Journal of Applied Mathematics and Physics(ZAMP)

Vol. 29, 1978

Birkh~iuser Verlag Basel

A Generalised Cole-Hopf Transformation for

Nonlinear Parabolic and Hyperbolic Equations
By P. L. Sachdev, Dept. of Applied Mathematics, Indian Institute of Science,
Bangalore, India

1. Introduction
One of the most celebrated nonlinear partial differential equations describes a
balance of nonlinearity and diffusion and is often referred to as Burgers' equation. Its
pre-eminence derives from the fact that this equation is exactly linearised into the
standard heat equation in the physical plane through a (nonlinear) transformation
which was independently given by Hopf [ 1] and Cole [-2]. This transformation has the
added advantage that the initial conditions also transform in a simple manner. This
transformation has been generalised by Chu [3] and Whitham [4]. Chu has given a
straightforward generalisation of this transformation to a system of equations which
also have a second degree term in the spatial derivative, besides an inhomogeneous
term. Whitham has introduced a variation of the above transformation for the
Korteweg~le Vries equation, the simplest model for nonlinear dispersive waves, not
rendering this equation linear but nonlinear of uniformly second degree. He has
subsequently used the transformed equation to discuss the interaction of solitary
waves.
In the present paper we generalise the Cole-Hopf transformation, essentially by
taking a variable coefficient in the Cole-Hopf transformation and apply it to derive
both non-linear parabolic and hyperbolic equations which are exactly linearisable.
These include many physically realistic models such as the turbulence model proposed
by Burgers [5] and studied in detail by Case and Chiu [6], and Goldstein-Murray
equation [7], describing reaction-diffusion phenomena. We remark all these equations
are characterised by the common feature that they contain a nonlinear convective
term.

2. Parabolic Equations

We start with the linear parabolic equation

dpt + bd?x + c~ + f = eag?xx

(2.1)

where a, b and c are functions of x and t, and 5, a parameter, and look for the class of
nonlinear parabolic equations in u which go into this equation via the transformation

964

P.L. Sachdev

ZAMP

F(u) = k(x, t)(ln ~b),.

(2.2)

Thus, we have
qSx

_~

k~=F,

kx

F2

k~=F'(u)u~--~-F+~-,

k - ~ = ~a F'u~ - ~- F +

- b F - ck -A'4>

FF'

__

k ck~, = F'u~ + ea -k-- u~

4J
+F

F+

- ~ F - c -

k~ ~ ) + ( F"u~+F'ux:,- ( ~ ) F
= (~ - ~ ) ( F'u~--~F+

kx
2FF'
F2
)
k F'u,+~--ux--~k, .

(2.3)

Differentiating (2.1) with respect to x and with some re-arrangement, we have

k~-+(b-~a~)k~-+(bx +c) ~
+ kc~ + 7kf~
- = ~ak 74xx.
-"

(2.4)

We substitute (2.3) in (2.4), and to get an equation in u alone, we r e q u i r e f = 0, so that

the equation in u becomes

ut+ b-eax+2ea

-2ea

F V~a kk

+FT[k-~(~-2k2)

/2aakx

+F~

)]

ux-~aF, x
__

U 2

kt bk,
kx
kcx
k k +~a~-~-+b~+~-

~k~ =~a,~.

(2.5)

This equation is much more general than that derived by Chu [3] and permits a class of
2 if we
nonlinear diffusion equations without the presence of the quadratic term ux
choose F " = 0. Before considering its special cases we attempt to put it in a
conservative form. This becomes possible ifF" = 0 so that Fis a linear function, and a
is constant. Taking F = u in particular, we get the following exchange process, Murray
[8"], [9]:

Vol. 29, 1978

A GeneralisedCole-Hopf Transformation
k~

ut + vx +

v=

k~.

ga ~z u -

b + 2ea

ea k

~x) u - ~ ga U2 -

kt
k

965

bk~'~
~ - ) u + kc~ = O,

(2.6)

eau~.

Thus, (2.6) generalises Burgers' equation

U2
ut + vx = O,

v = -eaux +--,
2

and gives the possible class of nonlinear parabolic equations with constant viscous
coefficient, which may be transformed into a linear parabolic equation.
Now, we consider some special cases of (2.5). First if we assume the relation
between the variables a and k to be the same as in the standard C o l e - H o p f
transformation, namely, k = - 2 a , it is easy to check that (2.5) in this case reduces to
ut + (b + ea~ + e F ) u ~ - ea ~T U~ + - eFa~atba~
2 a
a

~ a~

~]
a

+ b~ +

= eau~.

