Partial Differential Equations: Lecture Notes

Partial Differential Equations
Lecture Notes
Dr. Q. M. Zaigham Zia

Assistant Professor
Department of Mathematics
COMSATS Institute of Information Technology
Islamabad, Pakistan
ii
Contents
1 Lecture 01
1.1 Motivation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
1.2 Basic Definitions . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
1
1
2
2 Lecture 02
2.1 Motivation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
2.2 Initial conditions . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
2.3 Boundary conditions . . . . . . . . . . . . . . . . . . . . . . . . . . .
2.4 Solution of a Boundary Value Problem . . . . . . . . . . . . . . . . .
2.5 Linear Boundary Conditions . . . . . . . . . . . . . . . . . . . . . . .
2.6 Classification of Boundary Conditions . . . . . . . . . . . . . . . . .
2.6.1 Dirichlet Conditions . . . . . . . . . . . . . . . . . . . . . . .
2.6.2 Neumann Conditions . . . . . . . . . . . . . . . . . . . . . . .
2.6.3 Mixed Boundary Conditions or Robins Boundary Conditions
2.7 Superposition Principle . . . . . . . . . . . . . . . . . . . . . . . . .
2.8 Formation of Partial Differential Equation . . . . . . . . . . . . . . .
9
9
9
10
10
10
11
11
11
11
13
14
3 Lecture 03
3.1 First Order Partial Differential Equations . . . . . . . . . . . . . . .
3.2 First Order Partial Differential Equation . . . . . . . . . . . . . . . .
3.3 Solution of First Order Partial Differential Equation . . . . . . . . .
17
17
18
19
4 Lecture 04
4.1 Solution of First Order Partial Differential Equations
4.1.1 Method of Characteristics . . . . . . . . . . .
4.1.2 Examples . . . . . . . . . . . . . . . . . . . .
4.2 Integral Surfaces Passing Through a Given Curve . .
4.2.1 Parametric Equations . . . . . . . . . . . . .
4.2.2 Methodology . . . . . . . . . . . . . . . . . .
4.2.3 Examples . . . . . . . . . . . . . . . . . . . .
21
21
21
21
23
23
23
24
iii
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
iv
5 Lecture 05
5.1 Compatible System of First Order Differential
Equations . . . . . . . . . . . . . . . . . . . .
5.1.1 Example . . . . . . . . . . . . . . . . .
5.2 Non-linear Partial Differential Equations . . .
5.2.1 Charpits Method . . . . . . . . . . .
5.2.2 Examples . . . . . . . . . . . . . . . .
CONTENTS
25
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
6 Lecture 06
6.1 Non-linear Partial Differential Equations . . . . . . . . . . .
6.1.1 Charpits Method . . . . . . . . . . . . . . . . . . .
6.1.2 Examples . . . . . . . . . . . . . . . . . . . . . . . .
6.2 Special Types of First Order Non-Linear Partial Differential
6.2.1 Equations involving p and q only . . . . . . . . . . .
6.2.2 Separable Equations . . . . . . . . . . . . . . . . . .
6.2.3 Clairauts Form . . . . . . . . . . . . . . . . . . . . .
7 Lecture 07
7.1 Second Order Partial Differential Equation . . .
7.1.1 Definition . . . . . . . . . . . . . . . . . .
7.2 Classification of Second Order Partial Differential
7.2.1 Examples . . . . . . . . . . . . . . . . . .
7.3 Reduction of Second Order Partial Differential
Equation into Canonical Form . . . . . . . . . . .
8 Lecture 08
Equations in Canonical Form . . . . . . . . . .
8.1.1 Result . . . . . . . . . . . . . . . . . . .
8.2 Canonical Form for Hyperbolic Equation . . . .
8.2.1 Examples . . . . . . . . . . . . . . . . .
9 Lecture 09
9.1.1 Result . . . . . . . . . . . . . . . . . . .
9.2 Canonical Form for Parabolic Equation . . . .
9.2.1 Examples . . . . . . . . . . . . . . . . .
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
25
26
26
26
27
. . . . .
. . . . .
. . . . .
Equations
. . . . .
. . . . .
. . . . .
29
29
29
30
30
30
31
32
.
.
.
.
.
.
.
.
33
33
33
33
34
. . . . . . . . . . .
35
. . . . . .
. . . . . .
Equations
. . . . . .
.
.
.
.
.
.
.
.
.
.
.
.
37
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
37
38
38
40
41
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
41
42
42
43
10 Lecture 10
Equations in Canonical Form . . . . . . . . . . . . . . . . . . . . . .
10.1.1 Result . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
45
45
46
CONTENTS
10.2 Canonical Form for Elliptic Equation . . . . . . . . . . . . . . . . . .

10.2.1 Example . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
46
47
11 Lecture 11
11.1.1 Result . . . . . . . . . . . . . . . . . . .
11.2 Mixed Type of Partial Differential Equation . .
11.2.1 Example . . . . . . . . . . . . . . . . . .
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
49
50
50
50
12 Lecture 12
12.1 Mathematical Modeling . . . . . . . . . .
12.1.1 Objective . . . . . . . . . . . . . .
12.1.2 Background . . . . . . . . . . . . .
12.1.3 Approximations and Idealizations .
12.1.4 Modeling . . . . . . . . . . . . . .
12.1.5 Model Validation . . . . . . . . . .
12.1.6 Compounding . . . . . . . . . . . .
12.2 Review of Physics Laws . . . . . . . . . .
12.3 The Continuity Equation . . . . . . . . .
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
53
53
54
54
54
54
55
56
56
57
.
.
.
.
.
.
59
59
63
63
64
64
65
13 Lecture 13
13.1 The Heat (Or Diffusion) Equation
13.2 Initial Conditions . . . . . . . . . .
13.3 Boundary Conditions . . . . . . . .
13.4 Initial Boundary Value Problem . .
13.4.1 Examples . . . . . . . . . .
13.4.2 Solution . . . . . . . . . . .
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
49
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
vi
CONTENTS
Lecture 01
1.1
Motivation
Partial differential equations describe the behavior of many engineering phenomena:

Heat flow and distribution
Electric fields and potentials
Diffusion of chemicals in air or water
Electromagnetism and quantum mechanics
Wave propagation
Fluid Flow (air or liquid)
- Air around wings, helicopter blade, atmosphere
- Water in pipes or porous media
- Material transport and diffusion in air or water
- Weather: large system of coupled partial differential equations for momentum, pressure, moisture, heat,
Vibration
Mechanics of solids
- Stress-strain in material, machine part, structure
1
Chapter 1 Lecture 01
Course Contents
Introduction of partial differential equations
Partial Differential equations of first order
Linear and non-linear partial differential equations
Applications of first order partial differential equations
Partial Differential equations of second order
Mathematical Modeling of heat, Laplace and wave equations
Classification of second order partial differential equations
Boundary and Initial value problems
Reduction to canonical form and the solution of second order partial
differential equations
Sturm-Liouville system
Technique of Separation of Variable for the solution of partial differential
equations
Laplace, Fourier and Hankel transforms for the solution of partial differential
equations and their application to boundary value problems.
Recommended Books
Richard Haberman, Elementary partial differential equations, Prentice-Hall,
INC., Englewood Cliffs, New Jersy
K. Sankara Rao, Introduction to partial differential equations, Prentice-Hall
of India New Delhi.
M. Humi, W. B. Miller, Boundary value problems and partial differential equations, PWS-KENT publishing company, Boston.
T. Myint-U, L. Debnath, Linear partial differential equations for scientists and
engineers, Fourth Edition, Birkhauser, Berlin
Grading Scheme
1.2
Basic Definitions
Differential Equations
Definition 1.1. A differential equation is an equation that relates the derivatives
of a function depending on one or more variables.
1.2 Basic Definitions
For example
d2 u du
+
= cos x
dx2 dx
is a differential equation involving an unknown function u(x) depending on one
variable and
2u 2u
u
+ 2 =
2
x
y
t
is a differential equation involving an unknown function u(t, x, y) depending on three
variables.
Partial Differential Equation (PDE)
Definition 1.2. A partial differential equation (PDE) is an equation that contains,
in addition to the dependent and independent variables, one or more partial derivatives of the dependent variable.
Suppose that our unknown function is u and it depends on the two independent
variables then the general form of the PDE is
F (x, y, , u, ux , uy , uxx , uxy , uyy , ) = 0
Here subscripts denotes the partial derivatives, for example
ux =
u
u
2u
2u
2u
, uy =
, uxx =
,
u
=
,
u
=
xy
yy
x
y
x2
xy
y 2
Order of Partial Differential Equation

