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I started transcribing class notes from a PDE class over the summer and then classes started and didn't have so much time anymore. Enjoy what there is!

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Mathematics Department

San Francisco State University

Contents

1.1. Homogeneous Boundary Conditions 2

1.1.1. Derivation of the Heat Equation 2

1.1.2. The Rayleigh Equation 4

1.1.3. Solving the Heat Equation with Homogeneous Boundary Conditions 7

1.1.4. Some Worked Examples 10

1.2. Inhomogeneous Boundary Conditions 12

1.2.1. Some Worked Examples 13

1.3. The Heat Equation in a Circular Ring 14

1.4. Orthogonality and Fourier Series 16

2. The Wave Equation 18

2.1. The Vibrating String 18

2.1.1. Solving the Wave Equation 19

2.1.2. D’Alembert’s Expression of the Solution 20

2.2. The Rectangular Membrane 23

2.3. The Circular Membrane and Bessel Functions 23

3. Laplace’s Equation 23

3.1. Laplace’s Equation on a Rectangle 23

3.2. Laplace’s Equation on a Disc 23

4. Fourier Transform 23

4.1. Introduction 23

4.2. Heat and Laplace’s Equation - Basic 23

4.3. Heat and Laplace’s Equation - Convolution Theorem 23

1

2

1.1.1. Derivation of the Heat Equation. Consider a thin rod, of length L, laterally insulated

with, possibly, an internal source of heat. We want to find a function u(x, t) that governs

the temperature distribution inside the rod.

Let the cross sectional area of the rod be A, the mass density be ρ and the specific heat

(the amount of heat needed to raise the temperature of one gram of substance by one degree)

be c. Then the heat density of the rod is given by ρcu. This means that the total heat energy

Q in a segment a ≤ x ≤ b is

Z b

(1.1) Qtotal = ρcuAdx

a

To calculate the rate of change of the heat energy, we simply take the time derivative of

the previous expression:

d b

Z

dQtotal

= ρcuAdx

dt dt a

Z b

du

= ρc Adx

a dt

Z b

(1.2) = ρcut Adx

a

where we’ve used a subscript to indicate we are taking the derivative with respect to time.

Now consider Fourier’s Law, which gives us an expression for the thermal flux ϕ. Since

a functions increases most in the direction of its gradient, and thermal flux is a change in

temperature, ϕ is given by:

(1.3) ϕ = −K0 Ou

where K0 is a constant called thermal conductivity. If we want to find the thermal flux

along a specific direction, we need to tale the dot product of ϕ with the unit vector in that

direction.

PARTIAL DIFFERENTIAL EQUATIONS 3

In the case of our rod, if we ignore any internal sources of heat, we need to consider two

points at which heat is entering or leaving the system: x = a and x = b. At a, the unit

vector is +î, so we have, for a cross sectional area A, that:

du

= (−K0 (a, t)î) · îA

dx

du

(1.4) = −K0 (a, t)A

dx

Similarly, at x = b we’ll have

du

(1.5) (ϕ · î)A = K0 (b, t)A

dx

The heat going into the system is the sum of 1.4 and 1.5. Thus:

dQin du du

= K0 A (b, t) − (a, t)

dt dx dx

Z b 2

du

= K0 A 2

(x, t)dx

a dx

Z b

(1.6) = K0 Auxx dx

a

The total change in the amount if heat is given by the sum of the heat going in and the

heat produced internally. Thus, combining equations 1.2 and 1.6, we have

Z b Z b Z b

ρcut Adx = K0 Auxx dx + Qsource (x)Adx

a a a

Z b

A (ρcut − K0 uxx − Qsource ) dx = 0

a

Z b

(ρcut − K0 uxx − Qsource ) = 0

a

ρcut − K0 uxx − Qsource = 0

ρcut = K0 uxx + Qsource

K0 Qsource

ut = uxx +

ρc ρc

du d2 u

(1.7) = k 2 +q

dt dx

where k = K0 /ρc is called the thermal diffusivity and q = Qsource /ρc is usually set to zero.

We call this last expression the heat equation.

4 PARTIAL DIFFERENTIAL EQUATIONS

(1.8) ϕxx + λϕ = 0

with a combination of the boundary conditions given by ϕ(0) = 0, ϕx (0) = 0, ϕ(L) = 0 and

ϕx (L) = 0. These boundary conditions are known as homogeneous, because they all equal

zero. The solution to the Rayleigh equation will be very useful is solving the heat equation,

so we’ll spend some time on it.

