Revision as of 15:49, 26 December 2014

Problem 4a

Let \( T > 0,\eta \in C^{1}([0,T]), \phi \in C^{0}([0,T]) \), and assume that: $$ \frac{d}{dt}\eta(t) \leqslant \eta(t)\phi(t), \forall t \in [0,T] $$

Show that: $$\eta(t) \leqslant \eta(0)e^{\int_{0}^{t} \phi(s) ds}, \forall t \in [0,T] $$

Hint: consider \( \xi(t) := \eta(t) e^{-\int_{0}^{t} \phi(s) ds} \)

Solution

Using chain rule: $$ \frac{d}{dt} \xi(t) = \frac{d}{dt} (\eta(t) e^{-\int_{0}^{t} \phi(s) ds}) = (\frac{d}{dt} \eta(t)) e^{-\int_{0}^{t} \phi(s) ds} + \eta(t) (\frac{d}{dt} e^{-\int_{0}^{t} \phi(s) ds}) = (\frac{d}{dt} \eta(t)) e^{-\int_{0}^{t} \phi(s) ds} - \eta(t) \phi(t)e^{-\int_{0}^{t} \phi(s) ds})$$

Substituting \( \eta(t) = \xi(t) e^{\int_{0}^{t} \phi(s) ds} \) in our assumption, then we get \( \forall t \in [0,T] \):

$$ \begin{align} \frac{d}{dt}\eta(t) &\leqslant \eta(t)\phi(t) \\ \frac{d}{dt}(\xi(t) e^{\int_{0}^{t} \phi(s) ds}) &\leqslant \xi(t) e^{\int_{0}^{t} \phi(s) ds}\phi(t) \\ (\frac{d}{dt}\xi(t)) e^{\int_{0}^{t} \phi(s) ds} + \xi(t) \frac{d}{dt}(e^{\int_{0}^{t} \phi(s) ds})&\leqslant \xi(t) e^{\int_{0}^{t} \phi(s) ds}\phi(t) \\ (\frac{d}{dt}\xi(t)) e^{\int_{0}^{t} \phi(s) ds} + \xi(t) e^{\int_{0}^{t} \phi(s) ds}\phi(t)&\leqslant \xi(t) e^{\int_{0}^{t} \phi(s) ds}\phi(t) \\ (\frac{d}{dt}\xi(t)) e^{\int_{0}^{t} \phi(s) ds}&\leqslant 0 \\ \frac{d}{dt}\xi(t) &\leqslant 0 \\ \end{align} $$ , where we used in the last step that \(\forall x: e^{x}>0 \).

Now integrating the result from 0 to t and since \(g(x) \leqslant h(x) \Rightarrow \int g(x) dx \leqslant \int h(x) dx \):

$$ \begin{align} \int_{0}^{t} \frac{d}{dt'}\xi(t') dt' = \xi(t) - \xi(0) &\leqslant 0 = \int_{0}^{t} 0 dx \\ \eta(t) e^{-\int_{0}^{t} \phi(s) ds}-\eta(0) e^{-\int_{0}^{0} \phi(s) ds} &\leqslant 0 \\ \eta(t) e^{-\int_{0}^{t} \phi(s) ds}-\eta(0) e^{0} &\leqslant 0 \\ \eta(t) e^{-\int_{0}^{t} \phi(s) ds}&\leqslant \eta(0) \\ \eta(t) &\leqslant \eta(0)e^{\int_{0}^{t} \phi(s) ds} \\ \end{align} $$