Definition 1.3. The order of a partial differential equation is the order of the highest
ordered partial derivative appearing in the equation
Examples: In the following examples, our unknown function is u and it depends
on three variables t, x and y.
uxx + 2xuxy + uyy = ey ; Order is Two
uxxy + xuyy + 8u = 7y; Order is Three
ut 6uux + uxxx = 0; Order is Three
ut + uux = uxx ; Order is Two
uxxx + xuxy + yu2 = x + y; Order is Three
ux + uy = 0; Order is One
Degree of Partial Differential Equation

Definition 1.4. The degree of a partial differential equation is the degree of the
highest order partial derivative occurring in the equation.
Examples: In the following examples, our unknown function is u and it depends
on two variables t, x and y.
uxx + 2xuxy + uyy = ey ; Degree is One
uxxy + xu2yy + 8u = 7y; Degree is One
ut 6uux + u3xxx = 0; Degree is Three
ut + uu3x = uxx ; Degree is One
u2xxx + xu3xy + yu2 = x + y; Degree is Two
ux + uy = 0; Degree is One
Linear Operator
A linear operator L by definition satisfies
L(c1 u1 + c2 u2 ) = c1 L(u1 ) + c2 L(u2 )
(1.2.1) eq:01
for any two functions u1 and u2 , where c1 and c2 are arbitrary constants. /t and
2 /x2 are the examples of linear operators since these two satisfy equation (4.2.1):
u1
u2
(c1 u1 + c2 u2 ) = c1
+ c2
t
t
t
2
2
u1
2 u2
(c
u
+
c
u
)
=
c
+
c
1
1
2
2
1
2
x2
x2
x2
Note: Any linear combination of linear operators is a linear operator.
However (/t)2 is not a linear operator since it does not satisfy equation (4.2.1).
To prove the non-linearity of the operator (/t)2 , we do the following calculations.
If our L = (/t)2 then Lu = (u/t)2
u
derivative
| {z }
u
t

Square
| {z }
u
t
2

Now
(c1 u1 + c2 u2 )
t
2
=
=
=
6=

u1
u2 2
c1
+ c2
t
t

2

u1
u2 2
u1 u2
c1
+ c2
+ 2c1 c2
t
t
t t
2

2

u2
u1 u2
u1
+ c22
+ 2c1 c2
c21
t
t
t t

2

2
u2
u2
c1
+ c2
t
t
Definition 1.5. A partial differential equation is said to be a linear if

i) it is linear in the unknown function and
ii) all the derivatives of the unknown functions with constant coefficients or the
coefficients depends on the independent variables.
Examples: Suppose u is our unknown function which depends on three independent variables t, x and y then the following are linear partial differential equations
Laplaces equations: u = 0, where = uxx + uyy
Helmholtzs equation: = u
First-order linear transport equation: ut + cux = 0
Heat or diffusion equation: ut u = 0
Schrodingers equation: iut + u = 0
Quasi-Linear Partial Differential Equation
Definition 1.6. A partial differential equation is said to be a quasi-linear if the
derivatives of unknown function are linear, while the coefficients depends on the
independent variables as well as the dependent variables.
Examples: Suppose u is our unknown function which depends on two independent variables x and y then the following are quasi-linear partial differential
equations
uux + uy = 0
yuxx + 2xyuuyy + u = 1
uxxy + xuuyy + 8u = 7y
Semi-Linear Partial Differential Equation

Definition 1.7. A partial differential equation is said to be a semi-linear if the
derivatives of unknown function are linear and the coefficients of derivatives depends
on the independent variables only.
Examples: Suppose u is our unknown function which depends on two independent variables x and y then the following are semi-linear partial differential equations
ux + uxy = u2
yuxx + (2x + y)uyy + u3 = 1
uxxy + xuyy + 8u = 7xyu2
Non-Linear Partial Differential Equation
Definition 1.8. A partial differential equation which is not linear is called nonlinear partial differential equation.
Examples: Suppose u is our unknown function which depends on three independent variables t, x and y then the following are non-linear partial differential
equations:
Non linear Poisson equation: u = f (u)
Burgers equation: ut + uux = 0
Korteweg-deVries equation(KdV): u + uux + uxxx = 0
Reaction-diffusion equation: ut u = f (u)
Homogeneous Partial Differential Equation
Definition 1.9. A partial differential equation is said to be a homogeneous partial
differential equation if its all terms contain the unknown functions or its derivatives.
The simplest way to test whether an equation is homogeneous is to substitute
the function u identically equal to zero. If u = 0 satisfies the equation then the
equation is called homogeneous.
Examples:
uxx + xuxy + yu2 = 0 is a homogeneous equation
uxx + 2xuxy + 5u = 0 is a homogeneous equation
3ux + uuy = f (x, y) is a non-homogeneous equation
Solution of Partial Differential Equation

Definition 1.10. Functions u = u(x, y, ) which satisfy the following partial differential equation
F (x, y, , u, u, ux , uy , , uxx , uxy , uyy , ) = 0
identically in a suitable domain D of the ndimensional space Rn in the independent
variables x, y, , if exist are called solutions.
Example: Functions u(x, y) = (x + y)3 and u(x, y) = sin(x y) are solutions of
the differential equation
uxx uyy = 0.
Principle of Superposition
Definition 1.11. If u1 and u2 are two solutions of a linear homogeneous partial
differential equation then an arbitrary linear combination of them c1 u1 + c2 u2 also
satisfies the same linear homogeneous differential equation.
Examples: Consider a one dimensional heat equation
1 u
2u
=
.
k t
x2
(1.2.2) ?eq:2?
If u1 and u2 are two solutions of equations (4.1.1) then they must satisfy equation
(4.1.1), that is,
1 u1
2 u1
1 u2
2 u2
=
,
=
.
k t
x2
k t
x2
According to the principle of superposition, c1 u1 + c2 u2 is again the solution of
equation (4.1.1).
1
1 u1
1 u2
(c1 u1 + c2 u2 ) = c1
+ c2
k t
k t
k t
2 u1
2 u2
2
= c1
+ c2
=
(c1 u1 + c2 u2 ) = R. H. S.
x2
x2
x2
L.H.S. =
Note: Here the superposition principle is stated for two solutions only, it is true
for any finite linear combinations of solutions.
Furthermore, under proper restrictions, it is also true for infinite number of
solutions. If ui , i = 1, 2, are solutions of a homogeneous linear partial differential
equations, then
n
X
w=
ci ui
i=1
is also a solution.
Theorem 1.12. If u1 and u2 are solutions of a linear inhomogeneous equation then

u1 u2 is a solution of the corresponding homogeneous equation.
Consider the general form of a non-homogeneous differential equation
au +
n
X
bi (u)xi + = f (x)
i=1
If u1 and u2 are two solutions of above equation then

au1 +
n
X
bi (u1 )xi + = f (x),
i=1
au2 +
n
X
bi (u2 )xi + = f (x)
i=1
The process of subtraction gives us,

a(u1 u2 ) +
n
X
i=1
bi (u1 u2 )xi + = 0
Lecture 02
2.1
Motivation
The number of independent solutions for a partial differential equations are

infinite.
The boundaries of the regions of the independent variables over which we desire
to solve the differential equations are not discrete points (as in one dimensional
case) but are continuous curves or surfaces.
Thus, the complete formulation of a physical system in terms of partial differential equations requires careful attention
- not only the equations that govern the system, but
- also to the correct formulation of the boundary conditions.
Furthermore, most differential equations that we encounter in applications are
mathematical expressions of physical laws (for example the heat equation is
the expression of the law of energy conservation).
Therefore, in order to obtain a unique solution, we must specify the initial
conditions in addition to the boundary conditions.
2.2
Initial conditions
Definition 2.1. Conditions at an initial time t = t0 from which a given set of

mathematical equations or physical system evolves are known as initial conditions.
A system with initial conditions specified is known as the initial value problem.
9
10
Alternatively, if the conditions relates one value of the independent variable such
as u(x0 ) = A and ux (x0 ) = B. Then these conditions are called Initial Conditions
and x0 is called the initial point.
Example:1 As a simple example, we suppose that our unknown function u is
dependent on one variable x. Then the following problem is known as initial value
problem
uxx + ux 2u = 0,
u(0) = 3,
ux (0) = 7.
Example:2 Now we suppose that our unknown function u is dependent on two
variable t, x. Then the following problem is known as initial value problem
uxx + ut 2u = 0,
2.3
u(0, x) = 3x,
ut (0, x) = sin x.
Boundary conditions
Definition 2.2. The set of conditions specified for the behavior of the solution to
a set of differential equations or partial differential equations at the boundary of its
domain are known as Boundary Conditions. A system with boundary conditions is
known as the boundary value problem.
Alternatively, the problem of finding the solution of a differential equation such
that all the associated conditions relate to two different values of the independent
variable is called a boundary value problem.
Example: If u(x, t) is the displacement of a vibrating string and its ends are
fixed at x = a and x = b, then the conditions
u(a, t) = 0,
and
u(b, t) = 0
are boundary conditions.
2.4
Solution of a Boundary Value Problem
By a solution to a boundary value problem on an open region D, we mean a function

u that satisfies the differential equation on D and it is continuous on D D, and
satisfies the specified boundary conditions on D.
2.5
Linear Boundary Conditions
Definition 2.3. The boundary conditions are linear if they express a linear relationship between u and its partial derivatives (up to appropriate order) on D. (In
other words, a boundary condition is linear if it is expressed as a linear equation
between u and its derivatives on D. )
2.6 Classification of Boundary Conditions
11
Figure 2.1: Laterally insulated Wire
2.6
2.6.1
Classification of Boundary Conditions