For a solution to exist, the value of λ must be both real and non-negative, as we shall see.

Let’s start with the differential equation −d2 /dx2 ϕ = λϕ with the appropriate boundary

conditions. Then:

Z L Z L

λ ϕϕ̄dx = (λϕ)ϕ̄dx

0 0

L

d2

Z

= − 2 ϕ ϕ̄dx

0 dx

Z L

= − ϕxx ϕ̄dx

0

Z L

= − [ϕ̄ϕx ]L0 + ϕx ϕx dx after integration by parts

0

Z L

= ϕx ϕx dx due to any of our boundary conditions

0

Z L

= [ϕx ϕ]L0 − ϕϕxx dx after integrating by parts again

0

Z L

= − ϕϕxx dx

0

Z L

= ϕ−ϕxx dx

0

Z L

= ϕλϕdx

0

Z L

= λ̄ϕϕ̄dx

0

Z L Z L

λ ϕϕ̄dx = λ̄ ϕϕ̄dx

0 0

λ = λ̄ because ϕϕ̄ = |ϕ|2 ≥ 0

PARTIAL DIFFERENTIAL EQUATIONS 5

In order to find a solution of the Rayleigh equation 1.8, let’s start with the λ = 0 case.

Then we’ll have ϕxx = 0, which means that ϕx is a constant. Therefore, our solution will be

of the form:

(1.9) ϕ = c1 + c2 x

For the case when λ is not zero, let’s take a guess at a solution of the form ϕ = erx , so

that ϕx = rerx and ϕxx = r2 erx . Plugging this into the differential equation we find:

r2 erx + λerx = 0

(r2 + λ)erx = 0

r2 + λ = 0

r2 = −λ

√

r = ± λi

√ √

So we have found two solutions: e λix

and e− λix

. We know that any linear combination of

solutions is itself a solution, and since we can express sin x and cos x as linear combinations

of these solutions, the trigonometric functions are themselves solutions.

Furthermore, the Wronskian of these two solutions is never zero, so we can conclude that

every solution of the Rayleigh equation when λ > 0 is of the form

√ √

(1.10) A cos λx + B sin λx

To find the values of A and B, we need to make use of the boundary conditions. Since we

have four sets of boundary conditions, we’ll have four sets of values for the constants.

Case 1: First, let’s consider the case when ϕ(0) = 0 and ϕ(L) = 0. We had found that,

for λ = 0, the solution was given by equation 1.9, so:

ϕ(0) = c1 + c2 · 0 = 0 ⇒ c1 = 0

ϕ(L) = c2 · L = 0 ⇒ c2 = 0

6 PARTIAL DIFFERENTIAL EQUATIONS

Next we consider the case λ > 0 with the same boundary conditions. From the general

solution, eqn 1.10, we have:

ϕ(0) = 0

A cos 0 + B sin 0 = 0

A·1+B·0 = 0

A = 0

√ √

so now ϕ(x) = B sin λx and we can use the second boundary condition: B sin λL = 0.

√

Since B = 0 would give us a trivial solution (ϕ = 0), we need to require that sin λL = 0.

This means that:

√

λL = nπ for n ∈ N

nπ 2

(1.11) λn =

L

which gives us a set of solutions

nπ

(1.12) ϕn (x) = sin x

L

Case 2: The second set of boundary conditions is ϕx (0) = 0 and ϕx (L) = 0. From

equation 1.9 and the B.C. we get:

ϕx (0) = c2 = 0 ⇒ ϕ(x) = c1

Since any multiple of a solution is itself a solution, we can choose any value for c1 . For

simplicity, we choose 1. Thus, we conclude that in this case λ = 0 is an eigenvalue with a

corresponding eigenfunction ϕ0 = 1.

The case when λ > 0 is left as an exercise. The solution is:

nπ 2

(1.13) λn =

L

nπ

(1.14) ϕn (x) = cos x for n ∈ N

L

Case 3: Our third set of B.C. are ϕ(0) = 0 and ϕx (L) = 0.

