Then $f(X) = X^2$ is a diffeomorphism of $U$ onto itself. Ok, first of all, I am having troubles to show that $f(U) = U.$ How can I show that the image of this function is the set $U$?
For the second part, I did: $Df(X) = 2X.$ Then, if $v \neq 0, v \in \mathbb{R}^n$, $v^tDf(X)v = 2v^tXv > 0$ then $Df(x)$ is an isomorphism and the claim follows from the inverse function theorem. This is right?
To finish, how do I show that $U$ is convex? I have no clues...