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R
1
UNAM, Instituto de Matemticas, Mexico City,
2
Centro Mesoamericano de Fsica Terica (MCTP), Tuxtla Gutirrez,
3
en apoyo al Programa para un Avance Global e Integrado de la
Matemtica Mexicana, FORDECyT.
Outline
First-Order
The Wave Equation in Two
Introduction Quasi-Linear Systems Space Dimensions
Inhomogeneous Wave
Conventions of PDE Equations
Linear Symmetric Conservation Laws for
Basic Definitions Hyperbolic Systems Wave Equations
Problems Compressible Eulers Main Examples of Elliptic
Three Main Examples Equations in One Space Equations
of PDE Dimension The Method of Separation of
Hyperbolic Systems Variables
Problems Simple Transformations of the
Single First-Order The Inhomogeneous Wave Laplace Operator
Equation in One Space Strong Maximum Principles
Quasi-Linear PDE Dimension Greens Representation
The Linear Case Single Second-Order
Integral Curves of Vector Fields Formula
The Linear Case PDE The Solution of the
Problems Dirichlet Problem for
Characteristic Surfaces Classification of Single
Second-Order Balls in Rn
Problems
Time Decay of Solutions of Quasi-Linear PDE Heat Equation
PDE (Energy Method) Second-Order Equations With
The Quasi-Linear Case Constant Coefficients Appendix
Incompressible Eulers Main Examples of
Equations in One Space Hyperbolic Equations Index
Dimension The Wave Equation in Three
Problems Space Dimensions References
Introduction
x y := x1 y1 + + xn yn .
Conventions
I In addition, we define the open ball U (x) of radius > 0
around x by
U (x) := {y Rn : |y x| < } ,
B (x) := {y Rn : |y x| 6 }
Sn (x) := {y Rn : |y x| = } .
0 ( ) := ((p1 ) 0 ( ), . . . , (pn ) 0 ( ))
for every I,
I where p1 , . . . , pn denote the coordinate projections of Rn ,
defined by
pi (x) := xi
for every x = (x1 , . . . , xn ) Rn and i {1, . . . , n}.
Basic Definitions
Definition 3.1
I A partial differential equation (PDE) for a map
u : Rp , p N ,
I where is a non-trivial open subset of some Rn for n N
satisfying n > 2,
I is an equation
2u 2u
u u
f x, u(x) , (x) , . . . , (x) , 2 (x) , (x) , . . . = 0 ,
x1 xn x1 x1 x2
(3.1)
I where x runs through the elements of .
I Here f : 0 R, where 0 is a non-empty open
subset of some Rm for m N satisfying m > 2p.
Basic Definitions
Definition (cont.)
I Note that such f is not unique.
I The order of the highest derivative occuring in (3.1) 4 is
called the order of the PDE.
I A map u satisfying (3.1) for every x is called a
solution of the PDE.
4
i.e, such that f actually depends on the corresponding coordinate
projection
Basic Definitions
Example 1
(A Hamilton-Jacobi equation)
I The equation
2
S 1 S
=0 (3.2)
t 2 x
for S : R2 R,
I a special case of the so called Hamilton-Jacobi equation
(for the function S)
I which is of importance in the field of classical mechanics,
I is a partial differential equation.
Basic Definitions
Example (cont.)
I For this, we notice that
2
S 1 S S S
(t, x) (t, x) = f t, x, S(t, x) , (t, x) , (t, x)
t 2 x t x
x52
f (x) := x4
2
for every x = (x1 , . . . , x5 ) R5 .
Basic Definitions
Example (cont.)
I The order of the highest derivatives occurring in (3.2) is 1,
I and hence the equation is of first order.
I In particular, the family (Sp )pR , where
p2
up (t, x) := t + px
2
for all (t, x) R2 ,
I is a one-parametric family of solutions of the equation.
I The equation is non-linear since u1 is a solution of (3.2),
but 2u1 is not.
Basic Definitions
Example 2
(The wave equation in one space dimension)
I The equation
2u 2u
2 =0, (3.3)
t 2 x
for u : R2 R,
I the so called wave equation in one space dimension (for
the function u)
I which has important applications in the description of the
propagation of waves,
I is a partial differential equation.
Basic Definitions
Example (cont.)
I For this, we notice that
2u 2u
(t, x) (t, x)
t2 x 2
u u
= f t, x, u(t, x) , (t, x) , (t, x) ,
t x
2u 2u 2u 2u
(t, x) , (t, x) , (t, x) , 2 (t, x)
t 2 tx xt x
f (x) := x6 x9
Example (cont.)
I The order of the highest derivatives occurring in (3.3) is 2,
I and hence the equation is of second order.
I Also, as a consequence of the sum rule and product rule for
partial derivatives, the equation is linear.
I In particular, the family (u(a,b) )(a,b)R2 , where
u(a,b) (t, x) := at + bx
Definition 3.2
I A system of partial differential equations for u
I consists of a finite number of partial differential equations
(PDE) for u,
I and u is called a solution of the system if it satisfies all
those equations.
I The order of a system of PDE is defined as the maximum of
the orders of those partial differential equations.
Basic Definitions
Definition 3.3
I A PDE or system of PDE is called linear
I if sums as well as real multiples, both pointwise defined, of
solutions are solutions, too.
I Otherwise, it is called non-linear.
Basic Definitions
Example 3
(Cauchy-Riemann equations)
I The system
u1 u2 u1 u2
= , = ,
x1 x2 x2 x1
for u = (u1 , u2 ) : R2 R2 ,
I the so called Cauchy-Riemann system of differential
equations (for u)
I which has applications in the field of complex analysis,
I is a system of PDE.
Basic Definitions
Example (cont.)
I For this, we notice that
u1 u2
(x) (x)
x1 x2
u1 u2 u1 u2
= f1 x, u1 (x), u2 (x), (x) , (x) , (x) , (x) ,
x1 x1 x2 x2
u1 u2
(x) + (x)
x2 x1
u1 u2 u1 u2
= f2 x, u1 (x), u2 (x), (x) , (x) , (x) , (x) ,
x1 x1 x2 x2
Basic Definitions
Example (cont.)
I where f1 , f2 : R7 R are defined by
f1 (x1 , . . . , x7 ) := x4 x7 , f2 (x1 , . . . , x7 ) := x5 + x6
Example (cont.)
I In particular, the family (u)(a,b)R2 , where
for all x R7 ,
I is a two-parametric family of solutions of the system.
Basic Definitions
2u 2u
u u
f x, u(x) , (x) , (x) , 2 (x) , (x) , . . . = 0 ,
x1 x2 x1 x1 x2
5
Note that the following equations are trivially satisfied if a and b are both
constant functions.
Basic Definitions
3) Let p : R R be differentiable, u a real-valued function
that is defined as well as partially differentiable on a
non-empty open subset U of R2 such that
u u
= (p u) .
t t
a) Show for every differentiable f : R R, that the function
v defined by
v(t, x) := f (x + p(u(t, x)) t)
for every (t, x) U, satisfies
v v
= (p u) .
t t
b) In this way, find non-constant u defined on some
non-empty open subset on R2 satisfying
b1)
u u
=a ,
t x
Basic Definitions
4) Show that u : R defined by
2
u := (3.4)
x
satisfies
u 2u u
2 +u =0. (3.5)
t x x
Here, R2 is non-empty and open, R, t and x
denote the coordinate projections of R2 onto the first and
second coordinate, respectively, and C 3 (, R ) is a
solution of the heat equation in one space dimension
2
2 =0 .
t x
Basic Definitions
u(t, x) := f (x t) + g(x + t)
u u 2u 2u
(t, x) , (t, x) , (t, x) , (t, x)
t x t 2 x 2
for all (t, x) R2 .
a1) Conclude that u satisfies the wave equation in one space
dimension
2u 2u
2 =0. (3.6)
t 2 x
Basic Definitions
t
u Hb ,a L
b
a u Ha ,b L
x
-b -a O a b
u H-a ,-b L -a
-b
u H-b ,-a L
1 u1
u1 (0, x) = , (0, x) = 0 ,
1 + x2 t
u2 1
u2 (0, x) = 0 , (0, x) =
t 1 + x2
for all x R.
Basic Definitions
2v 2v 2v
A 2 (t, x) + B (t, x) + C 2 (t, x) =
t 2 tx
2u
x
u 2u
a2 A 2 + 2adB + d 2 C 2 (h(t, x))
t tx x
2v 2v 2v
A 2 (t, x) + B (t, x) + C 2 (t, x) =
t tx
2
x
u 2u
(a2 A + 2abB + b2 C) 2 + 2[acA + (ad + bc)B + bdC] +
t tx
2u
(c2 A + 2cdB + d 2 C) 2 (h(t, x))
x
8) b) Note that
2v 14 2 v 2v
(t, x) + (t, x) + 5 (t, x)
t 2 3 tx x 2
2u 2u
= 2 (h(t, x))
t 2 x
Eg := U .
8
This equation is also sometimes referred as diffusion equation.
9
For instance, the thermal diffusivity of iron at 27 degrees Celsius is about
0.227 cm2 /s [15].
Three Main Examples of PDE
I The wave equation describes,
I in particular, the pressure as a function of position and
time, p C 2 (I , [0, )),
I in a homogeneous body occupying the volume .
I In this application, it is given by
2p
(t, x) c2 [4p(t, )](x) = 0
t 2
for every (t, x) I U,
I where c (0, ) is the speed of sound.10
I The wave equation is linear and of second order.
I It is a prototype of a so called hyperbolic equation.
10
For instance, c is about 343.6 m/s in dry air of 20 degrees Celsius [14].
Three Main Examples of PDE
1
u(t, x) := [ f ( t |x| ) + g( t + |x| ) ]
|x|
2u
4u = 0 ,
t 2
where
(4u)(t, x) := [4u(t, )](x)
for all (t, x) R (R3 \ {0}).
Three Main Examples of PDE
lim u(t, x)
x0,x6=0
(u(x, )) 0 = g(x, ) ,
for x R.
Single First-Order Quasi-Linear PDE
I For x R, it follows by the Fundamental Theorem of
Calculus that
Z y1
u(x, y1 ) u(x, y0 ) = (u(x, )) 0 dy
y
Z 0y1 Z y1
= g(x, ) dy = g(x, y) dy
y0 y0
I and hence, for y0 , y1 R such that y0 6 y1 , that
Z y1
u(x, y1 ) = u(x, y0 ) + g(x, y) dy
y0
11
I We conclude for every y R that
Z y
u(x, y) = u(x, y0 ) + g(x, y) dy .
y0
11
Note that for this to be true, our assumption that g is continuous can be
weakened, for instance, to the assumption that g(x, ) is continuous for every
x R.
Single First-Order Quasi-Linear PDE
y
3
C
1
x
-5 -3 -1 1 3 5
-1
-3
-5
a(x, y) := ( 1, 1 + y2 ) (5.2)
12
A more in depth treatment of this concept is given in courses in
differential geometry or differential topology.
Single First-Order Quasi-Linear PDE
I It is defined by
1.0
0.5
y 0.0
-0.5
-1.0
-1.5
-1.5 -1.0 -0.5 0.0 0.5 1.0 1.5
x
0 (t) = a((t)) ,
for all t I.
Single First-Order Quasi-Linear PDE
13
Here, some abuse of terminology is to be noticed. Usually, curves are
defined as particular sets, whereas is a parametrization of such a set,
namely, the image (I) of . Hence a more accurate, but less common,
naming convention for integral curves would be integral paths.
Single First-Order Quasi-Linear PDE
I For this reason, in the following, we can restrict
consideration to integral curves with domains containing 0.
I If j is the j-th component function of , j {1, 2},
I we arrive at the following system of ordinary differential
equations:
t I.
I The first equation has the solution
1 (t) = t + x0 ,
t I,
I where x0 := 1 (0), y0 := 2 (0).
Single First-Order Quasi-Linear PDE
20 (t)
1= = (arctan 2 ) 0 (t) ,
1 + (2 (t))2
t I.
I Hence
arctan(2 (t)) = t + arctan(y0 ) ,
t I.
Single First-Order Quasi-Linear PDE
I From this, we conclude that
I and that
2 (t) = tan(t + arctan(y0 ))
for all t I Im .
I As a consequence, the integral curve satisfying
(0) = (x0 , y0 )
I and with maximal domain is given by
t Im .
I Fig 3 displays part of the range of this maximal integral
curve corresponding to x0 = y0 = 0.
Single First-Order Quasi-Linear PDE
Definition 5.1
(Integral Curves)
I Let n N , be a non-empty open subset of Rn
I and a C 1 (, Rn ).
I satisfying
0 (t) = a((t)) ,
for every t I.
Single First-Order Quasi-Linear PDE
14
more precisely, as a consequence of the theorem of Picard and Lindeloef
and by application of the axiom of choice
15
For the validity of Theorem 5.2, it is sufficient that a is locally Lipschitz
continuous. On the other hand, since the course considers only solutions of
PDE systems of class C k for some k N , such generality is not needed in
the following.
Single First-Order Quasi-Linear PDE
Theorem 5.2
(Existence and uniqueness of integral curves) Let n N ,
be a non-empty open subset of Rn , a C 1 (, Rn ), x and
t0 R. Then there is a uniquely determined maximal, i.e.,
inextendable, integral curve such that (t0 ) = x.
Single First-Order Quasi-Linear PDE
I1 := {t R : t + t1 I1 } , I2 := {t R : t + t2 I2 }
1 (t) := 1 (t + t1 ) , 2 (s) := 2 (s + t2 )
16
i.e., inextendable
Single First-Order Quasi-Linear PDE
a := (a0 , . . . , an ) C 1 (, Rn+1 )
for every I.
Single First-Order Quasi-Linear PDE
a := (a0 , . . . , an ) C 1 (, Rn+1 )
of (5.6).
Single First-Order Quasi-Linear PDE
Theorem (cont.)
Then
Z
(u )( ) = u(x) + ( )( ) eB ( )
d eB ( ) (5.7)
0
Remark 5.4.1
Note in particular that u is constant along characteristics if the
functions b and in (5.6) both vanish.
Remark 5.4.2
Hence the values of u along a characteristic of (5.6) are
uniquely determined by its value in x = (0). As a
consequence, the values of u can only be freely specified on
surfaces that are intersected at most once by the maximal
characteristic curves. In particular, such values cannot be
freely specified on any surface in that is intersected by a
single characteristic curve in two different points.
Single First-Order Quasi-Linear PDE
18
In case that does not intersect S, the initial value problem has no unique
solution.
Single First-Order Quasi-Linear PDE
y 0
-1
-2
-2 -1 0 1 2
x
Example 4
I For this, let m R. We consider the equation
u u
x (x, y) + y (x, y) = m u(x, y) (5.8)
x y
Example (cont.)
I and hence are given by
x ( ) = x (0) e , y ( ) = y (0) e
for every R.
I As a consequence, the range of every maximal
characteristic path is a half-ray originating from the origin
minus the origin.
I The antiderivative of (R R, 7 m) vanishing in 0 is
given by m idR .
Single First-Order Quasi-Linear PDE
Example (cont.)