(2.7)

For the special case F = u, this becomes Burgers' type of equation with damping. The
term (b + ea~) in the coefficient of u~, even if taken to be constant, has an important
role to play in the shock formation as was shown by Murray [10]. In particular if we
choose b + ea~ = 0, (2.7) becomes
u,+euux-u(eu~+~)-2acx=eau~,~,,

(2.8)

so that we have the possibility of having a damping term proportional to u 2, u or a

constant depending on the choice of a and e. Of course, in this class of equations, the
diffusivity a will be variable but if the role of this term primarily is to smooth the
solution as, for example, was mooted by Defermos [11] in the 'viscosity-method' then
the class of nonlinear equations considered here is quite rich. We shall adopt this view
in the present paper. Alternatively we may look upon these equations as enlarging the
class of Burgers' type of equations such that they describe dissipative effects with
variable viscosity. After choosing the form of the coefficient a, we could choose other
coefficients to have a variety of nonlinear convection and damping terms. As a further
special case of (2.8), if we assume c = 0, and a and k to be functions of t alone, we have
a t

II t

+ euu~ - -- u = ea(t)u~.__
a

(2.9)
%

This includes Burgers' model for turbulence, considered by Case and Chiu [6] and
Murray [12] but with a variable diffusivity.

966

P. L, Sachdev

ZAMP

If we assume a, k, e to be constant, but b in general a function ofx and t, then (2.7)

becomes
F"
F b
u~ + (b + eF)ux - ea -F7 u2 + f 7 ~ = ~au~x,

(2.10)

a useful equation with constant diffusivity, which for F = u represents Burgers' type of
equation with a linear damping term that may depend on x and t through bx.
To solve the initial value problem for the class of nonlinear parabolic equations
derived above, one would have to solve (2.1) with f = 0. Here we refer to the work of
Colton [13], who has given an integral operator projecting the solution of the standard
heat equation to provide that for (2.1). The kernel of the operator, however, itself has
to be found through the solution of a Goursat problem. Under certain special
circumstances, the problem may be solved by transform techniques.
If we look for special class of solutions which may be obtained by similarity
assumptions, we have to impose certain constraints on the coefficients a, b, c of the
linear parabolic Equation (2.1) Indeed this was the motivation for the choice of
variable viscosity by Defermos [-11]. Besides, a study of the glossary of solutions for
the standard Burgers' equation, compiled by Benton and Platzman [14], reveals that
they correspond predominantly to the self-similar or product type of solutions of the
heat equation. Once the linear solutions of this type have been obtained for (2.1), those
for the non-linear equations are easily gotten from (2.2). Lehnig [15] has found the
following special class of'linear' similarity solutions of (2.1) when a, b, c are functions
of x alone:
1

(a = p(t)~ g(~)'

(2.11)

~ = )Pt"'t~"

The condition that (2.1) has 'conservative' solutions of this type is that the coefficients
a, b, c satisfy the relation
k l a ( x ) = xb(x)

(2.12)

x2c(x)

where k~ is a constant and we have put e = 1 in (2.1) for the sake of simplicity. The
equations governing fi and the similarity function f are
/3 d t -

42 d2 g

(2.13)

flb(fl) - ~l(1)a(fl) = O,

dg

+ kl)g

= o.

(2.14)

where
(2.15)

Vol. 29, 1978

A GeneralisedCole-Hopf Transformation

967

and el(l) is a parameter. Thus under the conditions (2.12) on coefficients, we could
obtain a whole class of solutions of the nonlinear parabolic equations through
similarity methods. Lehnig has also considered what he has referred to as 'non-linear'
similarity solutions where the similarity variable ~ is a nonlinear function of x, and has
given several specific examples many of which reduce under certain limits to the
corresponding solutions of the standard heat equation. However, we omit the details
here.
A more recent paper by Swan [16] gives fundamental solutions of the class of
Equations (2.1) with coefficients b, e, a as functions of x with some restrictions.
However, this is a much more general class than that of similarity solutions [15] and
can be used to generate solutions of the corresponding nonlinear equations. The
generalisation of the fundamental solution of the heat equation to (2.1) is immediately
clear from Swan's Equation (23).

