin al system had a first
int egral. Namely, when we set it = U*(u [ ,A,a) in (3..5) we get th e identity

(3.11)

where th e S[ -equ ivariant mapp ing f o: UI X IR'" x IR -+ U] is given by fo(u] ,A,a)

:= f,(U I ,11* (u ), A. 17 ). A). It follows t hat f O(O, A, 17) = °
for all (A.O') . and th at

(3.12)

(We have used (2.8) to obtain th e las t equality in (3.12)).

It rem ai ns to solve th e bifurcation equation (3.7) : since dim U[ = 2 this
forms st rict ly speaking a two-dimensional problem. However, because of the SI -
equivarianco of thi s equation it's solutions (and hence also thos e of (1.9)) come in
SI-orbits, which, accord ing to the redu ct ion method of [2], corr espond to per iodic
orb its of the original equation (1. 1). T herefore it is sufficient to find one po int
on each solution orbit ; we do this as follows. Choose a non-zero vecto r u? E U I ,
normalized such th at ( u?, un = 1. T hen {uy, Sun forms a n orthonormal ba sis of
U ] , and hence we can find for each u] E U I some p E IR and some c E S I such that
ul = (pcos<p )uY + (psin <p)SuY = exp( <pS)(puY) ; we conclu de that each SI -orbit
in U ] contains a point of the form pu~, a nd hence we can also put U I = pu~ in
(3.7) . In fact , even t his sti ll contains some redundancy, since together wit h pu~
also - pu? will be a solut ion of (:3.7), both corresponding to the same perio dic orbit
of (1.1); so we can restrict to p 2': 0, but for convenience of formula tion we allow
for the mome nt any p E IR. Since 8 0(0 ,A,a) = fo(O,A,a) = 0 \\'C can th en find
scalar functions (Ji(p ,A.a) and li(p,A ,a) (i = 0,1) which are even in p and such
that
(3.13)

and
(3.14)
 HO P F BIFU RCAT ION AT K- FOLD RESO:--:A l\ C ES 169

For non- zero solutions of th e form ILl = pu? th e equ ati on (3.7) reduces to

(3.15)

while (3.11) gives us the relation

(3.16)

between th e two components of (3.15). From (3.12) and the definitions we find

-'0(0, 0 , 0)1t~ + / 1 (0, 0, O)S1t~ = D 1r 0(0. O. 0) . IL~ = (_I )k S1L~ ,

°
such t hat -ro(O, 0, 0) = and / 1(0, 0 , 0) = (_I )k f 0. It follows th en from (3.16)
th at for sufficient ly sma ll (p,A ,B) we have 11 1(p.A .a ) = °
if l1o(p.A ,a) = 0, i.c,
inst ead of solving the system (3.15) it is sufficient to solve th e scalar bifurcation
equa t ion
(3.17)
From (3.9). (3.13) a nd the fact th at 110(p , A, a ) is even in p we conclude th at th ere
exist s another sca lar function (o(p, A, a ) which is even in p and such that

(3.18)

Now we introduce a final hyp othesis; namely we ass ume th e non-d egeneracy con-
dition
(N- D) ( 0(0, 0, 0) f 0.
Since (0(0 .0 ,0) can (in principle) be calcul at ed from t he Taylor expansion up to
order 3 of th e vector field f(x , AO ) this is a gene rically sat isfied condition on th e
coefficient s appearing in thi s Taylor expansion . Under thi s cond it ion we ca n set
E := sgn ((()(O, 0, 0)) and perform a simple transform at ion (see [4]) which puts the
equation (3.17) in th e explicit polynomial form

(3.19)

This equa tion describes the complete bifurcation beh avior for th e problem we were
interest ed in. Also, this equ ation is exactly the same as th e one obtained in [4] for
th e reversibl e case .
In [4] we have shown that th e bifurcation set is diffeomorphic to th e st andard
cuspoid of order k (sec [7]); as the par amet er crosses th e different st rat a of this
cuspoid in the appropriate direction one or more pairs of purely imaginary eigen-
values of th e lineari zation at th e equilibrium coalesce and split off th e imaginary
axis. The periodic orbits themselves appear in so-called local loops, global bran che s
or detach ed branches; when th e param et er crosses th e bifurcation set one can see
tr ansitions between those different types of branches via either elli ptic or hyperbolic
bifurcations, similar to those which appear at a Krein instability in Hamiltonian
syst ems (see e.g. [6]). For more details we refer to [4].
170 J URGE ;-.I K NOBLOCH , A ;-';DRE V A NDERBAUWH ED E

Referen ces
[1] M. Golubi ts ky, J . Mar sden , l. St ewar t an d \\1. Dellni tz. Th e const ra ined Liapunov-
Schmidt pro cedure and periodi c orbits. Preprin t 1994.
[2] J . Kn oblo ch and A. Van derbau whede . A general redu ction method for periodi c so-
luti ons in conservat ive a nd rever sible syste ms. T V llm enc u Prepri nt No M 11/ 94.
To app ear in J ournal of Dyn ami cs and Differen tial Eq uat ions.
[:3] J. Kn obloch and A. Vanderbauwhede. Hopf bifurcation at k-fold resonanc es in eq uiv-
ariant revers ible sys te ms . In P. Chossa t, ed itor, Dynam ics, Bijurcation and S ymme-
try . New Trends and New Tools, NATO ASI Series C , Vol. 43i, pages 167--179,
Dord recht 1994. Kluwer Acad . Pub!.
[4] .J. Kn obloch and A. Vanderbauwhede. Hopf bifurcati on at k-fold resonan ces in re-
versible syste ms. T V ll m en au Preprint No M 16/ 95.
[5] A. Vand erb au whede. Hopf bifurc at ion for equ ivar iant conse rvat ive and time-
reversibl e sys te ms. Proceedinqs oj the Royal Society oj Edin burgh. 1/6.4 , pages 103-
128, 1990.
[61 J .-C . van der l\Ieer . Th e Hamilt on ian lI opJ B iju rcation. Lect. i\otes in Ma t h. 1160,
Sp ringer-Verlag, Berlin , 1986.
[71 A.E.R . Wood cock a nd T . Posto n. A geom etr ical study oj the elem entary catas trophes.
LNM 3i3. Springer-Verlag, Berlin, 1989.
Progress in Non linear D ifferential Equations
and T heir Appl ication s, Vol. 19
© 1996 Birkhause r Verlag Basel/Switze rland

Families of Quasi-P eriodic Motions in Dynamical

Systems Depending on Parameters
H.W. Broer' G.B. Huit ema! }'LB. Sevryukl

1 Introduction and set-up

One of t he central to pics in t he quali tat ive t heory of differential equations is th c
st udy of invari ant subma nifolds . A number of general th eorem s est ablis hing the
ex iste nce and /or persisten ce an d descri bin g t he properties of th ose su bmanifolds
play a funda men tal role in t he ana lysis of non linear dyn amica l sys tems [23, 64 , 13].
A par ti cu lar example of an invariant subma nifold is an invarian t to rus with parall el
dynamics.
Definition 1.1 Let X be u smooth vector' field on u smoo th real fini te -dime nsiona l
manifold JI . An invariant n- lorus T of vector field X is a subtnauifold of M invari-
ant under the fl ow of X an d diffe om orphic to the standard n-toru s '[' n = (IR/27TZ)".
A n invariant n-iorus T is sai d to carry parallel dy namics if there exist coordinates
'P E T" on T in whic h th e restrict ion of X to T gets the [o rm w D/ D:.p f or some
vecto r u': E IR n . Th is vector is called th e freq uency vector of inrariant toru s T, and
the com ponents of ware called the frequ en cies (or internal frequ en cies) of T .
The frequ en cy vector is deter mined un iquely up to cha nges of the form w .-.
Aw, wher e A is an n x n mat rix with int eger ent ries and det erminan t ±l.
Invari ant tori wit h par allel dy na mics arc of great importance in t he theor y
of dyn ami cal sys te ms which st erns, in th e long run , from th e fact t ha t an y finite -
dimensional connected com pact abelian Lie group is a torus [34, 2]. However , the
dyn am ical pro pe r ties of th e flow on t hose tor i are very d ifferent for freq uen cy
vectors w wit h different number-theoret ical prop erties.
Definition 1.2 An inv arian t n-torus T with parallel dynamics is sai d to be resonant
if its f requencies W I , • . . , W " an, linearly depen dent ocer th e field Q of rat ional
numbers. Otherwise, such a torus T is said to be non reson ant or qu asi-periodic.
' Depa rt ment of Mathem at ics, Universit y of Gron ingen . P.O. Box 800, 9700 AV Gro ningen,
Th e Netherlands
t KP 1\ Research, P.O . Box 15.000, 9700 CD Gro ningen. T he Xet herl ands
l Institute of E nergy Pr obl em s of C hemical Ph ysics. Leni n pros pec t 38, Bldg . 2, 117829
Moscow. Russia
172 H .W . BROER , G .B . H UITE MA , r-.L B . SEVRY UK

Each orb it on a quasi-periodic invarian t torus T is everywhere dense in T,

and th e whole mot ion on T is ergodic. On th e oth er hand , a resonant invariant
torus T is smoot hly foliated into invariant tori of smaller dimensions. According tv
th e Kupka-Smale th eorem and its generalizat ions [37], a generic vecto r field pos-
sesses no resonant invariant tori , and consequent ly, all invariant tori with parall el
dyna m ics of a generic dyn am ical system are quasi-periodic . It turns out that all
th e invariant tori with par allel dyn am ics in t he phase space of a generic vector field
are usually not only nonreson ant but , moreover , th eir frequencies sat isfy certain
Diophantine condit ions.
Before formulatin g th ese conditions , we introduce some not ati ons to be used
in th e sequel. By th e angle br acket s, we will denot e th e st anda rd inner product of
two vectors, so that
N
(a , b) = 'La jb j for a E jRN,b E jRN.
j=1

Th e symbols lal and lIall will denote th e II-norm and 12-norm (Euc lidean norm) ,
respect ively, of vector a :
lV N
[c] = L lajl and IIal12= 'L laj l2 for
j=1 j= 1

We will write Oe(u) instead of O(lu[f). F inally, N is t he set of posit ive integers ,
and Z+ = N U {O} is th e set of non-n egat ive int egers .
Definition 1.3 A quasi-period ic in variant n -iorus is said to be Dioph antine if its
[requen cu vect or w satisfies th e infinite syst em of ine qualities

l(w,k)1 2: , Ikl - T
Vk E Zn \ {O}
f or some cons tan ts T > 0 an d , > O.
Dioph antine invariant tori of dyn amical systems are th e su bjec t of t he
Kolmogorov-Arnol'd -Moser (KAM) th eory.
The variati onal equations along invari ant tori with parallel dynam ics can
sometim es be reduced to a constant coefficient form.
Definition 1.4 An inva rian t n-torus T with parallel dynamics of a vector fi eld X on
a K -dime nsion al ma nifold ill is said to be Floquet if th ere exis t suc h coordina tes
(x E T " , W E JRK - n) on ill near T in whic h the tOTUS T it self takes th e form
{w = O} while th e vector fi eld X takes th e Floqu et form
f) f)
[w + O(w)]f) x + [Ow + 0 2(W)]f)w (1)

where w E jRn is the frequen cy vector of T and 0 E gl(K - n, JR) is a cons tan t
matrix called th e Floquet matrix of T .
 FAMILIES OF QU ASI-P ERIODI C .\IOTIO :-; S . .. 173

The Floqu et matrix is det ermined up to similarity. i.e., up to cha nges of th e

form \!...., A-InA, where A E GL(I( - n, IR).

Example 1.5 Any equilibrium of a vector field is a Floquet Dioph antine invariant
O-torus. Its frequ ency vector is 0 E IRo = {O} whereas its Floquet matrix is j ust th e
lineariz ation matrix of th e vector field. Any closed trajector y of a vector field is a
Diophantine invariant l-torus. Its frequ ency is u: = 27</5 where 5 is th e period .
Vector fields around closed trajectories are not necessarily redu cible to the form
(1) , the sufficient condit ion for thi s redu cibilit y being th e absence of negati ve real
eigenvalues of th e monodromy matrix [3].

The properties of invari ant tori in dyn amical systems arc very sensiti ve to
what struct ures (symm etries) the system in question is assumed to pr eserve or
be comp atible with. For instance, Hamiltonian and reversible vector fields often
exhibit Can tor-lik e families of Floquct Dioph antine invari ant tori [10, 49]. On
the other hand, invariant n-tori of a vector field t hat possesses no symmetry and
sat isfies no conservat ion law (such vector fields arc sometimes said to be dissipative
[12]) arc generically isolated in the phase space and do not carry parallel dynamics
for 11 > 1 [3], but dissipative vector fields depend ing on extern al paramet ers oft en
ad mit Floquet Diophantine invariant tori (also isolat ed in the phase sp ace).
So. consider a real finit e-dim ensional connected manifold M equipped with
some st ruct ure 6 (e.g., a tensor field on AI, the act ion of a Lie group, etc .). \Ve
will assum e the manifold AI itself and th e structure 6 to be analyt ic. Our aim is to
study I-parameter families of Floquet Dioph antine invar iant n-tori in s- para meter
families of vector fields on AI comp atible (in the sense to be mad e precise) with
structure 6. The tori we look for are also supposed to be comp atible with structure
6 in an appropriate sense.
Thus. we will encounter mainl y two different kinds of objects: familie s of
vector fields and families of quasi-periodic invariant tori of th ose vector fields. An
s-paramctcr family X I' of vector fields on AI is ju st a vector field on AI which
depends on a par amet er IL E Pc IRs (P being an open domain). An I-param et er
family of quasi-p eriodic invariant n-tori of XI' is a much more complicat ed obj ect
whose precise definition will be given below in Section 3. For th e time being , one
can think of a certain set of n-tori in AI X P such that the (n + I)-dimensional
Lebesgue measur e m eas n +l of th e union of all th e tori is finite (neither 0 nor + 00),
and each toru s lies in one of th e "fibers" I'll x {J1o} , is invari ant und er th e flow of
field X I'O and carries quasi-periodic dynamics.
To fix thoughts, let C "; r E N U {oo, w}, be some smoot hness class (w is for
real analyt icity ). Denote by X: th e sp ace of all s-p ar ameter families of C r-smooth
vector fields on 1\1 compat ible with the structure 6 . th e dep endence of these fields
on th e s-dirnension al parameter being also of class cr. Equip the sp ace X: with
an appropriat e C" weak or strong topology [22] (in fact. the difference between
th ese two standard topologi es is ent irely irrelevant for our purposes). The main
qu estion this pap er deals with is as follows:
174 H .W . BROER, G .B . H UITEMA , M.B . SEVRY l:K

For what values of n E Z+ and I E Z+, does a typical family of vector fields
in .r: possess I-parameter families of Floquet Diophantine invariant n-tori compatible
with the structure 6? What are the properties of these families of tori?

The word "t ypi cal" a bove means th at famili es of vector fields possessin g 1-
paramet er families uf Floquet Dioph an tin e invari ant n-tori const itute an open set
in .r: (to be more precise, a set with non-empty interior) . In other words , we are
looking for some per sistent phenomena in families of vector fields .
The easiest way to study quasi-periodic invariant tori of typical families of
vector fields we know is to perturb int egrable vector fields, i.e.. vector fields cquiv-
ari ant with resp ect to the free act ion of the standard n-torus TTl . Int egrable syste ms
are quite except iona l. hut their perturbations, no matter how small the perturba-
tion size is, are already typi cal. If we succeed in proving that any sufficient ly sma ll
perturbation of a family xg of integrable vector fields admit s an I-parameter fam-
ily of Floquet Dioph antine invari ant n-tori, th en we will be a ble to conclude th at
such families of tori occur typi cally, namely , in a neighborhood of xg in .r:. We
can impo se some furth er restrictions on the unperturbed family xg of int egrable
vector fields (c.g., some nond cgcncracy and nonresonan ce condit ions) . In fact, we
can choose the unperturbed family as special as we please, a nd this would not
affect our final conclus ion. The only important restriction is that pertu rbati on s of
that initial family should not be subject to any conditions (of course , within th e
space .r:).
From now on , we will confine ourselves with the real anal yti c ca tegory l ' =
W, i.e., we will consider real ana lyt ic families of real ana lyt ic vector fields. The
structures 6 we will be intere sted in are a vulume element, a symplect ic structure,
and an involution. Accordingly, we will distinguish fuur "contexts" of our th eory
(d. [25, 12, 11]):
1) the diss ipat ive cont ext , where no st ruct ure on the ph ase space is present ;
2) the volume preserving conte xt, where th e st ruct ure on :\I is a vulume
clement, i.e., a differential form of the maximal degree which vani shes nowhere;
3) the Hamiltonian context , where th e st ruct ure on J\I is a symplect ic st ruc-
ture, i.e., a closed nondegenerate differential 2-form ;
4) th e reversible cont ext , where th e structure on JU is an involution G : AI --+
M (a mapping whose square is th e identity transformation) .
In the volum e preserving context, the vector fields in question are glob ally
divergence-free. Recall th at if 0' is a volum e element on an N-dimensional manifold
AI then the divergen ce divX of a vector field X on AI is a real-valu ed function on
M defined as
d(ixa) = (div X)«.

Here i xo is th e (N - 1)-form whose valu e at the vectors X I , . ... X s - I is equal to

the valu e of 0' at th e vectors X , XI , . . . , X N - I. Thus, diver gence-free vector fields
X ar e those for which th e form ixa is closed . A divergence-free vector field X is
 F A:VlILIES OF Q UASI-PERIODIC i\IOTlO:-i S . . . 175

said to he globally diuerqen ce-jrce if the form ixo is not only dosed hut even exact
(d. [1 ]).
In the Hamiltonian context , the vect or fields in qu estion ar c Hamiltonian, and
th eir invari an t n-tori with parallel dyn ami cs arc ass umed to he either isotropic (for
n :; N ) or coisot ropic (for n ~ N) , where N is th e number of degrees of freedom
(so th at th e phase space AI is of dim ension 2.\"). Recall that a sub ma nifold L
of a symplectic (2N)-dimensional manifold AI is sa id to he is otropic [coisotropic]
if th e tan gent space TuL to L at each point lL E L lies in its skew-ort hogonal
complement (T" L) .l [resp ectively, contain s (T" L).l ]. sec [1, 4]. For any isotropic
subrnanifold L , one has dim L :; N , while for any coisotrop ic sub manifold L ,
one has dim L ~ N . Any sub ma nifold of dim ension 0 or 1 is isotropic, while any
sub ma nifold of codimension 0 or 1 is coisot ropic. For :Y-dimensional sub ma nifokls
the concepts of isotropicit y and coisotropicity coincide . and an N-dimension al
sub ma nifold L C AI for which (T" L ).l = T"L at each point u E L is called
Lagrangian.
In the reversible context, the vector fields X in qu estion a rc reversible wit h
resp ect to a fixed involut ion G of th e ph ase space .\1 . This mean s that G tr an sforms
the field X into the opp osite field -X . In other word s. a vector field X [and the
correspond ing differential equa t ion du ] dt = X (11 )] is sa id to be reversible with
respect to G if G(u ( - t )) is a solut ion of that equ ation wheneve r u (t ) is a solution.
This definiti on is applica ble to any diffeom orphism G : AI -- AI but we will
conside r only th e case G 2 = id. Besides, n-tori with par allel dyn amics in the
reversible conte xt are ass umed to be inva riant not only und er the flow of the field
its elf, bu t also und er the reversin g involution. It turns out th at on any of such tori
with a nonreson ant frequency vector, one ca n choose a coordinate system <p E Til
which normalize bo th th e dyn ami cs and the involut ion.

Lemma 1.6 [491 If th e differential equati on dol dt = -'.I on th e torus '][ n wi th

no nresonant fr equency vector w is reversible with respect to a diffeomorphism
G : T " -- T" th en thi s diffeomorphism is an inro luii oti and ha s th e form
G(¢ ) = c - ¢ fo r some con st ant c E '][" .

Proof. Choose an arbitrary point ¢ o E T " . Then G(¢o + wt ) = G(¢o ) - wt

for each real t. . In ot her word s, G (¢) = G( 1Jo) + 00 - 0 for all 1> E T " of th e form
!Po + cat. But w is nonreson an t, a nd point s of thi s form arc every whe re dense in
'][ n. Therefore G (¢) = c - 4> for all the poin ts ¢ E Tn with c = G( ¢o ) + ¢ o. 0

Note th at the coordinate change <p = ¢ - c/2 ret ain s th e differential equation
(which takes the form d<p /dt = w) but puts th e involution int o t he st andard form
G : <p >-+ -'P.
T he nonr cson anc e condit ion on w in Lemma 1.6 is verv essential. For inst an ce.
the system do ddt = 1, d4>2/dt = 0 on '][2 is reversed by an y d iffeomorphism of
th e form G : (91 , <P2 ) >-+ (a (1P2) - <Pl, b(<P2) )'
176 H .W . BROER, G .B. H UIT EMA, lVI .B . S EVRYUK

Recall t hat t he act ion of a ny compact Lie group on an a rbit rary manifold M
around a fixed point u E M is linear in an a ppropriate local coordinate system
on M centered at u (the Bochn er t heorem [34]). Since an involu tion generates
t he gro up ~ of two elements, it is always conj uga te aro und a fixed point to its
linear par t . Consequent ly, th e fixed points of any ana lyt ic involut ion G : M --> M
constit ute an ana lyt ic subma nifold F ix G of M, However , thi s subma nifold can be
disconnect ed and its connected components ca n be of different di mensions, even
in th e case where th e man ifold M itse lf is connected [43].

Definition 1.7 A n int'olution G : M --> M of a (q+ + q_ )-dim ensional manifold

M is said to be of type (q_ , q+) if all th e connected com pone n ts of its su bm anifo ld
Fix G of fixed point s are of dim en sion q+ .

Lemma 1.6 implies that the restriction of an involut ion G to a quasi-peri odic
invari an t n- to rus T of a G-reversible vector field is always of typ e (n. O), and t he
set (Fix G) n T consists of 2n isolated points. Hen ce, if involution G itself is of ty pe
(q_,q+) then q: 2: n .
The rea der is referr ed to works [36, 16, 5, 49, 51, 44, 43, 26, 55] for a survey
of the main properties of reversible dyn amic al systems, exa mples. and physical
app licat ions (th e pa pers [51, 44, 43, 26, 55] contain also a n extende d bibliography ).

Now iet us consider in detail th e integrabl e set-up in all th e four contexts

above. In ot her word s, we will deal with s-pararneter families X I' of vector fields
on M under the assumption th at th ese vector fields as well as str uct ure 6 are
equivariant with respect to the free action of the standa rd n-torus T" . We will
also sup pose th at st ruc ture 6 is "linea r" in a certain sense although th is often
leads to no addit ional restri ctions due to normalization th eorems like th e Darboux
or th e Bochner th eorem. The par am et er f.l varies in an open domain P C IRs , and
we will always assu me th at 0 E P and t ha t t he field X O possesses an invaria nt
n-torus with parallel dyn ami cs. This torus is one of th e orbi ts of th e act ion of T "
on M .
Dissipative (n, p, s) conte xt: invariant n-tori of s-pa ramctcr families of vector
fields on a n (n + p)-dimensional manifold. In t his cont ext , we haw a family of
vector fields
x = {X I'} I-' = w( w ,/l )aa
x
+ W( w,/l) aaw (2)

where x E T" , w E IRP and W( wo,O) = 0 (t he equivaria nce ju st mean s that

th e components of th ese vector fields do not dep end on x ). Gener ically t he J acobi
matrix DwW (wo, 0) is nond egenerat e, and the equa t ion W( w, 11) = 0 can be solved
with respe ct to w as It' = a(/l) , a(O) = woo Having introduced new coordina te
z = w - a(f.l), we ar rive at th e family of vector fields

(3)
 FAMILIES O F Q UASI-P ERIODI C ~IOTIO:-; S . .. 177

wher e z varies in a neighborhood of 0 E lRP and matrix O(/t) is nondegen erate

for all /1. For eac h valu e of u, the torus {z = O} is invari ant under the flow of
XII and carr ies parallel dynamics with frequ ency vect or ..,;(/t). So, we obtain an

s-pa ra mete r analyt ic family of invari ant n-tori with parallel dyn amics (wit h no
restrictions on the non -negative integers n , p . s) .
Volume preserving (n, p, s ) context: invari ant n-tor i of s-param ct cr families of
globally divergence-free vect or fields on an (n + p)-dim ensional manifold. In thi s
context. we hav e t he same family (2) of vect or fields which , however , now arc
supposed to be globally div ergence-free wit h respect t o volume element dx 1\ dw.
F irst of all, observe that this requirement excludes the case p = 0 since the constant
vecto r field wa j a<.p on th e torus T" with volume element d:p is alway s div ergence-
free but never globally divergence-fre e (except for th e tri via l case w = 0) . For
p = 1, one can eas ily verify th at vector fields (2) arc d ivergence-fr ee if a nd on ly
if W does not depend on w , and they ar c globally divergenc e-fre e if a nd only if
W == O. For p > 1, t he notion of being d ivergence-free and that of being globa lly
diverg ence-free for vector fields on 1'>£ = T" x ~p are equivalent (because th e
cohomology H n+ p-l(M, IR ) = 0 in thi s case), and fields (2) arc divergence-fre e
(and globa lly diverg ence-free) with resp ect to dx 1\ du : if and on ly if vector fields
W(w ,Il )Djaw ar c divergence-free (a nd globa lly diver gence-free) with resp ect to
dw (i.e.. Tr D w W (W , It) == 0). The cases p = 1 and p > 1 th erefore t urn out to be
dr astically different in the volum e pre servi ng context [25. 12].
If p = I , we arr ive a t the family of vector fields

(4)

wher e y E IR (t o achieve the consiste ncy with th e notations in th e Hamiltoni an

and reversib le contexts discussed below we prefer here to writ e y instead of wand
w inst ead of 8) . For each value of u, each torus {y = const} is invaria nt under
th e flow of XII and ca rr ies parallel dynamics with frequency vector w( Y' /l)' So,
we obtain an (8 + I)-parameter a nalyt ic famil y of invariant n-t ori wit h par allel
dyn amics .
If p > 1, we ca n pro ceed in exa ct ly the sa me way as in the dissipative context .
We will obtain the fami ly (3) of vector fields and an s-pa ra meter a na lyti c famil y
of invariant n-tori {z = O] with par allel dyn ami cs. The only difference is that now
n (/l) E sl(p. lR) for each It (Le., Tr 0(/1) == 0).
Hamiltonian isot ropic (n, P, s ) co nt ext : isotropic invari ant n-tori of s-parameter
fami lies of Hami ltonian vector field s wit h n + p degrees of freedom (n ~ 0, p ~ 0,
n + p ~ 1). The cod ime nsion of the tori in the phase space is equal to n + 2p .
We suppose that field XO possesses an isotropic invariant n-torus T and ncar thi s
torus. there exists a coord ina te syst em (<p E T " , IL' E IR,, - 2p ) in whic h T t akes the
form {u' = O} , the Hamilton function docs not depend on <p a nd the symplectic
structure has const ant coefficients . It is not hard to verify th at after an appropriate
coordinate cha nge <p = x + Ay+ Hz, ll' = Cy + D:: . whcre z E T" , y E IR" . z E IR2P .
178 H .W . BROER, G .B . H UIT Ei\IA , 1\1.B . SEVRYUK

and A , B , C , D are constant ma t rices of suitable sizes. th is symplect ic st ruc t ure

will get the form
n p

2.:= dy, II dx , + 2.:= dZj II dz j + p . (5)

,= 1 j=1

In fact , th e ass umpt ion of consta nt coefficients is not really necessary for such
normalizati on of th e symplect ic st ructure becau se th e latter can always be red uced
to form (5) around an isot ropi c torus (t he generalized Darboux th eorem [1]). The
Hamil toni an H J.l(y , z} determines t he famil y of vector fields

x = {XI ' }, = aH ~ + (J a H ) ~
I ay ax az az

-I )
wit h
0 1 = dillg(l , . . . , I } E S L(p, JR}. (6 )
J = ( I 0 '

Since t he toru s {y = 0, z = O} is invar iant und er th e field X O. th e origin z = 0

is a crit ical point of the functi on JR2p -> JR, z>--+ HO(O . z} . Generically this critical
point is nond cgcnerat e, i.e., det 0 2 H() (O, 0}/ a z 2 =1= 0, in which case the equa tion
DzIlI' (y , z) = 0 determines a n a na lytic sur face z = Z( y, ll}, Z( O.O} = O. We obtain
an (n + s}-pa ra mete r ana lyt ic famil y of isot ropi c invariant n-tor i wit h par allel
dy na mics for XI'. Namely, for each value of u , each torus {y = COIJst. z = Z( y , II}}
is isotr opic, invari ant und er th e flow of X I' a nd carr ies parallel dyn ami cs with
frequ ency vector a HI'(y , Z( y ,ll) }/ay .
For simplicity, in t he sequel we will always assume th at Z(y .Ji} == 0 (recall
t hat we are allowed to choose th e int egrabl e vector fields arbi t rarily sp ecial) . In
th is case the Hamil tonian has th e form

H = W(y , z } = F (y ,/l} + 1(z , K (y, /I)Z} + 0 :3(Z} (7)

(th e 2p x 2p matrix K (y,p.) is sy mmetric for all values of y a nd I'}. The corre-
spo nd ing family of vector fields has th e form

where w = u F/ay and l! = J K . For each valu e of II, each torus {y = COIJ;;t, z = O}
is isotropic, invar ian t und er the flow of X!' a nd carries parallel dy na mics with
frequ ency vector w(y . Ji} .
Hamiltonian coisotropic (n, p, s) context: coisotropic invariant n-tori of s-
par am eter families of Hamiltonian vecto r fields with n - p degrees of freedom
(n 2': 3, 0 < P < n/ 2). The codimension of t he tori in the phase space is eq ual
to n - 2p. The case p = n / 2 is excluded becau se invariant tori in t he Hamilto-
nian context lie in the energy levels of the Hamilt on functi on and have therefore
 FAr-lILI ES O F Q UASI-PERIODI C l\10TIO:-;S . . . 179

positi ve codim cnsion . For 71 odd and p = (71 - 1)/2 , each invari ant torus is a con-
nected component of an energy level. We consider th e space AI = T" X IR n - 2 p
with coordinat es (J', y) and a symplecti c st ruct ure w 2 wit h const ant coefficients,
each toru s {y = cons t} being coisot ropic with resp ect to w' . Identify the tan gent
spa ces T x o T" = U ~ IR" to T" at a ll th e points Xn E ii" and th e tangent spaces
TYo IR n - 2p = V ~ IR,,-2p to IR,, - 2p a t all t he points Yo E !R,,- 2P. Th e structure w 2
can be tr eat ed as a nond cgcncr atc skew-symmet ric bilinear form on U e V such
that th e (n - 2p )-dim ensional skew-or t hogonal complement o- to plan e U lies in
U . We will denote thi s bilinear form by th e same symbols w'. The bilinear form
w 2 (v , u), where u E u- and v E V , is nondegenerate (ot herwise th e whole form
w 2 would be degenerate) .
Define the linear mapping f .: V · -+ u- (her e V' is the space of linear
functions on V ) as
w 2 (v ,f(O ) = ~ (v ) 'I v E \ .
for ~ E V' . Now let
H=W(y ) (9)
be a family of int egrable Hamiltonian s on AI and X = {X /I}I" ~ th e correspo nd ing
famil y of Hamiltonian vector fields.

Lemma 1.8 For each value of {I and at each point of j I

X = f(dH [v) E u.l.

Proof. Let f (dHl v ) = a . Then vu E U 'Iv E \ '

dH(u + v) = dH (v) = w' (v,a) = w' (u + v .a)

(the first equalit y in thi s chain follows from [)H / [)x == 0 and the last one, from
aE u-; Consequ ently, a = X. 0

Thus, all the tori {y = const} arc invariant und er th e flow of XI' for each fL
and carry parallel dynamics with frequ ency vectors ;",·( y. {I) = f (dH I'(y)lv ) (afte r
th e identification of U and IRn ) . So, we obtain an (n - 2p+ s)-par ameter ana lyt ic
family of coisotropic invari ant n-tori with par allel dyn amics (in fact , th e spa ce
J\I x P is foliated into th ose tori ). On th e ot her hand . all the frequen cy vecto rs
of th e tori lie in th e fixed (71 - 2p )-dim ensional subspace u- of jR" (any vector in
thi s subspace can be realized as th e frequency vector for a suitable Hamiltonian) .
The subspace U 1. is det ermined by th e symplectic structure co? only and does not
depend on th e Hamilton function H . The behavior of Hamiltonian sys tems on AI
is very sensiti ve to th e arithmetical prop erties of th e arra ngement of th e plane
U 1. with respe ct to th e lattice Z n. For inst ance, it is possible th at all th e vectors
in u- are resonant (o.g.. if t:» is one of t he coord ina te planes). The alt ernative
possibility for 1 ::; p < (n - 1)/2 is that both resonant vectors and nonresonant
ones constitute everyw here dense subsets of u-, For p = (n - 1)/2 [of course. in
180 H.W. BROER, G.B. H UITEMA, M .B . SEVRYUK

this case n is odd] th e alternat ive possibility is th at all the nonzero vectors in U l-
are nonresonant [U.L is a st ra ight line for p = (n - 1)/2 ). We see that the cases
1 ~ P < (n - 1)/ 2 and p = (n - 1)/ 2 within the Hamiltonian coisotropic (n, p , s)
cont ext are rather different.
As the arithmetical properties of t he space U.L are different for different
forms w' , there is no universal normal form for the symplectic st ruct ure in th e
Hamilt onian coisot ropic context [like (5) in the Hamiltonian isotropic cont ext ].
Coisotropic invariant tori of Hamiltonian systems are encountered, e.g., in
the quasi classical th eory of motion of a cond uct ion electron [39]. It turns out that
th e motion of a condu ction electron in an electric and magnetic field can proc eed
along four-dimensional coisotropic invariant tori in the six-dimensional phase space
T * ]R3. Here n = 4, p = 1. For homogeneous fields, an open domain in the ph ase
space is smoot hly foliat ed into such tori.
Reversiblecontext : invariant n-tori of s-paramctcr families of reversible vector
fields. \Ve consider th e space 111 = T" X lRu +v with coordinates (x, w-r" , w-) where
x E 1['n , w+ E L + = IR" , w- E L- = IRv , and the involution
(10)
of typ e (n + v , u). An s-paramcter family of integrable G-rev ersible vector fields
on M has th e form

x =
a o
{X/'L, = w (w+. w-, It )-a + W+( w + , w - ,/L)a + + T-V -(w+. W- , /L ) -a
a
x w w-
(11)
where functions w and W - are even in w- whereas function 11; + is odd in w -
[and therefore W+(w + ,O,/L) == 0]. 'We suppose that the torus {lC+ = O,w- = O}
is invari ant und er th e flow of field X O, i.e., W - (0,0 ,0) = 0. An n-torus {w+ =
w6,w- = wo} is invariant und er involution (10) if and only if 11'0 = 0, and for
Wo ° = it is invariant under the flow of X I'u if and only if W- (11'6 ,0, /Lo) = O.
Consider the mapping
(12)
The prcimagc of zero under this mapping generically is empty for 11 + s < v .
This means that for 11 + s < v a generic s-pararneter family of integrable G-
reversible vector fields on 111 admits no invariant n-tori: even if some particular
family possesses such tori , the latter can be destroyed by an arbitrarily small
perturbation of th e family (within the integrable realm!) . Now consider th e case
u + s ::::: v which, in turn , splits into two quite different sub cases: 11 ::::: v and
s ::::: v - u > O. These will be referr ed to as th e rever sible cont ext 1 and th e reversible
cont ext 2, respectively. In the first subcasc, we will writ e v = p. U = IT! + p. In th e
second subcase, we will write u = p, v = m + p (1 ~ Tn ~ s) . We now consider
thes e sub cases separately.
Reversible (n . m .p . s) context 1: invari ant n-tori of s-p arametcr families of
vector fields reversible with respect to involutions of typ e (n + p. m + p), m ::::: 0,
 F A:-'IILIES OF Q UASI-PERIODI C M OT IO:-;S ' " 11\ ]

p 2: o. s 2: O. Here w+ E L + = IRrTl+p. w- E L - = IFF'. For each fixed valu e of /1. one

can generically introduce a new coord inate syst em (y. z-i- ) in L + = IRrTl+P (y E IRrTl •
z+ E IR") via th e for mula w+ = Q(y . z+ ./1) in such a way th at Q (O . O. 0) = 0 and
W - (Q(y. z+ , /1), 0, /1) = z+ . "VI' will also write z" instead of w - . Then involution
(10), th e family of differenti al equat ions on M det erm ined by vect or fields (11),
and mapping (12) take the form

(l ~)

i: = w(y, /1) + O(z+ . z-), z+ = 0 (;:; - ) = u(y, II )Z- + 02 (Z+ , z- ). (1-1)

iJ = O(z-), z- = z" + 0 2(Z- ).
and
(15)

respectively. For each valu e of u , each torus {y = CUIlSt, z+ = z" = O} is invari ant
under both involutio n G and t he flow of X I ' and carries par allel dynami cs wit h
frequency vector w(y, II) . "Ve thu s ob tai n an (m + sj -para mete r a nalytic family of
invari an t n-to ri with par allel dyn ami cs for X I' .
In th e sequel, we will prefer to consider involut ions G and fa milies of G-
reversible differential equations of a slight ly more general form

G : (x , y , z) >-; (-x , y , Rz) (16)

and
:i: = w(y,J1.) + O(z), iJ = O(z), z = f1(Y.II )z + 0 2(Z), (17)
2
where z E 8 1' , R is an arbitrary fixed involutive (2p) x (2p) matrix whose 1- and
(- I)-eigp.nspaces are p-dim cnsion al, and f1(y ,J1. )R + Rf1(Y,/1) = O. Expressions
(13) and (1-1) correspond to

[I being defined in (6)1.

Reversible (n , m , p , s ) context 2: invar iant n-tori of s-paramcter fam ilies of
vector fields reversible with respect to involut ions of typ e (n + m + p,p), m 2: 1,
P 2: 0, s 2: m. Here w+ E L + = IR", ui " E L - = IRrTl+P Generically one ca n sp lit
t he coordinates /11, . .. ,J1.s in t he pa ramete r space IRs into two groups Ii = (Ii I , /12),
J1.1 E IRrTl. 11 2 E IRs- rTl in su ch a way t hat for each fixed value of 11 2 , the mapping

(18)

is a local diffeomor phism near th e point (w+ = 0.// 1 = 0), th e preimage of zero
being (w+ = ~ (/12 ) ,/11 = (( /i 2 ) ) , ~ ( O ) = 0, ((0) = O. Shifting the varia bles w+
182 H .W . BROER , G .B . H UIT EMA , ?\I.B . S EVRYCK

and 111 , if necessar y. one ca n achieve ~ == 0, ( == O. For each Ji2. int rodu ce th e new
coordinat e syste m ( z - .y) in L- = JR.m+p (z - E JR.P, Y E JR."' ) via th e formula

Note that t he coordinates z - and y depen d on th e init ial coordinat e w - lin early ,
so t ha t multiplying 11'- by -1 is equivalent to mul tipl ying z" an d y simulta neously
by -1. In t he new coordinate system , ma pping (18) t akes th e form

(W+ , JiI ) >-+ (z- (W + ,11 1,'12),Y(W + , JiI ,Ji2))

(w+ + A( w+ ,'11 ,Ji2), ll l + B(W+. JlI , I? )).

where A = 0 2(W + ,'II ). B = 0 2(W+ ,JiI ). Let also z+ = 11' -'- + A(IL'+, JiI , Jl2) be
th e new coordinate in L + = JR.p. Then involution (10), the fam ily of differential
equat ions on M det ermined by vector fields (11), and mapping (12) t ake th e form

(19)

j; = ,,:(/12) + O(z+ , z " , y, /(1),

i + = O(z- , y) = a(ll) z- + b(/I )Y + 0 2(Z+ , Z- . V).
(20)
i - = z+ + 0 2(Z- , V),
iJ = JlI + 02 (Z+, Z- , y, p l ),
and
(21)
respectiv ely. For III = 0 and each valu e of p2, t orus { z+ = z" = O, y = O} is
invari ant und er both involution G a nd th e flow of X I' = X ( O'1'2j and carries parallel
dynamic s with frequency vector w(Ji2). We thus obta in an (8 - rn)-para mete r
analyt ic famil y of invariant n-t or i with par allel dynamics for X I'.

2 Summary of t he results
To summarize, in all th e contex ts we have found I-parameter an alyt ic families of
invar ia nt n-to ri with parallel dyn am ics for some I E Z+ provided th at the vector
fields XI' are in tegrable. The quest ion is what will happen to th ese families if one
perturbs the vector fields. Attempting to answer thi s question . suppose first t hat
th e perturbati on is still in tegrable, so th at it just slightly shifts th e initi al famil y
of tori . In essence, to perturb X! ' within the integ rable rea lm mea ns to change
W(/I ) and !l(Ji) in (3). w(y, p) in (4), F(y,p) and K(Y ,Ji) in (7). Hl l(y) in (9),
w(y, Ji) a nd !l ey,Ji) in (17), or w(Ji2 ), a(Ji) a nd b(Ji) in (20). At first glan ce, this
would not lead to anyt hing interesting. However , when examining th e behavior of
th e frequency vectors of t he tori under th e perturbation , three following different
sit ua t ions ca n be met :
 F AMILIES O F QUAS I- PERIOD IC xlonoxs . . . l R3

(a) all th e tori in t he unperturbed famil y arc nonresonant, and t his prop erty
is preserved by perturbations:
(b) for a generic unper turbed famil y of vector fields. some tori are resona nt.
some arc not . and th is prop erty is preserved by per t ur bation s:
(c) by an ar bitrarily sma ll perturbation , one ca n ma ke all t he tori reso na nt .
°
Situ ati on (a) always takes place for n = and TI = 1, since equilibr ia a nd
closed tr ajectories t rea ted as invariant to ri with par allel dy na mics of di mensions
° a nd 1, respecti vely, arc always nonr esonan t. Thi s situat ion also occur s in t he
Ham iltonian coisot ropic (n ,p , s) context whenever p = (n - 1)/ 2 and the st raig ht
line U 1- docs not lie in any resonan t hyp erplane in R" .
Sit ua tio n (c) corr esponds to n > 1 and I = 0. i.c.. to th e cases where n > 1
and the fam ily X " of int egrable vecto r fields possesses a single rz-to rus [this t akes
place in the dissipati ve (n, p, s) context for s = 0. in t he volume preser ving (n, p, s)
contex t for p > 1, s = 0, in t he reversibl e (n , tri, p . s) context 1 for //l = S = 0, an d in
the reversible (n , tn. cp, s) context 2 for s = mi. By an arbit rarily sma ll per turbat ion,
it is possible to make thi s single to rus resonant. However . sit uat ion (c) is a lso
realized in the Hamiltonian coisotropic (n, p, s) context (wit h I = ti - 2p + s :::: 1)
when th e subspace U 1- lies in one of t he resonant hyp erplan es. In th e latter case .
not only one can make all t he tori resonan t by arbitrarily small perturbations. but
also all th e tori of t he unp erturbed famil y of vector fields arc a lways reson an t.
T he "most famili ar" sit uat ion is (b) . It occurs in all t he cases exce pt th ose
indicated above as pertaining to sit ua t ions (a) or (c).
Now we can for mulate th e following heuristic prin ciple describing the fate of
analytic families of invariant tori wit h parall el dynamics of the init ial family of
vecto r fields under noninteqroble perturbati ons:

A small gen eric perturbation : preserves t he initial family of tori and leaves it
analyt ic in situation (a) ; preserves the family of tori but makes it Cantor-like in sit-
uation (b) ; destroys the initial family of tori completely in situation (c) . In th e first
two sit uations, t he unpert ur bed famil y of vecto r fields is assumed to sat isfy some
nond egeneracy and nonr esonan ce cond it ions. Also. in the first two situations, all
the invariant tori with parallel dynam ics of the pertu rbed family of vector fields are
nonresonant (i.e.. quasi-per iodic). and even Diophantine .

A generic dyn a mical system admits no resonant tori (t he Kupka-S male t he-
orem [37]). so it is not sur pr ising th at generica lly pe rt ur bed famili es of vecto r
fields no longer possess invar iant to ri with par allel dyn amics in situation (c) or
I-par amet er ana lytic famili es of invarian t tori wit h par allel dyn ami cs in sit uat ion
(b) . Note . however , t ha t in sit ua t ion (c) wit h I = 0, i.e.. when th e unperturbed
fam ily of vector fields has a single n- to rus with par allel dyn ami cs, a perturbation
does not dest roy th is torus as an invariant submanifold: a per turbed family st ill
has an invariant torus close to t he unperturbed one. but t he dyn ami cs on th e per-
t ur bed to rus is gene rically no longer parall el. Wh at is highly unexp ected is th at
184 H .W. BROER , G .B . H UIT EMA , 1-1.B . SEV RYUK

a pert urbed famil y of vect or fields does possess many qu asi-p er iodic invariant tori
in situations (a) and (b) . However, the princi ple a bove is indeed tr ue "in t he first
a pproximation" . To make t he latter statemen t more precise, let us find out wha t
t his princip le te lls in each context for nontrivial torus dimensions n > 1:

(Q) Dissipative (n , p, 13 ) cont ext : a gen eri c fa mily of vector fields has no in-
variant n- tori with pa ra llel dy namics for 13 = 0 (i.e.. when t here are no parameters)
while a typical fam ily of vecto r fields possesses s- pa ra mcte r Cantor-like familie s of
Diophan t ine invar iant n-to ri for s 2: 1.
({3) Volume preserving (n ,p,s) context wit h p > 1: a gen enc famil y of glob-
ally divergence-free vecto r fields has no invari ant n-to ri with par allel dyn am ics
for s = 0 (i.c., when th ere are no para meters ) while a typ ical fam ily of globally
divergen ce-fr ee vect or fields possesses s-parameter Ca ntor-like families of Dioph an -
t ine invar ian t n-tori for s 2: 1.
()) Volum e preserving (n , p , s) context wit h p = 1: a typ ical family of globally
d ivergence-free vector fields possesses (8 + l l-p aram et cr Ca nto r-like famili es of
Dioph antine invar iant n-tori.
(6) Ham iltonian isotropic (n, p , Ii) context: a typical fami ly of Ham ilto-
nian vector fields possesses (n + s) -pa ra mete r Cantor-like families of Diophan tine
isot ropic invari ant n-tori,
(e) Hami lt onian coisot ro pic (n ,p,s) contex t : depending on t he gloha l prop -
erties of t he symplectic st ructure on t he phas e space, eit her 1) a gen eric fami ly
of Hamil tonian vecto r fields has no coisot ro pic invariant n-to ri with pa ra llel dy-
na mics, or 2) a typ ical family of Hamil tonian vector fields possesses (n - 2p + s) -
paramet er Ca nto r-like [for 1 ~ P < (n - 1)/ 2] or analy tic [for p = (n - 1)/ 2]
famili es of Diophant ine coisotropic invariant n-tori.
() Reversibl e (n , tri . p , 13 ) context 1: a generic family of revers ible vector
fields has no invariant n-tori wit h par allel dyn ami cs for m = s = 0 while a typical
fam ily of reversibl e vector fields possesses (m + s) -parameter Cantor-like fa milies
of Dioph an tine invariant n-tori for m + s ~ 1.
(TI) Reversib le (n , m , p, 13) context 2: a generic fam ily of reversible vector
fields has no invari ant n-tori with parallel dy na mics for s = m while a typ ical
fam ily of reversible vecto r fields possesses (13 - m)- para mete r Ca nto r-like famili es
of Diop hantine invari an t n-t ori for s > m .

In all th e cases above, th e word "gen eric" means th at fam ilies of vector fields
wit h t he property indi cated constitut e an ope n every where dense set in t he space
~ of a ll t he families of vect or fields, whereas t he word " typic al" means t hat
fam ilies of vector fields wit h th e prop erty indi cated const it ute a set in th e space
~ wit h non-em pty inte rior.

Are t hese seven stat ements (a )- (TI) act ua lly true ? We start with the least
st ud ied cases.
 FAMILIES OF Q UASI-PEIlIODI C :-,IOTIONS . . .

To th e best of the authors ' knowledge, the rever sible context 2 has not been
considered yet in the literature, and nothing can be said about qu asi-periodic
invariant tori in this context [although st at ement (7)) above seems very likely].
St atement (c) above concern ing the Hamiltonian coisot ropic context is true
(however . that the space U 1- docs not lie in any reson ant hyperplan e in IR" docs
not guarantee the pre sence of many qu asi-p eriodi c coisotropic invari ant n-tori in
small perturbations of generic int egrable Hamiltonians: one should a lso impose
some Diophantine conditions on U 1- ). More precisely, the following two theorems
hold (in th e formulations of th ese theorems, we will suppose for simplicity that
s = 0, i.c .. there a re no external paramet ers). Let Y be some finit e open dom ain
in IR,,- 2P .

Theorem 2.1 [38, 39, 65] Let n ~ 4, 1 ::; p ::; (n - 2)/2 , the symplectic stru cture w 2
with constant coefficients on l\I = {( x , .II)} = T" x Y e T" X IR,,-2p satisfy som e
Diophant ine conditions (th e set of structures which do not m eet thos e conditions
is of m easure zero}, and the unperturbed int egrable Ham iltonian H(y) satisf y some
nondegeneracy conditions. Th en any Ham iltonian vector field on l\I with Ham ilton
fun ction H (y) + b. (x,y) suffici ently close to H(y ) possesses Floquet Dioph antine
coisotropic invariant analyti c n-tori, the 2(n - p)-dimensional Lebesgue m easure
of the union of these tori tending to llleas2 (n_p)_\[ = (27r )"me8S" _2pY as the
perturbation magnitude tends to O. Th e Floquet (71 - 2p) x (71 - 2p) matrix of eaeh
of the tori is zero.

Theorem 2.2 [21, 20] Let 71 ~ 3, p = (71 - 1)/2, the sympl ectic structure w 2 with
constant coefficient s on l\I = {(x , .II)} = '][''' x Y c T" X IR sat isfy som e Diophantine
condition s (the set of structures which do not m eet those conditions is of measure
zero), and the unperturbed integrable Hamiltonian H(y) satisf y the nondegeneracy
cond it ion dH /dy =1= O. Th en each energy level of any Ham ilton fun ction H(y) +
b.( x , .II ) sufficie ntly close to H(y) is a Floquet Diophant ine co isotropic invariant 71-
torus of the corresponding Ham ilton ian vector field. Th e f requency vectors of these
tori are proportional to one and the same vector W O which depends on n either the
torus nor the Ham iltonian but is determ ined by the symplectic structure only. Th e
Floquet 1 x 1 matrix of each of the tori is zero.

In the context of Theorem 2.2 , we ha ve th e following am azing picture [21, 20].

The energy levels of the unperturbed Hamiltonian H (y) are n-tori with Diophan-
tine motion, all the frequency vectors being proportional to some fixed vector wo .
Now we perturb this Hamiltonian arbitrarily. Obviously. the energy levels of a
perturbed Hamiltonian will be st ill n-tori close to the unperturbed ones, but it
turns out th at the motion on those perturbed tori will be still Diophantine with
frequency vectors proportional to the same vector wOL In fact , all the Hamilton
functions close to H (y) ar e int egrable. This phenomenon is a dir ect con sequence
of the fact that the Hamiltonian nature of a vector field imposes very severe re-
strict ions on the motion on invariant tori of sma ll codimensions .
186 H .W . B ROER, G . B. H UIT EMA , M . B . SEVRYUK

For exact formulati ons of Dioph antine cond it ions for w 2 an d nondegeneracy
cond it ions for H (y ) and the proofs, we refer t he reader to th e origina l papers
[38,39, 21, 20] (see also [65] for t he case p = (n - 2)/ 2).
In th e rest of t his art icle, we will no lon ger consider th e Ham iltonian
coisotropic conte xt an d reversibl e context 2. So, our topic s will be t he d issipa-
t ive cont ext , both volume preser ving contex ts, Hamil ton ian isot ropic conte xt , a nd
reversible context 1. All t he statements (a) , ({3) , (f ), (8), (() above concerning
these five context s are true (and all th e tori ca n be required to be F loquot as
well). However, in th ese cont exts, much mor e is kn own abo ut th e prop erties of
l-par am eter Canto r-like families of Flo qu ct Diophantin e invar iant n-t or i th an in
t he Ham iltonian coisotropic context describ ed by Theorem 2.1. Name ly, not onl y
t he union of t he tori is of positive (n + l)-dim ensional Lebesgue measure, bu t also
the tor i depend on the lab elin g l-d imension al paramet er (ra nging in some Cantor-
like subset of IRI ) in the Whit ney-sm ooth way. The expression "a Wh itn ey-smo oth
function on a closed set =: c IRI " mean s a fun ction on =: t hat can be extended
to a smooth function defined on th e whole sp ace IRI [63, 40]. i\"0\\ ' we would like
to give a precise definition of a "W hitney-smoot h l-p ar am et er fami ly of Floquet
Dioph an tin e invariant n-tori" (cf. [55, 58]) .

3 Whitney-smooth families of invari ant tori : definition

Definition 3.1 Let X = {XI' L, be an analytic s -parame ter f am ily of analytic vector
fie lds on a K -dim ensional m an ifold 1'vI , param et er J.L varying in an open dom ain
P C IRs. A Whitney-smooth l-paramet er fam ily of Floquei Diophant ine inv ariant
analytic n -tori of X is the image

F(T n x {o} x =:)

of the set T" X {o} x =: (3 c IR1) under a map

F: T n X 0 x]R1 .....,!'v[ X P, 0 E 0 C ]RK - n

possessing the following propert ies (below x, w , an d '; are the coordinates in T" ,
IRK -n , an d IR1, respectively).
a) 0 is a neighborhood of the origin in ]RK - n while =: is a closed subset of
IRI of positive Lebesgue meas ure.
b) T he ma p F is analytic in x E T n an d w E 0 and is of class e oo in'; E IRI .
Th e restricti on of F to Tn X 0 X =: is injec tive and the inverse m ap

can be extended to a eX -m ap defin ed in 111 X P .

c) For an y '; E =:, the setF(T " xO x{O) lies in one of the "fibers" Mx{A(';)}
(th e fun ction A : .; t-+ 1\(.;) E P is defined for'; E =: only) . Th us. for'; E =: the
 FAMILI ES OF Q UASI-P ER IODIC :' I OTI OXS ' " 187

restric t ion F~ ,

F~ : T" x 0 ....... M , F (x , w ,O = (F~ (.r. 1C ), A (0) .

is well defi ned.

d) For any ~ E E, F~ is a diffeomorphism of ']['n X 0 ont o its im age, and th e
vector field ( F~ ) ::- ) X!\(0 has th e [orm

[w(~)
a
+ O(w )]-iJi: + [n(o w + 0 2(lC)] -aw
a (22)

uihere w(O is some constant vect or in lRn an d n(o is som e constan t matrix in
g/(K - ». R).
e) Moreover, f or all ~ E E, th e vectors w( ~) are un iformly Diophan tine non-
resonant. i.e., there exist constan ts T > 0 and , > 0 independent of ~ and suc h
tha t
I (w (~ ) , k)/ 2,lk/- r 'c/I.; E Z" \ {O} .

Condition d ) imp lies th at eac h set

(~ E ::::) is an invar ian t n-torus of th e field X .\(0 carr ying para llel dyn ami cs, and ,
moreover. t his torus is Floquet . Condit ion c) imp lies t hat th e par allel dyn amics
on each torus T~ is in fact Dioph an t ine. Since me85 /:::: > 0 [cond it ion a )j and th e
inverse of the rest rict ion of F to T " X {O} x E is Whi tn ey-smooth [condition b)],
th e (n + I)-dimensiona l Lebesgue measure of t he un ion of a ll th e tori T~ is positi ve.
However. a Whi tn ey-smo oth I-parameter family of Floqu et Dioph antine invari ant
n-to ri is not ju st a collect ion of Floq uet Dioph antine invar iant n-tori such th at the
(n + I)-dimensional measure of th e union of th e tori is positive. We also req uire th at
th e tori depend on t he labeling I-d imensional par ameter ~ in a W hit ney-smoot h
way and th at t he normalizing coordina te syst em around each torus [in which t he
corresponding vecto r field takes form (22)] can he also chosen to de pe nd on ~ in a
Whitney-smooth manner.
If one deals with Hamiltonia n or reversib le vector fields, t he following add i-
tional cond it ions are imp osed on Whi tn ey-smoot h families of invar ia nt to ri.
In th e Hamiltonian isotropic con tex t, we also require each toms T~ to be
isotropic.
In the Ham ilto nian coisotropic con tex t, we also require each toms T~ to be
coisotropic.
In the reversi ble con text (where all th e vector fields XI I are reversi ble with
respect to involuti on G : 1'vI ....... AI of the phase space) , u'e also require that for each
~ E E. the inv oluti on ( F~) -)GF~ has th e f0 17n

(x , w ) >-+ (- x, Rw) (23)

188 n.w. BRO ER , G .B . H UIT EMA, M.B . S EVRYUK

with ~ - indepe ndent involutive ma trix R . In particular , each torus T~ is invari ant
not only under t he flow of field X A(O , bu t also und er the reversing involut ion G.
W hereas t he components of vect or w(O in (22) arc called internal frequencies
of to rus T~ , the posit ive imaginary par ts of t he eigenvalues of mat rix rl (O arc called
normal frequencies of t his torus [25, 12, 11]. Th ey constitute t he normal frequency
vector th at will be denoted in the seque l by w N (0 . Thus, if, e.g.. t he eigenva lues
of rl (~ ) arc 81, .. . , 8N 1' 0 1 ± i{31, . . . , ON, ± i{3N, where N 1 + 2N 2 = K - nand
8 E jRN 1 , Q E jRN" {3 E ]RN" (jj > 0, all t he numb ers 0 1 , .. . , {3,v, being distinct ,
th en w N (0 = {3.
Th e differenti abilit y of Ca ntor-like families of invar iant tori in dyn amical sys-
te ms was first established by Lazutkin [27, 28, 29, 30] for map pings of the plan e
possessing the so called intersect ion propert y (such mappin gs are slight general-
izat ions of exac t symplectic diffeomorphi sms). Lazutkin's resul ts were genera lized
to higher dimensions by Svanid ze [61] . Analogous theorems for Hamilt onian vector
fields were first proven by P eschel [40] and Chierchia and Gallavotti [15], and thos e
for reversible vector fields, by Poschol [401. For a very recent and det ailed ex po-
sition of th ese results concerning th e case where exte rn al parameters are absent,
th e read er is referr ed to Lazutkin's book [31]. Whitney-smooth families of Floquet
Dioph antine invariant tori in dyn amical syste ms depending on exte rna l par am e-
ters were obtained in a general set-up by Broer , Huit cma , and Takcns [25, 12, 111.
Dissipative, globa lly divergence-free , and Hamiltonian vecto r fields were consid-
ered in [25, 12] while reversibl e vector fields were examined in [25] {the reversible
(n ,m,O,s) context I} an d [11] {the reversible (n , m , p,s) contex t 1 for arbit ra ry
p 2': O} .

4 Quasi-periodic stability
The main idea of th e mult ipar ameter KAl\I t heory as developed in [25, 12, 11] is
to consider integrable vector fields dependin g on a parameter of dimension large
enough to guara ntee the existe nce of a Floquet invari ant toru s with parallel dy-
namics possessing any collect ion (w, rl ) of intern al and norm al dat a. From t he
pract ical viewpo int , this requir ement means the submersivity of th e mapping

the par ameter labeling t he tori >--+ (w, t he spectru m of rl )

[cf. mappings (25), (33), (34), (35), (37) , (48), (59) below]. In a sufficiently small
nonint egrable perturbati on of this multip arameter family of integrabl e vector
fields, one th en looks for Floquet invari ant tori with parallel dynamics whose in-
t ernal wand normal w N frequencies sati sfy certain Diophantine conditions, and it
turns out to be possible to find tori with all the collections (w, rl) of internal and
norm al dat a meeting thos e conditions (th e so called quasi-periodic stability [12]).
In this section, we give precise formulations of quasi-periodic stability th e-
orems for all th e five contexts und er considerat ion. We will call th ese th eorems
 FA:-'lILIE S OF Q UASI-P ERIODI C MOTIO:>l S .. . 189

"main th eorems" , becau se all th e results concern ing vector fields depending on a
sma ller number of paramet ers can be relati vely easily deduc ed from t hese th eorems
by some parameter reduction techniques.
In th e sequel, par ameter Il lab elin g th e vecto r fields is always ass umed to vary
in a n open domain P c lit' , s~ O. All th e qu an ti ties 8j , =: i > Ctj , (3j arc supposed to
be real. Th e symbo ls 0(0) , 0 (0), and 0(0) denot e neighborhood s of th e origin in
t he Euclidean spa ces jRd of dim ensions d indi cated below. The letter Y denotes an
open dom ain in jRd. Also, jRpd is the d-dim ension al real proj ecti ve spa ce (d E Z+)
and II : jRd \ {O} -+ jRpd- 1 for d E N deno tes the natural proj ection.
In all th e th eor ems below (except for Th eorem 4 . :~ pertaining to th e volume
preserv ing conte xt with p = 1), th e unperturbed vector fields X I' arc not , stri ctl y
spea king, inte grable [equivariant with respect to the free acti on of ']['Tl ]. The famil y
X of vector fields is ju st assumed to possess an analytic family of Floquct invari ant
an alyti c n-tori with par allel dyn amics .

4.1 Dissipative context

Consider an ana lyt ic famil y of an alytic vector fields on T " x jRP (n 2: 1, p 2: 0):

X = {X I'}!, = [W (ll ) + ! (x ,z ,Il)]fj.T

o + [11 (ll)':: + h(x , Z,Il)]f)oz (24)

[cf. (3)], where x E T " , Z E 0(0) C jRP, Il E P c jRs. w : P -+ JRTl , 11 : P -+ gl(p , IR) ,
! = O(z ), h = 0 2(Z). Let for Il Er e P [I' being diffeomorph ic to a closed
s-dirncnsiona l ball]
1) all th e eigenvalues

(,6j > 0) of matrix n (ll) ar e simple and oth er th an zero (LVI + 2LV2 = p);
2) the mapping
JRS :3 Il f-t (w, 8. o , 6 ) E R,Tl +P (25)
is submersive (so th at s 2: n + pl .
Fix T > n - L Set w N = (3 E jRr , where r = LV2 . By r l ' where 'Y > 0, denote
the set

f 1 = { I l E f : Vk E ZTl \ { 0 } ve E Zr,l el ~ 2 , l(w, k) +(wN,e) I 2:'Ylkl- T} .

(26)
The set (26) is Cantor-like for n 2: 2. Since mapping (25) is submersive, this set
consists of (s - n - r + 1)-dim ension al ana lyt ic surfaces P , (may be, with boundary) ,
each surface being a part of th e preirnagc of some poin t l E jRpTl+ r-1 und er th e
mapping
lit' :31l f-t Il(w, w N ) E jRp,,+r- l. (27)
Note th at rneas sf 1/ rneas sf -+ 1 as 'Y -+ O.
190 H .W . BROER , G .B. H UIT EMA , M .B . SEVRY UK

°
Theorem 4.1 (Main theorem in the dissipative context) [25, 12] Then for any
1 > and an y n eighborhood D of zero in th e space of all c ae-mappings

anal yti c in x and such that .\ does not depend on x , th ere exis ts a nei ghborhood X
of th e f amily X in th e space of all analytic fam ilies of an alyt ic vector fields

- - - a - fj
X = {X"L, = [w(IL )+f(x , z,/1)+f (x , z ,/1)]-fj + [n (,I)z+ h (x ,z, Il)+ h(x,z , /1 )]",
x uZ
(29)
such that for any )( E X th ere is a m app ing in D

(30)

with th e foll owing property: [or each /10 E r ) th e vector field (<1>1' 0 ) ~1 )(1'0+.\(1' 0) ,
where
<1>1'0 : (i . z) >-+ (x + X(x , /10 ), z + (I (x , /10) + (2(X , Ilo)z). (31)
has th e form
fj a
[w (Po ) + O(z)]ax + [n (/1o )z + 02( Z)]Oz ' (32)
Mo reover, th e mapping <1>1'0 depends on 110 analytically when /10 varies on each of
th e surf aces r~ .

N* E Nand E* > 0, th ere exist s /j* > °

In a "lees topological" language, thi s th eorem runs as follows: for any 1 > 0,
such that t he following holds . For
any a na lyt ic family of ana lyt ic vector fields (29), where 11(x, z, 11)1 and Ig(x, z, /1)1
are less than /j* in a fixed (ind ependent of I, N* , E* ) compl ex neighborhood of
r- x to} x r c '][''' x IRP x IRs, there exists a Coo mapping

an alytic in x and possessin g the following proper ties: (1) all the partial deriv atives
of the fun ctions X, (I . (2 , .\ of ord ers 0, 1, . . . , N* are less th an E* in T" x P and
(2) for each Po E r ) th e vector field (<1>1'0)~1 )(1' 0+.\(1'0) [<1>1'0 being defined by (31)]
has t he form (32). Moreover , th e mapping <1>1'0 dep ends on /10 ana lytica lly when
/10 var ies on eac h of th e sur faces r~ .

4.2 Volume preserving context (p 2: 2)

Consider an an alytic family of analytic vector fields (24) on T" x jRP (n 2: 1, p 2: 2)
glob ally divergence-free with respect to the volume element dx 1\ dz . where x E 'll'";
Z E 0(0) C lRP, /1 E P c IRs, w: P -> lRn , n : P -> sl(p, lR), f = O(z) , h = 02(Z) ,
Here one should distinguish th e cases p = 2 and p > 2. The reason is that the
pre sence of purely imaginary eigen values of a 2 x 2 real matrix with trace zero is
 F AMILIES OF Q UASI-P ERIODIC ;\ IOTlONS . . . 191

a typi cal possibili ty whereas for p > 2, all the eigenva lues of a generic p x p real
mat rix with trace zero have non zero rea l parts. Assume tha t for p, E I' c P [I'
bein g diffeomorphic to a closed s-d imcnsiona l ba ll] t he following holds.
For p = 2 (hyp erbolic case): 1) t he eigenvalues

61,62 , 61 +6 2 =0
of matr ix n( /!) are simple;
2) the mapping
lEt:' 3 1l ~ (w,6) E R" x L'::'! lR." +1 (33)
is submersivc, where

(so t hat s 2: n + 1).

Set r = 0, w N = 0 E lR.0 = {O} .
For p = 2 (elliptic case) : 1) t he eigenvalues

±ic
of matrix n(p,) are simple (an d c > 0);
2) t he mapp ing
lR."' 3 / ! ~ (w,c) E R,, +I (34)
is sub mersivc (so tha t s 2: n + 1).
Set r = 1, w N = e E lR..
For p > 2: 1) a ll t he eigenva lues

61 , . .• , 6s , . 01 ± i/3t, ·· · , a N, ± if3N" 61 + . . . + 6s 1 + 2(0'1 + . . . + ClN,) = °

(f3j > 0) of matrix n (p,) with t race zero are simple and ot her t ha n zero (N1 + 2N 2 =
p);
2) the mapping
lR.s 31 l ~ (w,6,Cl,f3) E R" x L X lR. N, '::'! lR.,, +p- 1 (35)
is sub mcrs ive, where

(so that s 2: n + p - 1).

Set r = N 2 , w N = {3 E R".
Fix T > n - 1. By L " where 'Y > 0, denot e t he set (26). As in t he dissipati ve
context. this set consis ts of (09 - n - r+ 1)-d ime nsional analytic surfaces f ~ (maybe,
with boundar y) , each sur face being a par t of th e preim age of some point L E
lR.p n+r-1 und er mapping (27) . Also, IIlca..<; sf, /rn eas s[ -> 1 as 'Y -> o.
192 H. W . BROER, G .B . H UIT EMA, 1\1.B . S EVRYUK

Theorem 4.2 (Main theor em in the volum e pr eserving cont ext with p ~ 2) [25,
121 Th en f or an y I > 0 and any neighborhood D of zero in the space of all Coo _
m appings (28) anal yt ic in x and such that X does not depend on x. there exists
a neighborh ood X of the fa m ily X in the space of all analyt ic fam ilies of ana lyti c
globally divergen ce-free vec tor fi elds (29) such that for an y X E X there is a
m apping (30) in D with the f ollowin g property: f or each Po E r ~ the vector fiel d
(<I>/'o) ~ 1 X "o+>"("o) (<1>/'0 being defi ned by (31)J has the f017n (32) . Moreover, the
ma pping <1>/'0 depends on /10 ana lytically when Po varies on each of the surjaces
f~ . Finally, all the mappings <1>" arc volum e preserving.

4.3 Volume preserving context (p = 1)

Consider an a nalyti c fam ily of an alyti c vect or fields on 'If" x JR (n 2: 1) globally
divergence-free with respect to th e volume clement dx II dy:

x = {X"L, = w(y, /l ) :X (36)

ref. (4)],where x E 'If" , y E Y e JR, /l E P e R" u.' : Y x P --. JR" . Let for
(y,/l) E f eY x P [I' being diffeomorp hic to a closed (s + l.j-di monsional ba ll]
t he mapping
JR.+ 1 :3 (y, II) >-+ wE JR" (37)
is submersivc (so that s 2: 11 - 1).
Fix T > 11 - 1. By [.1' where "I > 0, denot e t he set

r, = { (y, II) E f : Vk E Z" \ {O} I(w, k)1 2: "Il kl- r}. (38)

The set (38) is Cantor-like for n 2: 2. Since mapping (37) is submersive, thi s set
consists of (s - n + 2)-dim ensional a nalyt ic surfaces r ~ (maybe, with bo und ary) ,
each sur face being a par t of t he preimage of some point L E IRP,,- l und er t he
mapping
R' +l :3 (Y,/l ) >-+ fIw E IRP"- l. (39)
Note also t hat llleas . +l f , /mcas . + lf -+ 1 as ~f --. O.

Theor em 4.3 (Main theor em in the volume pr eserving cont ext with p = 1) [25, 12]
Th en f or any "I > 0 and any neighborh ood D of zero in the space of all C oo_
mappings

'If" x Y x P -+ JR" x JR x JR x IRs, (x ,y , /l) >-+ (X, 'l I , TJ2 . )..), (40)

ana lytic in x an d suc h that ); does not depen d on x , there exists a n eighborhood X
of the f am ily X in the space of all ana lytic f am ilies of analytic globally divergenc e-
free vector fi elds

- - - fJ fJ
X = {XI'} " = [w(y, /l ) + f (x , y, /l )]ax + g(X,y ,ll ) ay (41)
 FA MILI ES OF Q UASI-P ERIO DIC ~IO TI O :-; S . .. 193

su ch. th at f or' any XE X there is a m app ing in D

(42)
with the f ollo win g prop ert y: fo r each (yo , llo) E r, th e vec tor fi eld
« I>YOIIO) ~l X/ IO+ A (YO.[1 0 ) , whe re

<Pyo/,o : (i, .O) "-' (x + X(x ,YO ,/.Io)" O+ 111(i,Yo, llo) + I]2(E,yo, /IO)(,O- Yo)), (4:l)
has the f orm
iJ a
[w(yO, 110) + OW - Yo) ]D- + 0 2(fj - Yo) D- ' (44)
.1: Y
Moreover, the mapping <P y O / l O depend s on (Yo, llO) ana lytically whe n th e poin t
(Yo, ll o) varies on each of the surfaces r ~ .

4.4 Hamiltoni an isotropic context

Consider an analyt ic family of vector fields on T" x IR,, +2p (n ~ 1, P ~ 0) which
are Hamiltonian with respect to th e symp lectic st ruct ure (5) wit h th e ana lyt ic
Hamilton functi on
H1l(X, y , z) = F( y, IL ) + ~ ( z , K (y , Il )Z) + 6. (x , y, Z, /.I) (45)
n 2
[ef. (7)]. where x E '][''' , Y E Y e IR , Z E 0 (0) C R p , /.I E P c IRS, F : Y x P ---; IR,
K : Y X P ---; gl(2p, IR), ]( (y, II) is symmet ric for all valu es of y a nd /.I , D. = O.1 (z).
T his famil y has th e form

x = {X "}[1 = [w(y, /.I ) + 02 (Z)] : x + O.1 (z) :y + [Il (y, /.I) z + 02( Z)] :z (46)

[cf. (8)]. where w = aF/ ay and 11 = J K , th e 2p x 2p matri x J be ing defined by (6).

Let for (y, /.I ) Ere Y x P [I' being diffeomorphic to a closed (n + s )-d imension al
ba ll]
1) all th e eigenvalues

(OJ > 0, Cj > 0, nj > 0, (3j > 0) of Hamiltonian matrix Il(y ,/L) a re simple
(NI + N 2 + 2N.1 = p );
2) th e mapping
IRn +s :') (y,IL) "-' (w,8 ,c.0:,3) E IR"+P (48)
is submcrs ivc (so th at s ~ pl .
Fix T > n -1. Set w N = (c, (3) E IR r , where r = N 2 + N.1 . By I', where
I > 0, denote the set

r ,={ (y,/I)Er : \:fk E 71" \ {O} W E 71r , I£I :S 2. l (w . k)+ (w N ,e)I ~l lkl-T } .
(49)
194 H .W . BROER , G .B . H UIT EMA , M . B . SEVRY UK

T he set (49) is Cantor-like for n ~ 2. Since mapping (48) is submersive, t his set
consists of (s - r + l j-dimens iona l analyt ic surfaces r~ (may be, with bound ary) ,
each sur face being a part of the prcirnage of some point L E IRpn+r - l under th e
mapping
(50)

Theorem 4.4 (Main theorem in the Hamiltonian isotropic context) [25, 12] Then
fo r any 'Y > 0 and any neighborhood D of zero in th e space of all e x -mappings

']['''xYx O(O)x O(O)x P -+ IR" x IRn x IR2P x R" (x ,y,fj , z ,lt) f-> (X,TJ, ( ,A ), (5 1)

affin e in y an d z, analytic in x and suc h that X does n ot depend on fJ an d z whi le

A does n o!-.!!!pend on x , y an d z (here and henceforth in th e Ham ilt oni an iso tropi c
con text, 0 (0 ) C IR n ) , there exis ts a neighborhood X of th e Ha m ilto n func tio n H I'
in th e spa ce of all an alytic and analytica ll y It-dependent Ham ilt onians

H I' (x , y , z) = F (y , It ) + ! (z , K (y , p )z ) + t:.(x , y , z, p ) + Li(x , y . z, p ) (52 )

(Hamilto n f un ction H I' det ermin es th e f am ily {X I'} I' of vec tor fi elds) suc h tha t
fo r an y HI' E X th ere is a m app ing in D

(x , y , y, z, p) f-> (X( x , y , p) , TJ( x , y , y, Z, It ), ( (x , y , y, z, p ), A(Y , p )) (53 )

with th e follo wing propert y: f or each (Yo , Po) E r.., the vec tor fi eld
(<I> Y()l'o)~ l Xl' o+>'(Yo.l'o), whe re

(x, iJ, z) f->

<I> yOJlO :
(54)
(x + x(x ,Yo , /10), f} + TJ(x,Yo, Y - Yo, z, Po), z + ((x ,Yo, f} - Yo, Z,/10)),
has th e form

o 0
[W(Yo.llo) + O(ly - Yol + Izl)]ox + 0 2(1Y - Yol + Izl)of} +
[n (yo.po)Z + O2(117 - Yo l + Izl)]oz '
e (55 )

M oreover, th e mapping <I> YOI' O depends on (Yo, /10) analy tica lly when the point
(Yo ,Po ) varies o n each of the surf aces
r~. Finally, the invarian t n-torus

(56)

of th e fi eld XI' O+>'(Yo.l'o) is isotropic.

 FAM ILIES OF Q UASI- PERIODI C MOT IO:-;S . .. 195

Remark . The literat ure devoted to t he Hamiltonian isotropic KAM theory is now
immense. A ~ far as t he "classical" isotropic (n, 0, 0) context is concerned , sec, c.g..
[10] for a review and a large bibliogra phy. Some importa nt references on the lower-
dim ensio nal invariant tori in Hamiltonian vector fields [t he Hamiltonian isotropic
(n , p, s) cont ext wit h p ~ 1 in our terminology) arc [32. 33, 35, 36, 8, 18, 66, 25,
17, 41, 14, 12, 62, 9].

4,5 Reversible cont ext 1

Consider an analyt ic family of a nalyt ic G- rever~ible vector fields on T " X JRm+2p
(n ~ 1, rn ~ 0, p ~ 0):

D [)
x= {X/' L, [wr y, fl.) + j( x , y, z, fl. )]' " + g(x, y, Z,II) ", +
ux uy
EJ
[f!( Y, IL)z + h(x , y, Z, IL))EJz (57)

[ef. (17)],
G : (x,y , z) f-> (-x ,y ,Rz) (58)
[cf. (16)], where x E T " , y E Y e JR"' , z E 0 (0) C 8.11', fl. E P e R" R is an
involut ivc (2p) x (2p) rea l matrix whose 1- and (- I)-e igenspac es a rc p-dirncnsiona l,
w : Y xP ~ !R. , f!: YxP ~ {L E sl(2p, JR) : LR+RL = O}, j = O(z), 9 = 0 2(Z),
n

h = 02(Z). The reversibility wit h respect t o G imposes the following conditions

on the terms j , g , and h :

f ( - .c, Y, R z , fl. ) == f(x , y , z , fl.) , g(- x ,y ,Rz ,p ) == -g(x ,y,z ,p) ,

h(-x ,y ,Rz,p ) == -Rh(x ,Y, Z, ll) .

Let for (y , Jl) E f e Y x P [I' being diffeomorp hic to a closed (m + 5 )-dimensiona l

ba ll]
1) all the eigenvalu es (47) of infinitesimally R-r e\'ersiblc mat rix f!(y , Il) are
simp le:
2) the mapping

JRm + s :3 (y,p) f-> (W,O ,E,(1,6) E s.n+p (59)

is submc rsive (so tha t 5 ~ n - m + pl.

Fix T > n - 1. Set w N = (15::,/3) E JR r , where r = N 2 + N» . By L, . where
~I > 0, denote t he set (49). Since mapping (59) is subm ersivc, th is set consist s of
(5 + m - n - r + I )-d imensional analytic surfaces f :. (maybe, wit h boundary) ,
each surface being a part of t he pre image of some point I E JRpn +r- l under t he
mapping
(60)
196 H .W . B ROER , G .B . H UIT EMA , M .B . S EVRYUK

Theorem 4.5 (Main theorem in the reversible context 1) [11] T hen f or any ,> 0
an d an y n eighborh ood D of zero in the space of all -mappin gs ex
1[n x y x O (O) x O (O) x P -. lRn x lR"'x lR2P x lR' , (x ,y, y , z ,p ) >-> (X. T/,(, >' ), (61)
affine in y an d z , ana lytic in x and such th at X does not depend on fJ an d z whi le
>. d~ no t depen d on x , y and z (here and henceforth in th e reversible context
1, 0 (0) C lR"') , there exis ts a n eighborhood X of the f am ily X in the space of all
ana lytic f am ilies of analytic Gvreoersible vector fields
- fJ
[w(y, It) + f (x , y, z, It) + f (x , y, Z , It)]ax +
[g(x , y , z , It) + g(x , y , z , p)]~ +
-
[n (y, II)Z + h (x , y , Z, II) + h (x , y. Z, Ii)]oz
a (62)

suc h that fo r any X E X th ere is a m app ing (53) in D with the f ollowing prop ert ies :
x( -x, Y, It) = -X(x , y, p) , 7/(- x , y , y, Rz , II) = 7/(x , Y, y. Z. /I),
«- x , y , y, R z , II) = R « x . y, y. z, p) (63)
an d f or each (yo,Po ) E f "l th e vec tor fi eld ( <PYO ILO)~ l X ILO+ ),( Yo./Lo ) !<PYO/LO being de-
fin ed by (54)] has th e [orm (55). Moreover, th e mapping <P y O/LO depen ds on (YO l/iO)
an alyt ically when the poin t (YO lP O) varies on each of th e surfaces f ~ .

Remark 1. If 9 = O(z ). th en the state ment of Theorem 4.5 is st ill true with th e
summand O(ly-yol + lzl)o/ fJy inst ead of 0 2(ly-yol+l zl)% y in (55). Nevert heless,
the invari ant THorns (56) of th e field XI LO+), (Yo ./Lo ) is st ill Floquet and its Floquet
matrix is similar to 0", e n (yo, /iO ) where 0", is the m x Tn zero matrix.

Remark 2. For an extensive bibliogra phy on the reversible KAi\I th eory, see [51,
43, 55]. Here we confine ourselves by some references on the louier- dimens io nal
invariant tori in reversible vector fields [the reversi ble (n , m ,p, s) context 1 with
p ~ 1], namely, [48, 50, 51] (for m = n), [53 , 54] (for m ~ n) , and [9, 11, 55] (for
arbit rary n and m ).

All the five Th eorems 4.1-4.5 can be proven by t he KAM technique of an

infinit e sequence of coordinat e transformations within a unified Lie-algebr aic ap-
proach. The proofs are given in [25, 12, 11].

5 The parameter reduction

Th e mappings <P ILO or <P YOILO defined by (31) , (43) , (54) in Th eorems 4.1-4.5 preserve
all th e int ern al and normal data of th e unp erturbed tori sat isfying th e appropriate
 F AM ILIES OF Q UASI-P EIUODIC :\10'1'10\"5 .. . 197

Diophantin e cond itio ns . However , t he latter a rc formulat ed in te rms of t he internal

wand normal w N frequ en cies only [to be more precise. these co nd it ions con sis t
in th at the point ILo or (Yo , lio ) lab elin g the unperturbed t ori belongs t o t he set
I', defined by (26), (38 ), (49)]. Moreover , if so me pair (wO, w N O) sat isfies these
cond it ions , so docs a ny pair (cw O, cw NO) wit h c 2: 1. Co nse que ntl y, it turns out
t o be possibl e to reduce t he required numb er of pa ram et ers in Theorems 4.1- 4..5,
ther eby weak ening the resul ts, namely, obtaining t he preser va ti on of the internal
a nd normal frequen cies onl y, an d up t o prop ort iona lity . In these "relaxed" co un-
t erpar t s of Theor em s 4.1, 4.2, 4.3, 4,4, 4.5, t he number 8 of external pa ra meters is
no less t ha n n + I'-I , n + 1' - 1, n - 2, 1'-1 , T/ - rn+ ,.- 1. respectively [25, 12, 11]. We
will not pr esent her e the pr ecise formul a tion s of the "rela xed" theorems, because
th e lower bounds for s they pr ovid e a re st ill t oo la rge compa red to t he heuristi c
pr edi ctions of Section 2, The reason is t hat in t hose theor ems , althou gh already
"relaxed" with respect t o t he information on t he perturbed to ri (we no lon ger
cont rol the real parts of t he eigenva lues of the F loquot matrices of the to ri ), there
is st ill a corre spo ndence between t he per turbed t ori a nd unper turbed ones : to eac h
per turbed torus, t here corresp onds a n unperturbed t orus with t he sa me collect ion
of the int ernal a nd normal frequen cies (u p to proporti on ali ty ). If we get rid of
a ny int ention t o co nnect t he perturbed to ri a nd un perturbed o nes a nd wish to
prove just t ha t a perturbed sy stem possesses a W hitney- sm ooth family of F loq uet
D iophantine inva ria nt n -t ori (and that the relative measure of the uni on of these
tori tends t o unit as t he per turba ti on size te nds to zero ). then we wo uld be a ble
t o reduce the numb er of paramet ers to t he heuristic valu es [s = 1 for t he d issi-
pative con te xt and volume pr eserving context wit h p 2: 2, s = 0 for the volume
pr eser vin g context with p = 1 and Hamiltonian isotropi c conte xt, a nd , finall y,
s = max ( 1 - TTl , 0) for the rever sibl e context 1]. This pa ramet er reduct ion requires
Diophantine a pprox imatio ns on s ub manifolds of the E uclidean s pace (D ioph an tine
approximations of depen den t quant ities in Sprind zuk's ter mino logy [60]).
Let TV C IRd be a n op en domain (d E N) a nd r c II ' a subset in W diffeo-
morphic t o a closed d-dimen sional ball. Let J : II' -> SZ" be a mappin g of clas s
CQ, Q E N. We will wr it e
DlqIJ(w)
D'lJ (w ) = Dw'! E IR" for q E ;z.t, O :S Iql :S Q,
wh er e Dwq = DW~ ' . , . DW~d , Choose an a rbit ra ry vect or e E IR"\ {a} , It is ob viou s
tha t if for some WO E TV a nd j E Z+ , a :S j :S Q , the eq ua lity

L (D'!J (wo),e)u'! = a
Iql=j
holds for all 11 E IRd (here u q = U'{l . . . ud") , t hen all the (d + j - 1)l jj! (d - 1)1
vectors DqJ(wO ), Iql = i . a re or thogon al to e. Consequently, if for some w E TV
the collection of (d + Q)!/d!Q! vect or s
DqJ (w ), qE zt , O :S Iql :S Q (64)
198 H .W . BRO ER , G.B. H UITEMA , M .B. S EVRYUK

span 1ft" , then the qu antity

p~ (w) = min nS-x max L

11e11 =1 j =O 11"11=1 Iql=j
(DqJ(11' ),e) u
q

is positive (e E Iftn, 11 E Iftd ).

Let also \B : U' -> 1ft be a function of class CQ. Fur a ny 11' E n ' we will writ e

(here again 11 E JRd).

Lemma 5.1 (Diopha ntine approximations on submanifolds) [551 S uppose that f or

each w E I' the collecti on of (d + Q)! /d!Q! vector's (64) span 1ft" . As sum e also that

(k, J (w )) i' \B(w) (65)

for all io E r and k E Z" , 0 < Ilkll s: :=:~( w) /p~(w) .

_ Th en there is such b* > 0 that fo r any C Q -tnappiuqs ~ n' -> Iftn and
\B : W -> R subj ect to in equalit ies

sup max I Dq ~(w ) - DqJ(w)1 < b*, sup max IDqi!S( w) - D" \B ( IV) I < b*
wE w !ql:SQ wE W Iql:S Q

(q E Z~) the following holds . For any 7 > nQ - I and e" > 0 there exists su cli
, = , (7, f*) > 0 that the Lebesgu e m easure of the set of thos e point s w E I' fo r
which
l( k , ~(lL' )) - i!S(w) I 2: , Ikl- T for all k E zr \ {O}
is greater than (1 - f*)meas dr.

Not e th at :=:~(U') /p~(w) is bounded from above on I', and cond it ion (65)
involves th erefore on ly finitely many reson anc es to be avoided .
The "homogeneous nonporturbative" analogue of Lemma 5.1 (where the func-
tion \B is abs ent and one has to est ima te ( k , ~ ( 11I )) onl y) was obtained by Bakhtin
[6, 7]. In turn, B akhtiri's th eorem gener alizes a n earlier resu lt by Pyartli [42] per-
taining to th e case d = 1.