The case λ = 0, using equation 1.9 and the B.C., results in

ϕ(0) = c1 + cc · 0 = 0 ⇒ c1 = 0

ϕx (L) = c2 · L = 0 ⇒ c2 = 0

PARTIAL DIFFERENTIAL EQUATIONS 7

When λ > 0, equation 1.10 and the boundary conditions give us:

√

ϕ(0) = A cos 0 + B sin 0 = A = 0 ⇒ ϕ(x) = B sin λx

√ √ √ 2n − 1

ϕx (L) = λ cos λL = 0 ⇒ λL = π

2

2

2n − 1

(1.15) λn = π

2L

2n − 1

(1.16) ϕn (x) = sin πx

2L

Case 4: The last boundary conditions are given by ϕx (0) = 0 and ϕ(L) = 0. This case is

left as an exercise. For these B.C., λ = 0 is not an eigenvalue and the other values of λ and

ϕ are given by:

2

2n − 1

(1.17) λn = π

2L

2n − 1

(1.18) ϕn (x) = cos πx

2L

1.1.3. Solving the Heat Equation with Homogeneous Boundary Conditions. We are now ready

to solve equation 1.7 when there are no internal sources of heat and the boundary conditions

are homogeneous. That is, we want to solve:

(1.19) Boundary conditions: u(0, t) = 0, u(L, t) = 0

Initial condition: u(x, 0) = f (x)

In order to solve this, we will look for special, separable solutions of the form

and take into account the fact that, if un and um are two solutions, then any expression of

the form cm um + cn un , where the c are constants, is also a solution (you can check that it

satisfies the PDE and the BCs).

8 PARTIAL DIFFERENTIAL EQUATIONS

Two find the separable solutions, we start by plugging equation 1.20 into the differential

equation. We find:

ϕn (Gn )t = k(ϕn )xx Gn

(Gn )t (ϕn )xx

=

kGn ϕn

We can see that the left hand side of the equation is a function of t only, while the right

hand side is a function of x only. The only way the two sides can be equal for any values of

x and t is if they are both equal to a constant, which we will call −λn . Thus, we now have

two ordinary differential equations:

and

(1.22) (ϕn )xx + λn ϕn = 0

We can see right away that the solution to equation 1.21 is Gn (t) = e−λn kt and that

equation 1.22 is none other that the Rayleigh equation 1.8, for which we have already found

the solution. In this case, the boundary conditions are like in case 1, so the solutions are

like equation 1.12, with eigenvalues like in equation 1.11. Thus, the elementary solutions for

u(x, t) are:

nπx 2

(1.23) un (x, t) = sin e−k(nπ/L) t

L

Next, we need to fit our solution to the initial condition u(x, 0) = f (x), where f (x) is

some given function. We know that any linear combination of elementary solutions is itself a

solution. Fourier’s idea was that an infinite sum of certain functions (trigonometric functions,

for example) can equal any given function:

∞

X nπx

(1.24) f (x) = Bn sin

n=1

L

where we need to find the values of the Bn . To understand how to do this, let’s think about

vectors first.

If e~1 , e~2 and e~3 form an orthogonal basis of a vector space, we know that we can express

any vector in the space as ~v = B1 e~1 +B2 e~2 +B3 e~3 . To find the value of each of the coefficients,

PARTIAL DIFFERENTIAL EQUATIONS 9

= B1 |e~1 |2 + B2 · 0 + B3 · 0

= B1 |e~1 |2

~v e~1

B1 =

|e~1 |2

Similarly, to find the values of the Bn in equation 1.24, we need to calculate the inner product

between the function f (equivalent to the vector ~v ) and the elementary functions (equivalent

to the basis vectors e~n ). But first, we need to make sure that our elementary functions form

an orthogonal basis. Let us define the inner product between functions as:

Z L

f g = f (x)g(x)dx

0

To show that the trigonometric functions form an orthogonal basis, we need to show that

the inner product of any two of them is zero, unless both functions are the same. Indeed,

Z L nπx nπx Z L nπx

sin sin dx = sin2

0 L L 0 L

Z L

1 2nπx

= 1 − cos dx

0 2 L

Z L

L 2nπx

= − cos dx

2 0 L

L

L L 2nπx

= − sin

2 2nπ L 0

L

=

2

and, for n 6= m,

Z L nπx mπx Z L h

1 nπx mπx nπx mπx i

sin sin dx = cos − − cos + dx

0 L L 0 2 L L L L

1 L

Z

(n − m)πx (n + m)πx

= cos − cos dx

2 0 L L

L

1 L (n − m)πx L (n + m)πx

= sin − sin

2 (n − m)π L (n + m)π L 0

= 0

And we have also found that the norm of the elementary functions is L/2.