I Hence it follows by (5.7) that
for all R.
Single First-Order Quasi-Linear PDE
Example 5
Let f : S 1 R be continuous and u : R be a differentiable
solution of (5.8) with initial values f on S 1 , i.e., such that
Example (cont.)
Solution: Using the notation of Example 4, it follows for
(x, y) that
= u((0)) (e )m ,
where
1
:= ln(x 2 + y2 ) , (0) := (x 2 + y2 )1/2 .(x, y)
2
Single First-Order Quasi-Linear PDE
Example (cont.)
and hence that
u(x, y) = f (x(x 2 +y2 )1/2 , y(x 2 +y2 )1/2 )(x 2 +y2 )m/2 . (5.10)
Example (cont.)
it follows that
u
f
2 2 (m3)/2 2 f
(x, y) = (x + y ) y (x, y) xy (x, y)
x x y
+ mxf (x, y)(x + y )
2 2 (m2)/2
f
u 2 2 (m3)/2 2 f
(x, y) = (x + y ) xy (x, y) + x (x, y)
y x y
+ myf (x, y)(x 2 + y2 )(m2)/2 ,
where
x := x(x 2 + y2 )1/2 , y := y(x 2 + y2 )1/2
Single First-Order Quasi-Linear PDE
Example (cont.)
and hence that the corresponding u satisfies (5.8) and (5.9). In
particular, such u is uniquely determined. Note that u : R
defined by (5.9) is
(i) homogeneous of degree m, i.e., satisfies
Example (cont.)
In addition, note that
(iii) if we consider (5.8) on := R2 which includes the point
where the principal part of (5.8) vanishes19 , the existence
of a solution would depend on m.
19
Such a point is called a singular point of a PDE.
Single First-Order Quasi-Linear PDE
Example (cont.)
(iv) in general, it is not possible to freely specify the boundary
values of u along a closed curve in such as the circle of
radius 1/2 around the point (1, 1). The non-existence of
solutions satisfying boundary values on closed surfaces in
the domain is typical for hyperbolic PDE and systems of
PDE. That such specification is possible for (5.8) and some
closed curves encircling the origin such as S 1 is due to its
singular nature at at the origin which is connected to the
vanishing in the origin of the extension of the
corresponding characteristic vector field to a continuous
function on R2 .
Single First-Order Quasi-Linear PDE
Example (cont.)
In addition, note that (5.10) allows the definition of generalized
solutions for (5.8), i.e., solutions which are not differentiable.
Single First-Order Quasi-Linear PDE
Example 6
(Continuity equation/Conservation of mass)
I Important examples of linear first-order PDE for single
functions are so called continuity equations or
conservation laws. A particular example is the equation
describing the conservation of mass in fluid dynamics
I
+ div(v) = 0 . (5.11)
t
Single First-Order Quasi-Linear PDE
Example (cont.)
I Here : R [0, ) is the mass density of a fluid
occupying the volume ,
I the latter is assumed a non-empty and open subset of R3 ,
I v : R R3 is the distribution of the fluids speed,
I and v is the mass flux density of the fluid.
I In particular, we assume that is differentiable and that
v C 1 (R , R).
Single First-Order Quasi-Linear PDE
Example (cont.)
Equation (5.11) is equivalent to
+ v grad() + div(v) = 0 .
t
The characteristic field of the last equation is given by
Example (cont.)
I In fluid dynamics, differentiable paths : I R3 , where I
is some non-empty open interval of R, such that
Example (cont.)
I If is such a particle path,
I then the associated : I R4 defined for every t I by
for every t I.
Single First-Order Quasi-Linear PDE
Example (cont.)
I This implies that, with increasing time, positive values of
div(v) tend to compress
I and that negative values of div(v) tend to expand fluid
elements.
I Hence incompressible fluids generate speed distributions
with vanishing divergence.
I For instance, for a wide range of applications, water can be
considered incompressible.
Single First-Order Quasi-Linear PDE
10
x
1 2 3 4 5
10
x
1 2 3 4 5
Example 7
(Connection between characteristic curves and meaningful
boundary conditions)
I For this, let q R.
u u
= +qu (5.12)
t x
I on the open right half-plane := R (0, ) for
differentiable u : R
Single First-Order Quasi-Linear PDE
Example (cont.)
I and with boundary condition
a(t, x) := (1, 1)
Example (cont.)
I Let (t0 , x0 ) . Then the maximal characteristic path
such that (0) = (t0 , x0 ) satisfies
0 ( ) = (1, 1)
( ) = ( + t0 , + x0 )
Example (cont.)
I In particular, C 1 (I, R2 ).
I Note that the continuous extension of to I assumes a
point in the boundary of
I and that, naturally, the continuous extensions of 0 to I \ I
coincides with the value (1, 1)
I of the continuous extension of the characteristic vector
field to the boundary of .
Single First-Order Quasi-Linear PDE
Example (cont.)
I In particular, is ingoing, outgoing at the boundary
I in the sense that the projection of the last extension onto
the inner normal to the boundary,
I (0, 1), is < 0 and > 0, respectively.
I Further, the equation (5.12) is equivalent to
v=0,
t x
Example (cont.)
I Hence
eqx u(t, x) = eq(xt) u(0, x t)
for all (t, x)
I and therefore
u(t, x) = eqt u(0, x t) (5.14)
for all (t, x) .
Single First-Order Quasi-Linear PDE
Example (cont.)
I Hence for the ingoing case, corresponding to the plus
sign in (5.12),
I the boundary condition (5.13) allows only for the trivial
solution
u(t, x) = 0
for all (t, x) and t > 0.
Single First-Order Quasi-Linear PDE
Example (cont.)
I Whereas for the outgoing case, corresponding to the
minus sign in (5.12),
I such solutions are given by
I where (
f (x) := 0 for x 6 0
f (x) for x > 0
I and f is some differentiable function on (0, ) satisfying
u u
= +qu
t x
on := R2
I for differentiable u : R and initial conditions
u(0, x) = f (x) ,
x R,
I where f : R R is differentiable.
Single First-Order Quasi-Linear PDE
Example (cont.)
I Using the characteristic method, the solution of this initial
value problem is found to be
u(t, x) = eqt f (x + t)
for (t, x) R2 .
Single First-Order Quasi-Linear PDE
Find the differentiable function u that satisfies the given conditions. If
applicable, f : R R and g : R2 R are differentiable.
u u
a) y (x, y) + x (x, y) = 0 , (x, y) R2 \((, 0] {0}) ,
x y
u(x, 0) = x for x > 0 ,
u u
b) xy (x, y) y2 (x, y) + 2(x + y) = 0 , (x, y) R (0, ) ,
x y
u(x, 1) = f (x) for x R ,
u 1 u 5y
c) sin(y) (x, y) + (x, y) + 3ye u(x, y) = 0 ,
x cos2 (x) y
(x, y) (/2, /2) R , u(x, 0) = f (x) for x (/2, /2) ,
Single First-Order Quasi-Linear PDE
u u
d) cos(y) (x, y) + 2u + cos(x) (x, y) cos(y) = 0 ,
x y
(x, y) (/6, /6)2 , u(0, y) = f (y) for y (/6, /6) ,
u u u
e) (t, x, y) + x (t, x, y) + y (t, x, y) = 0 , (t, x, y) R3 ,
t x y
u(0, x, y) = sin (x + y) for (x, y) R2 ,
2
u u u
f) z (x, y, z) z (x, y, z) x (x, y, z) = 2y , (x, y, z) (0, ) R2 ,
x y z
u(x, y, 0) = g(x, y) for (x, y) (0, ) R ,
u u u
g) (x, y, z) + (x, y, z) + (x, y, z) 3u(x, y, z) = ex+y ,
x y z
(x, y, z) R3 , u(x, y, 0) = g(x, y) for (x, y) R2 .
Single First-Order Quasi-Linear PDE
I We have seen that, in general, the explicit knowledge of the
characteristics of (5.4),
n
X u
ak + bu = , (5.16)
k=0
xk
is necessary
I for the task of deciding whether a boundary value problem
has a solution.
I In general, it is not possible to obtain such knowledge.
I The following will lead to a simpler necessary criterion for
that task.
I This will lead on the concept of characteristic and
non-characteristic surfaces
I which will also turn out important later for second order
PDE.
Single First-Order Quasi-Linear PDE
For instance,
2u
x02
n n
X (ak /a0 ) u X ak 2 u (b/a0 ) b u (/a0 )
= u +
x0 xk a0 x0 xk x0 a0 x0 x0
k=1 k=1
n n
X (ak /a0 ) u X ak 2 u (b/a0 ) b u (/a0 )
= u + .
x0 xk a0 xk x0 x0 a0 x0 x0
k=1 k=1
Single First-Order Quasi-Linear PDE
Example (cont.)
I For u, we make the following ansatz
N
X 1
u(t, x) = an (x) t n ,
n=0
n!
Example (cont.)
I Using (5.19), it follows that
nu nu (n)
an (x) = n
(0, x) = n
(0, x) = a0 (x)
t x
for every n {1, . . . , N}.
I Hence
N
X 1 (n)
u(t, x) = a0 (x) t n ,
n=0
n!
for all t R and x (a, b).
Single First-Order Quasi-Linear PDE
Example (cont.)
I Substitution of the latter into (5.18) leads to the equation
N N1
u X 1 (n)
X 1 (n+1)
(t, x) = a0 (x) t n1 = a0 (x) t n
t n=1
(n 1)! n=0
n!
N
u X 1 (n+1)
= (t, x) = a0 (x) t n
x n=0
n!
Example (cont.)
I Hence if p : (a, b) R is a polynomial of an order that is
less or equal to N,
I then
N
X 1 (n)
u(t, x) := p (x) t n ,
n=0
n!
for all t R, x (a, b),
I where p(0) := p, is the unique solution of (5.18) in our set
of ansatz functions that satisfies u(0, ) = p.
Single First-Order Quasi-Linear PDE
Example (cont.)
I We note that u defines a polynomial on R2 which is a
particular case of a Taylor series in two variables.
I Indeed, the use of Taylor series in several variables lead to
the first general theorem on the well-posedness of initial
value problems for PDE,
I the Cauchy-Kowalevski theorem.
I Unfortunately, this theorem is usually too narrow for
applications
I since considering only real-analytic solutions
corresponding to real-analytic data.
I For a discussion of this theorem, see, e.g., [12].
Single First-Order Quasi-Linear PDE
0.8
0.6
0.4
0.2
0.0
Example 10
(Nonuniqueness of solutions, I)
I We consider the PDE
u 1 u
(t, x) = (t, x) , (5.20)
t 2x x
for every (t, x) ,
I where = R (0, ) and u : R is assumed
differentiable.
Single First-Order Quasi-Linear PDE
Example (cont.)
I The maximal characteristic path meeting (t, x) at
parameter time 0 is given by
( ) = ( + t, + x 2 )
for every (x 2 , ).
I This path meets the initial surface {0} (0, ) if and only
if t < x 2 .
I Hence this surface is no suitable data surface.
Single First-Order Quasi-Linear PDE
Example (cont.)
I We note that for every differentiable f : R R,
I the corresponding uf : R defined by
uf (t, x) := f (t x 2 )
Example (cont.)
I For instance, functions f of this type are given by
fa : R R defined by
(
0 if x 6= 0
fa (x) :=
ax 2 if x > 0 .
t 0
-1
-2
-3
-3 -2 -1 0 1 2 3
x
u x 3 u
(t, x) (t, x) = 0 , (5.21)
t 2 x
for every (t, x) R2 and differentiable u : R2 R.
I The maximal characteristic path meeting (t, x) at
parameter time 0 is given by
( ) = ( + t, x/ 1 + x 2 )
for every R if x = 0
I and (1/x 2 , ) if x 6= 0.
Single First-Order Quasi-Linear PDE
Example (cont.)
I For the cases that x 6= 0, this path meets the initial surface
{0} R if and only if t < 1/x 2 .
I Hence this surface is no suitable data surface.
I We note that for every differentiable f : R R with
compact support,
I the corresponding uf : R defined by
uf (t, x) := f (t (1/x 2 ))
Example (cont.)
I In particular, if f is such that f (x) = 0 for every
x (, 0],
I then uf (0, x) = 0 for every x R.
I Hence there is no unique solution of (5.21) corresponding
to differentiable data on R.
I We note that, if u is a solution of (5.21),
I then v : R (0, ) R defined by v(t, x) := u(t, 1/x)
for (t, x) R (0, ) is a solution of (5.20).
Single First-Order Quasi-Linear PDE
Example (cont.)
I This connection between the solutions of (5.20) and (5.21)
suggests that,
I in addition to data given on a surface {t0 } R, t0 R,
I also data at spacial infinity is needed for a unique
characterization of a solution to (5.21).
I However, the following theorem confirms that the above
expectation is true under certain assumptions on the
coefficients.
Single First-Order Quasi-Linear PDE
Theorem 5.5
I Let n R , a1 , . . . , an C 1 (Rn , R) which together with all
their partial derivatives are bounded functions.
I In addition, let b C(Rn , R) be bounded and t0 R.
I Then to every u0 W 1 (Rn ) there corresponds a uniquely
determined u : R W 1 (Rn ) satisfying
n
!
X
u 0 (t) = ak u(t) b u(t)
k=1
xk
Theorem (cont.)
I Here W 1 (Rn ) is the Sobolev space consisting of all
elements of L 2 (Rn ), the space of square integrable
functions on Rn , that posses square integrable weak first
derivatives.
I The derivatives /x1 , . . . , /xk denote weak derivatives
I and 0 denotes the ordinary derivative for L 2 (Rn )-valued
maps.
Single First-Order Quasi-Linear PDE
Proof.
The proof of the statement uses more advanced methods from
functional analysis and will not be given here. The statement
follows, for instance, from Theorem 6.30, Corollary 6.31 in [3]
for autonomous Hermitian hyperbolic systems. For similar
statements for non-autonomous Hermitian and quasi-linear
hyperbolic systems see Theorem 11.8, Remark 11.9 and
Theorem 13.6 in [3].
Single First-Order Quasi-Linear PDE
S := {x : f (x) = 0} .
I Here the dot denotes the Euclidean scalar product for Rn+1 .
Single First-Order Quasi-Linear PDE
I Note that
a(x) (x)
a(x) (x) (u)(x)
|(x)|2
20
For instance, x0 = c for some constant c R is such surface if a0 (x) 6= 0
for all x .
Single First-Order Quasi-Linear PDE
(x) a(x) = 0
for all x S. Note that the latter implies that a|S is tangential to
S and hence that S contains characteristic curves.