Lemma 5.2 [45, 46] For an analy tic mapping ~ : IF -> 1ft", the f ollowing two
statements are equivalent :
(J) there is a number Q E N such that the collect ion of (d + Q )!/d!Q ! vectors
(64) span Iftn fo r each point 111 E I' ,
(2) the image of the mapping J : I' -> R" does not lie in any lin ear hyperplane
in Iftn pass ing through the origin .
 F AMILI ES OF QUASI-P ERIODI C ;"I01'IO:--;S . . . 109

Proof. If th e image ~(r) of set r lies in some hyp erplan e in JRIt passing
through th e origin , then for any w E r and q E Z~ th e vector Dq~( w ) lies in thi s
hyperplan e. Thus, (1) =? (2) (here we have not used t he ana lyt icity of ~ ) . On
th e other hand, suppose th at ~ (r ) does not lie in any hyp erplan e in JRIt passing
through th e origin . If for some point wO E r a ll th e vect ors Dq~ (wO ) , q E Z~,
belon g to some hyp erpl ane in JR/ , i.e., all of th em are orthogonal to some vector
e E JR" \ {O}, t hen ( ~(w ) , e) == 0 for w E r du e to th e ana lyt icity of ~ . Thus,
for each point wO E I' , there exist s a number Q(wO) E N such that th e vectors
Dq~( wO ) , q E Z~, Iql < Q(WO ), spa n JR". Now observe th at th e vectors Dq~ ( lL') ,
Iql :::: Q(u'O). will spa n JR" for eac h w E IF sufficient ly close to wooAs r is comp act,
there is Q E N such that th e vectors D 'I~ ( W) , leI I :::: Q. span R" for each w E r .
Thus, (2) =? (1). 0

For eX-map pings ~ : IV ---> JRlI , condit ion (1) above is much st ronger tha n
cond ition (2). In fact , th ere are e cc-mappings ~ : \\' - '2." such that for a ll th e
points 11' in some subsct E C r of positive measure all th e derivati ves D q~ ( w) ,
q E Z~ , vanish, hu t each point wO E IV possesses a neighborhood O (wO) C IV
whose image J ( O (wO) ) docs not lie in any hyperplane in IR" passing th rou gh the
origin.

Example 5.3 Let d = 1 and E be a closed perfect nowhere dense subset of segment
r of positi ve measure (th e word "perfect" means th at any neighborhood of eac h
poin t of E contains infinit ely many points of E ). Let F : \\ ' ---> JR he a ecc -funct ion
such th at {n' E IV : F (w) = O} = :=:. Then F (l)( n') = 0 for each point U' E :=: and
int eger I E Z+ . We can further require that th e set of points w E \ If for which
P (w) = 0 be nowhere dense. Now set J = (F , F 2 , .... F it). T his ecc-ma pping
possesses th e desired properti es.

5,1 Dissipative context

Let s 2 1. Introduce the following not ations:

(66)

(q E Z~. e E JR", U E JRS ) where Q E N,

(67)

(q E Z~ . u E JRS) where Q E Nand eE Z1'.

Let all th e cond it ions of Th eorem 4.1 be met except for th at th e mapping II f-+
(w, D, Q . 3) is ass umed to possess the following prop erti es instea.d of submersivit y:
200 H .\\" . BROER , G .B. H UIT EMA, 11.B . S EVRYlJK

a) th ere exists Q E N such th a t for any /1 E I' th e collection of (8 + Q )!/ .s!Q!

vect ors
(6S)

spa n IR" [in particular, (8 + Q )!/ s !Q! 2 TI, when ce 8 2 n - 1 for Q = 1 bu t any
value of s 2 1 is allowed for Q = n - 1], or, equivalent ly, th e image of t he map
w : I' -> JR1l does not lie in a ny linear hyp erp lan e passing th ro ugh t he origin (see
Lemm a 5.2); t his conditio n ens ures t ha t pQ(/1 ) > 0 for any II E r.
h) for each It E f . e E tr , 1 ::; lei ::; 2. a nd k E Z" .O < Ilkll ::; ='? UI)/ pQ(JI ),
th e following inequa lity holds:

(69)

Th eor em 5.4 (Miniparameter theorem in the dissipati ve cont ext ) Then f or an y

T > nQ - 1 fixed, any "'( > 0 and any neighborhood D of zero in the space oj all
e x -m appinqs

(70)

analytic in z , th ere exis ts a neighborho od X of th e f am ily X in the space of all

an alyti c [omilies of analytic vector field s (29) such th at [or any 51: E X th ere are
a set 9 C I' an d a m apping in D

(71)

with th e f ollowing propert ies: mcas.g 2 (l - I' )mcas s f and for each 110 E 9 th e
vector fi eld ( <PI/O)~ 1 .YJlO {<PlIO being defi n ed by (S l )} has th e form

(72)

where th e eigenvalues of m at rix r!' are

and
VI.' E Z" \ {O} ve E zr, lei::; 2, I(w' , 1.' ) + (w'N, ell 2 , Ikl - r (73)

with w'N = (3' .

Her e t here is no corres pon dence between the pert urbed to ri and unperturbed
ones, and we do not need to introduce t he paramet er shift ),(/10) which was present
in T heorem 4.1.
 FAMILI ES O F Q UASI-P ERI ODI C :'I OTIO :\ S .. . 201

5.2 Volume preserving cont ext (p 2:: 2)

Let s 2': 1 and a ll th e condi tions of Th eorem 4.2 be met excep t for t ha t t he
map ping 11 I-> (w,b,C'< ,f3) [for p = 2 (hyp erb olic case ) a nd p > 2] or 11 I-> (w,e)
[for p = 2 (ellipt ic case)] is ass umed to possess t he following properties inst ead of
submers ivity:
a) th ere exists Q E N such t ha t for a ny 11 E r t he collectio n of (09 + Q )!/s!Q !
vectors (68) spa n 1R" [in par ticular , (s + Q)!/ s!Q! 2': rz, whence s 2': n - 1 for Q = 1
but any value of s 2': 1 is allowed for Q = n - 1), or, equ ivalent ly, th e image of th e
map w : r -> IRn does not lie in any linear hyperpl ane passing through the origin
(sec Lemm a 5.2); t his cond it ion ens ures t ha t pQ(11) > 0 for a ny 11 E I' , where the
qu antities pQ(11) and =.?
(11) are defined by (66) and (67). resp ecti vely,
b) for each 11 E I', £E 71: . 1::; 1£1::; 2, and k E ;Zn .O < Ilkll ::; ='?(Jl )/p Q(II ),
inequality (69) holds.

Theorem 5.5 (Miniparameter theorem ill the volum e preserving cont ext with
p 2:: 2) T hen f or any T > nQ - 1 fixed , an y , > 0 and any neighborhoo d D
of zero in the space of all e X -mappings ( 70) an alytic in x, th ere exis ts a n eigh-
borh ood X of th e fa m ily X in the space of all analytic f am ilies of analytic glo lJally
diuerqeu ce-free cec tor fi elds (29) such that f or any .Y E X th ere are a s et 9 c r
an d a mapping (7 1) in D wit h th e f ollowing proper t ies: /Ileas "g 2': (1 -,) /Ilcassr
an d f or each /10 E 9 the vector field (I>/lo )~l 'y/lO (ip/lO beiru; defi n ed by (.'11)] ha s
th e f or m (72) , wh ere th e eigenvalues of m atrix 0 1 are

<5; . . .. , b\'I' C'< ; ± i jJ; , ... , C'< ~V2 ± ijJ~2 ' <5; + ... + <5;v1 + 2(a ; + .. . + C'<:v,l = 0
(f or ]l = 2 (h yperbolic case) an d p > 2; set w"v = ;3'] or
±ie'

(f or p = 2 (elli ptic case) ; se t wIN = e'] an d in equaliti es ( 73) h old. Mo reover , all
th e mappings ip/l are vo lume preseroituj.

5.3 Volume preserving context (p = 1)

Let a ll th e cond it ions of Theorem 4.3 be met except for th at the mapping (y, Jl) I->
W is assumed to possess t he following property instead of submersivity:
t here exists Q E I\:l such that for any (y, Jl) E r th e collection of (s + Q +
1)!/ (s + 1)!Q! vect ors

(74)

spa n IRn [in particular , (s + Q + 1)!/(s + l )!Q! 2': n, whence s 2': n - 2 for Q = 1
but any value of s 2': 0 is a llowed for Q = n - 1], or, equivalent ly, th e image of th e
map w : r -> 1R" docs not lie in any linear hyperplan e passing t hrough th e or igin
(sec Lemm a 5.2).
202 H .W . BROER , G .B . H UIT BMA , M .B . S EVRYUK

Theorem 5.6 (Miniparameter theorem in the volume preserving context with

> nQ - 1 fixe d, any ~I > 0 and any neighborho od D
p = 1) Th en f or any T
of ze ro in th e space of all coo -mappin gs
T" X Y X P --+ JRn X JR X JR, (x , y, {l ) >-+ (X, 1/1 , 1/2 ) , (75)

an alytic in .1', th ere exis ts a n eighbo rhood X of th e f am ily X in th e space of all

ana lytic f am ilies of anal ytic globall y divergen ce-free vec tor fi elds (41J suc h th at for
any X E X th ere are a se t 9 cr
and a ma pping in D

(7v)

with th e foll owing propert ies: m ew;8+19 :::: (1-, )mc1JS s+ 1r and f or each (Yo, /10) E
9 the vec tor fi eld (clJ YO !1o ) ~l X 110 fclJYOllO being defin ed by (4SJ! has the fo rm

(77)

an d
(78)

5.4 Hamiltonian isotropic context

Introduce th e following notati ons:

(79)

(q E Z;~+" , e E JR" , U E JRn+., ) where Q E N,

(80)

(q E E JRn+s) where Q E Nand eE 71}".

Z;~+ s, 11
Let all the condit ions of Theorem 4.4 be met except for that th e mapping
(y, /1) >-+ (w, 0, s , G , 6) is ass umed to possess th e following properti es inst ead of
submersivity :
a) t here exists Q E N such th at for any (y , JL ) E r th e collectio n of (n + s +
Q)!/(n + s )!Q! vectors

(81)

span JRn, or , equivalent ly, t he image of th e map w : r --+ jR" does not lie in
any linear hyp erplane passing through the origin (see Lemma 5.2): this condit ion
ensures th at pQ(Y,lt) > 0 for any (Y,JL) E I' ,
 FAM ILIES OF Q UASI-P ERIODI C :' !OTIO:\S . .. 20:~

h) for eac h (y. tl) E r, [ E zr,l ::; ItI < 2. a nd k E Z" , O < !Ikll ::;
=.~ (y, p)/ pQ(.11 , p ), th e following inequ ality holds:

(w(y, p ), k } op (w s (y, 11). t) . (82)

Remark. T he hyp oth eses of t his kind were first introduced by Riissmann [45, 46,
471. However. t hese pap ers contained no proofs.

T heore m 5.7 (Miniparameter t heo re m in the Hamiltonian isotropic context)

Th en f or an y T > nQ - 1 fixe d, an y , > a an d an y neigh borhoo d D of ze ro
in the space of all ex -m appings
T" x Y x 0 (0) x 0 (0) x P -> IR" x Hit X R2 p , (x . y. y. z, Jl) >-> (X, '1 , (), (83)

affin e in y an d z, analytic in x an d suc h that X does not depend on li and z,

th ere exists a ne ighborhood X of th e Hamilton fun ct ion H II in th e space of all
analytic and analyt ic ally u- iicpctul en i Ham ilton ians (5i ) ( Hami lton f un ction HI'
dct eT7Tlin es th e f am ily { XI' L, of vec tor fi elds) su ch tha t f or any H" E X th ere are
a set 9 c r an d a mappin g in D

(1:, y,fj , Z , tl ) >-> (x( x, y , Jl)' T) (x . y. y, Z, tl), ((.r. y , y, Z , tl)) (84)

with th e f ollowing prop ert ies: m ew; n+,,9 ~ (1- ,) mc8s It+,r and for each (YO . 110) E
9 tbe vector fie ld ( PY" " o )~ )X Po ('Pyn" " being defi ned by (54)) has th e f OT71!

8 D 8
[w' + O(IY - Yol+ Izl)l a- + 0 2(jjj- .1101+ Iz\) D- + In'z+ 0 2(1 JJ - .1101 + Izl)] D- ' (85)
x .11 z
wh ere the eigenvalues of matrix n' are

± 0; . . . . , ±O:V,' ±ic;, ... ,±ic:v 2

, ±a') ± W; . . . . . ±u:v3 ± i.a;v 3
(86)

an d in equali!jes (73) hold with w ,N = (s'. (3' ). A/arcover. the invarian t n -to rus (56)
of th e fi eld X ',O is is otropic .

5.5 Reversible context 1

Let m + s ~ 1 and all t he conditions of Th eorem 4.5 be met except for th at
th e mapping (y, /1) >-> (w, 0, e, G, (3) is assumed to possess the following prop ert ies
inst ead of submersivity :
a) t here exists Q E 1'1 such t hat for a ny (y, II) E r t he collection of (m + 8 +
Q)!/(m + s )!Q! vecto rs

(87)
204 H .W. BROER , G . B . H UIT EMA, M.B . S EV RYUK

span lR" [in part icular, (m + s + Q )!/ (m + s )!Q ! 2:

n , whence s 2: n - m - 1 for
Q = 1 but any value of s 2: 1 - is allowed for Q 2: n - 1]. or, equivalent ly,
TTl
th e image of th e map w : I' --+ lR" does not lie in any linear hyp erplane passing
th rough th e origin (see Lemm a 5.2) ; th is condition ensures t hat pQ(y, j1. ) > for °
any (y,tt) E I', where the quantities pQ(y,j1.) a nd =.~(y,j1.) are defined by (79) a nd
(80) , resp ect ively (with u E lR m+s instead of 11 E IR"+s and q E Z:'+s inst ead of
II E Z~+ S),
b) for each (y.p ) E r , e E Z" , 1 ::; IfI ::; 2. and k E Zn,O < IlkII <
='~(Y,j1.) /pQ (y .tt) , inequality (82) holds.
Theorem 5.8 (Miniparameter theorem in the reversible context 1) Th en f or any
T > nQ - 1 fixed, any "( > °
and any neig hborhood D of zero in the space of all
ex -m appin gs

u" x Y x 0(0) x 0 (0) x P --+ lR" x lR m x lR2p , (x. Y. Y. z, p) I-> (X, 1). () , (88)
affine in y and z, ana lytic in x an d suc h that X does not depend on y and z,
there exists a nei ghborhood X of the family X in the space of all analytic families
of an alytic G-reversible vector fi elds (62) suc h that f or any X E X there are a
set 9 c r and a ma pping (84) in D satis f ying ident it ies (63) and possessing the
f ollowing properties: IIl Ca5 m + sg 2: (1 - 1')mca5 m +s I' and fo r each (Yo , /LO) E 9
the vector fi eld (cI>Yo!'o ) ~l XI'" (cI>yo!'o bein g defin ed by (54)} has the f orm (85) , th e
eigenv alue s of matrix 0.' being of th e [orm (86) and inequalities (73) holdin g with
w'N = (c' , {3').

Remark. If g = O( z). th en the statement of T heorem 5.8 is still t rue with the
summa nd O(IY-Yol+lzl )D/Dy inst ead of 0 2(!Y-Y ol +lz j) D/ Dy in (85). Nevert heless.
th e invari ant n-torus (56) of th e field XI'" is still Floqu et and its Floqu et matrix
is similar to Om EB n'.

The "miniparam eter" T heorems 5.4- 5.8 ca n be obt ained from th e main The-
orems 4.1-4.5 using Lemm a 5.1. Below we demon strate thi s redu ct ion technique
in th e reversibl e conte xt 1, th e proofs for th e other contexts are ent irely similar.

Proof of Theorem 5.8. Let v E 0(0) C lRt be an add itional param eter a nd
let analyt ic mappings --
w ncw : YxP xO(O ) --+ lR", nn cw: Y xP xO(O ) --+ {L E sI(2p.lR) : LR+RL = O]
possess t he following prop erties:
i) wncw(y, tt, O) == w(y. J1.), nn ew(Y.tt,O) == n(y,J1.) ;
ii) the mapping

is subrnersive for (y, J1.) E I', v = °(so th at t 2: n - m + p - s) .

 FA ~ lI LIES OF Q UASI-P ERIODIC :\ I OTIO \"S .. . 20·5

T he possibili ty of ex te ndi ng n (V, II) in t his way follows from the theor y of
vcrsal unfold ings for infin it esimally reversib le matrices [52. 59, 241.
On e can apply T heor em 4.5 to t he fam ily of G-r eversib le vector fields
lllew = { l~~':, } having been obtained from th e famil y l = {liL}iL (62) by ro-
JL,l.'
plaeing w(Y,Jl) and n (Y,Jl) with wllew(V,II ,V) a nd n llew(V, II,V), res pectively. O ne
has l!t~~ = ll'. By r~;w , where ,' > 0, den ot e th e set

r~~"" = { (V, II, v ) E r x 0(0 ) : VI.: E Zn \ {O} V[ E Zr, 1£1 ~ 2,

I(w llew, k) + ((wStew, el l :0:: , 'Ikl- T

}

wher e (wS ) Il C W = (etleW, filleW). Now for a ny ,' > 0 and any (yo, ILI , vd E r~; w ,
Theorem 4.5 pro vides a mapping

(I>~~;' VI : (x, i),z) >-+ (x +Xllew(X ,VO, III.vd ,

fJ + TJtlCW(x , Yo. [j Yo· Z, Jl I , Vl),
-
z + (llew (:i:. Yo, [j - Yo . Z, Ii i , vd)
such t hat th e vector field

has the form

D D
[wtlew(yu, Ill , VI) + O(IY - Yol + Izll] Di + 0 2W] - Yol + Izl) D.ij +
[ntlew(Vu, III , VI) Z + 02 (lfJ - Yol + Izl)] osD :
On e can solve t he eq uat ion v + 8(y , II, v) = 0 with resp ect to v and ob tai n
v = ~(Y , II) where t he fun ction ~ is eX-small. Set

The equa tion III + .\(Vu, li d = /lo for each fixed Yo can be solved with resp ect to
III as 111 = K(YU,/lO) wher e th e fun cti on K(Y, JI ) - II is also eX-s mall. Defin e t he
set 9 as
9 = {(Yo. flo) E I" : (Yo , K(Vo , llo)) E r
and (Yu , K(Yu , ILO) , ~( YO ,K(Yo . /lo))) E r~;w }.
According to Lemma 5.1, meas m+s9 / meas m+ 8r ~ 1 as " ~ 0, and on e ca n
choose ~/ ~, such t ha t m eas m+., 9 :0:: (1 - , )mcas "'+8r. It remains to set

x( :r, y,11 + .\(Y,fI)) = X tlew(.r,Y, IL. ~(Y .fI)) ,

TJ(J: ,y ,y , Z,/l + .\(V, II)) = lltlew ( X . V ·Y ·::.II.~ (V , II)).
( (:r , y. y. Z. II + .\(V, II)) = ( tlew(:r. ,I/. .Ii. ::.11,~( Y, fI) ). (8n)
206 H .W . BROER , G .B . H UIT EMA , M .B . SE VRYUK

or, to be more "rigorous",

x (x , y, lJ. ) = Xncw( X ,y , K (Y ,IJ. ), ~ (y ,K(Y.IJ. )) ) ,

TJ (x , y, y, z, IJ.) = TJncw (x , y, if, z, K(Y, IJ. H (y , K(Y.p) )),
( (x , y , y, Z, p) = (n cw(x , Y, y, Z, K(Y, IJ. ), ~ (y , K(Y, tl))).

Ind eed , let (Yo , Po) E g, t il = K(YO, Po), and VI = ~ (Yo , pd . T hen
E r ~7w . Taking into account th at VI + ()(YO,11 I. vd = 0 and
(YO ,IJ.I ,~ ( Yo ,lld)

we have for the mapp ing <PYaI' o defined by (54) and (89):

o
This par am eter reducti on techni qu e was invent ed by Herman [19] (see also
[65]) and Scvryuk [57, 56, 55] . Talk [19] an d pap er [57] consider the Hamil toni an
isotropic (n ,0, 0) conte xt, pap er [56] exa mines th e Hamil tonian isot ropi c (n, 0, 0)
context and reve rsible (71, n , 0, 0) contex t 1, and pap er [55] is devot ed to more
genera l reversible (n , TTl , p, 0) conte xt 1 wit h arbitrary n, TTl, p . A similar technique
is used in [651 for the Hamiltonian coisot ropic (n ,p,O) cont ext for n 2': 4, P =
(n - 2)/2 and for t he volume preserving (n , 1,0) cont ext.

6 Whitney-smooth families of invari ant tori: results

Theorems 5.4-5 .8 (to gether with t he "relaxed" ana logues of Theorems 4.1-4.5)
present a complete description of Whitney-smooth famili es of Floquet Diophantine
invari an t tori in ty pical familie s of vector fields in vari ous conte xts . Recall that a ll
th e vector fields and their dep endence on exte rnal par amet er s are assumed to be
an alytic. Let n 2': 2.

Theorem 6.1 (dissipative context) For any p 2': 0 and s 2': 1, a typical s- parame ter
family of vect or fields on an (n + p)-dimensional manifold possesses a Whitney-
sm ooth s- parame ter family of Floquet Diophantin e invariant n -tori (at mo st on e
toru s per each param et er value) . If the nu m ber of the pairs of com plex conjugate
eigenv alues of the Floquet matrices of these tori is r and s 2': n + r - 1, then the
Whit ney- smooth s-p aram et er fam ily of n -i ori consi sts gene rically of (s - n - r + 1)-
param et er analytic subfamilies.
 FA MILI ES OF Q UASI-PERIODI C :-'lOTIONS . . . 207

Theorem 6.2 (volume preserving context with p :::: 2) For any p 2: 2 and s 2: 1,
a typ ical s-param ei er fa m ily of globall y divergen ce-free vector fi elds on an (n + p )-
dim en sional manifold possess es a Whit n ey -smooth s-po ram et er family of Floqu et
Diophantin e in varian t n-t011 (at most on e to ru s per each paramet er value). If th e
number of th e pairs of complex conjugate eigenvalues of th e Floqu ei matrices of
the se to ri is rand s 2: n + r - 1, th en th e Wh itn ey- s m ooth s -paramete r family of
n-to ri consists gen er ically of (s - n - r + I )-parameter ana lyt ic su bfa m ilies .

Theorem 6.:l (volume preserving context with p = 1) For any s 2: 0, a typ ical s -
param et er fam ily of globally diuerqcn ce-jree vector fie lds on an (n + 1)-dimensional
manifold possesses a Wh itney-smooth (s + I)-pa ram et er fam ily of Floq uet Dio-
phantin e in v ari an t n-iori. Th e Floquei 1 x 1 matrix of each of these to ri is zero.
If s 2: Tl - 2, th en th e Wh it n ey-smooth (s + 1) -pora m et er fam ily of n-tori consists
gen er ically of (s - Tl + 2)-param et er analyt ic subfam ilies.

Theorem 6.4 (Hamiltonian isotropic context) For any p 2: 0 an d s 2: 0, a typ-

ical s- paramete r f am ily of Ha m iltonia n vec tor fi elds wit h n + p degrees of free-
dom possesses a Wh it n ey- smooth (n + s )-paramet er f amily of Floquei D iophantin e
isotropic invaria n t n-tori . Th e Floqu ei (n + 2p ) x (n + 2p) matrix of each of th es e
to ri ha s eige nvalue 0 of multiplicit y n , while the rem aining 2p eige nv alue s oc-
cur in pairs (A, -A), If th e number of dist inct values of th e posit ive im agin ary
parts of th e eigenvalue s of th e Floqu ei m at ric es of th ese tori is rand s 2: r - I,
th en th e Wh itney-smoo th (n + si-paramet er f am ily of n-tori con sists gen eri cally of
(s - r + l)-pamm ete r analytic subfam ilies .

Theorem 6.5 (reversible context 1) For an y m 2: O. p 2: 0 and s 2: ma x (l -

m,O), a t ypic al s -parameie r f amily of vec tor field s reve rsi ble with respect to an
involu ti on of type (n +p, m +p) on an (n +m +2p)-dimen sional manifold poss esse s
a Whitn ey- smooth (m + s )-pam mete r family of Floqu et Diophant in e in va riant n-
to ri. Th e Floqu et (m + 2p) x (m + 2p) matrix of eac h of th es e tori ha s eige nvalue
o of m ult iplicity m (if m > 0), while th e rem aining 2p eige nv alues occur in pairs
(A, - A). If th e number of distinct values of th e posit ive im aginary part s of th e
eigenvalues of th e Floqu et matrices of th es e to ri is r an d s 2: n - m + r - 1,
th en the H'hitn ey- smooth (m + s)-param et er family of n-tori con sists gen erically
of (s + m - n - r + I )-paramet er analyt ic s ubf am ilies.

Of course, all the invari ant tori in Theorems 6.1-6.5 ar e ana lyt ic.
If n = 1 or n = 0 (when no small divi sors ar c pr esent) , then no restrictions on
s are needed , and Whitney-smooth familie s of invari ant n-tori are in fact an alytic.
So, if n ::; I , then for any s 2: 0 typi cal s-paramet er families of vector field s possess
analytic I-param eter famili es of invariant n-tori. where I is equal to s, s, s + 1,
n + s. m + s in the conte xts of Theorems 6.1, 6.2, 6.3, 6.4, 6.5, resp ectively.
208 H.\V . B ROER , G .B . H Ul'rEMA, M . B. SEVRYU K

7 Acknowledgments
We are grateful to V.I. Arn ot' d , lvI.R. Herm an , A.I. Nefshtadt , and J . Pes chel for
long time discussions on th e KA i\[ t heory and related mathematical topics. T he
th ird aut hor (M.B.S.) t ha nks also all his colleagues of t he University of Gro ningen
for th eir hospit ality.

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Progress in Nonlinear Differential Equations
and Their Ap plications, Vol. 19
© 1996 Birkh auser Verlag Basel/Switzerland

Towards a Global Theory of Singularly Perturbed

Dynamical Systems
John Cuckenheimer"

Dyn amical syst ems with multiple t ime scales arise naturally in many dom ains .
Models of neur al sys tems provide the pr incipal moti vati on for this pap er. Most
of the previous mathemati cal ana lysis of qu alit ati ve properties of multiple t ime
scale sys te ms has dealt with local ph enomena th at occur in low dimensions. T he
neural sys te m mod els raise qu esti ons th at lie beyond th e scop e of exist ing work.
Our aim here is to outline a th eory th at exte nds th e local th eory to a description
of qu alitati ve features of th e global dynamics for sys te ms with two t ime scales.
We fill in por tion s of t his ou tlin e wit hin t he context of syste ms th at have two slow
variables and two fast variables. Eve n with in this low dimen sional setting, most
basic questi ons about global prop erties remain unanswered .
The set t ing within which we work is a syste m of differential equa t ions in
R'"': " of t he form
i; f (x ,y ) ex' f(x.y)
or
if fg (X,y) y' g(x ,y )
Such syste ms are called singularly pert urbed differential equations or f ast- slo w vec-
tor fields. For brevity, we say that t hese equ at ions define an (m,n) dim ensional SP
syste m. Here f 2': 0 is a sma ll par amet er , th e x variables are ca lled f ast variables,
the y variables ar e called slow uari ables and th e two sys te ms have ti me vari abl es t
and T with dT/ dt = f. The syst em for E = 0 w ill be called the sing ular syste m or
SP ofield of t he cor respo nd ing SP syst em . \Ve have writ ten th e equa t ions of an SP
sys tem in two different forms to emphasize th at it will be st ud ied from two po int s
of view. Wh en we exa mine the fast time sca le t , th e system appea rs as a per tur-
bation of a famil y of vecto r fields par am etr ized by y. The pertu rbatio n par am et er
induces a slow variat ion of th e par amet ers, producing a slow ly varyi ng system .
Bifur cat ions in th e family of vector fields induce tr ansi tions of tr aje ctories from
th e neighborhood of one famil y of attrac tors to anot her on th e fast time scale. The
asy mptot ic proper ties of th e simplest typ es of such tr ansitions have been st udied
extensively. The second system has as its limit a different ial algebraic equati on in
which th e differential equat ions for th e evolution of x become algebra ic equations.
This limit makes good sense as a singularly perturbed sys te m for describin g tra-
jectories th at track regular portions of the 0 level set of g. In th ese regions, one
"D epartment of Ma t hematics, Corn ell University, White Hall. Ithaca, NY 14853-790 1, USA
214 JOH N G UCK ENH EI M ER

can solve the equat ion 9 = 0 for x using the impli cit functi on theorem and obtain
a system of equa t ions t hat describes the evolut ion of y. At places on th e 0 level set
of 9 where gy is singular, t he differential algebra ic sys te m may not have solut ions
at all. To mak e sense of th e solutio ns, it is necessar y to follow the evolu tion of
th e fast vector field from t hese points. The fast evolutio n of y ca n be viewed as
"jumps" from one slow manifold to anot her. Pi ecing together traj ectories from th e
continuous evolut ion along t he 0 level set of 9 with th ese jumps produces a hybri d
sy stem of th e sort stu died by Back, Gu ckenheimer and Myers [2].
Generic prop erties of singularly per turbed sys te ms have been st udied previ-
ously, bu t much of thi s work has been devot ed to local properties. th e st udy of
par ticular classes of solut ions and ph enomen a t hat involve only one or two tr an si-
t ions betw een at tractors of the fast subsys te ms. Arnold et al. [1], Gr asm an [7] a nd
Mishchcnko [12] give sur veys of much of this theory. We not e th at th e a na lysis of
th e forced van dcr Pol equa tio n by Cartwright a nd Littlewood [3] can be viewed
as a seminal exa mple of a long time ana lysis of a system with three tim e scales.
Takens [15, 16, 17, 18] was perh ap s th e first to consider th e development of a sys-
temati c t heory, mainly in t he context of sys te ms for which th e fast subsystems had
gra die nt st ruc t ure s. Rin zel [14] has used sys te ms with two ti me sca les as mod els
for burst ing oscillat ions of elect r ical ac tivity in biological systems. His work does
not a tt em pt to build a comprehensive th eory for singularly perturbed systems.
Here, we take initi al ste ps to const ruct a syst emat ic globa l th eory of singularly
per turbed sys te ms, including th ose th at display oscillations on fast tim e sca les.
We sketc h topol ogical aspects of the theory and tou ch bri efly on th e asy m pt ot ic
analysis of various ph enomena. To make our task more man ageabl e. we focus our
attent ion to phenomena th at occur in SP fields with m = 2 and n = 2. This allows
us to draw upon th e relatively complete t heory of codirnension two bifurcations
of two dim ensiona l vector fields a nd to avoid conside ra t ions of chao t ic dyn ami cs
occ ur ring within fast subsys te ms.

1 Preliminaries
Our goa l is to charac te rize th e qu alit ative properti es th at occur in "generic" SP
syste ms. Ou r int erpretat ion of genericity will be partl y dependent up on context .
Let X < be a system in tr- : » of the form

x= !(x ,y) iJ = Eg(X, y ) (1)

with two t ime scales. We regard X < as a smo oth (C OO) map X , : tr-: » --> R'" x H" ,
The range of X is written as a product to reflect th e roles of th e two factors in the
product . Since t he singular limit X o is a family of vector fields in R 17l parametrized
by R" , th e most stringent definition of eq uivalence of two syst ems will be that
t here is a smoot h coord inate cha nge of sr-:» th at commutes with th e projection
tr-:» --> R" and maps one vect or field to another . These coord inate changes hav e
th e form (h(x , y) , k(y)). The local classification of normal forms given by Arnold
 T OWA RDS A GLO B AL TH EORY OF . .. 215

et al. [1] is based upon this defini tion of equivalence . T he limit E = 0 is indeed
singular. The solut ions to the equatio n defining an SP afield do not approximate
t he solut ions of an SP sys tem for E > 0 since t he slow variables of an SPa field
remain constant . Therefore, we make t he following definitio n.
Definition: Let X <be th e SP vector field (1). A curve la C R'" x R" is a traj ectory
of the SP a field X a if it is the limit of a one par ameter family of traject ories 1< for
E > O. The limit is ass umed to be t he limit of the curves as subsets of R'" x R "
wit h resp ect to th e Hau sdorff metri c on subsets.
The dyn ami cs of a vect or field ca n be decomp osed into a ph ase portrait
consisti ng of cha in recur rent invaria nt sets a nd sets of traject or ies th at connect
pai rs of cha in recurrent sets . Trajecto ries of th e SPa field can be decomp osed into
segments d uri ng which th e trajectories remain in an invar iant set of the fast sub-
sys te m and segment s in which th e tr aj ect or ies makes tr an sitions bet ween invar iant
sets. We call t hese segme nts (slow) S segments an d (fast ) F segme nts resp ecti vely.
T he ti me scales associated with S segments and F segments of th e SPa field tr a-
ject or ies have an infinite sepa ration. Tra ject ories t hat lie on equilibrium manifolds
of th e fas t subsys te m can be regard ed as evolving on the slow t ime sca le. If AI is
an equilibrium man ifold on which D y 9 is nonsingular, the n the slow vector field
th at describ es t his evolutio n is called the reduced field . T he reduced field at T E AI
is the un ique vector v tan gent to M at x with th e propert y that v project s onto
I (x ) by t he project ion of R '" x R" onto its first factor R'" , We distin guish FS
tra nsit ions where an S segme nt precedes a F segment from SF transitio ns in which
an S segment follows a F segme nt. The local t heory is pri ma rily an asympto tic
analys is of the generic SF transit ions t hat one expects to find from equilibr ium
man ifolds of the SP 0 field to F segments.
The lonq ti me sca le will refer to t imes th a t are long in t he slow time sca le
t. On t he long time sca le, we expect t hat th ere will be t rajectories th at pass
throug h many transit ions . A globa l t heory of SP systems will segment tr ajectori es
so that norm al forms can be fit to eac h segment uniformly as E ---> O. Throu gh t he
ana lysis of t he norm al forms, t his lead s to a mat ched asymptot ic expansion for
t he trajectories. For t he long t ime sca le, we want to perform an epoch ana lysis in
which t he slow tim e evolut ion of t ra ject ories is collapsed to a sequence of discret e
maps t hat send poin ts at t he onset of an FS tran sit ion to the onset of th e next FS
transit ion. We call these maps ind uced map s. They need not be inver t ible like th e
cross-sect ion map s of a flow, and t hey may be multi valued .

2 Tr ansitions based on bifurcations of two par ameter

famili es of vector fields
Bifurcati on th eory of dyn amical systems pro vides a guide to the types of FS t ra nsi-
tions that we expect to find in SPa fields. Classificat ion of FS tr an siti ons in (TTl , n)
dim ensional SP systems can t herefore be based upon th e class ificatio n of bifurca-
tions of n par amet er familie s of m dim ensional vecto r fields, In thi s secti on, we
216 J OH N G UCKE NHE Il\lER

Figure 1: A tr aj ectory of a (1,2) d imensiona l SP syst em a ppro aches a ma nifold of

st able equilihria, leaves thi s mani fold in an SF tr ansition at a fold of the mani-
fold a nd then appro aches a seco nd equilibrium manifold in a n FS transit ion . The
traj ectory is plotted in a heavier line st yle t ha n t he equilibrium manifolds.

review th e classificat ion of cod imension one and two bifur cations of two para met er
famili es of two dim ensional vecto r fields a nd d iscuss t heir rela t ionship wit h FS
transition s of (2, 2) dimensional SP sys te ms.
Bifurcat ions are classified by cod imens ion [8]. and t he cod imension reflects th e
dim ension of t he set of t rajec tories undergoing a n F S transit ion. Codi mcnsion one
bifurcatio ns of attrac tors give rise to FS tra nsit ions that arc found in ope n su bsets
of tra jector ies of an SP a field , while higher cod imcnsion bifurcat ions give rise to
FS tran sit ions that are foun d only on nowhere dense sets of tra jectories of SP o
fields . In th e setti ng of (2, 2) d imensional SP sys te ms, t his mean s th at cod imension
two bifur cat ions occur only at isolated t rajectories of an SPa field. Xloreover. t he
invar iant set s of t he fast subsystem arc all equilibrium points, period ic orbits or
polycycles composed of closed curv es containing equilibrium points.
The cod imension one bifurc atio ns of two d imensional vect or fields are

1. Sad dle-nodes equilibria or folds: These bifurcati ons give rise t o t raj ect ories
th at make jump tr an sitions from a n equilibrium man ifold of an SP a field .
The asympto tic properties of SP t rajectories near folds have been described
in subst antial detail [1] . The vect or field
 TOWARDS A GLOB AL THEORY O F .. . 217

is a normal form for a(1, 1) dimension al SP syste m with a fold. The mat ched
asy mpto tic expansions for t rajectories of thi s system are based upon a par-
tition of th e plane into three regions: an e-dcpcn dont neighborhood V, of
th e origin , a neighb orh ood of th e regul ar portion of th e cur ve defined by
y2 + X = 0, a nd regions of the plan e where y >> f . Scaling th e sys tem
with the coordinate transformation y = f l /3 y, X = f2 /3 X and t = f -l / 3T
produ ces th e syste m

X' 1
y' _y2 _X

which is independ ent of f. Therefore, tr aj ectories of thi s syste m can be used

as a scaled mod el for the behavior of the vector field in V,. Explicit solut ions
of t he equat ion y ' = - y 2 - T can be expresse d in te rms of Airy functi ons
[7] .
2. Hopf bifurc ati ons: Hopf bifur cations ar c cha racte rized by an equilibrium
mani fold of an SPa field a long which compl ex eigenvalues of the fast field
at th e equilibrium cross th e imaginary axis tr an sversally, In an SP syst em,
trajectories have difficulty t rac king a n emerging br anch of periodi c orbits
at Hopf bifurc ations. Consider the case of a su pe rcrit ical Hopf bifurcation s
in which a family of sta ble limit cycles emerges from stable equilibria. The
traj ect ory of th e SP syste m comes so close to th e equilibria prior to th e th e
Hopf bifurcation th at it remains close t o th e br an ch of post-critical uns t abl e
equilibria for a substantial period of tim e. The asymptot ics of thi s "delayed
loss of st ability" have been ana lyzed by Nejs hta d t [13]. The smoothness or
a nalyticity of th e vector field significa nt ly affects th e asymptotics of dela yed
loss of stability in generic SP sys tems . With ana lytic sys te ms, Ncjs htadt [13]
calculat es of the length of delay following bifurcati on in terms of a compl ex-
tim e exte nsion of t he system.

3. Saddle-conne ctions: Homoclini c and het eroclinic bifur cations are global a nd
have not been studied exte nsively within th e conte xt of SP sys te ms. Ho-
moclinic bifurcations appear in gene ric families as one mechan ism for t he
termination of a family of st able limit cycles. Rinz el [14] observed t he corre-
sponding phenomenon in SP sys te ms at th e termination of spiking in mod els
for bur sting oscillations of neural oscillators. The asy mpto t ics of this transi-
tion have not been a na lyzed beyond the dyn ami cs of th e SPa field itself close
to its homoclinic bifurcation . Here arc a few preliminar y comments about the
an alysis of the periods of oscillation in a tr aj ect ory passing through a homo-
clinic bifur cation . In a generic reduced syste m with a homoclinic orbit, th ere
is a manifold E of equilibria for the fast syste m th at ar e hyp erbolic saddles.
These saddles have stable and unstable manifolds t ha t int ersect transversally
at a set of slow vari abl es that form a codimcnsion one subma nifold H of E .
Fcnichel [5] proves th at th e hyp erbolic structure of th e manifold E persist s
218 .JOHN GU CKENHEIMER

Figure 2: A trajectory of a (2,1) dimensional SP syste m passes through a Hopf

bifur cation a nd then exhibits a delay in tr acking the manifold of periodi c or bit s
emerging from th e Hopf bifurcation .

Figure 3: A tr aj ectory of a (2,1) dim ens ional SP syst em passes a homoclinic orbit.
A curves of sour ces is depicted by a dotted line and a curve of saddles is depicted
by a a dashed line. Th e surface of periodic orbits and th e st able and unst a ble
manifolds of th e saddles are shown . The homoclinic orbit is contai ned in th e closure
of all three of t hese sur faces.

for € > O. The manifold E is th e limit of a family of normall y hyperbolic

manifolds E< as € > O. Its stable and unstable manifolds cont inue to intersect
tr an svers ally. In a neighborhood of E, Fenichel defines coordinat es for which
th e families of strong stable and unst able manifolds are invari ant .
Periodic orbits of a reduced vector field close to a homoclinic orbit ca n be
decomposed into a pair of segments, one lying in a neighborhood U of the
manifold E and th e second lying in th e complement of U . The portion of
trajectories lying outs ide U are regular orb its th at vary smoothly with x and
 TOWA RDS A G L OnA L TH EORY OF .. , 219

have bounded duration as f -+ O. The dominan t portion of the increas e in

period of the redu ced system comes from t he passage of t ra jec to ries t hro ugh
U. In t he reduced sys te m, t he length of time tha t a trajec tory spends in U is
deter min ed by t he sma llest magnitu de of its coordinate s along t he unst able
mani fold of t he sadd le point. Assume that th ere arc coordinates for t he
reduced system in which th e fast eq uat ions ar c defined by Xi = Ai (Y)Xi'
Assume th at A;(Y) > 0 for i = I , . . . , u and th at A,(X) < 0 for i = 1L+ 1, . . . , n
(For generic systems, we ca n expect tha t coordinate systems of this form
can at best be deter mine d wit h finite degrees of smoot hness [10].) In eac h
unstable direct ion , t he Xi increase exponentially in magnit ude, implying t ha t
t he t ime a traj ect ory spe nds in U is comparable to max (- In(Xi )/ Ai, i =
1, . . . , u. If t he slow variable evolves at a constant rate, then each cycle of
the oscillat ion of t he t rajectory will car ry it closer to the stable manifold of
E . The cycles of th e oscillat ion get lon ger, resul tin g in a larger cha nge in
the slow variab le from one cycle to th e next. Thus th e growth of t he per iod
of t he oscillations is faster t han t hey would be if t here were a constant
change in parameter values bet ween cycles. We conject ure that the period
between cycles should be asymptotic to a function of the form U j In(1/ f ) +
u2 ln( ln( 1/f)) + U3 ·
Heteroclini c bifurcati ons of fast systems can be expected to lead to d iscont i-
nuiti es in the fast t ra nsiti on ma ps tha t occur along fold singular it ies, t hough
we arc un awar e of any examples of t his phenome non in t he literature.

4. Saddle-no des of periodic orb its : Ma nifolds of per iodic orb its may have fold s
in generic one paramet er families of vector fields. T hese folds ar c singularities
for the projection map of the manifold onto t he paramet er space of t he family.
T he retu rn map for the fam ily of period ic orb its has a discrete t ime saddle-
node bifur cat ion . T he asy mptotic analysis of the return ma p is a na logous
to that for sad d le-nodes of equilibr ium point s. The behavior of t he "phase"
variab le that is ignored by t he return map has not bee n st ud ied . Note that the
isochrons (st rong stable manifolds) of a limit cycle for a planar syste m ma ke
an angle wit h the cycles t hat is proporti onal to t he cha racteristic ex ponent
of t he cycle. Scm istable limit cycles typica lly do not have isochrons.

The conseq uences of codirncnsion two bifurca t ions in t he fast subsys tems of
a (2,2) d imensional SP field have hardl y bee n st udied. The only case that gives
rise to a local bifurcat ion is t he cusp [1]. The list of cod imension two bifurc ations
is man ageable for a case by case asy mptotic ana lysis, so we present it here as a
challenge to readers.

1. Cusps: Projection of t he equilibr ium man ifold M of a generic SP a field onto

a space of slow var iables will have sing ularities that arc fold s (codi monsion
1) and cusps (cod ime nsion 2). A nor mal form for a ma pping wit h a cusp is
220 JOH N G UCK ENH EIM ER

3
X _ X +YI X+Y2

Iii £cI

Jh £c2

As with th e fold bifurcat ion, there is a region near th e origin in which t he

t ime scales for th e dyn amic s of x differ from t hose when th e slow vari abl es Yi
ar e far from th e origin . A sca ling argument similar to th e one used for folds
ind icates th e size of this region. We solve t he equa t ions for !j; and substit ute
th ese solutions into the equ at ion for :i:. We th en look for a region of th e
phase space in which all of t he term s have comp ar abl e magnitude. Such a
region exists for x ~ 0(£1 /5), YI ~ 0(f2/ 5), Y 2 ~ 0(£3/ 5), and t ~ 0(C 2 / 5 ) .
Trajectories th at tr ack t he equilibrium manifold in th is region will relax
toward s th e stable equilibrium sur face on th e slower tim e scale t ~ 0 (£- 2/5)
than th e unit tim e scale for the typi cal evolution of x.

2. Takens-Bogdanov bifur cations: Consider th e equilibrium manifold /1,1 of a

generic SP o field with more th an 11 > 1 fast vari ables. The linear ization of
t he fas t subsyste m along /1,1 defines a sm oot h map of M int o th e space of
rn x Tn matrices. Th ere are no const rai nts on thi s map from th e equilibrium
condit ions, so th ere will be a codimension two subma nifold of M at which
the lineari zati on of th e fast subsys te m has zero as an eigenvalu e of algebra ic
multiplicity two. The generic points of th is submani fold are called Takcns-
Bogdanov points . They lie on th e codimension one fold sur face of 1\.1 at places
where t he numb er of stable a nd unstabl e eigenvalues of th e linear izati on
of the fast sub syst em changes alon g th e fold surface. The unfoldin g of t he
Takcns-Bogdan ov bifurcation as a codimension two bifu rcati on of planar
vector fields is well known . There are sma ll a mplit ude perio dic orbi ts and
homo clinic bifur cati ons associat ed with the Takens-Bogdano v bifur cation.
3. Degenerat e Hopf bifurc ations: T he normal form for Hopf bifur catio ns con-
t ains a "nonlinear" term th at det ermines whether th e equilibrium point is
weakly stable or unstabl e in the mar ginal directions. Degenerat e Hopf bi-
fur cation occurs when thi s quanti ty vanishes. A point of degenerate Hopf
bifurc at ion in a generi c two param et er fam ily of vector fields sign als the
cha nge from subcritical to supercri tical Hopf bifurcation for famil ies th at
cross the bifur cation curve tr ansversally.

4. Reson ant homoclini c bifurcations: In generic one parameter families of vec-

tor fields, th e st ability of the periodic orbits ncar a homoclinic orbit arc
det erm ined by th e properties of th e saddle point t hat is th e limit of the ho-
moclini c orbit . In two dim ensional vector fields, th e trace of th e lineariz ation
of the saddle point det ermines whether the periodic orb its are att rac ti ng or
rep elling. Resonant homoclinic bifurcation occurs when th e tr ace vani shes .
 T OWARDS A GLOB A L TH EORY OF . . . 221

This occur s in generic mult iparam ct cr families of vector fields. Associated

with t he resonant homoclinic bifurcations in generic two paramet er families
arc paths of saddle-node bifurcati ons of limit cycles th at end at the codimen-
sion two point, meeting th e cur ve of homoclin ic bifur cati ons wit h a ta ngency
th at is flat.

5. Saddle-node loop: Consider th e ph ase portrait of a two dimensional vector

field near a point with a sadd le-node equilibrium at which th e lineari zation of
th e field has a negative eigenvalue along with its zero eigenvalue. The st able
set of th e equilibrium is diffeomorphic to a half plan e, and th e unst able
set of th e equilibrium is a single traj ect ory. If th e unst a ble set is conta ined
in th e int erior of th e stable set , th en t he saddle-no de bifur cation has been
called a hornoclini c saddle-node, "saddle-node in cycle" or SNIC . T his is a
codimens ion one bifurcation th at persist s with pert ur bation of the saddle-
nod e. If th e unstable set is contained in th e boundary of th e stable set, thi s is
a cod imcnsion two bifur cation th at has also been called a homoclinic saddle-
nod e or sadd le-node loop. Passing through th e cod imension two poin t in th e
par amet er space of a gener ic two param eter famil y is a curve of sadd le-node
bifur cation, a nd th ere is a cur ve of homoclinic bifur cations th at terminat es
at th e sadd le-node point. Algorithms for com put ing th ese cod imcnsion two
bifur cati ons have been discussed by Schecht er.

6. Tripl e cycles: Just as th e equilibrium manifolds of SPu fields have proj ections
wit h cusps as codimcnsion two singularities, famili es of limit cycles for SP u
fields have proj ections with codimcnsion two singularities correspondi ng to
cusps. Th e cusps appea r by restricting th e proj ecti on to the famil y of fixed
point s in a cross-sect ion to the SP field .

7. Double saddle connections: There ar c several cases of tr an sversal int ersec-

t ions of curve s of ind ependent codimension one bifurc at ions th at occur in two
par amet er families of vector fields. The case of two int ersecting cur ves of ho-
moclini c bifurcations for th e sa me saddle point lead s to a more complicate d
sit ua tion with add itiona l subsidiary bifurcation curves appear ing. In two
dimensional vector fields , t his bifu rcation has subsidiary homoclinic bifurca-
tions with both "convex" and "non-co nvex" hom oclinic orbits. In t he pararn-
cte r space , th ere ar e two cur ves of homoclin ic bifur cation passing through
the codimension two point for homoclinic orbits th at enclose a convex angle
at th e sadd le point. There are also two br an ches of homoclinic bifurcation for
non-convex homoclinic orbits th at terminate at th e codimcnsion two point.
222 JOHN G UCKENH EI M ER

3 The Long Time Scale: Induced Maps

We turn to the analysis of th e long t ime scale dyn amics of an SP system. In
particular , we would like to describ e th e long time invariant sets of an SP syst em.
Thi s t ask is complex becau se th e E = 0 limit of an SP system is indeed singular. For
example, in a (2,2 ) dimensional syste m undergoing sup ercritical Hopf bifurcation ,
th e tra nsit ion from the equilibrium manifold of th e SP o field to its manifold of limit
cycles will have tr ajectori es that connect every unst able point along th e equilibrium
manifold with every point on the limit cycle in th e same fast subsyste m. (T his
observat ion is a corollary of the th eory of Nejshtadt [13] th at analyzes the delay
of SP trajectori es in tr acking t he family the of limit cycles following the Hopf
bifurcation.) Th e pathology repre sent ed by this example is not pur sued further
here. Inst ead , we rest rict our at te nt ion to th e simpl er sett ing for (2.2 ) dimensiona l
systems with only equilibrium at tractors.
Manifolds of st able equilibria for (2,2 ) dim ensional systems are two dimen-
sional and have one dimensional boundaries at which traj ectories und ergo FS
tran sitions . If I is a curve th at is in th e boundary of a manifold of st able equi-
libria, th en we follow th e evolutio n of I through the FS tr ansition until I meet s
the next manifold AI of sta ble equilibria and begins flowing once more. Singular
phenomena may be encounte red along th e F segment s emanat ing from I or in the
relationship of I to th e slow flow along M. The indu ced map of t he syste m will be
a one dimensional map from I to t he boundary of AI.
The Poin care-Bendixson Theorem implies th at t he limit set of a bounded
tr ajectory of a planar vector field is a periodi c orbit or cont ains an equilibrium
point. This implies th at t he t ra ject ories formin g th e bound ary of th e basin of
att rac t ion of a sink for a str uct urally st able vector field are eit her in the stable
manifold of sadd les. tend to infinity or emerge from sources th at are equilibrium
points or unst able limit cycles. This observation applies to systems wit h sadd le-
nodes if th e saddle-node point s and th eir strong st able manifolds are includ ed in
th e list of traject ories that form boundaries of basins of att ract ion. If we follow
th e unstabl e sepa rat rices of saddle-node points in a generic (2,2) dimensional SP
syst em , discontinuities for the induc ed map will be crea ted at separatrices t hat
lie in the st able manifold of a saddle. Tr ans versal crossing of two saddle-node
bifurc ation curves also leads to discontinuity of indu ced maps. Wh en equilibr ium
points of a system disapp ear in a saddle-node of equilibria, th ere is a discontinuous
cha nge in a basin of at t ract ion. Thi s cha nge creates t he possibility for new globa l
bifur cations involving saddle connect ions of th e fast subsystems to appear. The
phenomenon may be relat ed to a codimension two bifurc ati on th at can be dete ct ed
by bifur cat ion analysis. For example, if th e unstabl e scparatrix of a saddle-node p
connects to a saddle point q, th ere may be anot her saddle separatrix approaching
p that connects to q when it "breaks t hrough" the saddl e-nod e region.
Although we don't discuss systems with limit cycle att rac tors in detail here,
we remark that new saddl e connect ions may be creat ed by th e destruction of t he
cycles without th e involvement of a codim ension two bifurcation . If I is a periodic
 T OWAR DS A G LO BA L TH EORY OF ...

orhit und ergoing a saddle-node of limit cycle bifurcation. and if th ere are saddle
scparat riccs forwa rd a nd backwards asym ptoti c to i . th en t here ca n be infinite
number of heteroclinic bifurcations t hat accum ulate at th e saddle-node bifurcation
point.
Most of th e attent ion th at has been dir ected at analysis of singularly per-
tur bed systems exa mines t he geomet ry of how trajectories leave equilibrium man i-
folds of an SPo field. There has been little an alysis of how these sets of t ra jectori es
approach a new equilibrium ma nifold. We regard a FS tr ansit ion as having as limit
a map h : aM --> N , with aAf th e bou ndary of a mani fold of attractors M: a nd N
anoth er mani fold of attracto rs for t he SP o field . The geometry of h(aAf ) relative
to the slow flow on N is important in det erm ining t he singularit ies of the ind uced
map from aAf to aN. Since th e slow flows are indepe ndent of th e fast subsyste ms,
th ere are no impl icit constra ints on the geometry of aJf relati ve to the flow on
,V. The slow time sca le dyn amics of trajectorie s t hat make an infinit e numb er of
transit ions can be an alyzed in terms of th e indu ced maps.
We describ e three phenomena t hat occur in generic (2, 2) dimensional SP
systems following an FS tr ansition bet ween manifolds of equilibria. In thi s set t ing,
8 Af is a curve, a nd the points of thi s curve arrive on th e two dim ensional manifold
N in an arb itrary position relati ve to th e phase portrait of t he slow flow on N .
Th ere may be point s where

1. h(aM ) is tangent to th e slow flow on N . This leads to turning points of

indu ced maps.

2. h(aM ) may int ersect a limit cycle of the redu ced flow on N t ransversally.
This leads to a countable sequence of discontinu it ies of t he ind uced map if
the limit cycle is unstabl e and points near it do not remain on N forever
und er its slow flow.

3. h(aM ) may intersect a saddle separatrix for th e slow flow. This prod uces
disconti nuities and singulariti es in indu ced maps. The singularit ies are de-
scribed by power laws determined by t he eigenvalues of t he sadd le.

\Vithi n t he context of "hybrid systems" , each of t hese phe nomena has been dis-
cussed by Guckenheimer and J ohn son [9J.
Combining all of th e indu ced maps for equilibrium manifolds of a generic
(2,2) dimensional SP syste m yields a one dimensional mapping 'P. The domain of
'P is a one dimensional manifold t hat may well have several comp onents. Further-
more 'P can have discontinuities, singularities and crit ical points associa ted to th e
phenomena describ ed above. The exte nsive th eory of one dimens ional iterations [4]
can be used to chara cterize the typ es of at tr actors th at may occur for th e induced
map . The exa mples of attractors for two dim ensional hybrid syst ems describ ed by
Guckenh eimer and Johnson [9] are readily translated into examples of SP syste ms
whose long tim e dynamics display vari ed typ es of attractors.
224 J OH N G U C K E N H E I ~J E R

Figur e 4: The tra jectories of a fold cur ve on one man ifold of equilibria flow to
anot her manifold of equilibr ia. The image of t he fold curve aft er th e FS tra nsition
is t ang ent to th e redu ced vector field on th e lower manifold of equilibria at a n
isolated point .

4 Concluding Remarks
Our outli ne of a glohal th eory of singularly perturbed syst ems is incomplet e a nd
sketc hy. Much more needs to be done to describe th e important geometric st ru c-
t ures t hat occur in generic SP systems (and families of SP systems) and to elucidat e
t heir prop erties with regard to tra nsversality, J ones and Kopell's analysis of pe-
riodi c orbits in genera lizat ions of t he Hod gkin-H uxley model [111 for th e act ion
potential is a good exa mple of what needs to be done. T he importance of t he
applicat ions th at give rise to SP syste ms j ustifi es the effort required t o flesh out
this outline, even though th e th eory will necessarily be complicated and lack th e
coherent elegance of singulari ty t heory [61 . The use of singularly pert urbed systems
to model neural systems is compelling. Neura l systems opera te wit h a hierar chy
of t ime sca les an d SP systems provide a natural way to represent th is hierar chy.

Dynamical systems ana lysis of applications usua lly requires simulat ion t hat
relies upon num erical integration. For SP systems, numerical int egration presents
t he problem t hat "standard" numer ical integration tech niqu es require tim e st eps
tha t are sma ll with respect to t he fast time sca le in t he system. Xumeri cal inte-
gration t echni ques for sti ff systems and different ial algebra ic equat ions address t he
problem of computing slow-t ime t ra jectories of a redu ced syst em. but the problems
associated with integration along non-equilibrium attractors of an SP syst em and
with SF transiti ons have not been studied numerically. We contend th at effect ive
solut ions to t hese probl ems can be construc ted through th e further developm en t
of the glob al t heory outlined in t his pap er , togeth er with algorit hms that exploit
the geomet ric st ruc t ures foun d in generic SP systems.
 T OWARDS A GLO BA L T HEO IW OF .. . 225

Acknowledgments. T h is re search was partiall y support ed by g ran ts by the Depart-

ment of E nergy, t he Office of Naval R esearch and the Na t ional Scien ce founda t ion .

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Progress in Nonlinear Differential Equations
and Th eir Applications. Vnl. 19
© 1996 Birkh iiuser Verlag Base l/Switzerland

Equivariant Perturbations of the Euler Top

Heinz Hanflmann

Abstract : The motion of a rigid body in a small non-constan t force field is

stud ied. A normal form approach yields a formal 2-torus symmetry, which
in turn allows to reduce to a one-degree-of-freedom system. T he behaviour
of this system is used to identify quasi-periodic motions of the rigid body
with two or three independent frequencies.
The external force field is supposed to be invariant under two spacial reflec-
tions. This Z2xZ2-symmetry influences the distribu tion of invariant tori. To
simplify the necessary calculations, two of the principal moments of inertia
of th e rigid body are set equal. Furthermore, the study is concentr ated on
the case of an affi ne (constant-l-linear ) force field.

1 Introduction
Of all inte grabl e cases of the rigid body th e free one. nam ed aft er Euler, deserves
our spec ial at tention. Although th e number of degrees of freedom is three, there are
four independ ent int egrals : th e energy and th e three components of the angular
momentum - the Eul er top is a supcrintcgrablc Hamiltonian syst em. Replacing
one of t he components of t he angular mom entum by its length, two of th e int e-
grals commute with all four . In particular th e general motion is restricted to a
2-torus. Possible generalizations of thi s situati on are discussed in [Nchorosov.rz] ,
in [Mishchcnko .Fomcnko .Yo] and in [Ka rase v,l\Ias lov:93].
The other classical integrable cases of the rigid bod y: nam ed after Lagran ge and
Kovalevskaya, lead to a ramified 3-torus bundl e : th e ph ase space is fibrated into
three-paramet er familie s of invari ant 3-tori, while two-param eter famili es of invari-
ant 2-tori and one-paramet er famili es of periodi c orbits give rise to singular fibres.
The superintegrable Eul er top lead s t o -l-par amct cr famili es of invari ant 2-tori and
3-pa rameter families of periodic orbits, a very degenerat e sit ua t ion.
On th e other hand, th e Euler top is th e limit of any rigid body under forces,
int egrable or not , when the potential govern ing th e exte rnal force field goes to
zero. This allows us to treat the genera l problem of a rigid body subject to a
(weak) conservat ive force field as a perturbation of th e Euler top. In this pap er we
address th e case that the perturbing force field admits a Z 2xZ2-symmetry, being
invariant under two reflecti ons with resp ect to two orthogonal plan es in space. For
a similar study of non-symmetric forces th e read er is referred to [HanBrnann ;95].
228 HEI NZ HANSSl'vIA N N

Perturbations of the non-deg enerate integrable cases of t he rigid body allow an

immediate applicat ion of KA ~I-theory, confer [Broer , Huitema, Takens ;90] and
references therein. Whil e th e resonant tori break up , most of th e 3-tori sur vive th e
perturbation and a re only slight ly deformed. They are param etrised over a Cantor
set , and th eir relative measure tend s to I as the perturbing forces tend to zero.
Similarly, the two-parameter famil ies of norm ally hyperbolic and norm ally ellip tic
invari an t 2-tori persist , par am etrised by Cantor set s of (Hausdorff- )dimension 2 .
Periodic orbits persist by mean s of th e implicit mapping the orem. in particular
th ey survive as ent ire one-paramet er families.
We study small perturbations of t he supcrintcgra ble Euler top , so we have to
answer th e question : "What happens to the 4-pammeter fam ily of invariant 2-
tori under this perturbation ?" Already the other classical integrabl e cases, the
Lagran ge top and th e Kovalevskaya case, show that most of th e Eulerian 2-tori
are destroyed , giving rise to a slow motion of the a ngular momentum. But those
2-tori th at do persist may help to und erst and th e global flow of the perturbed
system .
The a bove discussion generalizes to integrabl e systems with n degrees of freedom.
Wh en non-degenerat e integrabl e syste ms a rc perturbed , th e families of maximal
a nd lower dim ensional tori per sist on Cantor set s. This is th e contents of KAM-
theory - for k-tori with 2 ::; k ::; n - 2 one has to ressort to th e techniques of
[Broe r, Hu iterna , Sevryuk ;95] or [Eliasson ;88] a nd [Poschcl;89].
The abstract pendant of t he Eul er top is a minimal superintegrable system , in
which th e general motion takes place on (n - l l-tori. Again th ese lower dimen-
sional tori form (n+ I)-param et er famili es, a nd the question remains how thi s very
degenerate situat ion behaves und er perturbation. In [Arnol'd ;63] KANt-theory is
ada pted to show th at a measure-th eoretically lar ge par t of th e phase space become s
filled by invari ant n-tori. Unlike th e non-degenerat e case, where th e geometry of
th e Cantor-fibration int o n-tori is imposed by the unp erturbed integrable system,
the distribution of invariant n-tori in the perturbati on of a sup erintegrabl e sys tem
is determined by th e perturbation itself.
The aim of this paper is to exemplify in th e rigid body context how the perturba-
tion det erm ines th e geomet ry of th e Cantor-fibration into 3-tori. In particular we
are int ere sted in th e singular fibres, i.e. in invar iant 2-tori.
In ord er to identify th e sur viving Eul erian 2-tori, we express the perturbed Hamil-
ton fun ction in action-angle vari ables of the Eul er top. Becaus e of its superintegra-
bility the kinet ic energy only dep ends on two of th e act ions. By means of a normal
form th eorem we make th e perturbed Hamilton function indep end ent of th e two
angles conjugat e to these actions - up to higher ord er term s. Then we truncate
the Hamilton function. The two actions becom e int egrals, and we can treat them
as (internal) parameters. In thi s fashion we may reduc e to a one-d egree-of-fr eedom
problem. For th e integrable cases of Lagrange and Kir chhoff t he results one obtains
with t his perturbative approach arc compared in [Han13mann;93] with the known
behaviour of th e top.
 E Q U I VARI A K T P ERT UR B ATI O" S OF T HE E L"L ER T op 229

The following t hree-ste p progra m will guide us.

First th e one-d egree-of-freedo m problem has to bo und erstood . Here we sec whet her
the nor mal for m is of sufficient ly high order. We require the one-degree-of-freedom
problem to be st ructura lly stable as a fam ily. paramet rised by th e two actions. At
thi s point t he Z2xZ2-symmet ry becomes importan t : st ru ct ural sta bility is mean t
within th e class of Z 2x Z 2-symmet ric Ha miltonian systems. \\'e use cquivariant
singularity th eory to st udy the equilibria and th eir normal behaviour .
In the second st ep we reconstr uct th e dyn am ics of th e normal form on th e full ph ase
space from the fa mily of one-degree-of-freedom systems. In t his way t he equilibria
give rise to invaria nt 2-to ri. Th e energy-moment um mapping makes t he phase space
a ra mified torus bu ndle , t he regu lar fibres bei ng invar iant 3-to ri. T he invariant 2-
tori are singular fibres of th is bu nd le, in t he normally hyp er bolic case t he fibre
includes th e sta ble an d unsta ble ma nifolds. T hese fibres are attached t.o crit ical
values of the energy-moment um map ping. In t his way the relevant informat ion is
collected in th e set of crit ical values.
T he thi rd and final step has to show what th e dynam ics defined by th e nor mal
form has to do with t he original rigid body mot ion. This is act ua lly a perturbat ion
prob lem in itself. If the potential energy is a per turbati on of t he kineti c energy of
order e , we want the nor mal form to be [2-close t o t he origina l sys te m. From KA 1\I-
th eory, see [Arn ol"d;63J and [Poschel;82), we know th at most of t he invariant 3-to ri
surv ive t he perturbatio n. These 3-to ri survive as a Ca nto r family of (Hausdo rff-)
dimension 3 . Using a cent re manifold one ca n similarly show th at norm ally hyper-
bolic invariant 2-tor i survive t he per turbat ion as a 2-dime nsiona l Canto r fam ily.
See also [Graff;74] and [Zehnder;75,76]. For norma lly ellipt ic invarian t 2-to ri we use
t he result s of [l\Ioser;67] and [Broer , Huitcma, Takens:90]. It t urns out th at a lso
t he normally ellipt ic invar iant 2-to ri survive t he perturbation as a 2-d imension al
Ca ntor family. However, th e par am ctrising Can tor sets for normally hyperb olic
and for normally ellipt ic 2-tori have different st ruct ures .
This paper is organ ized as follows. In th e rem aining part of thi s int rod uct ion we
give a descriptio n of th e possible motions of t he free rigid body and for mulate
t he normal form t heorem. \\'e assume t he body to be dy nam ically sym me tric, by
th is we mean t hat two of its pr incipal moments of inert ia are equa l. In t his case
t he act ion-angle co-ordinates ar e th e Andoyer variables. confer [Andoyer;23] or
[Depr it :67]. The force field we consider is affine (const ant -l- Iincar}, this rend ers
th e necessary computatio ns feasible and docs not require moments of th e mass
distr ibution ot her th an th e well-known cent re of mass and the moments of inert ia .
Secti on 2 cont ains th e treat ment of t he one-degree-of-freedom pro blem . We identi fy
the equilibria of a two-paramet er fam ily of Hamilton ian vector fields on t he sphere
S2 l as well as t heir bifurcati ons. This is used in Sect ion 3 where we ca lculate th e
set of critical values of th e energy-momentum mapp ing.
In t he final Sect ion 4 we see how t he flow of th e normal form is pert urbed when
t he higher order t erms are added . We consider both t he cases t hat th e rigid body
is symmetric and t ha t t he cent re of mass of the rigid body lies off the figur e axis.
230 H EI NZ HA NSSMA NN

1.1 The Euler top

We perturb the free rigid body, fixed at one poin t. Therefore, we now recapitulat e
t he main facts about it. The reader may find a comprehensive introduction in
[Abrah am ,Marsden ;78], [Arn ol'd ;74], [Cushman ,Bates;96] or [Goldstein;50].
We choose a set of axes ex, €y, e, fixed in space a nd a body set of axes el ,e2 , is
along t he pr incipal axes of inert ia. The configuratio n space is th e group SO (3) of
orient at ion preserving ort hogonal t hree-by-t hree matrices. T he elements of SO(3)
specify how to tr a nsform ex,
cy , e, int o el , C2, is .
The ph ase space is th e cota ngent bundle T *SO(3) , t he space of positi ons and
(angular) moment a. Thi s space comes equipped with t he canonical one-for m iJ ,
allowing to define t he equatio ns of moti on by mean s of a Hamilt on funct ion , t he
tot al energy of th e syste m.
The kinet ic energy of th e rigid body is defined by mean s of a left-in vari an t Rie-
mannian metric ( .. I..) , derived from th e mass dist ribution. The relati on to t he bi-

invariant Killing met ric ( .. I..) is given by t he inertia t ensor I = ( ~ /~ ~) ,

o 0 /3
where I I = 12 as we assume t he body to be dyn ami cally symmetr ic. An element
o E T* SO (3) yields th e components el ,e2 , £ 3 of th e angular momentum with re-
spect to th e body set of axes el , C2, is . Then the kineti c energy is expr essed as
I 12 ~12
T (o: ) = '2 (0: 10:) = ~+ij;- .
e
Using t he Killing metri c we const ruc t an SI-acti on on T ' SO( 3) , th e central action.
To thi s end define th e function

Ipl: T' SO (3) ----. ffi.

by 1J.L 1(0:) := 11 011 := ~ , measuring t he length of t he angular momentum

vector . On t he complement T ' SO (3) \80(3) of th e zero-sect ion SO (3) ~ T * SO (3)
we obt ain a Hamiltonian vector field -1JiI ' the traj ectories of which are periodi c
wit h common period 2/0 . Thus t he flow 1/Jt of l
-1t
l yields t he cent ral action

r. S I x T* SO (3) \ 8 0 (3) T* SO(3 )\ 8 0 (3)

(~, a) l/Jd o )
The orbits of the cent ral action are related to a pure precession of the rigid bod y
about th e a ngular momentum. Therefore we ca ll ~ th e precession angle.
The kinetic energy does not depend on t he precession ang le. Hence. we ca n use
th e cent ra l symmet ry to reduce the ph ase space. Fixing th e length Itll =f. 0 of th e
angular mom entum vector , th e orbit space {a E T 'SO (3) 111011 = IJiIl/sl ca n
be identifi ed with
 EQUIVARIANT PERTURBATIO" S OF T HE ECLER Top 231

see [Hanilmann;95]. Here 111,112,1"3 are th e components of th e angular momentum

with respect to the set of axes ex ,iIy,ii"z fixed in space (a nd f l , f2, f3 those with
resp ect to el ,e2 , c3) . The bundle {n E T*50 (3) 1110 11 = 1111} ~ S~L I x 5~ 1
is related to the Hopf fibration , confer [Abraham)Iarsden ;78]. In particular, t his
bundle doe s not hav e a global (cont inuous) section.
The reduced Hamilton function is H (11 , f) = e~jl{; + it and th e sy mplect ic st ruc-
ture reduces to ~I - ~I ' where (7L ( (7R ) denot es th e area clem ent on the left
(right) hand sphere. Hence , th e equations of moti on a re

In particular th e equat ions decoupl e. On th e right hand sph ere we hav e Eul er 's
equations ; since II = h th ese ar e

Th e vect or field on the left hand sphere vanishes identically, the (dir ection of th e)
angular momentum is conserved .
From thi s we recon struct the flow on T* 50(3) , confer Figure 1.1. While the length
1111 of the angular mom entum is con served , the pr ecession angle vari es according
to ~ = ~~I . To compute thi s we express T in Andoyer variables (~, p, q, 1 1'1,~, p ) ,
the act ion-angle co-ordinates of th e dynami cally symmetric free rigid body. Here
~ := £3 is the height on the right hand sph ere . the component of the angular
momentum along the figure axis iG , and p is th e conjugate an gle, measuring
the rot at ion of the body about the figure axis. Similarly p := P3 and q denot e
cylindrical co-ordinates on the left hand sphere. The kinetic energy now reads
T = !i:f _ 1-<-1 , . \}2 and we conclude
21, 1,13 2 '

a nd

In the sequel it is preferabl e to (re )substit ute (111 ,1'2.113) for (q,p) , keepin g in mind
the relation /1I +lt~+115 = 1 /11 2 between th e co-ordinates (~. p, 111 1 , ~, 111 ,112 , P3) on
T *50(3) . The Eulerian 2-tori {(~, p, 1 111, ~ , 1'1,112.1(3) [ ~ . p E 51 , III + Il§ + 115 =
Iltl2 } ar e par am etrised by Ilt [ , ~ E ]-[111, Illll and th e points on t he left hand
sphere.
We per turb the free rigid bod y by a sma ll conserva t ive affine (constant+ linear)
force field . The set of axes ex,e.v, ez fixed in space may be chosen to consist of
eigenvect ors of the linear part of the force field. These axes give rise to co-ordina tes
232 H EINZ H ANSSM ANN

Figure 1 1: Schematic representat ion of the bundle st ructur e of the phase space
T O50 (3) \ .5'0 (:1) . The Euler top gives rise to the flow depicted on the right hand sphere,
while the left hand sphere consists of equilibria. T he unreduced flow on T ' 5 0(3) is
equivariant with respect to t he centra l action on the 5 1 -fibres ; and IIlI remains fixed.

x , y , z in space. The linear part of t he force field has a Z2XZ2 xZ2-symmetry, being
equivariant with respect to th e t hr ee reflections x f---> - x , y f---> - y and z f---> - z .
In th is pap er we let th e consta nt part of the force field be parallel to the eigenvect or
ey correspond ing to the middle eigenvalue. This lead s to a Z2xZ 2-symmetry of th e
perturbing force field

- p cy - 2a x €x - c
2by y - 2cz Cz (1)

From t he pot ential p y + ax 2 + by 2 + cz 2 of t he force field one ca n compute th e

pot ent ial energy v.. . n . b ,e of th e rigid bod y, confer [Ha nBma nn;95]. T he force field (1)
is posit ion al , i.e. the potent ial energy only depends on t he configurat ion 9 E 50 (3)
of t he system . As a result v.. e , b .e is homogeneous of degree zero in t he momen ta.
Since an add it ive term d · (x 2 + y2 + z2) in th e potent ial of t he force field has no
effect on th e mot ion , we may ass ume 0 < a < b < c .
 EQ UI VA RI A NT P ERT UR BATIO NS OF T HE ECLE R T op 233

1.2 T he norm al form

(~:I ) ( *.
Let w ( I /l I .~) denote th e frequency vecto r of th e par allel flow on t he E ulerian
2-tor i, i. e.

W( l fl l ,~ ) = 111 1 )
EJT
_
u - », '"
- - - ' 'J
D~ /1/3
For resonan t 2-to ri already a small per turb atio n usually leads to frequency locking.
T his results in some isolated period ic orbits, bu t the 2-t orus breaks up . Therefore
we single out a (11110, ~o ) wit h (even) a dioph antine frequency vector W(lfllo, ':30 )
and concent rate on th e sit uat ion around t he associat ed quasi-periodic tori.
We sim plify and unify th e notation by setting YI := Ifll - l/llo , Y2 := ~ - ~o ,
XI := ~ , X2: = p , z := (fl l ,/L2,1l3) and e := ({3 ,a, b, c) . Recall th at x = (XI , X2)
takes its values on a 2-torus T , )/ = (YI , )/2 ) takes its values in an op en part
I
I ~o + Y21 < 11110 + yd of IR 2 and z t akes its values in t he Poisson
y = { (VI , )/2 )
I
space P = {(ZI, Z2, Z3) E IR 3 zf + z~ 'I O} . Inst ead of th e third axis we also
could have taken away any ot her line t hro ugh t he origin out of IR 3 • but we ca nnot
work globally on IR 3 \ { O} as t he precession angle ~ = x 1 is only locally defined.
In these co-ordina tes we may write our Hamilton funct ion as

H( x , y, z ,e ) = t + (wl y ) + T(y ) + F, (x , y, z )

Here t := T (I/Ll o, ~ o ) is t he constant part of t he kinet ic energy and w = W( llllo , ~ o )

is t he frequency vecto r. Since we are in the dynami cally symmet ric case, T(y ) =
¥t - IrI;l .!!f
2 2
is exact ly the qu adrat ic pa rt of th e kinet ic energy.
We expand our Hamil ton functi on as a Taylor series in 'u,c) . The first term of
the perturbation Fe is of order one in e . Not e th at we do not expand our Hamilton
function in z as well, our const ruct ion is global wit h respect to P. \ Ve int rodu ce
th e following gradat ion of t he ring of all (=for mal) power series in y a nd e wit h
coefficients in G""(T x P) that vanish for e = 0 ,

Ak := {j E G""(T x P)[y, e] I Dlj (O,O) = 0 \!I# , j (y,O) == a}

together with th e filtrat ion FI := IT A k . T his terminology replaces express ions

k ?l
like " + O(e·(y + e)k) uniformly as y,e -+ 0 " by " modFk+! " . confer [Broer;81].
With 7l'A k we denote th e proj ect ion of ITAI onto A k , and 7l'y denotes the projec-
I? !
tion of T x Y x P onto t he second component .
Theorem 1.1 Let T be an n-totus, Y an open neighbo urhood of th e origin in
IRn and P a Poisson space. Generate a Poisson bracket on T x Y by { Xi, Xj} =
234 H EI NZ H A NSS 1vI ANN

0 = {Yi, Yj} and {X j' Yj } = Dij . Supply (T x Y) x P wit h a Poisson struct ure
that extends the brackets on T x Y and P an d satisfies {Yi. Zj} = 0 . Let
H (x , y , z , E: ) = T (y ) + V';; (x,y , z ) be a p erturbed Ham ilton func tion on T x
Y x P , dep ending on the p erturbation param eter E: E IRm and im'arian t under a
Z 2xZ2-act ion . S uppose th at the freq uency vect or w = ~~ (0) is diophantine and
fix an in teger k E N . Th en th ere is a Z 2xZ2-equ ivariant Poisson co-ordinate
transformation l/Js uch tllat (H o 'IjJ )(x ,y,z,c ) = T (y ) + 1V, (y . z ) (mod Fk+Jl ,
with Z 2xZ2-in variant T + ~ VE .
Proof See [Hanfimann :93,95], the Z2xZ 2-sym metry is auto matically pr eser ved j
q.e.d.
The terms up to orde r k in T (y ) + 1V, (y , z) ar c called th e normal form (of order
k ). In t he new co-ordinates, H becomes ind ep end ent of x up to th e prescrib ed
order k . T he norm al form of order one T + VE simply arises averagi ng VE along
x E T . For th e rigid body in th e Z2xZ 2-symm etric affine force field (1) we get as
norm al form of ord er one

~ , 112 13 - II 3~2 - 11112 J!I Il§ 1£5

+ 83
TP1 TP1 -
3 -2- 11£12 (a];f2 + b];f2+c
1J!12 )
Here 83 is th e compo nent of th e centre of mass along th e figur e axis ~ . Note
th at th e norm al form fI is globa lly defined on T *50 (3)\50 (3) , th e resul t does
not dep end on t he line t hrough th e origin we took out of 1R3 to define P . In
[Fasso.Ill ,95] t he local expressions l/J are shown to rep resent a global co-ordin ate
t ra nsformation. Th e simplicity of th e norm al form - a quadr ati c polynomial in
J!1 ,1£2,IL3 - is d ue to th e dynamical sy mmet ry of th e rigid body. The norm al
form in the general case with three different moment s of inertia wou ld involve
(Z2xZ2-symmetric) ellipt ic functions.
Restri ctin g th e doma in Y of y to an s-neighbc urhood of th e origin in 1R2 , we sec
th a t t he difference betwee n t he tra nsfor med Ham ilton function H 0 l/JI a nd t he
norm al for m of orde r one fI is of order 10 2 . In case t he cent re of mass lies on
th e figur e axis we can ob tain thi s est imate on a much larger domain . Indeed , in
thi s case t he Hami lton functi on docs not dep end on p and Theorem 1.1 a pp lies
for x = X I = € , Y = Y I = 1 J!1- 1J!lo and z = (J!1, J!2, J!3,f. 1,f. 2 ,f. 3) . We ca n even
simplify th e ca lculations replacing th e necessary int egr ation by means of a Fouri er
series by an indefinite integral. In particular we have no prob lems with dioph antine
conditions, and thi s allows us to improve Theorem 1.1.
The dom ain of th e Andoyer var iab les on T* 50(3) can be emb edded in T x Y x P
I
with T := 51 , Y = 10, 00 [ and P = { z E 1R6 ZI + zi i= 0, z'i + zg i= O} .
Unlike T heorem 1.1 we do not have to rest rict to a neighbourhood of 1- tori with
frequency w = li;o , so we work with y = IIlI instead of y = 1111- 1J!lo . With
II ··IIA we denot e th e supremum norm on A .
 EQUIVARIANT PERT URBATIO :,/S OF T HE E ULER Top 23fi

Coro llary 1.2 Let H = T + V. be th e Hamilton fun ction of a symmetric rigid body
in a Z 2xZ2-sy m m etric conservative affin e force iiold . Fix T] > D and let th e l -tor us
T a nd th e Poisson space P bc as givcn a bove. Th en tllCre is a Z 2x Z 2-equi\'arian t
Poisson co-ordinate tran sform ati on 1/JI on T x [T]. oc] x P and a constant Co such
that
IIH a 1/Jl - H I ~ x " ' . ~ l x P < Co [2
Here H denot es th e norm al form of order onc.
Proof See [HanJ3mann;95], Corollar y 6.1 ; q.e.d .
If averag ing along two (or more ) angles is requ ired , the necessary dioph a nt ine
condit ions allow estimat es IH a 1/JI - HI ~ [2 on ly on v-domain s of orde r e . But
in the par ticul ar sit uation of a dynamically symmet ric rigid body in an a ffine force
field only finitely ma ny harmonics of th e Fourier series (which give rise to th e small
denomin ator s) ar e involved . Therefor e we can estima te IH a "1/)1 - HI on a large
domain even in the cas e t hat the centre of mass is in general positi on . We work
again with T = { (~ ,p)I ~ E S 1 , P E S l } and P = { (IlI .11 2 , 1l3 ) E ]R31ILT +II~ f=
O} , but let V vary in t he whole subs et {(IIlI, 'S ) I 'S E H ili,lill]} of ]R2 .
Coro llary 1.3 Le t H = T + V, be th e Ham ilton fun ction of a rigid body, fixed
a t onc p oint, wit h principal m om ents of incrtia I I = 12 f= 13 and cen tre of mass in
gencral p osition , and moving in a conser va tive affine Z 2xZ2-sy lll111ctric forcc ficld .
Denot e by Y a set of (1 Ill. 'S ) E ]R2 with 'S E [- IIlI.IIlI) for whi ch th c frequ ency
vect or

~ · 1111 )
w(llll. 'S ) = it
( -
ls
-
-i

-
L, ""
''J
it h
is bound ed a way from reson an ces in {D . ± l , ± 2}2 and let the 2-torus T and the
P oisson space P be as gi ven abovc. Thcn there is a Z 2x"Z2-eq uivarian t P oisson
co-ordinate transformation 1/JI on T x Y x P su ch tll1lt

for somc cons tan t cy depen din g on th e distancc to tIJC a bove resonances.
Proof See [HanJ3mann ;95], Coro llar y 7.2 ; q.e.d ,

In the sequel we also need t he normal form of order two. It is not t he precise
expression of the norma l for m itself that we usc. b ut t he fact that the difference
between the transformed Hamilton fun ction H a 1/JI a 1,"2 and t he normal form of
order two H a 1/Jl is of ord er [ 3 . The co-ordinate tr an sformat ion 1/Jl int rod uces
some higher resonances, but there are st ill only finit ely many harm on ics involved .
This allows agai n to obtain the estimate on a large do ma in (i. e. on a domain that
does not shri nk to a submanifold {Iill = Ill lo.'S = 'So } as [ - > D ).
236 H EI NZ H A NSS 1'.IAN N

Corollary 1.4 Under th e ass ump tions of Corollary 1.3, let Y denot e a set of
(I~( I , 'J ) E ]R2 with 'J E [- IMI, 111 1
] for which tllC frequency vector w(IMI. 'J)
is bounded away from reson an ces in {a, ± 1, . . . , ± 4F . Then th ere is a Z 2XZ 2-
equivariant Poisson co-ordina te tran sform a tion 1/J2 on T x Y x P such tha t

for some constant c, dep ending on the distance to the a bove reso nances .

Proof Sec [Han13mann:95], Theorem 7.4 ; q.e.d ,

Let us close th is sect ion wit h a rem ark concerning t he general sit ua tio n th at th e
perturbati on is a full Fouri er series. 'W it h a n ' ultra-violet cut off" we may reduce
to a Four ier polynomi al and obtain est ima tes similar to t hose above for some
norm al form , th e tail of th e Fouri er series allowing a sepa ra te esti ma te . In fact ,
thi s pro cedure is used in [Arn ol'd;63] to show th e existence of a large set of maximal
invariant tori in th e perturbation of supcrintcg ra ble Hamil toni an systems.
Our main aim is to und erst and how t hese max ima l tori are distributed in ph ase
space, how t hey arc separa ted by stable and unst able ma nifolds of nor mally hy-
perb olic 2-tori and how they shrink to normally ellipt ic 2-tori.

2 The one-degree-of-freedom syst em

The average d Ham ilton functi on fI on T' 5 0(3) \ 5 0 (3) is invariant und er the cen-
t ral act ion r and under rotations a bout t he figur e ax is. These two 5 1- act ions
commute and define a 2-torus act ion. The corre sponding momentum mapping is

(I~ll , 'J ): T * 50(3) __ ]R2

The level sets of th e momentum mapping a rc invariant manifolds of th e Hamilto-

nian vecto r field Xfl . Th ese level set s arc also invariant und er th e 2-to rus action.
In th e schema t ic representat ion of Figure 1.1 t he level sets corres pond to fixed
radius 1111 of th e two sph eres and fixed height 'J on th e right hand sphere 5~' 1 .
The 2-torus act ion rot at es along t he 5 1- fibres and along circles of height 'J on the
right hand sphere 5~' 1 . Dividing out thi s act ion lead s to th e reduced phase space
5~' 1 x {'J} . The reduced Hamil ton function fIl l'J, ~ defines a one-degree-of-freedo m
syste m on th is redu ced ph ase space . Recall that 5~1'1 x {'J} comes equipped with
. a
the symplect ic struc t ure I ~I ' where aL denot es th e area element on the sphere .

The first st ep of our program is to study the reduced Hamil ton function fIll'l ,~ .
\Ve consider th e exte rnal parameters {3, a, b, C as fixed constants. The internal or
distinguished paramet ers IMI and 'J on th e oth er hand are allowed to var y. We
want to show t ha t this family of one-degree-of-freedom syste ms is structurally
 EQ UIVARIA NT PERTUR13ATIOi\S or Til E E l"LER Top 237

stable in the subclass of (famili es of) Z2xZ2-equivari an t Hamiltonian systems on

S~t1 x { ~} .
Let us sta rt with a rough description of the expected phase portraits. For an op en
and dense part of the parameter plane th e corres pond ing sys te m Xfl it self is
iILI .'·'f
st ruct ur ally st able. The flow on S~' l x { ~} mostl y consists of periodic orbits and
can be cha racterized by th e distribution of it s eq uilibria. We have several cases
of st ruct urally stable syst em s with, resp ecti vely, four centres and two saddles,
or three cent res and one sadd le, or two centres, In th e cases where saddles are
present th eir st abl e and un stable manifolds consist of homo clinic orbits . In the
Hamiltonian context at hand homoclinic connections arc generic,
To und erst and th e whole famil y Fl11'1,'S we also st udy t he bifurcations between
th ese structurally stable cases. Although we have two par am et ers, only bifurcations
of codimcnsion one occur. To pass from one of t he above cases to ano th er a centre
has to split into a saddle and two centres in a Hamiltonian pit chfork bifurcat ion.
We also encounter a conn ection bifurcatiun wher e the two sadd les have the sa me
energy.
To be mor e explicit, th e orbits of the Hamiltonian vector field Xii a rc the
1"1.':.1
intersections of the level sets {H111f,Q(II\ , 1/2 , II:)) = It} <;:; iR,3 with SI~ ' I (from now
on we drop the factor { ~} in S~t1 x { ~} ). Since HI1l 1.::; is a qu adratic polynomial
in Ill , /.l2 , 113 these level set s arc qu adrics. Using thi s th e ph ase port raits arc eas ily
obtained .
If 3~2 = !/.l 12 the level sets arc planes perp endicular to (~) . We get 2 centres,
sur rounded by periodic orbits, see Figu re 2. 1a. In thi s case th e qu adrati c part of
the potent ial energy has no influence.
For 3~2 =!' 1/112 the level sets of H 1,.,1,'S arc triaxial ellipsoids with centre

which tends to infinity as (1/1 1, 'J) -----> {3~2 = IILI2} . Let us consider value s
(IILI, 'J ) ncar {3'J 2 = Illl2 } . Wh en it comes to an intersection of the ellipsoid
{HI,.,I," = h} with the sphere SI~'1 ' the curvat ure of th e ellipsoid is so small that
locally, i.e. on the sphere, it resembles a plane. Qu alitatively the flow doc s not
change, confer Figure 2.1 b ; we get two centres, surrounded by periodic orbits.
Wh en th e centre of the ellipsoid approaches th e sphere S~"' I ' a Hamiltonian pit ch-
fork bifurcation takes place, see Figures 2.1 a- c. The centre at 0) turns into a
saddle, t he stable and unstable manifolds of which form a Z 2xZ 2-invariant 'figur e
eight '. encirceling two newly born ce nt res.
As the cent re of t.he ellipsoid further approaches the origin. a second Hamilt onian
pitchfork bifur cation t akes place, leading to a second saddle a w l a four th cent re.
238 H EI NZ HA NSSMA NN

/ -cJ" "

( \ /'///.).1 ./

<,
,'

',--,'
I

"
-,
"-----/
-< , _- - - - -- - -/ '.

fl
I
I

Figur e 2.1 : Ph ase por traits of t he one-d egree-o f-free dom sys te m.

confer Figure 2.1d. If ~ = 0 th e ellipsoid is cente red at t he origin. T he fami ly

of period ic orbi ts between t he stable and unst ab le manifo lds of th e two sadd les
vanishes and th e saddl es become connected by het eroclinic orb its, see Figure 2. 1e.
In thi s case th e linear part of th e potenti al energy has no influence. Wh en ~ has
passed through 0 , the scenario reverses, sta rt ing wit h Figure 2. 1/
 EQUIVARIAl'T P ERT URBATIONS OF TH E E ULER Top 2~!l

T he vect or field X H - on 5 12 ' I dep end s only on th e last two term s of H II' I,\)
,.·1.'3 I
Fur th erm ore, th ese terms arc invari ant und er th e tr an sform at ion It ...... (which &
turns ~ into I~ I ). Multip lying these last two terms of H I!' I," by 1, : [ • . 11' 1~~~\:l2
we arc led to
HI (X, y , z) = I y + ~ (ax2 + ol + cz 2 ) (2)

It 1 1t 2 1t3 S3 {3 ~ 1111
where x = -IIt I ' Y = -IIt I ' z = -,,
It
and I = -/3 - / I ' I11 I?
- -
0.<2
3"5
' This shows th at
H I!'I.\) is indu ced by a one-param et er family, th e param eters Iit l and ~ ente r only
as quotient I~I . We see that for (generic) positional forces only bifurcati ons of
codimonsion one can occur.

