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I'm working through Jacobi's formula, and I'm really stuck with solving an ODE and would appreciate someone helping me out, as some of my basic maths is a bit rusty.

Essentially proving this corollary. Taking

$$\frac{d}{dt} \det e^{tB} =\operatorname{tr}(B) \det e^{tB}$$

to the solution

$$\det e^{tB} = e^{\operatorname{tr} \left(tB\right)}$$

I assume this boils down to a simple first order ODE

$$\dfrac {d}{dt}\left( y\left( t\right) \right) = q\left( t\right) y\left( t\right)$$

but can't seem to make it work.

JimSi
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  • I'm getting frustrated, not being able to follow this step 'The desired result follows as the solution to this ordinary differential equation'. Do you mean Every square matrix can be Jordan decomposed (upper triangular) and then $ \det \left( e^{tB}\right) =\prod _{i}e^{\lambda _{i}}=e^{\Sigma \lambda }= e^{Tr(tB)}$ – JimSi Aug 25 '19 at 12:02
  • Ok great, thanks, so this works for every square matrix. I'd still like to know how to solve the ODE above if anyone knows – JimSi Aug 25 '19 at 12:07

1 Answers1

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Let $f: \Bbb{R} \to \Bbb{R}$ be the function defined by $f(t) = \det e^{tB}$. Suppose you already manage to establish that $f$ satisfies the ODE \begin{align} f'(t) &= \text{tr}(B)\cdot f(t) \end{align} Solving this is pretty easy; in fact this is the protoypical example of a separable ODE. The solution to this ODE is just \begin{align} f(t) &= f(0) \cdot e^{\text{tr}(B) \cdot t} \\ &= \det(I) \cdot e^{\text{tr}(tB)} \\ &= e^{\text{tr}(tB)} \end{align}


And just to answer your other question, the solution to \begin{align} y'(t) = q(t)\cdot y(t) \end{align} subject to the initial conditions $y(t_0) = y_0$ is given by \begin{align} y(t) = y_0\exp\left( \int_{t_0}^t q(s) \, ds \right) \end{align}

The "usual" way of justifying this is to divide both sides by $y(t)$ and then integrate: \begin{align} \dfrac{y'(t)}{y(t)} &= q(t) \\\\ \int \dfrac{y'(t)}{y(t)} \, dt &= \int q(t) \, dt \\ \ln \big( y(t) \big) &= \int q(t) \, dt \end{align} Now exponentiate both sides. I've purposely been sloppy with this method regarding constants of integration, because there is already a problem with this approach: it implicitly assumes $y(t)$ is no-where vanishing (because otherwise we cannot divide by $y(t)$). But hopefully you see where the solution "comes from". A more complete way which I like for solving this ODE is to just recognise that the formula for $y(t)$ I gave above is actually a solution, and then use a uniqueness argument to conclude there aren't anymore.

peek-a-boo
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  • I'd say the usual way of proving this is as in accepted answer to this question, which is basically the same as solving the equation using an integrating factor instead of separating the variables. In that way you don't have to worry about division by zero or absolute values in $\ln|y(t)|$. – Hans Lundmark Aug 26 '19 at 04:29
  • @HansLundmark Thanks for the link; that was precisely the kind of uniqueness argument I had in mind (although adapted to this slightly more general context) but for some reason i guess I was just too lazy to add it into my answer – peek-a-boo Aug 26 '19 at 04:50
  • Perfect, thanks both! – JimSi Aug 26 '19 at 17:33