Single First-Order Quasi-Linear PDE
For each of the following differential equations, decide whether
the given surfaces are characteristic or non-characteristic.
u u
a) y (x, y) + x (x, y) = 0 , (x, y) R2 ,
x y
1
S1 := S , S2 := R {0} , S3 := (0, ) {0} ,
u u
b) xy (x, y) y2 (x, y) + 2(x + y) = 0 , (x, y) R2 ,
x y
1
S1 := S , S2 := {(x, y) R2 : xy = 1} , S3 := R {1} ,
u 1 u 5y
c) sin(y) (x, y) + (x, y) + 3ye u(x, y) = 0 ,
x cos2 (x) y
(x, y) (/2, /2) R , S1 := (/2, /2) {0} ,
S2 := {(x, y) (/2, /2) R : tan(x) + cos(y) = 1} ,
S3 := {0} R ,
Single First-Order Quasi-Linear PDE
u u
d) cos(y) (x, y) + 2u + cos(x) (x, y) cos(y) = 0 ,
x y
(x, y) R2 , S1 := (/2, /2) {0} , S2 := R {/2} ,
S3 := {(x, y) R2 : sin(y) sin(x) = 1/2} ,
u u u
e) (t, x, y) + x (t, x, y) + y (t, x, y) = 0 , (t, x, y) R3 ,
t x y
2 2
S1 := {0} R , S2 := R {0} ,
S3 := {(t, x, y) R3 : x + y = et } ,
Single First-Order Quasi-Linear PDE
u u u
f) z (x, y, z) z (x, y, z) x (x, y, z) = 2y ,
x y z
3 2
(x, y, z) R , S1 := {0} R , S2 := (0, ) R {0} ,
u u u
g) (x, y, z) + (x, y, z) + (x, y, z) 3u(x, y, z) = ex+y ,
x y z
(x, y, z) R , S1 := {(x, y, z) R3 : x + y = z} ,
3
S2 := R2 {0} , S3 := {(x, y, z) R3 : x + y 2z = 0} .
Single First-Order Quasi-Linear PDE
Figure 12: Sketch of the region [0, T ] S in Lemma 5.7 for the case
S = U1 (0) R2 .
Single First-Order Quasi-Linear PDE
Lemma 5.7
Let n {1, 2, 3}, be an open subset of Rn+1 , T > 0 and S a
nonempty bounded open subset of Rn to which Gauss theorem
is applicable and such that [0, T ] S . Further, let
q C 1 (, Rn+1 ) and , > 0 such that
(i) (div q)(t, x) 6 q0 (t, x)/(t + ) for all (t, x) (0, T ) S,
(ii) (q1 (t, x), . . . , qn (t, x)) (x) > 0 for all
(t, x) (0, T ) S, where : S Rn is the outer unit
normal field of S.
Then
Z Z
n t
q0 (t, )dv 6 1 + q0 (0, )dvn (5.22)
S S
Proof.
I For this, we define E : [0, T ] R by
Z
E(t) := q0 (t, )dvn
S
Proof (cont.).
I we conclude that
Z Z
q0
0= (t, )dv + div(q1 (t, ), . . . , qn (t, ))dvn
n
SZ t S
Proof (cont.).
I Hence it follows by application of the fundamental
theorem of calculus that
Z t Z
n
E(t) 6 E(0) + (div q)(s, )dv ds
0 S
Z t Z
q0 (s, ) n
6 E(0) + dv ds
0 S s+
Z t
E(s)
= E(0) + ds
0 s+
Proof (cont.).
I By introduction of the auxiliary function G : [0, T ] R
defined by Z t
E(s)
G(t) := ds
0 s+
(5.23)
Single First-Order Quasi-Linear PDE
Proof (cont.).
I and hence that
0
(idR + ) G (t) 6 E(0)(t + )(+1)
Proof (cont.).
I and hence that
E(0)
(t + ) 1
G(t) 6
for all t [0, T ].
I Finally, from (5.23), we conclude that
(t + )
Z Z
n
a(t, )dv 6 q0 (0, )dvn
U h(t) S
Corollary (cont.)
Further, if in addition,
Z Z
n
q0 (0, )dv 6 C a0 (0, )dvn
S U
Remark 5.8.1
I Usually, the previous lemma is applied to a PDE by
multiplication of the equation with a suitable function
(multiplier) of the unknown function
I such that the principal part of the resulting equation is
contained in a term of the form div q
I for some vector field q whose zeroth (time) component is
strictly positive.
Single First-Order Quasi-Linear PDE
Remark (cont.)
I In such a case, the zeroth component is called an energy
density,
I although in general not related to a physical energy
associated with the unknown function,
I and (5.22) can be used to show uniqueness of the solution
to the initial value problem for the original PDE
I and data that are prescribed on surfaces of constant time
(see, e.g., Theorem 5.9).
Single First-Order Quasi-Linear PDE
Remark (cont.)
I Further, Corollary 5.8 can be used to show decay in time of
functions of the unknown function (see, e.g., Example 12).
I Note that in this the existence of a solution of the original
equation is assumed.
I For this reason, in this case, the estimates provided by
Lemma 5.7 and Corollary 5.8 are called a priori estimates.
I Such estimates will also play an important in the study of
elliptic partial differential equations (see Theorem 7.43).
Single First-Order Quasi-Linear PDE
Theorem 5.9
Let n {1, 2, 3}, T > 0, S a nonempty bounded open subset of
Rn to which Gauss theorem is applicable and be an open
subset of Rn+1 containing [0, T ] S. In addition, let
a1 , . . . , an C 1 (, R), b, C(, R) such that
n n
u X u v X v
+ ak + bu = + ak + bv = ,
x0 k=1 xk x0 k=1 xk
or
u(t, x) = v(t, x) = 0
is satisfied for all (t, x) of (0, T ) S, where : S Rn is
the outer unit normal field of S, and u|{0}S = v|{0}S . Then
u|[0,T ]S = v|[0,T ]S .
Single First-Order Quasi-Linear PDE
Proof.
We define w := u v. Then
n
w X w
= ak bw
x0 k=1
xk
and hence
n
w2 X w2
= ak 2b w2
x0 k=1
xk
n n
!
X ak w 2 X ak
= + 2b w2 .
k=1
xk k=1
xk
Single First-Order Quasi-Linear PDE
Proof (cont.).
As a consequence,
(div q)(t, x) 6 0
for all (t, x) (0, T ) S, where
q := (w2 , a1 w2 , . . . , an w2 ) .
Remark 5.9.1
Note that if u : R satisfies
n
u X u
+ ak + bu = ,
x0 k=1 xk
Remark (cont.)
Hence the the statement of Theorem 5.9 is still true if (5.24) is
replaced by the condition that the function
Example 12
We consider the equation
u u
+ =0
t x
on the open right half-plane := R (0, ) for continuously
differentiable u : R and with boundary condition
lim u(t, x) = 0
x0
Example (cont.)
Solutions are given by
u(t, x) = f (x t)
Example (cont.)
Note that for every x > 0, all these solutions vanish in points
(t, x) for which t > x. Also note that for every such f , the
corresponding u : R2 R defined by u(t, x) = f (x t) for
every (t, x) R2 is a continuously differentiable function
satisfying
u u
+ =0 (5.25)
t x
and u(0, x) = f (x) for x R.
Single First-Order Quasi-Linear PDE
Example (cont.)
In the following, we try to use Corollary 5.8 to describe this
decay of the solutions for large times, but without the use of the
explicit knowledge of the solutions. For this, let n N . Then
2n u u q0 q1
0 = 2(t x) u(t, x) + (t, x) = + (t, x)
t x t x
(5.26)
for every (t, x) R2 , where
Example (cont.)
Hence it follows by Lemma 5.8 for every a > 0, > 0, > 0,
and t > a that
Z a Z a
2n 2
(t a) u (t, x)dx 6 (t x)2n u2 (t, x)dx
0 0
Z a Z a
2n 2 2n
6 (t + ) x u (0, x)dx 6 (t + ) a u2 (0, x)dx
0 0
Example (cont.)
This implies that Z a
u2 (t, x)dx = 0
0
for t > a and hence that u(t, x) = 0 for x (0, a] and t > a.
Finally, we conclude that u(t, x) = 0 for x (0, ) and t > x.
(u ) 0 ( ) = (u)(( )) 0 ( )
= (u)(( )) a(( ), (u )( ))
n
X u
= ak (( ), (u )( )) (( )) ,
k=0
x k
22
i.e., the set {( ) : I}
Single First-Order Quasi-Linear PDE
for every I.
I This is an ordinary differential equation of the first order
for u .
I Differently to the case of the linear PDE, in general, this
equation is in general non-linear.
Single First-Order Quasi-Linear PDE
I Hence we arrive at the following system of ordinary
differential equations for (, u ):
0 ( ) = a(( ), u ( )) , u0 ( ) = (( ), u ( )) (5.29)
0.5
y 0.0
-0.5
-1.0
-3 -2 -1 0 1 2 3
x
Example 13
In the following, we find the solution u : R2 R to the
semi-linear equation
u u
+ + u2 = 0 (5.30)
x y
Example (cont.)
I For this, let (x, y) R2 .
I The maximal characteristic path satisfying (0) = (x, y)
is given by ( ) = ( + x, + y) for every R.
I This path intersects the data surface R {0} at time
= y.
I In this special case, the right equation in (5.29) is given by
(u ) 0 ( ) = (u )2 ( ) .
Single First-Order Quasi-Linear PDE
Example (cont.)
I The solution of this equation satisfying the initial condition
(u )(y) = f (x y)
is given by
f (x y)
(u )( ) = ,
f (x y)( + y) + 1
Single First-Order Quasi-Linear PDE
Example (cont.)
I where
(
R \ {(y + [f (x y)]1 )} if f (x y) 6= 0
I :=
R if f (x y) = 0 .
y + [f (x y)]1 = 0 , (5.31)
0/ I.
I As a consequence, in this case, there is no C 1 -solution u of
(5.30) on R2 that satisfies u(x, 0) = f (x) for every x R.
Single First-Order Quasi-Linear PDE
Example (cont.)
I In the remaining cases, we conclude that
f (x y)
u(x, y) = (u )(0) = .
1 + yf (x y)
I Since for every not identically vanishing f there is
(x, y) R2 satisfying (5.31),
I we conclude that the only C 1 -solution u of (5.30) on R2 is
given by u(x, y) = 0 for all (x, y) R2 .
Single First-Order Quasi-Linear PDE
Example (cont.)
I On the other hand, there is a differentiable solution u of
(5.30) on defined by
f (x y)
u(x, y) :=
1 + yf (x y)
:= R2 \ {(x, y) R2 : 1 + yf (x y) = 0} .
Single First-Order Quasi-Linear PDE
Example 14
In the following, we find a continuously differentiable
u : R, where := (0, ) R, satisfying
u u
u(x, y) (x, y) + x (x, y) = x
x y
u(x, 0) = 3x
for x > 0.
Single First-Order Quasi-Linear PDE
Example (cont.)
I As consequence, a and from (5.27) are given by
Example (cont.)
I In this case, the system (5.29) for the characteristic path
: I through (x, y), satisfying ( ) = (x, y) for a to
be determined R,
I and u := u is given by
for every s I,
I where j denotes the composition of the j-th coordinate
projection of R2 and .
Single First-Order Quasi-Linear PDE
Example (cont.)
I The solutions of this system are given by
Example (cont.)
I Following the previous procedure, we arrive at the
following system of equations
for a, b, c, R.
I Hence a and satisfy
Example (cont.)
I As a consequence,
I and therefore
a2 6ay x 2 y2 = 0 .
Example (cont.)
I Hence it follows that
(x, y) R.
I Indeed, this is the case. If v is a differentiable solution of
(5.32)
I and u : R is a differentiable function such that
v(x, u(x)) = c
for every x .
Single First-Order Quasi-Linear PDE
I If
v
(x, u(x)) 6= 0 ,
xn+1
for every x ,
I the latter implies that u satisfies (5.27).
I We also note that the level surface v1 (c) is a characteristic
surface of (5.32) if (v)(x, y) 6= 0 for every
(x, y) v1 (c).
I Hence we proved the following
Single First-Order Quasi-Linear PDE
Lemma 5.10
Let v : R R be a differentiable solution of the linear
equation
n
X v v
ak (x, y) (x, y) + (x, y) (x, y) = 0 , (5.33)
k=0
xk xn+1
Lemma (cont.)
(i) v1 (c) is a characteristic surface of (5.33) if (v)(x, y) 6= 0
for every (x, y) v1 (c) ,
(ii) u satisfies the non-linear equation
n
X u
ak (x, u(x)) (x) = (x, u(x))
k=0
xk
Remark 5.10.1
Note that if in addition u is required to satisfy the initial
conditions
u(x) = f (x)
for every x S, where S and f : S R is a given function,
then v needs to satisfy
v(x, f (x)) = c
for every x S.
Single First-Order Quasi-Linear PDE
Proof.
According to the chain rule for vector-valued functions in
several variables, v is differentiable such that
m
v X f vj
(x) = (v0 (x), . . . , vm (x)) (x)
xk j=0
xj xk
Proof (cont.).
Hence it follows that
n+1 n+1
" m
#
X v X X f vj
ak (x) (x) = ak (x) (v0 (x), . . . , vm (x)) (x)
k=0
xk k=0 j=0
xj xk
m
" n+1 #
X f X vj
= (v0 (x), . . . , vm (x)) ak (x) (x) = 0 ,
j=0
x j
k=0
x k
where
an+1 (x, y) := (x, y)
for every (x, y) R.
Single First-Order Quasi-Linear PDE
The following gives an example for the application of the
Lemmata 5.10, 5.11.
1.0
0.5
y 0.0
-0.5
-1.0
-1.0 -0.5 0.0 0.5 1.0
x
Figure 14: Graph and contour plot of u from Example 15. In the
contour plot, relatively darker colors refer to relatively smaller
function values.
Single First-Order Quasi-Linear PDE
Example 15
In the following, we find a differentiable u : R, where
:= (0, ) R, satisfying
u u
u(x, y) (x, y) x (x, y) = x
x y
u(x, 0) = 2x
for x > 0.
Single First-Order Quasi-Linear PDE
Example (cont.)
For this, we consider differentiable v : R R satisfying
the linear equation
v v v
z (x, y, z) x (x, y, z) + x (x, y, z) = 0 (5.34)
x y z
v0 (x, y, z) = x 2 z2 , v1 (x, y, z) = y + z
Example (cont.)
According to Lemma 5.11, for every differentiable f : R2 R,
v : R R defined by
Example (cont.)
In the following, we find one such f satisfying
Example (cont.)
The associated solution v : R R of (5.34) is given by
3
v(x, y, z) = f (v0 (x, y, z), v1 (x, y, z)) = x 2 z2 + (y + z)2
4
1 3 3
= z2 + yz + x 2 + y2
4 2 4
for every (x, y, z) R.
Single First-Order Quasi-Linear PDE
Example (cont.)
By solving the equation
v(x, y, z) = 0 ,
v p
(x, y, u(x, y)) = x 2 + 3y2 6= 0
z
for all (x, y) .
Single First-Order Quasi-Linear PDE
24
The following equation is also referred to as Inviscid Burgers equation.
Single First-Order Quasi-Linear PDE
In this case, a and from (5.27) are given by
0 ( ) = (1, (u )( )) , (u ) 0 ( ) = 0
0 ( ) = + 0 (0) , (u )( ) = (u )(0) ,
1 ( ) = (u )(0) + 1 (0) . (5.36)
25
In this case, those paths are particle paths of fluid elements in the fluid
flow.