Proposition 2.1 Let XHI be the family of Ham iltonian vector fields on 52 given
by (2) . Then XH lias pll ase portraits as shown in Fiqure 2. 1. A s I vari es, tlle flow
undergoes four 'ilam iltonian pit cllfork bifurcations and one connection bifurcat ion.

Proof To find t he eq uilibria of XH I we have to solve th e eq uation

( i
!l:!iz. )
= A'
(X)
~
und er t he condit ion x 2 + y 2 + z2 = 1 . For all values of I we have th e solutio ns
x = 0 = z , y = ±l (with A = 0 ± I ). Pu t t ing A = c yields th e solut ions
x =0 l y = Lc- b ' Z = ± V~y2 = ±1!<c.c_bb}L I2 • while
1 - y~ A = a leads to z =0, y =
= ±Jl - y 2 = ±1!(bb- al I 2 • In par ticular
2-
a:b ' X th e 'perma nent' equilihria
bifur cate for I = a - 0, C - 0 and for I = 0 - c. b - a . resp ectiv ely.
In th e neighbourhood of th e equilibria (0, E, 0), E = ±l we choose local co-ordina tes
q and p on 5 2 accordi ng to

Writi ng I = E(a - 0) + II th e <I-jet of HI in q and p reads

b c- a - Ell 2 Ell 2
= a- 2 + Ell + 2 q - 2P
0- a - 0- a -
+ 0- a - Ell
p" +
Ell
q_p_ +
?? Ell
q4
<124
240 H E INZ HA NSS l>lA NN

and a round I ::::: ((c - a) we have

C -
b
+ (V - c - a + (V P2 - -(V q2
-
2 22 .
c- b+ w 'l c - b +(V 2 2 c - b+w ~
4 q- 2 q p- 4 P

T his shows that t he bifurcations at v = 0 arc Ham iltonia n pitchfork bifurca-

tio ns, confer T heorem 4.1 below. In part icula r t he equilibria a t (0. e, 0) cha nge
from centres to saddles as II I decreases. The read er may eas ily check that t he
ot her equil ibri a remain cen tr es (unti l th ey van ish in one of th e ot her Hamiltonian
pitchfork hifur cat ions).
At I = 0 both equilibria (0, - 1, 0) and (0, 1, 0) ar c sadd les. T heir energies coincide,
giving rise to hetero clinic connections. As

the occ urrence of t his heteroclinic connection is robust ; q.e.d ,

3 Reconstruction of t he average d flow

In th e previous sect ion we gave a detailed description of th e one-deg ree-of-freedo m
systems X - on SI2 I x { ~} . The second ste p of our progr am consists in recon-
H',.1.0 Il

st ruc t ing th e dyn ami cs of XiI on T* SO(3)\ 5 0 (3) from this. \\'e have to solve
two problems . On t he one hand, we have to reconst ru ct th e dyn am ics on t he 4-
d imens iona l invariant manifolds of const ant 1J.l1a nd ~ . We ob tain a ram ified torus
bun dle, th e regular fibres of which are invariant 3-to ri. On t he ot her hand , we want
to unde rstand how th e global flow on T* SO(3) \ 5 0 (3) is organ ized . We have to
answer qu estions like : what is t he to po logy of t he bund le of invariant 3-tori ? how
arc the singu lar iti es of th is bu nd le d istribut ed ?
To perform t he reconstruction we j ust have to attach a 2-torus to every point on
th e red uced ph ase space S~' I x { ~} . T he period ic orb its correspond to invariant
3-tori, while th e equilibria give rise to invariant 2-t ori . T he normal behaviour of th e
lat ter is ind uced from th e linearisat ion of th e correspond ing equilibrium. We get
normally elliptic as well as normally hyp erb olic invari an t 2-t ori a nd occas iona lly
normally parab olic invariant 2-to ri.
T he moti on of t he rigid body corresponding to such an invar iant 2-to rus is t he
regular precession of t he Eu ler top. T he figure ax is e:1 precesses abo ut t he a ngular
momentu m (which is fixed in space), while t he body rotat es abo ut E3 . For an
invariant 3-tol't1s t he slow mot ion of th e angular momentum according to XfL
I/l l .\,)
has to be superposed. The same holds t rue for th e mot ion reconstructed from t he
st abl e an d un st able man ifolds of normally hy perb olic invari ant 2-tor i.
 EQ UIVARIANT P ERT URBATIO" S OF THE E CLER Top 241

When SS = ±I/II th e angular mom entum is parallel to the figure axis and th e
2-torus act ion degenerates. Ind eed , th e orbits of th e act ion become circles 51 .
coinciding with th e orbits of th e central action . Hence. th e periodic orbits of th e
reduced Hamiltonian vect or field XfL give rise to invariant 2-tori.
IJtl.± !#--I 1
However , these 2-tori arc "not Eulerian" . In the schemat ic represent ation of Fig-
ure 1.1 we arc in th e limiting centres of the right hand sphere, while following a
slow peri od ic orbi t on the left hand sphere (with supe rposed fast precession). In
particular th ese invariant 2-tori a rc normally ellipt ic.
From equilibria on 50,1 x { ± llll} we now reconstruct periodic orbits. The bod y
rotates about th e fixed angular mom entum (which is par allel to the figur e axis) .
Centres become ellipt ic periodic orbits, and saddles give rise to periodic orb its
whose Floquct exp onents arc one real pair and one complex conj ugate pair on th e
unit circle. We call such a periodic orbit hypoelliptic.
We also have to un derstand how the invariant level sets fit toget her to form the
ph ase space T' 50(3)\ 5 0 (3) . We can collect th e relevant information in one
picture. th e set of critical values of th e energy-momentu m mapping

The regular values of Dvl ju st correspond to invariant 3-tori. The critical values
correspond to 2-tori (in th e normally hyp erb olic and parabolic cases to gether with
th eir stable and unstable manifolds) and to ellipt ic and hypo elliptic periodic orbits,
th e latter again together with th eir sta ble and unstable manifolds. The crit ical
values also mark th e boundary of the image of th e energy-momentum mapping.
Since only the ratio I~ I is important we restrict to a level set , fixing 1/11.
The critica l values a rc symmet ric with resp ect to th e reflecti on SS f-> - SS . For
external paramet er s P, a , b. c in genera l position th e set of crit ical valu es has , for
fixed value of 1111, one of th e four forms shown in Figures 3. 1a-d. As the energy fI
depends qu adratically on Ittl (+ small perturbation. homogeneous of degree zero in
th e mom ent a), th e whole set of crit ical values is a par aboloid , with diffeomorphic
III I-slices. In particular also a level set il = h is diffeomorphic to a III I-slice.

Proposition 3.1 Let n.

T' 50(3) \ 5 0 (3) -----. IR be th e normal form of order one
of the Hamilton fun ctfon describing a dyn amically symme tric rigid body s ubject
to a Z2xZ 2-symmetric affine force field. T hen the set L: <;;; IR 3 of critical values of
th e energy-moment um mapping Dvl is tile union of six s urfaces L: = L:+ U L:_ U
L: a U L:c U L:[ U L:,. that allow the following parametrisations :

2; + { (/,;(I/l \' ':l) + 83.6 & - 1(1/l!, ':l) b, II'I,!S) E IR' lid > 0 , !S E H i li, 1/-11] }
L {( /,; (1/11, ':l) - 83.6& -1( 1/l\, ':l) b.I/-1I. !S) E IR 3 11'1> 0 , !S E Hil i, 1/-11] }

E" { (/,; (\/l \' ~ ) - 1(1/l1,':l ) a, 1/-11.':5 ) E JR3 I lId > o. 2 1.li\ :~.~. ,) ) E [a - i ;» - aJ}
E,. { ( I.:(\/l l ,~ ) - 1(1/l1. ':l) c. I/II . ':5 ) E R l I lid > O. 2 ~~J( ~,\r .) ) E [b - c. c - bl }
242 H EI N Z H A N SSM A NN

i - Q
H
I

., .,

., .,

I , r

~ ~
.:
, ,
(
-~ r.

Figure 3.1:
a-d) Possible /L-slices of t he set of crit ical values of the energy-momentum mapping.
e) Set of crit ical values of (H , I) .
f) Relat ion between ~ and I .
 EQ UI VARIA NT P ERT URilATIONS OF T HE E ULER Top 243

El { (h , IILI, -IIL I) E IR. 3 Illtl > 0 , h - k (lILI, - IILI) + (iJ - h )b E [-8:113, 8313] }

E, {( h, IILI, liLl ) E IR.

3 I liLl > 0 , h - k(lILI, IILI) + (I3 - [ db E [-83;3, S3,6]}

with k (lil l , ~) := ~,): - tl;" ~2 + a+~+c (1t+ (h - I, ) ~) and 1 ( lill, ~) =

13 ; / , 3\J~1~!1' 12 . The four possible cases arc distin guished according to whether
IIJS3- ~I I < min(b - a c - b)
1 "
b- a < Ih-h
s,d3 I < c - b .. c - b < Il z
S3 {3
r lv
I< b- a
or II;~ l I > max(b - a , C - b) .
Proof The family (2) of Hamil ton functions 'HI of Propositi on 2.1 defines a two-
degree-of-freedom syste m on th e product 52 x T5 1 of th e sphere with a cylinder.
The energy-moment um mapping

of thi s sys te m has t he set of crit ical values {( ~ ± I ,I) I E IR. } U { (~ , I ) I E I I

I
]a - b, b - a[ } U {( ~ , I) I E ]b - c, c - b[} , see Figure 3.1e. To obtain ~ we have
to inver t th e relation I = I;~l . 1 1l 1~ ~~1\J 2 bet ween I and ~ , ~ee Figure 3. 1/. and
translat e thi s back to

Recall that multiplyin g 'H by (10 - II) 111 1 ~1~~82 J" s~ l~r yields th e two last
terms of fI . As the first three terms of H yield k ( IJ.l I. ~) , the four cur ves
(~ ,I) , (~ , I) , (~ + €I ,I) , € = ±1 give rise t o ~a , ~c a nd ~ € • To t hese we have to
add th e set ~l U ~ r where the mappings lill and ~ are tangent ; q.e .d,

4 Implications for the original system

In th e previous sect ion we could give a quite det ailed description of t he dyn amic s
of fJ on T *50(3) \ 50 (3) . This is du e to th e 2-toru~ symmetry. The beh aviour
is govern ed by th e reduced system with one degree of freedom. But unlik e these
one-degree-of-freed om syst ems th e vector field Xli is not struct urally stable (in
the class of a ll Hamiltonian vect or fields on T* 50 (3) \ 50 (3) ). Under any small
perturbation it can (and usu ally does) lose its int egrability.
We have to keep track of severa l perturbation problems here. Fir st, our "original
Hamilton function" H is a perturbation (of ord er c ) of the Euler top . Using
Theorem 1.1 we consider H as a perturbat ion (of order =:2 ) of its normal form II .
Furthermore we know th at perturbations of th e one-degree-of-freedom syst ems
defined by II do not lead to qu alitative changes. This is wha t we want to use to
gain information about th e perturbation from fI to H .
244 H EI NZ H ANSSM AN N

T he (st ructural) st ah ility of t he one-degree-of-freedom systems concerns t he Eu -

lerian 2-tori. Indeed , th e periodic or bits on 51~L I x FSl do not te ll \lS whet her t he
family XiI. is structura lly st ahle; this question is decided by th e behaviou r of
!_tl .'J
th e equilibria. T hese eq uilibr ia give rise to invarian t 2-tori on T* 50(3)\50(3) ,
the Eulerian 2-to ri that survive t he perturbation from T to fl = T + if .
Th e case t hat the 2-to ms symmetry of the normal form is not completely broken
by th e st ep from fl to H is cons iderably easi er. Therefore we first invest igate
the case of a sym metric rigid body, where t he 2-torus symmet ry of t he normal
form is only partially broken, wit h an 5 1-symmetry remaining. Th e persisten ce
resu lts we obtain will serve as a guide line when we consider th e 'general case ' of
an 'unsymmet ric dynam ically symmetric rigid body'.

4.1 Motion of a symmetric rigid body

We invest igate t he motion of a rigid body in a Z2xZ 2-sym metr ic affine force field
wit h potential (3y + ax 2 + by 2 + cz 2 . T he rigid body is dynamically sym metric,
i.e. the princi pa l moments of inerti a satisfy I I = [ 2 of h . In this subsect ion we
also ass ume that t he centre of mass lies on the figure axis.
The affine force field is not ab le to disti nguish such a rigid body from a rea lly
symmet ric one : the Hamilton functi on H = T + Ve does not depend on p . T he
co-ord inate free formulat ion of t his is t hat H is invariant under the right 5 1-act ion
RT" : 5 1 x T *50(3) T*50(3)
(p,o:) >-> T* Rcxp.(Q)

Here exp p stands for exp ( ~ ~i ~) = ( :~,: ~ -;,~:':: ~ ) and Rexp : 50(3) --->
0 0 0 0 01 p

50(3) is defined by right multi plication 9 f-> go exp p . T he orbits of RT" arc
related to a rotation of the rigid body about the figure axis e3.
T he regular reduct ion of t his free and proper action is classically known as t he
"eliminat ion of th e cyclic Eul er angle" and goes back to Poisson . The reduced
phase space tu rns out to be IR3 x 52 , exp ressing that mod ulo rotations about e:1
the state of t he rigid body is given by t he com ponents 111,112, Jl3 of t he a ngular
moment um and th e components ( I , (2 , (3 of t he figure axis with respe ct to t he axes
(r (5
ex, €y, €z fixed in space (note + (i + = 1 ). T he redu ced Poisso n bracket on
IR 3 x 52 leads to th e equations of motion
. 8H 8H . 8H
Jl = - X Jl+-x( ( = - x(
811 8( 8 Jl
T he moment um mapping to t he right 5 1-action ~ : T *5 0 (3) -- :R tu rns on the
reduced ph ase space into t he Casim ir element
~ : IR:1 x 52 IR
(II. () f-> (II I()
 E QUI VARI A NT P ERT UR BATIO NS OF T HE E LL ER T op 245

and t he cent ra l action becomes

f : 5 1 x (JR 3 \{O} X 52) JR3 \{O} X 52
(U ll ,()) >-+ (p, exp( -~ tIT)())
JR
with mom entum mapping Illl :
(p, () >-+ IIJl II
The Eulerian 2-t ori of th e free mo tion (i . e. at Va == 0 ) get redu ced to l- tori , These
peri od ic or bits coincide with t he orbits of the cent ra l ac t ion on JR3 \ {O} X 5 2 . T he
equilibria ( = ±tIT corr espo nd to stead y rota tions of t he rigid bod y abo ut th e
figure axis. The oth er st eady rotat ions all get redu ced to t he periodi c orbit at t he
equ ator ( .ill .
Using Coroll ary 1.2 we conside r H as a perturbat ion of th e normal form ff on
JR3\{O} x 52 . As we have seen in Sectio n 3, the flow of t he normal form ca n be
und ersto od from the distribution of invari an t 2-tori. Since th ese are periodic orbits
on JR3 \ {O} X 5 2 we ex pect t hem to sur vive the step from fl to H by means of the
impli cit mapping theor em .
T he dist ribution of periodi c or bits of ff on IR.3\ {O} x 5 2 (i.e . of the 2-t ori on
T* 5 0(3) ) is in t urn orga nized by the equilibria, the connect ion bifur cati on and t he
periodi c Hamiltoni an pit chfork bifur cations. T hese corresp ond to th e singularit ies
of the set of critica l valu es of the energy-moment um mappin g.
The equili bria are eit her elliptic (those cor respond ing to the edges of t he set of
crit ical valu es) or hyp ocllipti c. In bo th cases th ey persist by mean s of the implicit
mapping t heorem.
While '} passes throug h 0 , the two hyperbolic periodi c orbits interchan ge t hei r
energies. In particular they are (at'} = 0 ) conn ect ed by hct eroclini c orbi ts. In
thi s formulat ion these are robust properti es of th e flow of If .
However , the het cro clini c orbits form separat riccs, and t hese may be expecte d to
split, giving rise to t ran sversal heteroclinic or bits. As a resul t hotero clini c or bits
would exist for a whole int er val of energy values. To show t hat the sepa ratriccs
ind eed split one has to study the Mel'nikov funct ion, but thi s would be outside
the scope of the pr esent pap er .
The robu stness of the period ic Hamiltonian pit chfor k bifur cat ion is du e to the
Z2xZ2-symm etr y in our pr oblem . In fact a Z2-symmet ry would be sufficient as
the following t heorem shows - but the occ urr ing period ic Hamilton ian pit chfork
bifurcati ons are governe d by two d ifferen t Z2-sy mmet ries.
Theorem 4.1 Let T := 51 , Y be an open inte rval including 0 and 5 ~ JR2 an
ope n neigh bourhood oi the origin . Supply T x Y x 5 \rith th e symplectic stru ctu re
dx A dy + dq A dp , where x E T , Y E Y and (q, p) E 5 . Consider a Hamilton
[unction K on T x Y x S th at docs not depend on x . is invariant und er the
reflection q >-+ -q and has a Tayl or ser ies starting with
246 H EI N Z H A NSSM A NN

where all four coe fficien ts w, a , b, care p ositil'e. Let H : T x Y x 5 ----+ IR. be
Cr -close to K and invarian t under q t-t - q . Tl lCn XH undergoes ncar T x {O} x
{(O,OJ) a p eriodic Hamiltonian oitcliiork bifurca tion.
Proof Because a> 0 we can use a prelimin ar y tr anslation p t-t p + u (x ) to get
rid of th e linear term of fl in p . The linear t erm of fl in q is already zero du e
to th e sy mmetry q t-t - q , so {q =O , p=O} is an Xfl-invari ant subma nifold,
a one-para meter family of periodic orbits. On account of th e frequency condi tio n
~~ > 0 we can replace th e param et er y by t he valu e h of th e energy.
Since u -c > 0 th e periodic orb its are elliptic for h « 0 and hyperbo lic for n » 0 .
In between , say at h = h o , there must be a parabolic periodic orbit : here th e iso-
energet ic Poinc are map ping has a Floq uet mul tipli er 1 wit h algebraic multiplicity
two and geometric mult iplicity one. With the prelimin ar y tra nslatio n we already
arranged th e eigenvector to lie along th e q-axis.
As b-c > 0 th e one-param eter family of per iodi c orb its tangent to th is eigenvector
lies in th e half space h :::: h o . In ot her words , on each energy shell H = h > h o we
have two more periodic or bits next to th e hyperbolic periodi c orbit at the origi n.
Under th e reflecti on q t-t -q th ese per iod ic orbits get mapped onto each ot her,
and from a · b > 0 we conclude t hat both are elliptic ; q.e.d.
Note th at cha nging t he signs of t he coefficients a, b, c may lead to th e sit uat ion
where two hyp erb olic period ic orbi ts split off at th e bifur cating periodic orbit .
In [Guckenh eimer ,l\Iah alov;92] a Z 2xZ 2-symmetric example is given where bot h
bifur cat ions take place subsequ entl y.
am aim is to und erstand t he motion of a sy mmetric rigid body subject t o a
Z2xZ2-symmetric affine force field. \Ve used th e 5 1-symmetry of th e Ham ilton
funct ion H to redu ce th e ph ase space to IR.3\ {O} X 52 , a nd from Sect ion 3 we
know the dyn ami cs of the integrable approximation fl of H . Wo now extract from
the robust ness pro perties of th e individual features of th e flow to fl a (partial)
description of th e flow defined by XH .
Theorem 4.2 Let H = T + V.. be the reduced Hamilton fun ction of a symmetric
rigid body, fixed at one poin t and m ovi ng in a generic small co nservat ive Z 2XZ 2-
symmetri c affine force field . Th e pr incipal moments of inertia II = 12 an d 13 sa tisfy
I, f= h , and the cen tre of mass docs no t coincide with th e fixed point. Then th e
flow on IR.3\{O} x 52 has th e followin g propert ies.
In th e ph ase space there are nest ed 3-dimension a1 Cantor families of invar iant 2-
tori. Th e m otion on tliesc 2-to ri is quasi-periodic. In compact subsets of JR3\{O} x
5 2 th e measure of their com plemen t goes to zero as e -+ 0 .
Different Cantor families of invariant 2-tori are separa ted by th e st able an d unst a-
ble manifolds of 2-para me ter families of hyperbolic p eriodic orbits. The latter arise
in p eriodic Ham iltonian pitchfork bifurcations. Two subfam ilies of th e hyperbolic
periodic orbits ar e connec ted by het eroclini c or bits. Depending on th e affine force
field , hyperbolic p eriodic orbits m ay also shrin k down to on e-param et er families
of hypoe11iptic eq uilibria.
 E QUIVARIANT P ERT URBA TIO NS OF T HE E UL ER Top 247

Th e Cantor families of invarian t 2-tori shrink down to 2-parameter families of

elliptic periodic orbits . Th ere arc two types of elliptic periodic orbits. Th e "Eu-
lerian" elliptic periodic orbits have a short period. These families originate from
centres and vanish in the periodic Hamilt onian pit chfork bifurca tions. The families
of "slow" elliptic p eriodic orbits occur for ~ close to ±Ipl . All ellip tic periodic
orbits and the centres arc st able in the sense of Lyapunov.

Proof We writ e th e coefficients of th e affine force field as (3, a, b, c) = E · ([3, ii, b, C)

with [32 + ii2 + b2 + (";2 = 1 . From Corollary 1.2 we get

where 1l ..IIA ( h ) denot es th e supremum norm on th e union A(h) of the energ y shells
{H = h'} with h' ;: h and C (h) is a constant t hat only dep end s on h (and not
on E).
To apply th e implicit mapping theorem on equilibria and periodic orbits (including
th e periodi c Hamiltonian pit chfork bifurcati on) we need est ima tes IH o1jJ1 - Hi <
r ·E on some neighbourhood , with a constant r independent of E • Such esti ma tes
hold t rue for E < CfhJ . The persistence of most invariant 2-tori finally follows
from [Arnol'd ;63]. Ind eed , on th e energy shell t he frequency ~ ;::;:: li:1stays bounded ,
while th e frequency of t he "slow" motion converg es to zero as t he invar iant 2-tori
approach a separa t rix, showing th at t he (analyt ic) frequency ratio is not a constant
function.
The momentum mapping ~ is an integral of motion not only for fI , but also for H .
The 2-dimensional invariant tori divid e the 3-dimensional invar iant subma nifolds
of const.ant ~ and H and we obt ain Lyapunov-st ability j q.e.d.

From Theorem 4.2 we can reconstruct t he motion of t he rigid body in T*50(3) ,

attaching an 5 1 to every point on th e redu ced phase space ]R3 x 5 2 . Equilib-
ria th ereby turn into periodic orbits, while periodi c orbits on ]R3 x 5 2 become
invari ant 2-tori on T* 50 (3) , under preservation of the normal behaviour. With
the exception of norm ally elliptic 2-tori that are perturbed from th e families at
~ = ±llll , th ese invari ant 2-tori are th e sur vivin g Eulerian 2-tori. From invariant
2-tori on ]R3 x 52 with quasi-p eriodic mot ion we get invariant 3-tori t ha t may be
resonant, but do not foliat e into periodic or bits.
In the next sub section we want to get a similar descrip tion of th e dynamics when
th e centre of mass lies off th e figur e ax is. In that case we have to dereduce from IR. 3 x
5 2 to T* 50(3) before st arting the perturbation analysis. Showing th at invari an t
tori survive th e step from H to H dir ectly on T* 50(3) yields less information, for
instance we will obtain Cantor famili es rather than smoot h 2-parameter families
of surviving Eul erian 2-tori .
248 H EI N Z H A NSS:VIANN

4.2 Motion of a dynamically symmetric rigid body

We investi gate th e moti on of a rigid bod y in a Z2xZ 2-synllnetric affine force field
with potenti al {3y + ax 2 + by 2 + cz 2 . The rigid body is dynamically symmet ric ,
but in t his subsect ion the centre of mass does not lie on th e figure axis. Unlike the
previous sub section , the Hamilton function H = T + V" is not invariant und er th e
right 5 1-act ion R7'" .
Using Corollary 1.3 we consider H as a perturbati on of th e norm al form iI , the flow
of which is orga nized by "isolated" per iodic orbits, th e quasi-p eriodic Hamiltonia n
pit chfork bifu rcati ons and the connect ion bifurcat ion. Whil e t he periodi c orbits
survive th e ste p from iI to H due to the implicit mapping t heorem, th e ot her
organi zing centres are not robu st in th e present sit uat ion. Let us discuss th is in
some mor e detail.
Although we cannot expec t a result as sha rp as Theorem 4.1 to hold , with all
invari ant 2-tori involved in the quasi-periodi c Ham iltonian pit chfor k bifurcation
persisting, it seems reasonable th at th e norm ally hyp erboli c and t he normally
elliptic 2-tori survi ve on 2-dimensional Canto r sets, defined by dio phan tin e con-
ditions on th e int ern al and in th e latter case also on th e normal frequencies. The
norm ally pa raboli c 2-t ori, where th e bifurc ati on t akes place, should persist as a
l-dimcnsional Cantor family, defined by diophantine condit ions of th e ratio of
th e internal frequencies. None of thi s is pro ven yet , bu t in this fashi on th e qu asi-
periodic Hamiltonian pit chfork bifur cati on may be conjectured to persist in a
gener ic Z2-equivariant set tin g.
However , in th e sit uation of our dynam ically symmetric rigid bod y t he normally
paraboli c invar ian t 2-tori a re given by an equat ion of th e form I~I = cans t. a nd th e
value h of the energy. But the frequ ency rati o of th e Eulerian tori is th e qu ot ient
of - //31-/11 ~ bv _/1 I/ll , i.e. the sa me equat ion 1
"JL1 = canst . also fixes th e frequ ency
3 "1
rati o.
Our situation is th erefore degen erate, the int ern al param eters Ipl and ~ do not
unfold th e bifur cation and th e frequ ency ra tio independ ently. Even if th e conject ure
mention ed above is true we cannot a pply it here. \Ve do not know anything about
th e persist ence of th is organizing cent re.
Th e third organizing centre of th e flow defined by XiI is th e conn ection bifurcat ion
of th e stable a nd unst abl e manifold s of normally hyperbolic invari ant 2-to ri. In
general one may expect these sepa ratr ices t o split, while the 2-tori survive on
Can tor sets ; their complement being of sm all relati ve measure this would yield
many tr ansversal hctero clinic orbits bet ween normally hyp erbolic invari ant 2-to ri.
But for the norm al form defined by our dyn am ically symmet ric rigid body all nor-
mally hyp erbolic 2-tori connected by heteroclinic orbits have th e sa me frequ en cy
ratio [WI : 01 = [1 : 0] . Hen ce, we cannot expect th ese 2-tori to sur vive a sm all
perturb ation, the heteroclinic scena rio "falls into a resonan ce hole" .
We underst and the dynamics of th e integrable approxima tion iI of H , but we
have seen that we lack information a bout th e robu stness of its organi zing centres .
 EQ UIVARIANT P ERT URBATIO NS OF T HE E CL ER T op 249

However , many of th e individual features of fI per sist , and we can give a parti al
descrip tion of th e flow defined by XH .
Theorem 4.3 Let H = T + v;, be th e Hamilton fun ction of a dyn ami cally
sy m m et ric rigid body, fixed at one poin t and m oving in a generic sma ll conservative
7l2 x712- symmetri c affine force field. Th e centre of m ass has a non zero component S3
along th e figur e ax is, and th e principal moment s of inertia II = h and 13 satis(y
kh i= LI3 for (k , I) E {(2, I) II E N} U {(3, I) II = 2, . . . . 7} . Th en the flow on
T *50(3)\ 80 (3) has th e following prop erties.
A m easure-th eoret ically large part of th e ph ase space is filled by 3-dimension al
Cantor fam ilies of invariant 3-tori. In com pact subsets of T *50(3) \ 50 (3) the
measure of th eir com plement goes to zero as E: -+ 0 . The m otion on th ese 3-tori is
qu asi-p eriodic, with dioph antine frequ encies. T he rigid body motion along th ese
invariant 3-tori is a s up erp osition of a "fast" rota tional-precessional m otion with
a "slow" nuta tion.
Close to the separa trices of th e integrable approxima tion XfI there are stable and
unstable manifolds of Cant or families of norm ally hyperbolic invariant 2-t ori. Th e
normally hyperboli c 2-t ori are Eulerian 2-t ori, gi\'ing rise to a "fas t" mo tion of th e
figure ax is. Dep ending on th e affine force field, th ese invar iant 2-tori m ay shrink
down to one-param et er famili es of hypoellip tic periodic orbits .
Th e XH-inmriani famili es of 2-tori a t '.5 = ±llli give rise to a 2-dimension al
Cantor family of XH- invariant 2-tori. In compact s ubsets of { '.5 = ±llll i= O}
th e 4-dimensional measure of tlw com plem ent of persisting 2-tori goes to zero as
E: -+ 0 . Th e rigid body mo tion along th ese "non-E ulerian" invarian t 2-tori consists
of a "fast" rot ation s uperp osed by a "slow" m ovem ent of th e figure axis .
Simil arly , th e persisting norm ally ellip tic Eul erian 2-tori form 2-dim ensional Can-
tor families. In com pact subse ts of th e union of Xlrim'ariant normally ellip tic
Eul erian 2-tori th e 4-dimensional measure of th e com plement of persisting 2-tori
goes to zero as E: -+ 0 . In ph ase sp ace normally ellip tic invariant 2-tori lihrink
down to one-parameter fmnilieli of ellip tic periodi c orbitli.
Proof From Cor ollary 1.3 we get the inequ alit y
2
II Ho 1/J - H IIA (h ) ::; c(h ) E:
where A( h) denot es a subset of T *50 (3) on which th e frequency vect or w(IILI, '.5)
is bounded away from th e "low orde r reson ances". The ellipt ic and hyp oelliptic
periodi c orbits persist by means of t he impli cit mapping t heorem if IH o1/JI - HI <
r E: on some neighb ourhood , which holds true for E: < c5,) .
For the persistence of "E ulerian" invari an t 2-tori we use Coroll ar y 6.2 of [Broer,
Huitema, Takcns.su ]. In th e normally elliptic case one has to show th at th e rati o
[WI : W2 : nj of th e int ern al frequencies WI and W2 and th e normal frequency n has
maximal rank as fun ct ion of IILI and '.5 , while in th e normally hyp erbolic case it is
sufficient th at W = ( WI , W 2) has maximal rank as funct ion of IILI and '.5 . Further-
more a smalln ess condition IIH o1/JI - flIl.'(h) < K E:"y 2 8 has to be satisfied , where
250 HEI NZ HAl\ SS:-'IANN

, > 0 is th e constant appearing in th e diophantine condition and K is it lower

bound of ~ 1121. Th e det ails arc completely an alogous to [HanBmann;95], Theo-
rem 7.3. The persistence of most invarian t 3-tori follows again from [Arnol'd ;63]
as det D 2 T (lp l,\S) = - 11~~1 oF 0 and th e thi rd frequency, relat ed to th e "slow"
motion, has a non zero deri vative with respe ct to th e corres ponding action.
For the Xfrinvarian t 2-tori at ':J = ±IJiI we need th e est imate

of Corollar y 1.4. We do not have to compute the normal form of ord er two H ol/J I
as th e corr esponding flow has th e sa me qu alit ative description as th e flow of X H '
due to th e stability of th e family HI1l1.\) •
Again one has to show th at the diophan tin e conditions th at ens ure th e persisten ce
of th e normally ellipt ic 2-tori are fulfilled on a 2-dimension al Can tor set and that
th e (in this case somewhat stronger ) sma llness condit ion IH 0 0 - HI < K f: 2 v 2 /j
is met, confer [HanBmann;95], Theorem 7.4 for th e det ails ; q.e.d.
The normally elliptic Eulerian 2-tori in the symmet ric case are sta ble in t he sense
of Lyapunov, sec Theorem 4.2. In th e dyn amic ally symmetric case at hand the
invar ian t 3-tori ca n no longer help to separa te different parts of th e phase space .
However , th e time it takes to leave neighb ourhoods of pers isting normally ellipt ic
Eul erian 2-tor i is very long , it increases exponent ially with t he smalln ess of t he
affine force field . The necessary Nchorosev est imates for perturbati ons of th e free
rigid body have been obtained in [Fasso;91] a nd [Bcnctt in.Fasso.Ds].
Note th at we do not claim t hat th e Cantor set th at parametrises th e normally
hyperbolic invar iant 2-tori is nonempty. Indeed, if the linear part of th e force field
is very small compared to the constant part, th ese tori might all fall int o th e
"resona nce hole" around \S = 0 . In thi s sit uat ion we have th e choice between two
different sizes e of the perturbing force field. For KA;\I-theory to work (and th e
conclusions of Th eorem 4.3 to hold true) th e size e must already be rather sma ll.
Fur th er rest rict ion of f: shrinks th e widt h of th e excluded st rip aro und 8' = 0 , until
for a distinctly smaller size e of th e perturbat ion t he qu asi-p eriodi c Hamiltonian
pit chfork bifurcati ons of t he integrable a pproxima t ion lie sufficiently far ou tsid e
thi s strip. As expected. th e normally hyp erbolic 2-tori arc th en param ct rised by a
2-dimensional Cantor set.

Conclusions
In Sections 2-4 we were able to identify periodic and qu asi-p eriodi c motions of a
dynamic ally symm etric rigid bod y in a Z2xZ2-symmetric affine force field. Along
the same lines one can tr eat perturbations by other (Z 2xZ2-symmetric) force fields.
We can make th e reduc ed dynamics on S~tl x {\S} arbitrarily compl ex, just choos-
ing the a ppropriate force field . However , if th e nonlinear part of t he force field is
 E QUI VA RI A NT P ERT URB ATI ONS OF THE E CL ER To p 251

sufficient ly sma ll wit h respect to th e affine part. Theor em 4.2 and 4.3 rema in true.
In t his sense we described a robust sit uation.
In th e dissipative context the qu asi-p eriodi c period- dou blin g bifurcati on is shown
to be robu st on Cantor sets in [Braa ksma, Broer, Huit em a;90]. For Z2-sy mmetric
Hamil tonian systems a similar approach should yield t he persistence of the qu asi-
periodic Hamiltoni an pitchfork bifurcat ion . In app lications one often encounte rs
sy mmetries, so it would be wor thw ile to pro ceed towards an cquivariant K A~[­
t heory. On t he ot her hand , every symmet ry raises the quest ion : what happens if
t his sym metry is broken , how does t he symmet ric system unfold with in th e space
of all sys te ms ? For the rigid body sys te m discussed here t he answer can be g uessed
from [Hanllm ann;95].
Acknowledgements. I want to t hank Honk Broer. Fran cesco Fasso, Ge rto n Lun tcr
and Florian Wagener for valu abl e commen ts and rem arks. The figures were dr awn
using t he software package DYNPAO of Reuse Pos t humus , for a description see
[Posthumus,Scholtmeijer ;90]. Finally I would like to acknowledge t he support of
the Departm ent of Ma t hema t ics at t he R ijksuniversit cit Groningen where par t of
this pap er was wri tten .

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Progress in Nonlinear Differential Equations
and Th eir Appli cations , Vol. 19
© 1996 Birkh iiuser Verlag Basel/Switzerland

On stability loss delay for a periodic traj ectory

A, L Neishtadt , C, Sima and D. V . Treschev

1 Introduction
St ability loss delay is an interesting, important and so far not completely clear
phenomenon. It s essence is as follows. Consider a system of differenti al equatio ns
dependin g on a slowly varying par am eter. Suppose th at th e syste m has an equi-
librium position or a period ic t rajec tory for any fixed value of the param eter.
Suppose also th at th e par am eter pas ses th rough a bifur cational value: th e equilib-
rium (periodic trajectory) loses stability but rem ains nond egenerat e. In t he case of
an equilibrium a pair of conj ugate eigenvalues leaves th e left half-plan e not pass-
ing th rough zero. For a periodic tr ajectory either a pair of conju gat e mul tipli ers
leaves th e unit circle not passing through th e point 1, or one real mult iplier goes
awey from th e un it circle through the point -1. If th e system is analyt ic, a delay
of stability loss t akes place: phase points attrac ted to th e equilibrium (periodi c
tr ajec tory) long before t he moment of th e bifur cation remain close to t he unstabl e
equilibrium (periodic tr aj ectory) until the cha nge of the param eter is of order one.
T he velocity of th e parameter cha nging can be arbitra ry small. In non- an alyti c
syste ms (even in t he Coo case) in genera l th ere is no such a delay of stability loss.

In t he present pap er stability loss delay for periodi c trajec tories is considered.
We obt ain a lower estima te for th e time of th e delay. Under some assumpt ions
thi s esti ma te gives also th e asy mptotics of the escape tim e. We illustrate analyt ic
results by result s of num erical experiments .

The phenomenon of stability loss delay for equilibria was discovered in [1]
for one mod el system of ODE. In [2, 3, 4] it was shown th at thi s phenom enon is
unavoidabl e in analytic systems of differential equat ions and in an alyti c maps when
a paramet er passes slowly t hrough a bifurcational valu e as was describ ed above.
For th e case of equilibr ium an asymptotic formul a for th e moment of departure
from a n unst able equilibrium is known under ra ther genera l conditions [4, 5]. Some
aspects of stability loss delay for periodic tr ajec tori es are considered in [6] . There
are exa mples of st ability loss delay in some probl ems of laser physics, biophysics
and chemical kinetic s (referen ces can be found in [7]).
254 A. 1. ~ EI SHTADT , C . SIMO AN D D . V . TR ESCH EV

2 Basic equations
\Ve consider systems of th e following form :

X= f(X , T, E), 7=E . (2.1)

Here 10 is a small nonn egative parameter , and x belongs to an open subset of IR n + l .

It is useful to consider th e syste m (2.1) for 10 = 0 separately. It is as follows:

x = f( x , T , 0), T = const. (2.2)

Suppose th at for any fixed T E [T], T2] th e system (2.2) has a periodic solu t ion
cont inuously depending on T . Let L T be t he trajectory of thi s solution and let
T(T) , W(T) = 2r./ T, PI(T), . .. , Pn(T) be per iod , frequ ency and multipli ers of L T
resp ecti vely. Later we consider L T as sets in t he space of t he variables x , T as well
as in th e space of th e vari abl es x .
We assu me th at for T < T. E [Tl , T2l th e periodic solut ion L T is linearl y
asymptot ica lly sta ble (all th e multipliers are inside th e unit circle) a nd it loses
stability at T = T • . Either a pair of complex conjuga te multipliers PI a nd P2 = lit
leaves t he unit circle and PI,2(T.) =J 1, or one real multiplier PI leaves the uni t
circle throu gh th e point -1. The other multipliers rema in inside th e unit circle.
If th e right-hand sides of t he equations (2.1) can be cont inued a nalytically in
x , T and smoothly in 10 to a complex neighborhood N of t he periodic tra jec tory LT.
th en the stability loss delay occurs provided th e neighb orh ood X ca n be chosen
ind ep end ent of 10 [31 .

3 Basi c assumptions
Lat er on we assume that th e periodic solut ions L T exist for T E U. where U c C is
an op en neighborhood of t he point T • . Moreover , we need t he following assumpt ions
to hold :
C 1. In the domain U all the multipliers PI(T) are analyt ic in T and distin ct from
one. The frequency ;".' is analyt ic and does not vanis h in U .
C2. In the doma in U the multipliers PI(T) are pairwise distinct.

a. Escap e of a pair of conj ugate mul tipli ers from the unit circle
Suppose th at a pair of complex conjugate multipliers PI and P2 = lit leaves t he
unit circle at T = T. and PI,2(T.) =J 1. In stat iona ry bifur cati on th eory su ch a loss
of stability of a periodi c solutio n is called a Poincare-Andronov-Hopf bifur ca tion .
Without loss of genera lity we may assume th at
 0;-; STABILITY LOS S DELAY FO R A PERIOD IC T RAJ EC T O RY 2.'')5

We put
A?(r) = IO~(~~T) , Illl A?(r, )T (r , ) E (-". ,11) ,
(3.1)
Af(r) = A?(r) - ikw(r) , k E Z.
Obvio usly, for a ny k E Z t he equality PI = exp(T An holds. We have th e following
relat ions:

A~(r ) .\2 k Cf), T E U. k E Z, (3.2)

ImA?( T.)T(r.) E (- 11', 0), RcA~ (T,) = RcA~(r.) = o. (3.3)

Below an important role is played by t he funct ions

'ljif (r ) = 1~ Af(s)ds, ¢f (r ) = Re 'ljif(r ), ¢±(r ) = 'fRe 1~ iw(s ) ds, r E U.

(3.4)
Obviously, ¢±(r ) = 0 for real r . Lat er on we need th e following ass umpt ion
C3 . The equation ¢± (T) = 0 , r E U has only real solutio ns.

Let l'f( IT ) be level lines of t he funct ions ¢f (r): "If (0") = {r E C : 9f (T) = O" }.
From (3.3) it follows t hat t he funct ions ¢~ a nd ¢~ . rest ricted to t he real axis, have
a critical point r = r,. Consequently , t he curves l [k (O) . 1= 1,2 are tangent to th e
rea l axis at t he point r,. Since the funct ions Re Af( r) . I = 1,2, r E lR change sign
from - to + when r passes th rough th e point r, th e point r, is a local minimum
of the functio ns ¢~ and ¢~ for real r .
T he relat ions (3.1)-(3.2) imp ly that for fixed 0" > 0 the curves l'[k(O" ), I = 1, 2
intersect at the real points T±(O") , where

s E lft (3.5)

It
Note t hat due to (3.2) the curv es (0") and 12k (0") are symmetric in the rea l axis.
!\' ow conside r t he family It
(0"), 0" > 0 in more detail. Let r- (0") , 0" ::: 0 be
continuous in 0" families of segments of the curves .-yk (0" ) sat isfying t he following
condit ions:

1. end points of r k(O" ) a re T±(O"),

2. t he segme nts rk(O) degenerat e to the point T"

Proposition 3.1. The f am ilies r k (0" ) are defin ed on an interval [0, 0"0 ], 0"0 > O.

T he geometry of t he curves r k(O" ) is descr ibed by th e following

256 A. 1. t\E ISHTADT , C. SIM O A ND D . V. TRESCII E\'

P rop ositi on 3.2. S uppose that the equation Ipi (T)I = 1 has on the line segment
[7- (ao) , T+(ao)] C IR the uni que solution T = T• . Let the f amilies r Ota ) and r - I (a )
be defined for 0 :::; a :::; ao. Then the following assertion s hold.
(a ) Th e curves r O(a) (respect-break ively, r - I (a)) , 0 :::; a :::; ao lie in the upper
(respectively, in the lower) half-plan e.
(b) The f amilies [ k(a ) are also defin ed for 0 :::; a :::; ao.
(c) All the curves r k(a ), 0 :::; a :::; ao lie in the closed dom ain b C U bound ed by
r - I (ao) and r O(a o).
Let us fix ao sat isfying th e conditions of P roposit ion 3.2. We denote by
D - I (respect ively, DO) th e do mai n hounded on t he complex plan e C T by t he
curve r -I (a o) (respectively, r O(a o)) a nd th e line segment [7- (ao). T+(a[) )]. Let
D; I , D~ C C T be th e dom ain s symmetric in t he real axis to D - I and DO resp ec-
tively. Our basic assu mpt ions are as follows:
AI. Eith er D;I c DO or D ~ C D - I.
We pu t D = DOU D? in th e first case and D = D - J U o;' in th e second
one. Without loss of generality we may assume that t he first case ta kes place.
A2 . For any 3:::; l :::; nand T ED n IR the inequalities Ip, (T)1< 1 hold.
A 3 . Each of the fun ctions ¢r (T), ¢± (T) (except </J?(T) and Og(T)) restrict ed to the
boundary a D of the domain D has a unique maxim um and maxima of the f un ctions
</J± laD are nondegenemte.
Rem ark Since </J±(T) vanish for real T, t he cur ve a D is sm ooth at th e point s of
maximum of th e functi ons <i> ± IDD.
P rop osit ion 3.3. If the mu ltipliers PI (T), P2(T), T E IR cross the unit circle at
T = T. with nonzero velocit y then conditions A 1-A3 are valid for small a o > O.

b. Escap e of a real multipli er from t he uni t circle

through t he point -1
In t his subsect ion we assume that stability loss of th e periodic soluti on L T occurs
as a resul t of escape of the real multiplier PI from t he uni t circle th rough - 1. This
case turns out to be very similar to th at considered in th e previous subsectio n a nd
all constructions a re almost t he same. Here we again assume t hat the condit ions
C 1- C 2 hold .
First, we int rodu ce the char act eristi c exponents >.r by using relati ons (3.1),
where th e condit ion Im >'?(T. )T (T. ) E (- rr, rr) is replaced by th e following one:
>'? (T.)T(T. ) = - irr.
Second, we introduce th e functions 1/Jr (T), </Jr (T), <t>±(T) and th e cur ves " k(a )
in t he sam e way as in subsection a. \Ve assume that t he functions ¢ ±(T) satisfy
condition C3. The point T. is a local minim um of the funct ions 9~' for real T and
t he curves , f( O) are ta ngent to the real axis at th e point T • . For fixed a > 0 th e
curves , f( a) intersect a t t he rea l points T±(a) sat isfying (3.5) for 1=1.
 0" STAI31 LlT Y LOSS DELAY FO R A P ERIOD IC TRAJ ECTORY 257

Now we can consider families of the segments [ k(a ). a 2: 0 defined by condi-

tion s (1)-(3). P ropositio ns 3.1-3 .2 obv iously, remain valid . Let ao sat isfy cond itions
of P roposition 3.2 and let De C, be t he domai n bounded by t he curves rO(ao)
and r- 1(ITo ), We ass ume that t he following conditions ar e valid :

B1. For an y 2 S; l S; nand T ED the ine qnal iti es Ipl(T)1 < 1 hold.
B2 . Ea ch of th e f unct ion s ¢ f (T),¢±(T) ( except 9?(T) and <Pi l (T)) restricted to
th e boundary aD of the dom ain D has a uniqu e ma ximum and maxima of the
f un ction s ¢±laD an~ no ndegenemte.

We have t he following analog of Proposition 3.3:

Proposit ion 3.4. If the multipli er PI (T), T E JR cross es the unit circle at T = T.
with nonzero velocit y th en conditions B 1-B2 hold f or sm all ao > O.

4 Estim ates for the tim e of delay of stability loss

In this sect ion we present theorems estimating t he time of delay of st ability loss.
In two cases we deal with th e following: when two comp lex conjugate multip liers
leave t he unit circle and when one real mul t iplier docs th e sam e. We ca ll th ese two
cases A and B resp ect ively.
We define t he functions

by the following relations

J:' Re A?(S) ds = J~~( ') Rd?(s) ds, J:' 11 (S) d» = J,~(') Rd?(s) ds ,
/1 (T) = maxI Sj Sn Rd J (T).

T he functio ns II (T) and fI(T) evident ly coincide for r close to T•. Consider a
solut ion x (t ) of t he system (2.1) with initial cond itions at t = to = To /c , TO E
[,-(ao),T.) .
Theor em 4.1. Suppo se that the point x (to) is inside a ci l-neighbo rhood of th e
periodic traj ectory L ,o' T hen f or TO + c2c l logcl S; et S; fI(To) - c3cl logc l the
solution x(t) is inside a cse -n eiqhborhood of L ei '

Here and below Cj are positive const ant s. Appearance of a constant Cj in

some assertion mean s t hat there exists a constant Cj sat isfying th is asse rt ion .
Accord ing to T heorem 4. 1 for any solut ion at tracted to t he famil y L , at
T "'" 'a , t he loss of stability delays at least up to the moment T "'" fI(To) .
To calculate an asy mptotics of t he escape moment we need ad ditional as-
sumptions and not ations. Let t he following condit ion hold:
258 A . 1. l\EISHTADT, C . SIMO AND D. V . TRESCHE\'

A4. Rd5 (T) < Re.\?(T) for all j = 3, . .. , nand T E [7- (0"0 )' T* ] for th e case A
and

B3. Re..\5(T) < Re..\?(T) fo r all j = 2, . . . , nand T E [7- (0"0)' T.) for the case B.

Obvi ously, A4 implies th e identity n(T) == II(T) in th e case A and B3 impli es

the same identity in th e case B.
If th e point 1'(t o) is close to th e traj ect ory L T O th en th ere exists a unique
point 1'00 E L T O which is the closest to J: (to). Con sider a hyp erplane 8 0 C IRn +1
containing the point J'oo and tr ansversal to L TO at 1'00. In a sufficient ly sma ll
neighb orhood of th e point 1'00 on th e hyp erplan e 8 0 th e first ret urn map of th e
system (2.2) with T = TO can be defin ed . The multipliers Pl (TO). . .. , p,.(TO) are
eigenvalues of the linearized a t J:oo first return map. Let 8' and 8 " be eigonspaoes
of t he lineari zed first return map , which correspond to th e mul tipli ers PI, P2 a nd
P3, .. . , Pn resp ectivel y in case A . In case B they correspond to PI and P2 , · · · ,Pn'
We denote by (3' and ,3 " proj ectio ns of the vector 1'(to) - .1'00 to 8' and 8" . If
n = 2 we put (3" = O.

Theorem 4.2. S uppose that the point 1'(to) is inside a cs l -neighborhood of the
periodic traj ecio ru L To ' Let 1,13' [ > CDC and [,13"1< C7 1C . Then

(1) for TO + c2c[log c[ ~ et ~ II(To) - c3EIlog EI the solution x( t ) is inside a

cse -nei qliborhood of L EI!

(2) the point X(td) is outside a c;,l-neighborhood of the trajectory L Et d for som e
i«, where Ic:td - II (To)1 < cgE[log EI .

Assertion (1) of Th eorem 4.2 is just a rep et ition of Th eorem -l.I . According
to assert ion (2) , a solution attracted to th e family L T at T :::::: TO esca pes from L T
a t T ~ Il(To ) .
Introducing ass umpt ions add it ionary to A1-A3 or to B1 -B2 one can get
lower estimates for th e delay time , which arc better th an th e ones in Theorem 4.1
(sec e.g. assumptions A4 , B3 and T heorem 4.2) . Below we formulate conditions
A5 and B4 , which as a rul e are less restrictive compared with A4 and B3. Under
cond it ion A 5, B4 t he delay t ime turns ou t to be greater than in Theorem 4.1 but
less than in T heorem 4.2 (sec Theorem 4.3) . We denote

VJ(T) = ..\7(T) - ..\?(r) , "7(r) = -L T.

vJ(s)ds. k E Z.

Here j = 3, . . . , n in case A and j = 2, . .. , n in case B. Let t5j (O") C iC T be level

lines of the functions Ii] (r) . Assum e that t he following condition holds .
 0 ;.; STABI LITY LOSS DELAY FO R A P ER10DIC T RAJECTORY 25!l

A 5, R4 . There exists a dom ain D c D suc h that

(a) the set Dn Rc C coincides wi th the line segment [7- (()o), T+ (()o)].
(b) any curve 6J(()) has at most two poin ts in common wi th the boun dary of the
dom ain D.
We define th e functi on IT [7- (o-o), T. I-. [T"T+(o-o)1 by th e equa lity
J:'
~l( s ) ds == J::(r)
Rc.\?(s) ds ,
max{Rc.\? (T), 2Rc.\~( T ), , 2Re ..\~; (T) } in case A,
P(T) == {
max{Re ..\? (T), 2R c.\g(r ), ,2Re ..\?(Tn in case B.

Obvi ously, IT (T) :S IT(T) :S fI(T). Under conditio ns A5. B4 we can improve th e
est imat e of Th eorem 4.1 in th e following way.

Theorem 4.3. Suppose that th e point :r (to) is in sid e a cl l -neighborhood of the

tmjectory L ro . T hen for TO+ c2e:llog e: 1 :S et :S IT(TO ) - e.1ollog e: 1 th e solu tion x( t)
is in sid e a c~ e: -n eigh borh ood of L Et .

5 Discussion of results and conditions. Examples

Wh en e -. 0 th e attract ion of a solut ion to th e family L; and th e esca pe take
place inst antly in the slow time . The corresponding limit valu es of the slow t ime
are called th e moment s of fall and escape. Dep end ence of th e esca pe moment on
th e moment of fall, if it exists for a maj ority of initial conditions with t he given
moment of fall, det ermines an in-ou t func tion . In th is definition one should t ake
th e initi al condit ions from a sma ll O (1)-ncighhorhood of th e periodi c tr aj ectory
L r o ' where TO is th e mom ent of fall.
Accord ing to Theorem 4.2, under certain ass umpt ions t he in-out function
coincides with th e funct ion IT introduced in Section 4. T heorems 4.1 and 4.3 give
lower esti mates for th e moment of escape . App ar entl y. th e est ima te given in T he-
orem 4.1 is not sharp. (This est ima te would be sharp if we did not assume t ha t
condit ion C2 holds, sec Ex ample 5.2, bu t without thi s condit ion th e est imate has
not been proved.) The est ima te given by Theorem 4.3 is sharp (see Example 5.3).
Theorems 4.1 and 4.2 would be rath er simpl e assert ions if th e surface AI ==
Ur 1s r S r 2 Lc, formed by th e perio dic solutions L r . were invar iant with respe ct to
th e phase flow of th e syste m (2.1). This case can be called th e case of a "t rivial"
delay of sta bility loss. In thi s case th e solution falls by th e moment T == T. to an
exponent ially na rrow neighborhood of th e sur face ,1£. Hence, the solut ion needs a
long time ( ~ l i e:) to go asid e from th e surface M . Theorems 4.1 and 4.2 give a n
estima te of this time a nd asy mpto t ics of th e moment of escap e.
As a rule th e surface M is not invariant. In proo fs of Theorems 4.1-4.2 a
sur face 11£, is constructed which is invari ant with resp ect to th e ph ase flow of
260 A . I. NEI SIITA DT , C. SIMO AND D. V . TRESCH E\'

th e syst em (2.1) and O (c-)-close to th e sur face 111 for TEl , where I c IR is an
int erval containing T•. This int erval is det ermined by th e behav iour of th e sys te m
for complex values of T. Wh en th e sur face AlE is const ru ct ed th e origina l problem
is reduced to t he prob lem of ana lysis of a " t rivia l" stability loss delay.
Remarks 1. In genera l th e surface 111 is not ana lyt ic in e. The form al series in e
of t he perturbation th eory for M, di verges at T = T • .
2. In th e pa pe r [3] a formal series of th e per turba tion th eory for M< is cut a t
terms of orde r c-const /<. By t his method th e existe nce of a surface invari an t with
a precision ~ exp( - c l l / c- ) has been prov ed bu t th e constant C l has not been
cont ro lled . The existe nce of an invarian t sur face M , ca n be eas ily derived from
thi s. Bu t for th e int erval I = [a, b] only the estimate a < T. - c2" l. b > T . + c3 1
with constants C2 , C3 we ca n not control is ob tain ed .

To prove Theorem 4.3 an addit iona l a na lysis is needed afte r const ruc ting th e
sur face 111, and reducing th e probl em to th e case of " t rivial" delay. We introduce
for th e sys te m (2.1) new coordinates such th a t th e matrix of th e sys te m linear ized
ncar AI, has a nill corner: t he equa t ions corres pond ing to t he multipli ers PI .2
separate (recall that th e multipliers PI ,2 are resp ons ible for the sta bility loss) . To
const ruct t hese coord ina tes it is necessar y again to deal with complex values of T .
The idea is similar to tha t of construct ing the sur face lvl< . Est imat es in th e new
variables lead to Theorem 4.3.
Below we present exa mples illustrating th e ph enomenon of stability loss delay
and behavior of in-out fun ction .

Example 5.1. (Multiplier One). Con sider the following linear non-homogeneous
sys te m written in a complex form:

i = (T - Qi)z + c-h(13) , {) = 1, i >. «,

oc
h = L h ke
i k ii
, h = e- 1kl ,
k
0 < a < 1/2. (5.1)
k = - oo

The variabl e 13 is defined on th e circle 1R/ (271"Z). For c: = 0 th e system has the
period ic solut ion z = 0, {) = 1, T = const. Its mul tipliers are P 1.2 = e21f(T'F o i ) .
The periodic solution is stable for T < 0 and unstabl e for T > O. At T = T . = 0
there are two conj ugate multipliers on th e uni t circle. The eigenvalues introduced
in Section 3 are A t 2= T =F ia - ik . The functions 7jJ~.2 and 1>t 2are as follows:

The eigenvalue A? vanishes (and t he multiplier PI becomes equa l to one) for T = io :

The level lines 1>? = const passin g through the point ia are two st ra ight lines
int ersecting th e real axis a t th e points -a and a. The other level lines of 1>? are
hyp erbolas (see Fig. 1).
 0 :-; STA BILITY LOSS DELAY FOR A P ERIO DIC TRA.JECTORY 261

ImT
ia

ReT
a

Figure 1

Level lines of t he functi on ¢>~ ca n be obtained from level lines of ¢~ by th e shift on

k along t he imagin ary axis. Level lines of d>~ arc symmetric to t hose of <Pi k in th e
real axis. Let D. be th e square bounded by th e level (st raigh t) lines of ¢ ? 2 = const
passing through th e po ints ±i. \\'e can choose as a domain D (see Secti on 3) a ny
sub-domain of D. bounded by the hyp erb olas ¢? = ¢?(a ) and 1>8 = ¢8(a ) which
intersect the real ax is at th e points ±a, 0 < a < o .
To investiga te stabili ty loss delay in th e syst em (5.1) we const ruct an integral
sur face AlE of t he form
oc
Z = 2 (T , u,=: ) = L z k(T.c )ei k l! . (5.2)
k = -oc

The coefficients zk sat isfy th e different ial equat ions

i k = (T - oi - i k)zk + =: hk . (5.3)
Hence, we redu ce th e problem of stability loss of a per iodic solution to th e problem
of sta bility loss of a n equilibrium.
The behavior of solutions of equa t ion (5.3) is well-known (sec e.g. [4]). In
particular let us choose init ia l cond it ions a t T = TO = -(\ - 1/ 2 in the following
way: z k (TO. :o) = ilk . Then for k: i' 0 we have Izkl < c lch k for TO + c2=: l log =: 1:; T :;
-TO - c2=: llog =:1 . The function ZO sa t isfies the est ima tes

Izol :; CtE for To+ c2=:llog EI:ST:S o- c2=: llog EI .

Izol > for T ~o +c2 E llog EI.
262 A. 1. !\EISIITADT , C . SIMO AND D . V. TRESCH EY

Hence for th e surface (5.2) we have:

for TO + c2cl log e ] ::; T ::; a - c2cl log =1.

> for T = C\ + C2CI log e I.

z
The magnitude ~ = z - satisfies t he hom ogen eou s equa t ion ~ = (T - ai )~ .
Now it is easy to constru ct th e in-out fun ction for the syste m (5. 1). Phas e
points at tracted to the famil y L T at T ~ T _ E (-0 ,0 ) escape at T ~ T+ =
- T _ . Therefor e, for T E (-G , 0) t he in-out fun ct ion coincides with th e fun cti on
IT introduced in Section 4 (d. Theor em 4.2). Phase points attracte d to L T at
T ~ T _ < - C\ escape a t T ~ u . Such a me tamorphosis of t he in-ou t fun cti on at t he
point T = - a happens because the Stokes line passes thro ugh this point. Here we
mean by the Stokes line the curve ¢?
= const going through th e point o i, where
th e multiplier PI becomes equa l to one (cf. assumption C 1).
Rema rk In the exa mple we have considered ab ove a periodic: solut ion L T and its
multiplier s that are regul ar a t the point where a multiplier becomes equa l to on e.
This case is degenerate. In a ty pical system t he peri odi c solut ion a nd its multipliers
branch a t t he point where a multiplier one appear s.
Example 5.2 . (Double multiplier ). Consider the sys te m

z (T - ai )z + cW + ch(iJ), z= XI + i X2,
w (-fl - (3i)w , W = X3 + ix i. (5.4 )
!J 1. += c.
Here h a nd a aro the sam e as in (5.1), 0 < (3 < 1 and 0 < fl < G . Xlultipli cr s in
t he sys te m (5.4) are (i 1.2 = e2 ;r ( T 'f a i ) and (i3 ,~ = e 2;r ( - l l 'f IJi ) . The system (5.4) has
a double mul tiplier at T = -11 ± (a - (3)i + i k and T = - fl ± (a + 3 )i + i k , k E IZ.
In the exa mple in questi on only th e pair with k = 0 is essent ial. If t he conditio n

It + 10 - (31< G (5,5)

holds, th e double multiplier is inside the squa re D ., see Fi g 1. In thi s example the
in-out fun ction F ca n be ca lculate d by using an explicit solution of (5.4).
Proposition 5.1. (a) . Supp ose that the con dition (5.5) is valid. Th en

- T, -P - 10 - (31::; T < 0,
2 + 112 _ (u _ (3)2
v..(0 -
0
F(T ) = f3J2 - p
2
- 2 T fl , - 2fl ::; T < - II -10 - .81,
0 2 + )1 2 _ (0: _ (3)2 .
{
G, T <- .
2)1

(b) . If th e con dition (5.5) does not hold then

-0: ::; T < 0,

T < -0.
 0 :-: STA BILITY LOSS DELAY FOR A P ERIODI C T RAJ ECTORY 263

Let condit ion (5.5) be sa tisfied. Theorem 4.1 gives us an est ima te from below for
the in-out function on t he int er val (- J I12 + 2a la - 131 - (a - ,6 )2,0) only. (T he
left end point of this int erval is connected with th e point T where two mul tipli ers
coincide by a level line of th e function 4>Y.) Condi tion :\2 docs not allow us to
enlarge th e interval. T he function s Il and IT, introduced in the Section 4. arc as
follows:
IT(T) = { - T. - fl :S T < 0,
Il (T ) = - T , J-
211T _ 112 . T < -fl .

We sec, th at IT < F < I1 for - (\ < T < - I I - la - ,6 1 a nd a # ,6. If (\ = [j (t he

dou ble mul ti plier is on th e real ax is) , F( T) == IT. Thi s exa mple shows th at first , one
can not replace IT by I1 in the Theorem 4.1 and second . t he asse rt ion of T heorem
4. 1 may remain valid with ont assumption A2 a bout a bsence of double multipliers.
We believe th at also in th e genera l case one can skip assumpti on A2 in Th eorem
4.1.
Remark In Example 5.2 th e mul tipliers rem ain regular at th e point T, where a
doubl e ruulriplicr appears. In a general case th e mul tipli ers branch at t his point.
Eiample 5.3. (Reson ance. ) Consider th e sys te m
_ (T - n i) z + c w 2 + c h (IJ) , Ii.' = (- I I - (li )li' , (5.6)
I) 1. T = c.

Here h., a .11. 3. z, 111 and multipliers Pl ,2 ,:J,4 ar c t he same as in Exam ple 5.2. Th ere
is th e resonance PI = P§ in the syste m (5.6) at T = -2p ± ira - 20 ) + ik. T =
- 211±i(n + 23) + ik , k E Z . In Theorem 4.3 th e in-out functio n is est imated on t he
int erval (-a . 0) from below by th e fun ction fl. T he exac t in-out functi on for the
sys te m (5.6) is given by Propo sition 5.1. where II and :3 should be replaced by 2fl
and 2,6. In particular , if o = 2(3 (reso na nce on t he real axis ) th e in-out function for
- n < T < 0 coincides with th e function fl. Thi s example shows th at the est ima te
of the Th eorem 4.3 ca nnot be improved.

6 Proof of Theorems 4.1-4.3

In this sect ion we prove Theorems 4.1-4.3. \\'1' consider only case A. The proof in
case B is th e Sallie. Below we assume th at condi t ions C I -C:3 and AI-A:3 hold .

a. Basic Lemma
Since for any T E D all th e mul tipli ers PI (T) arc pairwise dist inct and distinct from
one (see assumptions CI -C2), in th e vicinity of th e trajecto ries L T , TED t here
exists an ana lyt ic cha nge of th e variables (":1 . . . . ,xn+Jl - (~l " " . ~" . ,,: ) reducing
th e sys te m (2.2) to th e form

d~ /dt = A (T )~ + 1> (~, ,,: , T), d,,:/dt = W(T) + <p / (€, ,,:,T).
1\ = d iag('\?, . .. . ,\~).) , 1> = (1)1,' . . , <p n f = O ( I~ ! ~ ) . <pI = O(I€Il.
264 A . I. NEISHTADT , C. S IM O A ND D. V. TRESCH E\'

All t he functi ons <P'. <P I • . . . , <P narc 2r.-periodi c in cp. The va riables (€1 , . . • , i; 0 )
are usu ally ca lled t he Floquct coordinat es.
The .syst cm (2.1) in t he varia bles €. CP ,T has t he form

d€ /dt [A(T) + EB (cp, T,E)l€ + Eil(cp, T, E) + F (€, :;. T, f) ,

dcp/ dt w( T) + Eli(cp ,T,E) + F' (€, cp, T, E), (6.1)
ilr f dt

Here th e functions B = (BII ,) . il = (ill.... JI"f, F = (Fl..... Fn f. ii , a nd F'

are 2r.-p er iod ic in :; and t he following condit ions hold:

€
By a n analyt ic cha nge of varia bles ~ = + O(E), 'P = 0 + 0( E), which is 27l'-period ic
in :.p we can red uce t he syste m (6.1) to the following form :

[A(T , f ) + E 2Bo(cp,T, E) l~ + E 3 h o(cp ,T, E) + Fo (~ . y . T, E),

w(T, E) + E:1ao(cp , T, E) + F(, (~ , cp ,T, E), (6.2)
T C'

where for any TE D

A(T. E) diag().l (T,E) ), )./(T, E) = -\?(T) + O(E). (6.3)

W(T,E) W(T) + O(E), Fo = 0 (1~ 1 2 ), r; = O ( [~ I) .

We call a funct ion bounded if its a bsolute value is bound ed by a constant not
dep endi ng on E .
Basic Lemma. Th ere exis ts a change of the vari ables

su cli th at th e f unct ions

~( :.p.T ) /f2 . %(cp. T)/ E T E D, 11m 1/.>1 :S f30 / 2

are bounded and th e s ystem (6.2) in the vari ables r/. 1/.> , T has th e f orm

[A(T, E) + E2B (,p, T, E)l 1/ + F (1/. i». T. E).

W(T, E) + F' (,/. 1/.> , T, E), (6.5)
T = E.

Here the fun ctions B . :;'-. F, F ' are analytic an d bounded f or

[1/1 :S Cro /2, TE D, 11m 1/.>1 :S 130/ 2,

F = 0 (1'/12 ) , F ' = 0 ([1/1) and the constan ts (Yo , 130 are posit ive.
\Ve prove t his Bas ic Lemm a in Sect ion 7.
 ON STAB ILITY LOSS DE LAY FOR A PERIOD IC TR AJECTORY 2fi5

b. Separation Lemma
To prove T heore m 4.3 we need one more lemma. Let 9J1 an d 'J1 be t he followin g
linear subspaccs of Liri, IR ):

= {M = (M j k) E L(n ,IR) M jk = l\!kj = 0,

9J1 for j = 1, 2, k = 3, ... , n}
'J1 = {N = (Njd E L ( n , ~ ) N j k = N kj = 0, for j , k = 1,2, or j ,k = 3, ... , n}
Ob viou sly, L ( n , ~ ) = 'J1 EB 9J1 an d for any N I , N 2 E 'J1. AI E 9J1 we have:

N 1N2 E 9:11, NIl\! E 'J1, M N 1 E 'J1.

Sep aration Lemma. Suppose that condit ion A5 holds. Then there exists a linear
change of the variables

1] = (I + EN (7/J ,T ,E))(, 1 = diag(1. .. . , 1) (6.6)

such that the matrix function N( 'l/I,T, E) E 'J1 is bounded in the complex domain
11m '1/11~ .30 /4, TED and the syst em (6.5) in the vaiiables ( , 7/J, T takes the [o rtn
( [A(T, E) + E2 .8('1/),7, E)j( + i (( . L' . T, E),
7/J W(T,E) + i'(( , Ij! ,T, E). (6.7)
T E,

where B( ~!' T,E) E 9J1, the functions B, i , i ' are analyt ic and bounded 101'

17]1 :S 0:0/ 4 , TED, 11m 1/'1~ 30 /J"

i = 0( 11]12 ) and i ' = 0 (11]1) .
T he Separation Lem ma shows t hat cond ition A5 implies t he possibility of a
linear separat ion of t he varia bles 7]1, 7]2 from 7]3, . . . ,1]n by a linear cha nge . In case
D th e corresponding statement asserts that the variable 1]1 can be separate d in
linear te rm s from 1]2, " . , 11n provided condition BJ, holds.

c. Proof of T heorem 4.1

Con sider th e solut ion 7](t), 7/J(t) of the sys tem (6.5) wit h init ial conditions at t =
to = T O/ E.
Lemma 6.1. Suppose that 17] (to)1 < djl. Th en for TO + d 2E IlogE I ~ et ~ fI(To) -
d3 EIlog EI we have 17](t ) I < d 4 E.
Theorem 4.1 is a n obvious coro llary of Lemma 6.1. One should consider th e
solut ion ~·(t ) in t he variables 7] ,7/J a nd use Lemma 6.1.
Proof of Lemm a 6.1. Int roduce t he Lya pu nov fun cti on
n
W (r]) = 'L I/jT/j.
j=1
266 A. I. ]\" E ISHTA DT, C . SHYlO A ND D. V. TRESCHEV

Denote w(t) = JW (1)(t)) 2: 0. Then (6.2) , (6.3) and th e definition of tt(T) (Section
-I.a) imply :
1V S; [tt (T) + O(c) + O(w) ]w. (6.8)

If w < a ll th en the expression in square bracket s in (6.8) for T = TO is smaller than

tt(To )/2 . Let w(to) < a l 1 /2. Then (6.8) implies th e est ima te w(t d < e for t 1 =
to + t12 110g s ]. On th e tim e interval [to, tll th e function w(t ) decays exponent ially:
w(t ) < w(to)e x p(tt(To)t/4). Denot e by £2 th e supremum of th e tim e moments
t2, ct2 < fI(TO) + 1 such th at for t1 S; t S; t2 the inequ ality w(t) < 2c is satisfied.
i,
Obviously, J w(t )dt = 0(1) . Th erefore , for t1 S; t S; £2 equa tion (6.8) implies the
to
estimat e
(6.9)

By using (6.9) we get that cf2 > fI(TIJ) - d 3 c llog c l. We see also th at w(t ) <
c.11/(t )1 < dse for TO+ d 2 c llog c l S; et S; fI (To) - d3cllog cl. Lemma 6.1 is proved .

d. Proof of Theorem 4.2

Denot e for th e syste m (6.5) by 1)(1 ) and 1)(2 ) the vectors, formed by th e first two
and the last (n - 2) components of th e vector T) respecti vely. Consider the solut ion
T)(t), 'l/.,(t ) of th e syste m (6.5) with initial condi tions at t = to = TO/ C. Suppose,
that assumption A4 is satisfied.

Lemma 6.2. Suppose that 1,/(to)1 < d5'l . Let Ir/2) (to)1< d6 c and ITJ(l )(to)1 > d7 d6 c.
Then

(J) for TO + d2c llog c l S; et S; II(To) - d3cllog cl we have ITJ(t)1 < dse .
(2) 11)(td) 1 > dS l for some t«, where Ictd - II(To)1 < dgcllog c l.

Th eorem 4.2 is an obvious corollary of Lemma 6.2. One should consider th e

solution x (t) in th e variables n, 'IjJ and use Lemm a 6.1.
Proof of Lemm a 6.2 It em (1) of Lemma 6.2 is ju st a rep etition of Lemma 6.1. To
prove item (2) introduce functions

2 n
W 1 (TJ ) = LT)jiij, W 2 (T) ) = L T)jiij·
j =l j= 3

Denot e Wl(t ) = JII'[(T)(t)) 2: 0, 1= 1,2. The constant d6 in Lemma 6.2 can be

defined arbitra rily: for exa mple, d6 = 1. Define d7 in such a way. th at WI (to) >
2W2(tO)'
 0" STA BILITY LOSS DEL AY FOIt A PE RIO DIC T RAJECT O RY 267

For any time moment t such th at Wl (t)

syst em (6.7) implies
=1= 0,'W2(t ) =1= °
and wd t) 2: 'W2(t ) the

IVI + O (c:) + O (Wl )]l1:l.

[ReA~ (T ) (6.10)
IV2 < [- , (T) + O( c: ) + 0( Wd ]11:2 + O(wi) · (6.11)
Here - , (T) = max ReA~ , where 3 ~ j ~ 1! . Assumption .-\cl implies t he estima te
- ,(T) < ReA~.
Due to (6.10), (6.11) for WI < a ll th e following implication is valid : if
IL'I = W2 =1=° th en IV] > liJ2 . Also for w ] < all th e expressions in squ are bra ckets
in (6.10) and (6.11) for T = TO ar e smaller, th an ReA?(T)/2 and - , (T)/ 2 respec-
tively, and th e expression in square br acket s in (6.10) for T = n (TO ) is bigger than
ReA~ (T ) /2. Let w] (to) < all /2 . Denote by t<1 t he supremum of the tim e moment s
t ], c:t] < n (To) + 1 such th at for to ~ t ~ t] the inequalit y wil t) < all is sat-
isfied. Th en for to ~ t ~ t <1 th e inequ ality 'W ] 2: w2 is sat isfied and , th erefore,
the est imates (6.10)-(6.11) arc valid. For to ~ t ~ t-a equation (6.10) implies th e
esti mate

GJRCA~ (.~)d8) < GJ

et ei

a2] II'I (to)exp WI(t) < a2'Wl (tO)exp ReA?(s)ds) .

(6.12)
Inequ aliti es (6.12) show th at Ic:td - n( TO )\ < d!Jc: llog fl. Lemma 6.2 is proved.

e. Proof of Th eorem 4.3

Consid er the solut ion TI(t ), J/; (t) of th e syst em (6.5) with initial cond itions at t =
to = To/C:.
Lemma 6.3. S uppose that I1](to)I < d l. Then fo r l
TO + d 2 c:llog e] ~ et ~ fI (TO) - d3 EIlog s ]
we have IT/(I) I < dse.
Lemm a 6.3 implies Theorem 4.3 when we consider the solut ion x(t) in t he
vari ables T]. v .
Proof of Lem ma 6.3 Consider th e functions
2 n
II"I(T]) = ~Tljih , W 2(1] ) = ~Tljijj , II"(T] ) = WI (T/ ) + W 2 (T])
j=] j =3

and denot e U·l(t) = JH'I(T](t)) 2: 0, 1 =1 ,2 , w(t ) = \/W(T] (t)) 2: 0.

For any tim e moment t such that w d t) =1= 0, W2(t ) =1= th e system (6.5) °
implies
WI + OlE) + O(u·)]'W] + O( 'W~ ) ,
[ReA~ ( T )
(6.13)
IV2 < [-,(T) + Ol E) + 0(W)]11·2 + f 2 0 (wd .
268 A . 1. NEISHTAD T , C . 8 11\10 AND D . V . T RESCHEV

Here - , (T) = maxReA~ , where 3 :S j :S n . Note th at the first equat ion (6.13)
does not contain terms of first orde r in W2.
If !T/(TO) I < di l then (6.13) imp lies t he est imat e w( tJl < 0 :1 for t = tl
to + d 2 11og <: l. Let the functions IVI(t) and W2(t) sa tisfy th e relat ions

WI(t) IVI (t) exp ( -lITjj,(s) dS) ,

<: el ,

-
11'2(t) exp - (11 T

-jj,(s)
- ds ) , (6.14)
e el, 2
ft(T ) = max{Rd ?(T), - 2, (T)} .

Equations (6.13) can be tr an sformed as follows:

dlvJ!dt Rd?(T) - ji.(T ) + 0 (<: ) + O(W)]WI + O (li:-~ ) .

(6.15)
dW2/dt < [-,( T) - ii (T)/2 + O( e:) + 0(W)]IL'2 + e: 20( JW l wil.
Denote by £2 the supremum of the ti me moments t2, e:t2 < TI ( TO) + 1 such t hat
for tl :S t :S t 2 th e following inequ ali ties hold :

w(t ) < e: 2, Wl (t) < 2

0 , W2(t) < e: 2.

Now t he relations (G.14)- (G. 15) imp ly the inequality ot2 2: TI (TO) - d3 e: l log e:l. For
to + d2 110g e] :S t :S
[ 2 we have IT/(t) 1 < d4 e:· Lemma 6.3 is pr oved .

7 Proof of t he Basic Lemm a

We obtain t he cha nge (GA) going to t he limit in the following sequ enc e of changes:
~ ( m) = ~ ( m+1 ) + I9(m) (<p(m+I ), T), <p( m) = <p( m+ l) + y'(m)(",(m+ I), T),
(7.1)
~(O ) = ~ , <p(0) = <p, ~ ( oc ) = T/, <p(oc) = 1/J.

In t he variab les ~ ( m ) , e,;;( m ) , T t he syste m (6.2) has the form

~ ( m) [A(T ) + <:2 Bm (",(m), T)l~( m) + e: 3h m( <p(m) , T) + Fm (~ (m ) , <p(m), T) ,

",(m) = W(T) + e: 3a m(<p (m), T) + F~,(~ ( m) , <p(m ), T), T = e,
r; = O ( I ~ ( m) 12 ) , F:,., = O ( I~ ( m) I).
(7.2)
Here a nd henceforth for br evit y we do not write e among the argume nts of the
funct ions A, B m, h m et c. We ass ume t hat th e fun ctions v (m) and %(m) satisfy t he
equat ions

e:19~m)(<p, T) + ':"( T)19 ~n )(<p , T) - A(T)I9(m)(<p, T)

e: 2B m(<p, T)19(m)(<p , T) + e: 3h m(<p, T),
e: y'~m )( <p ,T) +W ( T ) %~m) (<p, T ) e: 3am(<p, T) + (F:"')dO, 'P,T)o(m)('P,T ),
(7.3)
 ON STABILITY LOSS DELAY FOR A PE RIO DIC TRAJ ECTORY 269

where th c suhscripts T, 'P , ~ deno te partial derivatives and

n

( Fm' )~ 19(111 ) = "L (F 111

' )~ I v I( m ) .
1= 1

Wo introduce t he following not ati on s:

(1 ) If f ('P. r ) = L kEZ f k(T)eik<p is an ana lyt ic sca lar function and (3 > ° then

1IJllfJ = sup If k(r )lcJik,.

k EZ ,TE D

(2) For a vector v = (vl (t,o,r) , .. . , vn('P, r ))T and a mat rix V
<
1 I ,j ::; n we put

(3) For posit ive a a nd (3 let

E o ,fJ = {x E C" r ED , 'P E iCj( 2;rZ) [z] ::; 0 , 11m 'P I ::; (3}.

Then for any function F (x , 'P,T) an alyti c in E o ..3 we put

Ob viously, for some positi ve ao, (30, Xo ,bo a nd f a th e following r~lations hold :

Ilholll!o::; xo, IIBo llfJo::; bo, Ilaoli.3o::; Xo,

11F01Ioo.!!o::; f a, I I ( Fo )~~l l o o.3o::; l« . (7.4)
11F~ l l o o ,ljo < fa , II (F6) ~ I I <t o . 3o ::; f a.

For any mE N we put

Om = 0 0(1 + 2- 111) / 2, (3m = (30 (1 + 2- m )/2 , 6;" = ((3m + (3m + Il/2,

Xm+l = ( y'EXm )3/ 2, bm = 2mX"" fm = 10(2 - 2- m) .

Lemma 7.1. Suppose that the follow ing relations hold:

B m= Eo+ E + ... + Em, IIEjl !i3

j
1
bj • Eo = B o,
::;

IlhmlliJ", ::; Xm, Ila", III!",::; Xm. II(F;,Jdo..,:,T)llfJ",::; f m·

Then the equations (7.3) have a solution 19(m ), x ( m ) satisf ying the estim ates

P,Q > 0. (7.5)

270 A. 1. l\EI SIlTADT , C. SIlvIO AND D. V. TR ESCH E\'

We prove Lemma 7.1 in Section 8. Su bstituting into (7.2) t he relations (7.1)

and using (7.3) we get :

~( m +l ) (;\ (T) + c2 Bm (~ ( m) , T))~ ( m +I ' + Um (~ ( m +l ) . .,;(m+l ), T),

0 (m + l ) = 0 (T) + Vm(~ ( m +I ) , ~ (m +l) ,T) ,

wher e
v,,, = [1 + y'~n) (~( m + l ), T)r l [c3 (a m (~( m) , T) - am( ~( m +l ). T) )
+ F:,, (~( m ) , ~(m), T) _ (F:,,){(O, ~(m+ I), T) J (m )( ", l m-H ) , T)] ,
Um = - Vm'-P _(m+ l ) T) + c 2 (Bm
1'i(m)(r.,;;, y ), T) - B my
( (rl(m ( n(m+l )~ T)) J l m )( (rl(m
y
+1) , T)

+ c3(h m (",(m), T) - hm ( ~(m +I ) , T)) + Fm(~ ( m ) . ",(m\ . T).

Therefore,

c3hm+I(",(m+I), T) = Um(O, cp(m+I),T) ,

c 2 8 m + 1 ( ~(m +l ) , T) = c 2 Bm (~ ( m ) , T) - c 2 Bm(~(m +I ) . T)
+ (Um){ (O , ~( m+I) , T) ,
Fm +I(~ ( m +I ) , ~( m+l ) ,T) = Um(~(Tn+ l ) , ~ (m +l ) ,T)
- Um(O ,~ (m +I ) , T) - (Um)dJ 1m)(0, ;r m + l ) , T)~ ( m +I),
f3 am+ l ( ~(m + l ) , T ) = V,n(O , ~(m +l ) ,T),
F:n+1 (~ (m +l ) , ~(m +l ) , T) = Vm(~ ( m+l ), ~ ( m+ l ) , T) - Vm(O . ,.,:( m + l ) . r ).

Now the Basic Lemma follows from

Lemma 7.2. For all integer Tn ::::: 0 the lallawing estimates hold:

Ilhml ldm:::; Xm, IIB m l l13m :::; bm , Ila mI13", :::; Xm'
IlFmllo""l3m:::; i: II(Fm){{llo""i1m:::; L«.
IIF:"llo""f'm:::; i: II(F,',,){llom,f'm:::; i;
Lemma 7.2 is an alogous to som e technical asse rt ions in KA:\ I-th eory [8, 9].
The proof of the lemma is quite st andard . It is based 011 Lemma 7.1 and OIl
quadratic converge nce of our sequ en ce of changes of var iab les. \Ye lise induction
in Tn . For Tn = 0 assertions of the lemma hold (see (7.4)). Suppose that for rn :::; l
Lemma 7.2 is valid. Then by using Lemma 7.1 a nd Cauchy est imate s we obtain
the followin g relations:

\1,l(0 ( ,.,(1+ 1 ) T) II " < C' 4l f 3 X2

11 ,r . 13, - 1 I'

Now we obtain th e following assertions:

(i) Ilf 3 hl + 1 (:p(l +l ). r)II 13'+1 :::; c241 f4 Xf.

(ii) I l c2 BI + l ( ~( l+ 1 ) , T ) I I 13' +1 < 21f2 XI.

(iii) Ilc3al+l(", (l+I). r )llil1+1 :::; c; 4Ic3Xf.
 O :'J STA BI LIT Y LOSS DEL AY FOR A P ERI ODI C TRAJ ECTO RY 271

(iv) The function F(+I (~ (l+I) , <p(l+ I) , T) satisfies t he relation

Hence t he derivatives of t he functions Fl and F1+ I wit h resp ect to ~ m +1 have th e

same estim ates. Since F( = o (~ ( m) , th e following est imat e holds:

Th e funct ion Fl+ I (~ (l +I ) , <p(I+ I) , T) and its derivativ es can be est imated ana l-
ogously wit h th e help of th e equality

F/+ 1 - 19 ~\ <p(l+ I ), T) rF( (~ (l + I ) + t9(l) (<p(l t l ) . T), ip (l) , T)

- F((t9(l)(<p(I+ I) , T), <p(l), T) - (Fn ~ ( tJ(l) (; (l+ l), T), <p(l ), T)~ (l +I ) ]
+Fl (~(I+ I ) + i/(l )(<p(I+I ), T) , <p(l), T)
- F( (i/ (l )(<p(I+I ),T) , <p(l) , T) - ( Fn~ ( tJ (l )(; (l+ I) , T), <p(l), T ) ~(l + I )

Lem ma 7.2, obviously, follows from assertio ns (i)-(iv ).

8 Proof of Lemm a 7.1

In t his section we writ e for brief i/ , Yo inst ead of J9(m) . ;.:-( m ) . Fi rst , we expa nd th e
equat ions (1.3) in the Fouri er series in ip, The Fouri er coefficient s i/k (T), Yok(T)
sati sfy t he syste m

'~" E2Sk-JJ9j
Tn
+ --=3hrnk :
jEZ
(8.1)
e:3 a km + "
~ ' (F'm )k-
€ j (O , T ).oj
u ,
j EZ

when ' B~ . h ~" a~p and (F:n )~ are Fouri er coefficients of th e functions S m, h m , am ,
and ( F~.)~ respe ctivel y.
Let th e function <fi+ (res pect ively (p-), see (3..!). restricted to the domain D
have a local maximum at th e poin t T+ (resp ecti vely L). Since ¢± ar e harmonic,
T± lie on th e boundary of D . According to A3 th e maxima T± are unique (and
consequently. ar e globa l on D) . Since th e funct ion "-' (T) is real and positi ve for real
TED. th e points T± are outside the real axis . Therefore . th e boundar y aD of th e
domain D is smoot h at th ese points.
Proposition 8.1. Suppose that the maxima T± of the fun ction s ¢± restricted to aD
are non degenerate. Th en there exist point s Tt an d r" , uh ere k E Z, I = 1, . .. , n
suc h that for any T ED
272 A . 1. NEI SHTADT , C. SI i\lO AND D . V . TRESCH EV

where

0t(T) = Re 1T:, (5.7(s) - ikw(s ))ds , 0k(T) = - Re 1 Tik.:::(s )ds .

