[step:Prove local uniqueness by comparing lifted characteristic curves]Let $\widetilde V \subset U$ be an open neighbourhood of $y_0$, and let $\widetilde u \in C^1(\widetilde V;I)$ solve the same equation with $\widetilde u=g$ on $\widetilde V \cap \Gamma$. Choose $\eta>0$ and an open neighbourhood $\Theta_3 \subset \Theta_1$ of $\theta_0$ such that the product set
\begin{align*}
Q_1:=(-\eta,\eta)\times \Theta_3
\end{align*}
has compact closure contained in $Q$, satisfies $X(Q_1) \subset V \cap \widetilde V$, and satisfies $Y(\Theta_3) \subset \widetilde V \cap \Gamma$. This is possible by continuity of $X$, continuity of $Y$, the fact that $(0,\theta_0) \in Q$, and openness of $V \cap \widetilde V$ and $\widetilde V \cap \Gamma$ relative to $\Gamma$. For this product neighbourhood, set
\begin{align*}
\Theta_{Q_1}:=\Theta_3.
\end{align*}
Then $\Theta_{Q_1}$ is an open neighbourhood of $\theta_0$ in $\Theta_1$. For each fixed $\theta \in \Theta_{Q_1}$, define the curve
\begin{align*}
\widetilde X_\theta: J_\theta \to \widetilde V
\end{align*}
as the solution of
\begin{align*}
\frac{d}{ds}\widetilde X_\theta(s)=a(\widetilde X_\theta(s),\widetilde u(\widetilde X_\theta(s)))
\end{align*}
with initial condition
\begin{align*}
\widetilde X_\theta(0)=Y(\theta),
\end{align*}
on a sufficiently small interval $J_\theta \subset \mathbb{R}$ containing $0$. Define
\begin{align*}
\widetilde Z_\theta: J_\theta \to I, \quad s \mapsto \widetilde u(\widetilde X_\theta(s)).
\end{align*}
By the chain rule and the PDE for $\widetilde u$,
\begin{align*}
\frac{d}{ds}\widetilde Z_\theta(s)=\nabla \widetilde u(\widetilde X_\theta(s)) \cdot a(\widetilde X_\theta(s),\widetilde u(\widetilde X_\theta(s)))=b(\widetilde X_\theta(s),\widetilde Z_\theta(s)).
\end{align*}
Thus the lifted curve
\begin{align*}
s \mapsto (\widetilde X_\theta(s),\widetilde Z_\theta(s))
\end{align*}
solves the same ODE system as
\begin{align*}
s \mapsto (X(s,\theta),Z(s,\theta)).
\end{align*}
At $s=0$ both curves equal
\begin{align*}
(Y(\theta),g(Y(\theta))).
\end{align*}
By uniqueness in the [Picard Lindelof theorem](/theorems/69) for the characteristic ODE system, after restricting to a smaller common interval in $s$ if necessary,
\begin{align*}
(\widetilde X_\theta(s),\widetilde Z_\theta(s))=(X(s,\theta),Z(s,\theta)).
\end{align*}
For each $\theta$ near $\theta_0$, the two lifted curves agree on an open interval around $0$. To make the interval uniform, use the same compact set for all initial data. Define
\begin{align*}
K_1:=\{(X(s,\theta),Z(s,\theta)):(s,\theta)\in \overline{Q_1}\}\subset U\times I.
\end{align*}
The set $K_1$ is compact because $\overline{Q_1}$ is compact and $(X,Z)$ is continuous. Since $F$ is $C^1$, there is an open neighbourhood $N_1\subset U\times I$ of $K_1$ on which $F$ is bounded and Lipschitz. Applying the local-flow and uniqueness part of the [Picard Lindelof theorem](/theorems/69) on $N_1$, and shrinking to a smaller product neighbourhood $Q'\subset Q_1$ of $(0,\theta_0)$ if necessary, all lifted solutions starting from $(Y(\theta),g(Y(\theta)))$ with $(0,\theta)\in Q'$ are uniquely defined on the common $s$-interval occurring in $Q'$. Hence, for every $(s,\theta) \in Q'$,
\begin{align*}
\widetilde u(X(s,\theta))=Z(s,\theta)=u(X(s,\theta)).
\end{align*}
Setting
\begin{align*}
W:=\Phi(Q')
\end{align*}
gives an open neighbourhood $W \subset V \cap \widetilde V$ of $y_0$ in the same characteristic image, and $u=\widetilde u$ on $W$. This proves the asserted local uniqueness.[/step]