  Relativistic jets are ubiquitous in astrophysical systems that contain
compact objects. They transport large amounts of energy to large distances from
the source, and their interaction with the ambient medium has a crucial effect
on the evolution of the system. The propagation of the jet is characterized by
the formation of a shocked "head" at the front of the jet which dissipates the
jet's energy and a cocoon that surrounds the jet and potentially collimates it.
We present here a self consistent, analytic model that follows the evolution of
the jet and its cocoon, and describes their interaction. We show that the
critical parameter that determines the properties of the jet-cocoon system is
the dimensionless ratio between the jet's energy density and the rest-mass
energy density of the ambient medium. This parameter, together with the jet's
injection angle, also determines whether the jet is collimated by the cocoon or
not. The model is applicable to relativistic, unmagnetized, jets on all scales
and may be used to determine the conditions in AGNs jets as well as in GRBs or
microquasars. It shows that AGN and microquasar jets are hydrodynamically
collimated due to the interaction with the ambient medium, while GRB jets can
be collimated only inside a star and become uncollimated once they breakout.