Tk

Furth erm ore, th ere exi sts a s ystem of curves l!:k/(v ) C D, l!:;;(v) c D, T ED ,
u E [0, 1] (here we regard v as a param eter on a curve an d T . k , I as paramet ers
labeling the curves) with th e following propert ies .

(i) ~kl (O ) = Tt , ~k (O ) = T k; ~k/ ( l ) = T , ~W ) = T.

(ii) Th ere exis ts a constant K su ch that f or an y °::; VI ::; V2 ::; 1

0h ~k/ ( V2) ) - <Pf ( ~kl( vJl ) ::; [( E, <pk( ~k( V2)) - <pk( ~;;( vJl ) ::; [( E.

(iii) Lengths of th e curv es l!:k/' l!:;; are bound ed from above by a constant L no t
depending on E .

It is easy to check th at solutions of th e folluwing integral equat ion

(8.2)

sat isfy the sys te m (8.1). In more deta il,

where

[Pr~?) (o )lf = ~ 1:e~ J: (>'1 (8) - ikW(S) ) dS[ 2:>2 (B~-jiJj )l (V) + E3(h~,)l ( V) ]
~ jeZ
dv,

~ J: 1:
(8.3)
[P,~;)( lJ)J k = e- . [c3a ~, + 2)F~.)~-i
i !,w(.,) d., (v ) (0. v) l?i (v) ] dv, (8.4)
T j eZ
n n
k- j Oj )I -- 'L..
( B 111
k- j
" B ,n ,l ,r
o:r' ( F;")~ -j(O , V)19j = L (F;" )~:j t'J!. ,
1'= 1 1'= 1

Pm(O) = L (( [P~?) (t'J)] ~ , . . . , [Pr~?) (O)]: )T , [Pr~x) (u )] k) eikY .

ke3

Here we assume th at th e point s Tt and T k arc determined by P rop osition

8.1. The integrals in th e right-hand sides of (8.3)-(8.4) can be taken along any
paths (with th e indicated endpoints ) lying in th e doma in D . Since th e int egrands
arc holomorphi c function s and D is simple-connecte d. th e values of t he int egrals
do not depend on th e choice of paths.
 0 :-1 STABI LITY LOSS DELA Y FOR A P ERIO DIC TR AJECTORY 273

To prove that the system (8.3)- (8.4) has a solution we show th at th e opera tor

is contrac ting. We regard Sli~, as a Ban ach space with th e norm 111?llm = litillf:l:,, '
We can assu me that in equat ions (8.3) and (8.4) t he integration takes place
along t he paths ([ ~l and ([ ~ respectiv ely. T hen accor d ing to Propo sition 8.1 ,

neGiT(~? (S) - ikw(s) )ds) < 21{, -Re( ~ i Tikw(s)ds) :S 2K

Hence t he exponentials in (8.3)- (8.4) arc uniforml y hounded by th e magnitude

e2 K . Let the const ant L be defined by Proposit.ion 8.1 a nd M = Le2 K .
For any two fun ctions ti, 0. E Sf:I;" we have:

I[Pm (v ) (1)) k -
, ] I [ Pm (1?) ] Ik I
(tI ) :S 'M Em axTED IL j EZ ( Em k - j (T)(ti j (T) - j
V.(T ))) I I
<
-
nJ\1E " ,m "' .
G r = O 1-JEIL
liB 11'3 Ill?- V * II e- 1k -j I3,- lj IO;"
2 m )1 119 - V* II me - lklli m'
1 I ,. TTl

:S' nb € w r = O r I - e!,~1
'1 " , m b ( I
111 '
+~ 1'3 .
l- e
:S 1119 - ti. llmc-lkll);,,/2.
T herefore,
I IP~~ ) (l? ) - p,\~)( l?) l l m :S 111) - v. ll"j2.
and th e operator P,\~) is contract ing wit.h t he contract ion coefficient not exceeding
1/2 . The existe nce of th e solut ion (17, x ) is established .
Now we prove t he est ima te (7.5). The triangle inequ ality im plies:

Ilvllm= II p,~(i ) ( 19 )l l m :S I IP,\~ ) (l7 ) - p,\~ ) (O) l l m + IIPr\~ ) (O) l l m (8.5)

Since I I P,\~)( J ) - P,~ ) (O )l l m :S Iltillm / 2, by using (8.5) we obtain the following

est ima te :
lltill", :S 21Ip,\;JJ (O)llm'
T he ma gnitude II P~)(O) I I", ca n be est imate d as follows:

l( p«(iJ(O))kl
m I <- ME 1h III)
2 1
Tn TIt
e-iJm lkl < M _
E2 ",-T
v n e- iJ;"lkl.
These inequ alities impl y th e first esti ma te (7..5) with P = 2'\1. Now let us verify
t he second one:

Hence, we ca n put Q = 48Mn/oP/ /3 . Lemma 7.1 is proved .

274 A. 1. ]\"EISHTADT, C. SH\IO AN D D . V . T RESCH E\ '

9 Proof of the Separation Lemma

The cha nge (6.6) transforms th e first eq uat ion (6.5) to

where we denot e by S ",W th e sum L~=l N,pkWk. The lemma asser ts th at we can
ta ke t he function N with values in 91 in such a way t hat M E 9.Jl. To pro ve thi s
we study the equat ion

which is a consequence of (9.1) . We put

B = B<Jl + B'J]l , B<Jl E 91, B'J]l E 9Jl,

M = A + E2 B fJJl + E:1B<JlN E 9Jl.

Equ ality (9.2) t akes th e form

EN T + lY J j - [A , N ] = EB <Jl + E2 [B'J]l , N] - E3 N B<JlX. (9.3)

Here th e br acket s [.] denot e the matrix commutator. Since all te rms in (9.3)
belong to 91, we can regard thi s equ ation as a syste m for th e coefficients N k l ,
where k = 1,2 , I = 3. . . . , n or I = 1,2 , k = 3, . .. , n:

This syst em is ana logous to (7.2). It can be solved following t he same line (see
Section 7), i.c,

(1) We expa nd th e syste m (9.4) into th e Four ier ser ies in o.

(2) We search for a solut ion as the sum of a rap idly converging series (Newt on
method ), where each term of th e series sa t isfy certain linear syste m.
(3) We constr uct solut ions of t hese linear systems by using t he method of con-
tracting mappings.

The det ails arc omit ted.

10 Proof of propositions
1. Proof of Proposition 3.1
Suppose for simplicity th at 1'. = 0 and expand th e functions At intoMaclaurin
series:
A~( 1') = A~(O) + P1'1+ 0(1'1+1) - i kw(1') , I :::: 1. (10 .1)
 0" STABILIT Y LOSS DELAY FOR A PERIO Di C T RAJECT OR Y 275

The magnitude ).-7(0) is purely imaginary. If T E lFt increases and passes t hrough the
origin , >'? (T) crosses the imaginary axis from the left to th e right . Cons equ ently,
Re p > 0 and 1 is odd . In a typ ical situ at ion 1 = 1. The function w-( T) is real-
ana lyt ic. We put T = X + iy . The funct ions ¢t
have the form :

<t>~(T) = t
io
Re,\7(s) ds + [ -Im>.7 (x) + kw- (x)]y + O((Ik l + I)l ). (10.2)

The equa t ions ¢t (T) = a , with sma ll a > 0 has t he followin g solut ions:

If y = 0 t hen x = T±(er ), T±(er) = ±((I + l )er) 1/ (1+1 ) + O(er2/(l+I)),

Rep

er - Repx 1+11(1 + 1) + O(er x) + O(X1+2)

If x E [L (o ), T+(er )) t hen y = kw- (O ) + i>'?(O) (10.3)

Proposition 3.1 is proved .

2. Proof of Proposition 3.2

(a) Equations (10.3) show th at for small a > 0 t he segments r O(er ) lie in t he upp er
half-plane . Supp ose th at some segment rO(er) , 0 ::; a ::; ero has a point with negative
imaginary part. Then for some o = a' E (0, ero) th e equat ion <t>7(x) = a' , x E.U n lFt
has a solution distinct from T±(er' ). But this is impo ssible since th e function </J7(x )
is monotoni c on t he inte rva ls U n lFt+ , U n lFt- , where ? = = {x E lFt : ±x 2: O} .
Argum ents concern ing th e cur ves r- I (er) ar c ana logous.
(b) There are two possible reason s because of which a family r k(er) may be not
defined for 0 ::; a ::; era . Either t he curves rk (er ) go out from th e dom ain U ,
or th ere is a singularity for t hese cur ves inside U . Th e first possibility does not
t ake place du e to asse rt ion (c) . The second one is equ ivalent to the condit ion
fN7l ax = a¢>7 lEJy = 0, for some T = X + iy E U. Thi s cond ition can be rewrit te n
in th e form >'7(T) = 0 or Pi(T) = 1. The last equality holds nowh ere in U du e to
assumption C 1.
(c) Fir st , not e th at the magnitude -1m .\7(x) (respecti vely, -Im.\?(x) - w(x) ) is
positive (respectivel y, negat ive) for x E Un lR. Ind eed. for x = 0 (recall that we
ass ume th at T. = 0) t his asse rt ion follows from definition of .\7. If -1m >'7 (x) is
negati ve for some x E U nlFt then th er e exist s x ' E Un R such t ha t - Im .\?(x') = O.
Let us choose th e closest to zero point x' satisfying thi s equ ation . Then at this
point th e rela tion P I = P2 holds which cont rad icts to assumpt ion C 2.
The following inequ alit ies hold for x E U n 1Ft:

,,-,(.r) > 0, Re.\?(x) > 0 for x > 0, Re,\?(.r) < 0 for x < O.
276 A . I. NEISH TADT , C . SIM6 Af\D D. V . TRESCHEV

Using thes e remarks and the equality (10.2) we sec th at for small (3 ~ 0 the
cur ves rk(ao) can be partially det ermined by th e rela tions

x 7-(ao) + (3,
x T+(ao) - (3,

which imply in particular , that for l: ~ 0 (k < 0) th e segment s r k(au) lie at least
ncar th e points T±(ao) in th e upp er (lower) half-plane. Moreover . th ese rela tion s
show that for any integer k distinct from 0 and -1 th e curv e r k (ao) lies between
rO(au) and r- I (ao) at least ncar t he points T±(au). Hence, to complete th e proof of
assert ion (c) it is sufficient to verify that the curves r k(au) and r1 (ao), l = 0,-1
intersect only at t he points T±(ao). The existence of other intersection poin t T
is equivalent to t he equality ¢}(T) = </> i (T) = ao which cannot hold for real
T 01 T±(ao). For T If. IR this equ ality contra dicts to assumption C3. Proposition 3.2
is proved.

3. Proof of Proposition 3.3

Note that th e two positiv e numbers

i>-~ (O) and w(O) - i>-~(O) are distinct (10.5)

becaus e otherwise i>-?(O) = - iw(O) /2 and PI(O) = P2(0) = -1 (th e last relation
contradicts ass umpt ion C 2). Now ass umpt ion Al follows for small ao > 0 from
(10.3) and (10.5) .
Assumption A2 holds for sma ll ao > 0 because th e corre sp onding domain
D = D(ao) is a small neighb orhood of th e point T = T• .
Now we verify assumption A3 . According to th e condit ions of Proposition 3.3
we have l = 2 in the relations (10.1) a nd (10.3) . Putting T. = 0 and T = X + iV,
we have th e following expansions :

w(:r )y + 0(y2),
Re >-J (O ).r + (-1m >-J(x) + kw(x))y + 0( x 2) + O(( lkl + l)y2) .
First, take th e function 6+ IDD. It has a maximum on th e curve rv. Since for small
0"0 > 0 the curve rO(ao) can be defined by the relations (10.3). th e function </> +1['0
has the form
2
w(O)(a - Repx / 2) O( ) O( .3)
i>-? (O) + ax + x ,

This fun ction has a maximum at a point x = O(ao). This maximum is nondcgon-
crate since w(O)Rep/(i>-? (O )) > O. The function </> - can be analyzed an alogously.
 0 :-1 STABILITY LOSS DELAY FOR A P ERIO DIC TRAJECT O RY 277

For z E [7- (O"o),T+(O"O)] th e fun ctions ¢jlro • j ~ 3 can be present ed in th e

following form :

o 0 0 - Rep x 2 / 2 2
Re\ (O )x + (- 1m Aj(O) + kw(x )) i A? (O) + O(o.r) + O(x ). (10 .6)

Formulas det ermi nin g th e functi ons ¢j lr- 1 ' j ~ 3 arc ana logous.
Since T±(O) = O( vIa) and Rc,\ j(O) < 0, it is clear th at for Ikl < (c vlaO) -1
(the constant c is sufficient ly lar ge) the functi ons ¢j IDD. j ~ 3 have m axima only at
the point 7-(00)' If Ikl ~ (CJO'O)-l , th e functions iPj(T)/ k arc sma ll perturbation s
of th e function ¢+ (T):

¢j (T)/ k = ¢+(T) + kIJo

t >'5(s) ds.
Hence, in th is case assumpt ion A3 holds because it holds for th e functions ¢ ± .
For th e functions ¢j IDD, j = 1,2 a nd small 00 Assumption A3 can be verified
ana logously by using (10.5).

4. Proof of Proposition 8.1

Let Tk be maxima of th e funct ions

- Re l T

ikw(s) ds (1O.7)

°
restrict ed to D . For small value s of e and k # t hese m axima are unique according
to A3 and du e to t he closeness of th e functions wand w on D . (T he point TOE D
°
is arbit ra ry.) Not e th at Tk E aD for k # and Tk = T1 if k a nd I have th e sa me
°
sign . Moreover , for k # restrictions of th e functions (10.7) to the boundary aD
have nond egenerate maxima at the points T k .
Anal ogously, let Tt be global maxima of t he functions

(10.8)

restricted to D . Note th at if Ikl is not very large, th e funct ions (10.8) rest rict ed to
D can have other (local) maxima.
In equalities 4>7 (T) ::; 0, 4>k(T) ::; 0, T ED hold accordin g to t he definition of
Tt and r'', Now we const ruct th e curves <!:kl' <!:k'
Let any of th e cur ves <!:kl (<!:k) consist of two parts. The second part links the
boundar y aD with th e point T along a level line of th e function 4>7 (4)k ). Not e th at
since th e functions 4>7, 4>k ar e harmonic, their level lines having comm on points
with D, reach aD . The firs t part goes alon g th e cur ve DD and links the point Tt
(Tk) with th e beginning of the second part. Obviously. these curve sat isfies t he
prop erties (i)-(iii).
278 A. I. :\' EI SHTADT , C. SI MO A ND D. V. TR ESCH E\ '

Acknowledgment. Th e resear ch describ ed in thi s publi cati on was partially sup-

por ted by Rus sian Found ation of Basic Resear ch, International Science Founda-
tion , American Mathema tical Society (fSU Aid Fund) . I:\TAS and Centr e de Re-
cerca Mat ema tica , Instit ut D'Estudis Catalans.

References
[1] M.A . Shishkova , Er am ination of one s yste m of differenti al equations with a small
param eter in hiqhes! derivati ves, Dokl. Akael. Nauk SSSR 209 (1973). no. 3, 576-579
(Ru ssian) ; E nglish tr ansl. in Soviet Math , Dokl. 14 (1973). no. 2, 384-38 7.
[2] A.I. Neishtadt , A sympt oti c study of stability loss of equili brium under slow transi tio n
of two eigenv alucs thro ugh ima girwr'y axis, Uspekhi Mat. 1\a uk 40 ( 198.5 ), no. 5,300-
30 1. (Russian) .
[3] A.!. Neishtad t., On sta bility loss delay for dynamical bifurcations I. Differ. Urav n. 23
(1987), no. 12, 2060- 2067 (Ru ssian ); En glish transl. in Differ. Equat ions 23 (1987),
no. 12, 1385- 1390.
[4] A.I. Ncishtndt. , On stability loss delay for' dynam ical bifurcations II Differ . Urav n. 24
(1988) , no. 2, 226-2:33 (Russian ); E nglish tran sl. in Differ. Equ ations 24 (1988), no.
2,1 71-176.
[5] A.I. Neishta dt . On calculati on of stability loss dc/ay time for dynamical bifurcations,
XI Int er nation al Cong ress of Mathematical Ph ysics, in press (1994) .
[61 J. Su, Effects of periodic fo rcing on delayed bifurcations, I, II . Preprint. Univ. of Texas
at Arlington, (199:3).
[7] E . Benoit (Ed. ), Dynam ic B ifurcations, Lect. Not es in Math .. vo!. 1.193, Springer,
Berlin , 1991.
[8) V. I. Arn old , Proof of a theorem of A . N. Kolmoqorou on the invariance of quasi-
periodic m otio ns un der sma ll perturb ation s of the Ham ilt on ian. Uspehi . Mat . Na uk
18 (1963), 13-40 (Russian); E nglish trans!. in Russ. Math. Surveys 18 (1963), 9-36.
[9) J . Moser , Conve rgent series expansi ons fo r quas i-peri odic motions. Xlath . Ann . 169
(1967) , 136-176.
Progress in Nonlinear Differential Equations
and Th eir Appli cations, Vol. 19
© 1996 Birkhauser Verlag Basel/Switzerland

Parametri c and autoparamet ric resonance

M. Ruijgrok F . Verhulst'

1 Introduction
P arametric reson an ce may ari se in a mechanical system. the Exc ite d Sys tem, in
which one of t he for ces is varying period ically. T he classical examp le is a pcndu-
hu n wit h a suspe nsio n point which moves harmonically in t he vert ica l direct ion.
We sha ll d iscuss a fai rly gen er al one degr ee of freed om . paramet rically exci ted
system in section 2. T his system is a d issipative versio n of th e st udy by Broer a nd
Vegter (1992). In section 3 we consider an aut oparametric two degrees of freedom
system which is in some sense a generalisation of sect ion 2. Such a system admits
a richer bifurcation structure and chaotic dyn am ics.
Par amet ric excitation in a system involves a periodi c for ce which, in its t urn,
is nut affecte d by t he vibrat ions of t he system . This ca n be a reason a ble approxi -
mation of t he mechani cal configurat ion , however, in general thi s is too crud e. It is
at th is poin t where auto pa ra rnct ric exci tation and reson an ce comes int o focus.
Au top aramet ric sys tems arc vibrat ing systems which consist of at least two
constituing subsys te ms. O ne is an Osc illator which is vibrating acco rd ing to it s
nature; thi s Oscillator ca n be ex ternally forced, self-exci te d . par am etrically excited
or a combination of these. For ins tance in Figur e 1.1 th e Oscillator consists of
a mass mounted on a sp ring wit h damping and ext ern al , per iod ic forcing: t he
Oscillator in t his case has one degr ee of freedom. In general th e Oscillator has N
degrees of freedom and will be describ ed by th e coordinates Yi,Yi, i = 1,2 , .. . , N .
T he seca ne! cons t ituing subsystem is ca lled the Excited Syste m . Wh ether
t his subsy tcm is actua lly excite d or not dep end s on certai n frequ en cy ratios and
nonlineari ties. as we sh all see. The Excited Syst em is coupled to the Oscillator
in a nonlinear way but such that t he Excited Syste m can be at rest while t he
Oscillat or is vibrating. We call thi s state the semi-t rivia l solutio n; in fact t here
exist an infini te number of them , for ins tance all t he tran sient states to a periodi c
solut ion of t he Oscillator , bu t in disc ussing semi-t rivia l solut ions we sha ll ignore
t ran sient states ,
"Mathcrnat isch Instituut , Universitcit Utrecht, P.O . Box . 80010 , 3508 TA Utrecht , T he
Netherlands
280 M . R UIJGROK , F . VERH ULST

In Figure 1.1 the Excited System consists of a pendulum at tached to the

mass of th e Oscillat or. As th e spring is mounted vertically we have as the semi-
trivial solut ion th at th e mass is in forced periodic vibr ation while th e pendulum
is hanging vertically at rest.
In general th e Excited Syst em has n degrees of freedom a nd will be described
by th e coord ina tes x" .r " i = 1, 2, . . . , n .
Autopar am etri c systems ca n be cha rac te rized as follows:

1. Autopar am etric syste ms consist of at least an Oscillator (coord ina tes y , iJ )

and a n Excit ed Syst em (coordinates x ,i) which are coupled.

2. Autopar am etric syste ms ad mit semi-t rivial solutio ns where

Z=;:I (yr (t) + iJr(t) ) =I 0, Xi(t ) = ii (t) = 0, i = L .. . , n.
3. Semi-trivial solut ions can be st a ble or un stable in certa in frequ ency int er vals .

4. In th e instability int er vals of the semi-trivial solut ion we haw autopa ra me t ric
reson an ce. The vibr ations of the Oscillat or act as par am etric excitat ion of
th e Excit ed Syst em ; in thi s context th is is called autopara metric excit ation .

We not e here already th at the int erval of a utopara metric resonance, resul ting
in st abl e vibrations of th e Excited System , can be lar ger t ha n th e inst abili ty in-
terval of th e semi-t rivial solut ion. In such a case we have th e possibility of a st abl e
semi-t rivial solut ion co-existe nt with a stable autopa ra metric resonant solut ion;
th ey will have th eir own dom a ins of a ttrac tion. Also, it is clear that in st udy ing
a utoparameti ie syst ems th e determination of stability and inst ability cond it ions
of th e semi-trivial solution is always the first ste p.

1.1 Examples
We have seen one example of an a utopa ra met rie system which has two degrees of
freedom. It consist s of a mass mounted on a spring (Os cillator ) and of a pendulum
(Excited System) att ached to the mass; see Fi gure 1.1. The mass on th e spring
can move in t he vertical d irecti on only a nd it is peri odic ally exc ited. The forces
acting on the pend ulum result from gravity but a lso from th e spring.
A related simple model consist s of a mass, supported by a spring and mounted
on th e end of a long elastic element, for inst anc e a leaf spring: see Figur e 1.1. This
is also a simple mod el for a vertical , oblong body (a building or ot her const ruct ion)
which is mounted on a cohere nt elastic foundation . Again the excited spring with
mass is th e Oscillator. th e leaf spring represents the Excit ed Syst em .
An important class of engineering problems consists of vibr ati ons which are
self-excited . In mechani cally simple cases th e self-excitat ion effect can be expressed
in terms of positive and negative damping; a well known example is given by the
van del' Pol equ ation. More complicate d cases are represent ed by rotors in which
th e self-excitat ion effect is provided eit her by th e act ion of forces in certain bearings
 P ARA M ETRIC AN D A UTOPARA ~I ETRI C RESO:-,'AKCE 281

M I a cos WI o M I a cos cot

(a ) Example of a n a utoparametrie sys te m (b ) Exa mple of a n a uto pa ra met ric

cons ist ing o f a mass moun ted o n a spring system where a mass m, mount ed
(Osc illator) a nd of a pendul um attached on t he en d of a lon g clastic cle-
to th e mass (E xcite d Sys te m). ment (Excit ed System ) is co up led
to a for ced . dam ped spring (t he
Oscilla tor).

Figur e 1:

and forces arising in ga p flows, or by the act ion of internal damping (Schmidt and
Tomll , 1(86).
Another impo rtant c1RSS consists of self-excited vib rations induced by cross-
flow. A simple mod el is a spring-pendulum sys te m as depi ct ed in Figure 2 which
is excited by cross-flow with constant velocit y U. In thi s case th e self-exc itat ion is
caused by hydrodynamic or aero-cl astic forces which arc very difficult to ana lyse.
A simple model is discussed in sect ion 3 and serves as a crude approximat ion. Note
however th at simple looki ng equat ions may lead to very complicated ph enom ena.
Another int eresting ty pe of autopar ametric problems a rises in dealin g with
nonlinear wave equa tions. In such problems one often appli es a Galcrkin-projcct ion
or finite Four ier-mode exp an sion which results in a finite cha in of oscillato rs which
is prop osed as an approxima ti ng sys te m of th e origin al nonlin ear wave problem .
The questi on is th en if higher orde r modes, which have been left out in th e
Ga lcrkin-projcc t ion, can be excited by lower ord er mod es. This would resul t in
transfer of energy from lower ord er to higher ord er modes which destroys afte r
some tim e th e approxima te characte r of th e C alcrk in-prcjccti on . In a number of
cases thi s CRn be int erpret ed as a ut oparametric resonan ce.
282 M. R UIJ GROK , F. V ERHUL ST

Figure 2: Ex a mp le of a n au tupa ra mel ric system excit ed by How con s isting of a sing le-mass on
a s pring movin g in o ne directio n to which a pend ulum is attached . T he How moves the m a ss i\l
a nd so th e spri ng (Oscillato r) but nol the pen dul um (Excited Syst em ).

1.2 St ate of th e art of autopar amet ric syst ems

Unt il recent ly, research in a uto pa ramet ric syste ms in engineering was main ly con-
cern ed wit h the syste m consist ing of a single-m ass syste m wit h a n at t ached pen-
dulum, see for inst ance t he books by Nay fch and Mook (1979). Schmidt a nd
Ton dl (1$.186). and Ca rtmell (1990).
In t he lat ter a comprehensive list of referen ces is present ed . and espec ially t he
pap ers of t he following aut hors represent imp ortan t contributions to th is ana lysis:
Barr , Bax, Ca rt mell. Ibrahim, Roberts. The last a ut hors have dir ect ly invest iga ted
the auto pa ram et ric resonance of the previous sys te m when it is tuned into intern a l
reson an ce, i.e. for the case when th e nat ural frequ ency of t he harmonically exc ited
mass-spring subsys tem is app roximately twice th e natural frequ ency of t he pendu-
lum, and th e excitat ion frequency is close to t he natural frequ ency of th e excited
subsy ste m .
The st ability investi gation of the semi-t rivial solut ion is presented in Tondl
and Nab crgoj (1990). Tondl (1991, 1992). In t he a pproac h of th ese papers one can
det erm ine all possible occur rences of a uto para mct ric resonances.
In t he litera ture up t ill 1992, t he excit a tion of th e Oscillat or was considered
to be exte rnal. In Tondl (1992) it was shown t hat not only extern al excit at ion but
a lso parametric or self-exc itation of t he excited subsyste m ca n be t he source of
paramet ric excitat ion for Excited Systems when certain cond it ions a re met ,
Mechan ical models of ship behavior in longitu din al seas . developed to in-
vest iga te t he possibility of rolling motion inst abili ty, ar c ana lyzed in Tondl a nd
Nab ergoj (1990, 1992). Na bergoj and Ta mil (1993) . The a na lysis of t he semi-
trivial solut ion stability of more complicate d model s with a pendulum is given in
Svoboda, Tondl and Verhul st (1992).
As remarked above. mainl y exte rn al excitation for the Oscilla tor was con-
sidered in resea rch up till 1992. The inclusion of ot her types of Oscillat ors in
 PARAl\l ETIU C AND A U T OPARA~l ETRIC RESONA l\CE 283

the autopararnctric syste m as parametrically excited and self-excited Oscillators

broadens th e scope of autopa ramct ric phenom ena considerably.
In sect ion 3 we sha ll present some of th e result s obtained by Ruij grok (1995)
and Verhulst and Tondl (1995) .

2 Bifurcations of a parametrically forced

nonlinear oscillator
Con sider th e following equat ion

x + ki: + (o z + p(t) )F (x) = 0 (2.1)

where k > 0 is th e damping coefficient , F (x ) = 1: + b.r 2 + c:r3 + ..., a nd tim e is

scaled so that

p(t ) = I: Ilz / e
2i1t
Iln =0 Il _ Z/ = liz/ (2.2)
[ EZ

is a iT-periodic function with zero avera ge. As is well known (see Yakubovitch and
Starzhinskii, 1975), th e trivial solut ion x = 0 is unstable when k = 0 a nd o Z = n 2 ,
for a ll n E N. Fix a specific n E N and ass ume th at (\2 is close to n 2 We will
study th e bifur cations from the solut ion x = 0 in th e case of prim ar y reson an ce,
which by definition occur s when the Fouri er exp an sion of p(t) contains nonzero
terms 1l2ne2int and Il _Z n e - Zi nt . Th e parameters in thi s prob lem are the detuning
a = 0 2 - n 2 , th e damping coefficient k: and t he Fouri er coefficients of p(t ). in
particular (/2n " They arc assumed to be sma ll and of equal ord er of magnitude.
In Broer and Vegter (1992) the conservative case l: = 0 was st udied , her e we
consider th e dissip ative case A: > O. The an alysis is based on Ruij grok (1995).

2.1 Normal form equations

To find t he time-periodic normal form of (2.1). we put .1" = ;1'1 , ;i; = Xz a nd write

X2
- k:r z - (n 2 + a + p(t) )F(.1'tl (2.3)

Equation (2.3 ) can be written in complex form . using z = n.rl - ix z and expand ing
F (:rl ):

i = im - ~k( z - z) + t.i(a + p(t) )(z + z) + ... (2.4)

The equat ion for z has been omitted .

To equation (2.4) we apply the t ime-periodic norma l form pro cedure as de-
scr ibed in Hoveijn (1992). The righthand side of (2.4 ) is expanded in powers of
284 M . R UIJ G ROK, F . V ERH ULST

z, 2 and th e par am eters , which will be indicated by Il = (a ,k , a 2. a ~ , . . .). A long

ca lculat ion yields th e t ime-dep end ent norm al form of (2.3), up to second orde r:

.i: iriz + (- ~k + -i;; ia )z + -i;;ia2nei2ntz + L( z, 2, fl, t ) + I\ (z , z, u, t) +

igzlz I2+ 0(i(Z ,Z , ll )ll ) (2.5)
where

K( z, z, fl, t ) (2.6)

and L(z , 2, u; t ) contains term s which are linear in z and qu ad ra tic in th e par am-
eters. It ca n be assumed th at afte r a suitable t ime tr anslati on . a2n is real a nd
positiv e. From thi s point on, it will be assumed th at 9 =I O. Thi s condition is
satis fied by "almost all" choices of F (x) , a nd ca n th erefore be ca lled generic .
The norm al form (2.5) ca n be made aut onomous t hrough th e tran sform a tion
z = weint . After scaling time with a factor 2~' a nd introducing /\ = nk. th e equa t ion
for w becomes:

(-/\ + ia) w + ia2nW + K( w, li> , f.l ) + igw lwl2 + L( lc. lo, /l)
+O (I(w,l o,/l) ll) (2.7)

where now:

(2.8)

and

L(W,10, 11) = 2nL(w, w,ll ,O) (2.9)

We now scale

a = cCr (2.10)

Following Bro er and Vegter (1992) (where it is shown th at all non-tri vial fixed
poin ts of (2.7) arc at O(d ) of th e origin) we also scale w = c~ Ii' . Equat ion (2.7)
becomes (dropping t he hats and time scalin g T = Et)

(2.11)

with K( w, W,ll) as in (2.8). Note that t he O re) esti mate is valid. since it is easy
to see that even t erms in (z,z) have coefficients of O (c), so in part icular terms of
degree four will lead to O(c ) terms in the rescaled equat ion (2.11).
Equ ation (2.11) is invariant und er (w ,w) -> -( w, ii') (up to Ore) terms), if
and only if K(w , U'. fl) = O. For sufficient ly sm all E, equat ion (2.11) can be treat ed
as a perturbation of a symmetric syste m.
 PARAMETIlIC A?'JD AUTOPARAMETRI C RESONA NC E 285

2.2 Dynamics and bifur cations of the symmetric system

In this sect ion we ass ume th at th e autonomous normal form (2.7) is invariant
und er (w,u:·) -> - ('III , w). This symmetry implies, amongst other things, th at all
fixed point s come in pair s, and th at bifurcations of th e origin will be symmetric
(such as pitchfork bifurcations). As was menti oned in the introduction , th e norm al
form equa t ion is symmetric when eith er F( x) is odd in .r or when n is odd . Thi s
is reflect ed by equa t ion (2.11), which is invari ant und er (x, y) -> -(x, y) only if
th e quadratic terms vanish. From (2.8) it is easy to see th at this indeed is th e case
when F( x) is odd, since t hen b = O. Similarly, when n is odd , p(t) = L1 EZ a21 e2tlt
does not contain terms a_n> an or a3n and all th e coefficients in (2.8) equal zero.
The symmetric eq uat ion, truncat ed at O( c), is given by

w= (-,.; + iCJ)w + ia2nW + igw ltLf (2.12)

It is not difficult to show that, for sufficiently large R, the disc Iwl < R is
invari ant und er th e flow of (2.12), a nd th at the only at tr actors in thi s area arc
fixed points. The dyn ami cs of (2.12) ca n be summarized in Figure 3
Outside the hyp erbola ,.;2 + CJ2 = aL (that is, outside area II) th e trivial solution
is st abl e. On the hyperbola a pitchfork bifurcation occurs, which is supercritical
if CJ > 0 and subc rit ical if CJ < O. On th e half line a2n = t«, CJ < 0 there occur s a
double saddle-nod e bifurca tion, i.e. two simultaneous saddle-node's .

2.3 Bifurcations in the general case

As was remark ed earlier, t he general equ ati on (2.11) ca n be seen as a non-symmet-
ric O(d) perturbation of the symmetric case . For most values of th e parameters
CJ and a2," th e ph ase-portraits of th e symmet ric equa t ion are stru cturally stable,
so for sufficiently small e, th e perturbation will have no qu alitativ e effect. There
will still be zero, two or four (nontrivial) fixed points, respectively, and th ey will
remain hyp erboli c for value s of (CJ ,a2n) outside a neighb ourhood of th e boundari es
in th e bifurc ation diagram (Figure 3). These fixed points will, however, no longer
corne in symmetric pairs.
For th e half-line a2n = n, CJ < 0 in Figure 3, we can make the following re-
mark. In th e symmetric case , two saddle-node bifurcations occur simult aneously.
Since saddle-node bifurcations ar e generi c, th ey will persist in th e perturbed case.
However , becaus e of th e symmetry breaking, th ey will, in general, no longer oc-
cur simultaneously. We therefore expect th at th e half line will break up into two
curv es of saddle-node bifurcations. These consid erations hold outside a neighbour-
hood of th e point (CJ, a2n) = (0, x). Near this point we will find more complicated
beh aviour.
It follows that we only have to consider values of (CJ, a2n) near the hyperbola
", 2 + CJ2 = a~n ' For th ese values of the parameters (that is. at points in parameter-
spac e where the trivial solution loses stability) we will th en apply cent er-manifold
286 M . R UIJ GROK , F . V ERHULST

(~\) ....... . -- »>

(b) (a , a2n) E II (e) (a .U2n) E [II

II

III

Figure :3: Bifur cation diagr am in th e (IT,a2,,)-plane a nd phase-portraits of equation

(2.12) .

th eory. Let ,.\ = _,, 2 - 1T2 + a~ n be t he bifurcati on-param eter. In Ru ijgrok (1995)
it is shown t ha t the flow in t he cent re-ma nifold is given by
u 1"IU + c ~ /12,,2 + 1'3U3 + E~ 114 U 4 - uS
o (2.13)
where Jll is proportional to ,.\ and Jl3 is proportion al to IT. The coefficients J12
and J14 a re function s of '\ , J13 and th e Fouri er-coefficients a n and a3n- The most
degenerate memb er of th e family of equations (2.13) is it = - us. and it is not
difficult to see that (2.13) defines a four-p ar am eter unfoldin g of thi s degener acy,
such that u = 0 is always a solut ion (see Ruijgrok (1995) for det ails ).
If 17 is not small. the term u 3 in (2.13) dominates. We th en have a sy mmet ry
breaking perturbation of th e pitchfork-bifurcation (see Golubitsky and Schaeffer,
1983), leading to a saddle-node followed (or preceded ) by a t rans critical bifurca-
tion .
We can now sketch th e following partial bifurcation-diagr am in (17, a 2n)-space,
excluding a neighbourhood of th e point (17, a2n ) = (0. K) (see Figur e 4).
 PARAM ETRI C A1' O A UTOPA RAl\I ET RI C RESO"A NCE 287

F igure 4 : Pa rt ial bifurcation diagram in t he (0-, a 2,,)-p lane in the non-symmetric

case.

It rem ain s to a na lyse the case when (J is small. Rescale A and 0- t hrough A = d 5-,
0- = do . Truncat ing at O(d ) a nd , as always, dr opping th e hat s, yields t he
following eq uat ion for u

il

The tra nslat ion U = IL + t l14 takes equ ation (2.14) to

(2.14)

where th e V i , i = 1, .. . , 4 are funct ions of th e Iii' T he bifur cat ion- set of thi s equa-
tion (t he " butterfly" ) is thoroughly examined in P oston and Stewart (1978) and
Bro ecker and Lander (1975). It is not d ifficult to see that t he map (v\ , V2 , V3 , V4 ) ->
(p \ , Il 2, Jl3· l l4) is a diffeomorphism . The bifurcat ion- set in (11\ , IL2, P3, 114) space is
th e image of the " b utterfly" und er t his map .
A difficult problem is how to picture the bifurcat ion-se t, since it lives in a
four-dimension al space. Following a n idea in Broecker and Lander (1975) , we give
a series of bifur cation pictures in t he (/1\ , 113)-plane as the values of (112, /14) are
varied (see Figure 6). We choose (ll \ , IL3) , since we arc intere sted in complet ing
the bifur cati on dia gra m Figure 4. The line IL\ = 0 cor res ponds to t he hyp er bola
1'2 + 0-2 = a§" and the line /13 = 0 corr esponds to th e line 0- = 0 (in Figure
6, we have actually reversed the dir ection of /13, so th at now positiv e IL3 corre -
spo nds to positive 0-) . It is therefore easy to tr ansform a bifurcati on-diagram in
the (11\ , Il3)-plane to one in t he (0-, a 2,,)-plan e. As an example, consider Figure 5,
which shows the bifurcation-di agram in the (11\ , 113)-pl ane for 112 = 0, 114 = O. T his
diagram . representing the symmet ric case , is equivalent wit h Figur e 3. On the line
11\ = 0, corres pond ing to the hyp erbola in (0- , a 271 )-space. there occur s a pit chfork
bifurcation, which is supe rcrit ical when 0- < 0 and sub critical when 0- > O. On
288 M . R UIJ GR OK , F . V ERH ULST

the half-parabol a Il ~ + 4tl l = 0, - P3 < 0, corr esponding to th e half line (l Zn = K ,

a < 0, th ere occur two saddle-nod es simul taneously. Figure 6 shows how thi s bi-
furcat ion diagram is perturbed when non-symmet ric terms arc added . In all cases
th e pitchfork-bifurcation is pertu rbed int o a transcritical (th e line Il [ = 0) and a
saddle-node bifurcati on. In all th e bifur cat ion-di agrams in th e (P l. P3)-plane we
find cusp-po ints, i.c. points wher e th e right hand side of (2.14) has a triple zero.
For values of (Ilz, fl~) on t he cubic Il~ - 16p z = 0 (sec Figure 6a and 6h), we have
"s wallowtail" points where th e right hand side of (2.14) has a fourfold zero. Note
that equat ion (2.14) is invariant und er (p z,tl.j ) ---. - (/l [ , P3), U ---. - 11. Th ere-
fore, going ant i-clockwise in Figure 7 from h) to a) leads to t he same sequence of
bifur cation-diagrams. Fin ally, in Figur e 7 we give th e possible bifur cation diagra ms
in th e (fJ,azn)-plane.

Figure 5: Bifurcation diagram in th e (PI , P3)-plane in t he symmetric case (pz =

P4 = 0).

2.4 Discussion
Consid er aga in th e original equation (2.3), written in complex form :
i = F (z , E, P, t) z EC (2.15)
and its normal form
i= F (z, z,p,t) zEC (2.16)
where F (., t) and F (.. t) arc 7l'-periodic. Th e variables z and z are related through
z = z + h(z, z, p) with h(z, z, p) a Coo funct ion whose Taylor expansion st arts with
quadratic terms.
One way to st udy th e dyn am ics of (2.15) is through th e Poincare map PI' :
C ---. C, defined by:

PJ1.(z) = X~( z ,O) (2.17)

 PAItA IvlETH IC AND A UTOPAIlAld ETItI C It ESO NANC E 289

4",
,Ilo

7 1"' I
113

7 I" r 3

/
I
I

(a) (b) (e)

-
.r.
- - - ---

(d)
/l3
._..._.- ---
~ ~2
(e)
113

(f)

f' ~
7 r 7 I"' I 113

(g) (h)

).I,

Figure 6: Bifurcation diagrams in the (Il l. Jl 3)-plane.

290 M. R UIJ GRO K , F. V ERH UL ST

(a) See F igu re 6g (b ) See Figure 6e (e) See Figure 6e

Figure 7: Bifurc ation diagrams in t he (a2" , cr)-plane.

wher e Xt'( u, to) is th e solu tion of (2.15) with initial condit ions z(lo) = v, z( to) = ii .
T he Poincare map of (2.16) will be denot ed by PI'"
A well known theorem on normal forms (see Hoveijn , 1992). implies th at if
Zo is a hyp erboli c fixed point of ~,( z) , then th ere exists a nearby hyp erb olic fixed
poin t Zo (of t he same st ability typ e) of PI,(z) . In t his case , using the sca lings of
sect ion 2.1, Zo = zo + O(d ).
Recall th at t he norm al form (2.16) is mad e aut onomous through th e tran s-
formation

(2.18)

leading to th e equa tion

ill = F (w,w,p,O) (2.19)

Now suppose th at '11'0 is a hyp erb olic fixed point of (2.19). The image of '11'0 under
th e Poinc ar e map PI" is then

(2.20)

where we have used (2.17) and (2.18).

From (2.20) it follows that if n is even, '11'0 is a hyperbolic fixed point of ~"
corresponding to a hyp erb olic fixed point of PI"' corre sponding to a hyp erbolic
rr-periodic solut ion of (2.15). However, when n is odd , we see t hat ~,( wo) = - '11'0 ,
and that ('11'0, -'11'0) is a hyp erbolic orbit of per iod 2 of PI" which corresponds to
a hyp erbolic 2rr-periodi c solution of (2.15).
The bifurcations occur ring in the autonomous normal form (2.19) have th e
following impli cations for th e original equ ation (2.15). If n is odd . th e pitchfork
bifurcati on of th e origin in (2.19) corresponds to a period-doubling (or flip) bifur-
cat ion of the solution z = 0 of th e Poin car e map of (2.15) . The normal form of the
flip hifurcation is given by t he 1 -d imensional map F ( u, A) = -u + AU ± u 3 , (see
 PAR A I-I ETHI C Al'D A UTOPAR A I-IETRI C RESONA :\ CE 291

Wiggins. 1990) wher e the sign of t he cubic term determines whether this bifur ca-
tion is sup er- or subc rit ical. In genera l, a pair of fixed points (wo, - wo) of (2.19)
corresponds to one 2i1-period ic solut ion of (2.1.5). Therefore . for param eter values
in ar eas II a nd III in Figur e :3 , there are 1, resp ectivel y 2. 2i1-periodi c or bits . T he
sy mmet ric saddle-node bifurcation corres po nds with one sad dle-node bifurcation
of 2i1-period ic orbits.
If Tl is even, but th e function F(J:) in (2.15) is odd in x , the normal form
(2.19) is the sa me as in th e previou s case . However, in thi s case the pitchfork bifur-
cation of the origin corres ponds to a pitchfork bifurcation of n-p criodic orbi ts in
(2.15). The norm al form of the pitchfork bifur cation is given by t he 1 -dimcnsional
map F(U,A) = II + All ± u 3. For parameter values in ar eas II and III in Figure
3, there are 2, respe ctiv ely 4, zr-pcri odi c orbits. The sy mmetric saddle-node bifur-
cat ion corr espond s to two sadd le-node bifurcation of rr-periodic orbits, occurring
simultaneously.
If 11 is even, and F( x ) is not odd in :1', th ere ar c only transcrit.ical a nd sadd le-
nod e bifur ca tions occurring in (2.19) . corres po nd ing to tr an scritical a nd sadd le-
nod e bifurcations of rr-pcriodic orbits. The normal form s arc respectively F ( u, A) =
U + AU ± u and Fiu , A) = U + A ±u .
2 2
In Broer and Vogter (1992) , the Hamiltonian case (1.:= 0) of (2.1) is st ud ied .
Comparing with this st udy, we find simil arities and differences.
The similarity is in the autonomous normal form (2.7), which for I.: = 0 is
the sa me as calculated in Bro er and Vcgtor (1992). Also. to th e special (symmet-
ric) cases of the present chapter , there cor respond simil ar symmetric Hamiltoni an
cases, with similar cod imcnsicn 1 bifurcations (tra nscri tical, sadd le-node , pit chfork
or flip, depend ing on th e specific symmetry) . In the Hamiltonian case, however ,
there is an additional possibility of symmetry, namely when (2.1) is time-r eversible
(i.c. when ]i( t) = ]i( - t ) for all t E R ). Reversibility docs not occur in the pr esent ,
d issipative , case .
The most importan t difference is th at in the dissipative case, the bifurcati on
analysis can be redu ced to studying a l-dimension al syste m. Also, th ere ar e few
difficulties in tr an slating th e bifurcation results for the auto nomous normal form
back to the original equa t ion. The Hamiltonian case is rather mor e compli cat ed. In
Bro er and Vegter (1992) , the aut hors use singularity the ory for families of plan ar
Hamiltonian fun ctions in their analysis. They reduce th e normal form to a two
parameter famil y of Hamiltonians (these parameters arc roughly equivalent with
a and a 2n) . In general, the an alysis in the Hamilt oni an case is more subt le than
in t he dissipative case .
292 1\1. R UIJGROK, F. VERH UL ST

3 Autoparametric resonance by self-excitation

3.1 The equ ations
Consid er th e following au topara met ric version of (2.1)
.i' + ekx+ (1 + EO + w y) F(x )
V+ 4y + 8f( y, iI) + g( x, y)
° (3.1)

°
wher e F( x) is a ex functi on whose Taylor expansion starts with linear terms. The
(3.2)

coupling term in (3.2) has th e form g(x,y) = go(X)+ 8ygl(X)+8 2y2g2(x )+ . . ·, and
10 and 8 are small parameters. It will be shown later t hat the most interesting case
occurs when we take 10 and 8 to be of t he same order of magnitude. It is fur th er
assumed that th e sub system

V +4y+ 8f (y ,y) + g(0, y) = ° (3.3)

defines a self-excited oscillator which has a stable zr-periodi c solu tion. Because (3.3)
is autonomous, a closed orb it in th e phase space act ually corresponds to a one-
par am eter family of periodic solutions (y,!j) = ('lJp (t + .p), Yp(t + ¢) ). param et rized
by the ph ase .p E [0, rr]. From this point on we will identify a closed orbit with one
clement of th is family. Analogously to previous cases, we expect that th e semi-
trivi al solut ion (x , x,y.Y ) = (O,O,yp(t)) ,Yp(t )) loses stability for certain valu es of
the par am et ers and th at th e z -modc th en is excited . Also as in previous cases, it
is expecte d t hat the resulting oscillati ons in th e x-mode will ha ve all amplit ude of
O(d) .
In thi s section we present a summa ry of a st udy of system (3.1. 3.2). Details
can be found in Ruijgr ok (1995). We make th e following assumpt ions:
1. y and tim e have been scaled so th at subsystem (3.3) has a periodic solution
of th e form Yp(t) = cos(2t ) + 0(8 ).
2. f(y , y) has a Taylor expa nsion with non-trivial 3-jet , producing self-excit a-
tion. An exa mple is th e van der Pol case, where f (y, y) = y(l _ y2) .
3. 10 a nd 8 are small par ameters such that 10 = 0(8) and 8 = 0(10) . In th e
case th at 10 = 0(8), the equation for Y in system (3.1, 3.2) decoupl es (to
first order ), an d it can be describ ed by eq ua t ion (2.1) and an independent
self-excited oscillato r. If 8 = 0 (10), th e selfexcitation term in th e equat ion for
y can be neglected with resp ect to th e coupling term g(x , y) and so syst em
(3.1, 3.2) can in th at case no longer be seen as an analogy of a parametrically
excited syste m.
Then, after scaling z by ../E, writing x = Xl , X = X2 and introducing c . = Xl - i X2 ,
z2 = 2Yl - iY2, th e normal form of syst em (3.1, 3.2) , t runca ted at OrE), becomes
+ 10 (( -k + iO") ZI + i Az l Z2 + i Bzdz d 2)
i ': l

2i z2 + c(cz2(1 - IZ2 12) + i CQz?) (3.4)

 PARA l\ I ETRI C A ND A U TOPA RA ~ lET R1 C RESON A N C E 293

with Z I . Z2 E C (equ ations for ZI a nd Z2 have been ommitted ). The const ants A .
B , k > O. a . C> 0 and Co ar c real. It is t his equat ion which will be st ud ied in thi s
sect ion.
Note the following well known prop erties of t runcated nor mal form s of th e
typ e (3.4) : hyp erboli c fixed poin ts, closed orbits and invari ant tori corres pond to
t he same in th e or igina l system (3.1, 3.2). Also, t he norm al for m (3.4) is invari ant
und er th e clements of th e one-parameter group of linear t ransformations 9 c
Gl (2, C). defined by:

i
9 = {gig = (~ L 0 5 , 8 E [0 , 2r.] . £ 0 = (
O

(sec Iooss, 1988) . Thi s las t prop er ty will be used in a following sect ion to red uce
th e dim ension of t he ph ase spa ce,

3.2 St ability and bifur cation of th e semi-t rivial solution

System (3.4) has a zr-pcn od ic solut ion given by ZI = O. Z2 = C2 i t , To study th e
sta bility of thi s solut ion, we define Z2 = ( '211 + ':2' Sysrom (3.4), lineari zed ncar
Z [ = 22 = 0 becomes: (dropping th e hat )

i z[ + E((- k + ia) zl + iA c2it zJl

2i z2 - CE (Z2 + eld~2) (3.5)

Let z = (z[ , Z l , z[, Z2) . According to Floqu et th eory (sec Verhulst , 1996), t he solu-
tion of th is z -pc riodic linear equ ation wit h initi al cond itio n Z = Zo can be written
as z = eD t P(t )zo wit h D a const ant 2 x 2 compl ex mat rix and P (t ) a zr-pcriod ic
2 x 2 complex matrix. Let Ai (i = 1, . .. , 4) be t he eigenva lues of e" D . T he Ai arc
known as th e cha rac terist ic mult ipliers. One of th e multipliers will equa l 1 (say
Al = 1). becaus e we arc lincari sing ncar a closed orbit of an aut onomous cq ua-
tion . T he closed orbit will be stable iff lAd < 1 for i = 1. 2. 3. An exact solut ion
of (3.5) can be found by tr ansforming Zl = e ,l lL'l , Z2 = e i2l w2, which yields t he
a uto nomous equatio n for WI , lL'2

E" ((- k +ia) w I +iAluJl 11'1 = S(- i.-llL·1 + (- k - ia )w[)

- CE (W2 + IL'2) IL'2 = -cs t 1/' 2 + IL'2) (:3. 6)

Thi s equa tion has eigenvalues E(- k ± Ja2 - A2). - 2c= and O. The cha rac terist ic
mul tipli ers of D ar c th en

(3.7)

It th en follows th at th e semi-trivial solution is st able iff:

(3.8)
294 I'll. R UIJ G ROK , F . V ERH ULST

From th e expressions for t he cha racterist ic mult ipliers (3.7) it follows that at
a point of bifurcat ion . i.e. when A 2 = k 2 + a 2 , one of t he characterist ic rnul tipli-
crs eq uals - 1. This impli es that t he n-pcriodi c semi-t riv ial solut ion und ergoes a
period-doubling bifurcation at t his point (sec Arn old . 1984).
To study thi s bifurcation. we first tr an sform ZI = f/ ! W I , Z2 = e2 1t U'2 , yielding
c(( -k + ia )wl + i AIU\,W2 + iBw i lu'112)
c(c1II2 (1 - IW21 2) + icowr) (3.9)
T he fact th a t t his transforma t ion lead s to an a utonomous eq uat ion for W I. lL'2 is
a consequence of t he i nvar ia ncc of (3.4) und er Z l -+ ei "z l , Z2 -+ e 2; 'z2' It is eas y
to see th at aft er a suita ble scaling of W I, W2 , A, B , k , a and a tim e sca ling, we
ca n t ake c = Co = 1. In polar coord ina tes W I = re'?», W2 = RCi ¢ 2 and after a ti me
sca ling by a fact or E , (3.9) becomes
-kr + A1'Rsin(2 </>1 - ¢2)
a + B 1'2 + AR cos(2<P l - 02 )
R(l - R 2 ) - 1'2 sin(2¢1 - ¢2)
1'2
Ii COS(2<p l - ¢2 ) (3.10 )

Beca use (3.9) is invariant un der W I -+ c i " WI, lL'2 -+ C 2;8 W2 . it follows th at (3.10)
is invari ant und er 6 1 -+ 01 + S , ¢2 -+ ¢2 + 2s, which explains why only th e
combinat ion-a ngle 201 - 62 occur s in t he righthan dside of (3.10) , Writing 1/1 =
2fp! - ¢ 2, th e equat ions (3.10) ca n be reduced to th e 3-d imensiona l system which
will be cent ra l in the rest of this section:
T' - k1' + A1'Rsin l,0
R R (I-R 2 ) -
2
1' sin lj;
1'2
L' (2AR - R ) cos 1/1 + 2a + 2B r 2 (3.11)

Remark Let (1'0 , R«. l 'o) be a fixed point of (3.11) . Syst em (3.10) th en has a phase-
locked solut ion of th e form I' = 1'0 , R = R o, 0 1 = o i. + 0 0 . 62 = 20t + 24>0 - l,00 ,
where 0: = a + ARo cos L'O + br6. Therefore, (3.4) has a solut ion of th e form
Z I = 1'oc;« (1+ w )t + "l o) , Z2 = Ro c2; (I + w ) ! + oo-~ l'0 )

This describes a periodic solution wit h period I ~:o ' correspond ing to a closed
orbit in ph ase space . As was not ed befor e, if this closed orbi t is hyp erboli c, th en
t he ph ase space of th e original sys te m (3.1. 3.2) also contains a hyp erb olic closed
orbit . The const ant t' o is in a sense th e ph ase difference bet ween th e Zl a nd Z2
mod es.
We will not go into the bifurcat ion a na lysis of th e sem i-trivial solut ion here
(sec Ruij grok , 1995 ). As an illustration, we give a ty pical bifurcation di agram in
th e (A, a)-plan e (sec Figur e 8), obt ain ed through a combina t ion of cente r-ma nifold
red uct ion and num erical ana lysis. using LO CBIF (Khibnik ct al. 1992 ).
 PARA "-l ETRIC AND A UTO PA RA lvlET RIC RES0 0:A i\ C E 295

~
Fi gure 8: Typic al bifur cation diagram in th e (iL a) -plane. On a (respec t ively on b)
the origin undergoes a supcrcrit ical (respecti vely subc ritical) pit chfork bifur cation .
On c t here is a sad dle-node of non-trivial fixed poin t". On th e CUl"\'(' insid e th e
hyp erb ola. a secondary Hopf bifurcation occ urs.

3.3 Ch aotic dynamics

Even mor e interesting is th at on th e Hopf-cur vc in th e (A . a )-pl an e. the re ar c
isolat ed points where th e eigenva lues of t he lincari scd vcctorficld are ±iw and O.
The bifurcati ons associated with t his singularity haw first been st udied in Guck-
cnhcimcr (1980) a nd Taken s (1974).
In Ruijgrok (1995) it is shown that t he normal form of (3.11) has a famil y of her-
eroc linic solut ions, for certain values of the paramet ers near the above mentioned
bifur cation-point . These solutions arc not st ruct urally "table. I3y add ing a " flat"
perturbation to (:t11 ), the famil y of hct cro cliui c solutio ns will in genera l br eak
up a nd may yield an orbi t homoclin ic to a fixed point. If a techni cal cond it ion
on t he eigenvalues of th e fixed point is met , we haw' a Silnikov bifurcation . T his
is a global bifurcation for which it can be shown that ncar the bifur cati on poin t
chaot ic dynami cs, involving imb edd ed hor seshoes, occur (see Silnik ov, 1965 a nd
Trcsser. 1984). Ph ase-p ortrait s of (:t l 1) illustrate some of t he complex dyn am ics
(see Figur e 9).
Fin ally. a rem ark about the connect ion between th e dy namics of (3.11). which
a fter all is itself a truncat ed normal form equa t ion. an d th e origin al sys te m (3.t.
3.2). Solutions of the norm al form equat ions arc close ap proxima t ions of solut ions
of th e ori ginal equ ati ons. on a time scale of ~ . In particu lar. if th e norm al form has
chaot ic solut ions (for example near a Silnikov bifurcat ion point ). then the ori ginal
equ ations will show th e sa me behaviour, at least on a ti me scale ~. Furthermore.
hyp erbolic fixed points and peri odi c solutions of (3.11) corresp ond to periodic
solut ions and invari ant tori of the normal form of syste m (:3. 1. :3.2) and th erefore
persist for sys tem (3.1, 3.2) it self.
Wh en (3.11) und ergoes a Silnikov bifurcation . it is known (sec Wiggin s. 1990)
that a countable infinit y of hor sesh oes is crea te d . In Trcssor (1984) it is shown
206 M. R UIJGROK , F. V ERH ULST

(a ) (b)

(e) (d)

Figure 9: S OlIlC ph ase-portraits of (3.11), showing a sequence of period-doubling

bifurcations.

th a t , und er generic condit ions, for a sufficient ly sma ll perturbat ion of (3.11) a fi-
nit e number of th ese horsesh oes persists. Becau se th e original sys tem (3.1, 3.2)
is a sma ll perturbation of its nor mal form (t ho size of t he per t ur bation can be
made a rb it ra rily sma ll by normalizing to a sufficient ly high degree), it is th ere-
fore conje ct ured th at system (3.1, 3.2) possescs hor seshoes. for most valu es of th e
pa ram et ers. when (3.11) und ergoes a Silnikov hifurcati on.
 PARAM ETRIC A N D AU TOPARA ~I ETRI C RESONA l\ CE 297

References
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[2] Broec ker Th., Lander L., Diffe rentiable Germs an d Ca tas trophes ( LMS Lectu re Notes
vol 17) , Ca mbridge University Press, 1975.
[:, ] Broer H.W. , Vegt er G ., BiJurcati ona l aspect s oj parametr ic reson an ce, Dynamics
repor ted: ne w ser ies vol. 1: Exposi tions in dynamical sys lems, eds. C.K .R .T . .Jon es,
U. Ki rchgraber and 11.0 . Walther , Springer, 1992.
[41 Ca rt mell, 1\1. , Introduct ion to L ineal' , Param etri c and Non lin ear Vibrat ions. C ha p-
man and Hall, London , 1990.
[5] Golnbitsky 1\1., Schaeffer D .G. , Singul arit ies an d Gro ups in Bifu rcation Th cory .
Springer-Verlag , New York , 1983.
[6] Gu ckenh eimer J., Holm es P. , Non linear Oscillatio ns. D yna m ical Sys tems an d B iJur-
calions o] Vect orji etds, Springer-Verlag, J\'ew York. 1983.
[7) Gu ckenh eim er J ., On a cod ime nsio u t wo hifu rcat.ion. D ynam ical Systems an d Tubu-
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[8) Hoveij n I., A spects oj Resona nce in Dynamical S ystems. Thesis, Ut recht Uni ver sity,
1992.
[9] Iooss G .. Global cha rac terization oj the nonn al [orm Jar a »ectorjic id nea l' a close d
orbit. , Journal of Differen tial Eq ua t ions 76. 47-76. (1988).
[10] Khibnik A.!. , Ku znet sov Yu.A ., Levitin V.V.. Nikolaev E.V ., LO CI3IF . CAN Ex-
pertise Ce nt re, Am sterdam, 1992.
[111 Na bergoj , R. , Tond l, A., Simula t ion of parametric ship rollin g: effects of hull bending
and tor sion al elasticity, No nlinear Dynami cs, 5, 1993.
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(1979)
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bridge. 1986.
[14] Poston 1'. , Stewart I. , Catast roph e Th eory , Pitman . London . 1978.
[15] Ruijgrok M., S tudies in Para m et ric and Alltopara m etric Reso nanc e, Thesis, Ut recht
University, 1995.
[16) Silnikov L.P ., A case of th e existence of a denumerable set of periodic motions, Sov.
Math , Dok l., 6, 63-71 , l!J65.
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a nd nonlinear system s, Int ernational Jo urnal oj No n-Lin ear M echanics, 123, 1992.
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[19] Tond!. A., On t he st ab ility of a rotor sys te m. A ct a Tee/m ica CS A V, 36, 331-338,
1991.
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CSAV, 37, 735-758, 1992.
298 M. R UIJGROK , F. VERHULST

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ceedi ngs 14th Bi ennial ASME Conference Mecluuii cal Vibrat ion and Noi se, Alb u-
querque, 1993.
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Nonlinear D ynam ics, 1, 13 1-1 4 1, 1990.
[211 Tond l, A. , Nabergoj , R., Simulat ion of parametric sh ip hull and twist osci llations,
Nonlinear Dynamics, 3, 4 1~56 , 1992.
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461. 1984.
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t ion , Spri nger-Ve rlag , New York , (1996).
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[27] Wi ggin s S., In troduction to Applied Nonlin ear' Dima mic ul Sys tems and Chaos ,
Sp ringe r-Verlag. New York, 1990.
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Progress in Nonlinear Differential Equations
and Their App lications. Vol. 19
© 1996 Birkh au se r Verlag Basel/Switzerland

Global att ractors and bifurcation s

Marcelo Viana'

Abstract
We present some recent developmen ts in th e st udy of a t tractors of s moo t h
dyn am ical syst ems, s pe cia lly at trnctors whose bas in has a globa l cha rac te r.
A key point in our ap proac h is to explore t he rela t ions be tween t his st udy
a nd th at of main bifur ca ti on mech a n ism s.

1 Introduction
\\'e consider bot h cont inuous t ime dy na mical systems (flows) a nd d iscrete tim e
dyn amical sys te ms (smoot h transform ati ons, diffeomorphisms ) on manifolds. In
t he first sett ing we use :"t: ,\I -----> AI, t E R , to den ot e th e flow. In t he second one
we let i.p: jI --> AI be the trans forma t ion and denote its r-it eratc 'PI = 'P o· . . 0 'P,
for each integer t ;::: 1; if o is inver tib le we also write .,:: - t = ('Pt )- I.
A main problem in Dynamics, which we want to ad dress here, is to descr ibe
t he (ty pical) asymptotic behaviour of t ra jector ies 'PI ( : ) . : E i\I , as time t goes to
+00 . Let a n aitracior be a (compac t) subset A of th e ambient manifold i\I such
t ha t

• A is int 'ari an t und er t ime evolut ion: 'Pt (A ) = A for every I > 0:

• A is dynam ically in divisi ble: it contains some dense orbit (alte rnat ively, one
may ask t hat A support an ergodic invari ant measure);

• the basin of A , defined by 8 (.'1 ) = {z E M: 'Pt ( : ) ~ A as t -+ -i-co} , is a

large se t : it contains a neighbourh ood of A (weaker definit ions a rc obtained
by requ iring 8 (.'1) to have nonemp ty interior or even j ust positive Lebesgue
measure).

Then this prob lem can be rephrased in term s of descr ibin g the prop er t ies of at-
tractors. namely

• geometric and top ologica l properti es (fract iona l d imensions , topological in-
variants):
' ~ l arcdo Via na . II\IPA. Est. D . Casto rina 110 , J ardim Bor an ico. 22460-320 Rio de J a neiro ,
Bra zil. Tel : +55(21)29 4-9032 Fax: ....5.5(21)5 12-4 115 E- ma il: vian a fi impa .b r
300 M ARCELO VIA NA

• dynami cal prop erti es (symbolic dyn amic s, (non jhyperb olicity. Lyapunov ex-
ponent s);

• ergodic properti es (asymptoti c measures, stat ist ical par am eters).

Of par t icular interest is to invest igate th e robustness (or persistence) of th ese

features of t he dyn amics when th e syst em is perturbed (eith er det erm inisti cally or
ra ndomly).
Besides the bea uti ful t heory developed throughout th e sixties a nd th e seven-
ties for t he case of Axiom A syst ems, see e.g. [Sm], [Bo)' a grea t dea l of int erest
has been devoted in recent years to trying to provide a satisfactory a nswer to
th ese quest ions for more genera l classes of at t rac tors, lacking uniform hyp erb olic-
ity. Motivation comes both from t he appli ca tions (models of natural phenomen a
are seldom un iformly hyp erb olic) and from th e intr insic richn ess of such syste ms,
which combine (st ructural ) unst ab ility with some remarkable forms of persisten ce.
A fru itful ap proach, strongly advocated by .1. Palis, has been to t ry a nd relat e
th e study of (nonhyp crb olic) attractors with th at of t he generic processes t hro ugh
which th e dyn amics varies as t he initia l syste m is mod ified (bifur cati on pro cesses) .
More precisely, one considers par a metrized famili es of dyn amical syste ms unfold-
ing a given typ e of bifur cat ion (such as nont ran sverse homoclinic traj ectori es or
nons t abl e cycles cnvolving per iodic tra jec tories, for inst an ce) and one t ries to de-
scribe t he presence and th e properties of at tractor s in t hose fam ilies. Results such
as [l\IV), [DRV], [:\ [0] or [l\[P], for inst an ce, may be th ought of from t his persp ec-
t ive. A second , kind of converse, ste p has also been proposed by Palis: to show
th at gener ic dyn amical syste ms with nonhyp erbolic at trac to rs (or ot her relevan t
unstable phenomena) can be approx ima ted by ot hers exhibiti ng one of a small
number of bifur cati on types. Results of th is kind includ e e.g. [Ur], [Cal .
Here we discuss a num ber of recent progresses in th is general program . In
Sect ion 2 we an alyse the basin of Hen an-like attractors , to pro\'e th at it contains
a neighbourhood of the att m ctor , at least for a large set of paramet ers. This is
well-kn own in th e orienta tio n-re versing case , but the, possibly even more releva nt ,
orient ation-preserv ing case seems to be new. We also announce a more qu ant itative
result, of ergodic flavour , recently established by M. Benedicks, and myself: almo st
every point in the basin of attracti on is generic wit h respect to the Sina i-Ruelle-
Bowen m easu re of the attrac tor.
Secti on 3 corres ponds to joint work with V. Baladi concerni ng the ergodic
propert ies of certain nonuuij orm lu hyperbolic un im odal m aps of th e interv al. The
main result asserts th at th ose properties, including t he fact th at such map s are
exponent ially mixing (exponent ial decay of correlat ions) , are robust under rarulotri
perturbations of the map (stochas tic stability ).
Section 4 was writ ten jointl y with S. Luzzatto and contains a discussion of an
ex tend ed geometri c model for th e behaviour of Lorenz equa tions. Th e goa l of thi s
mod el is to provide insight int o th e way t he stran ge attrac to r is destroyed through
th e introduction of ..folds" , as th e param et ers are vari ed. The main st at ement is
 GLOBAL ATTn ACTOnS ,\ ND nI FUn c.\TI ONS 301

that th e aitractor pers ists aji er th e app earan ce of the f olds . but only fo r a posit iv e
me asure set of partuncter v alue s .
In Section 5, we report on joint work with ~l. .1 . P acifico and A. novella . \Ve
conside r smoot h flows in 3-dimension al manifolds exh ibit ing hornoclini c connec-
tions associate d to equilibrium points of saddle-focus typ e. T hen we pro ve th at a
n cw typ c of global att ractor, wi th spi rolinq qeomet ru. occurs (an d is even a persis-
tent ph enom en on) in suc h f am il ies.

2 Th e basin of Henon-like attractors

In Section 2.1 we pro ve t ha t th e basin of Henan-like attrac tors con tains a f all
ne ighbourh ood of th e atiractor. for a lar ge set of pa ram et er values , and we ab o st ate
two relat ed conject ures. Then , in Section 2.2, we discuss a su bstant ial refinement
of this result : Lebesgu e almo st eve r y orbit in the basin is [erp on en ii alut] as ym ptotic
to some orbit in th e aiiracior. As a consequence. almo st cuery point in th e basin
is gen eric (in thc se nse of th c crqodu: th eorem ] with respect. to th e S ll Il-uu-os nrc
of th c ai t ractor,

2.1 The t opological basin

Let ('1''' )1<11<2 denote th e family of qu adrati c real map s '1' ,,(:1') = l -a:r2 (this may
replaced by much more general familie s of unimodal or mult.irnod al map s of th e
int erval , sec c.g. [DRV, Section 5]). We abo conside r th e corresp onding family of
cndo morphisms ,¢" of th e plan e , give n by 1jJ,,(J:, y) = ('1'"(,»), 0). By a Henon-lilce
m ap we mean here an y map 'P on the plane which is close enough to some 1/J1I in
t he C "-sense
b> ° sma ll
(usually one assumes r 2': 3; just how small b should be depends on th e contex t) .
In all th at follows we sup pose that :p is an oricnt nt iou-prcscrvin g diffeom orphism
but similar arguments apply in th e ori cntatlon-rovorsin g case.

°
It is stra ight for ward to check th at for ever y a E (1. 2) t he map 'II" has ex-
act ly two fixed points Q" < < P" and tha t th ese ar e both hyp erbolic (repelling ).
Moreover. th e unstabl e set of P', is a compac t interval contained in (Q", -Q,,).
Then a corr esponding state me nt hold s for ~'a : it has exactly two fixed points
qa = (Qa,O) and 1'" = (P", O), which arc hyperbolic sadd les, and th e un stabl e set
of p" lies inside (Qa , -Q,, ) X {O} . Now let l' = p(.,::). q = q(:p) be the cont inua-
tion of these fixed points for a nearby diffeomorphism .,:. Then p and q arc st ill
hyp erboli c sadd les and the un stable manifold \I ' " (p) is cont ain ed in a hounded
region (Qa. -Qa) x (- b, b). It is well known (see c.g. [BC:!]) that th e compact set
A = A(:p) = closure (IV " (p)) has a basin B (A ) wit h uoucmpty interior. More-
over. [BC:!]. [:\IV]. pro ved that very often (posi tive measure set of parameters ) A
con tai ns a dense orbit with ex pa nd ing behaviour [p osit ive Lvapunov ex ponent ).
Here we wan t to prove
302 MARCELO VIA NA

Theorem 2.1 There exist sequences (Ij)) of compact intervals converging to a =

2 and (bj)j of positive number's, S1Lch that, for any diffeomorph ism 'P sati sfying
II 'P - l/Ja Ilcl < bj for some a E UIj , the basin B (A) contains a neighbourhood of A .
Proof: In ord er to exhibit th e intervals I j we go back to the quadratic famil y
wa(x) = 1 - ax 2 . An explicit calculation shows that if a is close to a = 2 then
Pa is close to x = 1/2. Moreover , w ~I(Pa) consist s of two points Pa,1 < 0 <
Pa,o = Pa and W~2(Fr,) consists of four points Fr,,2 < Pa,l < 0 < Pa.O < P,: ,2' We
denote .la,o = [P",o , P~ .2] a nd let .1",1 = [Pa ,I , p~ .3 1 be the conn ect ed component of
W~I (.Ia ,o) situated to th e left of zero (assuming once more that a is close enough
to 2). More generally, for j ~ 1 we Ict .la,j = [Pa,j , P~ .j +2 ] be the connect ed
component of w ~I(.Ia. j-d contained in {x < O} . Ob serve th at th e .la,j converge
to th e rep elling fixed point Q" as j -- +00. Now we fix a slightly sma ller compact
int ervals., C int (.l".j) a nd define th e paramet er inter val I j by

(1 is t he crit ical value of '1' ,,). Rem arking th at W ~(O) = Q a when a = 2, one
concludes without difficulty th at th e sets I j defin ed in thi s way arc inde ed compact
intervals accumulat ing on a = 2.
Now, for a E I j we consider th e endomor phism ~'a ' Note that th e stable set
W S(Pa) = {z: l/J~ (z ) -> P" as n -> + oo} consists of all the vertical lines of t he form
{(x ,y) : w~(x) = Fr, for som e n ~ O}. In particular , it cont ain s th e vertical lines
Pa,i X R , P~ , i +2 X R. for each i ~ O.
Then W,J let 'P be any or ienta tion-preserving diffeomorphism sufficient ly C I -
close to l/Ja ' More precisely, we t ake 'P to be defined in some larg e square 5 =
[- I,W, with II'P - ua llc,(s) < bj for some sm all bj . It is convenient to begin by
extending 'P to a (proper) diffeomorphism of th e whole plan e and from now on
'P will denote such an exte nsion (note that neither A nor the fact that B(A) is a
neighbourhood of it depend on t he choice of the extension ). Since local invariant
manifolds of periodic points vary continuously with th e the dynamics, see c.g. [Shu]
or [P T , App endix 1]. we get th at, provided bj > 0 is sma ll enough.

1. WS(p) contains segments C I-nPar ea ch Pa,. x [- 21,21] and P~ , i+2 x [-l.l]

with 0 ::; i < i -
2. WU(p(rp)) folds near x = 1; th e first (resp. t he second ) image of this fold is
ncar x = Wa(l) (resp . x = W~(l)) and hen ce it is cont ain ed in th e interior of
.Ia.j x [-b , iii (resp . .Ia ,j - I x [-b. b]).

In particular. th e segments of W S(p) mentioned in 1 int er sect WU(p) and

W"(q) ; we denote by Pi, P:th e points of int ers ection with the local unstabl e
manifold of q, see Figure 1. Now, vVS(p) is an imm ersed subman ifold of th e plane
and so these segment s must be connected in some way. Using th e assumption that
'P pre serves orientation (hen ce both eigenvalues of D <p(p) arc negative) one checks
 GLO BAL AT TRACTORS A:"D I3IF CRC.\T10 NS 303

p I

It -
__.L .
~:, 12'

~
I~. , I~ f1.J'
'---'
'--'
'-'

Figur e 1: Invariant ma nifolds of P

easily th at t he segment s passing through P, P~ , Pl . must he conn ect ed as describ ed

in Figure 1. Xlorcovcr. itera tin g hackward s we conclude that th e segments passing
t hrough P, and P;+2' 1 ::; i ::; j, connect to each ot her as depicted . Observe here
th at each of th ese segments int ersects the boundary of th e horseshoe-sha ped region
<p(S) in exact ly four point s, and so th e correspond ing preima go int ersect s oS also
in four points.
At thi s point we fix some OJ > 0 a nd denot e J{j = [- 20j . 20)] x [- 1,1]. As
long as 6) and bj arc small enough, <.p (K j ) , <p2 (K j ) . :,;3 (1\'j ) arc sma ll regions ncar
x = 1, :1' = Wa (1), x = W ~(1 ) , respe cti vely. In particular. <p3(J{j) is contai ned in
t he interi or of J a .j - I x [-b ,b] and, in fact, in th e region n bounded by H' u (p) and
the piece of IV'(p ) connect ing th e nearly st ra ight segments passing t hrough Pj_1
and Pj + i - It follows from well-kno wn arg uments (see e.g. Theorem 4 in [BC 2]) t ha t
<p3 (K j ) C 11 is contained in t he basin of th e attractor A = closure (IVU(p)) and so
th e same holds for J(j .

\Ye arc left to conside r those poin ts in a neighb ourhood of A whose forward
orbit docs not intersect K j and we do thi s as follows. A result in [1\la] asserts
th at th e set E, of points in the interval whose forwar d traject ory is disjoint from
(-OJ, l5 j ) is a compact hyp erboli c set for Wa . Clearly. 1:..) contains th e fixed poin t Fa
and it is not difficul t to deduce th at WalE j is tra nsiti ve. Since hyp erb olic set s a rc
per sistent under perturbations of th e system, see e.g. [Shu] or [P T , App endix 1]. it
follows that th e set H j of points whos e full orbit remai ns outside ic, = [-6 j , 6j ] x
[- 1.1] is hyperbolic a nd transitive for ip. Moreover . th e set of points whose forward
orbit never ente rs J(j is cont ained in th e sta ble set of H] . In other words , all th e
points und er considera t ion at thi s sta ge arc attrac ted to H] . On th e ot her hand,
H j conta ins th e fixed point p and so it is conta ined in closur e (H' / (p)) = A . This
completes our argument. 0

It is not difficult to check th at t he arguments in [:\IVj ca n be carr ied out

within th e par ameter int erva ls Jj constructed above and so th e present conclusions
appl y to t he Hcnon-likc st range attractors found in th ere . Moreover , combining
304 MARC ELO VIA NA

the pr esent ideas with those in [Vi, Section 3] one obtains a similar conclusion for
th e quadratic-like at t rac tors in higher-dimensional manifolds constr ucte d there.
On the other hand. th e previous result is somewhat un satis factory, in that
one may expect the conclusion to hold for all valu es of a close to 2 (and small b), as
happens in the ori entation-reversing case . In this direction we state the following
two conject ures.

1: Ther e is a positive function bra), defin ed for a in a whol e int erv al (ao, 2) , such
that the conclusion of th e theorem hold s if II:; -1,0" llc <
l bra) for som e
a E (ao,2).

2: Moreover , b(a) may be taken so that if :; (:1:, ,1/) = (1 - a.1' 2 + by ,±bx) (a

Hcnon map) with b < b(a) then its nonwandorin g set n (:;) coincides with
Q(<p) U A(<p) .

2.2 Exponential convergen ce and the ergodic basin

Another important problem is to cha rac te rize the ergod ic basin of att rac t ion of A .
Let us formulate thi s more preci sely. It was shown in [I3Y2] that for th e param-
et er values such as in [I3C2], [i\IV] the a ttrac t or 11 supports a measure of Sin ai-
Ruell e-Bowen. By such they mean an invariant probability measure it supported
on A , whi ch is ergodic. has a positive Lyapunov exponent a nd, most important,
induces absolutely continuous cond itiona l measures alon g unstabl e manifolds (ab-
solute continuity is with respe ct to th e riem annian measure on th e unst abl e mani-
fold) . Then standard argume nts yield th e following key property: II det ermin es th e
asymptotic behaviour of time averages of all continuous function s g: B (A) ----> R

'- 1
~ Lg(~(x)) -+
J =O
J q du as t -+ +00

for a pos it iv e (two-d im ensional) Lebesgu e measure se t of point s l ' E B(A) . Of

course, one would like to know whether this property hold s for a full m easun,
subset of the basin and this is the problem we are consid erin g here.
Now, it is very easy to see that any (forw ard) asy mptot ic trajectories hav e
the same (forward) limit time averages, for all continuous fun ctions. Therefore,
the previous problem is somewhat related to the qu estion whether all (or almost
all) the orbits in th e basin arc asymptotic to some orbit inside the attractor (as in
the Axiom A case). Unfortunately, the elem entary ar gument s we used in th e proof
of Theorem 2.1 seem of little help for solving this question . However. it turns out
that the an swer to both qu estions above is ind eed positive. as shown recently by
M. Benedicks and myself. More pre cisely, we prove that for the parameter valu es
in [BC2 ] or in [i\IV]. the attractor ;1 = A (<p) sat isfies
 GLOB AL ATTRACTOR S A :\ D BI F CRCATIO NS 305

Theorem 2.2 Through Lebesgu e alm ost every point in D (A) th ere is a local s table
manifold which in tersects A. Moreover', we luu:c

t -l

~ ~g(yI(x)) -->
)= 0
J gri ll as t - +x ,

for eve ry con tin uous funct ion g an d f or Lebesgu e almo st euenjx E D (A ).

Recall th at Leb esgue refers to t he two-d imensiona l Leb esgue measure. Abo,
by a st able manifold we mean a cur ve which is exponentially cont ra cted und er all
positive iterates of <;. The proof of Theorem 2.2 is to appear elsewh ere.

3 Stochastic stability and exponential nuxuig

In t his secti on we deal with nonuniformly hyp erboli c unim odal map s of th e int erval
.p: T ---; T. with <;(1) c int (f ). Our goal is to describe the main results a nd
techniques in our paper wit h V. Bal adi [BaV]. In an on going joint work with 711.
Bcucdirks we arc exte nd ing part of these res ults (sto chasti c stability ) to a ttractors
of dissip ative diffoomorphism s in higher-dimensional ma nifolds.
For simplicity we take r.p to be qu adratic, <;(:1') = a - :);2 , but our argu ments
hold for general unimodal map s with negative schwarzia n deri vative a!HI nond c-
generate criti cal poin t. \Ve formulat e th e nonuniform hyp crbolicity property in
term s of th e orbit of th e critical point c = 0: let us ass ume th at

1. j(<;k)'(:.,J(c))1 2: A~ (posit ive Lyapunov ex ponent):

2. j<;k(c) - cl 2: e- n k (exponent ial recurrence bound )

for every l: 2: I and for some constan ts 0 < (\ « I < Ac- We a b o sup pose that 'P
is topologically mixing (on the interval <;2 (f )).
T his forrnulat.iou is moti vat ed by [BCI], [BC2). where it is pro ved th at I
and 2 above are sa t isfied by qu adratic maps for a positive measure set of values
of t he paramet er a. It follows from condit ion I and [Si] that <; can not have
at tracting period ic orbits. In contrast , as obse rved alrea dy by [I3C l j, [I3C2]. maps
<;,,(:r) = ,::(x) + s wit h sma ll s may exh ibit such perio dic at t rac tors. This mean s,
in particula r. t hat the dyn ami cs of <; is very un st abl e und er perturbations of th e
map. However. here we want to prov e th at from a different, statistical. perspectio e
the dy namics of suc h maps is. in fact. quit e robust . In order to st at e thi s in a
precise way let us comment a bit mor e on conditions I and 2.
It is now well und erstood . [No], th at condi t ion I impli es t he conclusion of
[J a]: <; ad mits an invariant probability measure 110 which is ab solutely continuous
with respe ct to th e Lebe sgue measure TTl on I (even equivale nt to In rest rict ed
to ,::2 (f )). Thi s measure 110 is unique. ergod ic. and det ermin es tho asy mptot ics of
30G M ARCELO VIA NA

typical orbits of <p:

t -l

~ Lg( <pj(x )) ->

) =0
f gdll o as t -> +x

for every cont inuous functi on 9 a nd m- alm ost all x E I .

Now we want to consider th e effect of adding random noise to th e iteration
of <p . More precisely, we want to compare th e asymptotic b eh av iou r of <pt with
that of 'PSt 0 . . . 0 'PSI ' where s I , . . . ,St a rc chosen randomly a nd independentl y in
some sma ll int erval [-o,e] (we shall denote by ee th e corresponding probability
distribution) . Und er gener al condit ions, satisfied in our context . such a random
scheme ad mits a stati ona ry measure fl . , with
t- I

~ Lg(<ps] o "
j=O
''Ps , (x )) -> f gdll, as t -> +x

for every conti nuous function g, m-almost all x E I, and almost all choices of
(Sj )j ?1 (in th e present conte xt Il, is unique and ab solutely cont inuous with resp ect
to Leb esgue moasur c).
Then we say th at <p is (wea kly) st och as tically stable if Il, is close to flo (in
th e weak" -sonsc) when th e noise level e is close to zero .
Theorem 3.1 (B a VJy is strong ly stochas tic all y st able (h enc e s tochasticall y stable) ,
tha t is
die, dll o
-> in th e L I-s en se, as e -> O.
drn dm
That is, sm all ran dom noise has a n eglectable effect on th e asymptotic be-
ha viour of the m ap . Results such as thi s may be thought to provi de some con-
cept ual legit imacy to information concern ing "chaotic" syst ems extracted from
finite-precision num erical expe riments (although round-off errors arc not really
random noise).
Before sketching t he main points und erlyin g Theorem 3.1, let us introduce
anot her imp ortant, somewha t relat ed , notion. We say that (<P.flo) is expon en tiall y
m ixin g (equivalen tly, has exp onen ti al decay of corre lati ons'[. if th ere exists T < 1
such that , given test function s f and g ,

If U6(f) ' g dllO- fI f dpo 9dflO ! :S C(f, g)T

t
for all t 2: 1

(Un denot es t he spectral operator Uo(f) = 1 0 <p ). In ot her word s. f 0 <pt and g ,
vie wed as random vari ables , becom e in depe n de n t expone n ti ally last as t -> +00.
Formally speakin g. I and 9 should be taken in some convenient Ban ach space, in
our case thi s will be th e space BV(I) of functions of bounded variation on I . On e
can a lso define a notion of exponent ial mixing for the random scheme <P." lsi :S s ,
ju st by re placing above Po by Il" and Uo by th e perturbed spectral operator
U,(f)( x) = J 1(<Ps(x ))8,(s)d s.
 G LOBAL ATTR ACTORS A :'\D nI l-TRCATlO NS 307

Theorem 3.2 (13a V] Both 'P and its random. pert urbation schemes ('Ps )lslC; E' are
exponen tially mixing. with niiri tu; rules T , T,. UlI ijon ilIy bounded away from 1.

Not a ll t he content of T heore ms 3 .1, 3 .2 is new in [Ba V]. Weak stoc has t ic
st a b ility for qu adratic maps W ,1.'; first proved by [K K] . for uncountably m any pa-
ramet ers , a nd by [BY1 ], for a positive measure set of parameter s (b ut see a lso [C o).
wh er e st rong stab ility was already co ns ide red). Exponenti al decay of co rr ela t ions
for (unperturbed ) quad ra ti c m aps was p roved ind ependen tl y by [K l\] and [Yo].
Sec al so [K i) for m any other refer en ces and gene ra l ba ckground .

:3. 1 Towers, co-cycles , and transfer operators

Now we out line t he m ain ingredi en ts in t he proof of Theor em s 3. 1 a nd 3.2 , referring
th e reader to [Ba V ] for d et ail s . The global st ra t egy is inspired by [BaY ], where
sim ila r re sul ts wer e obtained for ce rtain uniformly hyperbolic syste ms.
Her e we ha ve to cir cumvent t he lack of hypcrboli citv a nd a first ste p in thi s
direction is to const r uc t a tower ex te ns ion ;::: j - j of ;-: J ----4 J. We fix po sit ive
cons ta nts 3 ;:::: 20 a nd fJ « 0 and then defin e

• j = Uk> o(B k x {k} ), with Eo = J and Bi. bt'ing the e - m·-ne ighb om hood of
<p' (c) f;r ea ch k: 2: 1.
• ;::(.I". k) = (<p(x) , k + 1) wh en ever <p(.r) E B "c- l an d eit he r k 2: lor k = 0
with 1.1'1 < 6; in all other cases ep (;/:, k ) = (<p (.r ).O).

A main point in this construction is that return ma ps to t he "ground floor': Eo =

Eo x {O} a rc uniformly ex pand ing:
(a) t he re is a co ns t a nt ), > 1 su ch that I(.,l ")' (.r) I 2: ),2" whe ne ve r (.cO) E Eo,
<;:" (.r, O) E Eo, a nd epi( X, O) If- Eo for 0 < i < k .

Note also th at ext e ns ions (Ps : j ----4 j of t he pe rturbed ma ps YS : j ----4 J ca n b e

defined in just the sa m e way.
Next . wr- introdu ce a co- cycl e W I) ; j ----4 [0. x ). give n by

• if (y.k) = ep"( ;c :O) for some x E B o t he n u·oel/.k) = )," /I (<;:"),(x)1 (in p artic-
ular. (1'0 == 1 on Eo); otherwise WOUI . k ) = O.

Th is defini ti on ens ures that the m ap ep is X-cxpu nding with respect to t he m etric
wodJ' on the to wer 1: t his is automatic at point s (.r. k) with ep(J': k) = (y (x ), k + 1)
and (a ) implies that it remains true wh en ;:( .I".k ) = (;-(./'). 0). Then we al so need
a p erturbed ve rsi on H' E of 11'0 , which we d efin e by

wh ere rho integral is t a ke n over (eps, 0 ' " 0 ;:" 1 )( ./" , ' S , . 0) = (y. k ) (the factor 1/2
is introduced to com p ensat e for the nouinjcctivcn css of ";"1 on Eo),
308 rVIARCELO V IANA

Now we define transfer ope rators £ 0 and £ " associated to <;: and its random
perturbations rp" lsi :S ":.