Dirichlet Conditions
Definition 2.4. The boundary conditions specify the values of the unknown function
u on the boundary. This type of boundary condition is called the Dirichlet condition.
2.6.2
Neumann Conditions
Definition 2.5. The boundary conditions specify the derivatives of the unknown
function u in the direction normal to the boundary, which is written as u/n. This
type of boundary condition is called the Neumann condition.
Remark: The normal derivative on the boundary u/n is defined as

u
u
u
= grad u n =
, ,
n,
n
x1
xn
where n is the outward normal to D.
2.6.3
Mixed Boundary Conditions or Robins Boundary Conditions
Definition 2.6. The boundary conditions specify a linear relationship between u

and its normal derivative on the boundary. These are referred to as mixed boundary
conditions or Robins boundary conditions. The general form of such a boundary
condition is

u
u +
= f (x) |D , , are constants.
n D
Example
Consider the problem of heat conduction in a laterally insulated thin wire. u(x, t)
is the temperature in the wire, the constant k is the diffusivity, which indicates the
rate of diffusion of the heat along the wire, and the length of the wire is L. The
initial condition is u(x, 0) = F (x), where F (x) is the initial temperature distribution
in the wire.
The three major types of boundary conditions are as follows:
(1) Immerse the wire in melting ice (0 C) at each end point (See Figure)
and let u(x, t) be measured in C.
u(0, t) = u(L, t) = 0,
for t > 0.
12
Figure 2.2: Laterally Insulated Wire with Ice on the Ends

These are Dirichlet or fixed boundary conditions. Alternatively, prescribe the temperature of each end-point to be p(t) and q(t), respectively:
u(0, t) = p(t), u(L, t) = q(t),
for t > 0.
These also are Dirichlet, or fixed, boundary conditions.

2) Insulate each end-point; thus, the wire is totally insulated (as in Figure):
ux (o, t) = ux (L, t) = 0,
for t > 0.
These are Neumann, or free, boundary conditions.
Figure 2.3: Totally Insulated Wire

Alternatively, prescribe the flow of heat at each end-point to be p(t) and q(t),
respectively:
ux (0, t) =
p(t)
,
K
and ux (L, t) =
q(t)
,
K
for t > 0.
K > 0 is the thermal conductivity. These also are Neumann, or free, boundary
conditions.
3) Each end-point is exposed and radiates heat into the surrounding medium
which has a temperature of T (t):
ux (0, t) = [u(0, t) T (t)], and ux (L, t) = [ux (L, t) T (t)], for t > 0,
which simplify to:
u(0, t) ux (0, t) = T (t), and u(L, t) + ux (L, t) = T (t), for t > 0,
where , , are positive constants. These are Robin, or mixed, boundary conditions.
If the surrounding medium has a temperature of 0 C (i.e., T (t) = 0), and u(x, t)
is measured in C, then we have
u(0, t) ux (0, t) = 0, and u(L, t) + ux (L, t) = 0, for t > 0.
2.7 Superposition Principle
13
Figure 2.4: laterally Insulated Wire with Exposed Ends
2.7
Superposition Principle
Superposition Principle for Linear Boundary Conditions

Theorem 2.7. If u1 and u2 are the solutions of a linear homogeneous partial differential equation with linear boundary conditions

u1 (x)
u1 (x) +
= f (x)|D
n D

u2 (x)
= g(x)|D
u2 (x) +
n D
where , are constants, then w = u1 + u2 is a solution of the partial differential
equation that satisfies the boundary conditions

w(x)
w(x) +
= (f (x) + g(x))|D
n D
Note: The above result is particularly useful in applications in which the boundary conditions are complex.
Example Consider the Laplace equation
2u 2u
+ 2 =0
x2
y
in rectangle with the following linear boundary conditions
u(x, 0) = f1 (x),
u(0, y) = g1 (y)
u(x, b) = f2 (x),
u(a, y) = g2 (y)
We split the problem in two parts:

2 u1 2 u1
+
=0
x2
y 2
2 u2 2 u2
+
=0
x2
y 2
u1 (x, 0) = f1 (x)
u2 (x, 0) = 0
u1 (x, b) = f2 (x)
u2 (x, b) = 0
u1 (0, y) = 0
u2 (0, y) = g1 (y)
u1 (a, y) = 0
u2 (a, y) = g2 (y)
14
Figure 2.5: Boundary Conditions on a Plate

Obviously, if we solve u1 , u2 , then u1 +u2 is a solution of Laplace equation, which
satisfies all the boundary conditions.
Example
Note: Neumann boundary conditions usually do not specify the unique solution
of a boundary value problem.
Consider the solution
2 u2 2 u2
+
=0
x2
y 2
with the Neumann boundary conditions
u
(x, 0) = f1 (x),
y
u
(0, y) = g1 (x),
x
u
(x, b) = f2 (x)
y
u
= g2 (x).
x
It is obvious that if u is the solution of this boundary value problem, then

w = u + c (c is constant) is also a solution of the above boundary value problem.
Thus Neumann boundary conditions determine the solution of this boundary value
problem up to a constant.
2.8
Formation of Partial Differential Equation
Suppose u, v are two given functions of x, y and z. Let F be an arbitrary function

of u and v of the form
F (u, v),
or
F (u(x, y, z), v(x, y, z)).
A differential equation can be formulated by eliminating the arbitrary function

F . Taking partial derivatives of F (u, v) with respect to x and y and taking z is a
2.8 Formation of Partial Differential Equation
15
function of x, y, we obtain

F u u
F v
v
+
p +
+
p = 0
u x z
v x z

F u u
F v v
+
p +
+
p = 0
u y
z
v y z
Eliminating F/u and F/v from above equations, we obtain
P p + Qq = R,
where
P =
(u, v)
,
(y, z)
Q=
(u, v)
,
(z, x)
z
,
x
q=
and
p=
R=
(u, v)
,
(x, y)
z
.
y
Definition 2.8. The first order partial differential equation

P p + Qq = R,
is called Lagranges partial differential equation of first order.
Problem Sheet
Form the partial differential equation by eliminating the arbitrary function from
1. z = f (x + it) + g(x it), where i = 1

2. f (x + y + z, x2 + y 2 + z 2 ) = 0
3. z = xy + f (x2 + y 2 )
4. z = f (xy/z)
5. z = ax + by + ab
Solution:
1.
2z
x2
2z
t2
= 0.
2. (z y)p + (x z)q = y x
3. yp xq = y 2 x2
4. px = qy
5. z = px + qy + pq
16
Lecture 03
3.1
First Order Partial Differential Equations
Definition 3.1. An equation written in the form

f (x, y, z, p, q) = 0,
is called first order partial differential equation, where p =
independent variables and z is dependent variable.
z
x ,
q=
z
y ;
x and y are
Example Form the partial differential equation from the following equation
x2 + y 2 + (z c)2 = a2
with a and c are arbitrary constants.
Note: The equation in above example represents the set of all spheres whose
center lie along the z-axis.
x2 + y 2 = (z c)2 tan2
with c and are arbitrary constants.
Note: The equation in above example represents the set of all right circular
cones whose axis coincides with the line OZ.
Example
Form the partial differential equation from the following equation
x2 + y 2 + (z c)2 = a2
with a and c are arbitrary constants.
Solution: The obtained differential equation is
yp xq = 0.
17
18
x2 + y 2 = (z c)2 tan2
with c and are arbitrary constants.
Solution: The obtained differential equation is
yp xq = 0.
Surfaces of Revolution
Now a question arises that why these two different geometrical entities have
the same partial differential equation.
The spheres and cones are basically surfaces of revolution which have the line
OZ as axes of symmetry.
Definition 3.2. A surface of revolution is a surface in Euclidean space created by
rotating a curve around a straight line in its plane (the axis).
All surfaces of revolution with the property that they have the line OZ as axes
of symmetry are characterized by an equation of the form
z = f (x2 + y 2 )
where the function f is arbitrary. The corresponding differential equation is
yp xq = 0.
3.2
First Order Partial Differential Equation
Definition 3.3. (Linear Partial Differential Equation) An equation of the form