10 PARTIAL DIFFERENTIAL EQUATIONS

Thus, continuing with our analogy with the vectors, the value of each Bn is going to be

given by the inner product of f (x) with the corresponding elementary function, divided by

the norm, L/2. Therefore, the solution to the heat equation with homogeneous boundary

conditions and an initial temperature distribution f (x) is,

∞

X nπx −k(nπ/L)2 t

(1.25) u(x, t) = Bn sin e

n=1

L

Z L

2 nπx

(1.26) Bn = f (x) sin dx

L 0 L

1.1.4. Some Worked Examples. First of all, we will show that if we had had boundary

conditions for which the solution was a cosine function rather than a sine (equation 1.18),

the inner products would still be 0 and L2 . Obviously, it is very similar to the sine case.

(m − 21 )πx (m − 21 )πx (m − 21 )πx

Z L Z L

cos cos dx = cos2 dx

0 L L 0 L

1 L 2(m − 12 )πx

Z

= 1 + cos dx

2 0 L

L

L 1 L (2m − 1)πx

= + sin

2 2 (2m − 1)π L 0

L

=

2

and for n 6= m we have,

(m − 12 )πx (n − 12 )πx

Z L

cos cos dx =

0 L L

(m − 12 )πx (n − 12 )πx (m − 12 )πx (n − 12 )πx

Z L

1

cos − + cos + dx =

0 2 L L L L

1 L

Z

(m − n)πx (m + n − 1)πx

cos + cos dx =

2 0 L L

L

1 L (m − n)πx L (m + n − 1)πx

sin + sin =0

2 (m − n)π L (m + n − 1)π L 0

P

So we can conclude that if our initial condition is f (x) = Cn cos((n − 1/2)πx/L), we can

find the Cn by

L

(m − 21 )πx

Z

2

(1.27) Cn = f (x) cos dx

L 0 L

PARTIAL DIFFERENTIAL EQUATIONS 11

L

(n − 12 )πx

Z

2

Cn = 100 cos dx

L 0 L

L

(n − 12 )πx

200 L

= sin

L (n − 12 )π L 0

400 1

= sin(n − )π

(2n − 1)π 2

400

= (−1)n+1

(2n − 1)π

Example 2: Let f (x) = −13 cos( 32 πx/L) + 7 cos( 29 πx/L). We can see that these have

the same form as the elementary solution, with n = 2 and n = 5 respectively. This means

that we know what the result of the integral in equation 1.27 will be: 0 if n 6= 2 and n 6= 5,

−13L/2 if n = 2 and 7L/2 if n = 5. Thus, the values of the Cn are:

−13 if n = 2

Cn = 7 if n = 5

0 otherwise

2 L (n − 12 )πx

Z

Cn = 400x(1 − x) cos dx

L 0 L

Z 1

(2n − 1)πx

= 2 400x(1 − x) cos dx

0 2

Z 1

(2n − 1)πx

= 800 (x − x2 ) cos dx

0 2

" 2

2 2 (2n − 1)πx 2 (2n − 1)πx

= 800 (x − x ) sin + (1 − 2x) cos

(2n − 1)π 2 (2n − 1)π 2

3 #1

2 (2n − 1)πx

+2 sin

(2n − 1)π 2

0

" 2 3 #

2 2 (2n − 1)π

= 800 +2 sin

(2n − 1)π (2n − 1)π 2

−4 16

Cn = 800 2

+ 3

(−1)n+1

((2n − 1)π) ((2n − 1)π)

12 PARTIAL DIFFERENTIAL EQUATIONS

1 when 0 ≤ x ≤ L

2

f (x) =

2 when L ≤ x ≤ L

2

2 L (n − 12 )πx

Z

Cn = f (x) cos dx

L 0 L

"Z #

L/2 Z L

2 (2n − 1)πx (2n − 1)πx

= cos dx + 2 cos dx

L 0 2L L/2 2L

L/2 L

2 2L (2n − 1)πx 2 2L (2n − 1)πx

= sin + 2 sin

L (2n − 1)π 2L 0 L (2n − 1)π 2L L/2

4 π 8 h π π i

= sin (2n − 1) + sin (2n − 1) − sin (2n − 1)

(2n − 1)π 4 (2n − 1)π 2 4

4 2 n−1

= 2(−1)n+1 − √ (−1)trunc( 2 )

(2n − 1)π 2

where trunc is the function that truncates a non-integer to its nearest lower integer.

1.2. Inhomogeneous Boundary Conditions. If the boundary conditions are not all zero

(that is, they are not homogeneous), then we can’t use the solutions to the Rayleigh equation

to solve the heat equation. However, we can make use of the steady state solution to solve

it.