£o(i)(Y , k) = L wo(x, I) i( x, I )
,'i'( x ,I )= (y ,A' ) wo(Y, k) 1:p' (x )1

-
£ ,(f)(y. k) =
f" L
w,(:r, l) i(x , I)
10.(1 k) I ' '.(x) 1O,(s ) ds
. 9 <(.d)= (y ,k) - .~, Y .,

acting on t he Ba nach spac e BV(j) of fun ctions i. i ---+ R such that

Ili lim. = var J

i + sup Iii + li lwodx < oc
i i
(var de not es th e total variation of on i , that is, the sum of the variations on
each Bi; x {k}) . Not e that (bot h for E = 0 or for E > 0) we have th e duality relation

(b) J U,(i) · 9 w, dr = J l £ ,UJ) 111, dr

(U, is defined in the same way as U" with :p replaced by :Pl. The main a na lyti c
st ep is to prove t hat

(c) £0 bounded a nd qu asi-compact on B \7(i) ;

(d) £ , is "close" to [ 0 (in a conve nient sense, which we borrow from [BaY]) if E
is small.

Here quasi-compactness means that t he spect rum of £0 sp lits as 0'( (0) = {I} U 50
wit h 50 contained in a disk of radius T < 1. T hen t he closeness in (d) impli es th at ,
for all small E , th e op erator £ , is also qua si-compact: <1( £ ,) = {l} U 5, and 5,
contained in a d isk of rad ius T, bo unded away from zero (uniformly in E).
T he proof of (c) and (d) relies on a delic ate a nalysis of th e action of the
transfer operators on th e L I-norm, t he supremum, and t he var iation (inequalities
of Lasota-Yorke type ). which falls outside t he scope of t his sketch. On the ot her
ha nd, once th ese spectral properties have been der ived th e conclusions of our
t heorems follow through fairly sta ndard arg uments.
Indeed . if Po is an eigenfunction of £ 0 associated to th e eigenvalue 1 th en
{io = powu dr is an invar iant measure for <p (usc (b)) . \\'e nor malize Po so t hat
{lU be a probability and t his defines Po uniquely. Then t he abso lut ely continuous
invaria nt probability measure of :p is given by 110 = p,(fio) . where p: j ---+ I is th e
ca nonical proj ect ion, Similar statements hold for p" £" ui . , ii,. Po' Xlorcovcr, t he
fact t hat £ , is close to £ u in the sense of [BaY] ensures that p, is close to Po in
L I-norm . From thi s one deduces that /1, is close to Il o, as claimed in Theorem 3.1.
In order to prove Th eorem 3.2 one uses the fact that (bot h for ": = 0 or E > 0)
th e spect ral proj ectio n "0
associated to 5, is given 7i,(f) = f - Po.r fwo dx , As a
 G LOBAL ATTRACTORS A:\O R1rURC ATIO N S 309

consequ ence of this and the duality (b ),

and , since 12 0 acts as a T,-cout ra ction on 71, (BV (i) ), thi s proves exponent ial mixing
(with mixing rat e bounded by T E ) at th e tower level. for test functi ons in BV (i ).
Finally, exponential mixin g in BV(J ), as claimed in th e th eorem , is easily dedu ced
by lifting bounded vari ation functions j ,g : I ------; R to BVU ) via the canonical
proj ection [I: i ------; I .

4 Destruction of Lorenz at tractors

(joint with S. Luzzatto)
In thi s section we describ e an exte nded geometric mod el for th e dyn ami cs of the
system of differential equ ati ons

:i: = - (J. t' + (Jl/

.Y = ]';I: -.lJ - xz
{
Z = -bz + .T.lJ

introduced by Lorenz [Lo]. Num erical ana lysis of this syste m for param et er values
a "'" 10, b "'" 8/:3, and r "'" 28 led Lorenz to identify sensit ive dependence to initi al
point s as a main source of unpredictability in det erministi c dyn amical syste ms.
A rigorous description of th e dynami cs for th ese paramet er value s remain s a
cha llenging open problem to th e present day, although some limited fact s can be
proved by classical method s. For instance, it is easy to see th at, for all par ameter
values, there exists a singularity (equilibrium point) at th e origin. Also, using
th e theory of Lyapunov fun ct ions one can find a (lar ge) neighbourhood of t his
singularity which a ll tra jec tories ente r a nd never leave. Since Loren z equat ions
are dissipativ e, this implies th at th ere exists a comp act invariant set A of zero
Lebesgue measu re containing th e omega-limit sets of a ll tr aje ctories. However it
seems hard to prove a ny spec ific properties of this at tr actor (see [Sp] for a thorou gh
discussion of num eric al studies and classical approaches ).
Result s in thi s dir ecti on include [Ro], [Ry], where t he existence of a "st ra nge"
attractor was proved for syste ms of (cubi c) d ifferential equa t ions similar to that
of Lorenz . Also, rigorou s computer assisted proofs have been announced recently,
see c.g. [HT] . concerning th e existe nce of "chaot ic" set s of trajectories in Lorenz
equ ations. Such sets do not seem, in general , to be attracting and thus, even though
t heir presence is very significant both from a mathematical and an experiment al
viewpoint. th ey only concern a set of trajectories of zero Lebesgue measure.
In fact. a lar ge sha re of what we believe to know about chaot ic behaviour
in Lorenz equat ions comes from th e study of geometric models. These were first
introduced in [ABS], [GW ], to tr y to describe the dynami cs for th e par am et er
310 ;-"IARC ELO VIA NA

values consider ed bv Lorenz hims elf. Numerical studies of those equ ation s ind icate
th e presen ce of a non trivial attractor containing t he singularity at t he origin a nd
with st ro ngly hyp erb olic behaviour (exponent ially contracting a nd expo nent ially
expa ndi ng dir ect ions tran sverse to the flow). T he pap ers ment ioned above describe
flows exhibit ing a ttrac tors which do have these prop er ties. an d pro ve rigorous re-
sults on th e corresponding top ological , geomet rical, and dyn ami cal features. More
recent results [BS], [Bu], [Pe l ], [AP ], [Pe2], [Sa] have bu ilt an exte nsive th eory
of such gene ralized hyperbolic oit racto rs . Even mor e recently, [ACL]. [1\101 , [1\11'],
provid ed a fairly det ailed picture of t he way t hese att ractors can he form ed alrea dy
a t th e boundar y of Morse-Sm ale flows.
Let us note th at th e method s used to st udy genera lized hyp erb olic sys-
t ems arc nontr ivial genera lizat ions of th ose develop ed for unifor mly hyp erb olic
systems with out singularit ies (c.g. geodesic flows on manifolds of negative cur va-
ture ). Ind eed t he presence of a singular ity const it utes a n intrinsic obstruct ion to
th e existe nce of a uniform hyp erbolic st ruct ure : since th e hyp erb olic decomp osi-
t ion E" ED E" EEl EOof th e ta ngent space at regular points must include a neutral
d irection E O tan gent to t he flow, which has no ana log at singular ities , such a
decomposition ca n never be cont inuous on invariant set s containing regular traj ec-
tori es accumulating at a singularity. This lack of a hyp erboli c structure has mor e
serious conseq uences th an one might ex pect: th e dyn ami cs of flows is very often
ana lysed in terms of Poin car e return map s t o convenient cross-sec tions, however
sever al features of smoot h un iformly hyp er boli c syste ms, like local product st ruc-
tu re or contin uous foliat ions by stable or un st abl e leaves, do not exist in genera l
for such map s Thi s is related with the fact th at t he presence of singularit ies in
th e vector field na turally t ra nslates in th e form of d iscontinuities for the ret urn
map s (c.g. at th e int er section of th e cross-sect ion with t he local stable manifold
of some singulari ty) . As a consequence , global invariant (st abl e or unst abl e) set s
are, in genera l, not connected and local invari an t manifolds may have arbitrar-
ily sma ll size. An addit iona l complication, which affects the ergodic prop erti es of
the attrac tor, is th at the contraction and expansion rat es arc unbounded as th e
discontinui ty is approac hed.
In the geometric mod els, a nd in most of th e pap ers we mentioned above, t hese
problems were par tly over come by ass uming th e existence of a smooth invari ant
sta ble folia tion transverse to th e flow. Thi s is also the case in [Rv]. which exhib-
ited th e first exa mples of attract ors containing sungularit ics and with measure-
t heoret ica l (but not full) persisten ce. This hypothesis permits to reduce th e anal-
ysis of th e flow to th at of a one-dimensional map and, in thi s way, to deduce
severa l st rong results (e.g. ergod icity of th e attractor) from th eir one-dimension al
ana logs. However, this strategy break s down in many other important sit ua t ions,
such as the one we want to consider here a nd which we describe in det ail in th e
next section: t he geomet ry of th e problem (more precisely. th e presence of criti-
callt ies) obst ru ct s the existe nce of invari ant foliations with any reasonabl e degr ee
of regul arity.
 GLOBAL ATTRACTORS A :\ D I3I1TRC\TIO!\S 311

4.1 Critical and singular dynamics in Lorenz equations

Th e first par t of Figure 2 is well-known: it describ es th e image of certain Poin care
return map s associated to the geometric models of [ABS], [GW]: t he fea tures
of t hese ret urn maps ar c coherent with th e numeric al dat a concerning Lorenz
equa t ions. for t he original parameters of Lorenz. Sub sequ ent num eri cal an alysis of

N N

Figure 2: Form ati on of crit icalitics in th e retur n map

the se equat ions, [Sp], [GS], revealed th at as th e par am et er r is increased to values

of around 30 the flow begins to twist and fold in such a way that th e image of th e
return map becomes as shown in th e right hand half of Figur e 2: it consists of two
"hooks". See [GS] for an interpretation of thi s folding effect.
Th e new picture st rongly suggests th at th e dyn amics now conta ins criii-
caliii es (tha t is, nontransvcrsc intersections between st able and unstable leaves)
which, as we already mentioned. constitute a definite obstruction to the existence
of regular invarian t foliations (or of any uniform hyp erbolic st ruct ure ). The con-
sequences of th e loss of hyp crbolicity due to th e creation of such criticaliti cs have
been and cont inue to be th e obj ect of int ense st udy, see [PT] and references th erein
for a presentation of the rich th eory of homo clinic tangencies and a det ailed st udy
of the various dyn ami cal ph enomena occurring in their unfolding.
Flows with th e cha ra cte rist ics above were first considered by [HP]' [He], who
introduced a famil y of smooth plan e diffeomorphisms (the famous Henon family)
as a simplified model for th e first return map s of th e flow. These diffeomorphisms
exhibit dyn amical features arising from th e presence of ct iticalities. without the
addit iona l comple xit y coming from th e presence of a singularity. Notwithst anding
thi s simplification , Henon map s have been remarkably d ifficult to st udy rigorously.
A major breakthrough occurred with th e work of [Be 2] in which new ideas and
techniques were introduced to prove the existence and (measure-t heoret ical) per-
sistence in th e Hcnon family of nontrivial att ra ctors containing a den se orbit with
a positive Lyapunov exponent. This result was generali zed to strongly dissipative
312 MARC ELO VIA l\'A

qu adratic-like diffcomorphisrns in [~IV], [Vi] and th e existenc e of SRB-rneasurcs

for these a t trac tors was proved in [BY2].
Our objective here is to recover the original proj ect of Henon-Pomeau and
to develop a model fo r th e dyn am ics exhi bited by th e Loren z equati on in th e re-
gion of param eter values in whic h both cri iic alitie s and singularit ies are present.
We defin e a class of one- pa ra meter families of vect or fields which exhibit , for a
certa in range of par ameter values , genera lized hyp erbolic a ttrac to rs as discussed
above. As the paramet er is varied a sequenc e of bifurcations t akes place through
which cri t.icalit ios are formed . Beyond thi s seque nce of bifurcations we encounte r
att ractors in which features deriving from the pr esen ce of a singularity coex ist
with features related to th e presenc e of crit ica litics. \:Ve st udy the way in which
these two dyn am ical phenomena int eract and show th at a form of hyp erbolicit y
rem ain s, in a measure-theor eticall y persistent way.

Theorem 4.1 Th ere exis ts an open set of f am ilies {X,,} of sm ooth vect or fi elds in
R3 with th e follo wing propert ies. Let ( 'P~)I denote th e flo w gene rated by th e vect or
fi eld X" . Th en the re exis ts a set A of positive Lebesgue m easure in parame ter spar e
such that for each a E A th e flow ('P~, ) I exhi bits an attracto r Aa and

1. Aa con tains an equilibrium point wit h real eigenval1Jes and an infi ni te nu mber
of cri tical traj ectori es (consis t ing of cri ti coliiies}.

2. All is transit ive and [n otu m ij orm bj] hyp erbolic in the [ollouuiq sense: th ere
exi sts a point z E Aa an d a vector v E T zR3 suc h that

clos ure (U :p~(z )) = Aa and lim sup

T ~ oo
2- log II D:;~(z) v ll
T
> 0,
1;::0

A final remark is in ord er , concern ing an imp ortant differ ence betw een this
theorem and the kind of results discussed above for gener alized (or even uniformly)
hyp erbolic at t ractors. T here, some form of hyperbolicit y is ass umed a prio ri a nd
the effort the n goes into proving th at variou s dyn am ical properties follow from
this hyp crbolicit y, In th e pr esence of critica lit ies, however , one can expec t a wid e
variety of dyn amical behaviour, including periodic and quasi-periodic a tt rac tors,
which occur int ermittently alongs ide each other. For the theor em presented ab ove
we make some ass umptions on the geom etry of the flow and from thi s we dr aw the
conclusion that th ere are ind eed many parameter values for which a certain form
of hypcrbolicit y exist s. This is clearl y a first fundamental step towards a more
det ailed analysis of the dynamical pr operties of th e attrac tor.

4.2 Recurrence control yields positive Lyapunov exponent

T he proof of Theorem 4.1 consists of two main parts. First we give a cond iti on
which implies the existence of an att rac tor with a positive Lyapunov exponent
alon g cert ain "critical" orbits. Then we show that this condition is satisfied for a
 GLO BAL ATT RAC T O RS A:'\D BIF GR C.-\.TIO" S 313

positive measure set of parameters and th at for most of these par ameters some
critical orb it is dense. In thi s brief outline we shall concent ra te on th e first part,
which already conta ins severa l int er esting aspects from the point of view of th e
dyn ami cs. A det ailed pro of is to ap pear in [LV I]. [LV2].

Figure :l: Definin g th e first- return map

LPl {X,,} be a smoot h family of vector fields in R 3 with a singularity at

th e origin having real eigenvalues A8 8 < x, < 0 < A" such th at lAs/A" < 1/2 1

and I\,.J AuI > 1. We define a first return map '1> a to a horizontal cross-section
l: C {z = t} C 113 associating to eac h poin t (:r, .11 ) E L: th e point <I>" (x , .11 ) E l: given
by th e first intersecti on wit h l: of th e posit ive semi-trajectory { <P~, (x, .11, E)}t >O.
see Figure :l. Not ice th at <P a is not defined on N = L n H Ti~JO) . since point s
belonging to t his set (which we ass ume to be given by {.r = O} C L:) never leave
a neighbour hood of th e singularity and thus never return to intersect l:. On t he
other han d. we always ass ume that <pa(L \ N ) C l:. to guara ntee the existe nce of
some a tt racti ng set to which most orbits converge. Then we can write <P" = 'lJ" 0 P
wher e 'lJ" is a diffeomorphism , correspond ing to th e holonomy of th e flow far from
th e singular ity, and P describ es th e holonom y of the flow near the origin. IjJa is
rcsponsablc for th e "fold ing" which we discussed a bove a nd which gives rise to th e
formation of criticalities. If one takes th e flow to be locally lincariz abl c th en P has
a simple explicit expression

Not e tha t th e presence of th e singu lar ity yields some strong (loca l) hyp erboli city.
Indeed. IA,)>- "1 < 1 gives lox PI I "'" 1;:1(1,\., />',, 1- 1 ) -> x as x -> O. corresponding to
a powerful hor izonta l expa nsion. Similarl y. IDv P2 1 "'" I.rl' >.",/>."I-I -> 0 as i: -> 0,
corresponding to a strong contract ion in th e vertical dire cti on ,
Our stra tegy to obt ain measure-theoreti cal per sistence of positi ve Lyapunov
exponents is very much inspired by [BC2]. but we also have to deal with a difficulty
which has no analog in the smoot h case: controlling th e recurrence of traject ories
to tho vicinitv of th e discontinuity N of <P". Let us explain how this is don e.
314 ]\I ARCELO VIA KA

For t he t ime being. th e param et er a is fixed. Suppose th at a certain set C of

crit ical points is well defined for <lJ" (t hese lie roughly in th e preimages of t he folds
and correspo nd to specia l point s of nontransverse inte rsect ion bet ween sta ble a nd
unstabl e leaves). \\"e fix some sma ll neighb ourhood Ll. = Ll. c u il. o of t he crit ical
set C and of t he line of d iscont inuity {:r = O} . Let {cd ~ o be t he orbit of some
crit ical value Co E <lJ,,(C). Accordin g to a proced ure which will be briefly recalled
below, every itera te i is eit her f ree or bo un d. We say th at v is a retu rn if c" E Ll. A
return is eit her free or bo un d accord ing as to wheth er v is a free iterat e or a hou nd
iter a te. If v is a return and c" E Llo we let 1II c,,1I I denot e th e d ist a nce between c"
and t he line of disconti nuity, if c, E Ll" t hen we let IlI c" II I denot e th e d ista nce
between c" a nd some crit ical point C E C chosen so t hat th e st rai ght line joinin g
c" a nd c is essent ially horizont al ( "tangent ia l positi on" [BC2]).
The key cond ition for controlling th e recurrence to both the crit ical region
and the singular region is th e following. We fix some sma ll (\ > 0 and th en we say
th at a crit ical point c sat isfies cond it ion (*) if

L - loglll c" lIl ::; 0:1 1 for a ll n 2 1,

v :S;n

where c" = <lJ~+ l ( e) and t he sum is taken over all fre e returns v ::; n . We also
denot e w j( eo) = D<lJ~ ( eo ) ' (1, 0). Thea we have, if o > 0 is small enough,
P rop osition 4.2 If all the cri tical points c E C satisf y condit ion ("'). then th ere
ex is ts a cons tan t A > 0 su ch that
II w,,(co)1I 2 CAll f or all n 2 1 an d all Co E <lJa(C).
The proof of th is fact relics on t he decomposition of th e or bit of eac h crit ical
point into free a nd bound iterat es mentioned above. Let a critica l point c be
fixed and v be t he first ti me th at c" E Ll c . Then th e first v iterates arc free, by
definiti on. A crucia l lemm a says t hat during t hese iterat es t he vectors Wj(co) arc
growing exponentially fast : t here is Ao > 0 such that [[wj(co)1I 2 e for a ll j ::; v .
o
\ ,' )

This expresses th e fact t hat <lJ a has some hyp crbolicity outside Ll.,,: vectors which
a rc rou ghly hor izontal remain roughly horizont al and are expand ed expo nent ially.
The problems begin precisely when points fall into Ll c , since t here <lJ" is strongly
cont ra ct ing in all directions an d, possibly even worse, rot a tes tan gent vect ors. This
last fact mean s th at U',,+l (CO) is likely to have lar ge slope, mak ing it difficult to
cont rol its growth during following iterates. Ind eed, th e hy pcrbolicity of <lJ" in th e
complement of Llc moans th at nearl y horizontal vect ors are expa nded , but vect ors
which arc a lmost vert ical tend to be sha rply contra cted . The key to byp assin g t his
effect is cond iti on (*), which imp lies IlI c"lI! 2 e- n " , thence pr event s th e return
from occur ring too close to t he crit ica l set C. This allows us to control th e norm
an d t he slope of lC,,+l(CO) and to prove t he following est imat e:
Proposition 4.3 Th ere exi st f3 > a and p ~ log IlIe" lI ! such. that
!!lC,,+p (Co )!! = IID<lJ~( e,,) w,,( co)1I 2 eJp!!w,,(co)lI ·
M oreover , th e vec to r u',,-,- p is 1'Oughly horizontal.
 GLOBAL ATTRACTORS A :"D BlFl"RCATIO NS 315

All itera tes contained in th e interval [v+ 1. v+p) arc called hound iterates. Starting
at v + ]I we th en have a sequence of free iter at es which cont inues until th e next
return to ~ c . After thi s return another interval of hound iterates sta rts . followed
by more free iterates. and so on . Th e above estimates arc actu ally valid for each
il:tef\'al of free or bound iterates, resp ecti vely. and we get Ilw,,(l'o)11 :::: e Aoq+ii P for
n 2: 1. where P is th e total number of bound iterates less th an 71 and Q = 71 - Pis
th e number of free iterates. If th e bound iterates cor respond t.o returns VI • . . . • v;
then by Proposition 4.3 and (*) we have P = 2::;=1 o.> 2::;=1 - log Ill l'v ; III ::; n n ,
which implies th at Q = u - P :::: (1 - const o )». From thi s we easily get

for some 0 < .\ < (1 - ca nst o ), if o is small enou gh. This completes a heuri sti c
out line of t he pro of of Proposition 4.2.
Th e second part of t he proof of th e th eorem consist s of an algorithm for
exclud ing par am et ers for which cond it ion (*) fails. Th ough we sha ll not go into
any detail concern ing th is a lgorit hm, let us make a couple of brief rem ark s. Our
est ima tes to gua ra ntee t ha t a positi ve measur e set of par ameter s survives a ll th e
exclusions depend heavily on a global uniform bound on th e dis tortion. This can he
obtained only by cont rolling th e recurrence of crit ical points ncar th e discontinuity
as well as in th e critical region and th at is one of th e reasons why returns t.o ~ o
must also be t aken into account. in (*). A second remark is th at, ju st as in t he
Henon case. th e set of critical points which we IU1\"e implicitly ass umed in the
prop osit ion is not given a priori but rather needs to be const ruc ted by successive
approxima tions. This const ruc t ion proceeds alongside th e algorit hm for exclud ing
paramet ers and even dep ends on it in the sense that it can be carried ou t at each
itera tion 71 only for th ose pa ram et ers which arc not excluded up t o th at tim e. So.
event ually. a set C of critical points is well defined only for those parameters for
which a ll critical points sa t isfy (*) at all tim es 71 :::: 1.
Fin ally. to obtain t he sta te ment in the t heorem wo need to show that t he ex-
ponential growt h of th e vectors 1lJj (l'o) for the map 1>" implies exponential growt h
of t he u'j( l'o) also with respect to th e (cont inuous) flow ( 'P ~l)t. The problem here
is th at return tim es to L: arc unbounded as point s approach th e discont inui ty a nd
so a given expansion may be distributed along longer and longer time int ervals. In
prin ciple. thi s could give rise to a st rictly subcx ponent ial growt h for the flow bu t
the control over t he recurrence of critical poin ts ncar th e discontinuity provid ed
by condit ion (*) allows us to show th at thi s is not th e case . Some difficulty arises
from th e fact that we have to worr y abo ut all (both free and bound) returns to
.6. 0 • since all of them givo rise to lar ge return tim es. whereas (*) only commits
explicit ly th e free returns. However, using th e fact that every bound return t.o ~ o
occurs during bound periods associated to free returns to .6.", one can show th at

L - log ilici ll l ::; can st L -log ilicilll::; const o .n

i :C iE ~o
316 M ARCELO VI ANA

where th e second sum is taken over all free returns. Now thi s allows us to deduce
that th e total contribution to t he return times correspondi ng to bound returns
is dominated by t hat of t he free returns. Ind eed , let t( z) denote th e return tim e
for th e point z and let to be th e supremum of retu rn tim es for point s outs ide
no. If Izi denot es th e distance of z to t he disconti nuit y, t hen t (z ) :;::, log ]c], by
st ra ight forwa rd computa t ion. T hus, for each Co E <P a (C), and correspondin g to
each iterate n 2: 1 of th e return map , we have a "cont inuous flow tim e"
n -I

t; = L t(<P~ (co) ) S L to + L t(c;) S nto + const o n S , n

i =O i :ei¢~O i : C i E ~o

for some constant I > O. Then T;; llog Ilw,,11 2: (Anlin) (Ali) > 0, which
impl ies t he desire d result.

5 Global spir al at tractors

Our goal in t his sect ion is to prove th at "chaot ic" at trac tors with spiraling geom-
etry occur , even in a measur e-theoreti cally persist ent way, in certa in famili es of
vect or fields. Thi s corres ponds to very recent joint work wit h .\1. J . Pacifico and
A. Rovella. T he possible existence of spira l at tractors seems to have been first
men t ioned by Ya . Sinai. Our resul ts arc motiva ted by the observa t ions in [ACT]
for which, in par ticular. th ey prov ide rigorous confirmation.

5.1 Saddl e-focus connect ions

We consider smoot h flows (I/ )IER in 3-dimensional space exhibiting a doubl e
sadd le-focus homoclinic connect ion. By t his we mean t he following. see Figure 4.
The flow has a n equilibrium point O. at t he origin say. which is of sad dle-focus
ty pe: one expanding eigenvalue () > 0 and two complex cont ract ing eigenvalues
A ± wi , where A < 0 and w f= O. Moreover , both unst able separatrices of 0 are
contained in the stable mani fold of 0 , t hat is, they are homoclin ic t rajec tories.
For simp licity we assume that th e flow is sy mmet ric with resp ect to th e origi n,
i.e. invar ian t und er (;r.y ,x) ----t (- x , - y, -z), bu t t his is not st rictly necessary for
what follows. Fur t hermore. a convenient reformul at ion of our results holds when
the re is a single homoclinic connection , d . comments below. These res ults also
extend in st raig ht forwar d way to general 3-d imensional ma nifolds. Generalizat ion
to higher dim ensions was not yet carried out but seems a realistic task and is,
cer tainly, an interestin g one.
We want to describe t he ty pica l asy mptotic behaviour of points in a neigh-
bourhood of th e homoclin ic connect ions, not only for the initial flow (<pI)1 but
also for "generic" near by flows. More precisely, we consider smoot h para met rized
famili es of flows ('P:.) tER, /-L E (-0,0) . generically un folding th e homoclinic con-
nections: ('Pb) t = ('PI )t a nd as t he param eter II varies t he unst able separatrices
 GLOBA L AT T RA CT OR S A:"D BIFURC U IONS 317

F igur e 4: Double sadd le-focus connectio ns

move with nonzero speed wit h resp ect to th e (local) stable ma nifold. T hen we
want to describ e the attractors of such flows, close to t he unst able scparatricos,
for a sizable port ion of paramet er values.
Th e answer to t his proble m dep ends cruc ially on th e relat ive strengt h of t he
contract ing and t he expa nd ing eigenvalues, t hat is on the value of o = - >.. / 0.
The cont ract mq case o > 1 is comparative ly simple. Th e uni on A o of the two
homoclinic connections is an att ract ing set for the unp erturbed flow ('P~) h wit h
basin containing a neighb ourhood of A o. Moreover, t his attracting set is, in some
sense, persistent : varying fI, lead s t o th e format ion of att ract ing periodic or bits
close to (and wit h bas ins contai ning) the unst able separatrices. T her efore , period ic
asymptot ic behav iour is ty pical for sma ll param eter values.
The dy namics is much richer in t he expanding case 0: < 1, as was already
attested by the pioneer work of Shil 'nikov [Shi]: he proved t ha t infinite ly many
period ic orbits of sad Ill' ty pe (contained in suspended horseshoes) coexist in th is
sit ua t ion. T he ma in res ult in th e pr esent sect ion states th at , un der convenie nt
ass umpt ions to be desc ribed below, for a large (posit ive Lebesgue measure) set
of values of Ii the flo w (<p~)t admits a uni que (globa l) att raetor AI" close to A o·
Moreover. t his attractor is chao tic (sens itive depende nce on initial cond it ions) and
singular (contains t he equilibrium point as well as regular trajectories) and has
an intrincate spiraling geometry .
Before going into d iscussing this resul t , let us point out t hat some complex
dynam ical phenom ena are also present in the case o = 1. Recently, P umarifio [Pu]
used this contex t to give examples of coex iste nce of susp ended Henon-like attrac-
to rs: he even finds pa ra meter valu es for which infinite ly many such attractors occur
simulta neously.
From now on we restrict to t he case o < 1. In order to ana lyse th e dyn am ics
of the flow in the vicinity of t he homo clinic connectio ns we follow t he standard
procedure of considering t he first-r eturn ma p F to some convenient cross-section
I:. We ta ke I: inte rsect ing one of t he hom oclinic trajectories and t he local stable
man ifold of 0 : we also cons ider aux iliary cross-sections I: - , symmetric to I:, and
318 fV!A RCELO VIA N A

Figur e 5: Constructing the first-return map

L;; ,int er secting th e two local un st ab le scpa rat riccs, Then IT t . ,,;= .
and 77 denot e
corres po ndi ng Poincare map s, as indi ca ted in Figur e 5, and we let

if z > 0
if z < 0

(F is not defined on th e line {z = O} of int ersection between L: and th e local

sta ble man ifold of the singular ity ). We ass ume our flows to be linearizabl c ncar
th e equilibrium (a generic cond it ion), so t hat it is easy to ca lculate 'I, explicit ly Tit
and to see th at the images of rrt ar e spiraling regions in L:; accumulat ing at th e
poin ts Wl~c ( 0 ) nL:; .On the other hand , Tii are diffeomorphisms. Then , under
open conditio ns on lot. the image of L; under F consists of two spira ling region s
cont ained in th e interior of L;, see Fi gur e 6.

: =0

,,
,
,
- - - -- - - - - - - - - - - - - - - - - - - - - - - - - - - - -

Figure 6: Trapping regions for double and for single connect ions
 GLOBAL ATTRACTO RS A:\D BIF liRCAT IONS 319

Fur t her more, t his impli es th at F I , (L:) c L: for all sma ll 11 , where F is the
ret urn map to L: assoc iated wit h th e flow (:,::;;, )1" Then all t he asy mptotic dy" namics
of poin ts in t his "trappi ng region" L: is concent rated inside th e maximal invari ant
set A,l = nn?:oFI: ' (L:). In general, AI' need not be dyn amically indi visible, indeed
it may contain several differe nt types of dy namical beh aviour. However . we have

Theorem 5.1 For f am ilies of vec tor ficl ds {XI' } unfoldi ng dou ble sad dl e-focus con -
nections as above , th ere exists a positive Lebesg ue mea sure set S C (-0, b) such
that A" is a (global) chao ti c attmctor of FI , for all II E S .

T his means . in part icul ar. that for t hese para met er values AI' contains den se
or bits wit h positi ve Lyapu nov exponent . Of course , t he basin or AI' cont ains t he
whole section L:. Successive images F; (L:) give increasingly better approximat ions
to th e remarkably complex geometry of AI" recall F igure G. Note t hat t he sus-
pension AI' = closure (UtER:,::;;,( AI , ) ) contains the equ ilib rium poi nt or t he flow. in
particular it can not h e uniformly hyperbolic; A" also contains criticalit ics and so
it is not even a generalized uniformly hyp er bolic at.tractor, recall Section 4.
Closing t his sect ion , we point out that our argu ments to prove Theorem !j.l
app ly also to t he unfolding of flows wit h a un ique sad d le-focus connection . e.g. as
in [Shi]. A ma in differen ce is t hat in t his case one mu st consider lar ge parameter
values , i.o. far from t he one for which t he homoclin ic con nect ion occ ur s. in or der
to enforce inva riance of L: under th e retu rn ma p, cf. Figur e 6.

5.2 Interval m ap s with infinitely many crit ical point s

In t his fina l section we give a brie f d iscussion of th e d ifficul ties invo lved in t he
proof of T heore m 5.1 and of th e meth od s we usc to overco me t he m. A det ailed
presen t ati on is to a ppear in [PRVl ], [P RV2].
Ex plicit calculation of the return map along th e lines sketc hed above leads
to F(x , z ) = (1 + xg(z) , xf(z)) where

b Iz[" sin(6 10o- ...L) if : > 0

f( z) = + . b Izl
{ L [z]" sin(,6 log rh ) if z < 0

(we write Q = - ),,/0, ,6 = w /O, and t he constant s b± dep en d on ly on t he flow) an d

g has a simila r expression , with sin repl aced by cos and b± replaced by constants
a ±. Act ua lly, t hese statements arc accurate only for z close to zero (f must be
mod ified away from t he or igin to create t he t rapping region ), and t hen agai n
on ly as a first-order ap proximat ion, but her e we will allow ourselves t his technical
simplifi cation.
A first difficulty arises fro m t he fund am entally higher-dimension al nature of
t he system. It is not difficult to conv ince oneself, c.g. observing Fig ure 6, that F
can not admit smoot h invarian t foliat ions. and so it can not be redu ced in th is
way to a one-d imensiona l syst em ; recall Sect ion 4.1. To try to bypass t his difficul ty
320 MA RCELO VIANA

we ass ume the constants la±! to be sma ll. T his is rela ted wit h the small jacobian
hyp oth esis in [BC2], but we observe that in our contex t having Q± close to zero
does not imply volumc-dissipativcncss (at least not if IX < 1/ 2). T hen we have
F ( I , z) ~ (1, f (z )), which suggests t hat t he dy na mics of F may. to some extent,
be mimed by t hat of the one-di mensiona l ma p f . T his t urns out to be only very
roughly tr ue, but it is ind eed useful to st udy a versio n of our initial prob lem
for such one-dimensional maps. In what follows we concentrate on d iscussi ng t his
simpler versio n, which is a lso interesting in itself, wit hout fur th er discussing th e
(considerable) wor k req uired to extend our conclusion s back to t he original setting
to get Theorem 5.1.

, ,
-- ---- - - ---- - --T -- - - --- - ---- - - -

Figure 7: Maps wit h infinitely many cr itical points

More precisely, we want t o cons ider unfold ings of f by par amet rized families
of transform at ions of th e int erval 1 = [-1 ,1] to itself, of th e form

f (z) = { f (z ) + C+ll if z >0

I' f(z) - C l l if z <0
where c± are positive constants and I' is a paramet er close to zero . T he way f ll
dep ends on t his pa ra met er is meant to emulate the un folding of th e homoclinic
con nections by t he flows ( 'P~ ) t or , more precisely, t he way t he second coord inate
of FI'(x , z ) dep ends on II. It is easy to check t hat f = f o has two sequences of
critical point s accu mula ting at zero , see Fig ure 7; we denot e t hem by x~ , wit h
xi; < 0 < xt. Of course, every f ll has the sa me set of critical points, and we
denote th e corresponding critical values by zi:(p) = fll (X~ ) . T hen we prove t hat
t he maps fl' have globa l chaotic behaviour in a measure-theoret ically persistent
way, in the sens e of the following t heorem.

Theorem 5.2 There exist (J > 1 an d a positive Lebesgue measure set S of values
of p f or which
1. lu;')'(4 )! ~ (I n f or all k an d all n ~ 1;
2. almost every z E I has positive L yapunov exponent.
 GLOB A L AT TRACT ORS A:\D BI FURCATI ONS 321

An imp ortan t difference between thi s and similar results for quadrati c ma ps
of the interval , [J a], [BC I]. lies on t he na ture of the initial parameter IL = ().
Ind eed . persist en t cha ot ic beh aviour for smoot h un imodal map s is usually found
at par am eter values close to one for which th e critical point is nonrecu rren t (c.g .
pr epcrio dic): (almost) nonrccurrcncc allows th e cr it ical or bit to bu ild-up expa n-
sion during initi al itera tes ant then one proceeds by induction to pro ve that t his
initial expanding be haviour is pr eser ved in the subsequent iterates, as long as th e
parameter is chosen conv eniently. In cont ras t , here IL = 0 corres ponds to t he origin
being fixed under t he map, and t he ori gin is a particul arl y nasty poin t : not only it
is a point of nonsmoothnoss / discontinuity of t he dy nam ics. it is a lso acc umulate d
by crit ical point s of I, f w
This mean s tha t. a first main step in th e pro of of Theorem 5.2 must be
devoted to proving that all the critical or bits do exhibi t initial expansio n, at least
f or a large se t of para m eters . We fix constants r > O. e > 0, T E (G, 1) and for
each 11 E ( - E, ::) a nd z E (-E, E) we let j(,l, z) be t he smallest iter ate j for which
ft (z) 1:- (- E, E). T hen th e ma in ingr edien t is to show th at t he set G of paramete r
values /l E (- E,E) for which every crit ica l value z = Zt (ll) satisfies

2. I !I~ (z) - 4 2: 1'14 I for 0 :::: i < j (IL , z) a nd every critical point J·t
has almost full measure in (- E, E) if E an d r are small. Cond itio n I impli es that
t he orbi t of =z zt moves away from the or igin very fast and condit ion 2 mean s
that while doin g it it avoids the neighbourhood of the criti cal points. We prove
t hat und er t hese ass umpt ions the orbi t of z is ex pa nd ing during the t ime int erval
[0 , )(IL , z)) it spends ncar zero.
In a second st ep we pro ceed from thi s set of parameter s G , usin g argu ments
inspir ed in [BC I], [BC2]. The main d ifficulties at thi s point , wit h resp ect to t he
qu adratic case , come from the nonsm oo thncss of f ll and. most imp ortant , from the
fact that it has infinitely ma ny critical po int s. However. we are able to prove that ,
for par am eters in a positi ve measure subset of G , all th ese cr itical orb its exhibit
exponent ial growt h of the deriva tive at all tim es. as stated in t he t heorem.
Acknowledgements. Discussions with V. Bal adi, S. Lu zzatto, C. Morales , xr. J .
P acifico, J. Palis, and E . Puj als played an important role in th e makin g of thi s
pap er. I am also most gra teful to the hospit ality of t he Universit y of Pari s-Orsay
and th e University of Porto during part of the time thi s work was written.
322 !\! AHCE LO V IA NA

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Progress in Nonlinear Differential Equations
a nd Th eir Appli cat ions , Vol. 19
© 1996 Birkhiiuse r Verl ag Basel/Switze rland

Modul ated waves in a perturbed

Korteweg-de Vries equat ion
St ephan A, van Gils' Ed y Soewono!

Abstra ct
We s how t he ex iste nce of a global bra nch of modul at ed waves in a two-mode
a pproximat ion of a per turbed Korteweg-de Vries equat ion.

1 Introduction
In this pa per we a nalyse t he a ppearance of modulated traveling waves in perturb ed
Korteweg-de Vries (Kd V) equat ions . We consider the one-d imensional per turbed
KdV -equ ation:
Ut = 8,,/J H(u) + £(u.r.r + fl U ) . ( 1.1)

wit h periodic bo undary cond itio ns an d mean value. The Ham iltonian is

H (u) = j_"" -21 ( 11~ - 11

3
) d,f. (1.2)

We refer to equat ion (1.1) wit h £ = 0 as t he un pert urb ed equation. The unp er-
turbed equatio n has , besides t he Hamiltoni an , anot her first integral , t he so ca lled
moment um:
2
I (u ) = [ "" u dx , (1.3)

In [DvG93] we have a na lyzed (1.1) with resp ect to t ravel ing wave solut ions . It is a
necessar y cond it ion for t he per turbed equation to have a tr aveling wave solut ion
t hat

j " u~
_" dx - It j" 2
_". u dx = O. (1...1 )

It is proved in [DvG93] t hat if we t ake for It a stable t raveling wave solut ion of
th e unp erturbed syste m, i.c, for a given value of ~i , u = u'} is a minim izer of the
• Facu lty of App lied Mat hemat ics , Un ivers ity of Twent c. 1',0 . Box 217. 7500 AE Enschc de ,
T hc Net herlan ds
t F:-'IlPA. Inst it ut Tc knologi Ba nd un g, Jala n G an es ha 10. Ilandung ~0 1 32 , Indonesia
326 S T EPHA N A. VA N GILS, EOY SOEWO " O

const ra ined variational problem min{ H (u) I / (u ) = ~i} . then (I A) determines II

uniqu ely as a funct ion of 1 , taking values in the int erv al (1. oc ).
A relative equilibrium ca n Hopf-bifurca te. This has alrea dy been observed in
[Der92]. This leads to the bifur cation of qu asi periodic solutions . \\'e ana lyse this
in det ail for the two-mode a pprox ima t ion. This sho uld be consider ed as a first ste p
towards t he und erst anding of th is bifurca t ion in th e infini te dim ensiona l system.
The a na lysis is also int eresti ng in its own righ t. Similar bifurcations occur in I : I
and I : 2 resonance probl em s and have not been a na lyzed to our knowledge.
We comput e for the two-mod e a pprox ima t ion t he Hopf bifu rcat ion variety in
th e redu ced ph ase space. For th is redu ced sys te m we prove a global Hopf bifur cati on
result. This result imp lies t hat for € sma ll t here exists , in th e or igin al ph ase spa ce,
a branch of qu as i period solut ions. \\'e a lso show tha t no seco nd ary bifur cations
from t his branch occur.

2 Prelimin aries
2.1 N -mode approximation
In t he N -mode approxima tion we let
tV N
u ( 'V ) = 2:= Zk ei h + 2:= ( k e - i kx, (2.1)
k= 1 k= 1

(/ ,9)= - 1
2"
J"r- n
f (x )g(x )dx (2.2)

With u as in (2,1) \H' let

H (z ) H ( ZI" " , ZN,(I, · · . , ( ,,) (2.3)

H (u(N»).
It t hcn follows t ha t

aH = D H (l P ' }) ou (N) = DH (lI (N»)ei kx = ( bH(u (;\'») . e- i k r ) . (2.4)

U Zk a Zk

The dyn am ical equat ions for Zk arc given by

. . aH
Zk = tk n- + €(_k 2 Zk + JlZ"). (2.5)
O(k

For a t raveling wave solution of (2.5) , the d iscrete versio n of cond it ion (104) reads
N
2:= -e Zk ( k + j.lZ k ( k = O. (2.6)
k = -N
 :\10DULAT ED WAV ES IN A PERT URB ED .. . 327

2.2 2-mocle approximat ion

In t he two-mode approxi ma t ion we have

(2.7)

Hen ce the sys tem of differ en tial equat io ns is given by

iZ I - 6 i z2 ( 1 - E ZI + E ZIP (2.8)
- 6 izf + 8 i Z2 - 4. Z2 + • : 211.

T he tran slat ion symmetry of system (1. 1) induces cq uivariancc of t he system (2.5)
wit h respec t to the -l-dimcn sio nal representat ion of 51 : 0 ,-, 5 (0) where

(2.9)

T he re are various way s to exploit t he sy m me t ry. On e wav would be t o introduce

polar coo rdinates, Zk = P k e i k Bk and to consider th e red uced syste m in th e variabl es
PI , P2, 201 - rh· We will not proceed in t his directi on , b ut we will usc t he so ca lled
Hilb ert invar ian ts.

2.3 Hilbert invari ants

Wo introduce th e 4 invarian ts for t he sy mme t ry (2.9)

1r1 =Zl ( 1
1r2 = Z2 (2
(2.10)
1r3 = Re( zr (2 )
1r4 = Im (zr ( 2)'

The invariants sa t isfy th e relation

(2.11)

It is a straight forward calc ulat ion to compute t he sys te m of differential eq ua t ions

for th e invariants:

-1 2 1r4 + 2 E (p - 1) "1
12 "4 + 2 . (11 - 4)"2
(2.12)
61r4 + 3 E (IL - 2)"3
-61r3 - 121r11r2 + 6 1rr + 3E (p - 2) 1r4 ,

whic h leaves the vari et y (2.11) invari an t. It follows from (2.7) th at the Hamiltoni an
is given in t he invariants as

(2.1:3)
328 STE P HA N A. VA N G ILS, EDY SO EWO NO

quasi period ic o r hi t

F igure 1: The orbi ts in th e reduced phase sp ace,

wher e.
(2.14)
Note t hat K. wh ich is just t he 2-m od e a pproximation of t he mom ent um. is a
conserved qu ant ity for the un perturbed sys tem . The un pe rt ur bed equa t ion is inte-
grable. Usi ng th e fact t hat t he Hamil t oni an is linear in t he invariants we ca n eas ily
depi ct t he orbits , \ \"e fix a va lue of K . The orb its a re obtained by intersecting the
Hamiltoni an (2.13) with t he variety (2.11) . E xcep t for t he t rivial solut ion, t her e
are four types of orbits. Fi xed poin ts , which a rc traveling waves for t he unper-
turbed un -r educed equat ion , peri odi c orbits, whi ch co rrespo nd to q uasi-pe riod ic
or bits in th e un-reduced sys te m, a hom oclini c orb it. correspondi ng t o a pinch ed
torus in the un -r educed system, and finally t he pure mode-2 solu t io n, This is a
solut ion for which "I = 0 and iT2 is co nstant. In th e figure below we depi ct t he
two fixed points t hat arc not p ure mod c-z solut ions . Then' are t wo curves in th e
H - K p lan e, wh ich have a qu ad rat ic tangency at K = - 1/ 12. These arc dep ict ed
in Fi gure 2.a . Wo have to keep in mind th at t here arc two restrict ion s. Both K
and "I mu st be positive. The values of iT} alon g the branches is dep ict ed in Fi gure
"I
2.b . Po sit ivity of reduces t he cur ves to t he ones depicted in th e Figur e 2.c.
 M ODULAT ED WAV ES IN A PERT UR B ED . . . 329

,I / .
·.I~··
. · ..... ~'_.-
zt '-'-~ -~---------,.

Figure 2.a Figure 2.h Figure 2.c

Figure 2: In each figure, J( is on th e hori zontal axes . In figures (a) and (c), II is
on th e vert ical axis, in figure (b) the value of "] is on the vert ical axis. Leaving

°
out th e part of th e cur ve in figur e (a ) wit h corr esp ond ing 1l' ]-va lue less or equa l to
reduces th e gra ph in (a) to th e graph in (c). Sec also formula 2.15 below .

Ex plicitly th e relativ e equilibria are given as a funct ion of k: as

- 1 + 12k - v'f+12k - 1 + 12 k + v'f+12k

1l'J = 18 1l' ] = 18
6k + 1 + v'f+12k 6k + 1 - v'f+12k
1l'2 = 18 1l'2 = 18
-6 j" v'f+12k + 1 + v'f+12k 6 k v'f+12k + 1 - vT+I2k
1l'3 = 54 1l'3 =
54
1l'4 = 0, 1l'4 = 0
1 - 1+ 36k + (IU~ +I) ~ h = 1+ 36k-(1 2k+l) ~
! - 18 ' 18
1
k> -.
- 4
k '2 o.
(2.15)

Definition 2.1 W e defin e the centerline as th e branch of relative equilibria fo r which

h=I + 36k +(12k +l ) ~ k >~ .

18 , - -l

3 Traveling waves
3.1 Existence of t ra veling waves
It is easy to comp ute th e fixed points of the syste m (2.12). We find that

(3.1)
330 S TEPHAN A. VAN GILS, EOY SOEWONO

F igure 3: Relative equilibria for different values of Eo The da shed orbits are drawn
wit h E = 1 and E = 0.5 (in the middle) . T he solid curve is with ( = 0.1. K is on
the hor izontal ax is a nd H is on t he vertica l axis.

As 1r 1 and 1r2 must be positive we conclude t hat we find solutions for 11 E (1,2) U
(2,4) an d ( ar bitrary. In addition we find t he pure mod e-z solution: 7[1 = 1r3 = 7Lj =
0, 1r2 ~ 0, (and Jl arb itrary. If we let ( l Oin (3.1) and take II in th e set (1, 2)U(2 , 4),
then the solution in (3.1) a pproaches t he branch of st ab le relative equilibria of the
un pert ur bed equation. T his is depi cted in t he Figure 3. Fur Jl E (1,2) the lower
br an ch in Figure 2.c is approach ed , whereas for Jl E (2,4) the upp er branch is
approach ed.

3.2 Stability of traveling waves

Lemma 3.1 Th e Hopf bifurcation varie ty in th e (- Jl plane for th e equilibria (3.1)
is giv en by giv en by
2 (Jl - 1 - J3)(Jl - 1 + J3)
€ = 2' (3.2)
(5Jl2 - 22Jl + 26) (Jl- 2)
II E (1 + J3,4 ). Th ere are no saddle nod e bif urcations.

Proof. If we lineari ze about the traveling wave solut ion (:3.1) we find that the
linearization is given by

0 0
[ 2(" ~ 1)< 2(Jl - 4)( 0 -12
12 ]
0 3(Jl - 2)( (3.3)
6 '
(1'_ 1)' f (1,-1 )(1' -4 ) f (1'- 1)( 1'- 4 ) f
3(Jl - 2)f
- 3(1'- 2 )' 3(1' 2)2 3( 1' 2)2
 M ODULATE D WAVES It\ A P ERT CRBED . .. 331

where f = 02 ~12 - 40 2 JL + 4 + 4 02 . Hence t he cha rac terist ic polynomial is

p('\ ) = - ( - ,\ - 120 + 6 0~1) (603 ~l5 - 66 031 14 + '\ 02114 + 2760:1/13 - 12'\ 02 p :l - 4,\ 20JL 3
+ 240p3 - 55203 JL2 + 52'\02 p2 + 26,\ 2 0/12 - 1680p 2 + ,\3 p 2 - 12,\ JL2 + 52803 P
- 96'\0 2 /1 + 3360JL - 56,\ 2 op- 4,\ 3p + 48 '\ ~1- 19203 + 64'\0 2 - 1920 + 40 >,2 0
+4 ,\3) / (~l- 2)2
(3.4)
From t his we conclude th at t he condit ion for an eigenvalue at zero is

(3.5)

This shows th at when 0 =J 0, and JL E (1, 2) U (2, 4) thi s condit ion is never sa tis fied.

Next we look at th e possibility for purely imaginary eigenvalues. Recall th at t he

equat ion
A ,\3 + B,\2 + C >.. + D = 0

has pure ly imagina ry roots ±iw iff

C
A D - B C =O , A > 0.
Applying thi s t o (3.4) we conclude that th e first condition is equivalent to eit her
o = 0 or, more interesti ngly,

T he second condition reads in t his case

(3.7)

The denominator ca n never be zero for p in th e interval (1,2 ) U (2, 4), and hence
(3.7) is sat isfied for th ese values of p . It rem ains to analyse (3.6). It follows from
this equation that (3.2) holds. The interval in /1 for which 0 2: 0 is t hus (1 + J3,4).
o
Note t hat at 0 = 0 a nd p = 1 + J3 we have
1 + J3
= -- - -
I V3 = 0 (3.8)
"1 = -- 6- 1r3 "4
6 9
We will refer to t his poin t as t he Hopf point. Thi s is th e t raveling wave of t he
unp erturbed equat ions th at ca n bifurcat e to modul at ed waves in th e per turbed
equation.
332 STEPHAN A. VA N GILS , EDY SOEWO XO

-----_._------

o. ~ i

c 2 .8

Figur e 4: The Hopf bifurcation cur ve. On the vertical ax is is E and u is on th e

horizontal axis.

4 Hopf bifurcation to modulated waves

4.1 The averaged equat ions transformed to standard form
In thi s sec tion will determine th e cond iti ons for th e existe nce of period ic solut ions
of equ ation (2.12). We compute averaged eq uat ions and by tr an sformations put
th ese equat ions in a certain st andard form.
The unp erturbed eq ua t ion, (2.12) with E = 0, has two conserved qu antities:

11 = 11"1 + 211"3
(4.1)
K = 1I"1 +11"2.

The values of I I and K will be denoted by h i and k resp ect ively. The Hamilton ian
can be expressed as
H = -3h + 41<. (4.2)
Let t ...... p(t ) be a periodi c orbit of th e unperturbed equation . So p dep ends on
hi and k. Let L: = L. h t ,k be a neighborhood of th e hyp erp lan e tran sverse to p(O )
through p(O ). A necessar y and sufficient cond it ion for the orbit of (2.12) through
p(O ) to he periodic is th at along th e orbit

faTdI I = faT dK = 0, (4.3)

where It = I I (E , u, hi , k)(t ), K = K( E, u, hi, k)(t) , and T is t ime of first ret urn to

L:. This leads us to define

(4.4)
 !VI ODU L ATED WAVES IN A PERT URBED .. . 333

where we have suppressed in th e right hand side th e dep endence on th e vari abl es.
Using (2.12) we find t hat

F-
Ef
"( h l .k )
(1, -4)"1 + 3h1( 2 - 1')
12 ,,"
dt:
1
+ O(E) )
- ( Ef -3 "1 +( ' l -4 ) k dit + O(E) (4.5)
"( h l ,k ) 6,," 1

where

or, equivalently

Our first goal is to obtain first precise information about th e lowest ord er par t of
F. We thus consider th e set of equa t ions

The following lemm a is an imm ediat e consequence of p .-l) an d (4.8).

Lemma 4.1 (i). F(O, u, hi , k) = °

(ii) . D,F(O , {to, hI, k ) = °if and only if
2
_ {t h2 + ph 2 _ 2h 2 _ ~ + ~ = 0
72 9 9 8 4

i
(4.9)
- 3 rrl + ({1 - 4)k-.!... dit, = 0.
"((I",k) 11"4 11"4

We apply a numb er of transformations th at transform s (4.7) to t he com pact con-

nect ed level sets of t he standa rd form
23'"
11"4 + "] _
"j +h= O. (4.10)
2 3 2
The price we will pay for this simplification is th at h will de pend in a complicated
way an h I and k , In order to be a ble to transfor m to the st and ard form (4.10) we
must imp ose a condi tion that guar antees that

'j 2 h ] ,,] h]2

V ( 11"] ) = 11"1 + (1/4 - k ) "1 - -- + -- (4.11)
2 4
has two posit ive crit ical poin ts.
334 STEPHAN A. VAN Gl LS , E DY SOEWONO

Lemma 4.2 V ' =

and k 2: 1/4 .
° has two n on n egat ive roots iff (1/ 4 - k) 2 + 3/2h l 2: 0, hi ::; °
Proof. The solutions to t he equation

31l'12 hi
- 2- + (1/4 - k ) 1l'1 - 4 = ° (4.12)

. _ I
are 1l'1 - -12 + '3
k ± VI -8k+16 k2 +241"
12 . From this exp licit formula t he proof is
obvious. 0

Int roduce t he vari able x by

x2 1
k = -- - - (4.13)
12 12
Definition 4.3 U is the region in the x - hi pla ne determined by the con ditions

Lemma 4.4 Solving the equation D (F (O,Ji ,hl , k ) = °is equ ivalent to solving in U
the equation
Q 0 f = q, (4.14)
where

(4.15)

Her'e _2 3 2
11 4 1rl ITl
r( h) = { (Til ,1l'4 ) 1 2+ '3-2+h =0, 1l'1 2: 0 } . (
4.16 )

Proof. It follows from (2.12), (4.1) and (4.15) t hat Til and 1l'.! satisfy t he system of
equat ions

(4.17)

We let

(4.18)
 M OD ULA T ED WA V ES 11\ A PERT URBED . . . 335

Appl ying th e t ran sformation i = 12t , 11'1 = ITI + q yields . dropp ing t he tildes, we
obtain
i l = - 11'4
i (18 1!'1 -v'16 - 8 x 2 + x 4 + 216hI)
= 11'1 (4.19)
{
4 12 '
and the integral cond it ion in (4.9) t ra ns forms to
1 _ (36 1!'1 - 3 x 2 _ v' 16 - 8 x 2 + x 4 + 2 16 h l + /I.r 2 - l f) dr. ] = 0. (4.20)
J~(x .k) 727l'4
Here i(x , k) is obtained from 1 (h i , k ) by th e tra nsformatio n. Next we rescale
'Irk = ~ITkvr. l: = 1, 4, which yields , dropping th e t ildes

{ ~I = ~~jI6
11'4
= - 8 1;2 + x 4 + 216h l
12
(7:' 1 - 1)
'
(4.21)

while (4.20) tr an sform s to

1 _ ((27l'1 -1 ) v'1 6 - 8 x 2 + X4 +216hl - 3 x 2 + /U ·2_ fl) d'Iri = 0. (4.22)

~ex ,k) 7211' 4

Here i(x. k) is obtai ned from i(x, k) by th e transforma t ion. Fina lly we rescale
once more (and drop th e tildes ) by r.4 = iT4 7' t . t = rt . which gives

(4.23)

while (4.22) t ransforms to

1 _~ ((hi - 1) v'16 - 8x 2 + x 4 + 216 h l - 31'2 + flx 2 -If ) dl!'i = o.
k ex ,k ) 72 11'
14
·h9
V _ £18 + £144 + l l2 i
(4.24)
Here I'(z , k ) is obtained from i (x , k ) by the tr ansformat ion. A straight forwa rd,
Maple checked, computation gives t hat
r.2 r.3 iT2
f (x , k) = { ( iTi , 1!'4 )! ~4 + ~I _ ~I + f (J-. k )=O }, (4.25)

wit h
1 5832 h ]2 -324 h lx2+ 1296 h l - .r6+ 12x4-48x2+64
f (x k) = - + . (4.26)
' 12 12 (16 - 8x 2 + x 4 + 216h l )3/2
Next we eliminate fl using th e first eq ua t ion in (4.9). T here arc two solut ions. bu t
as we rest rict to If in t he interval (1, 4) it is not difficult to check th at
-4 x 2 + 4 + 54 h l + 6 ) - 3h l (2 x 2 - 2 - 27 h d
p=- (4.27)
(x - 1) (.r + 1)
From (4.24) and (4.27) t he formul a for q follows.
336 STEP H AN A. VA N G ILS, E DY SOEWONO

f = 0, q= 0

x = 2
1 f=t q= !
hI = 0

III = - ti (x + ! )(x - 2)2

Figur e 5: Illustrat ion for Definit ion 4.5 and Lemma 4.6.

Definition 4.5 W e let U I be th e region in the z - hi plane determ ined by th e con -

dition s

1 2 1
U I = {(l' , htll - 216 (x - 2) (x + 2) 2 ::; hi ::; - 54 (x + 1)(:c - ry
2)- . and x 2: 2
}

To make th e formulas for f an d q a bit simpler we introd uce th e new vari ab le z

by
(- 1+ z2) (- 2 + x)2 (2 + X)2
h i - - ' - - --'---''---- --'--- '-- ---'-- (4.28)
- 216
Not e that on U , z E [0. 1] and that th e cente rline is given in th e new coordina tes
by

x 1 2
cen te rline = { (:c, z) I z = - -}= { (x , htl l h i = -54
2 +x
- (x + l )(x - 2)} . (4.29)

T he mappings f and q. denoted by t he sam e symbol, are given by

. ) _ (z - I )2 (2 z + xz + x )(- 2z + xz + x )
f (:c ,z - . 96 z 3
_x 2 + z2 1·2 + 4 z
q(x, z) = 8z (4.30)
J (z - 1) (1 + z) (- 8 x 2 - x4 + 16 z 2 - 8 z2 x 2 + Z 2 x-l ) - 4 z2
+ 8z
 i\IO DULAT E D WAVES IN A P ERT URBED . . . 337

f = 0, q = 0

~ t,
f = q= I

o
2 x

Figur e 6: Blowing up Figur e 5 in th e h i dir ecti on . V;. i = 1, 2 is obt ain ed from U;

by th e tran sformat ion (4.28).

It is temp tin g to usc q as one of th e coord inates. From Figur e 6 it would be

reasona ble to usc q and x a." coord inates. It scorns d ifficul t to perform th e required
transform at ion explicitly. On th e ot her hand it is relat ively simp le to use q an d z
as variab les. This t ran sformation is singular as q(1'. 1) = 1. It is st raig ht forward
to check th at
q(x , z )=q. x ~ O
2 z J"(z- -
---=-I")(;-::I-+- z' )--;c(2""'q-z---k-·- ' 1')('"I-+---:2""'q-z---.-· ----;;2-q---:+---:2""'q'"""'
2)
'* .1: = ---'---'----'---'------,---'-:.........;--'--- --,--'---'----'--:-----'--'--- --'--
(z - 1) (1 + z) (2 q:: - :: - 1)
(4.:31 )
So. if we use q and z as varia bles then t he hal f-line linc z = 1, x ~ 2 is tr ansformed
to the point q = z = 1. This is depict ed in Figur e 7.
Lemma 4.6 (i}. A t th e ccntc rline we have f = A and q = 1. On the lin e hi = 0
we have f = 0 and q = O.

(ii) . In VI Ice huuc 0 :s: f :s: ~ and 0 :s: q :s: 1.

(iii). In V2 wc have f ~ t an d q ~ 1.
Proof. Direct computat ion shows t hat ~ and 3; arc bot h negative in t he inter ior
~~ 0

Cor ollar y 4.7 If we let

F (x. ::) = Q 0 f (x .::) - q(.r. z). ( 4 .:~ 2 )

then F panishes iden ticall y at th e cen terline and at the half -lin e z = 1. x ~ 2.
338 S T EPHA N A. VA N GILS , EDY SO EWO NO

q =O

q= 1

1/ '--- ...=.

o q 2 x

Figur e 7: The transformation from x to If.

4.2 Glob al Hopf bifurcation

In this sect ion we will prove th at there exists a glob al branch of nontrivial solut ions
to equa t ion (4.14) in th e region VI. We need a number of lem mas which we st ate
a nd pro ve below. Bu t first we formul ate th e main t heorem.

Theorem 4.8 There exist a smo oth mapp ing k f--; EO(k ) from (~v!3 + ~ . 00 ) into ffi.+
anda sm ooth mapp ing (E, k) f--; Il*(E ,k) defin edforO < lE I::; Eo( k) and k > ~J3+~
1
satisf ying Jl*(O , + ~ ) = 1 + J3 such that for 0 < lEI ::; Eo( k) and k > ~J3 + ~
(2.12) has a periodic solution if and only if It = Jl* (E,k) .

Lemma 4.9 There is a un ique branch point on the centerline (4.29 ).

Proof. At t he centerlin e :F == 0 and f == t.

Therefo re Q' = 1 a t th e cente rline,
see Lemma 6.3, and th e condition for bifurcation Dx:F(x , 2 ~x) = 0 leads to the
equat ion
x2 - 4 x +1
3 x2 (x + 2) = O. (4.33)

Thi s equ ation has a un iqu e solution at x = 2 + J3 in th e dom ain .r 2: 1. 0

A local an aly sis shows th at th e branch bifurcates to the right. It will be shown
lat er on that th e branch exte nds to infinity without turning point s. First we will
show that this is th e only branch .

Lemma 4.10 Th ere is no branch point on the lin e-segm ent {(:r . c) I .: = 1, x 2: 2}.
 MODULATED WAV ES IN A PE RTUR BE D ...

Proof. Let I be a compact int erval contained in [2, 00). :F vanishes identically on
th e set I x 1 in VI. \Ve have th e asymptotic expa nsions

f (x , z ) = (x - l;~X + 1) (z _ 1)2 + 0 ( (z _1):1)

qi» , z) =
V-2 x 2+ 2~
2
2
+ ( 4X - :2 1) (z - 1) + O(( z - 1)
3 /2
)

Q' (h) = h(h~h)2 + O(h(l~h)3 )'

uniformly for x E I . From these expa ns ions we derive th a t

12
Dx:F(x, z) = ( 1)( + 1)( 1)2 (1 + 0(1)), (4.:14)
(z - l )(ln x- x 24 z- )2

uniformly for :r E I . Hen ce, there is a neighborhood of t he set I x 1 in VI such

t ha t th ere are no other zeros of :F ot her t hen t he ones on I x 1. 0

Lemma 4. 11 :F has no zero on the set {(2, z) I z E ( ~, I )}.

Proof. Using the inequa lity Q(h ) 2: (6h) t , see Lemma 6.-!' it follows from (4.:10)
th at it is sufficient to show th at

22 / 3 \12 z2 + z FZTI
(4.:15)
2 z2/ 3 2 z
Writ ing z = wt l
, it is sufficient to show that

(4.36)

on th e interval (0, 1) . Using t he est ima tes, on th e same interval, (11' + 2)t 2: 2 1; ,
VW+ 1 2: 1 + ~ - ":J2, (1 - w) ~ 2: 1 - 11', (1 - w) t ::; 1 - ft 11' - 12 11'2 , and finally
V1/' + 3::; V3 (1 + ftw) , one shows that
" 6 2 3 6 7V
2 5 11'3
2o /6~~+( I_ w) / -V3~vw "';- 3 >-+- - (4.3 7)
- 24 144

which is indeed positive on t he int erval (0, 1) . o

Lemma 4.12 The only solution of the set of equations

o (4.:18)
o (4.39)

on the domain {(q, z) 10 ::; q < 1, ~ ::; z < I} is the point P = (1, -& + flV3).
340 ST EPHA N A. VA N GILS, EDY SOEWONO

Using th e Riccati equat ion (6.12) , we may replace (4.39) by

9 =0. (4.40)

where

9 = 13 z~ + 3: 2 - 9 Z + 1 + (18 z3 + 54 z2 - 14 z - 2) (q - 1)
(4.41)
+ (54z 2 - 2-!Z3 + 12 z - 2) (q _ 1)2 + (8 z - 16z 3 ) (q _ 1)3

9 is a third orde r polynomial in q with coefficients dependi ng smoothly on z. It is

not difficult to show th at

(i) . When z = ~ th ere ar c three real ro ot s, one negative, one in the int erval (0,1)
a nd one lar ger th an 1.

(ii) . 9 -1(0)n{(0, z ) l z E [ ~ ,ln={(0 ,1)}.

(iii). 9 - 1 (0) n {( ~ , z ) I z E [~ , In = {0} .

(iv). 9 - 1 (0) n {(1, z) I: E [~, in= {P} .

(v) . At z = 1 th ere arc t hree real roo ts , one at q = 0, one a t q = ,I - vT6 and
one larg er th an 1.

(vi) . At z = ~J2 th ere ar e two roots, which ar e real. On e root approaches - 00

as z T ~ J2 and one root approaches 00 as z 1 ~ J2.

The conclusion is that th ere exists a smooth function ql (Z), defined for z E [~ , 1]
such th at
(4.42)

is th e zero set of 9 in th e domain ~ ::; q ::; 1, ~ ::; z ::; 1. See Figure 8.

We need to demon strate th at 9- 1 (0) n F -I(O) = P . From lemm a 6.4 we
°
conclude that it is sufficient to show that F < on the set II \ P , where

- 1 25 1 2
F (q. z)=1 +(f(q, z)-6) -12(f(q' Z) -6) - q. (4.43)

Similar a na lysis as for 9 shows that th ere exists a smooth functi on q2(z), defined
for z E [fJ fl
+ J I 1]. and taking values in th e int erval [~ , 1]. such th at

(4.44)

is th e zer o set of F in th e domain 0 :; q :; 1, ~ :; z :; 1. See Figure 9.

Let Tpl 1 be th e tangent line to II at th e point P . To complete the proof we
will demonstrat e th at
l\!ODU LATED WAVES I:-r A P ERT URBED . . . 341

+
z

( I. 5+\2-13 )
3

\
+
2
o q

Figure 8: The ZNO set 9.

z
+ ( I , 5+\2;,( :j)

1
2
o q

Fi gur e 9: The zero set F.

342 S T EPHA N A. VA N GILS, EDY SO EW O NO

(i). q2(Z) S; Tp1dz ).

(ii). Tpll (z) S; qd z ).

A st ra ight forward computat ion shows th at the tan gent line is given by

(4.45)

To pro ve (i), we evaluat e 9 for t hese values of z . T he result is

9Jh(q) = 57820~45011 (309536 J3 + 553815)

(532400 q4 - 1940840q 3 - 58080 J3l + 3360456 q2 - 390192 J3l-
2712019 q + 1233060 J3q + 1028449 - 1142094 J3)
(q _ 1)2
(4.46)
It is st ra ight forward to prove th at the right hand side is nega tive on th e int er val
[4 - JIO, 1) a nd vanishes at q = 1. To prove (ii), we evaluate F for th ese valu es of
z . The resul t is

FJI 1 (q) = 1074880~1375449 (27073417 + 15502976 J3)

(45753125 q6 + 11686845500q 5 - 6655000q 5J3 - 6,lS,l0389650l
- 1635532800 J3q4 + 155617401500l - 822008000 J3l+
13948281280 J3l - 200612740091l - 241OHn896 J3q+
142914707936q - 46013184784 + 13182109568 J3)
(q - 1)
(4.47)
To show th at the right hand side is negative on th e interval H- JIO ,l) a nd
vanishes at q = 1 it is sufficient to show th at th e 6-th order polynomial in q is
positi ve on th e same interval. It is easy to see th at thi s is ind eed th e case. This
completes th e pro of. 0

Proof of Theorem 4.8. It is a consequ ence of Lcmma 4.9 and Lemma 4.12 that
th ere exist smoot h mappings k .-. {l(k) a nd k .-. hI (k ), defined for k 2: ~ +
~,;3, satisfying P, ( ~ + ~ ,;3) = 1 + ,;3, ';1 (~ + ~ ,;3) = ~ + ~,;3, such t ha t
D ,F(O, p,(k), hI (k ), k ) = O. From Lemm a 4.12 it also follows that along this bran ch
det (D I' D, F, D h 1 D ,F) =!= O. The existe nce part follows from the implicit functi on
th eorem . The uniqueness follows from Lemm as 4.9, 4.10, 4.12.
 MOD ULAT ED WAVES IN A P ERT liRB ED .. . 343

5 Numerical results
We have used t he software package AUTO [Doe8 1] to follow th e peri odi c orbits for
large valu es of the mom entum. \Ve did start at. the equilibrium poin t " 1 = 23.222,
"2 = 13.444. "3 = - 85.148 and 1f4 = 0.425 with parameter values E = 0.1 a nd
J1 = 2.1. Varying u; a Hopf bifurcat ion has been det ect ed at Jl = 2.73. At thi s poin t.
1fl = 0.45, "2 = 0.62 , 1f3 = -0.35 and 1f4 = 0.01. So we are ind eed very close to
th e Hopf point (3.8). Next we have followed th e periodi c solut ion incensin g J1 until
the L 2 -norm was 500. At t his point (l = 3.30 The period of t he orb it decreases
mono tonically, the momentum incre ases monoto nically. It is not clear whether
th ere is a limiting valu e for Il. The periodic solu t ions arc far away in ph ase spa ce
from the br anch of uns t able relati ve equilibria and also t hey stay far away from
the level-set H = 0, as is indi cat ed by the fact th at th o period decreases. To get
a pr ecise insight. in th e limiting beh avior it would be necessary to a na lyse th e
solut ions of (4.16) for lar ge values of x. W(' haven 't pursued th is ana lysis .

6 Appendix
Given th e family of cur ves

(6.1)

we let
I o = Io(h ) =
r.;
1 ydx , I 1 = I 1 (h ) =
r.1; x y dx , (6.2)

where i(h ) is th e compact connected set. t hat sa tisfies (6.1).

Lemma 6.1 I o and II satisf y the different ial equatio n

(6.3)

Proof. Differenti ation of (6.1) with resp ect t.o h, fixing .1'. gives
dy
h dh + 1 = O. (6.4)

Differentiation of (6.1) with resp ect to x , fixing h . gives

y dy + x2 _ X = O. (6.5)
dx
Multiplicati on of (6.5) by x~' and int egration over i (h) yields

.L. m +1
- - dx = O.
y
344 STEPHAN A. VAN GILS, EDY SOEWO NO

We compute the differential equ ation sat isfied hy 10 .

' i ')(h~2Y
I
hlo = -h -dx

i 2" + 3 - 2
x3 X2 ) 1
= y dx
i I+i i
') ( h)
3 2
(6.6)
= -1 - y dx -x dx - -1 -x dx
2 ') ( h) 3 ')( h ) Y 2 , (il ) Y
R~I ~l ~I'
- 6 0 +6 l:

Similarly we compute

The result follows now combining (6.6) and (6.7). 0

10 and II are an alyt ic at h = !

but are singular at h = O. The singularity is
of logarithmic typ e, see [BK81]. In th e following Lemm a we give the expansion
of 10 and II at both end points . In the following lemm a we give the asy mptot ic
expansions at th e two singular points. The pro of is st raight forward and omitted .

Lemma 6.2 Let k = h - !.

2 3 4
I (k) = _ I.: 57f k _ 385 Jr k 85085 Jr 1.: 0(1.:5) I.: T 0
o 2 tt + G 216 + 15552 +
2 3 4
I \ (1.: ) = _ 2 r.• I.: _ r.61.: + 35216 Jr k _ 5005r. k
15552 +
0 (k.5)
2 31nh (6.8)
G 459h 5h 5h 4
Io(h) = -5 + 70 + 14 - hlnh - -1-2- + O(h lnh ) h
36 37 h2 h2In(h) 3
1\(h) = - 35 + 6h + 70 - - - 2 - + O (h lnh) h 10

We introduce th e quotient
Ii(h)
Q = Q(h) = IWt) ' (6.9)

It is a corollary of Lemma 6.2 th at we have the following asympto t ic expansion

for Q at th e singular point s:
 MOD ULAT ED WAV ES 1/1: A P ERTU R BE D . . . 345

Lemma 6.3 Let I.: = It - b.

25 2 775
Q(I.: ) = 1 + I.: - - I.: + -/,; ' + 0 /.:TO
0
(/,;~)

6 (11tJ2 )
12 108
(6.10)
Q(h ) = - - +O - - li 10
In h (In

By di ffer ent iation of (6.3) we obt ain t he di fferen ti al eq uat ion satisfied by 10 a nd
1(.
(6.11)

Hence t he Ricca ti eq uat ion sati sfied by Q rea ds

(6.12)

In th e next lemma we sta te properties of t he mapping Q t hat we have used . The

proof is rather standard , and we only give t he details of one inequali ty. For t he
proof of sim ilar st at ements soc for inst an ce [ CL\Y~HI

Lemma 6.4 Oil the in te rval [0, bLQ has the f ollowing propert ies:
(i). Q is strictly increasi nq.

[ i i }. (6h) t:s Q(It) :s ~~~ + 6i~' _ 2~~ 2 .

Proof. \ \ 'c pro\'c t he firs t ineq ua lity in (ii). It follows from t he asym ptot ic ex pa nsion
of Q in Lemma 6.3 that th er e exists h su ch t hat (6h ) t < Q(h ) for It E (ii, Let '11 b.
h
he th e sma llest clement of t he inter val (0. with t his pro pert y. Using t he Riccat i
equat ion it follows t hat at t his point

(6. 13)

Writing '11 = .1' / 6 th e righ t hand side takes th e form

if[ - x + .1'5/6 - 1
x 5/ 6 (.1' - 1)

and t his is negative for x E (0,1 ), co nt rad ict ing the choice of h.. o
Ackn owled gem ent. Par t of t he resea rch is sponsored by (1) Co rnmi sion of th e Eu -
rop ean Communities , D irectora te Gener al XII-B . Jo int P roject C Il *-CT 9:~- 00 18
betw ee n th e Department of Ma th em ati cs, Inst itut Tck nologi Bandung, In donesia ,
and th e Faculty of Applied Mat hem at ics, University of Twcntc, The Nether lands.
an d (2) Hiha h Tim URGE Project I\'o. D07/HTPP IURGE/ 19!J5, DIKTI.
346 S T EPHA N A. VA N G ILS , E OY SOEWONO

References
[BK8 1] E. Br ieskorn and H. Kniirrer. Eben e algebraischc Ku rte n. Birkh a user , Basel,
198!.
[CL\V94j S.-N . Chow. C. Li, and D. Wan g. Normal f orm s and bifurcations of plan ar
vecto r fields. Cambridge University Press, Ca mbridge. 1994.
[Der92 ] C . Derk s. Coheren t st ru ctures in the dynamics of pert urbed Ham ilt onia n sys-
tems. P hD th esis, University of Tw ent e, 1992.
[Doe81] E.J . Doedel. Auto: A progra m for the automatic bifur cat ion analysis of au-
tonomous systems. Congo Num.. 30:265-284, 1981.
[DvC(3) C .L.A . Derks and S.A. van Gi ls. On t he un iqueness of traveling waves in per-
t urb ed Korteweg-d e Vries eq uat ions. Japan Journ al of Industrial and App lied
A nalysis, 10(3):4 13-43 1, 1993.
Progress in No nlinear Diff erenti al Equati ons
and Their Applications , Vol. 19
© lY96 Birkhauser Verlag B asel/Swit zerland

Hamiltonian Perturbation Theory for Concentrated

Structures in Inhomogeneous Media
E .R Flecldcrus* E . van Crocscn!

Abstract
\\'e co ns ide r s pat ia lly inhomogen eou s Hamilt oni an sys te ms for whi ch th e
rate of cha nge o f th e inhomogen eit y is sm a ll. Con necte d t o th ese sys te ms is
a l -paramet er famil y of homogenized vers ions. for whi ch spa t ia l var iat ion s
van ish . Sp ecial solut ions of th ese hom ogeni zed sys te ms ar e relative eq uilib-
rium solut ions: a 2-param eter manifold of so lut ions which ar e tran slations
of an ext remi zer of t he ene rgy con strained t o Ievclset s o f momentum. A so-
lution of th e inhomogen eou s sys te m whi ch de scribes th e dist ortion o f su ch
a relati ve equ ilibrium solution is approximat ed usin g relative equ ilib riu m
states wit h th e 3 parameters evo lving in time in a way to he s pec ified . T he
dynamics of t he parameters is obtained using (i) a geo me t ric a lly motivat ed
projection ar gumen t , (ii) a dynamical consis te nt evo lut ion of g loha l qu anti-
ti es ( energy a nd momentum) , and (iii ) a Fredholm-typ e of argument from a
mathematical in vestigation of th e er ro r. The results ar e show n to b e eq u iv-
a lent. The Fr edholm-argument implies that the approxim ation is va lid on
spa t ia l-te m pora l scales on whi ch deform at ion s ar e of orde r o ne , th ereb y ju s-
tifyin g th e ph ysicall y more attractive met hod of co ns iste nt evolut ion. All
result s are illu strated to th e motion of a Blo ch wall ill an inh omogeneous
ferro-magn etic material.
Keywords: inhomogeneous hamiltonian syste ms. perturbation th eor y,
quasi-homogeneou s a pproxima t ion, sine-Gordon .
AMS subject classification: 35B20 , 35Q 53. -l71\55. -laDOS. 78A25 .

1 Introduction
In th is pap er we study spat ially inhomogeneous dynamical systems. In particular ,
we derive an approximat ive description how struct ures that ar e characteristic for
'This research has been supported by th e Neth erland s Organization for Scientific Research,
N\ VO. by contract 620-61 -24 D.
tpar; of th e research is sponsored by the Commission of th e Europea n Communities, Di-
rector ate General XII-B, Joint Research Proj ect CII *-CTDJ-OOI S between th e Depar tm ent of
I\lath emat ics. Instit ut Teknologi Bandung, Indonesia. and th e Faculty of Applied Math ematics ,
University of T wentc, Th e Net herlands .
348 E .R. FLE DDERUS , E. VA N GRO ESEN

homog eneous media deform as a consequence of the inhomogeneity. Und er the as-
sumption th at th e rat e of cha nge of the inhomogen eity is small. O rE) , it is shown
that an O( c) correct app roximation can be found th at describes cha nges of the
struct ures of ord er one . This approximation will be a qu asi-homogeneous evolu-
tion: a succe ssion of st ruct ures correspond ing to different hom ogeneous media.
Restricting to concentrated structures, for which th e spatial st ructure is localized
in a sens e that its "posit ion" can be defined in a meaningful way 1. th e suc cession
will be det ermined by specifying at each mom ent one memb er out of a family of
possible structures th at bc!ong to a homogeneous medium that resembl es th e local
proper tie s of th e inhom ogeneous medium at the posit ion of th e struct ure at th e
sp ecific instant of t ime.
Before specifying in more detail th e class of syst ems th at ca n be treated in a
unified way, we menti on a few particular cases for which th e th eory applies.
The example that will be tr eated in detail in thi s pap er is th e motion of a
Bloch wall in an inhomogeneous ferro-magn etic crystal. Denoting by B = B(x , t) the
an gle of spin vectors along the z-axis, th e govern ing equat ion is the inhomogeneous
sine-Gordon equa t ion ( de Lccuw ct al. (1980) ):

Bu = Bx£ - K(x) sin 2B. (1.1)

( The spin vector can only take posi tions in a plane perpendicular to th e z-ax is so
only one angle is needed to speci fy the sta te of the systcm.) Here . K = K( x) is
th e positive magneti c anisotropy function . Along with thi s equation, we consider
the family of uniform crys ta ls, th e homo geneous systems, for which th e ma gnetic
anisotropy is consta nt. Helice, for K. E JR+

Bu = Bx x - K. sin 2B. (1.2 )

In such a uniform medium. "kink-solutions" exist th at arc monotone transit ions

from "spin-up" (B = 0 ) to "spin-down" (B = -r ). The tr an sition region , th e Bloch
wall , is essent ially concentrated to a small int erval ; the width is relat ed to th e value
of th e hori zontal momentum (which is a conserved qu antity) . and det ermines
t he (constant) speed at which th e wall translates. In an anisotropic medium ,
when K( x) is not const ant , such solut ions will deform since th e momentum is not
conserved any more. \Yhen th e mat erial properties cha nge slowly. it is appealin g
to approxima te th e deforming profile at eac h inst ant by a un iform kink solut ion
that "feels" th e material property at t he ac tu al position of the transition region .
Adapting th e material par am et er Ii of th e homo geneous sys te m in time to t ake
into account t he changing value of th e material properties at the transiti on region ,
a so-called quasi-homogeneous approx imation will be obtained . The changing value
of th e hori zontal momentum has to be ada pted to th e changing position; energy
conservat ion will produce th e governing equa t ions for position and momentum.

1 In a next paper we als o st udy spatia lly extended st ruct ures and derive modulation eq ua t ions
in a unifi ed sa me approach .
 HA MIl: r ONIA N P ERT URfl ATI O" TH EORY 349

Just like the origina l equat ion, th is para meter dyn ami cs is a Hamiltonian syst em,
which lead s to a particle-like descr ipt ion (wi t h K in th e role of a potential energy
function ) for th e moving Bloch wall.
Intu itively it is clea r that for such an approxima tion to be valid , th e ass ump-
tion of slow vari ations in mat erial properties is necessary. However , th e result ing
approx ima tion may well describe lar ge deform ations. We will give a n exa mp le
below that illustra tes thi s as follows. Whil e in a un iform crys tal, th e boundary
moves at const an t speed wit h a fixed width, du e to an inhomogeneity described by
a convex-like functi on K , th e bo undary will experience a periodi c motion, ada pt-
ing at each time its velocity to th e local value of th e anisot ropy. T he cha nge of
K during thi s motion is of ord er one. T his exa mple illustrat es at the same t ime
th at an y approxim ation that is based on taking some averaged value of K canno t
produce the correct result on the larqe space and ti me scale of the periodic m otion.
Stated differently, th e use of a fam ily of homogeneous syste ms is requi red to st udy
t he deformation in the inhomogeneou s syste m.
T his exam ple will be used in t his pap er as a model to illust rate t he math e-
matical methods. The methods are more genera lly applicable, however. T wo oth er
problems to which t he sa me th eory has been applied recently are surface waves
above a varying bottom, and swirling flows in expanding pipes.
For sur face waves, lookin g at a localized, solita ry. wave t ha t deform s due
to bott om vari ations, th e deform ed wave is approximat ed at each instant by a
solitary wave above a flat bottom a t a de pt h eq ual to the dep th belo w t he top of
th e defor med wave. T he qu asi-ho mogeneous descripti on of t he defor mation uses
th e amplit ude ( or horizontal momentum ) of th e homogeneous wave as a funct ion
of position, or actu ally, amplit ude and positi on ( de pth) as a function of tim e.
En ergy conservat ion is t he basic cond it ion th at relat es th e pa ra mete rs and governs
th e dyn ami cs: see Pudj apraset ya & Van Gro esen (1995). The same method can be
exte nded to describ e th e splitting, du e to bottom vari ati on , of a single wave int o
two or more waves.
For 3D Eul erian fluid dyn ami cs in radi ally symmetric tubes with consta nt
ra dius, various families of swirling flows can be found as ext rernizcrs of th e energy
at given helicity and ax ial flux. The deformation of such a swirling flow in a slowly
expa nding t ube ca n also be stud ied a long the lines of th is pap er. In this case, more
paramet ers are needed in th e quasi-homogeneous description , and th e th eory has to
be exte nded to includ e Casi mir functionals. T his has been don e in Van Groesen ,
Van dcr Fliert & Flcddorus (1995) and Fledderu s & Van Groesen (1995). One
result is th at a simple mod el is obtained th at describ es recirculati on areas in
wast e burners: thi s is closely related to t he phenomenon of vortex breakdown.

In each exa mple above, the (inhomogeneous) dyn ami cal system has a Poisson
str uct ure. Th e inhomogeneity destroys ( translation ) symmet ry t hat is related to
a conserved qu antity (the momentum). This symmet ry is present in th e homoge-
neous syste ms and is used to find t he basic st ruct ures of t he approximation. In fact ,
t he uniform st ruct ures are th e relative equilibria of th e und erlyin g homogeneous
350 E .R. FLEDD ERUS, E . VA N GROESE"

Poisson syst ems . One par ameter measures the value of the homo geneity; fixing it ,
anot her one, related to th e valu e of the conccrvcd quanti ty. determines the var i-
ous spa t ial struc t ures in th e homo geneous medium. Energy conservation will be
decisive to find th e act ua l parameter dyn ami cs that sp ecifies th e inhomogeneous
approximation. Since we a re aft er a description th at is corre ct for changes of ord er
one , th e actual choice of th e parameter dyn amics is cru cial. In t he present ation to
follow this choice will be motivated in various ways. The ju stification will be based
on an abstra ct an alysis of the error. We now describe th e essent ial ingredi ents for
this an alysis.
For any given a pproximat ion, the error is determined in lowest or der by
th e linearized equ ation . In our approach, this equat ion is (" alm ost") degenerate
becau se of th e fact t hat for homogeneous media a symmetry is present . As a
consequence, for th e desired boundedness of the error on th e t ime a nd length
scales we are int erest ed in , certain solvability condit ions ha ve to be sat isfied as
a cons equ ence of th e Fredh olm alte rn at ive. Sati sfying th ese solvability condit ions
then determines the parameter dynamics of the approximation .
Resuming it ca n be sa id th a t with th e manifolds of relati ve equilibria chose n
as th e sets in which th e approximation is sought , th e dyn amics of th e act ual
evolution of th e a pproximat ion in this set is found from th e Fredh olm alte rn at ive
th at det ermines th e way how to restrict t he or igina l equa t ion to thi s set.
It will be shown that the projection of the equ ation det ermined by the Fred-
holm solva bility cond it ions to the manifolds of relative equilibria of th e relevan t
hom ogen eous media has a clear geom etrical int erpret ation at each point during
th e evolut ion. Fur th ermo re, it turns out th at , under an addit iona l condit ion, t he
correct dynamics can equivalently be found by requiring t hat th e physically rele-
vant observabl es evolve in a natural , consist ent way. This last resul t is often the
easiest way to produce th e govern ing quasi-homogeneous dynamics.
A final rem ark concerns th e possibili ty to obtain t he dyn amics in a n expli cit
way. In fact , th e solvability condit ions can be written down provided th at th e ele-
ments from th e kernel of t he adjoint linearized op erator a re available. In gener al ,
th e elemen ts form t his kern el are d ifficul t to find explicit ly. However , for th e sys-
tems considered here. owing to the underlying Poisson structure. the kernel of the
adjoint operator can be expressed in terms of th e ( known) kern el of the linearized
operator (Van Gr oesen (1995) ) and can t herefore be written down in an explicit
way.