Single First-Order Quasi-Linear PDE
( ) = (t, x) , 0 (0) = 0 .
Single First-Order Quasi-Linear PDE
for all t, x R.
Single First-Order Quasi-Linear PDE
which leads to
u u
+u (t, x) = 0 .
t x
Single First-Order Quasi-Linear PDE
1 + t u00 (x u(t, x) t) 6= 0 .
u00 (x u(t, x) t) = 0
u(0, x) = x
u (t, x) = [ x u (t, x) t ]
and hence
x
u (t, x) =
t1
for all
(t, x) := ( R \ {1} ) R .
Single First-Order Quasi-Linear PDE
Indeed, u C 1 ( , R) and
u u x x 1
+ u (t, x) = + =0
t x (t 1)2 t 1 t 1
( ) = (, x (1 ))
for every I.
Single First-Order Quasi-Linear PDE
t =1
x
- 10 -6 -2 0 2 6 10
( ) = (, x (1 ))
x x0
t :=
u(0, x) u(0, x 0 )
if
u(0, x) < u(0, x 0 ) ,
that is, if the speed u(0, x 0 ) of the fluid element starting from
x 0 < x at time 0 is larger than the speed of the fluid element
starting from x at time 0. Then the former fluid element will
overtake the latter fluid element.
Single First-Order Quasi-Linear PDE
GHL
t2
R1
R2
t1 R
x
Ht 1L Ht 2L
S 0 (x) = x R 0 (x)
26
For instance, R(x) := x and S(x) := x 2 /2 for all x R.
Single First-Order Quasi-Linear PDE
Then
(R u) (S u) u u
+ = (R 0 u) + (S 0 u)
t x t
x
u u
= (R 0 u) +u =0
t x
In addition, we define
[ [
R1 := ( {t} [(t1 ), (t)] ) , R2 := ( {t} [(t), (t2 )] ) .
t[t1 ,t2 ] t[t1 ,t2 ]
27
Note that in Fig 16 the convention is used that the first coordinate is
marked on the vertical axis, whereas the second coordinate is marked on the
horizontal axis.
Single First-Order Quasi-Linear PDE
Z
(R u) + (S u) dtdx
R t x
2 Z
X
= (R u) + (S u) dtdx
i=1 Ri
t x
2 Z
X [(R u)] [(S u)] (R u) (S u)
= + +
i=1 Ri
t x t x
2
[(R u)] [(S u)]
X Z
= + dtdx
i=1 Ri
t x
X2 Z
= ((S u), (R u)) d(t, x)
i=1 Ri
Single First-Order Quasi-Linear PDE
Z t2
= (t, (t)) [S(u (t, (t))) R(u (t, (t))) 0 (t)] dt
t
Z t12
+ (t, (t)) [S(u+ (t, (t))) R(u+ (t, (t))) 0 (t)] dt
t1
x
-4 -2 0
Example 16
Decide whether
(
23 t + 3x + t 2 for 4x + t 2 > 0
u(t, x) :=
0 for 4x + t 2 < 0
Example (cont.)
Solution:
I First, we notice that it follows for every (t, x) R2 that
4x + t 2 > 0 implies that x > t 2 /4
I and hence that 3x + t 2 > t 2 /4.
I As a consequence, u is well-defined.
Single First-Order Quasi-Linear PDE
Example (cont.)
I Obviously, u C 1 (, R) and
u u 2 t
+u (t, x) = 1+
t x 3 3x + t 2
2 2 3
(t + 3x + t 2 )
3 3 2 3x + t 2
2 t t
= 1+ 1 =0
3 3x + t 2 3x + t 2
Example (cont.)
I In addition,
t 1
(t)2
= 0 (t) = 2
2 t
for t > 0.
I Hence u also satisfies the shock condition (5.40)
I and is a weak solution of (5.35) on .
I Note that also u has the unphysical feature that u(t, ) is
unbounded for all t > 0.
Single First-Order Quasi-Linear PDE
2b
u(0, x) =
x2 + a2
for all x R, where a > 0, b R .
Single First-Order Quasi-Linear PDE
Example (cont.)
Solution:
I Such a solution is given by a solution of the implicit
equation
2b
u= . (5.41)
(x ut)2 + a2
I Here for simplicity of notation, the symbol u is used
instead of u(t, x).
I The introduction of v := ut x leads for t 6= 0 on
v+x 2b
= 2
t v + a2
Single First-Order Quasi-Linear PDE
Example (cont.)
I which is equivalent to the cubic equation
0 = v3 + xv2 + a2 v + a2 x 2bt
x 3 x 2 x
= w +x w + a2 w + a2 x 2bt
3 3 3
3 2 x2 x3 2 2x 2 x3
= w xw + w + xw w + + a2 w
3 27 3 9
2a2
+ x 2bt
3
1 2 3
= w3 + (3a2 x 2 )w + (x + 9a2 x 27bt)
3 27
= w3 + 3pw + 2q , (5.43)
Single First-Order Quasi-Linear PDE
Example (cont.)
I where
1 1 3
p := (3a2 x 2 ) , q := (x + 9a2 x 27bt) .
9 27
I According to Cardanos formulas, a solution of the last
cubic equation is given by
p 1/3 p 1/3
w = q + q2 + p3 + q q2 + p3 .
Single First-Order Quasi-Linear PDE
Example (cont.)
I w is real if
( a/ 3 )3
|t| 6 (5.44)
|b|
since q2 + p3 is positive for these cases.
I The last can be seen as follows. First,
for
|x| 6 a 3 .
Single First-Order Quasi-Linear PDE
Example (cont.)
I Further,
Example (cont.)
I In the following,
we consider the cases t 6= 0 and
|x| > a 3.
I Then
where s := x/t.
Single First-Order Quasi-Linear PDE
Example (cont.)
I Hence q2 + p3 > 0 if |s| > 9|b|/a2 or equivalently if
9|b|
|x| > |t| .
a2
I Hence q2 + p3 > 0 if (5.44) is satisfied.
I Hence it follows that u : \ ({0} R) R,
I where " #
( a/ 3 )3 ( a/ 3 )3
:= , R ,
|b| |b|
Single First-Order Quasi-Linear PDE
Example (cont.)
I defined by
1
u(t, x) := 2x (5.45)
3t
h p i1/3
+ (x 3 + 9a2 x 27bt) + (x 3 + 9a2 x 27bt)2 + (3a2 x 2 )3
h p i1/3
3 2 3 2 2 2 2 3
+ (x + 9a x 27bt) (x + 9a x 27bt) + (3a x )
Example (cont.)
I Further, it is not difficult to see that
lim tu(t, x) = 0
t0
for every x R.
I Hence it follows by (5.41) that u has a continuous extension
to {0} R given by (R R, x 7 2b/(x 2 + a2 )).
I In particular, it follows that this continuous extension is a
weak solution of (5.35) on .
Single First-Order Quasi-Linear PDE
1)
u u
d) (t, x) + u(t, x) (x, y) = 1 , (t, x) (2, 2) (1, ) ,
t x
u(0, x) = x for x (1, ) ,
u u
e) (t, x) + u(t, x) (x, y) = x , (t, x) R2 , u(0, x) = 1 for x R ,
t y
u u
f) (t, x) + u(t, x) (x, y) = x , (t, x) (/2, /2) R ,
t y
u(0, x) = 1 for x R ,
u u
g) (t, x) + u(t, x) (x, y) = u3 (x, y) , (t, x) (0, ) R ,
t y
u(0, x) = 1/x for x > 0 .
Single First-Order Quasi-Linear PDE
and n
X g
( )g := k
k=0
xk
for every differentiable g : R.
First-Order Quasi-Linear Systems of PDE
I It follows that
n n
X u X
Ak (x, u(x)) (x) = Ak (x, u(x)) [(ek )u](x)
k=0
xk k=0
n
X k k
= Ak (x, u(x)) ek 2 + 2 u (x)
k=0
|| ||
n
!
1 X
= k (x).Ak (x, u(x)) [( )u](x)
|(x)|2 k=0
n
X
+ Ak (x, u(x)) [(ek ) u] (x)
k=0
for every x S,
I where
k
ek := ek
||2
for every k {0, . . . , n}.
First-Order Quasi-Linear Systems of PDE
I Note that ek (x) is tangential to S in x and hence that
[(ek ) u] (x)
is a derivative tangential to S
I which can be calculated alone from data for u given on S.
I Hence (6.1) is everywhere on S solvable for ( )u if and
only if !
Xn
det k (x).Ak (x, u(x)) 6= 0
k=0
for all x S.
I In this case, we say that S is non-characteristic for u.
I and, by help of (6.1),
I the derivative of u in every point of S into the normal
direction of S can be calculated from the knowledge of the
values of u on S.
First-Order Quasi-Linear Systems of PDE
for all x S,
I we say that S is characteristic for u.
First-Order Quasi-Linear Systems of PDE
for all x S.
(ii) S is characteristic for u if
n
!
X
det k (x).Ak (x, u(x)) =0
k=0
for all x S.
First-Order Quasi-Linear Systems of PDE
Example (cont.)
I As a consequence, such (u, v) satisfies
2u 2v 2v 2u
= = = 2 ,
x 2 xy yx y
2 2 2
v u u 2v
= = =
x 2 xy yx y2
I and hence
2u 2u 2v 2v
+ = + =0.
x 2 y2 x 2 y2
First-Order Quasi-Linear Systems of PDE
Example (cont.)
I Generally, the initial value problem for the last equations is
not well-posed.
I Later, this will be indicated in the Example 31 by
Hadamard.
First-Order Quasi-Linear Systems of PDE
28
i.e., parametrizations of such curves
First-Order Quasi-Linear Systems of PDE
I For this, we assume that there is a characteristic regular
C 1 -hypersurface S for (6.1) with normal field
: S Rn \ {0}.
I Further, let : I S be differentiable, where I is a
non-trivial open interval of R.
I Then
ek (( )) 0 ( ) = ek (( )) 0 ( ) = k0 ( )
for all x S.
First-Order Quasi-Linear Systems of PDE
I Note that
n
!
X
det k (x).Ak (x, u(x))
k=0
n
!
X
= det k (x).Ak (x, u(x)) =0
k=0
for every x S.
First-Order Quasi-Linear Systems of PDE
I Hence such w exists. Then
n
X u
w(x) Ak (x, u(x)) (x)
xk
k=0
n
!
1 X
= w(x) k (x).Ak (x, u(x)) [( )u](x)
|(x)|2
k=0
n
X
+ w(x) Ak (x, u(x)) [(ek ) u] (x)
k=0
" n
! #
1 X
= k (x).Ak (x, u(x)) w(x) [( )u](x)
|(x)|2
k=0
n
X
+ w(x) Ak (x, u(x)) (ek ) u
k=0
n
X
= w(x) Ak (x, u(x)) [(ek ) u] (x)
k=0
for every x S.
First-Order Quasi-Linear Systems of PDE
0 ( ) ek (( )) 0 k0 ( ) 0
ek (( )) = ( ) = ( ) ,
| 0 ( )|2 | 0 ( )|2
1
X u
[(ek ) u] (( )) = [ek (( ))]i (( ))
i=0
xi
1
k0 ( ) X 0 u k0 ( )
= 0 ( ) (( )) = (u )0 ( )
| ( )|2 i=0 i xi | 0 ( )|2
for k = 0, 1.
First-Order Quasi-Linear Systems of PDE
for every t I.
First-Order Quasi-Linear Systems of PDE
Theorem 6.2
Let n {1, 2, 3}, p N \ {0, 1}, T > 0, S a nonempty bounded
open subset of Rn to which Gauss theorem is applicable and
be an open subset of Rn+1 containing [0, T ] S. In addition, let
A1 , . . . , An C 1 (, M(p p, R)) with values in the subspace of
symmetric matrices, B C(, M(p p, R)), C(, Rp )
such that for every (t, x) (0, T ) S the corresponding
symmetric matrix
n
X Ak
B(t, x) + (B(t, x)) (t, x) (6.6)
k=1
xk
is in particular positive.
First-Order Quasi-Linear Systems of PDE
Theorem (cont.)
Finally, let u, v C 1 (, Rp ) such that
n n
u X u v X v
+ Ak +Bu = + Ak +Bv = ,
x0 k=1 xk x0 k=1 xk
Theorem (cont.)
where P(t,x) is the orthogonal projection onto the span of
eigenvectors of
Xn
k (x)Ak (t, x)
k=1
and hence
n
w X w
0 = 2 hw| i+ 2 hw|Ak i + 2 hw|B wi
x0 xk
k=1
n n
hw|wi X hw|Ak wi AkX
= + wi + hw|B wi + hw|B wi
hw|
x0 xk xk
k=1 k=1
n n
!
hw|wi X hw|Ak wi
X Ak
= + + hw| B + B wi .
x0 xk xk
k=1 k=1
First-Order Quasi-Linear Systems of PDE
Proof (cont.).
As a consequence,
(div q)(t, x) 6 0
for all (t, x) (0, T ) S, where
Proof (cont.).
Hence according to Lemma 5.7
Z
hw|wi dvn 6 0
S
Remark (cont.)
Hence the statement of Theorem 5.9 is still true if (5.24) is
replaced by the condition that there is R such that the
symmetric matrix
n
X Ak
B(t, x) + (B(t, x)) (t, x) + E
k=1
xk
I Then
n
u X u
0 =h |vi + hAk |vi + hB u|vi
x0 k=1
x k
n
v X v
+ hu| i+ hu|Ak i + hu|B vi
x0 k=1
xk
n n
hu|vi X hu|Ak vi X Ak
= + + hu|(B + B ) vi ,
x0 k=1
xk k=1
xk
I where
I In particular, if S : C 1 (, Rp ) C 1 (, Rp ) is a symmetry
transformation associated with the system,
I i.e., a map that transforms solutions of the system into
solutions,
I then q(u, Su) is a candidate for the application of
Lemma 5.7.
First-Order Quasi-Linear Systems of PDE
I and hence
0 + 1 (u c) = 0 .
I Therefore, the integral curves of
(1, u c)
+ -
x x x
u = F (6.13)
if
2c0 (1)/2
F(x) := x
1
for all x > 0.
First-Order Quasi-Linear Systems of PDE
I Note that this implies that
2
u= c.
1
I The second equation in (6.12) is satisfied if
= (0) . (6.14)
I As a consequence, the characteristic path satisfies the
system of ordinary differential equations
0 +1
( ) = (1, (u c) )( ) = 1, (c ) ( )
1
+1
= 1, (c )(0)
1
for every of its domain I.
First-Order Quasi-Linear Systems of PDE
I This gives
+1
0 ( ) = +0 (0) , 1 ( ) = (c )(0) +1 (0) .
1
(6.15)
I We try to find the value of the solution at some point
(t, x) R2 in terms of its value at time 0 in some space
point to be determined.
I For this, we demand that
( ) = (t, x) , 0 (0) = 0 .
First-Order Quasi-Linear Systems of PDE
+ = + (0) . (6.17)
I As a consequence, the characteristic path + satisfies the
system of ordinary differential equations
+0 + +1 +
( ) = (1, (u + c) )( ) = 1, (c ) ( )
1
+1 +
= 1, (c )(0)
1
for every of its domain I.
