Does a non-trivial solution exist for $f'(x)=f(f(x))$?

Given any $a > 0$, there is a unique function $f\colon\mathbb{R}\to\mathbb{R}$ satisfying $f^\prime(x)=f(f(x))$ and $f(-a)=-a$.

f'(x)=f(f(x))

[Note: Separately, it can be shown that the only solution with $f(0)=0$ is the trivial one, and all solutions are decreasing, so this lists all possible solutions of $f^\prime(x)=f(f(x))$ on $\mathbb{R}$.]

The idea is that we can view $f^\prime(x)=f(f(x))$ as a differential equation starting at $x=-a$ and solving this to extend $f$ to the left (and right) of the fixed point. However, if $f$ is decreasing, then it maps points on the left of $-a$ to the right and vice-versa. So, we have to extend simultaneously to the left and the right of $-a$ giving a coupled pair of differential equations. If we set $g(x)=f(f(x))$ then we have $g^\prime(x)=f(f(f(x)))f(f(x))$, giving the coupled equations, \begin{align} &f^\prime(x)=g(x),\\ &g^\prime(x)=f(g(x))g(x). \end{align} We can then solve this ordinary differential equation with starting point $x=-a$ and extend to all $x \le -a$. I will change variables in order to convert this to an ODE starting at $x=0$ by setting $u(x)=f(-x-a)+a$ and $v(x)=-a-g(-a-x)$, then these must satisfy $$ \begin{align} &u^\prime(x)=a+v(x)\\ &v^\prime(x)=(a+v(x))(a-u(v(x))). \end{align}{\ \ \ \rm(1)} $$ The idea of the proof will be to show that (1) has a unique solution over $x\in[0,\infty)$ such that $u(0)=v(0)=0$ and, furthermore, that $u,v$ are then strictly increasing with $u(x)\to\infty$ as $x\to\infty$.

As we have noted, if $f'(x)=f(f(x))$ and $f(-a)=-a$ then $u(x)=f(-a-x)+a$ and $v(x)=-a-f(-a+u(x))$ satisfy (1). So, uniqueness of (1) together with the fact that $u(x)\to\infty$ as $x\to\infty$ implies that $f$ is uniquely defined on $\mathbb{R}$ by $$ \begin{align} &f(-a-x)=-a+u(x),\\ &f(-a+u(x))=-a-v(x) \end{align}\ \ {\rm(2)} $$ for $x\ge0$.

Conversely, suppose we have solutions to (1). Defining $f$ on $\mathbb{R}$ by (2) (over $x\ge0$), then it is straightforward to differentiate these and verify that $f^\prime(x)=f(f(x))$.


Let us now prove existence and uniqueness for (1). First, suppose that $u,v$ is a solution to (1). Then, considering the ODE for $v$ by itself, we have $v^\prime=F(v)$ where $F(v)=(a+v)(a-u(v))$ is a differentiable (hence, locally Lipschitz) function. We cannot have $F(v(x_0))=0$ for any $x_0>0$ otherwise, by the Picard–Lindelöf theorem for uniqueness of solutions to ODEs, $v$ would have to be constant, giving the contradiction $a^2=F(0)=F(v(0))=F(v(x_0))=0$. In particular, this means that $u(v(x)) < a$ and the rhs of the second equation of (1) is strictly positive.

So, $av(x)\le u(v(x))\le a$ and we have $v(x)\in[0,1]$ for all $x\ge0$. Let us now define $\mathcal{S}$ to be the space of continuous functions $v\colon[0,\infty)\to[0,1]$ with $v(0)=0$. Then, for any $v_0\in\mathcal{S}$ consider constructing functions $u,v\colon[0,\infty)\to\mathbb{R}$ by $u(0)=v(0)=0$ and \begin{align} &u^\prime(x)=a+v_0(x),\\ &v^\prime(x)=(a+v(x))(a-u(v(x))). \end{align} The first of these is solved by an integral, and we have $u(x)\ge ax$. The right hand side of the second equation is then a differentiable function of $v(x)$. So, by the standard Picard–Lindelöf theorem it has a unique solution and, as we showed above, $v^\prime(x) > 0$ for all $x$, so $v\ge0$. So, $u(v(x)) <a$ implying, as above, that $v\in\mathcal{S}$. Hence we can define $\Gamma\colon\mathcal{S}\to\mathcal{S}$ by $\Gamma v_0=v$ where $v_0,v$ are as above. Note that if $(u,v)$ solve (1) then we have $\Gamma v=v$ and, conversely, if $\Gamma v=v$ then $(u,v)$ solves (1), where $u(x)=\int_0^x(a+v(y))dy$. So, existence and uniqueness of solutions to (1) is equivalent to $\Gamma$ having a unique fixed point. The fact that $u,v$ are strictly increasing with $u\to\infty$ follows from $u^\prime > a$, $v^\prime > 0$, which we have shown already.