P p + Qq = R
where P and R are given functions of x, y and Q is a function of x, y and z is known
as first order linear partial differential equation.
Definition 3.4. (Quasi-Linear Partial Differential Equation) An equation of the
form
P p + Qq = R
where P and R are given functions of x, y and z (which do not involve p or q) is
known as first order quasi-linear partial differential equation.
Note: The above equation is referred to as Langranges Equation.
3.3 Solution of First Order Partial Differential Equation
3.3
19
Solution of First Order Partial Differential Equation
Theorem 3.5. The general solution of linear partial differential equation

P p + Qq = R
can be written in the form F (u, v) = 0, where F is an arbitrary function, and
u(x, y, z) = C1 and v(x, y, z) = C2 form a solution of the equation
dx
dy
dz
=
=
P (x, y, z)
Q(x, y, z)
R(x, y, z)
Example Find the solution of following linear partial differential equation
y 2 p xyq = x(z 2y)
(y + 2x)p (x + yz)q = x2 y 2
20
Lecture 04
Review
Formation of First Order Partial Differential Equations
Solution of First Order Partial Differential Equations
4.1
4.1.1

Method of Characteristics
Solution of Partial Differential Equation of First Order

Theorem 4.1. The general solution of first order quasi-linear partial differential
equation
P p + Qq = R
(4.1.1) eq:02
can be written in the form F (u, v) = 0, where F is an arbitrary function, and

u(x, y, z) = C1 and v(x, y, z) = C2 form a solution of the equation
dx
dy
dz
=
=
.
P (x, y, z)
Q(x, y, z)
R(x, y, z)
The curves defined by u(x, y, z) = C1 and v(x, y, z) = C2 are called the families of
characteristics curves of equation (4.1.1).
4.1.2
Examples
Example Find the solution of following partial differential equation

x y

z

z z = 0

x
y 1
21
22
where z = z(z, y).

Solution: The solution of the above partial differential equation is
F (x2 + y 2 + z 2 , x + y + yz) = 0
Example Find the general integrals of the following partial differential equations
pz qz = z 2 + (x + y)2
Solution: The solution of the above partial differential equations is
F (x + y, 2x ln |z 2 + (x + y)2 |) = 0
Example Find the general integrals of the following partial differential equations
(x2 yz)p + (y 2 zx)q = z 2 xy.
Solution: The solution of the above partial differential equations is

xy yz
F
,
yz zx
.
Theorem 4.1. If ui (x1 , x2 , , xn , z) = ci (i = 1, 2, , n) are independent solutions of the equations
dx1
dx2
dxn
dz
=
= =
=
P1
P2
Pn
R
then the relations F (u1 , u2 , , un ) = 0, in which the function F is arbitrary, is a
general solution of the linear partial differential equation
P1
z
z
z
+ P2
+ + Pn
= R.
x1
x2
xn
Example If u is a function of x, y and z which satisfies the partial differential

equation
u
u
u
(y z)
+ (z x)
+ (x y)
= 0.
x
y
z
Show that u contains x, y and z only in combinations x + y + z and x2 + y 2 + z 2 .
Solution: Auxiliary Equations are
dx
dy
dz
du
=
=
=
yz
zx
xy
0
This implies, (using multipliers)
du = 0
dx + dy + dz = 0
xdx + ydy + zdz = 0
4.2 Integral Surfaces Passing Through a Given Curve
23
Integrating above equations we obtain

u = C1 , x + y + z = C2 , x2 + y 2 + z 2 = C3
Where C1 , C2 , C3 are arbitrary constants. Thus the general solution can be written
in terms of an arbitrary function F in the form
u = F (x + y + z, x2 + y 2 + z 2 )
4.2
Integral Surfaces Passing Through a Given Curve
4.2.1
Parametric Equations
Definition 4.2. Parametric equations are a set of equations that express a set of
quantities as explicit functions of a number of independent variables, known as parameters.
Examples:
The equation of a circle in Cartesian coordinates is x2 + y 2 = r2 , while its one
set of parametric equations are
x = r cos
y = r sin
Equation for a parabola y = x2 can be parametrized by using a free parameter

t. The One set of parametric equation is
y = t2 .
x = t,
while the second set is
x=
4.2.2
t,
y = t.
Methodology

Suppose for a given partial differential equations we obtained two integral curves
described by
u(x, y, z) = C1 ,
v(x, y, z) = C2 .
(4.2.1) eq:01
Then the solution of the partial differential equation can be written in the form
F (u, v) = 0.
24
Now we wish to determine an integral surface, containing a given curve described by the parametric equation of the form
x = x(t),
y = y(t),
z = z(t),
where t is a parameter. Then our particular solution must be like

u(x(t), y(t), z(t)) = C1 ,
v(x(t), y(t), z(t)) = C2 .
Eliminating the parameter t from above equations to obtain a relation of the type
F (C1 , C2 ) = 0. Substituting the values of C1 and C2 from equation (4.2.1) leads to
the integral surface passing through the given curve .
4.2.3
Examples
Example Find the integral surface of the partial differential equation

x(y 2 + z)p y(x2 + z)q = (x2 y 2 )z
containing the straight line x + y = 0, z = 1.
Solution: The required integral surface is
x2 + y 2 2z + 2xyz 2 = 0.
Example Find the integral surface of the partial differential equation
xp + yq = z
with the data x2 + y 2 + z 2 = 4 and x + y + z = 2.
Solution: The required integral surface is
xy + xz + yz = 0
Lecture 05
Review
Method of Characteristics
Examples
Parametric Equations
Methodology
Examples
5.1
Compatible System of First Order Differential

Equations
Definition 5.1. Two first order partial differential equations are said to be compatible if they have a common solution.
Necessary and Sufficient Condition for Compatible Differential Equations
Consider two partial differential equations
f (x, y, z, p, q) = 0,
g(x, y, z, p, q) = 0.
Then the necessary and sufficient condition for compatible differential equations
is to satisfy the following equation
(f, g)
(f, g) (f, g)
(f, g)
+p
+
+q
= 0.
(x, p)
(z, p) (y, q)
(z, q)
25
26
5.1.1
Example
Example Show that the following partial differential equations are compatible
xp yq = x,
x2 p + q = xz
and, hence, find their solution.

Example Show that the following partial differential equations are compatible
xp = yq,
and
z(xp + yq) = 2xy.
Home Work
5.2
5.2.1
Non-linear Partial Differential Equations

Charpits Method
Consider a non-linear first order partial differential equation of the form

f (x, y, z, p, q) = 0.
The basic idea of Charpits Method is the introduction of another partial differential
equation of the form
g(x, y, z, p, q) = 0,
and then solve above two equations for p and q. In next step we substitute the
values of p and q in the following equation,
dz = p(x, y, z, a)dx + q(x, y, z, a)dy.
Now the solution of above equation, if it exists, is the complete integral of the given
equation.
The main idea in Charpits method is to determine the second order partial
differential equation
We will use the idea of compatible equations.
Assume that the following equation
g(x, y, z, p, q) = 0
is compatible with the given equation
f (x, y, z, p, q) = 0
5.2 Non-linear Partial Differential Equations
27
for which the neccessary and sufficient condition is

(f, g) (f, g)
(f, g)
(f, g)
+p
+
+q
= 0.
(x, p)
(z, p) (y, q)
(z, q)
The above equation reduces in the form of a quasi-linear equation in g, i.e.,
fp
g
g
g
g
g
+ fq
+ (pfp + qfq )
(fx + pfz )
(fy + qfz )
= 0.
x
y
z
p
q
from which we can determine g. The auxiliary equations of above quasi-linear equation are
dy
dz
dp
dq
dx
=
=
=
=
.
fp
fq
pfp + qfq
(fx + pfz )
(fy + qfz )
These equations are called Charpits equations.
Note:
Any Integral of the above Charpits equations which involves p and q can be
taken as the second equation
g(x, y, z, , p, q) = 0.
It may also be noted that all Charpits equations need not to be used, but it
is enough to choose the simplest.
5.2.2
Examples
Example Find the complete integral of

x2 p2 + y 2 q 2 4 = 0.
using Charpits Method.
Solution: The complete integral of given equation is
p
z = a ln x + 4 a2 ln y + b.
28
Lecture 06
Review
Compatible System of First Order Differential Equations
Examples
Charpits Method
Examples
6.1
6.1.1