First-Order Quasi-Linear Systems of PDE
I This gives
+1
0+ ( ) = +0+ (0) , 1+ ( ) = (c + )(0) +1+ (0) .
1
(6.18)
I We try to find the value of the solution at some point
(t, x) R2 in terms of its value at time 0 in some space
point to be determined.
I For this, we demand that
+ ( ) = (t, x) , 0+ (0) = 0 .
First-Order Quasi-Linear Systems of PDE
Problem 6.3
Calculate the solutions of (6.20) under the assumption of linear
u(0, ) and (0, ). In particular, verify whether the results
satisfy (6.8).
First-Order Quasi-Linear Systems of PDE
for every x Rn .
First-Order Quasi-Linear Systems of PDE
I We make the ansatz
n
! n
!
X Y
u(x) = exp i k xk .U= exp(ik xk ) . U ,
k=0 k=0
x Rn , where 0 , . . . , n R, U Cp .
I Solutions of this type are called plane waves.
I The ansatz leads to
n
! n n
!
X X X
i0 exp i k xk . U + Ak ik exp i k xk . U
k=0 k=1 k=0
n
! n
!
X X
= i exp i k xk k .Ak + 0 .E U=0
k=0 k=1
for every x Rn .
First-Order Quasi-Linear Systems of PDE
I The latter is satisfied if and only if
n
!
X
k .Ak + 0 .E U = 0 (6.22)
k=1
30
In applications, such equation is called a dispersion relation. Such
relation restricts the possible wave vectors = (0 , . . . , n ) Rn+1 .
First-Order Quasi-Linear Systems of PDE
I For arbitrarily given 1 , . . . , n R, the condition (6.23)
states that 0 is an eigenvalue of the matrix
Problem 6.5
The source-free Maxwells equations for the electromagnetic
field E, B : R4 R3 in Minkowski space and inertial
coordinates t, x, y, z are given by
E B
= cB , = c E ,
t t
E =B=0 ,
Remark 6.5.1
If (6.1) is elliptic, there are no characteristic hypersurfaces for
any of its solutions.
Remark 6.5.2
For sufficient conditions for the well-posedness of initial value
problems for linear and quasi-linear Hermitian hyperbolic
systems see, e.g., Theorem 6.30, Corollary 6.31, Theorem 11.8,
Remark 11.9 and Theorem 13.6 in [3].
Example 19
The Cauchy-Riemann equations form an elliptic system as a
consequence of the results in Example 18.
First-Order Quasi-Linear Systems of PDE
Example 20
I We consider the system (6.11)
1 0 u c2 / u 0
+ = (6.25)
0 1 t u y 0
on R2 from Section 2
I that occurred in the discussion of compressible Euler
equations.
First-Order Quasi-Linear Systems of PDE
Example (cont.)
I Then for every (t, x) R2 and 1 R the corresponding
matrix
1 u(t, x) 1 c2 (t, x)/(t, x)
1 (t, x) 1 u(t, x)
leads on the eigenvalue equation
1 u(t, x) 1 c2 (t, x)/(t, x)
0 = det
1 (t, x) 1 u(t, x)
= (1 u(t, x) )2 12 c2 (t, x)
= [1 (u(t, x) + c(t, x)) ] [1 (u(t, x) c(t, x)) ]
Example (cont.)
I These eigenvalues are identical if and only if
1 c(t, x) = 0
(t, x) = 0 .
1
2
0 x
0 1 2 3 4 5
Example 21
Decide whether the system
u v u v
2 2 + 3 =0,
x x t t
u v v
4 + =0 (6.26)
x x t
on R2 is hyperbolic.
First-Order Quasi-Linear Systems of PDE
Example (cont.)
Solution: In matrix form, the system is given by
1 3 2 2 u 0
+ =
0 1 t 1 4 x v 0
Example (cont.)
The equation
51 + 0 141
det = (51 + 0 )(41 + 0 ) + 1412
1 41 + 0
= 02 + 0 1 612 = (0 + 31 )(0 21 ) = 0
Example 22
Calculate a solution to (6.26) such that
Example (cont.)
Hence (6.26) is equivalent to the system
4D+ u + D u 8D+ v 7D v = 0
D+ u D u 2D+ v + 7D v = 0 .
Example (cont.)
Since (t, x) = (0, x 3t) + t(1, 3), the points (t, x) R2 and
(0, x 3t) are connected by an integral curve of the constant
vector field (1, 3). As a consequence,
Example (cont.)
Hence,
1
u(t, x) = [7f (x 3t) 2f (x + 2t) 14g(x 3t)
5
+14g(x + 2t)]
1
v(t, x) = [f (x 3t) f (x + 2t) 2g(x 3t)
5
+7g(x + 2t)] . (6.29)
Problem 6.6
Calculate the C 1 -solutions of
a)
u v u
4 6 + =0,
x x t
u v v
3 + =0
x x t
on R2 for initial data
for every x R.
Problem (cont.)
b)
u v u v
3 +2 + + =0,
x x y y
u v u v
5 +2 + =0
x x y y
for every x R.
First-Order Quasi-Linear Systems of PDE
Problem (cont.)
c)
u v u v
3 + 16 +2 + =0,
x x y y
u v u v
7 + 36 +4 +3 =0
x x y y
for every x R.
First-Order Quasi-Linear Systems of PDE
Solutions:
a)
1
u(t, x) = [6 sin(x 3t) 6 cos(x 3t) sin(x + 2t)
5
+6 cos(x + 2t)]
1
v(t, x) = [sin(x 3t) cos(x 3t) sin(x + 2t)
5
+6 cos(x + 2t)]
for all t, x R.
b)
u(x, y) = sin(x + y)
1
8 sin(x 2y) + 6ex2y 8 sin(x + y)
v(x, y) =
6
for all x, y R.
First-Order Quasi-Linear Systems of PDE
c)
for all x, y R.
First-Order Quasi-Linear Systems of PDE
2u 2u
2 =f (6.30)
t 2 x
to the initial values
u
u(0, ) = g1 , (0, ) = g2 , (6.31)
t
where g1 C 2 (R, R), g2 C 1 (R, R).
First-Order Quasi-Linear Systems of PDE
I First, we notice the equivalence of (6.30) to a symmetric
hyperbolic system of PDE.
I For this, let u C 2 (R2 , R) be a solution of (6.30).
I Then
2u 2u
u u u u
f = 2 2 = + +
t x t t x x t x
v v
= ,
t x
I where v C 1 (R2 , R) is defined by
u u
v := + .
t x
I Hence (u, v) C 2 (R2 , R) C 1 (R2 , R) satisfies the system
u u v v
+ =v, =f . (6.32)
t x t x
I Note that this system is symmetric hyperbolic.
First-Order Quasi-Linear Systems of PDE
(t) = (t, x)
I is given by
( ) = (, x + t )
for every R.
I Hence
Z t
v(t, x) = (g2 + g10 )(x + t) + f (, x + t ) d (6.33)
0
I and finally
Z x+t
1
u(t, x) = g1 (x + t) + g1 (x t) + g2 ( ) d
2 xt
Z t Z x+ts
+ f (s, s) ds ds (6.35)
0 x(ts)
Theorem 6.7
Let f C 1 (R2 , R), g1 C 2 (R, R) and g2 C 1 (R, R). Then
there is a unique u C 2 (R2 , R) satisfying the wave equation
(6.30) with initial values (6.31). That u is given by (6.35).
First-Order Quasi-Linear Systems of PDE
Remark 6.7.1
Problem 6.8
Solve the initial value problem for the 1 + 1 wave equation for
reflecting boundary conditions.
First-Order Quasi-Linear Systems of PDE
t
x
x-t x x+t
Figure 24: The past domain of dependence of value of the solution u
of (6.30) at the point (t 0 , x 0 ). That value depends only on the values of
the inhomogeneity f in and on the boundary of the red domain and the
values of the data u(0, x 0 t 0 ), (u/t)(0, x 0 t 0 ), u(0, x 0 + t 0 ),
(u/t)(0, x 0 + t 0 ) at time 0.
First-Order Quasi-Linear Systems of PDE
x
a-t a b b+t
Figure 25: The future domain of influence of the data on the interval
[a, b] at time 0 on the solution u of (6.30). That part of the data can
only influence the values of u inside and on the boundary of the blue
domain.
First-Order Quasi-Linear Systems of PDE
u(t, x) := t
Example 23
(Existence of solutions of the wave equation in one space
dimension whose spatial L p -norm is growing indefinitely
with time) In the following, for every p > 0, we show the
existence of a solution u C 2 (R2 , R) of (6.30) for which there
is t0 > 0 and C > 0 such that
Z 1/p
p
|u(t, x)| dx > C t 1/p
for every x R.
First-Order Quasi-Linear Systems of PDE
Example (cont.)
I In particular, it follows that is monotonically increasing
and antisymmetric.
I Then u C 2 (R2 , R) defined by
1
u(t, x) := [(x + t) (x t)]
2
for every (t, x) R2 is a solution of (6.30)
I such that
u
u(0, x) = 0 , (0, x) = (x)
t
for every x R.
First-Order Quasi-Linear Systems of PDE
Example (cont.)
I Also, u(t, x) = 0 for x > |t| + 1 as well as x 6 (|t| + 1)
and
1 1
u(t, x) = [(x+t)(xt)] > [(x+t)(x+t)] = 0
2 2
for all (t, x) [0, ) R.
I Further, for t > 0 and x R, it follows that
Z x+t Z 0 Z xt
1
u(t, x) := (y) dy (y) dy (y) dy
2 c c c
1 x+t
Z 0 Z
+ (y) dy = (y) dy ,
c 2 xt
Example (cont.)
I In particular, if t > 2 and |x| 6 t/2, we conclude that
Z x+t Z t/2
1 1
u(t, x) = (y) dy > (y) dy
2 xt 2 t/2
Z 1
1
> (y) dy > 0
2 1
aij (x) := aij (x, u(x), (u)(x)) , bi (x) := bi (x, u(x), (u)(x)) ,
c(x) := c(x, u(x), (u)(x)) , f (x) := f (x, u(x), (u)(x))
S := {x : g(x) = 0} .
Single Second-Order PDE
v(x) := (g)(x) 6= 0
for all x U.
I In particular, S is a regular C 2 -hypersurface contained in
with normal field v|S .
I We assume that the restrictions
u u
u|S , ... , (7.2)
x0 S xn S
are given.
Single Second-Order PDE
Definition 7.1
The last statement is true for all directions of Rn+1 if and only if
(7.1) can be solved on S for the second derivative
( )( u) into the normal direction v of S.
I where
i j
ei := ei = ei i , i := 2
|| 2 ||
I Further,
u
( ) = ( u) u
xj xj xj
= [(ej + j ) ] ( u) u
xj
= j ( )( u) + (ej )( u) u
xj
= j ( )( u) + [(ej )] u + [(ej )u]
u
xj
for all x S.
I As a consequence, we make the following definition.
Single Second-Order PDE
Definition 7.2
(i) S = g1 ({0}) is non-characteristic for u if and only if
n
X g g
aij (x, u(x), (u)(x)) (x) (x) 6= 0
i,j=0
xi xj
for all x S.
(ii) S = g1 ({0}) is characteristic for u if and only if
n
X g g
aij (x, u(x), (u)(x)) (x) (x) = 0
i,j=0
xi xj
for all x S.
Single Second-Order PDE
2u
4u + c u = 0 , (7.3)
x02
= (gk )|Sk,y = k .
Single Second-Order PDE
Example (cont.)
I Hence Sk,y is characteristic if and only if k is a null vector
in the Minkowski metric for Rn+1 ,
I i.e., if
X n
2
k0 kj2 = 0 .
j=1
Single Second-Order PDE
Example (cont.)
I Note that also
Cy := {x Rn+1 : g(x) = 0} ,
Example (cont.)
I The latter are defined by
Cy := {x Rn+1 : x0 6 y0 , gy (x) = 0} ,
Cy+ := {x Rn+1 : x0 > y0 , gy (x) = 0} .
A := (aij )i,j{0,...,n} .
Single Second-Order PDE
Definition 7.3
We say that the equation (7.1) is of
(i) parabolic type at x if at least one of eigenvalues of
A(x, y) vanishes for every y Rn+2 .
(ii) elliptic type at x if A(x, y) has only non-vanishing
eigenvalues of the same sign for every y Rn+2 .
(iii) hyperbolic type at x if for every y Rn+2 the
corresponding A(x, y) has only non-vanishing eigenvalues
of which n 1 have the same sign, whereas the remaining
eigenvalue is of opposite sign.
(iv) ultra-hyperbolic type at x if A(x, y) has only
non-vanishing eigenvalues with at least two eigenvalues of
each sign for every y Rn+2 . Note that this implies that
n > 4.
Single Second-Order PDE
Remark 7.3.1
If (7.1) is elliptic there are no characteristic hypersurfaces for
any of its solutions.
Example 25
The velocity potential of a stationary, isentropic, irrotational,
two-dimensional flow (u, v) of a compressible ideal fluid is
described by
2 2 2
2
(c2 u2 ) 2uv + (c 2
v ) =0, (7.4)
x 2 xy y2
where c denotes the local speed of sound.
Single Second-Order PDE
Example (cont.)
The solutions of
2
c u 2 uv
0=
uv c2 v2
= (c2 u2 )(c2 v2 ) u2 v2
= 2 (2c2 u2 v2 ) + (c2 u2 )(c2 v2 ) u2 v2
= 2 (2c2 u2 v2 ) + c2 (c2 u2 v2 )
2
u2 + v 2 (u2 + v2 )2
2
= c
2 4
are given by
{c2 , c2 (u2 + v2 )} .
Single Second-Order PDE
Example (cont.)
Hence (7.4) is elliptic at points (x, y) of subsonic speed
2u 2u
y (x, y) + (x, y) = 0 (7.5)
x 2 y2
9 7 5 3 1 1 3 5 7 9
x
-2 -2 -2 -2 -2 2 2 2 2 2
-4
Example 27
Calculate two characteristic curves of the Tricomi equation
(7.5) through every (x, y) R2 where possible.
Single Second-Order PDE
Example (cont.)
Solution:
I For this, let be a non-trivial open subset of R2 ,
I g C 2 (, R) such that v(x, y) := (g)(x, y) 6= 0 for all
(x, y) S,
I where
S := {(x, y) : g(x, y) = 0} .
I S is characteristic if and only if
Example (cont.)
I is satisfied if
g g
(x, y) y (x, y) = 0 (7.6)
y x
Example (cont.)
I For the solutions of (7.6) we make the ansatz
g(x, y) = f (F(y) x)
Example (cont.)
I Then
g g
(x, y) y (x, y) = f 0 (F(y)x) F 0 (y) y = 0
y x
Example (cont.)
I In particular, for every c R, the zero set
( 2/3 )
3
Sc, := (x, y) R2 : y = (x c)
2
2 2
c1 := x0 (y0 )3/2 , c2 := x0 + (y0 )3/2 .