3. Hyperbolic Equations
We start with the linear hyperbolic equation

(3.1)

qSt + bqS~ + c4) + f = ea4)~,

where a, b, c and f a r e functions o f x and t only and e is a parameter. Again we attempt

the transformation (2.2) to generate a class of nonlinear hyperbolic equations,
reducible to the linear Equation (3.1). It may be easily verified that

)X

k~-

F2
k

= F,

=F'u~,-

k 4)-Lt= eakF'u, - b k F -

4,
kF'u,-ktF-bF
4)

F+~-,

ck z
(k-eaF)
-

(fk2/4))

~aktF,

(3.2)

2 -ckF-(fkF/4))
(k - m F )

We differentiate (3.1) with respect to x and obtain

k4)s-~'(1 -

~a~) + b k

+ (b~ + c) ~ -

+ kc~ +

= eak -~'

4)

(3.3)
where 4)~t is found by differentiating 4)xx with respect to x etc.'

eakF'u~ - b k F - ck 2

(fk2/4))

k ( k - eaF)

--

eaFk,

968

P.L. Sachdev

F'

F2

+ -s u t ( 2 F -

kx) - ~

)
k,

ZAMP

(3.4)

Substituting (3.2) and (3.4) into (3.3) and p u t t i n g f = 0, and after some algebra, we get
an equation in u alone:
k-Z~

k2(k - taN) (eakkx + (k

+

aaF) 2) u t

F'
((b + eac)k + ~akt)u:,
k(k - aaF)

~a
k(k - eaF)

8a r
(eaF '2 + F"(k - eaF))u,ut - ~ F u~t

aax
(ktF + bF z + ckF)
k(k - eaF)
+

eak xc F
b Fk :,
Fk t
-~
+
k(k - aaF)
k(k - eaF)
k(k - aaF)

F
(k z
- b~ ~ - c~ - .
k

kxF)(
eaktF
k ] \-k([c ~ ~aF) }

(3.5)

~ k, 9

Equation (3.5) is too complicated to be put in a conservative form. By way of

motivation we consider the simplest case of constant coefficients a, b, c and k. In this
special case, it becomes
u, + k 2 (b + aac)
(k - eaF) 2 ux

eak
(
F"
)
(k - eaF) 2 eaF' + ~ 7 (k - eaF) uxut

eak
- (k - eaF) Uxt.

(3.6)

We introduce the variable

k-

(3.7)

eaF(u) = G(u)

so that (3.6) now becomes

u, + kZ(b + aac) ~ +
t.r-

eak {GG" - G'2"~uxu t

-67 \

eak

(3.8)

Vol. 29, 1978

A Generalised Cole-Hopf Transformation

969

This is the class of hyperbolic equations studied by Goldstein and Murray [7] and
Murray [9]. To put it in a conservative form, similar to Murray's, we write

u~
~ = k~(b +

~.~)~

e a k (.G '2 - GG"'~

eak
+ -6;- ~
~
-)u:,- -6- Ux,

= k2(b + mc) Ox

+ eak

~# ~

ut), say

(3.9)

where the functions M(u) and N(u) are to be found. After some simple calculations, it is
easy to check that

M=

c3c~(u-cO-1
c~(u-cl)

fin
-1
M
cz(u-cl)'

G=c2(u-cl),
(3.10)

so that

F=

k-c2(u-Cl)
~a

In the above cl, c 2 and c3 are arbitrary constants. Thus, the equation considered by
Goldstein and Murray [7] is a special case of the conservation law

. c3c2(u- c l ) v = k2(b + eac) 257 . . . . .

ut + v~, = O,

c2(u - c,)

~aku,
c2(u - cl)

'

(3.11)

obtained from (3.8)-(3.10) for the special choice of constants,

r
C 1 --

r-

0 3 ~--

1'

(r -- 1)2

1 -r

Ci

--

and simple choices of the coefficients a, b, c, k for exact coincidence of equations. We

consider a slightly more general situation in which only a and k are constants so that
(3.5) reduces to
ut + k 2 (b + m e )