Charpits Method
Consider a non-linear first order partial differential equation of the form

f (x, y, z, p, q) = 0.
The basic idea of Charpits Method is the introduction of another partial differential
equation of the form
g(x, y, z, p, q) = 0,
and then solve equation above two equations for p and q. In next step we substitute
the values of p and q in the following equation,
dz = p(x, y, z, a)dx + q(x, y, z, a)dy.
Now the solution of above equation, if it exists, is the complete integral of the given
equation.
29
30
6.1.2
Examples
Example Find the complete integral of the partial differential equation

z 2 = pqxy.
Solution The solution of the above equation is
z = bx1/a y a .
Example Find the solution of the following partial differential equation
(p2 + q 2 )y = qz.
Solution: The solution of the above equation is
(x + b)2 = y 2
6.2
z2
.
a
Special Types of First Order Non-Linear Partial

Differential Equations
Type 1 Equations involving p and q only

Type 2 Separable equations
Type 3 Clairauts form.
6.2.1
Equations involving p and q only
Consider equation of the type

f (p, q) = 0.
Let z = ax + by + c = 0 is the solution of the given partial differential equation
described by f (p, q) = 0 then
p=
z
z
= a, q =
= b.
x
y
Substituting these values in the given partial differential equation, we obtain

f (a, b) = 0.
Solving for b, we get value of b in a, say (a). Then
z = ax + (a)y + c
6.2 Special Types of First Order Non-Linear Partial Differential Equations
31
is the complete integral of the given partial differential equation.

Example Find a complete integral of the function
p + q = 1.
Solution: The given partial differential equation of the form f (p, q) = 0. Therefore we assume that its solution in the form
z = ax + by + c,
where
a+
b=1
or
b = (1
a)2 .
Therefore the solution of the given partial differential equation is
z = ax + (1 a)2 y + c.
6.2.2
Separable Equations
Definition 6.1. An equation in which z is absent and the terms containing x and
p can be separated from those containing y and q is called a separable equation.
Example Find the complete integral of the following partial differential equation
p2 y(1 + x2 ) = qx2 .
Solution: The given equation can be written as
p2 (1 + x2 )
q
= .
2
x
y
Assume that this equation is equal to a, an arbitrary constant, such that
p2 (1 + x2 )
q
= = a.
x2
y
Then,
p2 (1 + x2 )
q
= a,
= a.
x2
y
Or
ax
p=
, q = ay.
1 + x2
Substituting these values of p and q in
dz = pdx + qdy,
we obtain
ax
dz =
dx + aydy
1 + x2
On Integration we obtain the solution of the given equation
p
a
z = a 1 + x2 + y 2 + b.
2
32
6.2.3
Clairauts Form
Definition 6.2. A first order partial differential equation is said to be of Clairauts

form if it can be written as
z = px + qy + f (p, q).
The corresponding Charpits equations are
dy
dz
dp
dq
dx
=
=
=
=
x + fp
y + fp
px + qy + pfp + qfq
0
0
Therefore, dp = 0, dq = 0 which implies p = a, q = b. Substituting the values of p
and q in the given partial differential equation we get the solution in the form
z = ax + by + f (a, b).
Example: The complete solution of the partial differential equation
p
z = px + qy + 1 + p2 + q 2
is
z = ax + by +
p
1 + a2 + b2 .
Lecture 07
Review
Non-linear partial differential equations
Charpits Method
Examples
Special types of non-linear partial differential equations are
Type 1: Equations involving p and q only
Type 2: Separable equations
Type 3: Clairauts form.
7.1
7.1.1
Second Order Partial Differential Equation

Definition
Definition 7.1. The general form of a second order partial differential equation is
Auxx + 2Buxy + Cuyy + Dux + Euy + F u + G = 0,
where A, B, C, D, E, F, G are the functions of x and y only or in a simple case these
coefficients are constant.
7.2
Classification of Second Order Partial Differential

Equations
The classification of partial differential equation is motivated by the classification of

the quadratic equation of the form
Ax2 + 2Bxy + Cy 2 + Dx + Ey + F = 0.
33
34
The discriminant of the above equation is B 2 AC, then the above equation is
Elliptic
if
B 2 AC < 0
Parabolic
if
B 2 AC = 0
Hyperbolic
if
B 2 AC > 0.
Generalizing this concept for the second order partial differential equations
Auxx + 2Buxy + Cuyy + Dux + Euy + F u + G = 0.
Then we classify the above above partial differential equation as
7.2.1
Elliptic
if
B 2 AC < 0
Parabolic
if
B 2 AC = 0
Hyperbolic
if
B 2 AC > 0.
Examples
Example Consider the Laplace equation

uxx + uyy = 0.
Here A = 1, B = 0 and C = 1, and the discriminant of the above equation is
B 2 AC = 1 < 0. Therefore the Laplace equation is Elliptic in nature.
Example The Diffusion equation is
uxx = ut ,
Or
uxx ut = 0
Here A = 1, B = 0 and C = 0, and the discriminant of the above equation is

B 2 AC = 0. Therefore the Diffusion equation is parabolic.
Example Consider the following wave equation
uxx =
1
utt ,
c2
Or
uxx
1
utt = 0.
c2
Here A = 1, B = 0 and C = c12 , and now we calculate the discriminant such that
B 2 AC = 0 (1)(
Therefore it is a hyperbolic equation.
1
1
) = 2 > 0.
2
c
c

Equation into Canonical Form
7.3
35
Reduction of Second Order Partial Differential

Equation into Canonical Form
Consider the second order partial differential equation

Auxx + 2Buxy + Cuyy + F (x, y, u, ux , uy ) = 0,
where A, B and C are functions of x and y only or they are constants and u has
continuous first and second order partial derivatives. Also A, B, C do not vanish at
the same time .
Let us transform the independent variables x, y to a new variables , , where
= (x, y)
= (x, y).
such that the functions , are continuously differential and the Jacobian

(, ) x

J=
= x
6= 0
(x, y) y y
In the new coordinates (, ) the second order partial differential equation

2u
2u
2u
u u
A 2 + 2B
+ C 2 + F x, y,
,
=0
x
xy
y
x y
can be written as
2u
2u
2u
A 2 + 2B
+C 2 +F

u u
x, y,
,
=0

where

2
2

A = A
+ 2B
+C
,
x
x y
y

B = A
+
+
+C
,
x x
x y y x
y y
2
2
+ 2B
.
C = A
+C
x
x y
y

36
Lecture 08
Review
Second Order Partial Differential Equations
Definition
Classification of Second Order Partial Differential Equation
Examples
Reduction of Second Order Partial Differential Equations in Canonical Form
8.1

Equations in Canonical Form
The second order partial differential equation

2u
2u
2u
A 2 + 2B
+C 2 +F
x
xy
y

u u
,
=0
x, y,
x y
can be reduced in the following canonical form

2u
2u
2u
A 2 + 2B
+C 2 +F

u u
x, y,
,
=0

where

2
2

A = A
+ 2B
+C
,
x
x y
y

B = A
+B
+
+C
,
x x
x y y x
y y
2
2
C = A
+ 2B
+C
.
x
x y
y

37
38
8.1.1
Result
We know that
2
B A C = (B 2 AC)
x y y x
2
,
where A, B, C are not zero at the same time. Thus the transformation of independent
variables does not change the type of equation. Since,

2
2 x

x
= > 0.
y y
x y y x
Therefore the sign of the discriminant does not change, either we are in (x, y) coordinates or in (, ) coordinates.
8.2
Canonical Form for Hyperbolic Equation

2
In Hyperbolic case our discriminant B A C must be positive. For this we set

A = 0 and C = 0. Thus we have
A = A (x )2 + 2Bx y + C (y )2 = 0,
C = A (x )2 + 2Bx y + C (y )2 = 0,
which, on rewriting, become
2

x
x
A
+ 2B
+C = 0
y
y

2
x
x
+ 2B
+C = 0
A
y
y
These equations are quadratic in (x /y ) and (x /y ), so the roots of these equations
are
B B 2 AC
x
B B 2 AC
x
=
,
=
.
y
A
y
A
Note
The condition B 2 AC > 0 ensures that the slopes of the curves (x, y) = c1
and (x, y) = c2 are real.
This means that at any point (x, y) there exist two real directions given by
the two roots along which the given partial differential equation reduces to the
canonical form.
8.2 Canonical Form for Hyperbolic Equation
39
There are two solutions for each quadratic however we will consider only one
solution for each otherwise we will end up with the same two coordinates.
Thus the chosen solution are of the form
x
B + B 2 AC
=
,
y
A
B B 2 AC
x
=
.
y
A
These are called characteristic equations.
Along the curve (x, y) = c1 , we have
d = x dx + y dy = 0
or
y dy = x dx
This implies

dy
x
=
dx
y
Similarly, along the curve (x, y) = c2 , we have
d = x dx + y dy = 0
or
y dy = x dx
Hence

x
dy
=
dx
y
Substituting the values of (x /y ) and x /y in the following equations such that
!