The argument s based on the Fredholm-alternative ar e not new of course. The

e1assical text by Nayfey (1993) , for inst an ce, contain s many examples for ODE's ;
applied to ava raging. see e.g. Hale (1969) , and Sand ers and Verhulst (1985) . Som e
applications in averaging in pd e's can be found in Buitelaar (1993) and Krol (1990)
and th e refer ences ment ioned t here. Solvability condi tion s are also found in many
exam ples with cente r manifold reduction, see e.g . Carr (1981) and multiple-scaling
problems , see e.g. Aceves et al. (1986) , Calog ero & Eckhaus (1988). Connected to
th e sine-G ordon example, we mention the work by Kivshar and .\Ialomed (1989) ,
 H A MILTONI A N P ERT UIU3ATIO:\ T H EORY 351

Karpman and Solov'cv (1981) and a series of pap ers by Olsen and Samu elsen
(1983), Sa lerno ct a l. (1985) and Sakai ct al. (1987). T hey use the complete in-
tegrability of sine-Gordon in orde r to const ruct t he dyn amics of t he scat tering
dat a with ( Inverse ) Sca ttering Theory. Sa kai et al. ( 1987) st udy th e inh omoge-
neous sine-Gordon equa tion and produce numeri cal result s. T heir t rea t ment of t he
inhomogeneit y differen t : t he inh omo geneous equa tion is viewed as an ex ternally
perturbed syst em by means of a sca ling of th e spatial varia ble x . Usin g the Invers e
Scattering T heory, they end up with th e dyn amics of th e soliton paramet ers.
The organ ization of the paper is as follows. In sect ion 2 we int roduce th e notat ion
and derive th e famil y of man ifolds of relative equilibria for the hom ogeneous sys-
tems. In sect ion 3, the quasi-homogen eous approxima tio n is constr ucte d for t he
inh omogeneous equation a nd it is shown th at three method s to ob tain the pa-
ram et er dynam ics are equivalent. In both sections t he exa mple of the Bloch wall
'*
illustrates t he general th eor y. Fin ally, in secti on we conclude with som e rem arks.

2 Homogeneous systems
We start to introduce the not ati on and the main noti ons from Hamiltoni an dy-
nami cs th at will be used in t he seq uel. T hen relati ve equilibria are chara ct eri zed
in a variatio na l way, and t he geome try of th e man ifold of rela tive equilibria is
describ ed . The last subsect ion spec ializes the gener al notions to the sine-Gordo n
equat ion.

2.1 Not ation

In thi s parag ra ph we intr oduce t he not ati on and rep eat th e main definit ions for
Poisson syste ms.
Wit h th e st at e evolving in a st ate space denoted byu E U, the evolut ion
equat ion for a Poisson system has a spec ific form that ca n be described as follows.
Let r be a so-called "st ruc t ur e map " ( possi bly dependin g on the state), which
means th at
{F,G} (u ) := (8F( u). r( u)oG(u ))
defines a Poisson bracket (skew-sy mmet ric and satisfying Jacobi's condition ). Here
and in th e following of denot es the variational derivati ve of the (density ) fun c-
ti onal F wit h resp ect to th e spat ial inn er pr oduct or du ality map ( , ); this deriva-
ti ve is an clement of t he cotan gent space to U : 8F( u) E T~U . , a nd I'( u) is a mapping
from T,;U into th e tan gent sp ace T"U. Then a Poi sson sys te m is describ ed for a
certain (a utonomous ) Hamiltonian H( u) by

B tU = f oH(u) . (2.1)

In th e following we will usc this not ation for th e inhomo geneous syste m for
which t he Hamiltonian is a density fun ctional with density h(u ;J( (x) ): H (u) =
352 E.R. FLEDD ER US, E. VA N GRO ESEN

.r h(u ; K(x)) d x . T he spatial vari abl e x will enter only via some function K , K =
K( x) = K (c:x ) th at measures some, slowly vary ing, sca lar quantity of t he und er-
lying physi cal syst em ( c is small) .
For simpli city we will act ua lly restrict in th e following to Hamil tonian sys-
tems , i.e., to Poisson syste ms for which th e st ructure map is invertible ( t he method
can be genera lized to non-Hamiltonian Poisson systems, as is necessary in the
problem for swirling flows) .
The homo geneous versi on of (2.1) is obtained by t aking a const ant qu antity
for K , say K = consta nt. In doin g t his, th e homogeneous Ham iltonian will be
denoted by H(u ;K) and th e homogeneous sys te m then read s

(2.2)

Here r f (U ;K) when we take into account that also th e struct ure map may
depend on th e function K .
The vcctorficlds X H (u; K (x )) and XH (u; K) will denot e th e Hamil tonian vee-
to rficld of the inhomogeneous a nd of homogeneous Poisson syste m resp ectively:

XH (U ; K(x)) == f eu; K( x) )8H (u) , XH(u ; K) == f'( u; K)8ll (u: Ii) . (2.3)

In a homogeneous system the spatial translation symmetr y implies t he existe nce of

a first integ ra l, i , describing th e mom entum in some sp ati al dir ection (Nocthor's
theorem). In fact , also i may dep end on K . i is a first integra l iff it Poi sson
commutes with n , i.e., {If,i} = 0; it is a standard result ( see e.g. Van Greeson a nd
De J ager (1994) ) th at in thi s case th e corresponding Hamiltonian flows commute .
Fin ally, when dealing with th e arguments from th e Fredholm alte rnat ive, th e
dyn ami c equa t ion will be viewed as an oper a tor equa t ion. The following not ation
will th en be useful. We will denote by £( u; K( x) ) and by t(u : K) th e operators

£ (u; K(x)) := GtU - Xu(u ; K (x )) (2.4)

and
(2.5)
resp ecti vely. A solution of £(u ; K(x) ) = 0 with initial value Uo will be denoted by
u(t) = <J!{f (uo) ; a solution of t(u; K) = 0 with init ial value Uo by u(t) = <i!{f (uo).

2.2 Extremal cha racterizations for relative equilibria

We now consider the homo geneous problems in which K a ppear s as a (fixed ) pa-
rameter . However, for th e application in th e next sect ion, we mak e the dep endence
on K explicit.
The sim plest solutions of a Poisson sys te m ar e equilibria: st at iona ry solutions
[; that satisfy
(2.6)
 H AM I LT O NI A N P ERT U RBATIO N T HEO RY 353

A genera lization of eq uilibria arc relati ve equilibr ia. To moti vat e it . not e t ha t
equilibria are extrema of if . T he value of t he momentum [ is 's laved' in (2.6);
th at is. we cannot exe rt any influence on [( u: x). its value being given by i in, Ii)
th at can be calculated once the equilibri um is found , We can cha nge thi s sit uat ion
since [ is a first int egr al. So instead of lookin g for ext rema of tt in U . we restri ct
t he extremizat ion problem to a subset of U . namel y a levclsct of i.

Extr {il(u ;,.;; ) I [ (11 ;";; ) = ' ( } . (2.7)

Let us de note a typ ical soluti on of (2.7) by U(::Ii). Lagrange's multiplier rule
implies th at U(:;,.;;) sat isfies for some multi plier >. th e equat ion
fJif(u ;,.;;) = xsiu), ,.; ). (2.8)

Since both if and i arc invar iant for t he i-liow, t he t raj ectory obtained by app lying
t he i -liow consists of crit ical points:

all th ese clements sat isfy t he sa me mul tipli er eq uat ion.

For fixod x and var ying 'Po and I th ese functions lJ {t , 'Po;";;) form th e i\IRE
}vl x , the manifold of relati ve equilibria at n , Wh en varying x we get a famil y of
MRE's (sec also figure 1 ):

M: = U/vl",
"
So far th e relati ve equilibr ia are construc ted from a va riati onal problem , wit hout

Vb ,'Po; Ii )(t )
M,!'I

Figure 1: T he MRE's M" embedde d in }vl cU

dir ect reference to the dyn ami c equation. The reason for th e MRE's to be impor-
ta nt for th e dyn amic al problem teu;,.;;) = 0 lies in th e fact th at when a tr aj ectory
354 E.R . FLEDDERUS, E. VA N GRO ESEN

in M " is t ran svorsod with a certain speed '\, that depends on "( and K , th e evolu-
t ion 4)L U (-Y , 'Po; /'i) == U(-Y , 'Po + At ; /'i) is a solution , a so-ca lled relati ve equilibrium
solution. These relative equilibrium solutions will be denoted by

(2.10)

The sp eed>' is in fact precisely t he Lagrange mul tipli er th at a ppea rs in th e equa -

tion sa t isfied by th e constra ined cxt rcmizcrs U (-y, 'Po: /'i) .

2.3 Geometry of th e l'vIRE and decomposition of TuU

We will spec ify th e geomet ry of j\lt" by describing its tangent and cotangent space
at a certain point U(I .:,;: x }. This defines two projection oper at ors. li'i a nd 1P'2, t ha t
will be used to split any perturbation on the l\IRE M" int o a part tangential to
M " a nd a remaining part transversal to it. The pro jection depend s on th e choice
of th e cota ngent space: when chosen as belo w, it will be called the 'n atural' pro-
j ection ( splitti ng). since it will be mot ivat ed by t he a rgument from th e Fred holm
alternativ e.
The tangent space TuM " is spanned by two vectors t ha t arc found by dif-
ferenti ating U(-Y, yn : /'i ) with respe ct to t he two coord ina tes ., a nd :;0 :

with
, , . au
x 1 (U'. /'i) =- f (U'/'i)8I(U'
, . , /'i ) = - -
a'Pn' (2.11)

Since t(U ; x ) is assum ed to be invert ible, th e 'na t ural' choice for a dual basis of
T[~M" is

TZJM" = f- 1 (U; K)TuM " = span {fJi(U ; K), f- I (U: K)[·,. } .

T his set is du al since

(6i(u ; K), '\; I(U: K)) = 0, (t - I (U ; K)U." X dU ; K)) =-1.

(2.12)
(fJi(U: K). ['.., ) = 1, (t - I(U ; /'i )U.." U..,) = O.

The ex tension to th e case when more int egrals (whether or not in involut ion ) arc
present is immediat e ( see Van Gro esen and De Jager (1994) ).
Connected with th e orthogonality relations in (2.12) we can define proj ection
op erators IP' I and 1P'2. Th ey act on vector fields ~ defined on a subset .\It (the i\I R E )
of U :
 H A l\II LT O:" f,\ :" P ERT URBAT I O:\ T HEORY 355

Figure 2: T he tangent and cot ange nt space

T hese pro ject ion operators split t he vector field in a part tan gent to M~ c iv/
and a part in t he ort hogona l complement :

PI and P'2 arc given by

Hence.

2.4 Exampl e: Mot ion of Bloch walls

With OtB = p , th e sine-Go rdo n equa tion (1.1) can be writt en as a Ham iltonian
e
sys te m wit h and p as a pair of ca nonically conj ugat e variables:

(2.13)

a nd with H t he total energy,

dz .

Using th e not.a tion h for th e standard sy mp lectic matrix in 2 dimensions. we

rewr ite (2. 13) as
356 E.R . FLEDD ERUS, E. VA N GRO ESEl\"

Wh en J{ does not depend on x we are dealin g with t he homogeneous version

of (2. 13). The Ha mil t on ia n for t his case is de note d by

\Ve restr ict ourselves to th e homogeneous system in t his paragr aph . The t ra nslat ion
symmet ry t hat is t hen present is connected to t he conserved moment um,

1(8,p ) = I (8, p) = - J 8xpd x , (2.14)

since its Ha miltoni an flow is tran sla tion:

VI ~) = h Oe.pI = - o, (~) => <p{ (~) (x ) = (~) (x - t ). (2.15)

T he coher ent/ concent rat ed st ruc t ures that are observed in t his syste m are th e
so-called I3loch walls, a tr ansit ion between domain s with a nt ipar allel or ientat ion
of th e magnctisatiou . For the following we use as cond it ions a t infinity ( see a lso
figur e 3 ):
8(- 00, ·) o ( sp in-up) (2.16)
{ 8(+ 00, ') II (spin-down).

Figu re 3: Structure of a Bloch wall in a uniax ial cryst al. The magnetisation vector
remains a lways nor mal to t he x direction . Taken from de Leeuw et al. (1980).

These tr ansition profiles, ca lled kink s, are the rela tive equilibria in t his case,
i.c., t hey follow from th e min imiza tion probl em

!'Ilin {H (8, p; K) I I (8,p)

e.p
=,} . (2.17)
 HAMILTOi';IAN P ERT URBATIO:-': TH EORY 357

If we denote a solution to (2.17) by (8 (r, 'P0:K ).P(r . :;0 :K )) , th en 8 satisfi es the

Lagrange mult iplier (= A) equation:

(A2 - 1)8 xx + Ksin28 = O. (2. 18)

and P = -A8 x . Note t ha t thi s eq uation is also found when lookin g for a travelling
wave solution wit h speed A.
The solution 8 of (2.18) can be writ ten down expli cit ly when not ing that
besides (2.18) also
1 2
-2 (A - 1)8-x + x sin 8 = 0
0 2
(2.19)

holds. T his yields

8 (r , 'Po : K) 2arctan (exp (B (x - :;0 ))). (2.20)

P (r , 'PO ;K ) -AS cosh - 1 B (x - y O) (2.21)

Rc-cxpressiug a ll q uantities in I an d K we find

B = ~2 J8 K+ ,2. (2.22 )

The solut ions (8 (r , y O: K), Ph , 'Po; K)) for m together the family of ?l IRE·s.

If we let the I-flow ac t on an arbitrary clement of the :-'IRE wit h an amou nt

A(r , K)t we have a solut ion to t he dynamic problem . equation (1.1). T hese are the
relative equi libr ium solut ions: kink s t ra nslated undcformcd in sha pe at constant
speed A.

3 T he quas i-homogeneous approximation

In t his section we develop t he pertur bation th eory for inhomogeneous sys te ms.
As an approximation for a solution u of £ (u: K (:r )) = 0 that describes the d istor-
tion of a relat ive equi librium solution, we consider an evolut ion u in t he famil y of
~ [RE ' s th at were constructed in sect ion 2. Stated differently. ii is a succession of
relat ive equilibria wit h t he parameters adjusted in a manner t hat has to be speci-
fied. When E = 0 we recover the relative equilibrium solut ions ; the errors t hat are
introduced vani sh in the limit c --> 0, and hence th e theory pro duce s resu lts for
slowly varyi ng media.
The parameters t hat have to be adjusted in th is proces of taki ng successive
relat ive equilibria are "t - y a nd K . Thus,

t t-> U (r (t), cp(t): K(t ))) u(t)

358 E.R . FL EDD ERUS, E. VA N G ROESEN

So th e approxi ma t ion u(t ) 'feels' at some spec ific tim e t a material 'const ant ' K(t) ,
to a pprox imate t he inhomogeneous mat eri al at th at time.
This section is arranged as follows. Firs t we investigat e th e choice of Ii., as a
function of ,. and y . Th en we det ermine t he dyn ami cs of yet) a nd " (t) from three
poin ts of view. On e is con nected with t he natural sp litting of th e pe rt urbation P
from th e inhomogeneity, into an act ive part , PI! ' a nd a passive par t. P.l . Let t ing
the par am et ers move und er th e influence of th e active part PI! is shown to be
equ iva lent to a consis te nt evolution of th e energy, and a lso equi valent to sat isfying
th e necessary solva bilitv cond itions for t he eq uat ion th at det er mines th e erro r
bet ween th e ap proxi mat ion and an exac t solut ion. The moti on of th e Bloch wall
finishes th e sec tion. In order to simplify th e formul a we drop th e depend en ce of 1
on I. : f ell) = 1(u ).

3.1 Pointwise homogenization

For th e homogeneous medium, let iu-; Ii.)(x) be t he relativ e eq uilibrium t ha t is
'concent rated ' aro un d x = 0: th en U(r , .p:Ii. )(:r ) == iu-; K)(X - <.p) is 'concent rated '
aro und :1' = ip . In a moment we will spec ify in mor e det ail wha t should be under-
st ood by 'concent ra ted': for now it suffices to int erpret it as th e position where th e
rela tive eq uilibri um is app roxima tely confined to a sma ll rcgion . Th en it is natural
to take for Ii. t he local value of th e inhomogeneous medium. viz. K = 1\ (<.p) ; we will
now invest igate thi s in more detail.
T he main prop ert y to determine th e a pprox imation will be energy conserva-
tion , also for th e correc t choice of K . In cont ras t wit h th e dissipatio n-like perturba-
tion s tr eat ed iii Van Crocsen (199.1) th at destroy t he conservat ive characte r of th e
homogeneous system. t he energy is conser ved for solut ions of th e inhomogeneous
sys te m: H (ll) is conserve d also when K varies wit h x. However , for any approxi-
mation it ; th e energy H (iJ ) will in general not be constant. Consider for U (r , <.p ; Ii.)
th e d ifference between the inhomogeneous energy a nd th e homogeneous energy at
level n , i.o..

H (U(-y . ip ; Ii. )) - iicu (-y , <.pi x ) ; K)

.I [h(U(-y, <.p ; K)(X); K (x )) - h(U (-y , 'Pi Ii.)(:r): K)]dx .

Introducing y = x - y . an d <p = E<.p , so th at K (x) = K (<p + c:y) . th e difference will

be viewed as a function of th e variables ,. , <;3, K and s :

Observe th at thi s dif feren ce vani shes for e = 0 for t he choice K = 1\ (.,:;) = K (<;3) :

and we look for th o cor rect choice of r: for sma ll E.

 HA:VlILTO NIAN PERT URI3ATIO :-; TH EORY 359

One special case will be dealt with first. Sufficient for our purposes would be
that

whi ch is t he case if

D6.- 1
De E= {)
=0 1\ I (<;5)
- f D!t -
D' (U(-y; -K(<;5 ))(y ): -1\ (; ))ydy
K

vani shes . This turns ou t to he th e case in the example of th e Bloch wall. and
in severa l other exa m ples, from t he sp ecial sy mmetry proper ty of th e relative
equilibrium. namely t ha t W;;(Uh ;K(cp) )(y) : 1\ (<;5)) is an even fuction .
In th e mor e genera l case, '1; 1,=0
¥ O. In fact. we have to require t hat t his
quantity is finite , which can onl y he expec ted when th e relative equilibrium is
sufficiently con centrated . Hence, the finit eness of this expression is the explicit
stateme nt for the required 'conccntratcdncss '.
In thi s general case , we apply the impli cit fun ction th eor em to the equa t ion

6.(";;'I ,<;5 ,E) = O.

Sinc e
a6. j ¥ 0,
DK ,,=K ('P' ),£=o
this t heor em lead s to t he result that in some neighbourhood 1\/ of 0 and some
op en set N C IF~.2 . ther e exists a unique, ct . mapping k = i;(-y .cp, E) such that

• i; (I' ,<;5.O) = I\:( cp) = K( :p),

• 6.(k({.;. E) : ' ,CP ,E) = 0, for all (r,cp,c) E N x M .
Hence, for thi s choice of K, the ene rgy differ en ce va nishes . It holds that

k = K(<;5) + O (c),
and so
-ak -_ c-
ak -_ 0 (-)
.
a<p &<p -
T his cho ice for K will h e used in th e se q uel in th e quasi-h omo gene ous a pproxima -
tion.
Notation. The quasi-homogeneous approximation will be based on the funct ions
U h, <p;k (r .; , E)) and denoted by
u(t ) = U (, (t ), <p(t );K(t))

where K(I) = k (r (t) ,<;5(t), E). Note that differentiating l1 (t ) with respect to , it holds
that

uau, uaft, + -a-

-::> = -::>
ailak
K,a = : ft-y
_
+ U"K-y = u-, + OrE),
3GO E.R . FLEDDER US, E. VA N GROESE:\

and simila rly for "' :

a,i n« (hi aF>

. + c<') ~ = : ii ,
-iJ = -;:;- + e it ~ i; -:3 = it . + O (c ).
:.,:; v ,? v I{. v ,? ~ T ~

A ~ a fina l rem ark, obse rve t he following. If one would like to iden t ify t he positi on
W such t hat i; = J« 0 ). up on int roducing the slow vari abl e iii = =-'¥. t his qua nt ity
is found by invert ing t he relation

Since in general thi s invers e is multiply defined , we take th at 1J1 th at is closest to

rp. t he position of ii. Furthe r, we have to stay away from an s-nc ighbo urhoo d of the
ext re ma of K This resu lts in iii = <;5 + O (e ), a nd so JjJ = rp + O ( 1). Co nseque nt ly,
whe n t he valu e of i; changes ord er e from 1\(rp), the change in distan ce will b e
of orde r one. In the special case mentioned above, ~ (I\ ( ;; ) ; 'I, <p. r ) = 0 ([2) , th e
sit uation is better in t he sen se that t hen I~ - r.p = O( E).

3.2 Paramet er dyna mics

3.2.1 A geometr ical viewpoint

W hen approxim ating a solution II to a differ en ti al equation , [ (u ) = 0, by u,

one very ofte n st ud ies th e erro r 71 = It - Ii by conside ring th e residua l, i.c., the
approx ima tion u subs tit ute d in t he equa tio n. An exac t solut ion sa tisfies [ (11 ) = O.
which is equiva lent to requiring t ha t t he inn er product of [ (u ) wit h any di rection
~ . E T,;U equa ls zero :

([ (u),C ) = O. VC E T:U ~ [ (Il ) = O. (3.1)

For an a pprox imation Ii. the residual is by defin iti on [ (Ii ) and will not van ish
id e n ti ca lly. W he n . as in o u r case, ii sti ll d e p ends a ll p arameters tha t h a ve to b e
spec ified , th ese ca n be determined in a best possib le way. The evolut ion of t he
par am et ers t I-> (r(t). rp(i)) will be determined by requ iring the residua l to vanish
in two di recti ons, Like in Van Crocscn (1995) we choose the residual, [ til ; K (x )),
to vani sh in t he directions fJI(il ) a nd r -1 (1i: 1\ (x ))ii." or, usin g our natura l pro-
jcction s from th e prev ious sec tion, a nd ex te nd t hese in a consist cntf l) way by
requiring th a t

The motivat ion is t hat when t he perturbation is such that it lean's th e ~I IlE ' ~
invariant , t he ap prox imation is in fact an exa ct solut ion. Variou s exam ples su pport
th e idea that t he :\I Il E ' ~ arc important for t he pert urbed dy na mics: see. e.g., Van
Gr ees on et al. (1990 ). Derk s (1992) , Derk s a nd Van Groesen (1995 ), Van Orocscn,
Van de F licrt and Flcddcru s ( 1994) and Pudjaprascty a and Van Gro cscn (1995) .
 H AMILTONI A N P ERT UR BATI O" THEO RY 361

Fir st we rewri te IP'IE(il; K (x )) = 0 ( we suppress the t-dep endence ).

o (M (il ).E(iI; g (x )))

(M (il ), Dt 1L) - (M (il ). X f{ (it: K (x )))
/M (it ) - (M (lL), XH (IL ; K (x )))
DO - (M (ll ), Xli (il; K (J:))).

leadi ng to

1 = (M (il ), X H(it: K (x ))). (3.2)

Next. in order to find the dynamics for .p, we require 1? 2 t' (it; K (x )) to he zero. Let
us abbrevia te r- I (it: K (x ))u-, with ( 2 (the '2' corres pond ing wit h 1?'2 ). Then

0 = (( 2'£ (IL; K (x )))

= ((2. Dtit) - ((2, X H( il ; K(x )))

-.p (1 - ((2, XI (iI; ;:;.) - Xl (il ; K (.r )) ) - oK:;;((2 , li,J) +

+ 1K-,(( 2, u,J + (u-" oH (IL) )
-.p (1 - (( 2, XI (u: .... ) - X I (U; K (x ))) - OK:;;((2 JI~ )) +
+ 1....-,(( 2. li ~ ) + 'x(')'. Ii:) + (11-" oFf(il) - t- H(il; K))
lead ing to

. ,x {:., Ii:) + 11i:-,((2, U~ ) + (u-" oH(u ) - oH ( it: Ii:))

(3.3)
ip = 1 - (( 2, XI (lL; Ii:) - X, (lL; K (x ))) - Eii:;;(C,2 . 1t~)

From (3.2,3.3) one ca n obse rve that t he dynamics of t he paramet ers is dri ven by
(i) t he dependence of th e relative equilibria (solutions) on the material qu ant ity
and (ii) th e dep end ence of t he Hamiltoni an vectorficld on the mat er ial quant ity.
Moreover. when th e st ruct ure map r docs not depend on K (J'), t he nu mera tor in
(3.3) red uces to 1 - EK~ ((2 . ilK )'
In t he next two subsections we will show t hat th e requ irement t hat t he resid-
ual E(u ; K (T )) vanishes in t he two dir ecti ons M (lL ) and r- 1(it ; K (X))li -, is equiv-
alent wit h two ot her requi rement s. Ca lling th e pro jecti on ar gum ent geomet rica lly
insp ired , t he ot her two requirements ar c more physically and functi onal-analyt ic
based . resp ectively.

3.2.2 Cons iste nt evolut ion

For an exac t solut ion the evolution of th e momentum is given by

('M(ll ) = (M (ll ), Xf{(ll ; K (x ))) == {I. H }( ll ).

362 E.R . FLEDD ERUS, E. VA N GROESEN

The imm edi ate conclusion from (3.2) is that the same also holds for th e approxi-
mation il as a consequence from th c requiremen t that the res id ua l vanishes in the
dir ection 8I(ii ). That is, the approxima tion {i is const ructed in such a way that
th e mom entum evolves consis ten tly. Conver sely, havi ng st arted with th e require-
ment of consist ent evolut ion of I would have led dir ectl y to th e equa t ion (3.2) .
Thi s is one of the reasons to use th e value of a globally defined qu an tity, viz. th e
mom cntum func tional I , as one of th e par am et ers in th e approximati on .
It is mor e difficult to give a sa me ar gum ent for th e evolution equa t ion for <p. We
will now show th at it ca n be obtain ed in a sam e manner from energy conserva t ion.
Therefore, let us come back for a moment to t he const ruc t ion of K. There we
requ ired the inhomogeneous cnergy of the approximation, H (ii). to be equal to
th e homogeneous energy of ii, HUt: K). From thi s requirement we const ructed
K = K(r,<p,c: ) and th en ii. Now, since t he energy is consta nt in tim e for an exact
solut ion of the inhomogeneous system, it is tempting to dem and th e same for th e
approxima tion. That is, denote t he energy of ft by H (r , <p):

H (r , <p) := H(ii;Fc (r, <p, c:))) = H (u ),

energy conservation for th e approx imat ion is stated as

and means t ha t th e energy evolves consistently for the approxima tion.

In the rest of thi s subsection we will show the following resul t.

Proposition 3.1 Under the technical assumption 3.2, the requirem ents that the rno-
mentum and enerqu evolve consistently are equivalent with the t u:o requirem ents
[rom the geometric proj ection argume nt:

IP\ E(lt; K (x)) = lP'2 E(U; K(x )) = O.

Proof Let us a na lyse th e deri vati ve of H (-y , <p) with respe ct to tim e:

(3.4)

The first term at th e righ th andside can be rewritten :

H.=
y
a~(u)
u~
= (6H (ft), iLl
T
+ c( 6H( u), UK)K,"".
Y
(3.5)

The second term on the righthand side of (3.4) ca n be written as

(3.6)
 HAMILTONIA N P ERT UR BA TION TH EORY 363

Let us first take care of th e term (8HUi) , ii,.) which ap pears in hoth (3.5) and
(3.6) . Decomp osing 8H (D) yields

(8H (D), u,.) (8H( D) - 8H( D: ~ ), UK) + (fJ i l (Ji.; ii ), ii K)

(8H(ft ) - 8H (D: ~ ) , UK) + )'(61(u ), ii K)
(8H (ii ) - 8H (D: ~ ) , iiK)' (3.7)

Assumption 3.2, (AI) implies th at th e second term on th e righthand side of (3.5)

and (3.6) is of t he ord er 0(S2 ). Note that in order to ohtain this resu lt th e as-
sumptio n is too strong: we only need 8H (u) - 8H (u; ii) to be 0 (£) in the direct ion
'flK o

Now we take a closer look at (8H ( D), il,!,) and (8H (fL ). /1_,). The first term can
easily he rewritte n to

(8H (ii ),11.;) (8H (D. ), X/(ii ; ii ) - X/(ii ; K (:r) ) + X/ (1t: [(( :1: )))
(£ (ii ; K (x) ) - a/u , 8l(D)) + (8H( ft), X d D; ii) - X/(U ; K( x) ))
(£ (u; K( x)) ,6l(u )) - (atu ,6l (u)) +
+ (8H(u ) - 8H Ui ; ii) + sti« .ii) . (r(it: ii) - r(u ; K( x) ))61(ii ))
(£ (u; K (x )),61(D. )) - (Dt ii ,61(11)) +
+ (8H (u) - 8H(u : ~ ) ,X/ (u ; k ) - )(Au; K(x)) ) (3.8)

whereas (fJ H (it), ii, ) can he red uced in the same way to

(8H (u). ii.., ) = (£ (/1; K (x )), r - I (11; K (x) )ii, ) - (at iL r -I (u; K( x ))it "y )' (3.9)

Assumption 3.2. (A I ) and (A2), assure th at th e last term in (3.8) is 0 (,,2). Not e
again that thi s assumpt ion is too st rong: we only need a n est imate for the spec ific
inner product.
Finally , (at /l, 61(u)) reduces immediately to i whereas in th e deduction of (3.3)
we saw th at

(at ii . r - 1(it ; K(x)) u, ) - 'iH <'o((2, ),'A u; 1;) - X/( D; K( x)) ) +

+ (<,O£I;7p + i ii, ) ((2. UK ) (3.10)
( A ~A2 ) - <,0 + 0(£) (3.11)

and hence, (3A) can be rewritten as

d
cit Jib , rp ) = <,0(£ (11; K(x)), 6l(u) ) + i(£ (u: K(x)) , r- I (u; K (x))u, ) + 0 (,,2).

( Not e th at ~f = 0 (£) und er assumption 3.2.) This finishes th e proof. 0

Assumption 3.2 Th e following technical conditions are suffi cient in order fo r

proposition 3.1 to hold true .
364 E .R. FLED DERUS, E. VA N G ROESE:-l

(AI) i6H (il) - 6H(u; i.;H = O re ).

(A2) ~ X/ (il ; K (x )) - "Y/ (u: i.;)1 = 0 (0: ).
In th e case that th e structu re m ap does no t depend on K (x ), th e secon d con diti on
(A2) is m et im mediatel y.
Th ese condit ions specify in m ore detail what we m ean by 'concen tratedne ss
of relative equilibria '. A n illuminating exam ple can be f ound in th e n ext section
where we treat th e B loch wall. In (3.23) we check con dition (A J) an d it is easi ly
observed that , altho ugh th e material 'constant ' K (x ) can deviate by a large am ount
f rom it s pointwise ( in tim e ) hom ogenized version K(t) , the resulti ng ene rgy f rom
these tails is VC I7/ small since the growth of K(x ) is com pensa ted by a decay of-in
this case - sin2 iJ .

3.2.3 Analytic solvability conditions

T he consiste nt evolut ion of th e momentum and t he energy as considered above
is an at t ract ive formul ation of th e way how to derive th e para met er dyn ami cs.
Moreover , it has a clear physical int erpret at ion . Nevertheless. thi s formulation,
nor th e equivalent geometric proj ection described above, pro vide any inform at ion
about th e act ual quality of th e approxmat ion that results. To th at end one has
to consider t he difference between t he approximat ion and th e solut ion th a t is to
be approximated . Th e essence of t he main resu lt of thi s subsect ion will be t hat
for the two ( eq uivalent ) met hods above it holds th at th e err or is small over long
spatial and / or time-scales. This will follow by showing t ha t th e dyn am ics is also
be obt ained from Fredh olm solva bility conditions .
With a a n exact solution of f eu; K (x )) = 0, which describes the d ist ortion
of a relative equilibrium solutio n, int rodu ce the error 1] as 1] = u - u.
Notation. The Frechet derivative of [ (u; K (x )) at «o is denot ed by [' ta o; K (x )).
Similarly, the Frechet derivat ive of E(u; x) at /Lo is denoted by E' (uo: K).
On substituting a = iL + 1] in t he inhomogeneous equat ion a nd using th at a is an
exac t solut ion we derive
0= [( u: K (x )) = [(iL; K (x )) + [' (iL; K (x ))ry + ~ 1]f .
Assumi ng Il l/! = 0 (0: ) ( we have to check t hat afterwards ), we have as a first order
equat ion for t he error
[ ' til; K (x ) )1] = - [ tiL; K (x )). (3.12)
Wh en ana lysing (3.12) we note t ha t when [' tiL; K (x )) has a bounded inverse we can
solve for 1/. In order to make sense, 1[ (u; K (x ))11should be O(c) ( t his is equivalent
with saying th at u is an ap proximation) , so when [ ' (iL; K (I )) is regular we have
th e immedi at e result th at 111]11 = Ore). However , the pres ence of symmetry in th e
homogeneous case causes the lineariz ed operator to be singular. This is clarified
when we note th at for th e homogeneous problem it holds th at
E(V (r , 'Po; K)(t ); Ii) ;: 0, "1,,/, 'Po,
 HA :-'I ILTO NIAN PERT IJRBATIO" TH EORY 365

and hence, by differentiati ng wit h resp ect to th e two par ameters , and ip ,

c.
)..) iJV(-,.iJyO ; ,,)(I) = 0,
i-I(V (" y."O·' ;;.)(ts:« (3.13)
'Po
i-I(V( ..)( ). _) [ d,\ iJV(r, 'Po; nHt)
c. , , 'PO , Ktv;« t d iJ + _Dl_l(_"'--;:
' '':;_
iJ
O;_K-,--
H,--t)] = O. (3.14)
, ' Po I

In most applications the linearized operator is a Fredho lm ope rator, which has an
adjoint wit h a non-trivial kernel too. (In most cas es. th e inde x is zero, meaning
that t he dim ension of the kernel of the adjoint £' (11 : K (J.') )' equa ls t he di mension of
the kerne l of the linearization £' (1£; K(:r))). Here and in t he following, t he adjoint
has to be und erstood with respect to t he innerproduet OWl' space a nd (arhitrary)
tim e-interval. When th e ajoint kernel is non-trivial. solvability cond it ions have to
be sat isfied in order that equation (3.12) has a solut ion. In fact. it t hen shou ld
hold that

I
t2
(( ' , £(1£; K (.r))) dt = 0
.1 1

for all (' in the adjoint kerne l: £' (u;K (.r))' ( ' = O. This necessary condition is
immed iately der ived by taking t he inn erproduct of (3.12) wit h ( ' .
In th e following we sha ll exploit t his reasoning in a perturbative way ; see t he
classica l mon ograph by Kato (1966) for more details.
In ord er to ha ve a bounded solution 7J of (3.12). i.e.. IIrJII = O( c), it is nec-
essar y th at the residual shou ld be orthogonal to th e kern el of the approximation
£'(u ; K( .r))' .
This is t he motivation for insp ect ing the kern el of th e adjoint lincariscd op-
era tor, ['(V ;K) and [1(il;K(x)) . We have th e following important theorem (Van
Gro csen (1995) ).

Theore m 3.3 (Kernel Theor em)

The operators [I(U:K) t(1£; n) and £'(u ;K (.r))f(u: K( .r)) are symmetric:

£'(u; K(.r))f(u: K (.r)) [£' (1£; K (.r))f(u ;K (.r))]' == - f( u;K( :r))£' (u ;K (x ))' .
=
(3.16)
for all 1£ with £(1£; K.) = 0 and £(u ; K(:r)) = 0 respectively.

Proof Sec Van Croescn (1995). o

Hence. since r rv : K) is invert ible, it follows from th e Kernel Th eorem and (3.13,
:1.14) t hat
(3.17)
366 E.R . FLED DERUS, E. VAN GROESE i\

The imm edi ate cand ida te s for elements from t he kernel of E' (u; 1\ (x) )' arc t he n
<1,\
,
8I (u) a nd t - 8I (u) + r -l (u;I{ (x ))ii-i = (2 . This result s in t he necessary solvabil-
d
ity conditions

i
t2
(1P'IE(ii; K (x )), 8I(u» dt = 0 (3.18)
t,

and

(3. 19)

T his shows that requ iring IP'IE(ii ; l\ (x) ) = 1P'2 E(U; K(x )) = 0 at ea ch instan t (as
was sugges ted fro m t he proj ect ion arg ument), is equivalent to require t he necessary
cond itions (3.18,3.19) to be fulfilled for every t ime interv al [11, 12], Hen ce, t he Fred-
holm alte rnat ive lead s to the par am et er dy namics, i.c., to th e qu asi-h omogen eou s
approxima tion as const ruc te d abo ve.

3.3 Mot ion of t he Bloch wall in inhomogeneous media

In a spa t ial inhom ogeneou s crystal, i.e., equation (1.1) wit h K = K (x ) slowly
var yi ng like
K (x ) = K(n ),

wit h e a small par am et er , we look for a d isto rt ion, O(x , t ). of an in it ial kink soluti on
as a quas i-homogeneous approxi mation , B(x , t ), by a spec ific succession of kinks ,

B(t) = 8 ("r (t ),",(t) ;K(t)) .

So t he a pproxima tion B(t ) 'feels' at som e sp ecific ti me I a n isot ropy 'constant ' K(t).
After giving a computationa l exam ple of find ing Pi as a fun ct ion of:, <p a nd e, we
will give t he dynamics of t he para meters obt a ined via t he consis te nt evolut ion of
t he mom entum and the energy.

Example 3.4 In order to give a computional example of how to fin d i;. we consider
for K (x ) the fu nction

I« x ) = 1\0 + 1<1(cxf , I\ (x ) = 1<0 + I<I X2, 1<0,1<1 E!R.

The quan tity t, (;; : , . ~ . c ) = H (B,p ) - H(B,p ;K) reduces to

t,(K; ,, ~. E)= j (I<O+J(I ('P + Cy )2 - K) sin2 B(y.l )dY, (y = :r -",) ,

 H A M I LT O NI A :-l P ERT UR BATIO N TH EORY 367

whic h. af ter some maple-assisted m ani pulations reduces to

A( _. __---,; ) _ 4_ " 2K IC2 I' - 2

_\_I:=
F
<P=+=I\~ O
u/\ ", <;, c - ,3/2+ 4 (3.20)
3 (SI-.: + / 2) JSI-.: + _12 JSI-.: + / 2'
Taking C = 0 we im mediately have the result th at I-.: = /(0 + /(l rp2 K (rp ).
Mo reouer, different iat ion of b- wi th r-espect to I-.: and evaluating at (s , 1-.:) = (0, /(0 +
K I rp2 ) yields

Db-I
0/\ (E,K)=( 0 , Ko+ K 1'P2)

Hence, solving for 1-.: , we find up to O(c4)

_ _ _ -2 1 C2 " 2 K?
I-.: = l\ o + 1\1'P + -3 S/(o + SK lrp- + Y ? 0' (3.21)

N otice th at the choic e K = K( rp ) = /(0 + K l rp2 results in a b- that is 0 (c2) un iform

for all <;: .
So lving k (lIf) = I-.:(J , rp, c) fo r If yields

th at is ( outs ide an e -neiqhbourhood of 0 where K assumes its minimum)

2
1lJ- - ~ C " 2 /(1
- <p + 6 rp(SK o + SK 1rp2 + ,2 ) '

Th is result is even bett er than th e gene ral, expected result , It is due to symmet ry
in th e un derlying kink- solution .

Motivat ed by thi s exa mple we take in th e following K( t) = K(rp) = /(( <p ). Comput-
ing for thi s choice th e homogeneous energy at level K( <;: ). H(O,fi; K(<;:)) = 1-l(J , <p),
we finel

J{ + ZIJ +
I ?
Zfi~
1 '2
r
? ,}
e
K (<p(t) ) sin- elx

J{~(A2 + l)O~ - ~(A2 - 1)0;} elx

JO; elx = 2B

JS K (<p (t )) + /( t) 2 (3.22)

At this point it is best to check th e assumption 3.2. i.e., whet her th e norm of
bH(O, fi) - oH(O,fi: K(t )) is of t he order e ( note th at (.-\.2) is tri vially sat isfied) .
368 E .R. FLEDDERlJS , E. VA N GROESEN

Calculating this quantity, using (2.18) with ti:(t) = K(<.p(t)). we ar c lead to check
whether
J?rI4e L3 y (ee2 L3y +- 1)2
2 l3 y
1 (K (<.p ) - [(( <.p + V)) I dy (:3.23)

is of the required O (c). This is the case, since making an expans ion of th e differen ce
K (9 ) - K( <.p + y) around y = 0, the norm of 6H (e,p) - bil( e. I}: l{( :p)) is easily
shown to be
, , , 27l"c ~
Il bH (B. p) - bH (B,p; K( <.p)) I = Jj2 + O (c").

Hence, th e consistent dyn ami cs is equiv alent with th e proj ected dynamics a nd
with th e 'Fred holm' dyn ami cs,
If we now require the energy to evolve in a consist ent way. i.e..

d
-IH ('y, <.p ) = H ../'y + H p<p = 0,
ct
we find that up to a scaling factor er(t), th e dyn amic s of th e varia bles constit ute a
Hamiltonian system th emselves ( sec also the discussion in sect ion 4 ):

(3.24)

The factor er(t) follows from th e requirement that also th e mom entum [ evolves
consiste nt ly:

(3.25)

Expanding [( '( x) around x = <.p yields

-J K' (9) silh~ dx + O ( ~11 )

-H", + 0(c 3 ) , (3.26)

and hence er(t) = 1. correct up to 0(c 2 ) . With this inform ati on (3.24) redu ces. up
to 0(f2) , to
'1..J _ 4K'(<.p)
-'L"'--2il ' (3.27)
H1 = 2~ = 'x('y(t) ,K(y (t )))
 H A MILTO NIA N PERT URBATIO:--: THEORY 369

Remarks

1. Con sid ering (3 .24) th e mot ion of the wall is a nalogous to the dyn ami cs of
a particle from classical mechanics, with a pot ential fun cti on defin ed by t.he
magneti c anisot ro py fun ction, K: see (3.22). T his means t.hat. for convex -
like potentials K , for instance K (:I: ) = K o + K i (:::r)2, t he motion will he a
peri od ic one between extrem e points Y± , det ermined by Eo = JS [(( <P±);
t his describes a 'bound state ' for th e wall. See figur e 4.

l\ (x )

-+- 1-,.' - :/:

I 'I', "" K (<p )

,.
Ly

Figur e 4: Th e particle analogy for t he motion of a Bloch wall: trapped in a well of

t.he magnetic anis otropy constant .

2. Nume rica l ca lcula t ions (Blommers and Booij (1992) and Fl cdderus and Van
Gro esen (1995) ) confirmed t hat t.he a pproxima t ion is very accurate, cvon
when the disturban ces are large: during t he evolution the value of K m ay
change by order 1.

4 Int erpret ations and Conclusions

For a ge ner al inh omogeneou s medium, wit h slowly varying inh omogen eit y, we
hav e const ruc te d a quasi-homogen eous a ppr oximat ion . based on spec ial solut ions
( relative eq uilibri um solut ions ) of a hom ogeni zed medium. wh ere the value mea-
sur ing t.he inhomogeneity changes with the propagation of th e rela tive eq uilibrium
solut.ion. To be succcs ful. the relative equilibria are su pposed to be concentrated in
space , a cond ition th at was s pecified in t he proces of const ruction . In sect ion 3 it
was shown th at ther e arc three eq uivalent ways t o obtain th e par amet er d ynamics
for t he qu asi-homogen eous a pproximat ion .
The derivation usin g t he Fredholm a lte rnat ive gives th e desir able mathem at-
ica l result that th e a pprox imati on is valid on time ( and space) scales in whi ch the
370 E .R . FL EDDERUS, E. VA N GRO ESEN

slowly varying material prop erties cha nge a un it order of magnitude. so the result
is valid on t ime a nd length sca les of order O( I j o).
Assuming th e cond it ions (A I ) a nd (A2) to hold, which tu rns out to be a
specifica t ion of th e concent ra tcd ness condition imp osed on t he relat ive eq uilibria,
t he dy na mics could also, an d in fact more simply, be derived from th e requ iremen t
of energy conservati on. Tha t is, from the req uirement t hat t he energy of th e inho-
mogeneou s syst em, when restricted to t he relat ive eq uilibria, is constant in t ime
( in t he required order ):
d . 2
dt7-{ (-y , C;) = 0 (0 ).
Thi s last formulation has as an ot her nice prop erty t ha t it allows to conclude
t hat t he para met er dyn am ics of th e a pproximat ion has a Hamiltonian st ruct ure,
ju st like th e complete inhomogeneous syste m for which t he a pproximat ion is con-
st ructed . Let us investi gate t his st ruct ure in some det ail. From

it imm ed iately follows th at with a suit a ble function (7

~ = (7 7-{~ + 0 (02 ) ,
{ ., = - (77-{", + 0 (02 ) .
Hence, apa rt from a sca ling in ti me determined by (7, t he str uct ure is t hat of a
canonica l Hamilton ian syst em wit h st ru ct ure map ·h = (~l ~) :

\\'e will now show t hat in general CT = I + 0 (0), so th at , in gene ra l. t he sca ling
ca nnot be neglegtcd (i n t he requ ired ord er ).
To see that CT = 1 + O le), note t hat relat ions (3.5). (3.7) a nd (3.8) impl y t hat
(4.1)
when assumpt ions 3.2. (A I ) and (A2). are sat isfied . T ha t is.
"r = - 7-{." + 0 (02 ) . (4.2)

In t he same way, relat ions (3.6) , (3.7). (3.9) and (3.11) yield

7-{~ = (£(u: [{ (x )), r - 1 (tL; [{ (X ) ) iL~ ) + r.P + O (e), (4.3)

hence,
r.P = 7-{~ + 0 (0), (4.4)
which im plies (7 = I + O le).
 H AMILTONIAN P ERT lJRBATIOX THEORY

I3e awar e th at if one would aim to have th e same ord er of accur acy in t he
equat ions for ~. and <P, and writing

{~ o'H ; + 0 (c2 ) .
- 7-i", + 0 (c2 ) ,

where a = 1 + O (c- ) has to be retained to have th e correct order O( c ) term

in the righthand side of <P, but can be neglect ed in th e righthandsidc of 1 since
7-i", = Ole). th e Hamiltonian cha rac tcd would be lost . Th is is a prop erty th at is
quit e common (and somet imes overlo oked ) when dealing with order-a rguments in
originally Hamiltonian sys tems .
In sp ecial cases , th e scaling fact or can be left out completely, however. This
is th e case if a = 1 + 0 (c 2 ), which turns out to be true for th e I3loch walls for
inst ance. In fact, som e conditions can be formul at ed th at guara ntee a = 1 + 0 (c- 2 ) .
Fir st of all. when the st ruct ure map do cs not dep end on I\ (x) , i.c., fi X[((I; [« (x )) -
X[ (u: K)[[ = 0, a nd (6H (u), il ,,) in (3.7) is of the ord er 0 (02 ), the 0 (c2 )-t en n in
(4.1) turns int o an 0 (c3 )-term. The O (c) cont ribut ion in (3.11) is th en redu ced
to (<pcK;;; + 1K, ) ((2 , il ,,), so impo sing t he condit ion ((2. 11,,) = O(e) yields 0 =
7-i, + 0 (c- 2) and thus improved result a = 1 + 0 ([2). Recapitul a ting th e sufficient
cond it ions to obt ain thi s result :

(A3) II X [ (il : [« (x) ) - X [ (u; fi)11= 0,

(A4) (6H (il ). uK ) = 0 (c2 ) ,

(Aii) (( 2. iLK) = O (c- ).

A final remark concerns an exte nsion of the ideas above. As becam e clear from
th e exa mp le, for th e theory above to ap ply th e conditions on concent ra ted ness are
essent ial, However , in a future pap er we will st udy problems for which t he relati ve
equilibri a are ext end ed ( e.g. periodic) in space , Th en looking for approximations
th at deviat e slowly from t he manifold , th e ar gument of the Fredholm alternat ive,
as well as a mod ified vers ion of energy conser vat ion. can still be used to find
slowly varying approximati ons, This theory for exte nded struct ures is part icularl y
suited to st udy equations th at descr ibe pat tern form ation ; th e result ing equation
for th e par amet er dyn am ics may be Nonlin ear Schro dingor typ e of equa t ions or
ph as e-diffusion typ e of equations.

References
[I] Aceves. A., Adachihara , H., Jo nes, C. , Lerm an , J .e .. Xlcl. au ghlin . D.W ., Moloney,
.LV .. and Newell, A.C . C haos and coherent st ruc t ures in parti al differenti al eq ua-
tions. P hysica 18(D) , 85-11 2, 1986.
[21 Blomme rs, B., and Booij , W. Periodic solitio n solut ions for a perturbed sine-Go rdo n
eq ua tio n (in Dut ch ). Technical report , University of Twe nte, 1992.
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[3J Buitelaar , R.P. Th e method of avera ging in Ban ach spaces : th eory and applicati on.
PhD-t hesis, Univ. of u t recht, 1993.
[4] Ca logero, F ", and Eckhau s, W . Nonlinea r evolut ion eq uati ons. rescalings, mod el
PDE's and t heir integr abi lity: II. Inverse P roblems , 4, 11-33. 1988.
[5J Ca rr, .I. Applicatio ns of Cen tre Manifold Th eory . Springer-Verlag. Xew York, 198 1.
[61 Derks , G. Co herent structures in t he dyna mics of perturbed Hamiltonian systems .
P hD-t hesis, Univer sity of Twent e, 1992.
[71 Derks , G., and Groesen, E. van . Dissipati on in Hamiltonian systems: Decaying
cno ida l waves. To be pubi shed , SIA;\I J . Mat h. Ana l., 1995.
[8J Fledd eru s, E.R., and Groesen , E. van. Critica l swirling flows in expanding pip es,
Par t II. To be pu blished , SIA1\1 J . Math , An . Appl ., 1995.
[9J Fledd erus, E.R ., and Croesen, E. van . Deform ati on of coherent str uct ures in inho-
mogen eous media. Rep . P rogr. Ph ys ., forth com ing, 199.5.
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in dissipative Poisson sys te ms. ZA;\ IP, 41, 501-523, 1990.
[111 Gro esen , E . van, F liert . B.W . van de, and Fledd eru s, E. Qu asi-homogeneous crit ica l
swirling flows in expanding pipe s, I. SIA1\1 J. !\lath. An. Appl ., 192. 76·1-788, 1995.
[12] Groesen , E. va n. A Ha miltonian Pert urbation T heory fur Coh erent Struct ures illus-
trated to wave problem s. Proceedin gs of th e IUTAl\ I/ ISn I",1Symposium , Han nover,
Germ any. 199;:; .
[13] Leeuw F .II. de. 0 01'1. R. van den , and Enz, U. Dynamic properti es of magneti c
dom ain wa lls and magnet ic bubbles. Rep . Pr og. Ph ys , 43. 689- 783. 1980.
[141 Ha le, .I.K. Ordina ry differen tiaLequations. Wiley- Interscience, Xew York , 1969.
[l5 J Ka rpm an , V.I., a nd Solov'ev, V.V . The influen ce of perturbations on t he sha pe of
a sine-Gord on solito n. Ph ys. Let t. , 8-1 A(2), 39-4 1, 1981.
[16] Kat o, T . Perturbation Th eory f or Lin ear Operators. Springer-Verlag. New York ,
1966.
[17] Kivshar , Y.S ., and Xlalom ed , B.A. Dynamics of solitons in nearly int egrable syst ems.
Rev . 1\l od. P hys. 61(-1 ), 763-9 15, 1989.
[18] Krol , M.S. The Method of Averaging in Partia l Differential Equ ati ons. PhD-t hesis,
Univ. of Utrecht . 1990.
[19] Nayfeh , A.H. Int roducti on to Perturbation Techniques. Wiley. New York, 1993.
[20J Olsen , 0 .11., an d Samu elsen , l\I.R . Sine-G ord on 271'-kink dyn am ics in t he presen ce
of small pertu rbat ions. Phys. Rev. 13, 28(1), 210-217, 1983.
[21] Pu dj apr asetya , S.R.. and Groesen, E . va n. Uni-d irect ional waves over slowly var y-
ing bottom. Par t II: Qu asi-homogeneous approx imatio n of distortin g waves. To be
publi shed , Wave Xlot ion , 1995.
[22] Sakai , S., Sa muelsen. l\I.R ., a nd Olsen, O.H. Perturbati on ana lysis of a param et ri-
cally cha nged sine-Gordon equa t ion. P hys, Rev . 13, 36(1), 217-225.1 987.
[23] Salerno , M, Samuelsen . l\I.R ., Lomdahl , P.S., and Olse n O .H. Xon-dlssipative per-
t ur bat ions in t he sine-Gordon system. Phys. Lett. 108A, 2-1 1-2-1-1 , 1985.
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Springer-Verlag. :\1'\\' York, 1985.
Progress in Nonlinear Differential Equation s
and Their Appli cations, Vol. 19
© ]996 Birkh auser Verl ag Basel/Switzerl and

On instability of minimal foliations for a

variational problem on T 2
Xianhua Hu ang*

Abstract
In thi s paper , we st udy th e variational probl em J
Ftt . z , x,J dt , where
F (t ,x, p) E C r(SI X S l X R) . Suppose 3' = U(t ,ot + 3) is its T-invariant
mini mal foliation a nd Q does not sa tis fy Dioph antine condit ion, th en we ca n
destroy t his mini mal foliation by a sma ll Cr-pert ur bat ion of F (t, x ,p ).
Key Words: Minimal foliation , inst ability, variatio na l probl ems.

1 Introduction
The vari at ional probl em on a torus T d has been st ud ied ex te nsively, sec e.g.
[2, 9, 10, 11] and references t here in. An important to pic is that of th e foliati ons
who se leaves are minimum sur face with resp ect to a given metric. J . Moser showed
th e existe nce of such a minimum sur face und er cert ain hypotheses about the in-
teg rand [9] and proved the stability for some minimum surfaces , i.c, und er sma ll
per turbation of the vari ational problem, th ere is a new foliat ion wh ich is conj uga te
to the given one und er a diffeomo rphism close to identi ty.
In order to stat e t he problems pr ecisely, we describe th e set-up and t he leaves
of the foliati ons generally.
Let T d = TJf.d /Z d, set d = n + 1, s = (s] , . . .. Srt), oS = (s] , . . ., Srt ,x ),
1r(SI' . . ., Srt. X, PI , ". ., Pn) = (SI' " . ., s.,). Suppose

i) F E C'"(n ), where r 2: 2 and n is a n open dom ain in T n+l x TJf.n with the
prop erty that 1r(S1 ) = T d ;

ii) for all ~ E TJf." ,(s,p) E n ,

n

L FMJS,P)~V~i" 2: '\ I I~ W (1)

v,i"= l
where ,\ is a positiv e const ant .
'Facu lt y of Techni cal Mathem ati cs a nd Inform atics. Delft Uni versit y of Techn ology, 2628 CD
Delft , Th e Net herlands , FAX: + 31 152787209 , EMAI L: X.Huang thwi.tudelft.nl
374 X IANH UA H UA NG

Consider th e var iatio na l prob lem

J F (s , I , I s )ds , (2)

fr )
where ds = ds l .. . ds n , I s = (g.T , . . . , and F = F (s ,p ) is a smoot h fun cti on
of period 1 in th e first d = n + 1s ~ariabl'<;~; while P = (PI, . . . . p,,) vari es in an ope n
subset of ]Rn. T he functio n I represent ing th e leaves of t he folia tion a re required
to satisfy th e Euler equat ion

(3)

which is a non linea r ellipt ic differentia l eq uat ion. Th e solutions of (;3) will he called
extrem als.
For exa m ple, consider a variat ional prob lem on T 2 by assuming th at F (t , :r, :i;) =
:i:2 . For t his trivial variatio na l problem

th e Euler eq uat ion is given by i = 0 a nd t he minima l solut ions are stra ight lines
given by .T = at -i- .8 .
To define a minimal foliat ion on a torus T" +I , we consider its lift on JRn+ l ,
taki ng account of t he Z n+l-actio n.

Definition 1 For a given variati onal problem (2), we defin e a Z rh· l-invarian t e m _
minimal foliation as a funct ion x E em(JR n x JR, JR) tak ing (s . >' ) ~ x = x( s , >')
sucli that :
i) f or any>. E IR. :1'(s , >.) is an extremal of (3);

ii} for fix ed s E JR." . >. -. x(s. >') is a em -homeo mo rphism of ? onto JR with
x(s, >') ~ I(S , >" ) fo r >. ~ >.' ; and
iii) the fol iation qicen by th e leaves x = x(s, >') fo r (s . >') E jR" - I . is invarian t
under the Z n+l -action.

T he ext rcmals rep resenti ng th e leaves of such a minima l foliati on are special
solutions of the Eu ler equation. For t he leaves of a minimal foliation. min imal solu-
tions of (2) wit hout self-intersections qualify, as was pointed out in [10, 11]. Fro m
t he theory developed th ere, it follows that, for a given Z,, + I-im'ari ant minimal
folia tion , t here exists a unique Q = (UI, . . . , an , - 1) such t hat for every leaf

sup lx(s, >,) - (n,s )1 < 00 .

where Q = (a l ," " an) . Moreover , t here is a functi on U(s. O) E c m(JRn x JR, JR),
where m depend s on bot h th e smoo thness of F and th e proper ty of t he mini mal
 O N INS TABILITY OF t\lTNTt\L\L FO LI AT TO:\S ' " 375

foliatio n itse lf, such th at U(s , B) - BE c-it«; /Jri U( ,r . B) > 0 if m 2: 1 such t hat
th e leaves of foliation take th e form i: = Ut» . (0 , 8) + 3). 3= consta nt.
In parti cular, when d = 2(i.e. 7Z = 1), we ha ve th at F it , .r. p) E e r(SI x 51 xIR)
(r 2: 2) a nd 0 < i) :::: Fpp(t , x,p ) accor dingly. Without loss of genera lity. we may
suppose th at 0 < b :::: Fpp(t , x , p ) i) -I , since our problem can be restrict ed to a
compac t subset of 51 x 51 X !R. The following variat iona l problem is consider ed

(4)

If IFppl + !F/pl = O(lpl)' Fx = O(p2) , then , for any given number o , th ere exists
a functi on U(t, B) such th at U(t ,B) - B has period 1 in t. B. and U(LB) is strict ly
monotone increasing in B, and such that for any B, x (t ) = U(t , a t + (3) is a solut ion
of th e Eul er equat ion
o
utFp(t , x (t ),x (t) ) = Fx(t , x (t ).i·(t )). (5)

Moreover. if U(t, B) is continuous, we get a Z2 - invarian t em-m inima l foliat ion for
some m 2: 0([11]).
In [9]. ~loser proved th at if 0 = ( U I , . .. ,o n) is given such that

L)Ovj,,+1 + j, y 2: '1(1 + j ~ -,- J! - T (6)

v= 1

holds for fixed T(O),,(o) and arbit ra ry ] = (jl,. " . j " . j ,,+J! E Z,,+I \ {O}, t hen
th e abov e Z n+l-invariant e X- minima l foliat ion x = U(.s. U8 + (3) is sta ble und er
the perturba tion of F (s , x ,p ).
In thi s pap er , we investi gat e th e converse for d = 2(i.e. n = 1). Precisely, we
show th at. for d = 2, if U does not sa tisfy (6), i.c. for any positi ve numbers -y,T
the re exist p . q E Z \ {O} such that Iqo - pi < 'N - T • th e Z2-invariant e m-minima l
foliation :1' = U(t, a t + (3) can be destroyed by a sma ll perturb at ion.
In order to prove it , we first t ra nsform th e Eul er equat ion (5) into a Hamil-
tonian syste m
x= lIy(t . :r,y)
(7)
y= Hx(t , x ,y )
by th e Legendre tra nsformation

y = Fp(t , x ,p ), H(t , x ,y) = yp - F(t . x ,p ) (8)

then 0 < {; < Fpp :::: i) -I impli es 0 < s : : lI yy :::: i) - I . becaus e FppHyy = 1 and
lI(t , z , y ) has per iod 1 in x and t. Moreover , a Z 2-invariant e m-minim al foliation
given by .r = U(t , at + (3) of (4) cor responds to an invari ant circle of th e "time-
one" map of (7) with rot ation number a( [I. 3, 5. 11]). By (8) , a perturba tion of
F(t ,x,p) corresponds to one of the Hamil tonian function lI (t , x,y ) in c r (n) . so
376 XIANH UA HUANG

in ord er to destroy a minimal foliation we only need to destroy the corre sponding
invariant circle.
Our ma in results can be stat ed as follows

Theorem A Let F (t . x ,p) E C r(fl) (1' ;::: 2) with rr(fl) = T 1 and 0 < 8 ::;
Fw(t , x ,p) ::; 8- 1 . Suppose x = U(t, at + (3) is a Z l -in variant C'<mini m al fo-
liation for some Tn ;::: O. If a does not satisfy the Diophantine cond iti on (i .e. (6)),
th en we can destroy th is m in imal fol iat ion by a small pertu rbat ion of the varia tional
problem in C 7 (fl ).

As we st ated above, the pcrtubations of a variational problem a re equiva-

lent to those of th e correspond ing Hamiltoni an system. In fact , we will prove the
following equi valent form of Theorem A instead of proving Theorem A directly.

Theorem B Let nu.«. y) E C' (T 2 X lR) with T ;::: 2 and 0 < 8 ::; liyy(t , .r, y) ::; 8- 1 .
Suppose th e "time -one " map of (5) has an inv arian t circle r " with rotation nu mbe r
Q . If o does not satisf y th e Diophantin e con diti on, th en we can des trou r " by a

sufficiently small perturbation of li(t ,x,y).

2 Composited twist maps and Peierl 's barrier

Let f : ]R2 -+ ]R2 be a C" map( T ;::: 1) a nd IT; : ]R2 -+ R i = 1.2 is a proj ection to
th e ith component. f is called a monotone twist map, if it satisfies the following

i) f(x + 1, y) = f(x , y) ;

ii) 8- 1 > t y ITrf( x , y) > 8;

iii) f is homotopic to identity;

iv) f is ar ea-preserving.
f is a mon ot one map , then we can represent f by a genera t ing function
h(x , xd E C r+I(J!e) with h(x+l , XI +1) = h(x , x d and 8::; -h x x , ::; 8- 1 • We hav e
(Xl , yr) = f( x , y) iff Y = - hx (x, XI), YI = h x , (x , xr) . We call h the first generating
function. Also we can represent f by another generating function tc(x] , V), where
w(x] ,y) E C r + I( R 2 ) and _8 -] ::; Wyy(XI 'Y) ::; -8 and W(.TI + 1,y ) = W(WI' Y)'
We have (x] ,yr) = I(x ,y) iff x = XI + Wy(XI,y) ,YI = Y + u·x,( x] .y). We call w
the second generating function.

Definition 2 If f : ]R2 -+ ]R2 is a map homotopic to identity and th ere ere monotone
twist maps I] ,.. .. !k with th e same twist direct ion such that f = Iko . . . 0 h , th en
we call I a composited twist map .
 ON II'STA BILlTY OF !vllI' I~ IAL FO LlAT IO:;S ' " 377

Now we generalize t he concept of energy in [1] to t he above compos itcd twis t

map f = !k 0 ... 0 II .
Definition 3 A configuration is a bi-itijinite scque ru:e {r, }"EZ, Suppo se Ii has the
firs t genemt ing function 11.;(:r, y) for i = 1. . . . . k . rcspcctuelu, and set ¢( {:r ,, } ) =
L ~= N ' h,,(J''' _ I, x,,). where 11." = 11.; when n = i ( mod k) . W e call </> the ener gy
fun ction of f with resp ect to h , (x ,y ), i = 1. . . .. k and S' .N . (Abb rev. the en ergy
function of f .)

Definition 4 A nummum en ergy configuration (abbrev. m.e. conjigumti on ) i.~ a

conjiquraiioti {:r,.} such that a cha nge of a finite set of atoms will n.ccessorilij
increase th e cn e7YY.. i. e.
N
I.:: h,,(:r" _1 + O"-I, X,, + 0,,) - h,,(J:,,_I ..r ,,) 2 0
n= N '

f or N' . N. {o,,} wit h N' < N, whe reas L ;~= .\" 1o" I > 0: s; = 0 f07' n < N ' or
n>N.
Clearly, if {.r,, } ban m.e , configurat ion, then there is a {y,,} give n by 11,,-]
- .)0 " "
(X'l _~
(Ln- I.L,,) , Yn = =
o?'"X n (L n-l ,L,, ) such t ha t f,,(L,, - I.Yn -Jl = (x" .y,,) , where
I.. = f ; when n = i( mod k). For l: = 1, th e m.c, configuration has been st ud ied
ex tens ively in c.g, [1, 6]. Here a more general case is considcratcd. Some results
about ru.o. configurat ions in [1] can be generalized to th e above case .
We state some res ults simila r to those in [1].

Proposition 1 Let { x ,,} and {.r;,} be two in. e. conjiquratiotis with resp ect to
hi , . .. , h b then the sequence {Xb' - .1: ~1! }( - x < n < x) has at most one n ode .
(i .e. {:r.... - .r'!,·n} changes sign only once. If {.r",,} and {Xl",, } are asymptotic at
infinity as n goes to + 00 or - 00 or both , th e point at infinity 77111s t be considered
as a uniqe no de.}

Proposition 2 Su ppos e {x n } is an m .e. configuration , th en there ex ists a a sucli

that
Xkn - :J;kn '
lim = a.
In- n'j - +oo n - n'

Proposit ion 3 For any valu e o , th ere exi s ts an m .e . configuration {x n } such that
Xkn - :r k n '
lim = n.
In-n' I- + oc n -lI '

\Ve call t he above Q the rotation number of m .c. configur ation {x,,}

Proposition 4 S uppose {:r ,,} and {.r;,} are iu:o m .e. configurations with the sam e
rotation number a.
378 XIANHUA HUANG

ii) If a = p t q a rat ional number with (p , q) = 1 and Xn+kq = X n + p , X:'+ kq =

x~ + p , then ei the r Xn > x~, or :1'n = x:, or Xn < J';, :
iii) If a = p [ q, th en eith er xn+k</ > Xn + P for' any n or Xn+kq = .rn + p for any
n or Xn+kq < Xn + P for any n .
By the above proposition, we can defin e th e rotation symb ol of m.e . config-
urations as follows
Definition 5 Suppose {.ri} is an m .e. configuration , if it has rotation number' o E
lR. \ Q , then we say that it has th e rotation symbol a : if it ha s a rational rotation
nmnber Q = p /q , th en we defin e th e rotation symbol as f ollo ws: th e rotation symbol
is p/q+ , if Xi+qk > Xi +P for any i; vt«. if Xi+qk = Xi + p; p /q- , if Xi+qk < Xi + p.
Proposition 5 Suppose r c 51 x lR. is an inv ari an t cu rve of th e com posi ied twis t
map f = !k 0 . .. 0 fl . which is not homotopic to zero in 51 x R. the n r can be
parametriz ed as r = {(x , y) : y = u( x) where u(;r + 1) = u( x )} .
The proofs of th e ahove propositions refer read ers to [1. 5]. a nd a little change
is needed in some cases.
To define Pcierl 's barrier, we need to recall the relevant definitions from [1, 6].
Define a symbol sp ace 5 = (R \Q)U(Q+)UQU (Q- ), where Q+ (Q-)
denotes the set of a ll symbols p /q+ (p /q -). Let M o be th e set of m .o, configur ation
{x n} with rot ation symbol Q of th e composite d twist map f = fn 0 f n-I o . . . 0 fl '
By Proposition 4, J\/o is totally ord ered . Define A. to be th e projection of Alo
by pr : {Xn} ---> Xo. Then A" is closed , moreov er, An is invariant under shift
x ---> x + 1. In add it ion, su ppose th at j; belongs to a complementary interval of
A o , then there exist two m .e, configurat ions {u n - } and {u n + } with th e sa me
rot ation symbol G and Un- < Un+ such that j; E (u o-, uO-r ), Ukn-' Ukn+ E A " a nd
n
(Ukn- ,Uk n+) An = 0 Vn E Z.
Definition 6 For any given rotation symbol G E (R \ Q) U (Q+ ) U Q U (Q - ) , we
define P ei erl 's barrier P" as follows :
• when x E A " , we define Pc,(x) = 0;
• when x It A " , th us th ere ex ist two m. e. cotijiquraiions { u n - } and {u n +} with
the same rotat ion symbol G su ch tha t x E {uo -, uo+) . Ukn-' Ukn+ E A " and
n
(11kn - , Ukn+) An = ¢ Vn E Z, th en we define
P,,( x) = min{LiEI hn(x i , x i+Il - h,.cUi- .Ui+I- ) : Xi E (Ui-, 1Ii+) '
Xo = x, and Xi+kq = Xi + p. if (\ = p /q},
wh ere h n = h i fo r i = 1,2 , ..'. .k when n = i( mod k) . and the index se t I is
ZifGE(R \Q)U(Q+)U(Q-) :Iis{0,1 , .. . , k q - 1} ifGEQ.
Proposition 6 For a given rotation symbol G , P,,( x) = °
fo r any .r iff f has an
invariant circle with rotati on numberQ *, wh ere n * is th e n um ber underlying Q{[6J).
Proof Refer to [6]. The det ails are omitted. o
 O N I N ST A BILI T Y OF r-.I1N I ~ I A L FO LI AT IO:"S ' " 379

3 Destru ction of invariant circles for

composited twist map s
Let ft .·.· .fk he monotone twist map s wit h t he first generat ing funct ions h I, ' " ,hk ,
respective ly, which sa tisfying {j :s -
iJ;~2iJxh i( .r . l· tl < ,,- I for i = 1. . . . . k, We
de fine t he conj unct ion of h I, ' .. , lu. by

h, * h 2 (:r , :r l ) = m i n{ h l ( ;r,~ ) + h ( ~ . .rtl }

~

t hen (h I * h 2 ) * h 3 = hI * (h'l. * h:d , so we ca n rep resent it by h , * h 2 * lt«. We define

h = h i * ... * h k ·
It ca n be proved t ha t hi for i = 1, .. . , k , a long with h , sa t isfy

HI: h (.r. x tl = h (x + L XI + 1) for a ny :I:,:r l E R a nd h E C (1R2 . 1R):

H 2: lim ~ _ x h (x , x +0 = 00 uniformly in x :

H3: T here is a posit ive fun cti on p E C( 1R 2 , lR) such th at

if .r < ~ a nd x I < ~ I:

H4: T here is a B > 0 such t hat x - ~B1:'l. - h (.r.l:tl is convex for any Xl and
1' 1 -> !Bxi -
h (x , xtl is convex for any 1' .

Also, by t he definit ion of conj unctiou and its prop ert ies, we can prove that

i) If {.r'.}" Ez is a n m.c, configurat ion of hI . · · . . h i: t he n {Xk"} ,,EZ is a n m .o.

configuration of h ;

ii) If {11" }"EZ is an m .c, configurat ion of h . t hen there is an m .c, configuration
{:r" }"EZ of h I , ' " , h k such t hat u" = {:rlm } "In E Z :

iii) Po (1') = Fo (:r ), where F,,(:r ) is t he Peierl's bar rier wit h resp ect to h .

Because h sat isfies (HI) t hrough (H4). so [7. Theorem 2.21 holds. We can sta te

T heo re m 3.1 S uppose h l , .... h k satisf y (Hi) th rough (H4), th en th ere is a real
posit ive number c > 0 suc h th at , if p/q is a rat ion al n um ber' an d w is a rota tion
:s
sy m bol. IPp / '1-'- - PAx)1 cBJw ' q - pi in th e case u: ::::: p/q + ; IPp / (/ - - Pw(x )! :s
:s
clJlw" q - pi in the case w p/ q- . here 0.1' is the Ill/m ba underujiru; w ({7J).

:'\ext. II'e st n u - t he mai n t heor em in thi s sect ion. which shows how to de-
st roy t he invariaut circle for compos ite d maps. In fact. it is a genera lizat ion of [7,
Theorem 2.1].
380 XI A NH UA H UA NG

Set D C = {:.,.. : u: satisfies th e Diophant ine condit ion }. i.o. i.4,' E D C iff there
arc c, N > 0 such t hat Iq:.! - p i > cq- N for all p, q E Z \ {O} . An irr atio nal number
w, which docs not satisfy th e Diophan tine cond it ion. is called a Li ouville number,
i.e. for any c, N > 0 th ere arc p , q E Z \ {O} such t ha t [q:.! - p i < cq-N.

T heorem 3.2 Suppo se (1 E lR \ D C , and IE C r(r ~ 1) is a com posi ted twi st map
wit h I = /k 0 . . . 0 !J. where II , ... /k E C " are m onot one twis t ma ps, th en th ere
is a f1 E C" , whi ch is arbitra riLy close to ], wi th res pect to C" top oLogy sucli that
th ere is n o hom ot opically non-tri tnal v- in variant ci rcle with rot at ion nu m ber (} f or
s r h: >... oho n·

Proof Let 0 E Re D C . We want to show tha t for a posit ive r . h i E C " a nd

any E > 0, th ere is a h l E C with Ilhl - hdler < E and hi(i = 2.. ... k ) rema ins
n
t he sa me , such t hat t he Pcicrl 's bar rier P,,(x ) for 9 = /k 0 . . . a does not van ish
identically.
Not e t hat hI, .. . . h k sa t isfy (H I ) through (H4), so does h.
For given 0, we choose p/q close to 0 with p /q < 0 , th en we choose an rn .c.
configur a tion {u;} of h , . . .. ,h k with rotation sy mbo l p /q . and Ui + 'l k = Ui +p. Also,
we choose a complementary interv al J of length ~ 1/-1 to th e set { II,k· + j : i, j E Z }.
Let 8(x ) E CX(IR.R) such th at

i) Supp (8) = UP + i : i E Z} ;
ii) 8(x) = u(x ):

iii) 8(x) is less t han ~ E in Cr -nor m;

iv) 8(x) ~ c.e t q" for x E J\ , where J 1 is t he middle third of J and c, is a

constant depend ing on r only.

Let hI (x ,x' ) = hI (x, :1" ) + 8(x ), then t he Peierl's barrier ?p / q associated with
h = hI * h 2 * ... * h k satis fies Ppj q(x ) = p p/q(x ) + 8(x) for x E J , where Ppjq(x ) is
t he Peierl 's bar rier associated with li = h , * .. . * hk . By performing t his pro cedure,
we ca n actually dest roy an invariant circle wit h rotat ion num ber p/q for any p /I/.
Let h = hI * h 2 * ... * hk. Set {[ (x , x l ) = h (x , ~ d * ... * jl (~i - l '~;) * .. . *
h (~q_l , XI - p) + const. Since {Uk.. } is an m.c. configuration of rot ation symbol
p /q of h, it a b o is one for h. t hen {11 k"} " EZ is a n m.e. configura t ion of rotation
symbol 0 for H (x , x' ). With out loss of gener ality, we may choose th e const ant such
that H (Uk .., 11k,,) = o. By t he choice of 8(x) , t here is an m.e. configur at ion {vd
with rotation symbo l 0+ for H such th at Vi - . J ± (the ends of th e int er val J ) as
i -.. ±oo.
In ord er to obta in a suitable perturbation of hI, we perform as follows.
By [6], th ere is a ()' > 0 such that
 O N I NSTABILITY OF MI NI ~IAL FOLIATIO:--:S . . . 381

for nny i , th erefore, eit her IVi+ l- vi l or IVi- v,- tI is great er than cr f/ (20'r/) for any
i . hence max !r i+l - vil 2: crE/ (20'({ ). Cho ose i such that !vi+ l- vi l2: c rf/ (20'ljr ),
ami denot e th e int er val [Vi. Vi + d by / .
Let S E C:XO (JR, JR ) sa t isfy

i) Supp(3 ) c U{I + i : i E Z} ;

ii) (3(:r + 1) = /3(x );

iii) (3(x) is less th an ~E in C r-norm;

We define hi (x , x' ) = hi (x , x' ) + (3(x), and h i (.!'. z ' ), i = 2, ... , k remain

the same. for i = 2, . . . , k , Let pp/'l (x ) be th e Pcierls harrier associated with
9 = hi 0 h2 0 .. . 0 hi.:. Then , we have pp/q(x) = pp/q(1') + ,6 (x ). And if :r E { x :
iJ(x) 2: C r E(Cr E/ (20' qr ))"} , t hen

Hence by th e abo ve procedure we have destro yed th e invariant circle with rot at ion
number pi q. Further , for n E JR \ (DC U Q), we can choose pi Ij close to 0 eno ugh
:s
so th at crO/loq - pi c~+ I Er+ l q -r2 (20') -". Suppose Q > rt« . we can perform th e
procedure as before, getting f1 = fl such th at Ilfi - f tl lc ' < E with

Hence, ?a (x ) 2: pp / q + - cO' lo q - pi 2: c~ + IEr+ l q - r2 ( 20, ) -r - cO/ ln q - pi > O.

For th e case plq < 0 , we can give th e proof similarly. So we ca n destroy th e
invari ant circles with rot ation number 0 E IR. \ (D CUQ). 0

Theorem 3.3 Suppose Q E JR \ DC , and f E Cr (r 2: 1) is a composited twist map ,

then there is a /' E C" , which is arbit rarily close to I with respect to C" topology
such that there is no hom otopically non-tr i vial I' -in variant circle with rotation
/Lumber o ,

Proof By th e assumpt ion, t herc are monotone twist maps It, ... !k su ch th at I =
h,0 . .. 0 ft . By Theorem 3.2, we can choose Ii arbitrarily close to II with resp ect

to C "-topology such that /' = !k o . . . 0 h 0 f1 has no homotopically non-trivial 1'-

invari ant circle with rot ation number Q. By th e properties of compos itcd function s,
/' can be arb itr aril y close to I with resp ect to c r-t opology. 0
382 XI A NH U A H UA NG

4 Proofs of the main theorems

In t his sec t ion, we give th e proof of T heorem B by a pplyin g Theorem 3.2.
Let H (t, x , y ) E c rtt» x JR ), Hyy > O. Co nsider th e differ enti al equat ion

x= Hy(t, :z:, ,II),

(9)
iJ = Hx(t , :z:, y ).

Denote x = d>(Uo. XO , yo), y = l!J(t'/o,:l:u, yu) is the solut ion of (9) taking t he
init ial condit ion: t = to, x = Xo, ,II = Yo . Suppose r is an invar iant circle of map 3 ' =
<;& (1, 0, Xo ,Yo), ,II = v( 1. 0, Xo,Yo) with rotation number D, th en r ca n be represented
by {(x , y(x ))} , where y(x ) is cont inuous and of period 1.
By th e hyp othese about H (t, x , y ), for N large enough, (I . y ) ~ (¢ (iI N, (i -
1)1N, x , ,II ), l!J (il N , (i - 1)I N , x , ,II )) , i = 1, 2, . .. , N are monot one twist ma ps with
variab le boundaries. Suppose t hat t hey ar e well defined on t he bou nded annulus
Ai == (( x , y) : x E JR, y E [ai,bi]},i = 1, . .. , N, respect ively. Wl thout loss of
genera lity, we ca n choose Ai, i = 1, .. . , N such that /; (A ;) C .4. i + 1 and Ai C
Ai+! for i = 1,. .. . N and, of course, r eAl , where f i(X. y ) = (¢(i IN , (i -
1)IN ,I,y), 1/;(iIN , (i - 1)I N , x , y )). For convenience, we ex tend f ,(x , y ) : Ai -->
Ai + l to Ji(X, ,II) : ]R2 --> JR2 for i = 1, . . . , N , resp ect ively, such th at Ji(X. ,II ) is a
Ii
monotone twist map and Ji IA . = I i for i = I , .. . , N . \\'e still denot e by /; . Not e
t hat we may set UI = - n, br = 11 for sufficient ly large n > O.
Let hi(x, x ' ) be th e genera ti ng fun ct ion of I i for i = 1. . . . . S . respecti vely,
then each hi sa tisfies (HI) through (H4).
Since 1.'\ 0 . . . 0 I, o . . . 0 1 1 has an inva riant circle wit h rot ati on numb er D . by
using Theorem 3.2. we ca n cho ose 11 wit h t he ge nera ti ng fun ct ion hi . which is close
to II enough in C r-norm such t hat 9 = 1,-: 0. . .0 /;0 . . . oh off has no invari an t circle
with rotation num ber D . An d I i can be chosen such t hat hJ(x . x' ) - h d x , x ' ) ==
v(x ).
Let 1](t ) : JR --> [0.1] be a C OO-funct ion sa tisfying 7](t) = 0 for t E [0 ,1 /( 3N )]
an d T/(t ) = 1 for t E [2 /( 3N ),I / NI . and 1](t + 1) = T/ (t ). Here by t he choice of
v(x) , we may assume th a t 7/(t )V(X) is sma ll enough in Cr-no rm. Let hl (t , x , x ' ) be
the first generating fun cti on of (<p, 1/;)(t , 0, x , ,II) for t E [0, l i N I. t hen h I (t, x, x') +
7](t )v(x ) also is a generat ing funct ion for some monotone twist map s. \Ve denote
t he new first genera t ing fun ct ion by hJ(t , x , x ') .
We t ransform h i (t , x , x') into t he second generat ing fun cti on J..ly + W I (t, x', ,II)
for t E (0, l l N I, where. for fixed t, x = x' + /yw (t , x', ,II). ,II' = ,11+ &~. a 'i (t, x' , ,II). Let
HI (t , X',y' ) = - -fta'l (t , x' , y ) for t E [0, l i N ]. If x = x (t, x o. yo). y = y(t , x o, yo)
is the solution of equat ion x = Hl y(t , x ,y), iJ = -H1 x(t , x , y) sa t isfying the initial
cond it ion t = 0, x = J.·o. ,II = Yo, then (x (l l N , Xo ,Yo), y(I IN , x o_Yo)) = I j( x o,Yo).
Now we perturb H(t , x , ,II) for (x , ,II) E Al as follows

H (t , x , ,II) = { HI (t, x , ,II) if t E [0, l i N] :

H(t, x , y ) if t E (l i N , 1].
 ON I N ST A BI L ITY OF ~dI:\I~ IAL FOLIAT IO:\ S . .. 383

an d ext end FI( t,x, y) per iodi cally in t. Further , we pertur b t he Hamil toni an func-
tion globally. Note that Al may he S I x [-n , n] for an n large enough an d A2 may
be close to AI, let us choose ~ (y) E CX (lR.R.) wit h ~ (y) = 1 for lui ::; ~n an d
~ (V) = () for Ivi ~ n . we define -

fI(t ,x,v) = iI(t ,x ,v)~ (y) + H(t ,x,y)(l - ~(V) )

Then. for the new Hamilton ian k«. z , V), there is no invarian t circle wit h rotat ion
num ber Q . T his mea ns that for suit able Al and A 2 . n. .Y, ~ ( v) , H (t.:r , v ) is close
to H i t:», y) in C r- norm. T hus we have completed t he proof of T heorem B. 0

Acknowledgments. T he aut hor would like to express his gratit ude to t he referee
for valuab le suggestions which helped to improve the for mulat ion .

References
[I] S . A C[lRY . P .Y . LA DAERON , T he discret e Fren kel-Kontorova mo de l and its exte n-
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Math . Helv. 62 (19S7) 5 11-53 1.
[3] X. Hu.vxc, Co mposit ion of twi st maps a nd its application to x + f(x , t) = 0 , Ann.
of Dilf. Eqs. 8 (1) (1992) 2.5-32.
[4] X. Hli.\NC , A rema rk on fixed po int s and Mo rse deco mposit ion of twi st map s,
Math ematical Biquarterlu, J. Nanjiny University. Vo1.9. :\0. 2 (1992) 216-22 1.
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Progress in Nonlinear Differential Equations
and Th eir Appli cation s, Vol. 19
© 1996 Birkh auser Verlag Basel/Switzerl and

Local and Global Existence of Multipl e Waves

Near Formal Approximations
Xiao-Biao Lin'

Keywords: singular perturbati on , asy mptot ic expans ion. react ion-diffusion system,
intern al layers, spa tial shadowing lemm a

Introduction
T he form at ion of mul t iple wave fronts is important in applicat ions of singularly
perturbed parabolic sys te ms. These solut ions can be effect ively const ruc ted by
formal asy mptot ic methods. Wh en truncat ed to a certa in order in E, th ey become
form al ap proximati ons of solut ions to th e given syste m. The precision of a form al
approximat ion is judged by t he sma llness of th e residual error in each regular an d
singular layer and th e jump error be tween adjace nt layers.
Th e purpose of thi s pa per is t o introduce Spatia l Sha dowing Lenu tias th at
help to const ruct exact solutions ncar t he form al approxi mations. T he Sha dow-
ing Lem ma was first develop ed for discret e mappings in R" , see [81. It has been
exte nded to continuous flows governe d by ODEs [11], and scmillows governe d by
abst ract par aboli c equat ions [2]. We will call th ese Temporal Shadowing Lemmas
since th e dyn ami cal sys te ms conside red t here evolve in time .
Th e Tem poral Shadowi ng Lem ma has been used to const ruct exact solut ions
for singularly perturbed ODEs [11]. However , it cannot be applied d irect ly to
singularly perturbed parabolic equations. For form al ap proxima t ions of multipl e
waves, th e jumps bet ween adjacent layers arc function s of t and th ey occur along
th e z-dircctio n, Since par ab olic equa t ions cannot be solved in th e z- d irect ion,
ther efore . t hey do not define a dyn ami cal system in the spat ia l direct ion.
To solve th is problem, we use a n idea moti vat ed by t he works of Kir chassnor
a nd Rcnard y [10, 15]. We find stable a nd unstable sub spaces of th e t race space
so th at th e parabolic system ca n be solved forwar d a nd backwa rd in th e spatial
dir ect ion . Thus th e jumps alon g th e lat eral common bound aries can be cor rected
using th e techn ique of th e usu al Sh ado wing Lemma in abstract spaces .

• Depart ment of Mat hema ti cs, Nort h Carolina State University, Raleigh , Nort h Carolina
27695-8205, l'SA, ema il xblin@xb ls un .mat h.ncsu .ed u, Resear ch pa rti ally su pported by NSF
grant D ~ l S 900280 3 a nd [) ~IS9 205 535
386 XIAO-BIAO LI K

This paper is divid ed into two parts. In the Part 1. we show that for a general
parabolic system, if a formal approximation is preci se enough. t hen there is a n
exa ct solution ncar the formal approximation for a t least a short t ime. The result
obtained here applies to various system s including reaction-diffusion eq ua t ions .
Cahn-Hilliard equat ions [11, and viscous profile of conservat ion I<1\\ 'S . In P art II,
we show that with add it iona l restrictions, the proc ess in Part I ca n be rep eated
to obtain globa l solut ions if the form al ap proximat ion is a global one. Ex amples
include reaction-diffusion equations and phase field equa tions [7].