In practise, the iterates $\Gamma^nv$ of converges very quickly to a fixed point for all values of $a > 0$ which I tried, and this was used to generate the plots of $f$ above.

We will start with the case where $a\in(0,1]$. Then, $v=\Gamma v_0$ satisfies \begin{align} v^\prime&=(a+v)(a-u(v))\le(a+v)(a-av)\\ &=a(a+v)(1-v)\le\frac14a(1+a)^2\le1. \end{align} In particular, $v(x)\le x$, so $\Gamma v_0(x)$ is a function of the path of $v_0$ on the range $[0,x]$. This means that solving the ODE (1) involves computing the derivative $v^\prime(x)$ in terms of the values of $v$ already computed on $[0,x]$, so we can step continuously forwards in time, and the approach is similar to standard ODE solving. We can show the following.

There exists constants $A,B>0$ such that, for any $v_0,\tilde v_0\in\mathcal{S}$, and $v=\Gamma v_0$, $\tilde v=\Gamma\tilde v_0$ then, \begin{align} \lvert v^\prime(x)-\tilde v^\prime(x)\rvert\le A\lvert v(x)-\tilde v(x)\rvert+B\sup_{y\le x}\lvert v_0(y)-\tilde v_0(y)\rvert.&&{\rm(3)} \end{align} Proof: Using the expression for $v^\prime$ and, similarly for $\tilde v^\prime$, \begin{align} v(x)-\tilde v(x) &= (a-\tilde u(\tilde v))(v-\tilde v)+(a+v)(\tilde u(\tilde v)-u(v))\\ &=(a-\tilde u(\tilde v))(v-\tilde v)-(a+v)(\tilde u(v)-\tilde u(\tilde v))+(a+v)(\tilde u(v)-u(v)) \end{align} As $v$ is bounded by 1 and the derivative of $\tilde u$ is $a+\tilde v_0$, which is bounded by $a+1$, the first two terms on the right hand side of this inequality is bounded by the first term on the right of (3) with $A=(a+1)^2$. As $v(x)\le \min(x,1)$, the final term in this inequality is bounded by $$ (a+1)\int_0^v(\tilde v_0(y)-v_0(y))dy\le (a+1)v(x)\sup_{y\le v(x)}\lvert \tilde v_0(y)-v_0(y)\rvert. $$ So, we get (3) with $B=a+1$.

So, if we define $\varphi_0(x)=\sup_{y\le x}\lvert v_0(y)-\tilde v_0(y)\rvert$ and $\varphi(x)=\sup_{y\le x}\lvert v(y)-\tilde v(y)\rvert$, then $$ \varphi^\prime(x)\le A\varphi(x)+B\varphi_0(x). $$ For any $C > A+B$, we can solve this as \begin{align} e^{-Cx}\varphi(x)&\le B\int_0^xe^{-(C-A)(x-y)}e^{-Cy}\varphi_0(y)\,dy\\ &\le\frac{B}{C-A}\left(1-e^{-(C-A)x}\right)\sup_{y\le x}e^{-Cy}\varphi_0(y). \end{align} Hence, using the norm $\Vert v\rVert=\sup_xe^{-Cx}\lvert v(x)\rvert$ on $\mathcal{S}$, $\Gamma$ is Lipschitz continuous with constant $B/(C-A) < 1$. The Banach fixed point theorem implies that $\Gamma$ has a unique fixed point.

For $a > 1$ the ODE (1) has $v^\prime(0) > 1$, so $v(x) > x$ at least for small positive values of $x$. This means that the expression $v^\prime(x)$ involves computing $v(y)$ for values of $y > x$. This means that we cannot solve the ODE by continuously stepping forwards from $x=0$. In such cases, we are not guaranteed that solutions exist or are unique. However, numerically applying $\Gamma$ iteratively to an arbitrarily chosen $v\in\mathcal{S}$ does converge quickly to a fixed point, which I used to compute $f$ in the plots above. In fact, it can be shown that $\Gamma$ is a contraction on $\mathcal{S}$ under the uniform norm.

To complete the proof for $a > 1$, the following shows that $\Gamma$ is a contraction and the Banach fixed point theorem guarantees a unique fixed point. We will work using the supremum norm $\lVert v\rVert=\sup_x\lvert v(x)\rvert$ on $\mathcal{S}$.

For $a\ge1$, $\Gamma$ is Lipschitz continuous on $\mathcal{S}$ with coefficient $a^{-1}$.