3 3
Problem 7.4
In [23]: Problems 2.1 a), d) and 2.2 of Chapter V, Section 2 and
7.7 a), b) and c) of Chapter V, Section 7.
Single Second-Order PDE
(7.7)
n n
! n n
!
X X 2v X X v
= Hki aij Hlj + Hki bi +cv
k,l=0 i,j=0
xk xl k=0 i=0
xk
1
=f h
for v.
Single Second-Order PDE
I We define the matrices33
H := (Hij )i,j{0,...,n}
I and !
n
X
A := Hki aij Hlj .
i,j=0 k,l{0,...,n}
A = H A H t ,
for k {1, . . . , n}
Single Second-Order PDE
I In the cases of non-vanishing eigenvalues 1 , . . . , n , a
further scale transformation leads to the equivalent
equation for w
n n
X k 2 w X bk w
2
+ + c w = f h1 s1 ,
k=0
|k | xk k=0
|k |1/2 x
k
I where
w := v s1 ,
and s : Rn+1 Rn+1 is defined by
for all (, ) R2 .
I Then
I Hence
Z r Z
2 1
4 r I(h)(t, r, ) dr (x) = (4h)(t, x + z) dz
0 4 Ur (0)
Z
1
= (h)(t, x + z) dSz
4 S2 (r)
Z
1
= (h)(t, x + rp(, )) sin() r 2 p(, ) dd
4 (0,)(,)
2
=r I(h) (t, r, x) .
r
Single Second-Order PDE
I Since
Z
4 r I(h)(t, r, ) dr (r, x) = r 2 [4I(h)](t, r, x) ,
2
r 0
I it follows that
2
2 2
0= r r 4 I(h) = r 4 rI(h) ,
r r r 2
I(h)(t, r, x) := rI(h)(t, r, x)
Theorem 7.5
(Kirchhoffs formula) Let f1 C 3 (R3 , R), f2 C 2 (R3 , R).
Then there is a unique u C 2 (R4 , R) satisfying (7.10) with
initial values (7.11). That u is given by (7.14). Also
Z
4 t
u(t, x) = R R, (t, x) 7 f1 (x + ty) dSy (t, x)
t 4 S2
Z
t
+ f2 (x + ty) dSy (7.15)
4 S2
Proof.
I In a first step, it will be proved that u2 : R4 R defined by
Z
t
u2 (t, x) := f2 (x + ty) dSy
4 S2
Proof (cont.).
I Also, the first identity in (7.16) is trivially satisfied.
I Further, it follows for (t, x) R4 that
Z Z
u2 1 t
(t, x) = f2 (x + ty) dSy + (y f2 )(x + ty) dSy ,
t 4 S2 4 S2
(7.17)
Proof (cont.).
I Hence it follows that
2 u2
Z
1
(t, x) = (y f2 )(x + ty) dSy
t 2 2 S2
Z
t 2
+ (y f2 )(x + ty) dSy
4 t S2
Z
1 2
+ 2t (4f2 )(x + ty) dSy
t S2
Z
t
= (4f2 )(x + ty) dSy = (4u2 )(t, x)
4 S2
Single Second-Order PDE
Proof (cont.).
I Since 2 u2 /t 2 and 4u2 are continuous and satisfy
2 u2 2 u2
(t, x) = (t, x) , (4u2 )(t, x) = (4u2 )(t, x)
t 2 t 2
for all (t, x) R4 ,
I it follows that u satisfies (7.10).
I In the next step, we define v1 : R4 R by
Z
t
v1 (t, x) := f1 (x + ty) dSy
4 S2
Proof (cont.).
I Then it follows by differentiation under the integral sign
that v1 C 3 (R4 , R).
I Also, the previous step implies that
2 v1
4v1 = 0 .
t 2
I We define u1 C 2 (R4 , R) by
v1
u1 := .
t
Single Second-Order PDE
Proof (cont.).
I Then u1 satisfies (7.10) and
v1
u1 (0, ) = (0, ) = f1 ,
t
u1 2 v1
(0, ) = (0, ) = 4v1 (0, ) = 0 .
t t 2
I Hence u := u1 + u2 C 2 (R4 , R) satisfies (7.10) and (6.31).
I That u coincides with (7.14), (7.15) follows with the help
of (7.17).
I The uniqueness of u is a consequence of the reasoning
leading to (7.14).
Single Second-Order PDE
Remark 7.5.1
(i) (Domain of dependence, Huygens principle) According
to (7.15), the value of u at (t, x) R4 depends only the
values of the data on the sphere of radius |t| around x in R3 .
This phenomenon is known as Huygens principle. It is
known to be true for the wave equation in odd space
dimensions different from 1.34
34
In general, it is not valid in the case of a non-vanishing function c in (7.8).
Single Second-Order PDE
Remark (cont.)
(i) Hence for t > 0 the domain of dependence of u(t, x) is the
intersection of backward characteristic cone with apex at
(t, x) with the data surface {0} R3 . For t < 0 it is the
intersection of the forward characteristic cone with apex at
(t, x) with the data surface. 35 In particular, this allows the
calculation of the solution at previous times from the data
at later time which is typical for hyperbolic equations.
35
Note that these cones are both characteristic surfaces. In particular, note
the similarity of the situation to the case of a partial differential equation for
one real-valued function.
Single Second-Order PDE
Remark (cont.)
(ii) (Conservation of compact support) If the data f1 and f2
vanish for distances larger than some radius of R 6 0 from
the origin the u(t, ) vanishes for distances larger than the
radius of |t| + R from the origin because
for all y S 2 .
Single Second-Order PDE
Remark (cont.)
(ii) Hence the solution u corresponding to such data is
non-zero only on a bounded domain at every time t R
which is typical for hyperbolic problems. In particular, the
outer boundary of the domain of influence of such data
proceeds at speed 1. Such behavior of the solutions is
crucial for the compatibility of PDE / Systems of PDE with
Einsteins Special Relativity because the fastest signal
speed permitted by this theory is the speed of light in
vacuum c = 2.99792458 108 m/sec [5].
Single Second-Order PDE
Remark (cont.)
(iii) (Well-posedness of the initial value problem) The
solution u is uniquely determined by the data f1 and f2 and
depends continuously on the data in the sense that small
changes of f1 and f2 will result only in small changes of u,
i.e., the initial value problem for the wave equation in three
space dimensions for data given on surfaces of constant
time is well-posed.
Single Second-Order PDE
Remark (cont.)
(iv) (Weak solutions) For the existence of the integrals in the
representation in the formula (7.14), it is sufficient, e.g.,
that f1 C 1 (R3 , R) and f2 C(R3 , R). This suggests that
in such cases the u defined by (7.14) solves the wave
equation where its derivatives are interpreted in some weak
sense. Indeed, the adoption of such interpretation is crucial
to achieve a formulation where the order of
differentiability of the restrictions of the solutions to
surfaces of constant time is preserved by the evolution.
Single Second-Order PDE
for every t R.
Single Second-Order PDE
u(t, 0) = f (t 2 ) + 2t 2 f 0 (t 2 ) + tg(t 2 )
for all x R3 .
I Then the solution u C 2 (R3 , R) of the wave equation in
three dimensions corresponding to data f1 , f2 at time zero is
given by
Z
4 t
u(t, x) = R R, (t, x) 7 f1 (x + ty) dSy (t, x)
t 4 S2
Z
t f2 (x + ty) dSy
+
4 S2
for all (t, x) R4 .
Single Second-Order PDE
I Further,
Z Z
f2 (x + ty) dSy = f2 (x + t p(, )) sin dd
S2 (0,)(,)
Z
= f2 (x1 + t sin cos , x2 + t sin sin ) sin dd
(0,)(,)
Z
=2 f2 (x1 + t sin cos , x2 + t sin sin ) sin dd
(0,/2)(,)
f2 (x1 + t sin cos , x2 + t sin sin )
Z
=2 sin cos dd
(0,/2)(,) cos
f2 (x1 + t y1 , x2 + t y2 )
Z
=2 p dy
U1 (0) 1 |y|2
Single Second-Order PDE
I and hence
" !#
f1 (x + t y)
Z
t
u(t, x) = R4 R, (t, x) 7 p dy (t, x)
t 2 U1 (0) 1 |y|2
f2 (x + t y)
Z
t
+ p dy .
2 U1 (0) 1 |y|2
Single Second-Order PDE
I In particular, u satisfies
u
= 0 , u(0, x1 , x2 , x3 ) = f1 (x1 , x2 , x3 ) = f1 (x1 , x2 ) ,
x3
u
(0, x1 , x2 , x3 ) = f2 (x1 , x2 , x3 ) = f2 (x1 , x2 )
t
for all x R3 .
I Hence u := u(, , , 0) C 2 (R3 , R) satisfies (7.18) and
(7.19).
I As a consequence, we conclude the following theorem:
Single Second-Order PDE
Theorem 7.6
Let f1 C 3 (R2 , R), f2 C 2 (R2 , R). Then there is
u C 2 (R3 , R) satisfying (7.18) with initial values (7.19). Such
u is given by
" Z !#
t f1 (x + t y)
u(t, x) := R3 R, (t, x) 7 p dy (t, x)
t 2 U1 (0) 1 |y|2
Z
t f2 (x + t y)
+ p dy (7.20)
2 U1 (0) 1 |y|2
Remark (cont.)
(iii) (Well-posedness of the initial value problem) The
solution u is uniquely37 determined by the data f1 and f2
and depends continuously on the data in the sense that
small changes of f1 and f2 will result only in small changes
of u, i.e., the initial value problem for the wave equation in
two space dimensions for data given on t = constant
surfaces is well-posed.
37
The uniqueness of the solution follows from Theorem 7.14.
Single Second-Order PDE
Remark (cont.)
(iv) (Weak solutions) For the existence of the integrals in the
representation in the formula (7.20), it would be sufficient,
e.g., that f1 C 1 (R2 , R) and f2 C(R2 , R). This suggests
that in such cases the u defined by (7.20) solves the wave
equation where its derivatives are interpreted in some weak
sense.
Single Second-Order PDE
Problem 7.7
Decide whether there is a focusing effect for the solutions of the
wave equation in two space dimensions.
Single Second-Order PDE
Problem 7.8
Let m > 0 and f C 2 (R, R). Show that a solution of the initial
value problem
u
u(0, ) = 0 , (0, ) = f
t
for the Klein-Gordon equation
2 u 2 u
2 + m2 u = 0 (7.21)
t 2 x
and u C 2 (R2 , R) is given by
1 x+t
Z p
u(t, x) = J0 m t 2 (x y)2 f (y) dy
2 xt
Problem (cont.)
Here, the Bessel function J0 is defined by
Z /2
2
J0 (x) := cos(x sin ) d
0
where t, x1 , x2 R.]
Single Second-Order PDE
In the case of one space dimension, the solution of the
inhomogeneous wave equation is given by (6.35).
2u
4u = f (7.22)
t 2
to the initial values
u
u(0, ) = 0 , (0, ) = 0 . (7.23)
t
Solutions to more general initial data are given by adding this
solution to solutions of the associated homogeneous wave
equation corresponding to those data.
Single Second-Order PDE
I For the solution, we use Duhamels integral (or method
of impulses).
I For R, let U(, , ) C 2 (Rn+1 , R) be the solution of
the associated homogeneous wave equation to the initial
values
U
U(0, , ) = 0 , (0, , ) = f (, ) .
t
I We define Z t
u(t, x) := U(t , x, ) d
0
n+1
for every (t, x) R .
I Then it follows that
Z t Z t
u U U
(t, x) = (t , x, ) d + U(0, x, t) = (t , x
t 0 t 0 t
Z t 2
2u U U
2
(t, x) = 2
(t , x, ) d + (0, x, t)
t 0 t t
Single Second-Order PDE
Theorem 7.9
Let n {2, 3}, f C 2 (Rn+1 , R). Then there is
u C 2 (Rn+1 , R) satisfying (7.22) with the initial values (7.23).
Such u is given by
Z t !
f (, x + (t ) y)
Z
1
u(t, x) = (t ) p dy d
2 0 U1 (0) 1 |y|2
(7.24)
Remark 7.9.1
According to (7.25), for n = 3, the domain of dependence of the
value of u at (t, x) R4 depends only the values of f on the part
of the characteristic cone with apex at x with time coordinates
between 0 and t and the values of the data on the intersection of
this cone with the data surface.
I and hence
j(u, v) = 0 ,
I where the vector field j(u, v) C 1 (, Rn+1 ) is defined by
n
X v u
(j(u, v))i = aij u v
j=0
xj xj
Then
j(u, v) = 0 ,
where the vector field j(u, v) C 1 (, Rn+1 ) is defined by
n
X v u
(j(u, v))i = aij u v
j=0
xj xj
Single Second-Order PDE
j(u, F(u)) = 0
Example 28
We consider the special case of the equation
2u
4u + Vu = 0 , (7.27)
t 2
where V C(, R) is such that
V
=0.
t
Single Second-Order PDE
Example (cont.)
If u is a C 3 -solution of (7.27), then
2u 2 u
u u
0= 2
4u + Vu = 2 4 +V =0,
t t t t t t
where " 2 #
1 u 2 2
(u) := + |u| + Vu
2 t
and denotes the gradient in the spatial coordinates. Note that
(u) assumes only positive values if V is a positive function.
Single Second-Order PDE
Example (cont.)
In addition,
2u
u u u
jk u, = u
t xk t t xk
Example (cont.)
The last implies that
u
(2 (u)) = 2 u
t t
Example (cont.)
In physical applications, (u) is called the energy density and
u
u
t
the energy flux density associated with u.
Single Second-Order PDE
Example (cont.)
We note that (7.28) is true also for C 2 -solutions of (7.27) since
for such a u
(u) u
u
t t
" #
2
1 u 2 2 u
= + |u| + Vu u
t 2 t t
u 2 u
u u
= 2
+ (u) u + Vu u (u) 4u
t t t t t t
u 2 u
= 4u + Vu = 0 .
t t 2
Single Second-Order PDE
Problem 7.12
Let V C(, R) be such that
V
=0.
x1
The following example shows that the above procedure for the
derivation of a conservation law can be generalized to nonlinear
equations.
Single Second-Order PDE
Example 29
(Energy conservation for a class of nonlinear Klein-Gordon
equations) We consider the case of a nonlinear Klein-Gordon
equation
2u
4u + m2 u + (V 0 u) = 0 , (7.29)
t 2
where m [ 0, ) denotes the mass of the field and the term
V 0 u describes a self-interaction of the field. Here
V C 4 (R, R).
Single Second-Order PDE
Example (cont.)
If u is a C 3 -solution of (7.29), then
2
u 2 0
0= 4u + m u + (V u)
t 2 t
2
ut
= 2 4ut + m2 ut + (V 00 u)ut ,
t
where a subscript t is used as a shorthand notation for a partial
time derivative.