Part 1. Local Existence of Multiple Waves

1. Consider a general singularly perturbed parabolic.system ,

where f is ex with bounded derivatives in a ll th e variables. Assume th at the

system has regul ar and internal layers located alternatively along th e x axis. For
simplicity, we solve th e system for J : E JR, with no boundary cond itions other than
u E H 2m,l . Assume th at there are cur ves r- = {( x, t) : x = J.i(t ). t E [0, b.t)}, i E
Z , that divide the dom ain x E JR, t E [0, b.t ] into regular or singular layers ~i, ea ch
is between r-- I and r- .
Assume that a formal approximat ion is given, piecewise cont inuous, with
lL = l{,i(J:, t , f ) in L' . Using th e stretched vari abl es ~ = X/E. T = t f e, let wi ( ~ , T, f) =
w i ( f~ ,fT, f) which dep ends slowly on To Assume that ui' E H 2m.1 (I:/ ). Let !j,' i =
r.
(w i , D~w i , . .. , Di '" -1 T he error terms in the followings are -g' a nd - s,
w~ + (- I )''' D~ '''wi - f( wi, · · · , f~ , f) = _g i, in L ' . (2)

(3)
Let an exact solut ion be ll i + ui ' in ~i . Let U i = (u i ,D~lL i . .. . , D i m- 1ui r .
Let T El = [0, tlT] where b.T is independent of f. The domain [0. -.'l. corresponds ,J
to a short time interval [0, f tlT] in the t vari able. Assume th at f is sma ll so that a
near identity chang e of coord ina tes in ~i can be used to straighte n t he boundari es
ri- Iand rioIn the following , we assume that ~i = x' ] « is independent of T , but
may de pend on E, ni = (~i-I ,~ i) , and ~i = ni x I . With th e new coordinates
introduced above, linearizing (1) around w' at the fixed t ime T = O. we have
2m -1

u~ + (-I )"'Df IllUi - L: Aj(~)D iu i = N i(u i. gi . f ). in ~i , (4)

j =1

[' i(~ i ,T) _ U i +I(~ i ,T) = /)i (T), at rio (5)

ui((O) = uo(O, in n,
i
(6)
 L OCAL AN D GLOUA L EX ISTE NCE OF ~ 1t"LTlP LE WAV ES 387

Hen' Aj (~) = Dj f (ID ' ( ~ . O , f ) .DE; w ' ( ~ ,O . f ) . · · · ) is the parti al deriv ati ve of f wit h
resp ect to t he j -t h va riab le. u I) E H "' (Oi). N' depends slowly on T and 1/V'If.2 I1: ')
= O(lu' li l' ''' ' (I:' ) + Ii/ II:< + kLlTII' / 11I2"" ' i1:' »)'
We look for a sequence of solut ions {ui}:""x wit h u' E [{2m , I ('£ / ) . Let H k(i )
be th e usual Sobo lev space and let Hk (i ) be th e comple tio n of C X funct ions .
which are zero in a neighb orhood of T = O. in th e H k norm . Define the product
spaces

B m(J) = n2m - 1 [-[1 -

k =O
2~ .: 1 (/) • 1 2,1.: + 1
BIII( J) = n 2", -IH - -:r;;;-(/ ).
o 1' = 1) 0

From t he Trace T heo rem , [14], th e mapping

is cont inuo us wit h

IU' (( ' )!n m(J) :::: Clu'11l2 '''' (I:' )'
T herefo re. fJi E Bm (J) in (3) a nd (5). Let u(i = (ui,'" . Dt - 1 UI))7. Let '/[j be t he
proje ction to t he first j -t uplcs in th e product space n] ~\ ?" Il , i.c., '/[j(U I .··· , U2 m ) =
(u 1 , . . . . u)) . A com pati bility con di t ion is also assumed on th e initial data and t he
jumps,
(7)
Not ice t hat only t he first m comp onents of fJi have well defined t ra ces at T = O.
We now discu ss the meth od of solving (4)- (6) wit h t he com pa tibility (7) in
Sectio ns 2-5 .
2. Co nsider
lI T + (-I ) 1TlD~ m u =O , ~ E lR. TE iR+ ,

with u (~.O ) O. Ap plyin g th e Lapl ace tran sform . we have t he so ca lled dual
system .

~ )-
0 I 0
- -
UE; = J (s )U =
0 o I
U. (8)
( (-l) "' t 1 s o 0 o
The matrix J (s ) has 2m eigenva lues A = [( _l) 1Tl + l s] 2;" .
Consider a secto r in C

SoUl) = {s: lsi;::: M, la r g (s )1 :::: If} . M > O. '/[/2 < If < IT .

When s E 5 0 (111) , the eigenva lues A are in 2m disjoint sectors of C , wit h IReAI ;:::
cos( ':_,-Tn0 ) 2mV1fSI.
\"' 1 Ther e arc Tn eigenvalu es wit h positive real parts and m wit h neg-
at ive real parts . Each eigenva lue has an n-d imension al eigenspace spanned by
(u. AU, " . . A2"' - l u)' , U E lR n .
:188 XIAO-BIAO LI N

Let Em ,v(s) be the Banach space of poin ts in ]R2mn with an s-dcpc ndc nt
norm,
2m - 1
[(UU,ILI , " ' , 112m - d IE"',V (s) = L (1 + Islv+ 2'!;; ) 11l2m_ I _ I:<n.
J
j =O

\\'e actually will only use v = or ° 'I:"

in thi s pap er. Let p, and P" be the
projections in 1R2m" to t he st abl e a nd unst abl e sp aces of J (s), s E So(II!) . The
proje ction s arc of ra nk m n and can be constructed using eigenva lues and cigcn-
vecto rs. Using th e Ern.u(s ) norm, we ca n show t ha t there exist K . 0\. Cl > 0, such
that

Ic ./(sJ€ P si pnv ( s ) ::; ]( e - O, 2'\!N€ < ](c - o (1+ 2'\!Nl€ ,

(9)
Ic./(s)( P" IE"'"V I,' ) < ](CO, 2'\!N€ ::; K e0 (1 + 2'\!N) €,

3. Conside r
2m- l
1Ir+(- 1)m D~m u - L Aj ( OD~ IL=O , ~E[~i-1, ~' l. (10)
j =1

with IL(~, 0) = O. Using th e Laplace transfor m, we have a du al sys te m,

U€ = J (s )U + (_ 1)'" ( 0 ° (11)
Ao(~) Ai(~ )

Let T'(~ ,( ,s ) he th e solut ion matri x for syst em (11). Syst em (11 ) is sa id to have
a n expo nent ial d ichot omy in E ""V(s ) for ~ E [~ i - I ,~iJ, S E So(M) if t here exist
proj ections P~(~ ,s) + P,: ( ~, s) = 1 in Em .v(s ), co ntinuous in ~ and ana lytic in s ,
and positive constants K . D , such that

ITi(~ , ( , s )P; ((, s)IE",.V(5 ) ::; ](e - o ( l + 2'\!NJI€-( I,

IT'(C ( , s) P,: «,s )I£"" v(8J ::; K e-o (l + 2'\!N)I€- CI,

Suppose that sUP€E[a.bj.O:"=k9m- 1 IAk(O I ::; C . From the Roughn ess of Ex po-
nential Dichotomy T heorem , [3], which is also valid in the Banach space E m,v(s ),
we find that t here exists .11 = M (C) > 0, sufficiently large, such that (11) has an
exponent ial d ichot omy in E""V(s) for ~ E [~ i - I , ~ i ] and s E Sol A!) . On the ot her
hand, if M is fixed , then th ere exists C = C(M ) > 0, sufficient ly sma ll, such t hat
the sa me conclusion hold s.
A fun ction f (s) is in t he Hardy-Leb esgue class 1i (r ), , E JR, if
(i) f(s ) is an alytic in Re(s) > , ;
(ii) {SUP(7 ) -y(J~oc 1f(11 + iwW dw)} 1/2 < 00.
1i (r) is a Ban ach spac e with th e norm defined by t he left side of (ii). Based on the
P aley-Wiener Theorem. [16], if e--ytf (t) E L 2 (JR+), th en j (s ) E 1i h ), vice versa.
 LOCAL Al'iD G LO BAL EX ISTE:"CE OF :\ICLTIP LE \\TAVES 38U

For l: 2: °a nd, E R. define a Ba nach space

H k(-y ) = {u(s ) Ju(s) and (8 - -I)ku(s ) E H(-y)},
luIH'h) = lulHh) + 1(8 _ ,) k U!HhJ '

For any -, E if?. k 2: 0, t here exists C = C(-y, k) such t hat

T herefore an equi valent norm for H k (-I) is

It can be shown th at if e - -11f(l) E Ht"Cri?+ ). th en ](8 ) E H ' (-y).

We often usc Bana ch spaces of functio ns with norm s weight ed by e /":", For
example Bi!' (R+ , , ) = {1> : e-V¢ (T) E B[;' (!R +)} w it h obvious norms. Other
spaces like L 2 (IFt X IFt+ , I ), etc. can be defined similarlv.
t-l 1 2 /..' +1 . .
Let !C"' (-y) = rr i: ~ o H - -:rm(-y ). From th e dofinit ion of B{j'( IFt +.:) . we s('e
<)

that
1> E B(j'( JR+ . ,) ¢'>,; E !C"'(-, )
Suppo se now the system (11) has an exponenti al dichoto my in Em .:&, (s ) for
~ E W- 1C] an d Res> ,. An equivalent nor m for !C"' (-. ) is

Based on th is, one can show t hat (11) a lso has a n exponent ial dichoto my in !C"'(-y)
for ~ E [~ ' -1 . ~'] . T he definit ion for exponent ial dichot omies in a Banach space like
!C"'(-y) is standard, a nd can be foun d in [9]. Using th e definit ions of th e function
spaces and expo nent ial dic hotomies. it is not har d to show t he following. (See [13]
for t he case III = L )

Lemma 1 For Ilny 1> E B[; ' (JR + . ,). conside r

III = irl .c -l(r(~ ,~ i -l; S)p;(~ i - l .s ) 6(8 ) ). ~ 2: ( - I,

112 = irl .c - l(Ti(~ ,C :8) P,~(~ i.s )O (8) ) . ~::; ~ i .

[f SUP~ E [': ' - '.': ' I . O S k 9 m - l I Ad O I < 00 . then ll j E H2 "'1 ([~ i -l . C ] x jR+ ,,). j
L 2 and is II soilltion to (i 0) wit h u; ( ~ , 0) = O. Moreo /'t'!"

4. A sequence of func tio ns r EF' , i E Z. where F' is a Ban ach spac e. will be
denoted b~' {F} . Define t he norm 1 {ji}IF' = sllPi{ IF IF' }'
390 X IAO -B IAO L IN

Cons ider a linear syst em ,

2m - l
u~ + (- 1)"' DZ"' ui - L Aj (OD~U i = hi (t;,T ). in ~ i . (12)
j =1

wit h j ump cond itions (5). initial cond it ions (6) and compati bilities (7). Assume
th at th e coefficients A j (0 ar c exte nded to ( E IE. by constan ts outs ide ni . After
t he exte nsion . ass ume th at t he associated hom ogeneous du al system (11) has ex-
ponent ial dichot om ies in £ "" V(s), 1/ = 0, 114m , for ( E iR a nd Re(s ) > 'Y. Assume
t hat !/ E L2 ( ~ i, 'y). fJi E B "' (IR + , 'Y ) and ub E H "' (n i ). In t his sec tion ~ ; = ni x I
with J = IR+ . Assum e

We look for solutions u' E H 2 ", , 1 ( ~ i) , i E Z .

By a st andard method, we can continuously extend h ' and "l, to ( E IE. so
that
11/1 £2 (1'.x :.-) S; CWIJ.2(Ei), l/ b IEIi "' (:R ) S; C1u!,IH'''(o'I'
\Ve first solve (12) in the domai n IE. x IE.+ , wit h an initial cond ition ub but
no jump cond itions. Denote t he solut ion by fL i . From the exist ence of exponent ia l
dichot omy in £ ""O(s). for Re(s ) > 'Y . we ca n prove that (12) defines a sectoria l
operator Ai in L2 (IR ). Moreover ,

\
1A -
A i 1- 1 <
L2 (JR ) -
C
1+ 1
.\1' R \
eA > (.

The pro of of t he case III = 1 can be found in [13]. T he general case can be proved
similarly. It is th an easy to sec th a t ii i ca n be solved by th e analyt ic scmigroup
eA ' T and t he var iat ion of constant formula . We have

IfL i l liz",.,( :<x?-,"}) S; C(l h i lL2 ( R X !R+ ."}) + IUol li "') '
Let Oi = (f/. D( ui . .. . , D~ m-l fLir , a nd 3i = Oi(e .· ) - Cd 1 (t;' . .). Then

Let the solut ion to (12). (5)-( 7) be It i = iii + vi. T he function (" sa tisfies (12 )
wit h hi = 0 a nd vi(( .O) = O. Let I, i = fJi - 3i . T hen Il E Bu" (IE.- . ',). Let V i =
r.
(vi , D( Vi , . .. , Dt'" -1 t' ; Then t he d ua l systems for V I arc

o o
V/ =J(S)~"+(-1)m ( 0 (13)
A o(() A I (O A 2m- 1(O

(14)
 L OC AL AND GLOll AL E XI ST ENCE OF ~ IC LT I PLE W AVES 391

We want to solve (13) and (14) wit h i}' E K"' h ).

IrY!K:"' (-rl ::; C( WILJ '''(R+,-tl + I{h '} !u p:;'.')) + l{ ui)}lu "' )·
For t wo subs paccs ,U (1) N = ]R2"' '' , denote by P (.\!. N) the proj ection wit h
t he ra nge and kernel being M a nd N resp ecti vely. Assume th at at eac h ~' . we have

Here R stands for t he range of an ope rat or. and P~ an d P: +1 ar c projection s

associat ed to t he ex po ne nt ial dichotomies in 0.' and fy ,-I resp ecti vely. Assume
t hat the norms of t he projectio ns associated with t he above splitting ar e uniformly
bounded wit h resp ect to i E Z, Res > ~I in th e E",,v (8) norm. Noti ce that th e
ass u mpt ion is valid if we choose "I > 0 t o be sufficien t ly large. d ue to t he Rou ghn ess
of E xpo ne ntial Dichotomies again .
\Ye now solve (1:)), ( 14) by a n it eration method t hat is used to prove th e
Tem poral Sh adowing Lem m a, [11]. As a first a pproxi mat ion , let.

9~ ( ~ i, 8 ) = P (RP,: (~' , 8),RP: + I ( ~ i . 8) ) i/ ( s ) .

6~(e - I ,8) = - P (R P: ( ~ i - I , s ) , RP,:-I (~ ' - I . S)),y- I (8),
9i( ~ .8) = Ti (~ , ~i -I , s ) ¢~ ( ~ i-1. s) + T( ~ .~ ' .S ) ¢:, ( ~,S) .

From Lemma 1, 7l' lL: -l( ¢i (~ , s ) ) E H 2m.I (0.i X lR+' ~I ) and is a solut ion for (12),
wit h hi == O. However , at ~" t he j ump is not exac tly i( Let rj/ (~ i . .) _ <l> i+ 1(~i,.) ==
iJ ' -rli · Then
iJ i (s) == T i + 1 (~" ~ i+l , s)if.>:,+1(~ " 8) - T i( c . ~ ' - I . s)9~(~i - l, s) .
l{ iJi} k ",(')) < Ce-Od l{ rnk"' (-rl '
Her e II = inf{~ i +l _ ~i } . The a bove pr ocess can be rep eat ed with {Ii i} re place d by
{riD. and th e seco nd a pp roximation denot ed by { oJ}. By iteration, we ca n ha ve
a seq uence {llj} . j ;:: 1 and a seq uence of a pprox imat ions {dJj} . Suppose now th e
constant C 1 = C e- n d < I , then t he convergent series
cc
,pi = q/ + L O}
j =1

is t he desired solut ion t o (13) and (14) . 7l' 1£:-1 «pi) is an exact solut ion for vi. The
uniquen ess of { vi} can be pr oved by t he ex po ne nt ial dichotomy argume nt and will
bo skipped her e. Obser ve th at by the Paley-Wi ener Theorem ,

l/i (T ) = 0 for T ::; ~T. i E Z . :;, lIi (~. T) =0 for T ::; ~ T. i E Z. (15)

This fact will be used in t he nex t secti on .

Finally. th e solut ion t o t he sys te m (12) . (5)- (7).u' == Tt i + c', sat isfies
302 XI AO-BI AO LI :'l

5. The nonl inear sys rcm (4) -(7) ca n be solved by using the result of 1-1 on t he linear
system a nd a cont rac t ion mappi ng in a suitable Ba nach spare. T he following Local
Spatial S ha dowi ng Lem m a is th e main result of Part 1.

Th eorem 2 A ssum e that f is C> with bounded deri vat ives uiith resp ect to all th e
varia bles , {wi } is a f orm al approximatio n with I{Il,i}IH2 "'.' n:' ) < 00 . Let I =
[0. 6. T]. A ss um e that e > 0 is s ma ll so th at a nea r iden ti ty chan ge of coordina tes
mn be m ade in [O,f ~ Tl as in §1. Let d = i nfi { ~i + l - ~i} > O. Then there exist
f30. eo > 0 and a positire li near [u nction /1* ((J). 0 < /3 ::; [30' If 0 < e < eo, and

then th ere is a uni que solutio n {It'} to (4) -(7), with 1{1/ }I/f2"" ' (l:' j ::; fJ . M oreover,

Proof Let hi E L 2(L i ) . i E /Z. Sincc v > 0 , it is easy to extend th e domain s of ('/
a nd h i to T E IR + . so th at

Consider the associated linear syst em (12) . From th e assump t ions, it is clea r
that su p, i k IAUOI < 00 . Assu me t hat t he coefficients have been extended to
~ E IR by' ~~nst ants . t hen from §-I, t here exists st; > 0 such t ha t if M 2: M o t hen
(12) has a n exponen ti al dichotomy in Em v ( .~ ) . v = O. ~ :ll for ~ E R a nd s E S /} (J\ I) .
T his a lso implies t ha t (12) has an expo nential dichotomy in K"' (r) for 'Y = M ,
of which t he exponentia l decay rat e is ii = u ( l + 2'y }7) . By choos ing larger M .
we have C 1 = C c-" d ::; 0.5. where C 1 is as in §-I. T he result in 1-1 concern ing t he
syst em ( 12) . (5) -( 7) is now valid . Let t he unique solut ion be de note d by

Rest rict ing t he solut ion to t he finite interval I = [O . ~ T I . in the unweigh tcd
norm, using (16). we have,

I{lLi }IH2...., (~ .) ::; Ce1~ T I { lt i } I H 2 "' . , (f! . x :<. _ ...tl

i
::; Ce1 ~T(I{ u~ } I H ...(n.) + 1{1t' }IU (l:' ) + l{t } I8'''( f))'

Let t he solut ion in that fini te time inte rval I be denoted by

{lt i } = F/ ({Il o}. {6i } , W })·

Consider Q(3 ) = {{lLi } : Hi E H 2rn ,I (y:,i ), 1{lti } IH2"" ::; J }. Let 1{lLb }III"'(f!'
+ 1{6i } IB"' (l ) + l{g'} IU (l:i) =
It. For { Ili } E Q(f3 ). we have

INi (II' . gi, e)IL2(l: ' ) ::; Igi lL> + C(llL i l2 + e6.TI1/ IJ
::; C(d 2 + e6.Tt3 + Il ).
 L OCAL A ND GLOBAL EXI ST E:\ C E OF l\I CLT lPLE W AVES 39~

Consider th e mapping

{lID = FI({ UO}. {8' }. {N '(Il ' , g' . E)} ).

\\'e have
l{ uD IH2"' 1(E' ) ::; C( li + ,132 + fL:.T3).
Let {3 be small such that C.B2 < ~ /i . Let Ii and EO be sma ll, depending on (3, such
th at C i ! < !3 and C EL:.T < ! . Then F1 maps QCB) int o itself. On e ca n also verify
th a t if (3 is sma ll, th en F l is a contra ct ion mapping. Therefore, th ere exists (30 > 0
such th at Fl : QCB) -; Q( 3) has a unique fixed point { Il' }.
Fin ally, th e solut ion {u i } docs not depend on t he meth od of exte nding t he
dom ain of {8i } , {gil to T E JR.+. This can be verified by using (15). 0

Remark, In man y for ma l const ruct ions. d = in f{~ i + j - ~ i } -; oc as f - ; O. Then

t he condit ion C j = Ce - i i d ::; 0.5 is valid if E is small. \\'e do not need to choose
lar ge ~I = ;\[ to make ii lar ge.

1 Part II. Global Existence of Mult iple Waves

6. The multipl e wave solut ions const ruc ted in Part I exist only for a short tim e
t E [0, L:. t]. !::"t = EL:.T. If {u'} is not too large, using th e output of t he previous
inter val as th e input of t he next time inter val. th e process ca n be rep eat ed to
obtain solut ions in [j L:. t , (j + 1)L:.t], j = 1. 2, · · · recursively. It is shown, in [nl .
th a; if a formal ap proxima t ion is defined for t E rr:t +s , under certain cond it ions, it
is possible to obtain global solut ions for t E R+. In th e second part of thi s pap er.
we summarize th e res ults in [1:31.
Although t he method should work for some higher ord er parabolic syste ms,
such as th e phase field equa tions, [7], to simplify t he matt er. we will consider a
second order syste m,

Wi = 2
E Uu + f (U , X, E). X E JR., t ~ O. (17)

Assum ing by the method of matched expa nsions . we have th e formal series
for th e wave front s,
r/(t , E) = L">J1)5(1 ), e E Z.
a
and form al series solut ions in t he i -th regul ar and singular layers,

URf(X, t ,E) = I>

a
JlI f ((x , t ),

m
use(~ , t, E) = L EJ uyr (~ , t ).
a
394 XIAO- BIAO LI N

Here "R" and "S" stand for regular and singular (int ern al) layers. and ~ = (x -
r/(t , E))/ €.
For convenience. assume th e th e following Periodicity Hypotheses.
1. f (u , x + xl" E) = f (u,.7:, E);
2. r/ H p(t , E) = r/ (t.E) + x l':
3. u R(fH p) (x , t, E) = uRi(x - xl" t , E);
4. u S(f H p) ( ~ ,t , E ) = u S f ( ~ , t,E) .

Here x l' > 0 and integer el' > 0 are two constants. The period icity hypotheses
ensure that all t he est imates obtain ed here a re uniform wit h resp ect to layer index
e. They do not play a ny ot her rolls and are not necessar y.
Let 0 < (3 < 1 a nd let t he wid t h of t he intern al layers be 2EJ - 1 . Define
y2f (t) = r/(r, E) + E{3 ,
I f- l (t) = r/( t,E ) - E(J .
The famil y of cur ves I" = {(x ,t) : x = yi(t)} d ivides t he domain into regions
~ i , i E Z, where ~ ' is bet ween r i - I a nd rio A form al ap proxi mat ion can be
obtained from th e mat ched expansions,

. ( uR£(x , t,E ), i = 2e- 1.

w' (x. t.. E) = Sf( x- r/(t .<J )
11 -- <- ,t, E , i = 2e.

Here are th e assumptio ns on ui":

H 1 Th ere exist C. 'Y > °such that f or all sma ll E and i , e E Z,
lu,i(x. t,E ) - 11/(X, OO , E)1 ::; ce:", (x ,t) E ffi.2.
Ir/ (t , E) - r/(oo, E)! + IDtr/ (t, E)1::; c «:", t E R~ .
Here wi(X. OO , E) = Hmt _ x wi( X, t ,E), etc.
H 2 Th ere exists a> 0 such that in each regular layer ~ i , i = 2£ - 1,
ReO'{fu(w'( X,t, E), X, E)} ::; - a
uniforml y for all (.1' , t ) E ~ i, i E Z and sm all E > O.
H 3 For an approxim ation wi(~ , t , E) in an internal layer, as ~ - =:XJ
and E....... 0,
both wi and ow
i / o~ approach the corresponding values of w i+1 or u ·, - I at comm on
boundari es. More precisely. if i = 2e, then for any Il > 0, there eri st N , EO > 0
such that Eg - 1 > N , and for 0 < E < EO, t :0:: 0,
IH! i ( ~ ,t, E ) - n-i-l( yi-l(t) ,t,E)1 ::; u , for- E{3 -I ::;~ ::;- N ,
IW' (~ , t, E ) - n-i+l (yi( t ),t,E)1 ::; u , for E1J - 1 :0:: ~ :0:: .Y.
Here the f unction n-i = (wi , wV is expressed in the stretched t'ariable ~ = (x -
r/(t ,E))/ E.
 LOCAL AIm GLOBAL E XIST E:"C E O F " l l 'LT IPL E W AVES 3%

Let ~ = ~(O be a function of ~ such that

for lC: i :S (,I-I .

for c: < _ (.' 1- 1 .
for c: > E3 - 1 .

For ouch t 2 0, i = 2[, consider the op er ator A i (!) : L 2 (1E. ) ~ L 2 (1E. ),

....I' (t) u = IL€€ + Dt l{ (t J )U€ + f ll(wi ( ~, i , f ). r/ (t. E) + E{ f )U.

H 4 A i(t). i = 2t , t :S 0, has a simple eigenvalue .\ i (E) = E'\W) + O (f2 ) . The
rest of the spectrum is conta ined in { Re.\ :S -iJ}, a as in H 2. Moreover, for the
limiting operator A i(oo), we have,

'\ :)(00 ) :S );o < 0, uniformly for all i = 2(,

\\'c look for exact solut ion U tha t is of t he form ir' + u i in each ~ '. T he limit
ui(x , oc . f) de scri bes t he corr ect ion to wi(x , X , E) t hat yields a stat ionary solution,
whil e u' (:r. t. f) - u i (J :, 00, f), to get he r with u:'(.r:, I , f) - It·,(./:, 00, f) , describes how
t he solution a p p ro aches it s limi t as t ---> oc. T herefore. we define t he followin g
Banac h spaces . For a constant : < 0, let

X (1l X !R+ .r ) = {u : u = ILl + 112. 111 E L2 (11 ), U2 E U (n x IE. +. , )}.

lulS h ) = luJi £.2 (fl) + 11d u (Sl xR+.'))·
X 2 . 1 (1l x IR+ , ,) = {u : 11 = UI + U2 , III E H 2 (n ). U2 E H 2,1(1l x R+ ,,)} .
j UI.\2 J(; ) = lu JiH2(Sl) + IU2I H2.1(flx R+,')).

x
It ca n be veri fied t ha t for 11 E X (1l X IE.+,,) or 2.1 (n x R+, , ), t he decomposit ion
II = II I +- 112 is u nique.
For ~i = {(x , t) : yi - I (t ) < X < yi(t), I 2 O}. we say t hat Il E L 2 ( ~ i , , ) .
H 2 .1 (~ i , , ) . X ( ~ i , , ) or X 2 , 1( ~ i , .,.), etc ., if u is th e restriction of a fun ction li E
L 2 (IE. x IR +. , ). ctc. , t o the do mai n ~i . The norms a rc d efin ed by

lu IU (E' ,')) = inf { lll l u ( :Rx R ~ , ') ) } '

!u IX2.1(E'. ')) = in f{11/ lx 2.1(Rx:;\- .'))}.

Le t
X k(r ) = {u III = III + U2 , Itl E IE." , 112 E H k(r )} , ~f < o.
X kl Xk2(r ) = X kl (r) x X k2(r ). k l 2 O. "22 O.
Sim ila r defini ti on s can be given to spaces L2 (ll x I , , ). H 2 •1 (11 x I , ,), H 2 • 1 ( ~n
I . , ), but not X (1l x I ,, ') or X k(r ), if I is a finite ti me int er val.
The ma in res ult of P art II is t he following Global Spatial Shadowing Lem ma.

Theorem 3 Let {/iii } be a form al approxim ation of solutions f or (17). Assum e that
the Hypotheses HI -H4 are satisfied, and the constants "( and a satisfy - a < - "( <
O. Then there exist positive constants )0 , ) 2. EO and a negative constunt v = O(E)
396 XIAO-BIAO LI N

satisfying the fo llowing properties. Assume that {Wi} is a [ormal approximation

near {11/} , with
(18)

f or some C I > 0 and i, ;::: 1. A ssum e that for the approximation {w' }, we have

(19)

Th en for 0 < I' < fa, to any locally HI f unction lLo with 1110 - wi(O) 1H' (E' n{ x=O } ) :s:
C 2 1'J2, th ere exists a unique exact solution to (1 7) that satisfies U"XlU:t (x , 0) =
110 (X), and
I Upx nc t - wi lx2 .I(E' : 'y) ) = 0 (1'13), i E 2.

Here j3 = min{jl , j2 - J 2 }, J 2 > 0 is a constant that does not depen ds on c. A ll

the nom ls in this lem m a are expressed by the st retched variables ~ = » [e , 7 = t.]e,

Remark. (1) T he constants jo and .h de pend on {ivi } . However t he approximation

may not satisfy (19). By addi ng higher or der expansions, the new approximat ion
{Wi} will satisfy (18). T herefore , it has the same constants jo a nd h , which are
st abl e wit h resp ect to per turbati ons. Moreover, if t he order of expa nsio n is suffi-
cient ly h igh , [ u.'} will also satisfy (19).
(2) The valu es of j o and J 2 are not imp or t an t in applications . since 1:1 = i , if
j2 is su fficient ly large. Comp uting i , is rela tively easy. One only need to com pa re
{wi } wit h the next ap pro ximation.
(3) Hyp otheses HI -H4 are conseq uences of hypoth eses used to const ruct
formal expa nsions for system (17). See §11 for a brief d iscussion .

7. To prove the theorem. we use a part iti on of t he time int erva l t E IR+,

IR+ = Uj:61j.6.t, (j + 1).6.t] u [tf . x ),

where t f = r.6.t. We assu me t hat .6.t = 1'.6.7, where .6.1' is ind epend ent of E. tf is
large such t hat e- i t = 0(1'2), where 1 is as in HI. If e is sma ll t he var iations of
bo undary curves x = yi - \ (t ) and y i(t ) are small such t ha t a near ide nt ity change
of coo rd inates ca n be mad e in eac h 1:; = 1:i n {t E [j.6.t , (j + 1).6.t]). j :s: r - 1 or
1:~ = 1:i n {t E [t f 'oo)} to st raight en r i - I an d r-. In the seq uel. we ass ume that
r- = {x = yj} in t he j t h ti me interval , whe re yj is ind ep end ent of i ,
Define
~ = [x - (yt l + yj)/2]/f, in 1:j ,
Lj (l') = (yj - Yr l )/ (2E),
rlj = [- Lj (f ), Lj(E)],
Ii = [0. .6.1'], 0 :s: j :S r - 1, and I " = [0. (0).
Let l' = (t - j.6.t) / E. Then 1:; = rlj x t« . In eac h 1:j , j :S r - 1, we linearize
around wi at t he fixed time 7 = 0, while in 1:~ , linearize around wi at the fixed
 LOCAL A1\D GLOB AL EXI STE1\CE OF :"I ULTIPL E WAV ES 397

time T = 00 . Denoting the solut ions in ~j by ll j. we ha ve

llj T=lLj~~+\~i(OlLj~ +Aj (Ollj+N] (lI j .( .T,E) , in~j . (2U)

UJW (f) ,T) - U; +I (_L i+1(E )., ) = 8j (T). at r -, (21)

uj+ I(~ ' O ) = Uj(~ l ,~T). u~( (O ) = lI~ (O . (22)

Here ~l = 8 j (0 is a ncar identity cha nge of coordinat es induced by th e coordinates

change that straightens t he boundaries in each ~j . vt
is the constant wave speed
in an int ernal layer, but is slowly ~ dependent in a regular layer due to th e fact
that th e boundaries arc not par allel th ere .
The idea of the proof is pr esented in th e nex t three sect ions. In §8, we st udy
the spec t ra l properties of the linear systems an d exponential d ichotomies asso-
ciated to th e du al systems of th e linear sy stems. In §9. we st udy th e system in
the last int er va l [t I> co ). There we need t o ob tain asy mp to t ic beh avior of th e so-
lu t ion {ll;.} . Thus the sp ace X2 . 1 ( ~:" ,) will be used . The result obtain ed there
also serves as ' a n upper bound of t he accumulation error in the first r int ervals
[j ~ t , (j + 1)~t l , 0 :S j :S r - 1. In §10, we study th e sys tem in finit e time int ervals .
Sin ce r is lar ge, th e est ima te s obtained in P art I is not accurate enough . :"Io!"C
pr ecise est ima tes will be derived whi ch rely on t he Hyp otheses H I-H4, whil e th e
estima te in P art I doc s not.
8. Sin ce nonlinear sys te ms can be solved by cont ract ion m appings , we study a
linear system first. Drooping th e subscript j . we con sid er.

u ~ = u(~ + V i(~ )U( + A' (Oli i + hi (( ,T), (23)

Ui( L i (f ), T) _ Ui+l (_L i+1(f) .T ) = 8i (T), (2~)

I/(~ ,O) = ub(o. (25)

The homog eneous dual sys tem of (23) is

(26)

Her e {; = (iI , ·U ~ ) T. It is crucial to study the expo nent ial di chot omi es for system
(26).
We first discu ss the sys te m in regular layer s. Freezing ( = ~o and consider (26)
with con st ant coefficients. Using H2, we ca n verify th at for Re( s ) 2: -ao , ao = a /2 ,
the sys tem is hyperbolic, having n eige nvalues with po sitive (negative) rea l parts.
Now recall that in regular layers, Ai (~ ) = fll(wi((l -l + yi )/2 + E~) , (yi-l +
yi) /2 + E~ .E) depends slowly in ~ . i.e.. Dr~i~ ) = O(f). Also, from the change of
coordinates. cf. [13] for details, V i(l;) also dep ends slowly on E in regular layers.
Then a t heorem from [3] indi cates th at (26) has expo nent ial d ichotomy for ( E 1St
and Re( s) 2: -au.
308 X IAO-B IAO LI N

In [131 it is shown th at if (26) has an exponent ia l dichotomy in R 2 n for ~ E IR

a nd for every s E {Re(s ) 2: -aD}, t hen it has a n ex po nent ial dichoto my in t he
space El. V(s ), v = 0 or 0.25.
Let t he right hand side of (23) define a linear operator A i (t). t = j !::.t , 0 :<::::
j :<:::: r - 1, or t = ex . j = r . Using t he fact t hat (26) has a n exponent ial dichotomy
in E1,V(s ), v = 0 for ~ E IR and s E {Re (s ) 2: - aD }, we ca n show that in regul ar
layers, A i(t ) is an exponent ially sta ble secto rial operator in L 2 (2 ). i.c.,

for every t 2: O.
We now discuss (26) in internal layers. Here the spectr um of A i(t ) is given by
H 4. Also D t l/ (t , E) = \j\ i = 2£ if t = j!::.t , 0 :<:::: j :<:::: r - 1, a nd \ ;i = O. From H3 ,
if II is sm all, then for 1.;12: N , t he coefficients Ai(O and V itO ar c close to that of
A' (±Li(E) a nd V i(±Li(E»). But the system wit h constant coefficient s Ai(±Li(E))
and Vi (±Li(E» is hyp erb olic. Therefore , from t he Rou ghn ess of Exp onen ti a l Di-
chotomies, whi ch is also valid in sp aces E 1,V(s ), v = 0,0.25. (26) has ex pone ntial
dichotomi es in EI.V(s),v =0, 0.25, for Re (s) 2: -ao and 1 ~ 1 2: X .
T he ex ponential dichotomies in the region E. :<:::: - N a nd '; 2: N extend to
.; E lR- a nd '; E lR,T respect ively. Let th e projecti ons be p.~ + PI: = I . We ca n show
tha t

RP.,(O -, s ) 9 RPs(O + , s) = lR2n , if s i= ,V (E) and Re(s ) 2: - aD. (27)

If (27) were not true. we could find a solut ion utE" ~ s) for (26) th at decays expo-
nen t ially as E, -+ ±x . Then s would be an eigenva lue with Cr(.;. s ) as an eigen
fun cti on . This cont ra dicts to th e fact >.i(E) is the only eigenvalue in t he region
Re(s) 2: - ao ·
In [13]' it is also shown t ha t t he projections defined by t he split t ing (27) is
0 (1 + 15 - 1.(,)1) ' Observe that H4 also impli es that for th e linearizat ion a t t = ex ,
(26) has an exponential dichotomy in ~ E lR in t he region Re(s ) 2: ';0, where
),0< 0 is as ill H 4.
9. We now st udy (23)-(25) in the ti me int erva l [tf ,(0). The proced ur e of solving
them is similar to t hat used in P ar t 1. The right hand sid e of (23) defines a sectorial
operator A i (oo) in L2(lR ). Extend t he dom ain of u& and hi to E, E a.. Let

iii = eA'(OO) T u~ + fa T e A ' (oo)(T- () h i( ) d( .

As shown in §8,
aA i(oo) C {Re(s) ::; -CE < A},
bot h in regular and inte rn al layers. Because of t he spectra of .1'1/(00), with so me
"'I = CE < 0 , we can show

(28)
 LOCAL AND GLOBAL E XISTE:':CE OF ;<.IUTIPLE WAVES 399

T he solut ion {u i} for (23)-(25) ca n he writt en as u' = iii + vi , with {Vi}

sa tisfying

v~ = v{( + V ' (O v{ + A ' (O v' . (29)

i 1
V i(Li(e). r ) - V + (_ L' +I(e), r ) = 17' (r ). (30)
vi(( . O) = 0. (31)

Here ~/ = (1'. v(y . 1/ includ es fJ i a nd correc tions from t he j umps of {iii } a t bou nd-
aries. We have

Since for t he du al system of (20)- (31), the exponential dichotomies exists in th e

region Re(s ) ~ I, 1 < O. usin g t he Lap la ce tra nsfor m a nd t he iterati ve scheme
similar to tha t used in Par t I, we ca n show th at syste m (29) -(31) has a un iqu e
solution {r ' }, wit h
Iv' Ix 21 h J :S C lhi } lxo 7",0 2"(_, ),
Therefor e, in th e las t int erval , th e solut ion {lI' } sa t isfies

Using t he above resul t . th e nonlinear syste m ca n be solved by a cont ract ion

ma pping in a ba ll of ra dius er l , r l > 1.5, in X 2 • 1 b ). T he following result is pr oved
in [1 3],

Theor em 4 Let Iyt 'q -,} = 0(er,+ 1.5), IlthlH' = o(er,+o , ,). IfJ il H 0 7 h O 25(-, ) =
o(er , ). uh ere 1'1 > 0,5, Let t f be e dependent such that e- i l / :s Coe2 • where 'Y
is as in HI and Co is independent of E. Then there exists eo > 0 such that for
0 < e < eo. the nonli near system (20)- (22) has a unique solution {u i } sat isfying
the following estim ate,

l{t/ }h '2"h) :S C{I{bi}IH075, 025h } +e- o,r'\{UO }IHI + e- L.">j {9' }I.' h l}· (32)

10. We st udy sys tem (20)-(22) in t he finite inter vals, [js i , (j + 1Jil t], 0 :s j :S 1'- 1.
T he existence of solut ions in a finite interval has been discussed in Theorem 2.
However. to guara nt ee th e existe nce of solut ions up to the last inter val [t I : cc) , a
stri ngent restri ct ion on t he acc umulat ion errors in t hese finite inter vals must be
met. Since th e crit ical eigenvalue Ai (e) may not be negati ve, uj may grow as j
increases, From Theorem 2, { uj} is determined by {uj (O)}, {g)} an d {bj} . Among
th em only {uj (O)}, ca rries the information from the pr eviou s j int erv als. Therefore,
it is cru cial to cont roll uj (ilr)1 in term s of l{ u) (O) }j ,
Let Q~,j and Q~,j be th e pr oj ecti ons cor responding to th e spectra l set in
>.'( e) and {Re(s ) :S -ao} in th e it h int ern al layers and th e j t h tim e interval . Let
400 XIAO-BI AO LI N

Q!/j uj = nj¢j where <bj is t he eigen valu e corresponding to t he eigenva lue Xi(e).
Then
In jl + I Q~,juj IH l ,
is an equivalent norm for luj In v T he following est ima te has been proved in [1 3],

In j (t>r )1+ IQ~ juj( t> r) l li l ::; (1 + Ge) su.p( ln)(O)1+ I Q~,J uJi(O ) IH l)
I (3:~)
+ G I{8j }lllIJ 7""IJ 2', (/) + C1 {gj} lu .
Since the spectra l pr oject ions for the j and (j + l )th inter val differ
by O (e),
lo j+ l (0)1 + IQ ~,j+l uj +l (O) lli 1 is also bounded by t he right ha nd side of (33). Ther e-
fore, one ca n show t ha t
10 j (0)1 + I Q~·j uj ( O)I Hl ::; ( 1 + GeF s up( ICt~(O) 1 + I Q ~· o u~I H l)
i
(1 + G e ) j i
+ sup (l{bd IH0 70dI2" + I{gd ll.' )'
t

e «<:
Using t he fact (l+Ge) l/ (C' ) < e and j ::; r "'" 10~ O )/e , we see that (I+Ge )j ::;
e- ll for some B > O. Therefore, if all the terms in the right han d side are bo und ed
by eM for some large j\f > 0, have t he solut ion {II.)} for all the finit e interv als, a nd
the ini tial condition for the infinite int er val is sm all enoug h so t ha t T heorem 4 ca n
be used t here . Here is t he main th eorem in t his section.
Theorem 5 Th ere exists t>T > 0 such that if r = [log( c:,,) le -yt>r ] + 1), then we
have the foll owing concerning the solutions of (20) -(22) in [J, 0 ::; j ::; r - 1.
There exist M 1 and M 2 > 0, such that if
l{ ll ~ (O )} I Hl + 1{6j }IH07" X0 2" + l{gj}l u = O(e,\[I ),
unifonn ly f or 0 ::; .i ::; r - 1, then (20)-(22) , 0 ::; j ::; r -1 has a uni que solution uj
f or 0 ::; e ::; eo, where eo > 0 is a small constan t. Th e solution in each [j satisfies
ICtj(O)1 + I Q~,j uj ( O) I H l ::; Ce - M2 [sup(ln o(0)1+ IQ:,OuoIHI )
i
+ su p( I{e5U IH0 7"X0 2" + l{gU lu ].
k <j

In particular, if M t is suffici ently large, in the rth (infi nite) inte rvall { u ~(O ) }IHI
r j > 1.5. Therefore, Th eorem 4 applies in the last infinite inte rval also.
0 (,,1'1+ 0 5) ,
To descr ibe the idea of the proof of (33), it suffices to conside r the linear sys -
tem (23)- (25). For simplicity, we consider the Oth int er val and drop t he subsc ript
j . The procedure of solving such sys te m is simil a r to that used before. Define i/ as
in P art I, a nd let ui(r ) = a i(r)¢i + Q ~.Oui(r) . In internal layers, ,\' = O(e) . Also
in th e st a ble space , the semigroup is exponent ially stable. We ca n show,
lai(t> r )1::; e(I+C' )6 T(la i (0)1 + ~lhil L2) ,
I Q:·ou;( ~ r) l ll l ::; C(e - 17 6 T I Q~,ol/(0) I H' + ICt i(O)I).
for some a < O. Ob serve in t he above, ui( O) = lli (O). Thus a '(O) = 0 '(0) .
 L OCAL AND GLO I3AL E XIST ENC E OF ~I L'LT I PL E W AVES 40 1

Let tiT > 0 b e lar ge so that Ce -<1 f:>. T ::.; 1/2 . \Ye then find C 1 su ch th at
e(l+C(p r::.; 1 + C li . \Ve have

Iri'( tiT )1 + I Q ~· o iii (O )I f/1 < (1 + C )f)ln i( O)1+ 1 /2 IQ ~·Ou i (0 ) IH I + C lh ilp · (:3-1)
T he a bove is a lso valid in regul ar layers wit h 6 ' = O.
T he so lutio n for (23) -(25) again is written as ui = ii i + v', wh ere {v'} sat-
isfies (29) -(3 1) . As in P a rt I, system (29) - (3 1) is solved by iter at ions. a nd {["}
is b ounded by { Tl i } in suitable fun ct ion spaces . An co mplication arises her e since
{r/ } a lso includ e correction s of the jumps of {iii } a t co m m on bound ari es. The
la t ter in term is bounded by l{n i (O)}1 a w l I {Q~·o ld O)} I . of wh ich the coefficien ts
have to be carefu lly co nt ro lled .
It ca n be shown tha t {rJi} depends weakl y on n i(O). since lo i<l>i l ::.; C e-<1Iz;1
for so me a > 0, a nd Li(E) --; (X) as f --; O. However. it is a little t ric ky to co nt rol
the d ep enden ce of I{Tli }1 on I{Q ~· ()u i(O)} I . T he key here is t o use t he expone nt ia l
decay of eA ' T in t he stable subs pace (w hich is the wh ole spa ce in reg u lar layer s ).
To do so, weighted norms h ave been used , [13].
IU IHo n x0 25(fJ ,<r ) = le- <1TUl lI0 7JX0 2' (lJ) . a < O.
lu IH2.1(n ' x [J .<1 ) = le - <1 Tu IH2. ! ((l' x [J ). a < O.
Observe her e the in terval I J = [0, tiT ] is fin it e. It is sho wn that
1'1'11/0 75,025 (/ -'.<1 ) ::.; Ce l<1 I'-h l{<5' }llI O" " 02',(/ -, )
+ sup ] Eln' (0) 1+ Cl Q~o u i (0) 1 + Ce l<r\.~ T Ihi IL2}.
i

for some a < 0 , indep enden t o f f . Also it is show n tha t t he so lut ion of the sys t em
(29) -(:U ) sa t isfies
Iv ' IH2 1(nix I J.<1 ) ::.; C I{T)' }1f/0 75X02"(/ J.<1) '

Let Q~.O vi = (Y<I>i

lil'( ti T) 1+ IQ~·ovi( tiT) I }[ ! ::.; C lvi( tiT) llI l

i
::.; Ce<1 f:>.Tlv jlp.! (n' x [J.(1 )
i
::.; CI {<5 }IH0 75 X025([J)
+ ~up {Cle<1 6 T I Q~,Jl/ (O) IH! + C Ee<1-" Tln i (O)! + Cih' lu }.
,
Let tiT be large so that C le<1AT I Q~·jlLi( O) I H! :s n.s. Co mbi ne the above with
(3-J} we have a n esti ma te for the lin ear syst em ,
In i(ti T)1+ IQ~,O ll i (tiT )IH I ::.; (1 + Cf)su p( jni (O)1+ I Q ~· O Ui (O ) I H 1 )
(35)
+ Cj {<5 i }lll075 xO25(fJ) + C I{h i} lp ·
The esti mate of the nonlinear system (33) ca n b e obt ai ned from (35) by re placin g
h i wit h ,\(i . and using the fact tha t if Iu i IH2.! < E.
40 2 X IAO- B IAO LI K

11. Co nstr uct ions of multiple waves in singularly per turbed equations have been
discu ssed in man y papers, sec for example [5]. Expan sions for system of reacti on-
diffusion eq ua t ions to any orde r of E ca n he foun d in [12]. The following hyp otheses
arc used in t ha t paper.
There is a par ti tion
IR = U&_ x [:r £, x £+l]
e,
that is periodic with respect to compatible with t he per iod of f . A funct ion ex
[i(:r) it; defined on [1·i - 1 . Xi) wit h f u(pi(:r) , 1:) = O. Also ass ume th at p£H" (x + x p ) =
p£(x ), X E [x £- 1,1;£I .

H* 1 Re(T{fo,,(pi(:r ). .r )} < 0 for :r E [X -

i 1 i
, X ], i E Z.
x -xi
Using a stretc hed variable I; = - - , we assu me t ha t the Oth order oxpa n-
E
sion of Eq. (17),
v« + fu (u , x ' ) = O. (36)
has a het erocl inic solut ion q' (0 connect ing pi (:r i ) to pi+1 (.r i ) . Assum e

H* 2 The linear hom ogen eou s equat ion

hat; a unique bounded solut ion q~ ( I;) , up to constant multiples.

From H*2 , we infer t hat th e adjoint equat ion

1/;(( + fOll (q~ (O , X i )ljJ = 0

has a unique bounded soluti on 1/;i(l;) up to const ant multiples.
The following assu mpt ion impli es t hat t he hctcroclinic solutio n br eak s at; x
moves away from 1:' .

H* 3 J::C=1/;[ (t;)f o.r(q' (O j )dt; i= 0, i E Z.

When x it; in a neighborhood of x', we look for t ra veling wave solut ions wit h
wave spee d V i (x ). It is a lso of inte rest to find out condit ions to ensure tha t the
wave front moves toward s x i Consid er A i : L 2(IR ) ---> L2(R) . defined as

H* 4 ,\ = 0 is a simple eigenvalue for A i , i E Z. T here exists (To > 0 such t hat

Since ,\ = 0 is simple. we have

 L OCAL A:>.'D G LOBAL E XIST EXC E O f .\ l l T I'lP LE W AVES 403

H* 5 J: x
1 = [J.':'x ~)i(';) qi: (O d.;t l !/1[(O fOr (qi(';).:I.i )d'; > 0, i E Z .
Unde r Hypotheses H *I -H*5, it is shown. in [12]. th a t formal expa nsio ns of
wave front position s {1/(t . E)} a nd mat ched expa nsions of soluti ons [ u' (x . t. ())
ca n be const ructed . These hyp ot heses are gene ra l in the sense that H*2 an d H*3
are gener ic ass um ptions. Hypot hesis H*1 is equiva lent to t he stability of I/ (x ) in
a regular layer, as an equilibrium of a n ODE, obtained from th e Oth expansion of
(17), i.c. , by sett ing EU.cr = O. Hypot hesis H *4 is equivalent to t he stability of t he
t ravelin g wave solut ion qi in an int ern al layer, in t he se nse of E van s [4]. Hy pot hesis
H*5 implies tha t t he wave front is moving towards x' , if x is ncar :J..i. In fact. if is
shown in [12]
OVi(X i ) . i·
- D-- = - 1· (:J.: -.r J.
.r
Similar cond it ions like H*5 was used by Fi fe [5]. Wi t ho ut such co ndit ions. t he
wave fro nt ma y move away from the stationa ry posit ion and t he form al solut ions
may not exist globally in t ime .
It is shown in [13] t hat Hypoth eses H*1-H*5 im ply Hypotheses HI-H4 of th is
pa per. On ly H4 needs som e ex pla nat ion . Wh en {n·i } is a Oth order a pproxima t ion,
,), = 0 is always a n eigenvalue. W hen higher orde r ter ms arc added , t.he eigen value
becom es G(E) . In [13]. a pr ecise for mula expressing A'(E) as a fun ct ion of th e wave
spee d an d t he wave fron t pos it ion was prov ed . In part icu lar , when t = 00, it yields

o» OV i
DE D.I: .

Here V i x) is t he wave sp eed as a funct ion of th e wave po sit ion 2'. It is now clear
t hat H*5 implies H4.
Ma ny aut hors hav e found t hat t he signs of A'(E) or t.he der ivat ives of t he
wave spee d determine t he stab ility of the mul t iple waves, [6J. T he pr ecise relation
between th e two quant it ies in ge ne ra l systems is inter est ing in its own right right.
In concl usion , t he formal approxim ati on s obtained in [121 satisfies our hy-
pot heses in Pa rt II. Therefore. th e Global Spat ial Sha dowin g Lem m a can be used
to ens ure t he existe nce of a globa l solut io n near th e form al a pp roxi ma t ion.

References
[LJ N . Alika kos, P. Bates a nd G . Fu sco , Slow mo tion f or the Cuhn- Hilliard equation in
one ' pace dim en sion , J . Differ enti al Eq uati on s 90 (199 1). 81- 135.
[21 S.-N. Chow, X .-B . Lin a nd K . P almer . A shadowi ng lemm a wi th applicati ons to
semilin ear parabolic equa tions. SIA1\ 1 J . 1\ lath . Anal., 20, ( 1989) , 547- 557.
[3] W . A. Ca ppe l, Dichotomies in sta bility theory . A. Dold £.: B. Eckmann eds . Lect.ure
Notes in Mat.h. 629. Spring-Verla g, New Yor k. 1970 .
HI .John W. Eva ns, N erv e Axo n Equati on s: I Lin ear A ppro xima ti ons. Ind ian a Univ.
Ma t h . J.. 21 (1972) , 877- 885
404 XIAO-BI AO LI N

[5] P. C . Fife, Patt ern for ma tion in reacting and diffusin g systems, J . C'he m. Phys., 64
(1976 ),554-564 .
[6] G. Fusco a nd J . Hale. Slow m otion ma n ifolds, dorma nt instabilit y. an d si ngular
perturbations, J . Dynamics a nd Different ial Equa ti on s 1 (1989).75- 9-1 .
[7] R. A. Ga rdner & C. K. R. T. J on es, Traveling waves of a perturbed diffusio n equation
ari sing in a phase field m odel, Indi an a Un iv. Math . .J., 38 (1989). 1197-1222.
[81 J . Guckenheim er . .I. Moser & S. New house, Dy na m ica l Syste ms. Birkhiiuser , Boston ,
1980.
[9] D. Hen ry, Geom etric theor y of semi linear parabolic equations. Lecture Xotes in Mat h,
vol 840 , Springer-Verlag. 1982 .
[10] K. K irchgiissne r, Homoclinic bijurcaiion of perturbe d reversible sys tem s, \V. Kn o b-
loch and K. Sm it h, eds .. Lecture Notes in Math ., 1017 (1982). Sp ringe r-Verlag , New
York . 328- 363.
[I I] X.-B . Lin , Shu dounno lem m a and singularly perturbed boundary m lue problems.
SIAl\! .J. Appl. :\/at h., 49 (1989), 26-54 .
[1 2] X.-B. Lin , A symp totic expans ion for layer solu tion s of a singularly pert urbed
react ion-d iffusion sys tem. p reprint , 1904.
[13) X.-B. Lin , Sh adowing m atching errors f or' uiaue-jron t like solutions. preprint
[141 .J. L. Lion s a nd E. Magen es, Non -homogen eous bourularu ualue problems and appli-
cations I, Sp rin ger-Verl ag , New York . 1072.
[15] 1\ 1. Ren ardy, Bif urcation of sing ular solut ions in rever si ble systems and applications
to reactio n-diffu sion equations, Advan ces in Mathem a tics 3, (1!.l82). 324- 406.
[16] K. Yosid a , Funct ional A nalysis, G rundlehren de r ma th em a ti schen Wi ssen sch aftcn
123, Springer , New York, 1980 .
Progress in Nonlinear Differential Equati ons
and The ir Appl ication s, Vol. 19
© 1996 Birk hauser Verla g Basel/Switzer land

Estimation of dim ension and order of time series

Floris Takens'

1 Introducti on
Since t he beginning of th e eight ies there has been a n expand ing activity in a na-
lyzing tim e series in terms of (reconstruct ed) at trac tors and th eir d imensions. For
a sur veys and further references, see [ABST ,1993], [C,1991], and [GSS,l 991]. The
notion of dim ension , which was based on considera t ions concerning determinis tic
tim e series, describes roughly how many par a mete rs one needs to specify th e possi-
ble st ate s on the attractor of t he und erlyin g dyn amical system. Ano th er approach,
prop osed by Cheng a nd Ton g, is to a nalyze a ti me series prim aril y in terms of th e
order, which can be heur istically describ ed as th e number of successive elements
of a tim e series which det ermine th e st ate of th e und erlyin g system [CT,l992];
thi s notion was introduced in th e context of non-d eterministic sys tems. th e state
shou ld be interp reted as an (abst rac t) notion which su mmcrizes th e infor mation
from th e past , as far as it is of influence on th e future: t his not ion of st ate makes
sense for both det erminist ic and stoc has t ic syste ms. This same idea of order was
also st udied by Savit and Green [SG ,1991]. T heir a pproa ch is closer to th e above
mentioned conside rations concer ning deterministic syst ems. T he noti ons of ord er
and d imension are different , bu t t here are clea r relat ions. e.g. the order should at
least be equal to th e dimension. The main pu rpose of t his pap er is to give a survey
of t hese different approa ches and to discuss in this contex t some new numer ical
exa mples.
Fir st we fix some notation a nd definitions. \\'e consider tim e series X =
{X,,};;"=o' with tim e parametrized by t he int egers I I E N. a nd t akin g values in some
finite dimensional vector space I V , which, when not exp licit ly stat ed ot herwise, is
assum ed to be R . Time series of finite length , i.e. with 11 running from 0 to some
N , will be considered as sa mples of (potc nt ially) infinite tim e series. From a time
series one can obtain a new one by th e process of recon st ruct ion: for X as above,
th e tim e series R k(X ), obtained by an orde r k , or a k-di mens iona l. reconstruction
of X, has as its nth element (RdX ))1l = (X,"· ·· . X,,+k-ll E R k - th ese elements
ar e called k-dilll ensiona l reconstruction vectors. So each tim e series equa ls its order
one reconstructio n.
• Department of Mathematics, Uni ver sit y of G roningen. P.O .Box 800. 9700 AV G ronin gen ,
Th e Net herla nds
406 FLO RI S TAK ENS

Although th e present usc of recon struct ed time series, and th e cor respo nd ing
reco nstruction meas ures. sec below , was stro ngly moti va ted by results from t he
t heory of deterministic dyn ami cal syste ms, sec [T ,1981] and [P CFS. 1980], th ey
were alrea dy used in 1927 by Yule in st udy ing th e sunspot num bers [Y,1927].
Next we ass ume th a t a ll our tim e series are stationa ry in th e sense that there
arc well defined measur es. th e so-ca lled reconstructio n m easures. fld X) on R k
corres pondi ng to th e density of th e cleme nts of R dX) in R 1.: ; a form al definit ion is
given in sect ion 2. \\'e not e th at t he measure Itd .1:' ) only describes th e stat istical
prop erties of R dX ). as opposed to th e dyn ami cal prop er ties. in t he sense t hat
th ese measu res remain th e same if we app ly a permutation n f-> u(n) to th e ind ices
of RdX ), at least if t he differences n - u( n) arc uniformly bounded. Th e measure
It I.:+1 (X ) contains both th e stat ist ical prop erties of R dX ) a nd a certa in a mount
of its dyn ami cal properties: t he stat istical prope rties, becau se /I I.: ca n be ob tain ed
from Itl.:+1 by t ak ing th e ma rginal prob abili ty distribution of th e first k component s
of th e vectors in R I.: +1. and th e dyn ami cal pr operties, becau se fl k+ 1 det ermines t he
probability distribut ion of clements of RdX) in terms of t he element immediately
preceding it . For th e original time series X , the reconst ruct ion measur e /l k+1 (X)
det ermines t he prob abilit y distribu t ion of elements of X in te rms of the last k
clements imm ediately preceding it. The latter cond it ional prob ab ility measures
arc deno ted by It(.", .....".k! . where X l , " . , :rk stand for th e k precedi ng element s of
X , as a fun ction of which th e probability distribution is given .
T he dim ensions. referred to in th e beginning. arc defined in ter ms of th e re-
const ruct ion measures (one may think of the topol ogical d imension of th e support
of t hese measur es). In t he next section we d iscuss th is in more deta il. The order of
a tim e ser ies if it exists can be defined in terms of t he reconstruct ion measures. The
forma l de finit ions in th e approaches of Cheng a nd Tong and of Savit a nd Gr een
arc different , bu t a heuri sti c descr ipti on, which a pplies to both. is th e following.
The or der is th e lowest int eger k such th at , from th e point of view of predicting
fut ure element s, on th e bas is of th e reco nst ruc tio n measures and a (finite) number
of immed iate ly preceding element s, nothing is ga ined by using more t ha n t he k:
imm edi ately precedi ng elements.

2 Dimension of a probability measure and its estimation

We consider a probabili ty measure J1 on R I . If this measure is concent rated on
som e n-dimension al sub manifold, a nd if th e measure has a continuous density with
resp ect to th e Leb esgue measure on th at sub manifold , th en th e prob ability to find
two randomly and independ ently chose n po int s within dist an ce " is prop or tional
to En , asy mptot ically for sma ll E. This suggest s a definit ion of t he dim ension of a
probability measure which we now descr ibe. For the proba bility measure /l we first
define th e correlation in tegrals P, (/l) as th e /l xll-measure of {( x. y) E R 111x- YII <
21

E} - so P, (11) is th e probability to find two points, It-r andomly and indep end ently
 E STI MATIO N O F DI:'1E NSIO N A:\ [) O RD ER OF T I:' IE SE R IES 407

chosen, within dist an ce E. Then we define th e dim ension of It as

· In(Pc(fl ))
D ( It ) = I im .
£- 0 In(E)

If this limit noes not converge , one may take th e lirnsup or th e liminf. In thi s
pap er we don 't want to emphasize t hese convergence pro blems. The d imension . as
defined here is called t he correlation dim ension.
Some remarks concerning th is definition arc in order:

1. For prob ability measur es on R l with cont inuous density th e dimension is I,

so for such measur es thi s is not a useful invariant. Below we sha ll come ba ck
to th is point.
2. The dimension , as defined a bove may t ake non-integer values.
3. There arc many variation s on this definition of d imension which arc all based
on a combination of a prob ability measur e and a metri c st ruct ure. i.c. using
both probabili ty and distance, see [H.JKP S.1986].
4. Thi s noti on of dim ension is often applied to reconstruction measures of time
series as defined in th e introduction. The moti vat ion for thi s is that if a t ime
ser ies is produced by a determinist ic system. th en one can prove, und er weak
addit ional ass umpt ions, th at t his dimension is th e same for all reconst ru c-
tio n measures fl k, for k sufficient ly big, sec [SYC.1991]. At th e end of this
sect ion we discuss thi s in more det ail, an d in particular expl ain what we
mean by ' a time series produced by a det erministic syste m'. For stochas t ic
time series, i.e. du e to syste ms wit h noise, th is notion of dim ension is not
dire ctly meaningful. since , in th at case, th e reconstructi on measures usu ally
have a conti nuous density and ar c not concentrated on a lower dim ensional
object.

Next we corne to th e estimati on of th is dim ension . Since we arc thinki ng

of measures, like th e reconstruction measures, which are defined as densities of
(infinite ) sequences of point s, we describ e the est imat ion problems also in terms
of su ch (pote ntially) infinite sequences of poin ts. So inst ead of a measur e IL we
start wit h a sequence {PnL: =o of points in n', which we ass ume to be bounded.
Th e relati on betw een th e meas ure 1" and th e seque nce {Pn };-::'= o is th at for any
cont inuous functi on f on n', with bounded suppo rt, we have th at

.
f fdlL = lim (n + 1)- 1"
T!-OC
. TI ' f (Pi).
L
,=0

Since the dimension is defined in terms of corr elation int egral s, th e stra ightforward
th ing to do is to first consider the estimation of th ese correlation int egrals . These
are esti mated from finit e sequences of points by ju st count ing th e fraction of pairs
of different points which are within distance E. If we usc a sequence {p;}~o of a
408 FLORIS TAK ENS

fixed length, th en the estimates of P£(/l) will have greater relative vari an ces for
lower valu es of E. Ind eed , if all the dist an ces between pairs of points Pi . Pj , i < i .
can be considered as independent , th en th e st andard deviat ion of t he estimat e of
P = P,(/-l) is
2P(1 - P)
(j =
N(N -1 ) '

If we assume that P = P,(/l) tends to zero with E, we see indeed that th e relative
standard deviati on
2(1 - P )
oIP =
PN(1 - N )
goes to 00 for E - . O. So this direct approac h of est ima t ing th e dimension fails
when we try to t ake th e limit E -. O.
As we mentioned , for t he above reasoning it is essenti al th at all th e dist an ces
can be considered as indep end ent. To ju stify t his, we need first th at t he points
Pn a re uncorr elated and second t ha t E is sufficient ly small, see [5. 1992]. The ind e-
pend ence of th e point s P i is mainly a problem if we use ovcrsampl ed t ime series
from a pro cess with cont inuous tim e - in thi s pap er we sha ll not consider su ch
exa mples. For a much more det ailed discussion see [K5,1995]. In order to keep th e
arg uments as simple as possible, we sha ll cont inue to usc th e above est ima te for
sta ndard deviati on of th e error when est ima ting correlat ion int egrals.
A different approac h to estim ating th e dim ension is t he following. We first
choose a cutoff distance EO and t hen de termine all th e dist an ces 1',. ) between pairs
of different points Pi and P j as far as the y are sma ller th an EO. Th en we assum e
th at these dist an ces are dist ribu ted pro portion ally to 1' D - 1dr and estimate D by
a max imum likelihood pro cedure [T,1985]. This lead s to an est ima te for D which
equals
b = -1 / £ (ln(1'i.j / cO) ),
where £ stand for taking th e average over all 0 ::; i < j ::; N . for which Ti ,j ::; CI).
Assu min g as before, when discussing th e erro rs of est ima tes of th e correlation
integrals, th at EO is sufficient ly small and th at t he points PI! are sufficient ly un-
corre lated , th e standard deviation of th e error in thi s last est ima te. du e to the
finit eness of the tim e series, can be estimated as

where m is th e number of distances 1'i.j, i < j , which a re sma ller th an co.

Apart from t he error du e to th e fact th at th e tim e series has finite length ,
there is t he poin t that we still should t ake the limit EO -. O. Instead of trying
to do thi s, we use this est ima te as the basis of our definition of dimension at th e
fixed length scale EO. This avoids th e problem that, for small valu es of EO, also thi s
method gives big erro rs (t his time because the number m of dist ances 1'i ,j which
are sma ller th an EI) decreases) . In this way we obtain a definition of dim ension
 ESTIMATIO N O F DI ME NSIO N AND ORD ER O F T IME SE RIES 409

which is still useful for reconstructi on measur es, which are. e.g. du e to ' noise' , not
concent ra ted on a low dim ensional object but only in a sma ll neighbourhood of
such an obj ect ~ if this is an C l neighbourhood , we should have C l < < co. The
formal definiti on of th e dim ension of 11 at th e length scale co is

D ( )_ _ I lIx- yll<eo Id (fl x 11 )

EO II - Jilx- yll<, o In(IIJ; - 1I11/c o)d('l x Jl)'

We call this th e 1\IL (maximum likelihood ) dim ension of /1 at th e length sca le fO'
This is of course t he qu antity which is est ima ted by th e above pro cedure.
Some remark s concerning thi s definition:

1. If th e limit in th e definition of D (ll ) converges. th en , for co --> 0, D ,.Jll )

converges to D (l l) .
2. For a probability measure lion n', we call ii an z-pcrt.urba tion of /I if for
each subset 11 C n', wit h e-ncighb ourhood A" . ii (11,) ::; Il (A ). If DE' (ll)
is small er th an th e d imension l of th e ambient space, uniforml y for e' in a
.5-neighbour hood of fo , th en also for a c perturbat ion j1 of /1, DeoUi ) < l,
provid ed e is sufficiently sma ll (compa red with co and .5). T his means that,
if th ese 1\IL est imates of th e dim ens ions at positi ve length scales are lower
th an th e dim ension of the ambient space , this has is persist ent with resp ect
to s- pert urbnt ions , which correspond to th e introd uction of (sma ll) noise.

As we mentioned before, th ese est ima tes of dime nsions are applied to th e
reconstruct ion measures of tim e series . Thi s was moti vat ed by considera t ions con-
cern ing det erministic syst ems. Time series, generated by de terministi c syste ms
arc defined in the following way. First, a (determinist ic) dyn ami cal system (wit h
discret e t ime) consists of a state space Y and an evolut ion map (or genera to r)
.p : Y --> Y , assigning to each state p the state <p(p) which will occur one unit
of t ime aft er th e state p - - we ass ume Y to be a finit e dim ension al vect or space,
.p to be differentiabl e and we ass ume posit ive orbits {.; " (p)} 11 > 0 to be bounded .
In ord er to describe th e way in which such dynamical systems genera te t ime se-
ries, we need to introduce a read-ou t map 11 : Y --> R. assigning to eac h state
t he value which is recorded when th e syste m is in th at st ate: so th e tim e series
corres ponding to th e (positive) orb it {<p"(p)} 11 2:0 is X = {:en = Y('Pn (P))} n2:0.
We consider ab o th e orde r k reconstructions of th ese tim e series. Inst ead of con-
struct ing th ese from X, we can also obt ain t hem by replacing th e function 11 by
11k = (11 ,11 0 <p, • . . , Y 0 <pk- l ) : Y --> R k. Note th at with th ese convent ions, Y = Yl'
From th e reconstruction th eorem , see [T ,1981] and [SYC.1991], we know th at for
generic <p and 11, and for k sufficient ly big, 11k defines an embed d ing of th e state
spa ce Y in R" , This means th at no two different point s of th e state space ar e
mapp ed by 11k to th e sa me point and that , if we restrict to a bounded par t of Y ,
th e rati o between dist an ces in Y and th e correspon ding dist an ces in R k is uni-
formly bounded and bo unded away from zero. T his implies th at , for a time ser ies
410 FLORIS TAKENS

X as above, th e correlat ion dim ensions of all the reconstruction measures Il k , for
k sufficientl y big (in th e sense of th e reconstruction th eorem) , arc th e same . These
dim ensions may however depend on th e initial point p E Y of th e orbit used , since
for different initi al point s one may be attract ed to different at t rac tors,
We not ed earlier th at for tim e series of stochas tic syste ms, one ex pects th e
dimension of Ilk to be k . So we see how th e est ima t ion of t he dim ensions ca n be
used to ob ta in an ind ication wheth er a tim e series is generat ed by a deterministi c
or by a st ochas t ic syste m.
If we a nalyze the reconstructi on measures in terms of t he 1\ IL dim ensions at
a fixed length scale EO we should find a similar difference between deterministic
and stoc has tic tim e series, but, due to th e finit e (non- zero ) length sca le t here a re
some differences:

1. Even for det erministi c t ime series, the estimat ed dim ension will in genera l
increase with increasin g order of th e reconstruction . This is du e to th e fact
th at , for chaot ic dynamical syste ms, th e dep end ence of <;n (p) on p is ex-
t remely errat ic even for valu es of n which are not very big. This mean s th at
if we look on a fixed length scale EO we may not see th e fine st ruct ure re-
vealing th e fact th at all th e reconstruction vectors are in a low dim ensional
set . We illust rate th is in figur e 1 where we plot th e point s (<;i (p) ,<pi+5(p))
for th e case of th e logisti c map <p(x ) = 4x(1 - x). From thi s diagram it is
clear t ha t if we ana lyze th e reconstructi on measu res on a length sca le of, say,
EO = .2, t his configurat ion of point s looks 2-dimensional. This mean s t hat
if we consider reconstruction s of higher ord er of a t ime series, generated by
thi s logisti c map (wit h read-out map y = identity ), we expect th e estimated
dim ension (at the sam e length scale) to go up by at least one unit for every
tim e we raise th e ord er by five units. In our num er ical simulat ions th is effect
can be seen in th e analysis of th e time series denoted by 2LOGIST.
2. Wh en incr easing th e length sca le EO th e est ima ted dimension will decrease,
even in t he case of a sto chast ic t ime series. For extreme values of EO thi s
follows from th e fact t hat th e values of ri.j / Eo will all be close to zero .

3 Order est imat ion according to Cheng and Tong

The above discussion of dimension estimation was prim arily moti vated by t ime
ser ies from deterministi c syste ms. The order estimation , which we briefly describ e
in this sect ion, a nd which was proposed by Chen g and Tong, see [CT, 1992] a nd
[CT ,1994], was primarily moti vat ed by t he consideration of tim e series produced
by stochast ic models of t he form

where En is a rand om clement (indep endent for different values of n) with resp ect
to a probability distribution with exp ect at ion valu e zero. which may dep end on
 EST IMAT ION OF D I:VIENS IO:-> A:->D ORDE R OF TI ME SE RIES 4 11

"I' l
'f l ,

.......
++
r ,
'"
"

" ...
... !t !

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"

t 'I, '
l + +
... 't* "1:
'I' " ... l ...
.t" ·f t
... ... ...
J •
..; '; '....' ...+'.' .-t ~: "t·
...... ,I,
',I', ... .. :1: ...'.. ... ·t ·. ·
t 'I'
l ' '
· ',t ·t .:
...''I'" :1: ... "

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... :1
... ... 'I ,1: '1
0.6 ...... ...
" ,

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"

... 'I'
... :I: ·-t"t

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" ,
. .: ~
:1: "
... :1 l
'.' .' "
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·t -t ,
0.5 " " :I:
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, lI :1: " "...
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" I 11 ...
"

''."'
"

'.'
"
"

'" "

......
· f ...
,:1,:
'h-
0 2 0 .4
..' 0.6 0 .8 1

Figure 1: A plot of 1000 points (,/(p), <pi+5(p)) for t he logistic map

t he values of X ,,- k, ' " , X " - I , but not (ex plicitly) on n . For t his class of models,
and for t he time series generated by t hese models, t he order, as defined in t he
introduction, is k , at leas t if I de pends in a non-t rivia l way on its first argument.
Mode ls of this form are called nonlinear autoregressive mo dels.
T he order esti mat ion as we discuss it here is a procedure for estimating t his
ord er k from a t ime ser ies of which th e mod el is not known. The meth od is based
on analyzing the pred ictability of the time series in ter ms of nonlinear regression.
Thi s means t hat we first estimate in prin ciple t he funct ional relation II :
R i ~ R between I-d imensio nal reco nstruction vectors an d thei r next element in
the t ime series, i.c , between (Ri(X) )" = (X n . · · · , Xn+l- il and X n +i , taking into
account th at th e functional relation is not exact . bu t perturbed by noise. Without
going into a ll det ails, the idea is that in order to estimate t he value of I I at t he
=.
=,
a vect or we consider t he set of i-di mensiona l reconstru ction vectors which are
with in some distance h > 0 from where h will be referred to as t he bandwidth.
T he value of II (E) is then estimated to be t he average of the next clements of each
of t he selected (nea rby) reconst ruction vectors (in order to avoid discont inui ties
412 FLORIS TAKENS

one considers all th e reco nstruct ion vecto rs, but wit h a weight function , dep ending
on the dist an ce from =:. pu tting t he mai n emp hasis on vectors wit hin distance h).
Note t hat th e value of 1/ in point s, far away from the I-dimensional reconstruct ion
vectors, say at a dist an ce grea te r t ha n h, is poo rly est imated , but for t he following
of no imp ortan ce. So th is gives a proce dure to pred ict a new element of th e ti me
series in terms of its I proceedin g elements, which depend s on th e bandwidth h.
\V'e refe r to t his as nonlin ear regression with ban d width h .
Next we want to est ima te th e vari an ce of t he erro rs of t hese predictors. T his
is done by a so-called cross valid at ion proce d ure : for eac h reconstruction vector
('R.t(X )n we com pa re t he value of th e next clement X,,+l of the ti me ser ies with
th e valu e ll ,,,(('R./( X),, ) and use this as a n est imate of th e predicti on er ror at
('R./(X )" . Here i.; is an est ima te for [t , esse nt ially obtai ned as a bove, but withou t
using th e n t h reconstruct ion vector ('R./(X) " a nd its successor (ot herwise we would
usc a predictor bas ed on forekn owledge). The average of all t he squa res of t hese
est ima te d errors is th en th e est imate of th e vari an ce of t he errors of the non-linear
regression of order I an d bandwid th h. Next we determine num erically t he optimal
value of h, being the value for which th e esti mate of t he varia nce of th e pred ict ion
erro r is minim al. Thi s minim al value is th en our est imate a1 of t he variance of t he
errors of nonlinear regression at order I.
T his estimat ion is rep eated for various values of I and th e esti ma ted order k
is th en the value for which a~ is min imal.
It was proved in [CT ,1992], und er some additiona l ass umpt ions, th at , for
time series from nonlin ear autoregressive mod els, th e above procedure yields a
consiste nt est ima te for the orde r of a time series. Consiste ncy means here that t he
prob ability t hat th e est ima te gives a wrong resul t approa ches zero if the length of
t he t ime series, to which t he procedure is a pplied , increases. In [CT, 1994] it was
proved th a t t he data requiremen t for th is order est imation is much less t han for t he
usu al di mension esti mation: t he requ ired length of th e time series is prop ortional
to th e square of th e orde r, where for estimating th e dim ension one needs th e length
to be pr oportional to th e exponent ial of the dim ension [R,1990].
\Ve conclude thi s section with some remarks on t he relat ion between t hese
nonlin ear au to regress ive mod els and the reconstruction measures defined befo re.
If X is a time series generated by th e a utoregressive model

th en ! (X,,-k , '" , X n- d is ju st the expectation value of ll (x n- k. .... X ,,- ll , th e con-

ditional probabilit y measure obta ined from Ilk+! (X) as before. and th e probability
distribution, from which IOn is t aken , is, up to a t ran slation in order to make the
expectation value zero. equ al to / 1(X n_ k. ... ,X n_ ll. So, heuristi cally. one ca n say t hat
the ord er of a time ser ies is at most k if no new informat ion. useful for making
better pred icti on, can be obtained from the reconst ru ction measures Il k' (X ) for
k' 2: k + 1. Note th at due to t he reco nstruc tio n th eorem , th e order. in th e present
sense , of a t ime series is from a det erministi c system is always finite.
 EST IMAT ION O F Dl"IENSIO N A!\"D ORDER OF TI ~IE S ERIES 413

4 Ord er est imation accord ing to Savit and Green

In thi s section we give a description of th e ord er est imat ion following t he ideas of
Sevi t a nd Green , see [SG ,1991]. It is based on th e correlation int egrals. In order
not to overload th e notation , we denote th em here and in th e next sect ion by
p k(E) instead of P,.(ttdX )); We define p O(c: ) to be zero for all values of E. Our
present ation, in terms of redu ct ion factors, d iffers somewh at from th e or iginal
presentation: we found the present ation of th e results of simulati ons in term s of
th e redu ction fact ors convenient.
In th e simp lest case (or der zero ) this a pproac h is th e same as th e B.D.S. test ,
see [BHL, 1991], which can be summarized as follows. On the basis of th e heur ist ic
description of the not ion of orde r at t he end of th e last sect ion, one could say th at
a t ime series has order zero if it can be considered as a sequence of i.i.d . samples
of a fixed distribution (i.i.d . mea ning identically and independently dist ributed ).
Indeed in that case one obtains no new information, leadi ng to better predictions,
from the previous valu es of t he ti me series - t he only relevan t inform ation is in
th e order one reconstruction measure. Such a test for a tim e series to be i.i.d ., in
term s of correlat ion integ ra ls, is based on t he observat ion th at if a t ime ser ies is
i.i.d ., then for all E a nd k , p k(c: ) = (pl(c:))k . Note that, for t his rela tion to hold ,
we need to take as distan ce between reconstruction vecto rs t he maxim al difference
of t heir components. From now on we ass ume that th is maximum, or loe, norm is
used whenever t he corre lat ion integral s of reconstruct ion measures are conside red.
T he B.D.S. test consists of verifying whet her these inequa lit ies hold, wit hin the
limits of the expected estimation errors, for t he estimated value s of p k(E ).
T his test is related with pred ictability in th e following way. We define the
reduction factors as pd t: ) = p k+1 (E )/ pk (E) , for k = 0, 1, · · ·. This is a measure
for th e pred ictability of a tim e series at length scale c: in terms of th e k preceding
clements : if we wan t to pr edict a new element X n we look for a (past) value of m
such tha t th e reconstruct ion vect or (X m- k , '" , X m- rl is componentwi se within
dist an ce E: from th e reconstruct ion vect or Xn -k: ' " , X n- 1 - th en th e prediction
th at X n will be wit hin distance E from X m will be correct with a probability Pk(E).
T his follows direct ly from the definition of th e correlati on int egra ls.
If pk (E:) = (Pl (c: ))k, then Pk(E) is independent of k which is consiste nt wit h
t he interpreta tion of order zero as mean ing t hat predict ion cannot be improved by
using information abo ut previous elements (ot her tha n in the form of inform ation
from t he reconstruction measures).
Alth ough we can use t he reduct ion factors pdE) to compare th e predictability,
at a fixed length sca le E, in terms of t he numb er of preceding terms used , it cannot
be used easily to compa re th e pred ict abili ty at different length scales: often for
E < E' one has t ha t Pk(E) < Pk(E'), bu t thi s ca nnot be used as an indi cati on th at
th e predict ions at the bigger length scale are better because it only mean s th at t he
pred ictions at t he bigger length sca le have a greate r probab ility of being corr ect ,
but , since t he predict ion interval is bigger, t hese pred ictions are weaker.
414 FLORI S TAKENS

Here we point out th at in [SG,I!J9I] th e time series are a na lyzed not in terms
of th e reduction factors, but in term s of th e qu antities

an d

We est imate pd c: ) by taking t he quoti ent of th e est imat es for p k+l (c: ) a nd
p k (s) . In order to deriv e an esti ma te for th e vari an ce of th e est ima ted red uc-
tion fact or Pk(C: ) we proc eed as follows. Suppose we find m different pa irs of k-
dim ension al reconstruction vectors ((Rd X ))i , (Rd X ))j) , with i < j , which ar e
within dist an ce e. For each of th ese pairs we ca n test whet her th e k + l- d imensional
reconstructi on vecto rs , obtained by add ing th e next element in t he t ime series to
eac h of th e reconstruction vect ors, a re st ill wit hin dist ance e. Th e probability th at
this is t he case is by definition equ al to pdc:). If we take 1, resp. O. as the outco me
of th e test if th e new vectors ar e, rcsp, are not , wit hin d istance e, th e expec ta t ion
value of th e outcome is Pk(C:) and its var iance is pdc:)( 1 - pdc:)) . T he est ima-
t ion of Pk(C:) is eq uivalent to per formin g th is test for all t he m pairs a nd taking
th e avera ge. T his leads to t he expectat ion value Pk(C:) and sta nda rd deviation
v pd C:)( l - Pk(f )) /m .
The ab ove consideration suggests a n a lte rna t ive definition of order , this time
dep ending on a length sca le e, as th e sma llest value k such that Pk' (C: ) is ind ep en-
dent of k' as long as k' ~ k .
Some remark s concern ing thi s order at length scale e :

1. When est ima ting this ord er it is imp ortant to keep in mind t ha t it ca n be
underestimat ed du e to lack of da ta: if th e improvements of pdc:) with in-
creas ing k are small, t hey may be invisib le du e to the errors when est ima t ing
pd c: ), especially for bigger values of k a nd sma ller values of e, wher e t hese
errors a re bigger. We shall not pursue this point here bu t. for our num er ica l
simulat ions, j ust show the est ima te d va lues of pdc: ) as function of k ,
2. We remind th a t th e quantities Pk(C: ) as defined above a re related with t he
correlation entropy: if th e limit

lim lim Pk(E)

e-O k-cx:

exists, it equals t he cor relation entro py. Esp ecially for time series gener ated
by syst ems with noise, the last limit c: -> 0 usua lly diverges to co while the
first limit k -> oo usually exists for fixed values of e.
3. In spatially extended systems it may be t hat the orde r is not defined (or
infinit e) but t hat the ord er at some positive length scale is well defined.
Discussing th e numerical simulat ions we sha ll come ba ck to t his.
 EST I~IAT ION OF D1MENSIO " AND OR DER OF n"IE SE RIES 415

5 Numerical simulations
In this section we discuss a number of numerical simulat ions related to the items
discussed above, in part icular the esti ma tion of dim ension and ord er in in th e sense
of Savit and Gr een . First we describe how th e results are present ed in th e figures
below, th en we comment on the results for th e d ifferent t ime series.

5.1 Organization of th e figur es

For each of the t ime ser ies we show first a genera l survey contai ning all th e com-
puted correlat ion integrals, th en we show the resul ts of th e est imatio ns of dim cn-
sions an redu cti on fact ors at specified length sca les. For each of t he figur es th e
und erlying time series is specified by a nam e, indicat ing t he dyn am ical syste m
which generated t he tim e series, and t he length of the time series, e.g. lIEN ON
1000 mean s th at we used a tim e series obtained by iterating th e Henon map (wit h
th e standa rd parameter values a = 1.4 and b = .3) 1000 t imes.

Survey of correlation integrals For each of the ti me series we first show t his survey
of all the esti ma ted correla tion int egral s. Before computing th e estimates of
th e corre lat ion integrals, t he time series were linearly scaled to make t he
d ifference between t he maximum and minimum value equa l to one. In all
cases t he sca ling of t he ax is is t he same. Horizontal is the e ax is which has
a logarithmic sca le running from .959 ~ .002 to 1. T he vertical ax is shows
t he values of th e esti ma ted pro babiliti es, i.c. t he est imated values of t he
correlation int egrals, in a logarithmic sca le running from .00001 to 1. For
each value of k = 1" " , 20, th e estimates of pk(::) are plotted as a grap h
of a function of e; in fact t hese est ima tes were calculate d for e = .9' wit h
i = O. 1, · · · , 59. Since for eac h k < k' , we have p k(=) > p k' (e) , these graphs
are orde red so tha t t hose with low reconst ru ct ion dimension are above t hose
with high reconstruction dim ension . The fact th at th e computations were
carr ied out for e equa l to the successive powers of .9, explains the length
sca les used below: th ey are all powers of .9.
Estimated dim ensions In t hese figures we show th e est imated dim ensions (vertical
axis) as fun ct ion of th e reconstruction dim ension (horizontal ax is). For each
diagram, the value of e is ind icated in t he ti tle after 'at dist an ce'. For each
reco nst ructio n dim ension two values are shown: t he est ima ted value plus
and minus th e esti mated standa rd deviation . This est imate for t he standard
deviation was calculated essen tially as indi cat ed in sect ion 2. In cases where
t here were no data, t he values were omi tted .
Estimated reduction factors These figur es show t he esti ma ted redu cti on fact ors
Pk(=) (vert ical axis) as function of t he reconstructio n dim ension k (hori zont al
axis). T he value of E: is given in t he tit le after 'at dist an ce' . Also here we
show th e est ima ted value plu s and minu s the est ima ted standard deviation ,
est imated as in sectio n 4.
416 F LO RIS TAKENS

5.2 Remark s on th e different time series

HENON 1000 Here we used a tim e series from t he Henon map , with th e usual
param eter values a = 1...l , b = .3, obtained by 1000 ite rations. The first coordina te
was used as read- out functi on. The figur e survey ing th e correlation int egrals is
sta ndard and already ap peare d in many publications. Note th at for small values
of th e probabilit ies, i.e. near t he bottom of t he figur e, th e curves look sha ky, du e to
th e big relati ve estimation err ors . The est imates of t he dim ensions were mad e at t he
length scale .1668 and are consisten t with t he valu es in t he literature betwee n 1.2
a nd 1.27, see [GAP,1983]. The red uct ion factors were est ima ted at t hree different
length scales: .5905, .1668, and .08863. We expec t this redu ction factor to st ar t low
for reconstructi on dim ension 0 a nd th en to increase till it reaches th e final valu e
- th e reconstructi on dim ension where t his final value is reached is th en th e order
of th e time series. Thi s is indeed what we sees for th e sma ller length scales, bu t
not for th e biggest length scale where it decreases wit h t ime. Th is effect was also
observed in [SG,1991] and attribute d to th e non-u niformn ess of expansions. We
think that th is effect requires fur t her investigati on . The sa me effect also ap pea red
for the oth er time series which we investigated , usu ally for length scales bigger
th an the ones which we show in our figur es.
Especially at the sma llest length scale it is clear that t he correc t value of t he
orde r (two) ca n be dedu ced from the redu cti on fact ors.

HENON 100 T hese figures were obtained from t he sa me Henon map but now only
using 100 iterat ions. Th is in order to show how th e len gth of t he ti me series affects
th e resul ts.