B + B 2 AC
dy
x
=
=
,
dx
y
A
!

dy
x
B B 2 AC
=
=
.
dx
y
A
Integrating the above equations we obtain the equations of family of characteristics

(x, y) = c1 and (x, y) = c2 , which are called characteristics of the given partial differential equations. Now to obtain the canonical form of the given partial differential
equation we substitute the expression of and in

2u
2u
2u
u u
A 2 + 2B
+ C 2 + F x, y,
,
=0

which reduces to
2u
u u
= (, , u,
,
).
40
8.2.1
Examples
Example Reduce the following partial differential equation

3uxx + 10uxy + 3uyy = 0
to a canonical form and then find its general solution.
y 2 uxx x2 uyy = 0
to a canonical form.
Lecture 09
Review
Result
Canonical Form for Hyperbolic Equation
Examples
9.1


2u
2u
2u
A 2 + 2B
+C 2 +F
x
xy
y

u u
x, y,
,
=0
x y

2u
2u
2u
A 2 + 2B
+C 2 +F

u u
x, y,
,
=0

where

2

2
A = A
+ 2B
+C
,
x
x y
y

B = A
+B
+
+C
,
x x
x y y x
y y
2
2
C = A
+ 2B
+C
.
x
x y
y

41
42
9.1.1
Result
We know that
2
B A C = (B AC)
x y y x
2
,

2
2 x

= x
> 0.
y
x y y x
y
9.2
Canonical Form for Parabolic Equation

2
In parabolic case our discriminant B A C must be zero, which can be true if

B = 0 and A = 0 or C = 0. Suppose we first set A = 0. Then we obtain
A = A (x )2 + 2Bx y + C (y )2 = 0,
which, on rewriting, becomes
2

x
x
A
+ 2B
+C =0
y
y
This equation is quadratic in (x /y ), so the roots of the above equation are
B B 2 AC
x
=
.
y
A
Since B 2 AC = 0, therefore
x
B
= .
y
A
This is the characteristic equation. Also this is a slope along the curve
(x, y) = c1 .
The total differential is
d = x dx + y dy = 0
y dy = x dx
dy
x
= .
dx
y
9.2 Canonical Form for Parabolic Equation
Or
dy
=
dx
B
A
43

=
B
.
A
Integration of above equation gives us the implicit solution

(x, y) = c1 .
Now coming to the second case, when B = 0, in fact with a small calculation,
we can prove that if A = 0 then
B = 0.
We, therefore choose in such a way that both A and B are zero.
Then we choose in any way we like as long as it is not parallel to the coordinates. In other words, we choose such that the Jacobian of the transformation is not zero.
Thus we can write the canonical equation for parabolic case by simply substituting the values of and into

2u
2u
2u
u u
+ C 2 + F x, y,
,
=0
A 2 + 2B

which reduces either of the forms
2u
2
2u
2
9.2.1
= (, , u, u , u ),
= (, , u, u , u ).
Examples

x2 uxx 2xyuxy + y 2 uyy = ex
uxx 2xuxy + x2 uyy 2uy = 0
to canonical form.
44
10
Lecture 10
Review
Result
Canonical Form for Parabolic Equation
Examples
10.1


2u
2u
2u
A 2 + 2B
+C 2 +F
x
xy
y

u u
x, y,
,
=0
x y

2u
2u
2u
A 2 + 2B
+C 2 +F

u u
x, y,
,
=0

where

2

2
A = A
+ 2B
+C
,
x
x y
y

B = A
+B
+
+C
,
x x
x y y x
y y
2
2
C = A
+ 2B
+C
.
x
x y
y

45
46
10.1.1
Result
Result We know that

2
B A C = (B AC)
x y y x
2
,

2
2 x

= x
> 0.
y y
x y y x
10.2
Canonical Form for Elliptic Equation
In elliptic equation the discriminant B 2 AC must be negative. If the coefficients

A, B and C are variables and depending on x and y or they are constants then we
can find out the reduced canonical form with the following characteristic equation
B B 2 AC
dy
=
.
dx
A
Suppose (x, y) = c is the
solution of the characteristic curve which is not real,
2
because B AC < 0 B 2 AC is imaginary. Therefore (x, y) can be written
in this form
1 (x, y) + i2 (x, y) = c.
Assume that
1 (x, y) = (x, y),
2 (x, y) = (x, y).
Thus
(x, y) = (x, y) + i(x, y).
Since (x, y) is the solution of equation
dy
B B 2 AC
=
,
dx
A
which basically comes by putting A = 0. In other words (x, y) is the solution of

2

2
A
+ 2B
+C
= 0.
x
x y
y
10.2 Canonical Form for Elliptic Equation
47
Substituting the values of = +i in above equation and after a small calculations,

we obtain A = C and B = 0.
Substituting the values of A, B, and C into

2u
2u
2u
u u
A 2 + 2B
=0
+ C 2 + F x, y,
,

which reduces to
10.2.1
2u 2u
u u
+ 2 = (, , u,
,
)
2
Example
Example
Example Reduce the following partial differential equations
2
2u
2 u
+
x
=0
x2
y 2
Example Reduce the following partial differential equations
(1 + x2 )
2u
2u
u
u
+ (1 + y 2 ) 2 + x
+y
=0
2
x
y
x
y
48
11
Lecture 11
Review
Result
Canonical Form for Elliptic Equation
Examples
11.1


2u
2u
2u
A 2 + 2B
+C 2 +F
x
xy
y

u u
x, y,
,
=0
x y

2u
2u
2u
A 2 + 2B
+C 2 +F

u u
x, y,
,
=0

where

2

2
A = A
+ 2B
+C
,
x
x y
y

B = A
+B
+
+C
,
x x
x y y x
y y
2
2
C = A
+ 2B
+C
.
x
x y
y

49
50
11.1.1
Result
Result We know that

2
B A C = (B AC)
x y y x
2
,

x y y x
2
2

> 0.

11.2
Mixed Type of Partial Differential Equation
Mixed Type Partial Differential Equations

Definition 11.1. If a partial differential equation has coefficients that are not constant, it is possible that it will not belong Elliptic, Hyperbolic or Parabolic type but
rather be of mixed type.
11.2.1
Example
Example A simple but important example is the EulerTricomi equation

2u
2u
+
x
= 0,
x2
y 2
x 6= 0,
which is called elliptic-hyperbolic because it is elliptic in the region x < 0 and

hyperbolic in the region x > 0.
Problem Sheet
Exercises
11.2 Mixed Type of Partial Differential Equation
51
Classify the following equation and reduce them to canonical form

1)
2)
3)
4)
5)
6)
7)
2z
2z
2z
+
(x
+
y)
+
x
=0
x2
xy
y 2
2z
2z
2 z y 2 z
x2 z
y 2 2 2xy
+ x2 2
= 0,
x
xy
y
x x
y y
2
1 z
2z
2 z
+
x
=0
2
2
x
y
x x
2z
2z
x2 2 = 0
2
x
y
2
z
2z
2z
+
2
+
= 0,
x2
xy y 2
2z
2z
2z
+ y 2 2 = 4x2
x2 2 + 2xy
x
xy
y
2
2
2
u
u
u
2 u
2
sin
x
cos
x
cos x
=0
2
2
x
xy
y
y
Exercises Find the region in the xy-plane in which the following equations are
hyperbolic and elliptic in nature
1)
2)
2u 2u
2 =0
x2
y
2
2
u
u
+ xy 2 = 0.
2
x
y
(1 x2 )
52
12
Lecture 12
Review
Canonical form for Hyperbolic Equations
Examples
Canonical form for Parabolic Equations
Examples
Canonical form for Elliptic Equations
Examples
Mixed Type Equations
Examples
12.1
Mathematical Modeling
Definition 12.1. Mathematical modeling is the process whereby the evolution or

the state of a real-life system is represented by a set of mathematical relations, after
proper approximation and initializations.
In general, the process of mathematical modeling can be divided into six steps.
1. Objective
2. Background
3. Approximations and Idealizations
4. Modeling
5. Model validation
6. Compounding
53
54
Figure 12.1: mathematical Modeling
12.1.1
Objective
In this step the real-life system to be modeled is defined. At this point it is often
convenient to strip the system to its essential features so that a prototype1 model
for it can be constructed.
12.1.2
Background
In this step the pertinent laws and data about the system must be examined. In
particular, if no data are available we must carry out proper experiments to obtain
this information. As a result we should be able to identify the important variables
that influence the evolution of the system and their relations.
12.1.3
Approximations and Idealizations
Even when constructing a prototype model, some approximations and idealizations

of reality must be made. Thus all mathematical models are approximations of reality
to some extent. These approximations place certain limitations on the validity of
the mathematical model and its correlation with the actual behavior of the system.
12.1.4
Modeling
At this stage the mathematical relations that govern the behavior of the system are
derived.
Mathematical models can be classified in the following ways:
Linear versus Non-Linear
Discrete versus Continuous
Deterministic versus Probabilistic (Stochastic)
1
A prototype is a model which is not based on strict planning, but is an early approximation of
the final product. A prototype acts as a sample to test the process. From this sample we learn and
try to build a better final product.
12.1 Mathematical Modeling
55
Static versus Dynamic


Mathematical models are usually composed by variables, which are abstractions
of quantities of interest in the described systems, and operators that act on these
variables, which can be algebraic operators, functions, differential operators, etc. If
all the operators in a mathematical model exhibit linearity, the resulting mathematical model is defined as linear. A model is considered to be nonlinear otherwise.