The steady state is the function towards which u(x, t) tends as t → ∞. Thus, we know that

wt = 0. Since w(x) is an instance of u(x, t), it should also satisfy the differential equation,

which, since the time derivative is zero, would be kwxx = 0. The solution is therefore very

simple: w is a linear funtion w(x) = Ax + B.

Next, we can define v(x, t) = u(x, t) − w(x). Since w(x) has the same boundary conditions

as u(x, t), we can see that the boundary conditions of v(x, t) would in fact be homogeneous:

v(0, t) = u(0, t) − w(0) = 0 and v(L, t) = u(L, t) − w(L) = 0. Furthermore, v satisfies the

differential equation:

vt + wt = kvxx + kwxx

vt + 0 = kvxx + k · 0

vt = kvxx

PARTIAL DIFFERENTIAL EQUATIONS 13

so we know how to find a solution for v. Finding u would then simply consist of adding v

and w.

1.2.1. Some Worked Examples. Example1: Let’s study this with an example. Let u(0, t) =

−23, u(L, t) = 59 and u(x, 0) = 100. We know that w is of the form Ax + B and we can use

the boundary conditions to find A and B:

82

w(L) = AL − 23 = 59 ⇒ A =

L

82

So now our steady state is w(x) = L

x − 23.

From our previous work, we know that the solution for v(x, t) is like equation 1.25, where

the Bn are given by equation 1.26. This means that, in order to find the Bn we need to first

find the initial condition function f (x). From the definition of v we see that:

82 82

v(x, 0) = u(x, 0) − w(x) = 100 − x + 23 = 123 − x

L L

Z L

2 82 nπx

Bn = 123 − x sin dx

L 0 L L

Example 2: Now let ux (0, t) = 7 and u(L, t) = 137 with u(x, 0) = 100, as before.

We can use the boundary conditions to find w(x):

wx = A ⇒ A = 7

w(L) = 7L + B = 137 ⇒ B = 137 − 7L

w(x) = 7x + (137 − 7L)

In this case, our boundary conditions for v are vx (0, t) = 0 and v(L, t) = 0, so the solution

will be a combination of equation 1.18 with the corresponding time part. The initial condition

is

14 PARTIAL DIFFERENTIAL EQUATIONS

∞

X (2n − 1)πx −k( (2n−1)π 2

)t

v(x, t) = An cos e 2L

n=1

2L

2 L (2n − 1)πx

Z

An = (7L − 37 − 7x) cos dx

L 0 2L

148(−1)n 56L

= +

(2n − 1)π (2n − 1)2 π 2

and since u = v + w, our final answer is

∞

148(−1)n

X 56L (2n − 1)πx −k( (2n−1)π )

2

t

u(x, t) = + 2π2

cos e 2L + 7x + (137 − 7L)

n=1

(2n − 1)π (2n − 1) 2L

Example 3: Our boundary conditions are now ux (0) = 13 and ux (L) = 13 and the initial

condition is as before.

To determine w, we can see that A = 13, since wx = A, but there is no way to determine

the value of B. We choose to make B = 0, because, as we’ll see later, the true value of the

steady state solution will show up anyway as a constant term in the solution of v(x, t).

The initial condition for v will be v(x, 0) = u(x, 0) − w(x) = 100 − 13x, so the solution

will be, following equations 1.14 and 1.26:

∞

X nπx −k( nπ

L )

2

t

v(x, t) = A0 + An cos e

n=1

L

Z L

1

A0 = (100 − 13x)dx

L 0

L

= 100 − 13

2

Z L

2 nπx

An = (100 − 13x) cos dx

L 0 L

26L

= (1 − (−1)n )

n2 π 2

Thus, the final answer is

∞

L X 26L n nπx −k( nπ

L )

2

t

u(x, t) = 13x + 100 − 13 + 2 2

(1 − (−1) ) cos e

2 n=1 n π L

1.3. The Heat Equation in a Circular Ring. We now want to solve the same heat

equation, but with periodic boundary conditions. That is, instead of a rod, we now have a

PARTIAL DIFFERENTIAL EQUATIONS 15

circular ring, of circumference 2L, so that u(−L, t) = u(L, t) and ux (−L, t) = ux (L, t). The

initial condition is a function f (x) such that f (−L) = f (L).