(k - aaF) 2 u~,
F
- bx ~

cx

--

(k ~- ~aF) z eaF' + ~7 (k - eaF) uxut

eak
k - eaFUXt

Here, again, if we put b + eac

leaF
+ cx ~-ff-

= 5, a c o n s t a n t ,

eak

k 2c

ut + (k _ eaF)E Ux

)
1

(3.12)

(3.12)

F"

goes into

( k - - e a F ) 2 eaF' + ~7 (k - eaF) UxUt

eak
(k :-~aF) u~,t

(3.13)

970

P.L. Sachdev

and by choosing c to be a linear function of x, we can accommodate a damping term

which is a function of u alone.
In conclusion, we note that the equations described in the present section extend
the class of equations describing exchange processes, which can be exactly linearised. A
very special case of this class has been referred to as Thomas equation by Whitham [4].
The linear Equation (3.1) can be solved by either transform techniques or other
methods which have been evolved in gasdynamics.
References
[1] E. HOPF, The Partial Differential Equation ut + uu~ = I.tU:,:,, Comm. Pure Appl. Maths. 3, 201-230
(1950).
[2] J. D. COLE, On a Quasilinear Parabolic Equation Occurring in Aerodynamics, Quart. Appl. Maths. 9,
225-236 (1951).
[3] C. W. C~u, A Class of Reducible System of Quasi-Linear Partial Differential Equations, Quart. Appl.
Maths. 23, 275 278 (1965).
[4] G. B. WmTrtAM, Linear and Nonlinear Waves, John Wiley and Sons (1974), pp. 580-585.
[5] J. M. BURGERS, Mathematical Examples, Illustrating Relations Occurring in the Theory of Turbulent
Fluid Motion, Verhandel. Kon. Nederl. Akad. Wetensch. 17, 1 (1939).
[6] K. M. CASE and C. S. CI-Iu, Burgers' Turbulence Models, Phys. Fluids 12, 1799 (1969).
[7] S. GOLDSTE1Nand J. D. MURRAY, On the Mathematics of Exchange Processes, Proc. Roy. Soc. A, 252,
334, 348, 360 (1959).
[8] J. D. MURRAY, Singular Perturbations of a Class of Nonlinear Hyperbolie and Parabolic Equations, J.
Maths. Phys. 47, 111 (1968).
[9] J. D. MrORRAY,On the Gunn Effect and Other Physical Examples of Perturbed Conservation Equations,
J. Fluid Mech. 44, 315 (1970).
[10] J. D. MURRAY, Perturbation Effects on the Decay of Discontinuous Solutions of Nonlinear First Order
Wave Equations, SIAM J. Appl. Math. 19, 273 (1970).
[11] C. M. DEFERMOS, Solutions of the Riemann Problem for a Class of Hyperbolic Systems of Conservation
Laws by the Viscosity Method, Arch Rat Mech. and Anal. 52, 1 (1973).
[12] J. D. MURP,AY, On Burgers" Model Equations for Turbulence, J. Fluid Mech. 59, 263 (1973).
[13] D. COLTOY, The Approximation of lnitial Boundary Value Problems for Parabolic Equations in One
Space Variable, Quart. Appl. Math. 33, 377 (1976).
[14] E. R. BENTON and G. W. PLATZMAN, A Table of Solutions of One-Dimensional Burgers' Equation,
Quart. Appl. Maths. 30, 195 (1972).
[15] S. H. LEHNIG, Conservation Similarity Solutions of the One-Dimensional Autonomous Parabolic
Equation, Z. angew Math. Phys. 27, 385 (1976).
[16] G. W. SWAN, Exact Fundamental Solutions of Linear Parabolic Equations with Spatially Varying
Coefficients, Bull. Math. Biol. 39, 435 (1977).
Summary
The Cole-Hopf transformation has been generalized to generate a large class of nonlinear parabolic
and hyperbolic equations which are exactly linearizable. These include model equations of exchange
processes and turbulence. The methods to solve the corresponding linear equations have also been indicated.
Sommaire
La transformation de Cole et de Hopf a &~ g~n~ralis~e en vue d'engendrer une classe d'~quations nonlin6aires paraboliques et hyperboliques qui peuvent &re rendues lin~aires de fa~on exacte. Elles
comprennent des ~quations mod61es de proc6d~s d'6chauge et de turbulence. Les m&hodes pour r+soudre les
~quations lin~aires correspondantes ont +galement ~t~ indiqu~es.
(Received: April 27, 1978)