A discrete model does not take into account the function of time and usually
uses time-advance methods, while a Continuous model does. Continuous models
typically are represented with f(t) and the changes are reflected over continuous
time intervals.

A deterministic model is one in which every set of variable states is uniquely
determined by parameters in the model and by sets of previous states of these variables. Therefore, deterministic models perform the same way for a given set of initial
conditions. Conversely, in a stochastic model, randomness is present, and variable
states are not described by unique values, but rather by probability distributions.

A static model does not account for the element of time, while a dynamic model
does. Dynamic models typically are represented with difference equations or differential equations.
12.1.5
Model Validation
Methods must be devised to solve the model equations and compare their predictions
with the actual data about the system. If large unaccountable deviations between
the model predictions and data are detected, the model must be reexamined and
modified accordingly.
56
12.1.6
Compounding
At this stage the prototype model is modified to take into account some aspects of
the system that were neglected earlier in order to simplify the modeling process.
12.2
Review of Physics Laws
Newtons First Laws of Motion

Every object in a state of uniform motion tends to remain in that state of motion
unless an external force is applied to it.
Newtons Second Law of Motion The relationship between an objects mass
m, its acceleration a, and the applied force F is
F = ma.
Newtons Third Law of Motion For every action there is an equal and opposite reaction.
Flux Consider a flow of a certain physical quantity (such a s mass, energy, heat,
etc.) The flux q(x, t) of this flow is defined as a vector in the direction of the flow
at (x, t) whose length is given by the amount of the quantity crossing a unit area
normal to the flow in unit time; that is ,
q(x, t) =
Quantity passing through S in time [t, t]

S0, t0
St
lim
where S is a small surface area at x that is normal to the flow.

Thus, the approximate amount of surface quantity passing through a surface S
in time t is given by
Q(x, t, S, t) |q(x, t)|St
Fourier Law of Heat Conduction Heat is transported by diffusion in the
direction opposite to the temperature gradient and at a rate proportional to it.
Thus, the heat flux q(x, t) is related to the temperature gradient by

u u u
q(x, y) = kgrad u(x, t) = k
. ,
x y z
where u(x, y, z, t) is the temperature at (x, y, z), at time t and k is the thermal
conductivity of the material.
Principle of Energy Conservation The total amount of energy in an isolated
system remains constant over time.
Kirchoff s First Law At any junction in a circuit,
the sum of the currents arriving at the junction
= the sum of the currents leaving the junction.
12.3 The Continuity Equation
57
Kirchoff s Second Law The algebraic sum of the changes in potential around
any closed path of a circuit must be zero.
12.3
The Continuity Equation
Objective: Derive a model equation for the traffic flow on a highway without
exists and with one entrance and one lane.
Discussion: One possible approach to modeling the traffic flow is to describe
each care as a finite element on the highway and then write a discrete model,
which describes the motion of each such car. However, if there are many cars
on the highway, this approach is not practical and it is better to construct a
continuous model, which treats those cars as smeared out quantities.
Approximations and Idealizations:
We assume that the highway is infinite
We define the car density (x, t) as
(x, t)
=
Number of cars on the interval [x, x + x] at time t

x
where x must be large compared to a car length. (Otherwise, (x, t) = 1

if tehre is a car at x in time t, or (x, t) = 0 if there is none. )
we assume that there are no accidents on the highway. Hence we can
formulate the principle of car conservation as follows:
The rate at which the number of cars on the segment [a, b] is changing
equals the rate at which they enter less the rate at which they are leaving
it.
Here, we define the car flux per lane rather than per unit area. Moreover
q(x, t) = (x, t) u(x, t),
where u(x, t) is the cars speed at x at time t.
Modeling: Consider a finite section of the road between a and b. The number
n of cars in this segment at time t is
Z b
n(t, a, b) =
(x, t) dx.
a
58
Modeling: Hence the rate of change in this quantity is

dn
=
dt
Z
a
(x, t)
dx
t
The rate of change must equals the flux of cars entering at a less the flux of
car leaving at b. Therefore
Z a
dn
q(x, t)
= q(a, t) q(b, t) =
dx
dt
x
b
The we infer from above equations that

Z b
q(x, t)
+
dx = 0.
t
x
a
And since a, b are arbitrary it follows that
q(x, t)
+
= 0.
t
x
Modeling:
Since we know that the flux q = u so the above equation becomes
( u)
+
=0
t
x
This equation is the equation of continuity in one dimension.
Note Continuity equation contains two unknown quantities and u. Therefore
to solve it we must either be able to express u = u() or find an additional equations
that relates these two quantities.
13
Lecture 13
Review
Mathematical Modeling
Objective
Background
Approximations and Idealizations
Modeling
Linear versus Non-Linear Model

Model Validation
Compounding
Review of Physics Laws
The Continuity Equation
13.1
The Heat (Or Diffusion) Equation
Objective: Build a model that describes the temperature distribution in a

metal as function of position and time.
Discussion: Consider the heat conduction problem in a rod of length L,
made of homogeneous metal with constant cross sectional area A and rod is
completely insulated along its lateral edges.
The Heat Equation
59
60
Background: Flux Consider a flow of a certain physical quantity (such a s

mass, energy, heat, etc.) The flux q(x, t) of this flow is defined as a vector in
the direction of the flow at (x, t) whose magnitude is given by the amount of
the quantity crossing a unit area normal to the flow in unit time; that is ,
|q(x, t)| =
lim
S0, t0
Quantity passing through S in time [t, t]

St
where S is a small surface area at x that is normal to the flow.

Thus, the approximate amount of surface quantity passing through a surface
S in time t is given by
Q(x, t, S, t) |q(x, t)|St
Basic laws of Thermodynamics A change Q in the amount of heat in a
body of mass m is accompanied by a change u in its equilbrium temperature. The
relationship between these changes is given by
Q = c mu.
Here
c(x) = Specific Heat of the material at which the body is made
i.e., the amount of heat required to raise the temperature
of a body of unit mass.
The Heat Equation
Fourier Law of Heat Conduction Heat is transported by diffusion in the
direction opposite to the temperature gradient and at a rate proportional to it.
Thus, the heat flux q(x, t) is related to the temperature gradient by

u u u
q(x, y) = kgrad u(x, t) = k
. ,
x y z
13.1 The Heat (Or Diffusion) Equation
61
where u(x, y, z, t) is the temperature at (x, y, z), at time t and k is the thermal
conductivity of the material.
Note Remember that the gradient of a function increases more rapidly while in
the direction opposite to it the function decreases most rapidly. Thus, a restatement
of the Fourier law is that heat flows in the direction in which the temperature
decreases most rapidly. This is the reason of minus sign in the above equation
Principle of Energy Conservation The total amount of energy in an isolated
system remains constant over time.
We assume that rod is homogeneous. It follows that c, and are independent of the position x. Also, we further assume for a prototype model
that c, and are independent of the temperature u.
The length of the rod remains constant in spite of the changes in its
temperature.
We also assume that the rod is perfectly insulated along its lateral surface
(Idealization). Hence, heat can flow only in the horizontal direction, since
a vertical flow will lead to heat accumulation along the edges, which is
forbidden by the Fourier law of conduction. Therefore we infer that the
temperature on a vertical cross section of the rod must be the same.
Thus, the temperature u depends only on x and t; that is u = u(x, t)
We assume that the heat flows in the rod from left to right, which requires
the left side to be warmer than the right side.
Modeling: We consider an infinitesimal element of the rod between x and
x + x and write the equation for energy conservation in it.
V = volume of the element = A x
where A is the cross sectional area of the element.
m = mass of the element = A x = V.
Also the amount of the heat at time t is
Q(x, t, x) = c m u(x, t).
From above two equation, we obtain
Q(x, t, x) = c Ax u(x, t).
The rate of change in heat is
dQ
u(x, t)
= c Ax
.
dt
t
62
Modeling:
Heat flowing in = q(x, t) A
Heat flowing out = q(x + x, t) A
By Principle of Heat Conservation The rate of change must equal the rate at
which heat is flowing in less the rate at which it is flowing out. Hence
dQ
dt
= q(x, t) A q(x + x, t) A
= A[q(x, t) q(x + x, t)]
Substituting the value of
dQ
dt
= c Ax
u(x, t)
t
u(x, t)
c
t
c Ax
u(x,t)
t
in above equation, we obtain
= A[q(x, t) q(x + x, t)]