We proceed in the same way as with the rod: we look for separable solutions such that we

end up with two ordinary differential equations:

Gt = −kλG

ϕxx + λϕ = 0

Naturally, the G equation has the same solution as before. The boundary conditions for

the ϕ equation, however, are different from before. Now we have:

u(−L, t) = u(L, t)

ϕ(−L)G(t) = ϕ(L)G(t) where G(t) 6= 0, so

ϕ(−L) = ϕ(L)

Likewise, ϕx (−L) = ϕx (L). Also, we can show by following the same procedure as before,

that we must have λ ≥ 0.

Let’s solve first the λ = 0 case. As we saw before, this implies that ϕ is a linear function

of x. Applying the boundary conditions, we find that:

c1 + c2 (−L) = c1 + c2 · L

−c2 · L = c2 · L

−c2 = c2

c2 = 0

Since c1 can be any constant, we might as well let it be 1. We conclude that λ is an eigenvalue,

with eigenfunction ϕ = 1.

Now we can evaluate the λ > 0 case. We know that any solution of the form of equation

1.10 is a solution of the Rayleigh equation. By evaluating the boundary conditions we can

determine the possible values of λ.

ϕ(−L) = ϕ(L)

√ √ √ √

A cos λ(−L) + B sin λ(−L) = A cos λL + B sin λL

√ √ √ √

A cos λL − B sin λL = A cos λL + B sin λL

√

2B sin λL = 0

16 PARTIAL DIFFERENTIAL EQUATIONS

and

ϕx (−L) = ϕx (L)

√ √ √ √ √ √

λ −A sin λ(−L) + B cos λ(−L) = λ −A sin λL + B cos λL

√ √ √ √

A sin λL + B cos λL = −A sin λL + B cos λL

√

2A sin λL = 0

We can see that the only way to avoid the A = B = 0 solution (which would imply that

here are not eigenvalues greater than zero), is to require that

√ √

sin λL = 0 ⇒ λL = nπ

nπ 2

(1.28) λ= , for n ∈ N

L

Since we have three types of eigenfunctions (the constant value for λ = 0 and the sine and

cosine functions), the final solution will look like:

∞

X nπx −k( nπ )

2

t nπx −k( nπ )

2

t

(1.29) u(x, t) = A0 + An cos e L + Bn sin e L

n=1

L L

where the An and Bn will be determined, as usual, by

Z L

1

(1.30) A0 = f (x)dx

2L −L

1 L

Z

nπx

(1.31) An = f (x) cos dx

L −L L

1 L

Z

nπx

(1.32) Bn = f (x) sin dx

L −L L

Note that in this case we’ve used L rather than L/2 as the norm, since the interval is twice

as long as before (from −L to L rather than from 0 to L). A simple calculation of inner

products will confirm that this is correct.

1.4. Orthogonality and Fourier Series. The previous example is not unique. In fact,

any function f (x) on [−L, L] can be expressed by means of its Fourier series. That is,

∞ h

X nπx nπx i

(1.33) f (x) = A0 + An cos + Bn sin

n=1

L L

where the An and Bn are given by equations 1.30, 1.31 and 1.32.

PARTIAL DIFFERENTIAL EQUATIONS 17

More precisely, the Fourier series equals the periodic extension of a function. For example,

if f (x) = ex , on [−L, L], then the periodic extension would look like figure 1. We can see

that these extensions normally have jump discontinuities. The Fourier series expression

won’t reproduce these. Instead, if we let f¯(x) be the periodic extension of f (x), we’ll have:

∞ h

X nπx nπx i 1 ¯ +

f (x ) + f¯(x− )

(1.34) A0 + An cos + Bn sin =

n=1

L L 2

Thus, if f¯ is continuos, then f¯(x+ ) = f¯(x) and the Fourier representation is precise, but at

jump discontinuities the Fourier extension takes the value in the middle of the discontinuities.

Furthermore, the expression of equation 1.34 is simpler if f¯ is even or odd, because then

the sine or cosine parts will cancel out, respectively. Thus:

∞

¯

X nπ x

(1.35) fodd = Bn sin

n=1

L

∞

X nπ x

(1.36) f¯even = A0 + An cos

n=1

L

There’s also a second phenomenon, known as the Gibbs phenomenon, which presents

itself at jump discontinuities. The Fourier extension will overshoot or undershoot the actual

function, and it will have ripples that die off as the number of terms in the sum approaches

infinity.