2LOGIST 1000 For t he next figures we used a tim e ser ies obta ined by adding two
(independ ent ) tim e series of 1000 iterations of th e logisti c map x 1--+ 4x( 1 - x )
with differen t , a nd rand omly chosen , initial points. From t he resul ts we see th a t
th e est imation of th e dimension works only well at t he length scale .08863. T he
fact t hat t hese dim ension est imates have t he strong tende ncy to increase wit h
the reconstruction dimension is related with the rath er high entropy if thi s map .
On e can show ana lyti cally th at th e order of thi s system is 2. This agrees with th e
est imates of th e red uct ion factors, t hough at th e length scales .0471 and .02503,
one may doub t wheth er t he order is 2 or 3. The fact th at t his way of est imating
t he order can also lead to an overest imation was observed ill [SG,1991] an d also
at tri buted to the expansions not being uniform . It may be also d ue to th e fact th at
two states, whose reconstructi on vect ors of dimension k + 1 are wit hin dist an ce E
are in genera l closer th an two states whose k dimension al reconstruct ion vectors
are within dist an ce E. even for systems with ord er j; k. It may be interest ing to
obse rve the following. Since we know th e ent ro py of t his map to be 2ln 2 = In 4,
we know t hat th e limitin g value of the redu ction factor (for sufficient ly small E a nd
sufficiently big k) should be 1/ 4. This is ind eed what we find at th e len gth sca le
.02503. On th e much bigger length scale of .08863 however , th e redu ction factors
give alrea dy a clear ind ication of th e correct orde r.
 E STIMATIOJ'\ OF DII>I EI'SION A ND ORD ER OF T IME SE R IES 417

12 CHENG TONG 1400 For the next sequence of figures. we used 1400 iterations
of a syst em which was a lso used by Cheng and Tong to test th eir pro cedure to
estimat e th e order of a time series . It is defined by the following equ ation :

X" = .I X n- 1 + (- .5 + .2e xp -·1 X:'- ,v)X n _ s + l.1 e-" ,

with N = 12 and en random clement s from the uniform distribution in [- .5, .51 .
Note that thi s equ ation is in the form of a nonlin ear auto regressive mod el. Clearly
th e ord er of thi s system is N = 12. The dimension est imat ions don 't give a clear
hint to some specific dim ension , only mayb e an indicati on how th e dim ension
estimates grow with th e reconstruction d imension.
The estim at es of th e redu ction fact ors reveal the following aspects, At th e
length scale .81, we see the same effect as for th e tim e series from th e Henon map
at a big length scale: th e redu ction fact or decreases for increasin g values of th e
reconstruction dim ension (up to reconst ru cti on dim ension 11). Next, at th e length
scales .5905 and .4305 there is a clear indi cation th at th e ord er is 12. At the next
length scale of .3138 no t ra ce of th e ord er 12 can be seen any more.
Comparin g th ese results with th e simulations of Cheng a nd Tong [CT,1994 ],
we found th at th e method of est imat ing t he ord er with redu ct ion factors requires
mor e dat a: wit h tim e series of thi s syst em with 700 (for which th e Cheng Tong
method is st ill reasonably reliable] or less iterations. th e results were much less
clear. Also we sec th at , at least in thi s case there is a rather narrow interval of
length scales at which one ca n successfully det ect the ord er.
SPACIAL HENON 2000 As final example we investigated a tim e series which was
obtained by taking th e sum of five independent time series of th e Henon map
(with th e usual par ameters), but multiplied by different factors, nam ely 1, 1/4 ,
1/9, 1/16. and 1/25. Thi s was done in order to simulate th e effect of a spati ally
exte nded syste m with man y (in principle infinit ely many ) indep end ent sources
wher e one observes a signal which is a sum of th e cont ributions of th ese different
sources , but with a weight dep ending on th e dist an ce. This time series has 2000
elements . The estimations of th e dim ensions do not seem to converge to a fixed
value for increasing reconstruction dim ension . It is however remarkabl e th at th e
estimates of th e dim ensions a t th e length sca le .3138 arc much lower th an tho se
at th e length sca les .5905 and .1668 - I have no int erpretation for t his.
Th e est imate d reduction factors seem to indi cate an order around 10. This
happens to agree well with th e simple argument: Henon has order 2, hen ce we
expect an increase of the orde r by 2 units for each Henon attractor which we add.
This interpret ation seems to me to be too simplistic. Also we see th at th ese est i-
mates of th e redu ction factors give important inform ation abo ut th e predictabili ty
of thi s tim e series: th ey indi cate clearly that th e predictability is optimal at the
smallest length scale .0471, in particular when basin g th e predictions on th e 10
(or 8 to 11) most recent observations.
Acknowledgement. It was ;\/. Casdagli, who mad e us aware of th e work of Savit
and Green .
418 FLORIS TAK E i'\S

•.• r---''"_O'.:::' •. "::""000"""100'" ~_.:.:.:

..::.. 'acto .... t ..o~
"'= • •~
...~
••a

_ "_
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HI:"O" 18118 ; ,11 ..... 10 . . . '<11 ' .;.::.
...~ .. _

'.---.---~

11.71
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.. S

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. . :.: : :~.':;"O~""~O':::'oo~'o:.:'.~'.~'
H1:1l0" 188 ; ........ Clt .. .. ::ct01' .1 <Ih h nc
ISe 11.1668
HEItOII 11118 " is. I . 166011
.......e
_

•. z
 ESTI MAT ION OF DIMENSIO N AND ORDER OF T Il-IE SERIES 419

2 LOGI S ' le e,, ; r edu ct i o .. la c t or .. , 4l s t . nee l!I. 16E>8

2 LOlO l ST t B!n l ; r . "uc \l o n , • ., to r .. t •.• t .... e .. 1"88 8 6 ]

' .l - -;:-- ---,:,--- ;:- -!

• •l - -;:-- ---,:,--- ;:- -!

I
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<->
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••~-----:-----",-----~-----,J. .,~---:-----,:----;---:---;---;--~
420 FLORI S T AK E NS

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12 CHI Ne; t ollte t 41l1l; .. . .....ct l .. .. I . e , o . a t •• • t . ..e e 1 . 4 3115

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I % C" I " " t OI" i 14 • • : ...... "'1 • • '. <:'... . 4 . 1. ' • ..., • • . ] 1 38

••L...::.:=...._---,;- ... ., , •.6.L , ., ,, ,

 EST IMAT IO N OF DI ~ IE N SI O N AND ORD ER O F T I:\IE SE R IES 42 1

Sl"I'IfiM. toI
DU l z- - - - - - - - - - - - ---== __•

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• " lr ,7/ ~-----:::::-
~ -...:--~ 1
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••o----~---~:_---:-:----__::'.

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- 7;-- 7:"""- -:0-- :;--___7.

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••! -- - --:- - - - 7;-- - - -'O-- - ----;' ••! ---;----:- --;- - -;- - --;'; -- -;:;-- -;
422 FLORIS TA K ENS

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Progress in Nonlinear Differential Equations
and Their Application s. Vol. 19
© 1996 Birkh auser Verlag Basel/Switzerland

On the computation of normally

hyperbolic invariant manifolds
H.W. Broer I-LM . Osinga* G. Vegt er!

Abstract
\Ve present a method for t he numerical computa tion of normally hyper-
bolic invariant manifolds of discrete dynamical systems. T he algorithm com-
putes the invariant manifolds !HIe for a C 1 family of diffeomorphisms f . ,
parametrized by e E JR, provided the normally hyperbolic invariant mani-
fold lHfo of fo is given. Th e algorithm also computes the stable and unstabl e
manifolds of !HIe. Examples illustrate the performance of th e method .

1 Introduction
In thi s paper we continue the rese arch st arted in Homhurg, Osin ga and Vegt er [6]'
by considerin g the problem of num eri cally computing normally hyp erbolic invari-
ant manifolds of C 1 diffeomorphisms , defined on a C 1 manifold M . More pre-
cisely, we consider perturbations of a C 1 diffeomorphism f o : AI -> AI, having a
I-normally hyp erbolic invariant man ifold Hi: For simpli city we ass ume th at H o
is comp act . According to the Invariant Manifold Theorem, see [4], any C 1 diffeo-
morphism , th at is near fo with resp ect to th e C1-norm. has an invari ant manifold
ncar H«. In particul ar , a one-para me ter famil y f , of C 1 diffcornorphisms , dep end-
ing continuously on the param et er E E JR, has a one-par am eter family of normally
hyp erbolic invariant C 1 manifolds H , near H o, at least for small valu es of E . Our
goal is to deri ve an algor ithm t ha t computes, for a given family f" t he invari ant
manifold H, . As with many num er ical methods we need a good initial guess of the
obj ect we want to comput e. In gen eral thi s ass umpt ion is necessary to guarantee
uniqueness of the obj ect we int end to compute. Therefore a repr esentation of the
manifold H o is part of the input of the algorithm.
Hir sch, Pugh and Shub [4] is a n extensive treatment of normally hyp erbolic
invari ant manifolds. For related work on invari ant manifolds and hyp erbolic dy-
namic al syst ems we refer to Palis and Takens [7J. Ruelle [8], and Shub [9].
'S upported by NWO grant 611-306-523
t Address of all authors: Department of Mathematics and Computing Science, University of
Groningen, P.O. Box 800, 9700 AV Groningcn, The Nethcrlands. Email: broer «lmath .rug .nl ,
osinga«lcs .rug .nl, vegter«lcs.rug.nl
424 H .W . BROER , H .l\l. O SINGA , G . V EGT ER

Section 2.1 contains a brief review of th e Invar iant Man ifold Theorem. We
closely follow th e a pproac h of [41 in t he developm ent of our algorit hm. However,
computations involving geometric obj ects like manifold s, maps and bundles, re-
quir e finite and unamb iguous represent ati ons of th ese objec ts. To facilit ate such
repr esent ations we restrict ours elves to diffcornoorphisms whose domain is an open
subset of lR.d , see sect ion 2.2. In thi s context we design an algorithm t ha t has a
st ra ight forward implement ati on , a nd yet covers many interesting applica tions.
Sect ion 3 describ es a special version of th e algorithm in the simple case of
absence of norm al expa nsion. It present s th e graph transfo rm as a key ingredi-
ent of t he algorit hm, sec secti on 3.1. Th e graph tr ansform , associated with t he
diffeomorphism f" may be considered as a cont rac t ion, defined on t he space of
embeddings of lln in lR.d . (For brevity 's sa ke we arc cheating a littl e here, since t he
gra ph tr ansform is act ually defined on the space of sections of a cert ain norm al
bundlo.) Its fixed point is an emb edding, whose image I1]" is th e invari ant manifold
of f e. The image of an embedding under th e gra ph transform is defined , however ,
in ter ms of an impl icit equa tion. To solve thi s equat ion efficient ly we first der ive
a global version of Newton's method in sect ion 3.2, th at may be of some indep en-
dent significance. Thi s rather general method is applied to th e computation of th e
normally hyp erb olic invaria nt manifold lHlE of I, in sect ion 3.3, that also conta ins
rather precise est imates concern ing th e speed of convergence of th e algorit hm. The
computat ion of th e Df e-invariant spli t ting of th e tan gent bundle (see sect ion 2.2
for a definition) along lH!e is described in sect ion 3.4. We also indicat e how our
algorit hm can be used to compute invari an t manifolds in a continuation context,
where th e pa ram eter E ran ges over an interval th at is not necessarily small, see
sectio n 3.5. This sett ing arises frequently in applicat ions.
We sketc h th e genera l case in sect ion 4. Here we descr ibe th e computat ion
of th e normally hyp erb olic invariant manifold , a nd its stable and unst able mani-
folds, when both norm al expa nsion a nd norm al contract ion a re present . Section 5
contains some numerical exa mples, illustrat ing t he method first in t he simple case
of absence of nor mal expa nsion, see sect ion 5.1, a nd subse quent ly in th e general
case , see sect ion 5.2. Fi na lly, we show, in section 5.3, how to apply t he method to
compute th e invari ant manifold of th e Poincare first -return map of a cont inuous
system .

2 Norm ally hyperbolic submanifolds

2.1 The Invari ant Manifold Th eorem
Fi rst we present an overview of some bas ic definit ions and result s from [4]. Consider
a C 1 diffeomorphism f o on a Cl manifold AI, having a l-mormally hyp erbolic
invari ant mani fold Hi, C M . Recall th at H I) is r -normally hyp erbolic for fo , r 2: 1,
if there is a cont inuous Dfo-invariant splitt ing

I Ho(M) = N"(H o) EB T(Ho) EB W (H o).

 0" T HE COMPUTAT ION OF NOR "I A LLY HYPER BOLI C . .. 425

a nd a Riemannian structure on th e t angent bu ndle T Elo P I) , such th a t , for r E Hi,

and 0 < «<r :

I D f oIN; (Ho) I ' II(D foITr(Ho))- l llk < 1,

(1)
I (Df o I N;'( llo )) - I II · II D fo I T,.(H o) Ilk < l.

Here the norms are assoc iate d wit h t he Rieman n st ruct ure on Tllo(llI) .
According to th e Invariant Manifold Theorem a Cl diffeomorphism f , that
is CI - near fo, has a lvnorm ally hyp erbolic invariant man ifold H , t hat is C 1 and
C 1- near H«. In part icular, t here is a conti nuous Df-inmriant splitt ing T El (i\ f) =
N"( H) i£J T (H) EEl N "( H ), of th e t an gent bundle TH(M ). Our primar y goal is the
comput atio n of both H and th e invar iant splitt ing of TH(Al ). Fur th ermore the
Invariant Mani fold Theorem states t ha t , for some neighborh ood U of H , th e sets

~F" (H ) = n r " (U ) a nd W " (H ) = n

Tl ~ O
j" (U )

are C 1 submanifolds of M ; t an gent to T,.(H) e N,~ (H ) and 1~ (H ) EEl N;'( IJ) , at

r E IJ. Th ese manifolds, called t he stable and unstable manifold of IJ , can also
hI, compute d using t he meth od developed in th is pap er. as we describ e briefly in
sect ion 4.1.

2.2 Normally hyp erbolic subrnanifolds of :R,d

Let f o : U C jRd -> ]Rei be a diffeomorphism, defined on a n ope n subset U of IR.'i ,

having a I-normally hyp erb olic invariant man ifold IJo C U . (We usually write
fo : ]Rei -> ]Rei, even t hough in genera l U is a prop er subset of ]Rei .) We ass ume
th rough out thi s pap er t hat Ilo is comp act . In thi s sect ion we describ e how to
roprescnt th e geomet ric obj ect s that show up in th e comput at ion of invari ant
manifolds. t akin g adva ntage of th e fact th at th e amb ient manifold is a euclid ean
space.

Representation of the invariant manifold

Let <.po : H o -> ]Rd be t he cano nical embe dding of IJo. We distinguish between t he
abstract manifold H o, and its image <.po( Hol. which is a subma nifold of ]Rd . To
st ress thi s distin ction , we den ot e <.po(H o ) by lHlo. The t angent space T <po ( r ) (<.po(Ho))
is denot ed by 11r (IHIo ). Since fo leaves lHlo invari ant, th ere is a diffeomorphism
0'0 : H o -> H o such th at fo (<.p o(r )) = <.po(O'o (r )), for r E H«. It s inverse is denot ed
by go. Not e th at 0'0 an d go may be regard ed as th e restriction of f o a nd f l to
Ho, resp ect ively, See also figure 1. Alth ough th e distinction between th e abstract
o
manifold H o and its <.po- image lHlo in ]Rd involves ra t her exte nsive not ation, our
int ention to develop algorithms th at man ipulate geometric object s like manifolds ,
map s, and bundles, requires that we are quite specific about th e representation of
th ese obj ects. So th e 'user' of th e a lgorit hm may e.g. choose to represent point s on
JI o by th eir coord inates in ]Rd , in which case 'Po is th e inclusion map of Hi, in ]Rd.
426 H .W. BRO ER, H .M . OSI NGA , G. V EGT ER

However , in some applications it may be mor e natural to repr esent the manifold
Hi, by coordinates th at are ada pted to the dyn ami cs of fa on H o. like th e case in
which H o is a (higher-dimensional ) toru s, represented by angular coordinates.

Ho
- - - - -I?o- - - -
..
Figure 1: The ab stract manifold H o and its embedding in Rd.

Representation of normal bundles

The restrict ed context, in which t he ambi ent manifold is IR d , ena bles us to identify
th e stable and unst able normal bundles with cert ain subsets of JRd. To sec thi s, let
the dim ension of Ho be denot ed by c, and th e dim ension of t he fibers of NS( Ho)
and N "(Ho) by sand u , respectively. In par ticular , c + s +u = d. Note th at ,
for r E H 0, th e space T; (H 0) corresponds to th e affine subspace :';0 (r) + 'TI'r (lH!o)
of IRd • Similarl y N;(Ho) and N;'(Ho) cor respond to affine subspace's of IR d , going
th rou gh th e point c,:o (r ) E !HIo . They are th erefore of th e form 'Po( r) + N; (!HIo ) and
'Po(r) + N~ (IH!o ) , resp ecti vely, where N; (IHIo) and N ~( IHIo ) arc s- dimensiona l and
u-dimcnsion al subspaccs of jRd. We identify T <po(r )( ]Rd) with 'TI'r(lF.:o) EB N; (IHIo) e
N~(lHro ) . Fin ally

n~ : IRd --> 'TI'r (!HIo) , n: : jRd --> N;(IHIo ) and n ~ : IRd ..-. N~(IHIo) (2)

arc th e ca nonical projecti ons.

The Riemanni an metric on jRd induces an inner produ ct on th e spaces 'TI'r (1HIo) ,
N; (IHIo) and N ~(Ho) . We represent thi s pointwise inner product by bases, consisting
of vectors in IRd , th at are by definition orthonormal with resp ect to th e Rieman-
nian structure. More specifically, consider an orthonormal basis vf( r) , ·· · , v ~ (r ) of
N;(IHIo) , for r E Ho. Note th at in general th e vector valued funct ions v;' : Ho ..-. IRd
are not globally continuous, since thi s amounts to triviality of th e normal bundle
NS(H o). However , in this paper we make the following ass umption:
 ON T HE COMPUTAT ION OF NO RMA L LY HYP ERBOLI C . . . 427

Assumption 1 (Triviality of normal bundles)

There are C O functions vl" " 'v~ : Ho ---7 !Rd such that vl(r ) , · ·· ,v~ (r ) form
an orthonormal basis of f::l; (IHIo) , for r E H o. Similarly. there are CO functions
vf , " ' ,v;; : H o ---7 IRd sueh that v1'( r), ···,v;;(r) form an orthonorma l basis of
f::l~( IHIo ), for r E He :

The identificati on map i; : f::l;(IHIo ) ---7 JRs is defined by

i:.(2:>lv1(r) ) = (1)L· ·· ,1): ). (3)
i= l

:
The identification map i :~ f::l ~( IHIo) ---7 IR" is defined similarly.
Due to th e tri viality of th e norm al bundle the manifold Hi, has a neigh-
horh ood in IRd th at is diffeomorphic to H o x R' X IR". More precisely, th e map
<l> : H o x IRS x IR" ---7 IRd , defined by
S It

<l>(r,1)8,1)") = 'Po(r ) + 2>: v;'(r) + 2:>)'v;'(r) ,

i= 1 i= 1

is a diffeomorphism from a neighborhood of li o x {O} x {O} to a neighborhood of IHIo

in IR d . Note that <l>({ r}x IR' x{ O}) = f::l; (IH!o), and <l> ({r} x{O} x IR") = f::l~(IHIo) . The
maps Toe : Rd ---7 H 0, tt s : IRd ---7 IRs and IT" : IRd ---7 R" are defined on a neighb orhood
of IHro by mapp ing inverse images under <l> onto H o. IRs and R" , resp ectively, und er
th e ca nonical projections. In th is way we identify th e sta hle norm al hundle N 8(Ho)
with th e space Ho x IR8 , and th c unst able norm al bundle N " (H o ) wit h Ho x IR" .
Therefore it is ju stifiable to refer to maps 1( : H o ---7 iRs and 1)" : H o ---7 IR" as
sections. \Vith a pair of sections (1)s, 1)" ) we associate th e embedding 'P : Hi, ---7 IRd ,
defined by 'P(r ) = <1>(r ,1)8(r) ,7)"(r)) . In particular , the emb edding 'Po is associated
wit h the O-sections of t he normal bundles. If fo is defined on a manifold other than
IRd , or if th e norm al hundles are not t rivial, th e methods of th is pap er st ill apply.
However , the need for local coordinat es introduces more com plicate d (multiple)
repr esent ations of the geometric obj ects th e algorithm manipulat es, cf [8] for a
proof of th e Invariant Manifold Theorem along th ese lines. A different approa ch
ca n be found in [4], where the exponenti al map , associated with th e Riemanni an
metric, is used to identify a neighborhood of th e O-section in the normal bundle
with a neighborhood of IHIo in th e ambi ent manifold. It seems hard to turn th e
latter method into an efficient algorit hm.

Representation of derivatives
In computa tions it is important to have explicit repr esent ati ons for th e derivative
of e.g. fo in points of lHIo , cf (1). Since th e linear spaces f::l ;(IHIo) , r E H o, form
a D fo-invariant family, there are globally defined C O functions K i j : H 0 ---7 IRd ,
1 ::; i ,j ::; s , such th at

Dfo(cpo(r))(vl(r) ) = 2:>lk )vJ(a o(r )),

j=1
428 H . W . BRO ER , H .iVI. O SINGA , G . V EGT ER

for i = 1,· · · , 8 . Let 1\o(r ) be th e 8 x 8 matrix with entries Kij(r ). Similarly there
arc CO functions K'tj : Hi, ---> IR d , 1 :s; i,j :s; u , such th at

Dfo(cpo(r) )(v;'(r )) = I>: ;j(r) vj' (<7o (r) ).

]= 1

for i = 1, " ' , 11. Let K o( r ) be the 11 x 11 matrix with ent ries K:}(r ).
Th en tl- norm al hyperbolicity of lHIo boils down to X" := sUPrE/[o II K o(r) II < 1,
and ..\U := sUPrEHo I 1\o(r)-1 1 < 1. Here we take th e matrix norm with resp ect
to th e standard inn er product on IRs and ]Ru , respect ively. Although th e mat rices
[((~ (r) a nd [(0' (1') do depen d on th e part icular choice of th e funct ions vi, 1 :s: i :s: 8,
an d vi , 1 :s: i :s: 11, th eir norm s arc independ en t of thi s choice.
To exp ress J - uorm al lujpcrbolicitu, let VI(r) , . .. , v~ (r) spa n t he tan gent space
1f,.(IHIo). (Note t hat in general vf is not globa lly conti nuous. since thi s would
am ount to parallellizah ility of 1HIo. ) Since IHlo is f a-invariant , th ere arc locally de-
fined Oij (r) E ]R, 1 :s: i. j :s: c, such tha t

c
Df o(r.po(r))( vf(r)) = I> ij (r )vj (<7o(r )),
j= 1

for i = 1" " , c. Let Ao(r ) be th e c x c- rnat rix with entri es o ij( r). Then u" :=
sUPrEHo II[(o(r)IIIIAo(r)-1 11< 1, an d It ": = sUPrEHo 1IIq'(r )- I IIIIAo(r) 11 < 1, since
IHIo is a 1-nor:nally hyp erbolic invar iant man ifold for f a.

Perturbation context
We study diffeomorphisms on ]Rd th at are CI - nea r fa . l\Iore sp ecifically, we restri ct
to a pert urbation context in which th ese diffeomorphisrns occur in a C I family
f : ]Rd x ]R ---> IRd , such th at f o(p) = f( p, 0), for p E ]Rd.
In t his sett ing families of cmbeddings , sections of bundles, etc ., arc map s
Y : X x IR - t Y , dep end ing on (x, E) E X . Here E E IR is considered as a parameter,
ra nging over some neighbo rhood of 0 E lR. Individu al members of a famil y like
yare denot ed by subscript ing t he family nam e with th e parameter nam e, e.g.
Ye(x ) = Y(X, E). T his conventio n applies thro ughout t he paper.

3 Special case: abs ence of norm al expansion

In thi s section we develop a n algorit hm for the computa tion of t he invaria nt man-
ifold in th e special case of abs ence of norm al expansion, viz NU(H o) = O. If no
confusion is possible we drop th e superscript 8 from our not ati on . by writing e.g.
[(orr), Kij( r) , ..\, i ; instead of [(8(r) , Kij(r) , ..\s, L; , etc .
 0 1\ T HE Cm. 1PUTATIO:\ OF 1\ORM A L LY H Y PERBOLI C . . . 429

:\.1 T he graph tra nsform

Our goal is to obta in t he normally hyperbolic invari ant man ifold IHl< for f E by
r-onst ru ct. ing an embedd ing y , : H u -. ]Rd wit h lEI, = ";EHo. \\'e follow [4), by
considering special embeddings associated wit h sections 'IE : H o -. JRs accord ing
to Y .(l') = <P (r, '1, (1' )).
T he graph of a sect ion 11: H o -. ]Rd is t he subset gra ph(ll) of 1Ftd , defined by
gra ph( ll) = {<I> (r , '1(1' )) I r E Ho }· The graph transform f f , is un iquely det erm ined
by th e condit ion that it map s a sect ion h, : H o -. RS onto a section 11< : Hi, -. 1Fts ,
such t hat f , (gra ph(h , )) = graph (II< ). In other words. th e point <p (r,ll (l',c )) is
uf the form f «I> (y (r,e) , h(g(r,e ), c))), where g(r, c) E H« . We define t he graph
tran sfor m f f on fam ilies of sect ions, i.c. we take f f ('1)(I', =: ) = r f , (lh )(r ), Let
~ ( =: o ) be th e space of cont inuous fam ilies of sect ions h : Hi, x [-co, col -. JR", wit h
11 (1',0 ) = 0 for I' E H o. Sin ce IP.!o is f o-invar iant , th e O-s ect ion is a fixed point of
I' f ,l' an d hence L: (co) is invar iant und er r f ·
For h E L:(co) the famil y II = r f( h) is t he second component of t he soluti on
(o(r ,c ), 1} (I', e )) of the equat ion

F (y , lJ,1 ' , c) = 0, (4)

where F : Ho x JRs x Ho x lR-. ]Rd is defined by

F (g, 'I, r, e ) = f (<p (g, h(y, e) ), c ) - <p (I', '1), (5)

see also figure 2. Not e th at F is defined on a neighborhood of {(go(l'),O.r,O) I r E

H o }. Since irc <t> (r , 7]) = r , the solut ion of equat ion (4) can be obta ined by first
solving g(r, c ) from the equa tion

a (o, c) = 1', (6)

where a : H o x ]R -. H o is defined by

a (e ,c ) = ircf«I> (g,h(g,c )), o). (7)

In other words: g, : H o -. Ho is the inverse of a, : H o -. Ho, T hen '1 is defined by

'1(1', c) = irsf (<t> (e(l', c ), h(g(l', C), e )). 0),

Using th e fact t hat h (g,O) = 0 for II E ~ (co ) , we see th at

Co nsequ ent ly e(l', 0) = go(r) ,

Equ ation (6) can be solved by introducing local coordinat es on H o ncar go(l')
and r , and by num erically const ru cting a solut ion, viz a local inverse to a" in term s
of th ese local coordinates , However , we prefer to obtai n II globally , exploit ing t he
fact t hat we have identified th e bundle N S(H o) with a neighborh ood of IH!o in Rd
430 H .W. B ROER , H .t-I. O SINGA , G. V EGT ER

N~, ( r) (IHIo )
grap h(he )

Figur e 2: The graph transform r I, map s graph.( he) onto graph( n«). Its fixed point
he defin es an em bedding 'Pe : H o --> JRd by 'Pe(r ) = <P(r, he(r» , uh ose im age !HIe is
the norm allsj hyperbolic invariant manifold of f e.

und er th e mapping <P . To thi s end we t ran sform equa t ion (-1) into an equation of
t he form
G( y, r ,c) = 0, (8)
where G : JRa x H o x JR --> JRd is a C 1- funct ion defined on a neighb orhood of
<poH o x H o x {O}, th at sa tisfies, for r E H o:

G (<po(r) , T , 0) = o.
\\'e const ruct G in sect ion 3.3, but first we develop a global version of Newto n's
met hod for solving eq uations of the form (8).

3.2 A globa l version of Newton 's method

In this section we develop a rather genera l method for solving equations of t he form
(8). This meth od , which may be considered as a global version of Newton's method
for det ermining imp licitly defined funct ions , may be of some ind epend ent signifi-
cance. In thi s pap er it provid es a key subrout ine for th e algorit hms th at compute
th e normally hyp erbolic submanifold and its st abl e and unst able manifolds.
Fir st we consider in mor e det ail th e sp aces of functions we are working with.
In thi s general setting we consider a C 1- funct ion G : JRd x H o x :::? --> JR d , a nd a
Cl -functi on Yo : H o ~ JRd satisfying, for r E H o,

GWo(r ).r,O) = 0, DyGWO(T),T,O) is invertible. (9)

 O N T HE COM PUTATIO N OF NORMA LL Y H Y PERBOLI C . . . 431

(In our case Yo = 'Po .) Here DyGWo(r), 1', 0) is t he restriction of DGWo(r) , 1', 0) to
th e space TYo(r )( ]Rd) x {o} x {o} ; We denote t h is map by L(r}
Not e th at the solut ion of equ ati on (8) is a fun ction H o x ]R -> ]Rd, de fined
on a neighb orho od of Ho x {O} , and near Yo' The Newto n opera to r /1[ starts
with such a fun cti on, and computes a better approxima t ion to th e solut ion of
(8). 1\10re spec ifically, consider t he Ban ach space 8 (::0) of cont inuous fun ctions
y : H o x [- eo, eo] -> ]Rd , endowed with th e sup- nor m . viz
Ilyll = sup ly (r , e ) l·
rE ll o,1e 1"::'0

Here ly(r,e)1is the length of y(r ,e) E ]Rd wit h respect to th e standa rd inner
product on ]Rd. We conside r Yo as an element of t his space by identifyin g it wit h
the map (1', c ) f--> yo(r ). The Newto n opera tor N is defined on 8 (eo) by
Ny(r ,e) = Y(1', e) - L(r) -I . G(y(r,c) ,r,e ).
We first deri ve a pr ecise ex pression for JV y, that is usefu l in t he proof of later
results.
Lemma 2 Let G(y , 1', e) = Go(Y,r )+c G 1(y, r)+ 0(e 2 ) , uniformly fody , 1' ) in some
compact neighborhood of ((Yo(r) , 1') I r E Ho}. Then for y E 8 (eo):
Ny (r, e) = yo(1' ) - cL( 1') - 1 . G 1Wo(r), 1') + 0 (e 2 + IIy - Yo 2
11 ).

Proof. Conside ring t he Taylor series of G(y,1', e ) at Wo(r),r,O) we see t ha t

G(y , r, e) GoWo(1' ),1') + DyGoWo(r ). 1' ) ' (y - yo(r ))
+eG1Wo(r) ,r)) + 0 (e 2 + I y - Yo f ).
Since GoWo(r) ,1') = °and DyGoWo(r ), r ) = L(r ), it follows from th e definition of
N that
N y(r ,e ) = y(r,e) - L(1')-1 . L(1' ) · (y(r, e) - yo(1') )
+ I y - Yo 2 )
- eL(1')- 1 . G 1 Wo(1' ), 1') + 0 (c 2 11

yo(r ) - cL(r )- 1. G 1 (Yo(1'), r )) + 0 (c 2 + I y - Yo

2
11 ).

This completes t he proof of th e lemma. o

T he preceding lemma shows t hat N vCr, c) is of t he form yo(r )+ O (e) , provided
y(r ,e) = yo(r) + O (c). To make thi s observ ation more prec ise we introduce t he
space
8(co, 6 ) = {y : H o x [- co, eol -> ]Rd I sup Iy(r.e) - yo(r) 1 S; ,6c o},
r Ell o,I' I"::'o
where co and (3 are positive constants; co is sm all, ,6 is spec ified later. The space
8(co, (3) is a closed subspace of 8(eo), so in part icul ar it is a complete metric space.
W ith out proof we mention the following properties of th e Newton op erator , that
are cr ucia l in the derivation of our algorit hm.
432 H.W. BRO ER , H.M . O Sr:--i GA , G. V EGT ER

Theorem 3 Ltd (3 be a constant such that fJ > s UPr EH o I L (r) -I . G d Uo(r ), 1' ) I .
(i) For sm all values of EO the space B(EO, (3) is N - inuari ant. i.e.:

N(B (Eo,(3 )) c B(EO ,(i ).

(ii) For small values of EO the Newton operator JV is a contracti on on B (Eo ,(3 )
with contraction fa ctor O (Eo). Its fired point U satisfies

G('iJ(1', E),r, E) = 0,

and is of the form u(r. E) = '[jo(r ) + Elh (I') + 0( E2 ) , uniformly in r E H o , where

(10)

(iii) Let {y,,} C B (Eo, (3) be a sequence with Yo E B(Eo, /3), and Y,,+I = N y" . Th en,
for all "I with 0 < "I < 1, there is an Eo > 0 such that:

YrJr , E) = y (r, E) + O (E"") ,

uniformly for IEI S; EO and I' E H o, as n ---> 00.

Th eorem 3(ii) reveals th at YI (I', E) = yo(r ) + EUI (I') is a good initi al guess for th e
solution of (8), a nd theorem 3(iii) guarantees that each applic ation of the Newton
operator N brings us closer to t he fixed point roughly by a factor of O( E"I ). In
th e next section we apply th ese observati ons to th e computation of the graph
tr ansform.

3.3 Computing the invari ant manifold

In thi s section we a pply th e results of section 3.2 to compute th e gra ph tra nsform .
To t his end we first derive, in sect ion 3.3.1, a mor e precise expression for equat ion
(8) , a nd a pply our ext ension of Newt on's method to solve it. It turns out that
we can determine th e image of th e gra ph transform analytically up to terms of
ord er E 2 , see sect ion 3.3.2. This a nalysis ena bles us to iterat e th e graph tr an sform
st arting from a good initial guess of th e fixed poin t. A priori, th e fixed point of
th e gra ph tran sform defines a C O invari ant manifold !HIE of f E' for small value s
of E . Accordin g to [41 it is even Cl . Although we can extend th e analysis of thi s
section to prove thi s stronger result as well, we abstai n from doing so. since we are
merely heading for an algorit hm to compute th e invari ant manifold. In secti on 3.4
we present a method to compute th e cont inuous D f E-invari ant split ting of th e
t angent bundle of lH!e .
We assume th at (a represent ation of) the invariant splitting ll ,.(E-::(JlEBI':J ;(!HIo ),
the rest rictions eo a nd (To of fo- 1 and f o to H«. a nd th e derivative Dfo(r) =
Ao(r ) EB /(0( 1') are given for all I' E Ho.
 0" TH E CO:VI PU T AT ION OF t\O R:VI A L LY HYPERBOLIC .. . 433

3.:1.1 The Newton operator

First we transform equ ation (4) into an equation of till' form (8). Ideally we like
10 find a function G : ]Rd x Hi, x ]R ---> ]Rd such th at G , (y. 1') = 0 iff y is th e poin t
on !!:raph(1),) above r E H o, where 110 is the image of li, under the gra ph transform
r f . ' sec figure 2. In oth er word s, 110(1' ) is the second component of the solut ion
(C,(I') , 110 (1' )) of equa t ion (4). Thi s could be achieved by designin g a diffeomorphism
U', : H o x IR" ---> ]Rd such t hat¢'((!E(I'), 110 (1' )) = (1', 11,(1') ), a nd by taking G such
that GE(~" (~ ' 11),r ) = FE(~ ' I}J ). An obviou s definition is 0E( ~ ' II) = 1> (0",(0 .11) ,
with O",(~) = O"(~ , c: ) defined by (7). However , 0", is ra th er awkward to compute for
o oJ O. In view of our ass umpt ion th at (a represen tati on of) 0'0 is given. we use ';'0
inst ead of 0, even for e oJ 0, i.c. we conside r the map 'lJ : Hi, x ]RS ---> ]Rd, defined
by
( 11)
which is a diffeomorphism from a neighborhood of Hi, x {O} in Hi, x ]Rs to a
neighb orhood of lHIo in ]Rd. Then define G by :

G ('lJ(~ ,II ) ,r, c:) = F (~ . TJ,T'.c:) . (12)

Since 'Po(l') = 1> (1',0 ) = 'lJ((!O(T ),O), for r E H o, we sec that G(yo(I'),r, O) =
F((!o(1') , D, 1', D) = 0, so the first part of condition (9) is satis fied for Yo = 'Po.
To check th at the second part hold s as well, we first deri ve an ex press ion for
L(T) = DyG('Po(T ),r,O) : ]Rd ---> ]Rd It turns out that L (r) has a very simple
expression with respect to the splitt ing T r(IHIo ) EB N ~ (iH!o ) on both its dom ain a nd
it s ran ge. " lore precisely:
Lemma 4 For r E H o• the splitti ng]Rd = 1rl'(iHIo ) e N ~(}Jo) is L( r) -i Twariant. and
[or V c E 1rr (lHIo ). V s E N ~ ( lHlo)
L(r)( vc EB v s ) = Vc EB (- rsl·
In particular L (r ) is invertible, and L (r)-1 = L (I').
Proof. Recall that for (~ ,II .r) E llo x]Rs x He:

Fo(~ , 'I, r) = fo (1)(~. 0)) - 1> (1',1)) = 'lJ(( 0) - 'lJ(oo(r) , 1)) , (13)

since fo (1) (~ .O)) = f o(CPo(O) = <;0(0'0(0) = 'lJ (~ .0) , and 1> (1', T/ ) = 1> (0'0(00(1' )),1))
= 'lJ (go(1' ). II). From (13) we deri ve

DEFo(go(r), 0, 1') DE'lJ(go(r) .O).

D ryFo(go(r) ,O,r) -D'I'lJ(go (r ).O).
Sinc e

t he proof is complete . o
434 H .W. BROER, H.l\I. OSINGA, G . VEGTER

Lemma 4 yields th e following st raig ht forward method of computing JV y for y E

8(co, /3).
Algorithm NEWTO:-;
Input : y : H o x [-EO ,CO ]---; )Rd .
Output : N y : H o x [- co, co] ---; )Rd.
foral! r E H« , e E [- co. co] do
1 x ;- 7f c (y(r, e))
Comment: J: E Ho a nd y(r ,c) - 'Po (x ) E N~(lHIo)
2 TJ;- tx(y(r, c) - 'Po(x))
Comment: y(r,c) = 1>(x , TJ )
3 Y;- F(eo(x ),TJ. r. E)
Comme nt : Y = G(y(r, c) ,r,c)
4 y c ;- rr~ (Y )
y s ;- rr ~ (Y )
5 N y (r, c) ;- y(r .E) _ y c + y s
Comment : L( r )-I . G(y(r, c), r , c) = y c _ y s

A few further comments are in order . Execution of line 1 amounts to finding th e

point 'Po(x) E lHIo such t hat y(r, c) E 'Po(x) + N~(lHIo ) . The maps Lx . rr ~ , rr ~ and
F have st ra ight forward implement ati ons, see t heir definiti ons (3). (2) and (5),
resp ecti vely. Since also (a representation of) the map eo : Hi, ---; H o is given, lines
2, 3 and 4 can be implemen ted in a st ra ight forwa rd way. To just ify th e comment
at line 3, observe t hat

G(y(r, c) , r,c) G(1)(x , TJ), r , c)

G(I{J(go(x) , TJ ), r,c)
F(g o(x ), TJ ,T, c)
y '

Finally t he correct ness of line 5 follows from lemm a 4.

3.3.2 Using the graph transform to compute IHr"

The map I{J : Hi, x IRS ---; )Rd , t ra nsforming F into G, also esta blishes a 1:1-
corresponde nce between sect ions TJ E L: (co) and maps y : Hi, x )R ----> )Rd, defined
by y(r, c) = 1> (1' , TJ(r. E)). To apply the Newton operator, we should restri ct the
domain of th e gra ph t ransform to sect ions, corres pond ing to maps in th e dom ain
8 (co,f3) of th e Newton operator, Therefore we consider th e subset L:(co,a ) of
L:(co), defined by

L: (EO. a ) = {h E L:(co) I sup Ihi r, c) I ::; ClE }.

rE llo

Since Ho is compact. for ,3 > 0 th ere is an 0 > 0 such t hat a sect ion in L:(co,o)
corres ponds to a map in 8 (EO. (3) , Hen ce, t he image of a sectio n h E 2: (EO, ( 0) und er
 O N T HE COI\ I PUTAT I ON OF NORM AL LY HYP ERBOLI C . . . 43.')

th e graph transform r f can be det ermined using algorithm NEWTON, designed

in section 3.3.1. To obtain a good start ing point for re peated applicat ion of th e
Newto n operat or , we first have to det ermin e C1(:po(r ).r ) = ttft('Po(r),1',O) . see
th eorem 3(ii), equat ion (10). To express C 1 in term s of th e linear part of I and h,
let

and

Lemma 5 For I' E R o

L
S

C 1('Po(r) , 1') = hi (iJo(r )) Kij (Qo(r ))1')(I') + ft ('Po (iJo( 1'))).

i.j=l

Proof. Let (y, 1') E IRd X R o, then C 1 (y,1') = ttft (y. 1'. 0). Furthermore let y =
1{I(~0 , rio) , for ( ~o , rio) E Hi, x IRS ), with I{I as ill (11), i.o.

y = <I> (O'o (~o ), 7/0 )'

then C (y ,r,e) = F (~o ,rlo ,r , e) . T herefore

C ry, 1', e) = I(p(e) , c) - <1> (1'.1]0)'

where pre) = <I>(~o , eh(~o , e )) . In par ticular Po := prO ) = :':;o( ~o) . Hence

with
L h i(~O)L'f (~o).
S

prO) =
i =l

Therefore
s

Dlo(Po)' (Lh i(';o)v f(';o )) + ft (po)

i= l

L
S

hi(~O)Kij(~O )l'J ( O'o ( ';o )) + ftlp o).

i .j= l

We obt ain th e desired expression by sub stituting y = :':;0(1'), in which case O'o(~o) =
r and hence ';0 = iJo(r). 0

For P = 'Po(r). with I' E R o, the curve e I-> f( <,:;o(r ). o: ) passes through f o(<,:;o(r )) =
'Po (O'o (r )). Therefore its t angent vector at thi s point. viz 11 (:':;0(1') ), belongs to
d
T l' o(cro(r ))( IR ) , which we identify with '][' cro(r)(IElo) 6 N~o(r ) (lH'l() ). Th erefore th ere
436 H .W. B ROER, H .i\l. O SI;-'; GA , G. V EGTER

arc unique CO fun cti ons V C, V " -> IRd , with V C(r ) E 1f'r (lHlo) and V "(r) E N: (lfJIo) ,
such th at ft ( ~o( r )) = j!C(O"o( r)) + V '(O"(r) ). Since Qo is t he inverse of 0"0 , we sec
that fd ~0 (Qo (1'))) = j/C(r ) + V "(r ), in other words:

Corollary 6 The fixed point y of N is of the form y( r, c) = yo (r) + :-Ih (r ) + 0 (:-2),

where
.-
'lh (r ) = L lti(Qo (r ))l'iij(Qo(r)) vJ(r ) - V ' (r) + j/ "(r ) (14)
l .j =1

Algorithm GRAPII TR A;-'; SFORl\I

Input : It EL: (co, a ). b > 0 (maximal error)
Output : r f (h ) E L:(Eo. 0 )
forall r E Ho, E E [- EO, cO] do
1 y (r, c)+- ~o(r)+ c y\ (r )
Comment : cf coro llary 6
2 repeat
3 Yncw +- iV y
Comment : Usc algorithm NEWTON
4 error +- II y - Ynew I
5 Y +- Vil e w
6 until error S 8
7 r f(h )(r, E) +- nA y )
Comm ent : "Ay) = 71', ('lJ - ] (y))

Remark 7 To com pute Ih (1') in line 1 we usc expression (14). In view of lemm a 2
th e variable y in algorit hm GRAPH TRANSFORM sati sfies t he invari ant y = ~o (r ) +
E'lh (r ) + 0(e: 2 ) . In part icular the ou tput r f(h) is of t he form

If(h )(r, E) = E(h1(r) ,'" ,h , (r )) + 0(e: 2 ) .

where (h]('r ), .. · ,h ,,(r )) = 71'., (y] (r )), i.e.

s s
Lh;(r) C; (r ) = L h;(Qo(r))Kij(QO(r)) vJ(r ) + j!"(r) . (15)
;= ] i, j= !

This ena bles us to initialize vir,E) properly up on repeat ed applicat ion of th e gra ph
t ra nsform r f . In fact , we can even compute th e fixed point of r f up to term s of
ord er E 2 by rep eated application of (15).

The cruci al properties of th e gra ph tr ansform rf arc reflect cd by the following

th eorem .
 O =, T HE CO M P UT AT IO N OF N O R~ I A L LY HYPER~O Ll C . . . 4~7

Theorem 8 For an y constant X, such that >. < X< L there are values of (\ and Eu
su cli that:
(i) r f leaves ~ ( E O ' Q) invariant. i.e.
r f (~ ( E II , Q » C L (EU. Q ).

(ii) r f is a contraction on ~ (Eu , a ), whose cont raction factor does not eTceed X.
(iii) The jixed point h of r f defin es a continuo us family of c 1 em beddinqs <;3, :
Flox --.' jRd by <;5,(r) = <I>(r, h , (r» , such that IE, := :;:, (Flo ) is the I - norTIw lly
hyperbolic invariant manifold of f , .
We omi t t he proo f from t his version of th e pa per. P arts (i) an d (ii) follow in a
rather st ra ight forward way from t he general prop er t ies of t he Newt on op er a tor,
sec t heorem 3, a nd th e express ion for G 1 , sec lemma 5. Note t hat (i) and (ii)
only guarantee t ha t th e fixed poiut h is a con ti n uous sect ion. T herefor e, th e map
<;5, is a CO embedding, and t he set IHI, = <;5,( Flo) is a CO invar iant ma nifold for
f E' However , wit h a little more work we ca n even esta blish a similar resu lt if we
restrict t he domain of th e graph t ransform to Lipschitz -sections , see [4] or [9] for
det ails. This stronge r resul t. is crucial for t he proo f of part (iii), viz that [>lI, is a
C 1 mani fold . as we explain in t he next section.

3.4 Comput ing the invari an t split t ing of the tangent bu ndle
In th e prev ious subsect ion we deri ved an a lgorit hm t hat computes t he invarian t
ma nifold IHI, C IRd of [« as th e image of a n embedd ing 9 , : JIu -> IRd. This
algorit h m compute s a pair (g, h ), wit h g : lIo x R --.' Flo and Ii : Flu x IR - R',
such t hat <;3,(r ) = <
1> (r, h , (r » , a nd
f ,(<;5, (g, (r» ) = <;3, (r) ,
The inverse of "li, is denoted by a, (r ). Therefore

Hence
a, (r ) = r."c!E(<;3, (r» .
so a, ca n easil y be compute d fro m c;5E'
Our goal in t his sect ion is to com pute t he D f , -inmrian t split t ing T (IHIE ) e N" (IHI, )
of t he tangent bundle Ti! , (lRd ) . To t his end we writ e t he map Df, (i:i\ (r» wit h
respect to t he split t ings 1I'r (!HIo ) EB N;(IH!o ) and ']I';r,( ,.) (?-o ) \3 N;';-, (,.)(!HIo) as

A , (r ) B, (r» )
( C,(1') K , (r ) .
wher e rlr( r ) : 1I'r (!HIo) -> 1I'u, (r)(!HIo ), B, (r ) : N: (ii-Zo) --.' 1I';r, (,.)(!HIo) , C, (r ) :
1I',.(!HIo ) --.' N ~, ( r ) (!HIo ) and K , (r ) : N; (IElo ) --.' N ~,(,. )( ::Io) a rc linear maps. de-
pend ing cont ino usly on (r , e) . Not e in par t icu lar that Bo(r ) = 0 and Co(r ) = 0,
and II A, (r) il = II Ao(r ) II + O(c), etc .
438 H.W . BROER, H.M . O SINGA , G. V EGT ER

The algorit h m th at compute s the D f e-invari ant split t ing of T::, (JRd) is again
bas ed on a graph tran sform . Con sid er, for (1', E) E H o x JR. linear map s we(r ) :
N;(Ho) -> '][' r(Ho ), depending continuously on (1', E). T he space of all such maps,
defined for (1', E) E H o x [-EO, EO], is denoted by Os(Eo), It is a Ban ach space with
norm defined by Ilwll = sUPle l:::eo.rE Ho I We (1') II· Let Os( 60 . .'.'0) be t he subs pace
consist ing of those w E Os(EO) for which Ilwll :s:
60 . Not e th at thi s is a closed
subspace of 0.(60, EO)' and therefore it is a complete metric space .
The graph of we(r ) is the subspace graph(we(r )) of JRd . defin ed by

We define the op erator T, on Os (,so, EO) by the requirement th at. for W = T,(w),

(16)

Then (16) boil s down to : for all v E N~e( r/ Ho ) t here is a v E N; (Eo) such t hat

where A = Ae(r) (ot c.). W = we(r ) and w = we(O'e(r)) . E limina ting l' and v we see
that
w = (A - w . C) -I . ( - B + w . K) ,
in other word s

Theorem 9 Let X and Ti be cons tants su ch that A < X< 1 and Ii < ti < 1. Th en ,
for 60 and EO suffi ciently sma ll:
(i) Th e space Os(60 ' .'.'0) is T,- invariant , i.e .

(ii) Th e operator T, is a contraction, whose contraction facto r does not exceed Ji.
lts fix ed point w determ ines aD f e- invariant fam ily {N;(JH[e)} rEllo of subspaces of
JRd, defined by
N ;(IHIe ) = gmph (we(r)) .

(iii) For r E H o and l' E N;(JH[e ):

Proof. The proof of the first part is rather straightforward, see the full version for
de t ails. So let W I,W2 E 0 . (60 . EO)' Writing again A inst ead of .4.,(1'). etc., we see
 0 :" T HE CO:VI PU T ATI ON OF NORl\IA L LY H Y PER B OLI C ., . 4:19

that T, is a cont raction:

I Ts W 2 - TsWI I
:S II(A - w 2·C)- I ,( (-V+w2 , f{) -( -B+,,)I· f{)) II +
I ((A - "-'2 ' C)- I - (A - WI ' C) - I) . (-B +;""1 ' f{) 1
:S I (A - w2 , C)- I ' (W2- wl ),K II +
I (A - W2' C)- I . (WI - W2)' (A - WI ' C ) - I( - B +W I ' f{ )11
2
:S (II A -11111J( I!(1 + 0 (00 + co)) + II A -1110 (60 -+- co ))IIWl - w2 11
:S (/1 + 0(8 0 + co))llwl - w2 11
:S )111WI - w2 11,
for 80 and co sufficient ly sma ll. (To deri ve th e secon d ineq uality we usc t he identity
5 2 1 - 5 1 1 = 5 2 1 . (51 - 5 2) . 5 1 1 . ) Hence T; is a contrac t ion, whose cont ra ct ion
fact or docs not exceed )1.
(iii) Let v E N;( !HI, ), th en v = w,(r )· 11 EO IL for some u E N; (!HIo). Since w is a
fixed point of T; it follows from (17) t hat D J~('l',(r)) ,,' = :;;(0',(1')) ' W @ w, where
w = (C, (r )· w, (r) + [(. (1' )) ' 11. Hence

I D I , ('l', (r )) , v II :S (IIf{, (r ) II + O(IP , (I') 11)) 11 11 11

:S (,\ + 0(80 + co))11t'fI
:S XII v II,
for 80 and co sufficient ly sma ll. This comp letes t he proof of th e theorem , 0

To determine the tangent space of t he invari an t manifold !HIe of I" we similarly

introduce the space I1c (co), consisti ng of fa milies of linear map s w,(I') : 1I',. (!HIo) - t
N;( !HIo ), depend ing continuously on (1' , c) E H o x IF!.. Its subspace I1c(80 ' co) consists
of those "-' E I1c (co) wit h Ilw I :S 80 . The op era tor 70 : I1c (C:o) - t I1c (co) is defined
by t he condit ion th at DI, ('l', ("12,(r)) ) maps t he graph of ",':,(Q, (1') onto t he graph
of w, (1') . More pr ecisely,

where 11 = i t (Q,(r ) (etc.), w = w. ("12, (1')) and w = w, (r ). Elimina tion of v and Ii

yields the following exp ress ion for 70:

The following resul t is similar to theorem 9.

Theorem 10 Let X and)1 be constants such that ,\ < X< 1 and Ii < )1 < 1. Then,
lor 80 and co sufficien tly sm all:
(i) Th e space I1c (80 , co) is 7o-invariant, i.e.
440 H.W , B RO ER , H .M . O SI NG A , G. V EG T ER

[ii) Th e operator T; is a con traction , whose cont raction f actor does not exceed Ti.
Its fixed point w defi nes the tangen t bundle of !HI" , i.e .

(iii ) For r E H o , let A,(r ) EB K , (r) be the expression fo r DfJ :::, (r) ) with respect
to the invariant splittin g 1I' r (u,,) EB N; (lHI, ) and 1I' O',(r) (lIJI,) S N~,(r ,( IHIe ) on do m ain
an d range. T hen

T he proof of thi s result is similar to that of theorem 8. As we rema rked ea rlier, it

can pro ven t hat 9 , is Lipschitz, Using t he methods of [4]. one ca n also prove th at
th e spac e graph(w, (1') ) is tangent to !Hi, at 'P, (r), for all r E H o. T herefore 'P, is a
C l embedding, whose image !Hi, is th erefore C l as well.

3.5 Continuati on
In many exam ples one may wan t to compute a cont inuous family of invaria nt
manifolds for a family f , of d iflcomorphisms, where E ra nges over a paramet er
int erval th at. is not necessaril y smal l. To apply th e algorit hm to such continuation
problems we increas e the paramet er in sma ll steps (possibly adapt ing th e step size
ncar paramet er val lies for which th e normal hyp crboli city is weak), a nd adj ust
th e invariant sp litt ing after eac h increase of t he param eter E , In this sett ing th e
algorit hm has to deliver out put , th at serves as input to t he next ste p in th e con-
tinua tion pro cess, viz th e increase of th e pa rameter E . Th e input to th e algor it hm ,
th at computes the invari ant manifold , has been describ ed at th e beginning of sec-
tion 3.3. In view of th e cond iti on th at t he output of th e algorit hm has to be of
the sa llie typ e as th e input, we therefore require t hat for a certain value of E the
algorit hm computes:

• An em bed d ing ,?, : Hi, ---; ]Rd, whose image is t he invar iant ma nifold !Hi, of f ,.
This embedding is computed by rep eat ed appli cation of algorithm GRAPH
TRA :'\ S FO R ~L see section 3.3,2.

• A diffeomorphism Q< : I/o ---; H o, toget her with its inverse (f" such t ha t
f , ('Po(gJ r ))) = 'Po(1') (as we have seen, g< may be considered as t he re-
st ric tio n of f ,- I to !Hi, ). In fact, rep eat ed ap plica tion of algorit hm G RAPII
TRA N SFOR~ 1 not only yields the embedd ing 9" but also th e map 7!" see
aga in section 3.3,2,

• The D f e-invari an t splitt ing 11' (u,,) EB N S (u,,) of th e tan gent bundle Ti!!! , (JRd).
In pa rticular . we ass ume that N ~ ( u,, ) is represent ed by the vectors v:( r,E) E
]Rd , 1 ::; i ::; s. which define an orthonormal sys te m with resp ect to th e
Riemannian metri c on ]Rd . The computat ion of t his splitti ng is descri bed in
section 3.4.
 O N THE COMPUTATION OF NORMALLY HY PERBOLIC.. . 44]

Hence th e algori thm can be applied with out further ada ptat ions to th e compu-
tat ion of invari ant manifolds in a cont inua t ion set ting. \Ye illustrate our method
with severa l exa mples in sect ion 5.

4 The general case

There are several ways to exte nd algorithm G RAPH TRA:iSFORJl.I to compute t he
invariant manifold lHI, of I, in the case wher e both normal expa nsion and norm al
contr action are present. One exte nsion com putes W S (lHI,) and W" ( ~ ) , t he sta ble
and unst ab le manifolds of H, see sect ion 2.1, and det erm ines lHI, as the int ersect ion
of these manifold s. We describ e thi s version in section 4.1. A drawback is the need
for a sepa ra te algorithm to compute the inte rsect ion of subma nifolds. Therefore
we present , in sect ion 4.2, a meth od th at computes !HiE more dir ectl y. To t he best
of our knowledge thi s is t he first algorit hm that computes invari ant manifold s for
which the norm al dyn ami cs exhibits both cont rac t ion and exp an sion .

We construct th e st able manifold WS(~ ) as th e graph of a function YE : II 0 x Y?:' ->

lR" (Act ua lly, th e domain of lIE is a neighborhood of Hi, x {O} in II o x IRS) . T his
gra ph is defined by

gra ph(lJe) = {<I> (r, x ,y,(r,x )) I (r ,x) E H o x llt' }.

Th e graph tr ansform r i, is defined by th e following geomct ric cond it ion:

(18)

Apart from techni cal details, we are now in th e context of sect ion 3.1. Therefore it
is possibl e to tr an slat e conditio n (18) into an equa t ion of th e form (8). Solvin g t his
equ ation using algorit hm NEWTON yields again a straighforw ard implement ation
of th e gra ph tra nsform, whose fixed poin t defines th e invari an t manifold WS(IHI, ).
Since th e unst able man ifold of IHI, is the stable manifold with respec t to f ,-I . it
can be computed similarly. For further details we refer to th e full version of th e
pap er.

4.2 Computing ~

Let us ass ume th at t he stable manifold WS( ~ ) has been computed as th e graph
of a map y, : H o x lR:' -> IR". The manifold ]f<~ C W S ( ~ ) ca n t hen be determined
as the graph of a map h, : II o -> IRs, i.e. as a set of the form

In fact . restri cting to th e stable manifold WS( ~) brin gs us back to the special
case of absence of normal expa nsio n. The map Ii, est abli shes a diffeomorphism
442 H .W. BROER, H .M . O SINGA , G . V EGT ER

between H o x ~8 and ~N'( !HI,, ). Proceeding as in sect ion 3, we int roduce th e gra ph
transform r t, on t he space of famili es of maps (sectio ns) H o ---t JRs. More precisely,
for a sect ion h. : H o ---t IRs th e sect ion h. = r I, (h.) is defined by the condi tion

gra ph(h.) = f .(graph(h. )).

The secti on h. is well-defined , since gra ph O/. ) is f . -invari an t. Th e D f . -invari an t

splitting of TIHI , (~d ) can be computed as in the case of absence of norm al expa n-
sion. In th e full version of th e pap er we present more details, as well as som e
other meth ods for t he computat ion of !HI. , a mong others one th at byp asses th e
computation of W B (!HI" ).

5 Numerical examples
Fin ally we show th e performan ce of our algor it hm in some a pplicat ions, all of
which fall in th e cont inuation context describ ed in section 3.5. It t urns out th at
in all examples t he invarian t manifold s arc normally hyperboli c wit h respe ct to
th e Riem anni an metric th at coincides wit h the standard euclidean metric of th e
ambient space. Obviously, one can't ass ume thi s t o be true in genera l.

5.1 Th e fattened Th orn map

First we illustrate th e algorit hm in the simple case of absence of norm al exp ansion ,
cf secti on 3. To thi s end consider the diffeomorphism L , defined on (1R/21l'Z)2 x IR
by
f .(x . y. z) = (2x + Y + E Z , X + Y + e e .o.z + s sin ,z ) .
(We may consider f. as a diffeomorphism defined on ~3 , th at is periodic in the
first two coordinates.)
'VVe fix the consta nt a, such th at 0 < a < 1 (more specifically, we t ake
a = 0.1) . Then th e syste m f o has a normally hyperbolic invariant torus IHIo :=
(~/2 1l'Z)2 x {O}. It may be considered as th e image of H o = (&/ 2"Z)2 und er t he
ca nonical embedding <;o(x, y ) = (x, y ,O). Note th at t he restrictio n of f o t o this
toru s is th e Thorn a uto morphism (x ,y) I-> (2x + y, x + y ). The t angent plan e of
IHIo at (x , y , 0) is defined by Z = 0, th e sp ace N (x ,y,O) (!HIo) is spanned by the un it
vector in the z- direct ion. In figure 3 (left : top and bottom) th e initia l dat a, viz IHIo
and th e splitting ']['(lfl'~) e NS(!HIo) , is shown. The normally hyp erb olic torus IHIo is
represented by a square mesh of 50 x 50, equidistant, points .
Num er ically we detect th at for E ~ 0.4699 t he normal behavior of f. ceases
to dominate the t an gential beh avior , viz fLs ~ 1, cf section 2.1. (This observation
is based on th e computa t ion of th e eigenvalues of D], at (0.0.0) E He.)
 Ox T HE CO M PUTAT IOl'< O F l'<O RMALLY HYPE RB OLIC . . . 443

.",:.'

Figure 3: Th e continu ation of the Thora m ap in IR3 : a = 0.1,. E: runs from 0 to

0.4695.
Top: Th e torus for E: = 0 (left ) an d E: = 0.469.5 (Tight) em bedded in IR3
B ott om : The data with the normal directions drawn at some of the m esh point s
f or E: = 0 (left) and E: = 0.469 5 (Tight).

Consequ ently, we ca n expect that the cont inua t ion cannot go past E: = 0.4699 .
Our algorit hm computes a famil y IHl" of invari an t tori. for E: ranging from 0 to
0.4695, wit h an estimat ed acc ur acy of order 10- .1 . The initi al incr em ent of the
continuati on par am et er E: is set to 0.02, but is adj usted (viz made sma ller) as
the normal hyp erbolicit y gets weaker. The square mesh . represen tin g IHl", is fixed
during the computations. Figur e 3 (right : top an d bottom) shows the last invari ant
torus we were able to compute . For this valu e of E: th e contrac t ion factor of one
of the operators r t , see sect ion 3.1 or T., see section 3.4, is close to 1. In other
word s , the to rus IHl" is about to lose it s I-mormal hyp er bolicit y,
444 H.W . BROER, H .M . OSINGA, G . V EGTER

5.2 Th e fattened Arnol'd family

We now apply t he genera l vers ion of th e algori t hm, sketc hed in sect ion 4. Con sider
th e fatt en ed A rno l' d f am ily of diffeomorphi sms on (1R/2 r.Z) x 1R2 :

X) ( x+ a + C(Y+ Z/2+ sin X))

b(y + sin x) ,
fE
( Y
z
=
c(y + z + sin x)
(19)

where x E 1R/2r.Z. See also Broer , Sima and Tatjer [3] for a similar diffeomor phism
on § I x IR. The const ant a is defined modulo 2r., and th e syste m f a has an invariant
circle 1Hfa , on which t he dyn ami cs is (conj uga te to) th e rigid rot ation O"a(x) = x+a.
Furt her more, for 0 < b < 1 a nd c > 1, th e invariant circle lHia is I-normally
hyp erbolic with one-d imensiona l stable and unstabl e di rectio ns. (In our exa mple
we take a = 0.1, b = 0.3 and c = 2.4.) Consequent ly, t he system has a I-normally
hyp erbolic invari ant circle HE' for sma ll c. The dy na mics of f E IIEIE is eit her periodi c
or qu asi-periodic, t he periodic beh avior being cha racterized by th e existe nce of so-
called Arnol'd tongues, cf [1].
It is easy to repr esent t he embeddi ng 'Pa by dete rmining a pa ra metriza t ion of
th e invariant circle 1Hfa, see [2] . Furthermore, the Dfa -invari ant split t ing 1I'(IHfa) EB
NS (lH!o )EBNU(IHfa ) can also be det ermined explicitly, see figure 4 (left) . The invari ant
circle IHfa is represent ed by a mesh of 50 points .

Figure 4: Th e invari ant circ le of th e f atten ed Arnol'il family: a = 0.1, b = 0.3 and
c = 2.4. Left th e in itial data fo r e = 0 and right th e circle for e = 0.7572. Th e
normal direction s are drawn for 50 m esh points (left) an d eve ry fift h of 290 m esh
points (right) .

Two sad dles appea r on t he invari ant circle in a saddle-node bifur cation for
e = 0.49. Computat ion of the eigenvalues at these sad dles reveals t ha t for e ::::::
 0 :'< T HE COMPUTAT ION OF NORM A L LY HYPERBOLIC . . . 445

0.7761 th e normal behavior of Ie ceases to dominate th e tangential behavior. So e

can't increase beyond 0.7761 during the cont inuat ion pro cess. In fact , the algorithm
computes a family lHIe of invariant circles, for e ra nging from 0 to 0.7572, with an
est imated acc uracy of ord er 10- 4 . Again th e initial increment of the cont inuation
param eter c is set to 0.02, and is adj usted (viz made smaller) as th e normal
hyperbolicity get s weaker. A picture of t he invari ant circle for e = 0.7572 is shown
in figure 4 (right ). Notice th e cha nge in th e normal directions near t he inflecti on
point , compared to t he initial circle (left) .

5.3 The forced Van der Pol oscillator

Fin ally we show how to apply the a lgorit hm to compute th e invari ant man ifold
of th e Poincare first-return map of a continuous syste m. To this end consider th e
forced Van der Pol oseillator X" a cont inuous syste m on t he generalized ph ase
sp ace lR2 x lR/211"Z:
y
- x - a(x 2 -1 )y + ccos t (20)
w.
Here a and ware constants , with a > 0 and 0 < w < 211" , and c is the cont inuation
pa ramete r. We naturally get a diffeomorphism on th e x , v-plan e by considering
t hc Po incare map Pe , th e st robosco pic map of th e 211"-periodic forcing term e cos t .
For c = 0 there is no forcing, so th e th e system decoupl es to the a ut onomous
two-dimensional system, called the free Van der Pol oscillator:

{~ y
-x - a(x 2 - 1)y.
(21)

T his plan ar autonomous syste m has a closed orbit, which is at tract ing for a < 2,
see [5]. (In this exa mple we take a = 0.4 and w = 0.9.) The closed orbit corres ponds
to an invariant circle of Po, that is normally hyp erb olic. Con sidered in the ph ase
space lR2 x lR/ 2" Z of (20), thi s closed orbit yields an attracting invarian t 2-toru s.
Due to normal hyp erbolici ty, the circle and, hence, t he torus, is pe rsistent for sma ll
values of c. The invariant circle lHIo of Po is a globa lly a tt rac ti ng limit cycle, a nd can
t herefore be computed by forward ite ra tion of the planar syste m (21). A mesh of 50
points repr esents lHIo . The invar iant splitting 1r~lo(lK2 ) = 1r(lHIo ) Ell NS(lHIo) is found
by comput ing th e eigenvectors of D<pT(r) , for r E IElo, where <PT is t he t ime T -map
of th e a uto nomous system (21), and T is th e per iod of th e limit cycle. T he initial
data is shown in figure 5 (left ). Numerical computations show th at for € "'" 0.3634
a saddle on the circle and a source inside it d issap ear du e to a normal sadd le-
node bifurcation , destroying t he normally hyp erb olic invaria nt circle. (The saddle
is born earlier in th e continuation pro cess, du e to a saddle-node bifur cation on t he
circle.) Hence, we expect the conti nuat ion pro cess to break down for € "'" 0.3634.
The algorit hm computes th e famil y lHI, of invari an t circles for e rang ing from
o to 0.3609, with an est ima ted acc uracy of 10- 4 . Figur e 5 (right) shows the last
446 H.W. BROER, H.M . O SIN GA , G. V EGT ER

x x

F igure 5: Th e inoari ani circle of the fo rced Van der Pol oscillator . Left: the ini tia l
circle (e = 0) wit h 50 mesh points. R ight: the last circle (e = 0.3609) has 356 m esh
points; the tangent and norm al directions are drawn for every fifth mesh point .

Figure 6: The invaria nt torus of the for ced Van der Pol oscillator.

invari an t circle we were able to compute . Again the algorit hm refines t he mesh a nd
decreases th e st ep size of th e conti nuat ion par ameter as the norm al hyp erbolicity
gets weaker. Due to th e a utomat ic refinement of t he mesh th e final circle consists
of 356 poin ts . Figure 6 shows th e result of satur ating th e final invariant circle,
by comput ing the X, --Drbit of every fifth mesh point . Repres enting each orbit by
50 points, corresponding to fixed length time int erval s, we obtain 50 circles as an
a pproxima t ion of the X ,-invari ant torus in genera lized phase spac e lR2 x lR/ 21rZ.
 0:-1 TH E COMPUTATIO N OF NOrr ;VI AL LY HYPERBOLIC . . . 447

References
[I] V.1. Arnol'd. Sm a ll denomi nator s I. Tran si. Amer. Math . Soc. , 2nd. series, 46:21:1 ·
284, 1965.
[2] H.W. Bro er , H.~1. Osi nga , and G. Vegt er. Computi ng no rma lly hyperbolic invari ant
mani folds o f d iscrete dynam ical systems. In preparation.
[:3] H.W . Broer, C. Simo , a nd J .C . Ta tj er. Towards global models nea r homoclinic tan-
gencies of dissipat ive diffeomorphisms , In pr eparation .
[4] M.W . Hirsch, C . Pugh, a nd M . Shub. Invaria n t Man if olds, volum e 583 of Lecture
N otes in Math ematics. Sp ringer-Ver lag, 1977.
[5] M.W . Hirsch a nd S. Smale. Different ial equations, dynami cal systems , and lin ear
algebra. Academ ic P ress, 1974. .
[6] A.J . Homburg, H. M. Osinga , a nd G . Vegter. On th e comp utat ion of invariant man i-
folds of fixed points. Zeit. Angew. Ma th. Phys ., 46:171- 187, 1995.
[7] J. Palis a nd F. Takens . Hyperbolic ity fj sensit ive chaot ic dynami cs at homoclinic
bifurcations, volum e 35 of Cambridqe studies in advan ced ma thematics. Cambridge
Un ivers ity Pr ess, 199:1.
[8] D. R uelle. Elements of differentiable dynam ics and bifu rcation theory . Academic
Press. 1989.
19] M. Shub . Global stability of dyna mi cal systems . Springer-Verlag, 1987.
Progress in Nonlinear Differential Equations
and The ir App licati ons , Vol. 19
© 1996 Birkh auser Verla g Basel /Swi tzerland

The Computation of Unstable Manifolds

Using Subdivision and Continuation
Michael Dellni tz' Andreas Hohmann t

Abstract

Com bining th e su bd ivision algor it hm for th e com puta tion of relati ve globa l
a t t rac to rs as descr ib ed in [1] wit h a box-orien ted continuation technique,
we develop a new method for the com put at ion of unstable ma nifolds . T he
algorit hm creates a cover ing of t he unst abl e manifold , and it is in princi-
ple app licable to inva rian t manifold s of arbit ra ry dim ension . As an exa m ple
we compute two-d imensiona l stable and unst able ma nifold s in t he Lorenz
system.

1 Introduction
In [1] we have developed a method to approxima te the globa l at trac tor of a dy-
namical syste m within a given region of ph ase space . T his method is based on a
subdivision technique which allows to construct a coverin g of th e (relat ive) globa l
attracto r up to a pres crib ed accur acy. If t here is a hyp erb olic st ruct ure present
th en th e speed of convergence cruc ially depend s on th e cont ract ion rate in th e
stable direction (sec [1], Proposition 4.10).
The fund amental observa t ion for th e method described in t his pap er is th at
thi s subdivision algorithm - applied to a (small) neighborhood of a hyp erboli c
periodic point - can be used to const ruc t a covering of th e corres ponding local
un stable manifold up to a given accur acy. Such a covering is realized by th e union
of boxes of a certain size. In our cont inua t ion algorit hm th e comput ation of this
covering is t he initializatio n step. Then we proceed wit h the continua tion step
and use a box-oriented cont inua tion tec hnique to exte nd th e covering of th e local

"Inst . fur Angcwandte Mat hematik. Universitat Ha mb urg, 0 -20 146 Ha mburg, Ge rmany, Re-
search sup por te d in pa rt by the Deut sche For schungsgemeinscha ft , O NR G ra nt NOOOI4 -94-1-03 17
a nd t he Konrad-Zuse-Zentrum fur Information st echn ik Berlin .
tKonrad-Zuse-Zentrum fiir lnfonn at ion st echnik Berlin , 0 -10711 Berl in, Germa ny, Resear ch
suppo rte d by th e Deu tsche Forschungsgem einschaft.
450 :--IICHA EL D ELLNIT Z, A NDR EAS HOH :'IA:': i'

unstable manifold successively to coverings of larg er parts of th e (global) unstabl e

manifold .
In contras t to some of th e exist ing method s for th e computation of an unst able
manifold (e.g. [8,6]) our algorithm does , in principle, not dep end on its d imension.
In particular, we can approxima te two-dimensional unstable manifolds - and
we will illustrate th is fact in Section 4 by numeric al exa mples. However , th ere
are limitations on th e size of th e dim ension du e to th e fact th at th e storage of
th e covering may require too much memory. Cons equently. for high dim ensional
invari ant manifolds. ju st very rou gh approximat ions can be obtained .
The method pre sented here also has th e topological ad vantage that we a re
working with coveri ngs of invariant manifolds. Hence, in contras t to th e situa t ion
in which one is a pproxima t ing orbits or paths inside th ese manifolds - for a
method based on th e graph transform see [4] - , our a pproach guara ntees th a t we
cannot diverge away from them in the process of the continuation .
An outline of the pap er is as follows. In Section 2 we int rodu ce not ation
and review briefly th e subdivision algorithm as develop ed in [1). Th e continuation
method as well as its implement ation are describ ed in Section 3. In particul ar
we pro ve convergence of th is method to a bounded part of th e unst able manifold
if the number of subdivision ste ps in th e initializati on is going to infinity (see
P roposition 3.2). Fina lly, in Section 4, we consider as a numerical example the
computation of two-dimension al invar iant manifolds in th e Lorenz sys te m.

2 Brief Review of the Subdivision Algorithm

Preliminari es
vVe consider discret e dyn ami cal syst ems,

Xj+ l =f(xj) , j=O,I ,2, . . . ,

wher e f : lR" ---> ]H." is a diffeomorphism . Let p be a hyp erboli c fixed po int of
f . The main purpose of this pap er is to develop a cont inua t ion method for the
computation of the unstable manifold W "(p). Recall th at t he hyp erb olicity of p
impli es th at this set is given by
U'''(p) = {x E lR" : r j(x) ---> p for j ---> oc}.

Locally, W" (p) is indeed a manifold inh eriting th e smoothness properties of f.

The local par t of IF"(p) which contain s th e fixed poi nt p, t ha t is.

WI~c(P) = {x E lR n : Ilr j (x) - pll < E for all j EN}.

is ca lled th e local unstable manifold. For details concern ing th e definitions and
basic properties of invari ant manifolds th e reader is referred to [5, 2, 7].
 TH E C O~ IPCTAT I ON OF U :\STABLE :\L\ :\IFO LDS ..\51

Remark 2.1 To sim plify t he not ati on we rest rict our consid era tio ns to t he sit ua-
tion where the un st a hlc manifold of a hyp erb olic fixed point is of interest. However.
it will be clea r that t 11<' cont inuation meth od describ ed in t his arti cle can more gon-
ora lly be app lied to t he computat ion of invari ant mani folds of hyp erbolic periodic
poin ts.

Fro m [1] we reca ll th e not ion of a relat ive globa l attractor , wh ich is t he fund a-
men tal objec t of the subdivis ion a lgorit hm describ ed in t he following subsec t ion.

Definition 2.2 Let Q C lR" a bou nd ed set. We define th e global aitrac ior relative

n
to Q by
AQ = fj( Q)· (2. 1)
j 2°
Remark 2.3 Let Q be a neigh borhood of a hy perboli c fixed point p . T hen it is
eas ily seen that t he connecte d component of It ·u(p) n Q which contains p is part
of A Q . Moreover. provided Q is sma ll eno ugh. A Q coincides wit h this pa rt of t he
un st ab le ma nifold of p. We will use this fact in Sect ion 3.

T he Subdi vision Algorit hm

Our cont inua t ion method for t he comp utation of unstab le mani folds makes usc
of a subdivision algorit hm which has bee n developed and invest igated in [1]. For
sake of complete ness we ar c now going to sum ma rize br iefly thi s algor it hm for t he
comp utation of rela tive globa l a ttractors , and we reca ll its convergence pr operty.
Conce rn ing th e details the reader is referred to [1].
T he subdivision algorit hm generates a sequence Bo. B t . B2 , . . . of finite col-
lect ions of compac t subsets of IR" wit h the prop erty t hat for a ll integers k t he
set
Qk = UB
DE lh

is a coveri ng of t he relati ve global attracto r und er consideration. Moreover th e

sequence of coverings is constructed in such a way th at t he diam eter

diam (Bk) = max diam (B)

D EB.

converges to zero for k ---> 00 .

Let us be more pr ecise. Given a n init ial collect ion Bo. one ind uct ively obt ains
B k from B k - 1 for k = 1,2 , . .. in two ste ps .

1. Subd ivision : Co nst r uct a new collect ion Bk such tha t

U B= U B (2.2)
BEB. BE B. _ 1
452 "!I CIlA EL D ELLNITZ , A NDREA S HOIl l\IA:\ :\

and
diam(B.) :::; {;Idiam(Bk _ Jl (2.3)

for some 0 < {;I < 1.

2. Sel ect ion: Define th e new collect ion B k by

We now formulate the result which establishes th e convergence of th e algo-

rithm to the relative globa l attractor (for a pro of see [1]).

Proposition 2.4 Let AQ be a global attractor relative to th e compact se t Q, and let

Bo be a finit e collection of clos ed subs et s with Qo = Ull E13u B = Q. Th en

uihere we denote by h (B , C) th e usual Ha usdo rff dist an ce between two com pac t
subs ets B , C c lR" .

3 The Continuation Method

Description of th e :\Iethod
The continuation starts at a hyp erbolic fixed point p with th e unstable man ifold
W"(p) . We fix once and for all a (lar ge) compact set Q C R," containing p, in
wh ich we want to approximat e part of W"(p) . To combine th e subdivision pro cess
with a cont inua t ion method, we realiz e th e subdivision using a family of partitions
of Q. Here , we define a part ition P of Q to be a finite family of sub sets of Q such
that
UB = Q and B n B' = 0.
BE P
For a point x E Q. let P (x) E P denote th e clement of P conta ining x , We
consider a nest ed sequence Pi , e E N, of successively finer partitions of Q , requiring
that for all B E P e th ere exist Bi ; .. . , B rn E P £+! su ch that B = Ui B, and
diam(B;) :::; {;Idiam(B) for som e 0 < {;I < 1. A set B E P £ is said to be of level
e. Given such a sequence {Pe} , we obtain for any point x E Q a unique sequence
{P£(x)}.
Now assume that C = P £(p) is a neighborhood of the hyp erbolic fixed point
p su ch that th e glob al attraetor relative to C satisfies
 Tu e C O ~IP UTAT[O N OF U :\'ST ABLE :-l.-\:\,IFOLDS

(sec Remark 2.3) . Appl yin g th e subd ivision algorithm wit h k subdivision ste ps
to Bo = {e} , we obta in a coverin g Bk C Pf H of th e local unstable manifold
Wl~ c (P) n e. that is,
A c = WI~~c(P) n e e B. U (3.1)
[JE t3,.

Note that. by Proposition 2.4, this coverin g converges to \I 'I~ Jp ) n e for k -. x.

With th ese notions we arc now in the positi on to describe our cont inuat ion
algor it hm as follows. For a fixed k we define a seq uence C(\k), C~ k ), . . . of subset s
( kl
Cj C P 1+k by

1. I nit ializat ion :

2. Con ti nuation: For j = 0, 1. 2, .. . define

C) ~I = {B E Pf H : Bnf IB') i= (1 for some B E

f
CYl} .
Remark 3.1 Ob serv e that the unions

ey)= U
[J EC; ' )

form nest ed sequences in k , i.e.,

(O) , e( I ) ,
e J J J J •••

Intuiti vely it is clear t hat th e a lgorit hm, as construct ed. genera tes an approxima-
tion of th e unst abl e manifold \I'" (p). In particular. one expec ts that the bigger
k and e arc chosen the bet t er the approxima tion sho uld be. However. since we
restrict our at tention to a compact subset Q C 1R" it can just be gua ra nteed that
th e algorithm generates an approximation of a certain part of IF ''(p) .
We now make the discussion in t he previous paragr aph pr ecise, a nd we begin
with the definition of the subset of W " (p) which is indeed approxim ated by the
cont inuat ion method . We set Wo = Wl~ c(P ) n e and define inductively for j
0,1 ,2 , ...

With thi s notion we obtain the following conve rgenc e result.

Proposition 3.2 Th e sets eY) are coverings of W j f or all i .k = 0,1. . . .. More-

over, fo r fixed j . eYl
converges to lFj in Hau sd orff distanc e if the number k of
subdun sio u ste ps in the in itiali zat io n goes to infinity.
454 !\IICHA EL D ELL NIT Z. A NDR EAS HOH l\l.-\:-;:-;

Proof: The first sta tement follows dire ctl y from the fact th at the set 13k obtained
by th e subdivision algorithm is always a covering onvo = U-I ~ c (p) n C (see (3.I)) .
To pro ve th e second st atement , we first obs erve th at by Proposition 2.4 C~k )
converges to th e relative global attracto r A c = Wl~ c (P) n C = U-o for k -- 00.
Since j is fixed a cont inuity argument shows t ha t th e sets CY
l converge t o TV for
j
k - , 00 , i.e.,
CJ""'l = nCY
l = llj.
k? O

o
Remark 3.3 (a) It can in general not he gua ra nteed th at th e cont inuat ion me-
thod leads to all approximati on of th e entire set W U(p) n Q. Rather it has to
be exp ected that thi s is not t he case. The reason is th at th e unst able manifold
of the hyp erboli c fixed point p may "leave" Q but may as well "wind bac k"
into it. If thi s is th e case th en the continuation method . as describ ed a bove,
will not cover all of WU(p) n Q.

(b) Ob serve th at the convergen ce result ill Proposition 3.2 docs not require th e
existe nce of a hyperbolic structure along the unst abl e man ifold. However , if
we additionally assume its existe nce th en we could est ablish results on th e
convergence behavior of th e cont inuat ion method in a completely ana logous
way as in [1].

Implementation of the Algorithm

For th e actual impl ementati on of th e continuat ion method , we have to choose the
partitions P e. In th e present code, we use generalized rect an gles of th e form

R (c, 1') = {y E ffi.n : Ci - 1', :s: Yi < c, + 1'i for i = 1. . .. , T!} ,

where c, r E ffi.", 1'i > 0 for i = 1, . .. , n , are the cent er and the radiu s resp ectively.
The first level is defined by P o = {Q}. T he next level Pi. e > 0, is obtain ed
by bisection with resp ect to th e j-th coordina te , where j is varied cyclically. The
su bdivision of a genera lized rect an gle R (c, r) leads to th e two rect angles R _ (c-, f)
and R+( c+,f) , where

_ { 1' i for i oF j ± { Ci
for i oF j
r, = 1'i/2 for i = j ci = c, ±1'i/2 for i = j

As described in [1], thi s permits a very efficient sto rage scheme: a collect ion 13 E
UeEN Pe is represented as a binary tree reflecting th e subdivision structure.
The success of th e continuat ion method depends on th e implementation of the
cont inua tion ste p, where we have to check th e int ersection prop erty B n I(B') = 0
 TH E CO MPUTATIO;-.J OF U NSTA BL E i\I A:\IFOLDS 455

for two given boxes B , B ' . As in the subd ivision algorithm, we have to discretize
thi s cond ition using a set of test points in each rect an gle. Th e int ersection propert y
is th en replaced by

I( x) if- B for all test points x E B ' . (3.2)

With respect to t he choice of test points, we ob tain ed th e best resu lts using a n
equid ista nt grid of test points on all edges. Thi s way. onl y a relatively sma ll number
of point s is needed . For inst an ce, in the three-dimensional exa mples in Section 4.
we have used five points per edge leading to 60 test points in each genera lized
rectangle (not taking into account th at an edge may be shared by several boxes).

4 Numerical Examples
As a n example we compute a pproxima tions of two-dimensional invar iant manifolds
in th e Lorenz syste m

i; O' (y - J:)
iJ px - y - x z
Z - {3z + x y.
An easy computation shows that for positive (3 and for p > 1 th e Lorenz system
has three st eady st ate solutions, namely

(0,0,0) and Q± =( ±V{3(p- l ),±v.8(p-l) ,p- l).

For our choices of parameter values th ese three st eady st ates arc hyperbolic. In
th e following subsecti ons we present numeric al results for approximations

- of a two-dimensi onal sta ble man ifold of th e origin. and

- of a two-dimensiona l un stable manifold of q+.

Approximation of a Stable Manifo ld

In t his computat ion we have chosen th e "st andard" set of par am et er value s, that
is,
0' = 10, p = 28 and ;3 = 8/ 3.

With thi s choice a direct num erical simu lat ion would lead to a n approximation
of th e Lorenz at t rac tor. (For illustrations as well as a discussion of topological
prop erties of the Lorenz attrac tor the reader is referr ed to [3].)
456 j\II CH AEL D ELL !"ITZ, Al\'DREAS H OH ~lA :\:\

Since we want to compute th e two-dimensional stable manifold of the origin,

we proc eed backward s in time and apply th e cont inuat ion method to the diffeo-
morphism given by th e tim e-( -T)-map . Starting in a neighb orh ood of (0, 0, 0) we
a pproxi ma te th e st able manifold in Q = [- 25, 25r I To demon strat e the continu-
ation pro cess, we begin with a rough approxima tion using th e initial level e = !)
and l: = 3 subdivision ste ps. In Figure 1 we display th e coverin gs obtained by the
algorit hm after j = 0, L 3, 5 cont inua t ion ste ps, We rem ark th at in t his case the

>l >l

>0 >0

"
."
.>0 ->0

. >l ->l

>0 >0

>0 eo >0 >l

. >0
->l
.,. -tc
. >0

-ee . >0 ." "

,.

.
>l

,.
20 >0

."
-ee
.,.
. 20

-sc -ee
>0

. >l
>0
>l
• >0
- >l
• >0
... .. >0

Figure 1: Cont inuat ion steps for the stable man ifold of th e origin in the Lorenz
syst em for j = 0, L 3, 5.

stable eigenvalues arc both real but th e ra tio of st rong and weak contraction is rel-
atively big. This is also reflected by th e way th e covering is growing (sec Figure 1).
However , th e results illustrate t hat th e algorit hm can successfully be a pplied . A
finer resolution (€ = 15. A' = 3) is shown in Figure 2. Here, we only plot the centers
of th e boxe s.
 TH E C O ~lI' U TATI O i\ OF UNSTAB LE :--!.\ "IFO LI)S -157

30

20

10

o
- 10

- 20

-30

30
- 10
-30 -20

Figure 2: T wo-dimensional sta ble manifold of t he ori gin in t he Loren z system.

Approximation of an Unstable Manifold

In t his comp utati on we have chose n t he following set of param eter values

a = 10. P = 28 nnd .3 = O.-!.

Direct simulat ion indi cates th at for thi s choice t here is a globa lly st able periodic
solution .
\Ye apply th e cont inuation method describ ed in th e previous sections to t he
diffeomorphism given by the t ime-T -map and start in a neighborhood of IJ+ . Rel-
ative to its two-di mension al un st abl e ma nifold IJ..- is a spiral source.
Wo have chosen a d iscreti zation of level 21 and the resulting appro xima t ion
of t he unst ab le manifold is shown in Figure 3. The computations strongly suggest
th at th e st ruct ure of this invari ant manifold is wry compli cated . To give a better
impression we show a two-dimensiona l cut through th e mani fold in Figure 4.

Acknowledgments. Doth authors acknowledge th e hospita lity of th e Depart ment

of Po Iathemat ic's at th e Un iversity of Houston where par t of th is wor k has been
carr ied out.
 ~lI CHAEL D ELLNIT Z, A NDRE AS HOmIA,, :-;

60

50

40

30

20

10

Figure :3: A two-dimensional unst able manifold in th e Lorenz system.

5228

5226

5222

522
20
10 20

- 10
-20 -20

Figur e 4: Cu t through th e unstable manifold.

 THE COMPUTATIO l'\ OF UNSTABLE i\ I A:\ lFO LDS

References
[1 ] M. Dellnitz a nd A. Hohmann. A subdivision a lgor it hm for t he computat ion of unsta-
ble manifolds a nd globa l at t ractors, submit ted to Num erische Math ematik ( 1995) .
[2) J .-P. Eckmann an d D. Rne lle. Ergo dic th eory of chaos and st ra nge attracto rs. Re-
views vf Modem Physics, 57 (3) I ( 1985),6 17-656.
[;~l J . G nckenh eimer and P. Holmes. No nlin ear Oscillations. Dunumi cai S ystems. urul
B ijurcai ions of Vector Fields, (Springer, 1986).
[-Ij A.J . Hornburg, H.M. Osinga and G . Vegt er. On th e computa tio n of invarian t ma ni-
folds of fixed points, Z. aI/gem. Math . Phys. 46 ( 1995). 171- 187.
[5j J . Pa lis and W. de Melo. Geom et ri c Theor y of Dynam ical S ystem s, (Springer, 1982).
[6] T .S. Pa rker a nd L .a. Chua . Practical Nu meri cal Algorithm s f or Cha oti c Sys tem s,
Springer , New York , ( 1989) .
[7) ~ I. Shub . Global Stabilit y of Dipuuuical S ystem s, (Springer, 1987).
[8] Z. You , E.J . Kost elich a nd J .A. Yorke. Ca lculat ing st able an d unst able man ifolds,
Int . .1. B ij. Chaos 1 (3) (1991), 605- 623.
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