2u
2 0
0 = ut 4u + m u + (V u)
t 2
2
u 2 0
u 4u + m u + (V u)
t 2
2 2 t
u 0 ut 00
= ut 4u + (V u) u 4ut + (V u)ut
t 2 t 2
= ut utt uuttt ut 4u + u4ut + [ 2(V u) u(V 0 u) ]t
= (ut2 uutt )t (ut u uut ) + [ 2(V u) u(V 0 u) ]t
= ut2 u4u + m2 u2 + 2(V u) t (ut u uut )
Single Second-Order PDE
Example (cont.)
(ut u uut )
= ut + |u|2 + m2 u2 + 2(V u) t 2(ut u) .
2
(u)
= (ut u) (7.30)
t
Single Second-Order PDE
Example (cont.)
where
" 2 #
1 u
(u) := + |u|2 + m2 u2 + 2(V u)
2 t
u
u
t
the energy flux density associated with u.
Single Second-Order PDE
Example (cont.)
Note that (u) is not always positive-valued. Also, we note that
(7.30) is true for V C 3 (R, R) and a C 2 -solution u of (7.29)
since
(u) u
u
t t
" #
2
1 u 2 2 2 u
= + |u| + m u + 2(V u) u
t 2 t t
u 2 u
u 2 u u u
= + (u) + m u (u) 4u
t t 2 t t t t
u 0
+ (V u)
t
u 2 u
2 0
= 4u + m u + (V u) = 0 .
t t 2
Single Second-Order PDE
SC n
x ( [0, T ] R )
Lemma (cont.)
Then
Z Z
(u)(T , ) dy1 . . . dyn 6 (u)(0, ) dy1 . . . dyn .
Bxn (x1 ,...,xn ) Bxn0 (x1 ,...,xn )
0 T
(7.31)
Single Second-Order PDE
Proof.
I It follows from (7.28) by Gauss Theorem that
Z
(u) u
0= u (y) dy
SCx ( [0,T ]Rn ) t t
Z
u
= (u), u dS
SCx ( [0,T ]Rn ) t
Z
= (u)(T , ) dy1 . . . dyn
Bxn (x1 ,...,xn )
Z0 T
(u)(0, ) dy1 . . . dyn
Bxn0 (x1 ,...,xn )
Z
u
+ (u), u dS ,
Cx ( [0,T ]Rn ) t
Single Second-Order PDE
Proof (cont.).
I where denotes the outer unit normal field on the
boundary surface
SC n
of SC n
x ( [0, x0 ] R ) x ( [0, x0 ] R ) .
Proof (cont.).
I In particular,
1 x1 y1 xn yn
(f (y)) = 1, ,...,
2 |x y| |x y|
Theorem 7.14
(Local Uniqueness) Let x = (x0 , . . . , xn ) Rn+1 be such that
x0 > 0. Further, let be an open subset of Rn+1 such that
SC n
x ( [0, x0 ] R )
Proof.
The statement follows by a simple application of Lemma (7.13)
to u v.
Single Second-Order PDE
x
O L
Example 30
(Ill-posedness of the Dirichlet problem for the wave
equation) For this, let T > 0, L > 0 be such that T /L = m/n,
where m, n are elements of N . In addition, define
:= (0, T ) (0, L). Then for every C R, u : R defined
by
u(t, x) := C sin(mt/T ) sin(nx/L)
for every (t, x) is an element of C 2 (, R) satisfying
2u 2u
2 =0
t 2 x
Single Second-Order PDE
Example (cont.)
whose corresponding extension u to an element of C(, R)
assumes the boundary values
4u = 0
on some interval I1 In of Rn ,
I where n N \ {0, 1} and I1 , . . . , In are non-void open
subintervals of R,
I we make the product ansatz
I Then
(4u)(x) = u100 (x1 )u2 (x2 ) . . . un (xn ) + + u1 (x1 )u2 (x2 ) . . . un00 (xn )
(7.34)
C1 + + Cn = 0
x
1
Figure 35: Graphs of u1 (x, 0.5), u3 (x, 0.5), u7 (x, 0.5) and u15 (x, 0.5)
from Example 31.
Single Second-Order PDE
y
x
-2 O 2
Example 31
(Hadamards example of an ill-posed initial value problem
for Laplaces equation) Let := (/2, /2) (0, ) and
n N be odd. Then an element un of C 2 (, R) satisfying
2 un 2 un
+ =0
x 2 y2
Single Second-Order PDE
u
dn
un , C(, R)
y
u
dn
un (x, 0) = 0 , (x, 0) = e n cos(nx)
y
Example (cont.)
and the boundary values
Example (cont.)
In particular,
u
n
d
(x, 0) 6 e n
y
for every x [/2, /2] and hence
u
n
d
lim max (x, 0) = 0 .
n x[/2,/2] y
Single Second-Order PDE
Example (cont.)
Therefore, it might be expected that the sequence u1 , u3 , . . .
approaches in some sense the zero function
u := ( R, x 7 0) on which satisfies Laplaces equation
and is such that the corresponding continuous extensions
u
c
u, C(, R)
y
u
c
u(x, 0) = 0 , (x, 0) = 0
y
Also
Z /2 Z /2
2 1 2n 2
u (x, y) dx = 2 e sinh (ny) cos2 (nx) dx
/2 n /2
Z /2
1
= 2 e2 n sinh2 (ny) [1 + cos(2nx)] dx
2n /2
= 2 e2 n sinh2 (ny)
2n
Single Second-Order PDE
Example (cont.)
and therefore
1
lim R =0.
n /2 u2 (x, y) dx
/2 n
Single Second-Order PDE
Example (cont.)
Hence small perturbations of the initial data of the zero solution
of Laplaces equation subject to the boundary conditions (7.36)
do not necessarily lead to small perturbations in the solution. As
a consequence, the corresponding initial boundary value
problem for Laplaces equation appears not to be well-posed.
Single Second-Order PDE
Problem 7.16
Let a, b > 0 such that a < b and let V1 , V2 R. Find a
harmonic function u C 2 (, R) on
:= (a, b) R2
W
W
x
O
Figure 38: 0 is the image of under a Euclidean transformation, a
rigid rotation around the origin about the angle /4.The black points
are the centers of the squares , 0 . Compare Lemma 7.17.
Single Second-Order PDE
Lemma 7.17
(Euclidean transformations leave the form of the Laplace
operator invariant) For this, let n N and Rn be
non-empty and open. In addition, let 0 Rn be a non-empty
open subset such that
g( 0 ) = .
Here g C (Rn , Rn ) is defined by
g(x) := Ax + b
At = A1 ,
and b Rn .
Single Second-Order PDE
Lemma (cont.)
Here At denotes the transposed matrix corresponding to A.
Finally, let u C 2 (, R) and u C 2 (0 , R) be defined by
(4u)(g(x)) = (4u)(x)
for all x 0 .
Single Second-Order PDE
Proof.
It follows by the chain rule that
n
u X u
(x) = Aki (g(x)) ,
xi k=1
x k
n
2 u X 2u
(x) = Aki Alj (g(x))
xi xj k,l=1
xk xl
Proof (cont.).
Hence
n X
n
X 2u
(4u)(x) = Aki Ali (g(x))
i=1 k,l=1
xk xl
n n
!
X X 2u
= Aki Ali (g(x)) = (4u)(g(x))
k,l=1 i=1
xk xl
for every x 0 .
Single Second-Order PDE
Remark 7.17.1
Note in particular in Lemma 7.17 that u is harmonic if and only
if u is harmonic.
Problem 7.18
Let n N . Prove that a real quadratic n n-matrix, n N , is
orthogonal if and only if the associated row vectors form a
orthogonal basis in Rn equipped with the Euclidean scalar
product.
Single Second-Order PDE
W
W
Hg2 LH0L
gH2 HI2 LL
1 HI1 L gH1 HI1 LL
2 HI2 L
, Hg1 LH0L
, 1 H0L gHp L
2 H0L
p
Definition 7.19
Let n N , , 0 Rn be non-empty open subsets and
g C 1 ( 0 , ). Then g is called conformal if
6 x
0.1 0.3 0.4
5
-0.1
4
-0.2
3
-0.3
2
-0.4
1
-0.5
0 x
0 1 2 3 4 5 6
Theorem 7.20
Let , 0 R2 be non-empty open subsets and g C 1 ( 0 , )
without critical points. Then g is conformal if and only if its
component functions g1 , g2 satisfy the Cauchy-Riemann
equations
g1 g2 g1 g2
= , = . (7.37)
x y y x
Single Second-Order PDE
Proof.
I For this, let p 0 and 1 : I1 0 , 2 : I2 0 be
differentiable paths from open subintervals I1 , I2 of R
around 0 such that 1 (0) = 2 (0) = p.
I In addition, let : 0 (0, ) and vi := i0 (0) for
i {1, 2}.
I It follows by the chain rule that
(g 1 ) 0 (0) (g 2 ) 0 (0)
g1 g1 g1 g1
= (p) v11 + (p) v12 (p) v21 + (p) v22
x y x y
g2 g2 g2 g2
+ (p) v11 + (p) v12 (p) v21 + (p) v22
x y x y
" 2 2 # " 2 2 #
g1 g2 g1 g2
= + (p) v11 v21 + +
x x y y
g1 g1 g2 g2
+ + (p) (v11 v22 + v12 v21 ) (7.38)
x y x y
Single Second-Order PDE
Proof (cont.).
I which gives
" 2 2 #
g1 g1
(g1 ) 0 (0)(g2 ) 0 (0) = + (p) 10 (0)20 (0)
x y
if g1 , g2 satisfy (7.37).
I In this case, it follows in addition that
0 g1 g2 g2 g1
det g (p) = (p)
x y x y
" 2 2 #
g1 g1
= + (p) > 0
x y
Single Second-Order PDE
Proof (cont.).
I and hence that g is conformal.
I Further, (7.38) leads to
Proof (cont.).
I If g is conformal and is the corresponding scale
transformation,
I then the case that v1 = e1 and v2 = e2 leads to the equation
g1 g1 g2 g2
+ (p) = 0 (7.39)
x y x y
Single Second-Order PDE
Proof (cont.).
I and the cases that v1 = v2 = e1 , v1 = v2 = e2 to the
equations
" 2 2 #
g1 g2
(p) = + (p)
x x
" 2 2 #
g1 g2
= + (p) . (7.40)
y y
Proof (cont.).
I Further,
0 g1 g2 g2 g1
det g (p) = (p)
x y x y
" 2 2 #
g1 g2
= + (p) > 0
x x
Remark 7.20.1
Note that, as a consequence of Theorem 7.20, the component
functions g1 and g2 of every conformal g C 2 ( 0 , ) are both
harmonic , i.e., satisfy
2 g1 2 g1 2 g2 2 g2
+ = + =0,
x 2 y2 x 2 y2
Remark 7.20.2
The main source for conformal functions in two real variables
are holomorphic functions in one complex variable. The real
part u and imaginary part v of every holomorphic function
defined on a non-trivial open subset of R2 satisfy the
Cauchy-Riemann equations.
Single Second-Order PDE
Problem 7.21
Let f : 00 0 , g : 0 , h : 0 , where
, 0 , 00 R2 are non-empty and open, satisfy the
Cauchy-Riemann equations. Show that g, g + h, g h and g f
satisfy the Cauchy-Riemann equations, too, where R and
g h : 0 is defined by
Problem 7.22
Prove that the map g : R2 \ {(1, 0)} R2 \ {(0, 1)} defined
by
1 x 2 y2
2y
g(x, y) := ,
(1 x)2 + y2 (1 x)2 + y2
for all (x, y) U1 (0) is bijective and conformal. In particular,
calculate g1 , g(U1 (0)), g(S 1 \ {(1, 0)}) and g(R2 \ B1 (0)).
Single Second-Order PDE
Lemma 7.23
(Transformation of the Laplace operator in two dimensions
under conformal maps) For this, let , 0 R2 be non-empty
and open and g C 2 ( 0 , ) be conformal. Finally, let
u C 2 (, R). Then
" 2 2 #1
g1 g1
(4u)(g(x)) = (x) + (x) (4u)(x)
x1 x2
2 2
X gk gl 2u X 2 gk u
= (x) (x) (g(x)) + (x) (g(x))
k,l=1
xi xj xk xl k=1
xi xj xk
Problem 7.24
Calculate 2 2
g1 g1
+ ,
x1 x2
where g1 is the first component of the map g from Prob 7.22.
Single Second-Order PDE
y
gHPL
R
R 2r
P
r
-R R x
-R
Figure 41: The inversion g with respect to SR1 maps the point P onto
the point g(P) on the half-line through P originating from the origin.
In this, the distance of g(P) from the origin is given by R2 /r, where r
is the distance of P from the origin. All points on SR1 are fixed points
under g. Compare Lemma 7.25.
Single Second-Order PDE
Lemma 7.25
(Transformation of the Laplace operator under inversion
with respect to n-spheres) For this, let n N , R > 0 and
Rn \ {0} be non-empty and open. In addition, let
0 Rn \ {0} be a non-empty open subset such that
g( 0 ) = ,
R2
g(x) := x (7.41)
|x|2
38
i.e, g(g(x)) = x for all x Rn \ {0},
Single Second-Order PDE
Proof.
See the proof of Lemma 8.1 in the Appendix.
Remark 7.25.1
The inversion with respect to n-spheres allows the reduction of
some boundary value problems for Poissons equation on
infinitely extended domains to such problems on finitely
extended domains. Note that this inversion is not conformal.
Single Second-Order PDE
y y
1
2
u =1
u HWL
u =0
1
x
x 1
1 2
Problem 7.26
Problem 12.8 of Chapter VII, Section 12 in [23].
Single Second-Order PDE
2 u 1 u 1 2 u
(4u)(g(r, )) = (r, ) + (r, ) + (r, )
r 2 r r r 2 2
Lemma (cont.)
where u C 2 (p , R) is defined by
V
2
V W
Wp
0 r x
0 0
1
2
0 1
x
0 2
1
Example 32
Let V R. Find a solution u C 2 (, R) of the Laplace
equation on := (0, )2 that can be extended to a continuous
function u on \ {(0, 0)} assuming the boundary values
u(x, 0) = 0 , u(0, y) = V
Example (cont.)
Solution: The main idea is to adapt the coordinates in such a
way that is transformed into a strip in R2 . Polar coordinates
are suitable for this. As above, we define g C (R2 , R2 ) by
g(p ) = ,
where
p := (0, ) (0, /2) .
Single Second-Order PDE
Example (cont.)
Then u := u g|p has to satisfy
2 u 1 u 1 2 u
[ (4u)(g(r, )) = ] (r, )+ (r, )+ (r, ) = 0
r 2 r r r 2 2
u(r, 0) = 0 , b
b u(r, /2) = V
Example (cont.)
Therefore u C (, R) defined by
!
2V x
u(x, y) := arccos p
x 2 + y2
Problem 7.28
Problem 12.9 of Chapter VII, Section 12 in [23].