It is enough to prove this in an infinitesimal sense. If $v_0,v_1\in\mathcal{S}$ then $v_t=(1-t)v_0+tv_1\in\mathcal{S}$ for $t\in[0,1]$, $\dot v_t=v_1-v_0$ and, $$ \Vert \Gamma v_1-\Gamma v_0\rVert\le\int_0^1\left\lVert\frac{d}{dt}\Gamma v_t\right\rVert\,dt. $$ If we can show that $\lVert (d/dt)\Gamma v_t\rVert\le a^{-1}\lVert\dot v_t\rVert$ then we are done. Setting $\tilde v=\Gamma v_t$, $w=(d/dt)\Gamma v_t$, we can differentiate the definition of $\Gamma v_t$ to obtain, \begin{align} w^\prime &= w(a-u(\tilde v))+(a+\tilde v)(-\dot u(\tilde v)-u^\prime(\tilde v)w),\\ u^\prime(\tilde v)&=a+v_t(\tilde v)\ge a,\\ u(\tilde v) & \ge a\tilde v,\\ \lvert \dot u(\tilde v)\rvert &=\frac{d}{dt}\left\lvert\int_0^\tilde v(a+v_t(y))dy\right\rvert\le\int_0^\tilde v\lvert\dot v_t(y)\rvert\,dy\le\tilde v\lVert \dot v_t\rVert. \end{align} Multiplying the ODE for $w$ by the sign of $w$ and substituting in the inequalities gives $$ \lvert w\rvert^\prime\le\lvert w\rvert a(1-\tilde v)+(a+\tilde v)(\tilde v\lVert v_t\rVert-a\lvert w\rvert). $$ The right hand side is a quadratic in $\tilde v$ with a positive coefficient of $\tilde v^2$, so its maximum over the range $\tilde v\in[0,1]$ is obtained at the endpoints. Therefore, $$ \lvert w\rvert^\prime\le\max\left(-\lvert w\rvert a(a-1),(a+1)(\lVert v_t\rVert-a\lvert w\rvert)\right). $$ So, $\lvert w\rvert^\prime \le 0$ whenever $\lvert w\rvert\ge a^{-1}\lVert v_t\rVert$. It follows that $\lvert w(x)\rvert\le a^{-1}\lVert v_t\rVert$ for all $x$, as required.


There are two solutions:

$$\displaystyle f_1(x) = e^{\frac{\pi}{3} (-1)^{1/6}} x^{\frac{1}{2}+\frac{i \sqrt{3}}{2}}$$

$$\displaystyle f_2(x) = e^{\frac{\pi}{3} (-1)^{11/6}} x^{\frac{1}{2}+\frac{i \sqrt{3}}{2}}$$

See here for details on how to solve such equations.


Given any function $f$ defined in the neighborhood of $c$ and satisfying $f(c)=b\ne c$, $f'(c)\ne0$ we can define $f$ in a neighborhood $V$ of $b$ such that $$f'(x)\equiv f\bigl(f(x)\bigr)\tag{1}$$ in a neighborhood $U$ of $c$: The function $f$ maps a suitable neighborhood $U$ of $c$ bijectively onto a neighborhood $V$ of $b$, and we may assume that $U\cap V=\emptyset$. Now define $$f(y):=f'\bigl(f^{-1}(y)\bigr)\qquad(y\in V)\ ,$$ and $(1)$ is satisfied for all $x\in U$.

It follows that interesting examples come from your approach looking for an $f$ satisfying $(1)$ with $f(c)=c$ for some $c$. For the discussion of such $f$'s we move the fixed point to the origin and cosider the function $$g(t):=f(c+t)-c$$ instead. It follows that $g(0)=0$, and $$g'(t)=f'(c+t)=f\bigl(f(c+t)\bigr)=f\bigl(g(t)+c\bigr)=g\bigl(g(t)\bigr)+c\ .$$ In order to solve $$g'(t)=g\bigl(g(t)\bigr)+c$$ we now make the ''Ansatz'' $$g(t)=c\>t +\sum_{k=2}^\infty a_k t^k$$ and compare coefficents. Mathematica produces $$\eqalign{g(t)=c t &+ {1\over2}c^2 t^2 + {1\over6} (c^3 + c^4) t^3 + {1\over24} (c^4 + 4 c^5 + c^6 + c^7) t^4 \cr &+ {1\over120} (c^5 + 11 c^6 + 11 c^7 + 8 c^8 + 4 c^9 + c^{10} + c^{11}) t^5 \cr&+ {1\over720} (c^6 + 26 c^7 + 66 c^8 + 58 c^9 + 60 c^{10} + 22 c^{11} + 22 c^{12} + 8 c^{13} + 4 c^{14} + c^{15} + c^{16}) t^6 \cr&+{1\over5040}(c^7 + 57 c^8 + 302 c^9 + 424 c^{10} + 553 c^{11} + 387 c^{12} + 319 c^{13} + 220 c^{14} + 122 c^{15} \cr&\qquad\qquad+ 76 c^{16} + 38 c^{17} + 22 c^{18} + 8 c^{19} + 4 c^{20} + c^{21} + c^{22}) t^7\cr &\ +?\ t^8\ .\cr}$$ This is more or less what you did, but now we have $c$ ($=-0.6$ in your example) as a parameter.