What is the Jacobian matrix?
What are its applications?
What is its physical and geometrical meaning?
Can someone please explain with examples?
The Jacobian dfp of a differentiable function f:Rn→Rm at a point p is its best linear approximation at p, in the sense that f(p+h)=f(p)+dfp(h)+o(|h|) for small h. This is the “correct” generalization of the derivative of a function f:R→R, and everything we can do with derivatives we can also do with Jacobians.
In particular, when n=m, the determinant of the Jacobian at a point p is the factor by which f locally dilates volumes around p (since f acts locally like the linear transformation dfp, which dilates volumes by detdfp). This is the reason that the Jacobian appears in the change of variables formula for multivariate integrals, which is perhaps the basic reason to care about the Jacobian. For example this is how one changes an integral in rectangular coordinates to cylindrical or spherical coordinates.
The Jacobian specializes to the most important constructions in multivariable calculus. It immediately specializes to the gradient, for example. When n=m its trace is the divergence. And a more complicated construction gives the curl. The rank of the Jacobian is also an important local invariant of f; it roughly measures how “degenerate” or “singular” f is at p. This is the reason the Jacobian appears in the statement of the implicit function theorem, which is a fundamental result with applications everywhere.