I've found lots of different proofs that SO(n) is path connected, but I'm trying to understand one I found on Stillwell's book "Naive Lie Theory". It's fairly informal and talks about paths in a very intuitive way, but I found a more expanded version of it in these notes: http://mysite.science.uottawa.ca/asavag2/mat4144/notes/MAT%204144-5158%20-%20Lie%20Groups.pdf , page 29, Proposition 11.8.
I have trouble in only one part: the part where the author claims that because SO(2) is path-connected, there is path from I to R. Here's my doubt: what is this R? It says it's a rotation in the plane containing e1 and Ae1, but what about the rest of the vectors not contained in the plane? What does R do with them? Does it fix them, rotate them? Also, isn't R a nxn matrix? Doesn't SO(2) being path-connected only gives me information about 2x2 matrices? Am I supposed to have a function that maps 2x2 rotation matrices to nxn rotation matrices? If so, how does that function work? Is it continuous?
Thanks :)
The unspoken idea is that we should design $R$ to do as little as possible. $R$ acts on the plane containing $A e_1$ and $e_1$ in such a way that $A e_1$ is rotated to $e_1$. On the orthogonal complement to this plane, $R$ does nothing.
In particular, we can construct the matrix for $R$ as follows:
First of all, verify that if $A e_1$ is a multiple of $e_1$, then $A$ has an eigenvalue corresponding to the top-left entry, which means that we have a $1$ there, which means we have a matrix of the form that we're trying to achieve. So, WLOG, assume that this is not the case.
Since $A e_1$ and $e_1$ span a plane, we may take $v_1,v_2$ to be an orthonormal basis for that plane. Let $R_1$ from the plane to itself denote the rotation taking $A e_1$ to $e_1$, with respect to the basis $v_1,v_2$.
Extend $\{v_1,v_2\}$ to an orthonormal basis $\{v_1,\dots,v_n\}$ of $\Bbb R^n$. Let $V$ denote the matrix whose columns are $v_i$. We may write $$ R = V \pmatrix{R_1&0\\0&I_{n-2}} V^T $$ Now, $R_1 \in \text{SO}(2)$, so that we have a path from $R_1$ to $I_2$. Verify that this yields a path from $R$ to $I_n$.