[Math] Finding function given its Jacobian and the initial condition

functional-analysismultivariable-calculusordinary differential equations

Consider continuously differentiable function $f:\mathbb{R}^k\mapsto \mathbb{R}^k$. We know that $f(x_0)=y_0$ and the Jacobian matrix is given for all $x$. I'd like to know the explicit for of the function $f$?

If $k=1$, then I could know the explicit for of $f$ is able to be determined using the following method:

Note that $f(x)=\int_{x_0}^xf^\prime(t)dt+c$ for some $c$. Then we can find $c=y_0$ by substituting $x$ with $x_0$. So, the explicit for of $f$ is $f(x)=\int_{x_0}^xf^\prime(t)dt+y_0$.

However, I found when $k>1$. Any suggestion? Thanks for any help.

Best Answer

When you are given a matrix-valued function ${\bf x}\to A({\bf x})$ and know for sure that it is the Jacobian of some vector-valued function $${\bf f}:\quad{\mathbb R}^n\to{\mathbb R}^m,\qquad {\bf x}\to{\bf f}({\bf x})$$ then it is easy to recover ${\bf f}$ from $A$. Indeed, the columns of $A$ are nothing else but the partial derivatives $${\bf f}_{.k}({\bf x})=\left({\partial f_1\over\partial x_k},{\partial f_2\over\partial x_k},\ldots,{\partial f_m\over\partial x_k}\right)\qquad(1\leq k\leq n)\ ,$$

and assuming ${\bf x}_0={\bf y}_0={\bf 0}$ it is pretty obvious that we have $${\bf f}({\bf x})=\int_0^{x_1}{\bf f}_{.1}(t,0,\ldots,0)\ dt+\int_0^{x_2}{\bf f}_{.2}(x_1,t,0,\ldots,0)\ dt+\ldots+\int_0^{x_n}{\bf f}_{.n}(x_1,\ldots, x_{n-1},t)\ dt\ .$$ This comes from integrating the partial derivatives of ${\bf f}$ along a multi-L-shaped path with legs parallel to the coordinate axes from ${\bf 0}$ to ${\bf x}$. A coordinate-free way to write ${\bf f}$ would be $${\bf f}({\bf x})=\int_0^1 A(t{\bf x}).{\bf x}\ dt\ .$$

The deep problem here is somewhere else: You cannot give an arbitrary matrix-valued function ${\bf x}\to A({\bf x})$ and hope that there is a function ${\bf x}\to{\bf f}({\bf x})$ with $d{\bf f}({\bf x})=A({\bf x})$ for each ${\bf x}$. There are so-called integrability conditions as soon as $n\geq2$, corresponding to the condition ${\rm curl}\,{\bf F}={\bf 0}$ for a vector field ${\bf F}$ in ${\mathbb R}^3$ to be a gradient field $\nabla f$. To put it simply: These conditions encode that the mixed second partials of the prospective ${\bf f}$ should be equal.

Given a matrix-valued function ${\bf x}\to A({\bf x})=\bigl[a_{ik}({\bf x})\bigr]_{1\leq i\leq m, \ 1\leq k\leq n}$ on a simply connected domain $\Omega\subset{\mathbb R}^n$ the integrability conditions read as follows: $${\partial a_{ik}({\bf x})\over\partial x_l}\equiv {\partial a_{il}({\bf x})\over\partial x_k}\quad({\bf x}\in\Omega, \ 1\leq i\leq m, \ 1\leq k<l\leq n)\ .$$ So there are $m\cdot{n\choose 2}$ of them.

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