18 PARTIAL DIFFERENTIAL EQUATIONS

2.1. The Vibrating String. In this section, we will study the waves produced in a string

of length L that is clamped down at two ends, such as a guitar string. In such a string, any

small length of it experiences two forces in opposite directions: the pull of the string to the

left of it, and the pull of the string to the right of it, like we can see in figure 2

If we assume the tension is constant throughout the string and the angle θ is small enough,

we can see that the horizontal components of the tension would cancel out, so that each small

length of string would not move horizontally. However, it will move vertically. We can see

that the vertical component of the tension force is given by T sin θ. However, if we consider

θ to be a small enough angle, we can approximate sin θ with tan θ. Thus,

T sin θ ≈ T tan θ

∂u

(2.1) = T

∂x

Newton’s Second Law relates a force, such as the tension, to the mass and acceleration of

an object. In this case, the mass of a small length of string is given by its mass density µ

and its length dx, so that dm = µdx. The acceleration is just the second derivative of the

position with respect to time. In our case, the force in question is the difference between the

tension at x and the tension at x + dx. Thus, combining equation 2.1 with Newton’s Law

we get:

tension at both ends

PARTIAL DIFFERENTIAL EQUATIONS 19

F = ma

∂u ∂u

T − T = dm · a

∂x x+dx ∂x x

∂ 2u

∂u ∂u

T − T = µ dx 2

∂x x+dx ∂x x ∂t

∂u

∂x x+dx

− ∂u

∂x x µ ∂ 2u

=

dx T ∂t2

∂ 2u µ ∂ 2u

=

∂x2 T ∂t2

∂ 2u 2

2 ∂ u

(2.2) = c

∂x2 ∂t2

where we have made use of the definition of a derivative and replaced µ/T with c2 , because

it’s always a positive value (and in fact equivalent to the reciprocal of the wave velocity).

This expression is known as the wave equation.

2.1.1. Solving the Wave Equation. In order to illustrate how to solve it, let’s first define some

boundary and initial conditions. Because we have two second derivatives, we now need four

conditions. We’ll say that the string is clamped at both ends (i.e., u(0, t) = 0 and u(L, t) = 0)

and we will let the initial conditions be some functions of x such that u(x, 0) = f (x) and

ut (x, 0) = g(x).

We will proceed as before: we’ll assume the solution is separable u(x, t) = φ(x)h(t). Then,

using the wave equation 2.2, we get

utt = c2 uxx

φ(x) htt (t) = c2 φxx (x) h(t)

htt φxx

2

=

c h φ

As before, since the left hand side is a function of t only and the right hand side is a function

of x only, the only way they can always be equal is if they are both equal to a constant,

which we will call −λ. Thus, we now have two ordinary differential equations:

(2.3) φxx + λ φ = 0

(2.4) htt + c2 λ h = 0

20 PARTIAL DIFFERENTIAL EQUATIONS

Since our boundary conditions depend on the value of x only, the boundary conditions

for φ(x) are the same. Therefore, equation 2.3 is the well-known Rayleigh equation, and the

solution is give by equation 1.12, with the values of λ given by 1.11.

We now also know that the values of λ are only positive, since they need to satisfy the

Rayleigh equation. This means that equation 2.4 is also a form of the Rayleigh equation,

albeit with other boundary conditions. The solution is very similar to equation 1.29:

cnπ t cnπ t

(2.5) h(t) = A cos + B sin

L L

Thus, the final solution for u(x, t) is given by

∞

X nπc t nπ x nπc t nπ x

(2.6) u(x, t) = An cos sin + Bn sin sin

n=1

L L L L

u(x, 0) = f (x)

∞

X nπ x

(2.7) sin = f (x)

n=1

L

2 L

Z

nπ x

(2.8) ⇒ An = f (x) sin

L 0 L

and

ut (x, 0) = g(x)

∞

X nπc nπ x nπc nπ x

−An sin 0 · sin + Bn cos 0 · sin = g(x)

n=1

L L L L

∞

X nπc nπ x

Bn sin = g(x)

n=1

L L

2 L

Z

nπc nπ x

Bn = g(x) sin dx

L L 0 L

Z L

2 nπ x

(2.9) Bn = g(x) sin dx

nπc 0 L

2.1.2. D’Alembert’s Expression of the Solution. D’Alembert interpreted the solution in a

different way from what we have just seen, and one which is very useful from the physics

point of view, because it gives us a better idea of what is happening to the string at different

times. D’Alembert imagined that we had two solutions , uf and ug , instead of one, one for

each of two sets of initial conditions. The final solution would be u(x, t) = uf + ug .