q(x, t) q(x + x, t)
x
Modeling: Taking limit x 0, we get

c
u(x, t)
t
q(x, t) q(x + x, t)
x0
x
q
= .
x
=
lim
By Fourier law of heat conduction in one dimension gives

u
q(x, t) =
x
From above two equations we have
u(x, t)
t
2 u(x, t)
x2
2 u(x, t)
x2
1 u(x, t)
k t
=
=
k=
Modeling: Thus the heat equation in one dimension is

2 u(x, t)
1 u(x, t)
=
2
x
k t
where k =
is called the thermal diffusivity.
Example Generalize the prototype model for the case when heat is generated
in the rod at a rate of r(x, t) per unit volume.
13.2 Initial Conditions
13.2
63
Initial Conditions
Since one dimensional heat equation is first order in t, it needs only one initial
condition, which is normally taken to be
u(x, 0) = f (x),
0 < x < L.
This means prescribing the initial distribution of temperature in the rod.
13.3
Boundary Conditions
The equation is of second order in with respect to the space variable, so we need
two boundary conditions. There are three main types of such conditions prescribed
at the end points x = 0 and x = L which has physical significance.
The temperature may be at one end point; for example,
u(0, t) = (t),
t > 0.
If the rod is insulated at an end point then the heat flux at that end must
be zero. This is equivalent to the derivative ux = u
x being equal to zero; for
example,
u(L, t)
= 0,
t > 0.
x
More generally, if the flow of heat at each end-point to be (t) then the above
condition becomes
u(L, t)
= (t),
t > 0.
x
When one of the end points is in contact with another medium, we use Newtons
Law of cooling, which states that
heat flux at the endpoint is proportional to the difference of the rod and the
temperature of the external medium,
For example
ux (0, t) = H[u(0, t) U (t)],
t > 0,
where U (t) is the known temperature of the external medium and H > 0 is the heat
transfer coefficient. Owing to the convention concerning the direction of heat flux,
at the other endpoint this type of condition becomes
ux (0, t) = H[u(0, t) U (t)],
Remark
t > 0.
64
Only one boundary condition is prescribed at each end point.

The boundary condition at x = 0 may f=differ from that at x = L.
It is easily verified that the heat equation is linear.
The one dimensional heat equation is the simplest example of a so called
parabolic equation.
If a uniform rod is bent into a ring and the ends at x = 0 and x = L are joined.
Then appropriate boundary conditions would be
u(0, t) = u(L, t)
,t > 0
ux (0, t) = ux (L, t)
13.4
, t > 0.
Initial Boundary Value Problem
Definition 13.1. A partial differential equation associated with the initial and
boundary conditions is known as the initial boundary value problem.
If only initial conditions or boundary conditions are present, then we have an
initial value problem or a boundary value problem respectively.
13.4.1
Examples
Example The initial boundary value problem modeling heat conduction in a one
dimensional uniform rod with sources, insulated lateral surface, and temperature
prescribed at both end points is of the form
ut (x, t) = kuxx (x, t) + Q(x, t) ,
| {z }
0 < x < L,
Source Term
with boundary conditions

u(0, t) = (t),
t > 0,
u(L, t) = (t),
t > 0,
and the initial condition is

u(x, 0) = f (x),
0 < x < L.
Initial Boundary Value Problem

Example If the near end point is insulated and far one is kept in a medium of
constant zero temperature, and if the rof contains no sources, then the corresponding
initial value problem is
13.4 Initial Boundary Value Problem
65
ut (x, t) = kuxx (x, t)
0 < x < L,
with boundary conditions

ux (0, t) = 0,
ux (L, t) + hu(L, t) = (t),
t > 0,
t > 0,
and the initial condition is

u(x, 0) = f (x),
0 < x < L,
where Q, , and f are given functions.
13.4.2
Solution
Definition 13.2. By a classical solution of an initial boundary value problem we

understand a function u(x, t) that satisfies point wise the given partial differential
equation, boundary conditions and initial conditions every where in the region where
the problem is formulated.
Remark: If the functions , and f are sufficiently smooth to ensure that
u, ut , ux and uxx are continuous in G and up to the boundary of G including the two
corner points, then the initial boundary value problem has at most one solution.
66

Partial Differential Equations: Lecture Notes

Hochgeladen von

Dokumentinformationen

Originaltitel

Copyright

Verfügbare Formate

Dieses Dokument teilen

Dokument teilen oder einbetten

Freigabeoptionen

Stufen Sie dieses Dokument als nützlich ein?

Sind diese Inhalte unangemessen?

Copyright:

Verfügbare Formate

Partial Differential Equations: Lecture Notes

Hochgeladen von

Copyright:

Verfügbare Formate

Partial Differential Equations

Dr. Q. M. Zaigham Zia

10.2 Canonical Form for Elliptic Equation . . . . . . . . . . . . . . . . . .

Partial differential equations describe the behavior of many engineering phenomena:

1.2 Basic Definitions

Order of Partial Differential Equation

Degree of Partial Differential Equation

1.2 Basic Definitions

Definition 1.5. A partial differential equation is said to be a linear if

Semi-Linear Partial Differential Equation

1.2 Basic Definitions

Solution of Partial Differential Equation

Theorem 1.12. If u1 and u2 are solutions of a linear inhomogeneous equation then

If u1 and u2 are two solutions of above equation then

bi (u1 )xi + = f (x),

bi (u2 )xi + = f (x)

The process of subtraction gives us,

The number of independent solutions for a partial differential equations are

Definition 2.1. Conditions at an initial time t = t0 from which a given set of

are boundary conditions.

Solution of a Boundary Value Problem

By a solution to a boundary value problem on an open region D, we mean a function

Linear Boundary Conditions

2.6 Classification of Boundary Conditions

Figure 2.1: Laterally insulated Wire

Classification of Boundary Conditions

Mixed Boundary Conditions or Robins Boundary Conditions

Definition 2.6. The boundary conditions specify a linear relationship between u

Figure 2.2: Laterally Insulated Wire with Ice on the Ends

These also are Dirichlet, or fixed, boundary conditions.

These are Neumann, or free, boundary conditions.

Figure 2.3: Totally Insulated Wire

2.7 Superposition Principle

Figure 2.4: laterally Insulated Wire with Exposed Ends

Superposition Principle for Linear Boundary Conditions

We split the problem in two parts:

Figure 2.5: Boundary Conditions on a Plate

It is obvious that if u is the solution of this boundary value problem, then

Formation of Partial Differential Equation

Suppose u, v are two given functions of x, y and z. Let F be an arbitrary function

F (u(x, y, z), v(x, y, z)).

A differential equation can be formulated by eliminating the arbitrary function

2.8 Formation of Partial Differential Equation

Definition 2.8. The first order partial differential equation

1. z = f (x + it) + g(x it), where i = 1

First Order Partial Differential Equations

Definition 3.1. An equation written in the form

First Order Partial Differential Equation

Definition 3.3. (Linear Partial Differential Equation) An equation of the form

3.3 Solution of First Order Partial Differential Equation

Solution of First Order Partial Differential Equation

Theorem 3.5. The general solution of linear partial differential equation

Solution of First Order Partial Differential Equations

Solution of Partial Differential Equation of First Order

can be written in the form F (u, v) = 0, where F is an arbitrary function, and

Example Find the solution of following partial differential equation

where z = z(z, y).

Example If u is a function of x, y and z which satisfies the partial differential

4.2 Integral Surfaces Passing Through a Given Curve

Integrating above equations we obtain

Integral Surfaces Passing Through a Given Curve

Equation for a parabola y = x2 can be parametrized by using a free parameter

Integral Surfaces Passing Through a Given Curve