PARTIAL DIFFERENTIAL EQUATIONS 21

ut (x, 0) = 0

For ug : u(x, 0) = 0

ut (x, 0) = g(x)

so that u(x, 0) = uf (x, 0) + ug (x, 0) = f (x) + 0 = f (x), as before, and ut (x, 0) = uft (x, 0) +

ugt (x, 0) = 0 + g(x) = g(x), again as before. We can see that the two solutions, D’Alembert’s

and our previous Fourier derived one, are equivalent. But we will see why D’Alembert’s can

be a lot more convenient at times.

Let’s find an expression for uf and ug in our previous example. The general solution, in

both cases, is the same as equation 2.6, but since the initial conditions are different, the final

solutions are going to be different. In the case of uf , we’ll have:

∞

X nπc nπ x

uft (x, 0) = Bn sin =0

n=1

L L

We can see that this can only be the case if all of the Bn are zero. Thus, we have found an

expression for uf :

∞

f

X nπc t nπ x

u (x, t) = An cos sin

n=1

L L

∞

X 1 nπ x nπc t nπ x nπc t

= An sin + + sin −

n=1

2 L L L L

∞ ∞

1X h nπ i 1X h nπ i

= An sin (x + ct) + An sin (x − ct)

2 n=1 L 2 n=1 L

We can see that each of the terms in the sum in this last equation looks like equation 1.35.

Since in our case u is defined on [0, L] only, we can always make it into an odd function, by

first extending it oddly to [−L, L] and then extending that odd function periodically. So it

makes sense to call each of the terms in the sum the Fourier expression of the odd extension

of f (x). Following our previous notation, we can thus write:

1 1

(2.10) uf (x, t) = f¯odd (x + ct) + f¯odd (x − ct)

2 2

This notation is very nice, because the physical interpretation of it is very straightforward.

The (x + ct) part of it represents a pulse moving to the right (c represents the velocity of

22 PARTIAL DIFFERENTIAL EQUATIONS

the pulse), while the (x − ct) part represents a pulse moving to the left. Thus, we say that

the wave is the sum of a pulse going right and a pulse going left.

Now we need an expression for ug . As before, we know the general solution and can make

use of the initial condition ug (x, 0) = 0

∞

X nπx nπx

ug (x, 0) = An cos 0 · sin + Bn sin 0 sin =0

n=1

L L

∞

X nπx

0 = An sin

n=1

L

which, again, implies that all of the An are zero. Thus, the solution for ug is

∞

X nπ nπc

ug (x, t) = Bn sin x sin t

n=1

L L

∞

X 1 nπ(x − ct) nπ(x + ct)

(2.11) = Bn cos − cos

n=1

2 L L

Now, our other initial condition for ug says that ugt (x, 0) = g(x), so

∞

X nπc nπx

g(x) = Bn sin

n=1

L L

although, to be more correct, we should say that it is the odd periodic extension of g that

equals this, as we’ve seen before. Now consider the following.

x+ct ∞

1 x+ct X nπc

Z Z

1 nπ

ḡodd (s) ds = Bn sin s ds

2c x−ct 2c x−ct n=1 L L

∞

1 x+ct X nπ

Z nπ

= Bn sin s ds

2 x−ct n=1 L L

∞ Z x+ct

1X nπ nπ

= Bn sin s ds

2 n=1 x−ct L L

∞

1X h nπ is=x+ct

= Bn − cos s

2 n=1 L s=x−ct

∞

1X nπ (x + ct) nπ(x − ct)

(2.12) = −Bn cos + Bn cos

2 n=1 L L

PARTIAL DIFFERENTIAL EQUATIONS 23

If we compare equations 2.11 and 2.12 we can see that the two are equivalent. Thus, we

can write ug as

Z x+ct

g 1

(2.13) u (x, t) = ḡodd (s) ds

2c x−ct

Thus, combining equations 2.10 and 2.13, we arrive at the solution for u:

Z x+ct

1¯ 1

fodd (x + ct) + f¯odd (x − ct) +

(2.14) = ḡodd (s) ds

2 2c x−ct

We can now see why D’Alembert’s expression is so much more useful at times. If we know

f and g, calculating u is very straightforward: we just need to calculate two values of f and

integrate g over some interval. There’s no need for infinite series of any kind.

3. Laplace’s Equation

4. Fourier Transform

4.1. Introduction.

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