Single Second-Order PDE
Lemma 7.29
(Transformation of the Laplace operator in three
dimensions into cylindrical coordinates) For this, let
R3 \ ({0} {0} R) be non-empty and open. In
addition, let cyl R3 be a non-empty open subset such
g(cyl ) = ,
Problem 7.30
Let a, b > 0 be such that a < b and let u1 , u2 R. Find a
harmonic function u C 2 (, R) on
Lemma 7.31
(Transformation of the Laplace operator in three
dimensions into spherical coordinates) For this, let
R3 \ ({0} {0} R) be non-empty and open. In
addition, let sph R3 be a non-empty open subset such
g(sph ) = ,
u(r, , ) := (u g)(r, , )
= u(r sin() cos(), r sin() sin(), r cos())
Proof.
See the proof of Lemma 8.4 in the Appendix.
Single Second-Order PDE
Problem 7.33
Prove Lemmata 7.27, 7.29 and 7.31.
Single Second-Order PDE
y
x
HIL
4u > 0 . (7.42)
( ) := p + v
for every I,
I where I is some sufficiently small open interval I around 0.
I Then it follows by the chain rule that
n n
0
X u 0
X u
(u ) ( ) = (( )) i ( ) = vi (( )) ,
i=1
xi i=1
xi
n
X 2u
(u ) 00 ( ) = (( )) vi vj
i,j=1
xi xj
for every I.
Single Second-Order PDE
I In particular, (u ) 0 (0) = 0 since p is a critical point of u.
I Since u assumes a local maximum value in p, u
assumes a local maximum value in 0
I and hence39
n
00
X 2u
(u ) (0) = (( )) vi vj 6 0 .
i,j=1
xi xj
for every x .
I We assume that aij : R, i, j {1, . . . , n}, satisfy
aij = aji
2u
(a(p))ij := aij (p) , (H(p))ij := (p)
xi xj
Proof (cont.).
I According to linear algebra, there exists an orthogonal
matrix U such that
U a(p) t U 1 = diag(1 , . . . , n ) ,
Proof (cont.).
I Finally,
= Tr U 1 diag(1 , . . . , n )UH(p)U 1 U
= Tr diag(1 , . . . , n )UH(p)U 1
Xn
= i (UH(p)t U 1 )ii 6 0
i=1
Problem 7.35
Let n N and A, B, U real n n-matrices. In particular, let U
be invertible. Prove that
(Au)(x) > 0
p
B
Proof.
I The proof is indirect.
I We assume that u is non-constant.
I In the first step, we prove that there is an open ball U
around a q such that U ,
for all q U
I and for which there is p U such that
u(p) = .
Single Second-Order PDE
Proof (cont.).
I For the construction of such U,
I let > 0 be the maximum value of u,
I p1 such that u(p1 ) = ,
I q1 such that u(q1 ) <
I and : [0, 1] be a continuous path such that
(0) = q1 and (1) = p1 .
I Further, let
t2 := min 1 () , p2 := (t2 ) .
Proof (cont.).
I In addition, let d > 0 be the distance between Ran and
.
I Further, let q Ud/2 (p2 ) ([0, t2 )) and U the largest open
ball around q that is contained in u1 ((, )).
I The radius of this ball is less or equal to d/2 and hence
U .
I This U satisfies (7.46) and, in particular, there is p
such that u(p) = .
Single Second-Order PDE
Proof (cont.).
I Further, let r be a point in the open line segment between p
and q,
I
:= |r p| (> 0)
I and 0 (0, ) be such that
B 0 (p) .
I Then
for all x .
Single Second-Order PDE
Proof (cont.).
I Obviously, it follows that
(Av)(x) > 0
Proof (cont.).
I Hence it follows for small enough that
Corollary 7.37
In addition, to the assumptions of Theorem 7.36, assume that
c = 0. If u assumes a maximum, then u is a constant function.
Proof.
Assume that u has a maximum in the point p U. Then
v := u u(p) C 2 (, R) has a positive maximum at p and
satisfies
(Av)(x) > 0
for all x . Hence it follows by Theorem 7.36 that v and
therefore also u are constant functions.
Single Second-Order PDE
Example 33
Define u : R2 R by
u(x, y) := 1 (x 2 + y2 )
2u 2u
2 =0.
x 2 y
Also, u is non-constant and assumes a positive maximum.
Hence the statement of Theorem 7.36 is in general false for
hyperbolic A.
Single Second-Order PDE
Example 34
Let n N , a > 0. Define u : Rn R by
u(x) := a
Example 35
Define u : R2 R by
u(x, y) := (x 2 + y2 ) 4
Example 36
Define u : U1 (0) R by
u(x, y) := (x 2 + y2 ) + 5
Lemma 7.38
Let be a non-empty pathwise connected open subset of Rn
and u C 2 (, R) be non-constant and such that42
4u = 0 .
42
Functions satisfying the following equation are called harmonic.
Single Second-Order PDE
Problem 7.39
Problems 1.1 - 1.3 of Chapter VII, Section 1 in [23].
Single Second-Order PDE
lim |f (x )| = 0
p
q
fHpL O fHqL
Figure 49: The points p, q on the unit circle are mapped to the points
f (p), f (q) under the stereographic projection. Compare the proof of
Lemma 7.40.
Single Second-Order PDE
Lemma 7.40
Every element of C (Rn , R) that assumes a positive value also
assumes a maximum.
Proof.
I For this, we define the stereographic projection
g C(S n+1 \ {N}, Rn ) from the north pole N := en+1 by
p1 pn
g(p) := ,...,
1 pn+1 1 pn+1
I In particular, g is bijective with the continuous inverse
g1 : Rn S n+1 \ {N} given by
I Hence h is continuous.
I Since S n+1 is compact, h assumes a maximum and a
minimum value.
Single Second-Order PDE
Proof (cont.).
I Since f assumes a positive value,
I this maximum is assumed in S n+1 \ {N}.
I Therefore, f assumes a maximum value.
Single Second-Order PDE
y
x
-10 -2 2 10
-1
Example 37
The function f : R R defined by
1
f (x) :=
1 + x2
for every x R is an element of C (R, R) that assumes no
maximum value. Hence the statement of Lemma 7.40 would be
false in general without the assumption that f assumes a positive
value.
Single Second-Order PDE
Theorem 7.41
Let u C 2 (Rn , R) C (Rn , R) such that
4u = 0 .
Example 38
Examples of non-trivial harmonic functions that are not
vanishing at infinity are easy to find. For instance, such function
is given by u : R2 R defined by u(x, y) := x 2 y2 .
Single Second-Order PDE
Corollary 7.42
(Uniqueness of the classical Dirichlet problem) Let
u, v C 2 (Rn , R) C (Rn , R) such that
4u = 4v .
Then u = v.
Proof.
By the assumptions, u v C 2 (Rn , R) C (Rn , R) is
harmonic. Hence it follows by Theorem 7.41 that u v
vanishes everywhere and hence that u = v.
Single Second-Order PDE
Theorem 7.43
(A priori estimates) In addition, let be pathwise connected
and bounded. Also, let a R and d > 0 such that
(a, a + d) Rn1 . Further, we assume that
aij , bi , c C(, R) for all i, j {1, . . . , n} and that c(x) 6 0 for
all x . In addition,43 let there be C(, (0, )) such that
n
X
aij (x) vi vj > (x)|v|2
i,j=1
43
In the following, there will be used the same symbols for functions
defined on and their continuous extensions to . It will be clear from the
context whether the function itself or its extension is referred to.
Single Second-Order PDE
Theorem (cont.)
Finally, let u C 2 (, R) C(, R) such that
Au = f ,
|f (x)|
max |u(x)| 6 3 max |u(x)| + 2C max ,
x x x (x)
where
|b(x)|
C := exp(( + 1)d) 1 , := max .
x (x)
Single Second-Order PDE
Proof.
I For this, we define the auxiliary function h C (, R)
by
h (x) := exp((x1 a))
for every x = (x1 , . . . , xn ) and := 1 + .
I Then for every x :
n n
X 2 h X h
[(A c) h )](x) = aij (x) (x) + bi (x) (x)
i,j=1
xi xj i=1
xi
2
= a11 (x) + b1 (x) h (x)
2 |b1 (x)|
> a11 (x) || (x) h (x)
(x)
> ||(|| ) (x) h (x) = (1 + ) (x) h (x) > (x) .
Single Second-Order PDE
Proof (cont.).
I We define v C (, R) by
for every x ,
I where
|f (x)|
f := max .
x (x)
Single Second-Order PDE
Proof (cont.).
I Then v(x) > 0 for all x
I and
v(x) > u(x)
for all x and
for all x .
I Hence according to Theorem 7.36, the function v u is
either constant or does not assume a positive maximum
Single Second-Order PDE
Proof (cont.).
I and therefore
I and
for every x .
I Further, since
A(u) = f ,
applying the previous result to u,
Single Second-Order PDE
Proof (cont.).
I it follows that
for all x .
Single Second-Order PDE
Corollary 7.44
(Uniqueness and continuous dependence on the boundary
data of the solutions of the classical Dirichlet problem) In
addition to the assumptions of Theorem 7.43, let
v C 2 (, R) C(, R) be such that
Av = f .
Then
max |u(x) v(x)| 6 3 max |u(x) v(x)| ,
x x
u(x) = v(x)
for every x .
Single Second-Order PDE
Proof.
The statements follows by a simple application of Theorem 7.43
to u v.
Single Second-Order PDE
Theorem 7.45
Let n {2, 3}, Rn be a non-empty bounded open subset
for which Gauss theorem is valid, u C 2 (, R) C 1 (, R)
and x . Then44
Z Z
u(x) = x 4u dy + [ u (x ) x (u) ] dSy ,
(7.47)
44
In the following, the same symbols will be used for functions defined on
open sets and their extensions to continuous functions defined on the
closures of those sets. It will be clear from the context whether the function
itself or its extension is referred to.
Single Second-Order PDE
Theorem (cont.)
where x C (Rn \ {x}, R) is defined by
(
|x y|2n / [n(2 n)v(B1 (0))] for n > 2
x (y) :=
ln(|x y|) / (2) for n = 2
Proof.
I For this, we define
(
r 2n / [n(2 n)v(B1 (0))] for n > 2
(r) := (7.48)
ln(r) / (2) for n = 2
(4x )(y)
n
1 X
|x y|n n(xi yi )2 |x y|(n+2) = 0
=
nv(B1 (0)) i=1
I and
x 1 1n
xi (y) 6 nv(B1 (0)) |x y| ,
2
x 1 n
xi xj 6 v(B1 (0)) |x y|
(y)
Proof (cont.).
I It follows for every non-empty bounded open subset
0 Rn for which Gauss theorem is valid
I and v C 2 ( 0 , R) C 1 ( 0 , R) that
Z Z
(v4u u4v) dx = (vu uv) dx
0
Z 0
Proof (cont.).
I In particular,
Z Z
x 4u dy = [ x (u) u (x ) ] dSy
\B (x)
Z
+ [ x (u) u (x ) ] dSy .
S (x)
Single Second-Order PDE
Proof (cont.).
I Since
Z ! Z
x (u) dSy 6 sup |u| x dSy
S (x) yB (x) S (x)
! Z
= sup |u| () dSy ,
yB (x) S (x)
I it follows that
Z
lim x (u) dSy = 0 . (7.50)
0 S (x)
Single Second-Order PDE
Proof (cont.).
I Also,
Z Z
0
u (x ) dSy = () u dSy
S (x) S (x)
implies that
Z
lim u (x ) dSy = u(x) . (7.51)
0 S (x)
Problem 7.46
Fill in the details that lead to (7.50), (7.51) and the final
conclusion in the previous proof.
Single Second-Order PDE
Corollary 7.47
In addition to the assumptions of Theorem 7.45, let h : 2 R
be such that hx := h(x, ) is harmonic as well as an element of
C 2 (, R) C 1 (, R) for every x . Further, we define
Gx := x + hx for all x . Then
Z Z
u(x) = Gx 4u dy + [ u (Gx ) Gx (u) ] dSy .
(7.52)
Single Second-Order PDE
Proof.
It follows by (7.49) that
Z Z
hx 4u dy = [ hx (u) u (hx ) ] dSy
0 0
Remark 7.47.1
If, in addition to the assumptions of Theorem 7.47, Gx admits an
extension Gx C( \ {x}, R) that vanishes on for every
x , then we call G the (Dirichlet) Greens function of the
first kind for . In this case
Z Z
u(x) = Gx 4u dy + u (Gx ) dSy
for every x .
Single Second-Order PDE
In the following, we solve the Dirichlet problem for open balls
around the origin.
Theorem 7.48
(Poissons integral) Let n {2, 3} and R > 0. We define
D := {(x, y) R2n : x 6= y}, := UR (0) and
G C (2 \ D, R) by
s
2
|x||y|
G(x, y) := x (y) + R2 2x y
R
s
2
p |x||y|
= |x|2 + |y2 | 2x y + R2 2x y
R
R2 |x|2
Z
f (y)
u(x) := dSy
nRv(B1 (0)) |x y|n
for all x0 .
Single Second-Order PDE
Proof.
(i):
I First, we note that
2 2
|x||y| 2 |x||y|
+R 2xy = R +2 (|x||y|xy) > 0
R R
for all x , y
I and hence that h : 2 R defined by
s
2
|x||y|
h(x, y) := + R2 2x y
R
Proof (cont.).
I is well-defined as well as an element of
C (, R) C 1 (, R).
I As a consequence of
" 2 #
|x||y|
+ R2 2x y |x|2 + |y|2 2x y
R
2
2 2 2 |x||y|
= R (|x| + |y| ) + >0
R
Gx (y) = 0
for all y .
Single Second-Order PDE
Proof (cont.).
I In the following, g denotes the map defined by (7.41)
describing inversion with respect to SRn .
I In the case n > 2, it follows for x Rn and y Rn \ {0, x}
that
Single Second-Order PDE
Proof (cont.).
2n
R
x (y) x (g(y))
|g(y)|
2n
R
= (|x y|) (|x g(y)|)
|g(y)|
" 2n 2n #
1 2n |y| R2
= |x y| x 2 y
n(2 n)v(B1 (0)) R |y|
" 2n #
1 |y| R
= |x y|2n x y
n(2 n)v(B1 (0)) R |y|
Single Second-Order PDE
Proof (cont.).
1 p 2n
= |x|2 + |y2 | 2x y
n(2 n)v(B1 (0))
s 2n
2
|x||y|
+ R2 2x y
R
s
2
p |x||y|
= |x|2 + |y2 | 2x y + R2 2x y
R
= G(x, y)
Single Second-Order PDE
Proof (cont.).
I and hence that h(x, ) is harmonic for every x .
I In the case n = 2, it follows for x Rn and y Rn \ {0, x}
that
1 |y|
(|x y|) (|x g(y)|) ln
2 R
2
1 1 R 1 |y|
= ln |x y| ln x 2 y
ln
2 2 |y| 2 R
1 1 |y| R
= ln |x y| ln x y
2 2 R |y|
s
q 2
|x||y|
= |x|2 + |y2 | 2x y + R2 2x y
R
= G(x, y)
Single Second-Order PDE
Proof (cont.).
I and hence that h(x, ) is harmonic for every x .
(ii):
I According to Remark 7.47.1 it follows for every
v C 2 (, R) C 1 (, R) that
Z Z
v(x) = Gx 4v dy + v (Gx ) dSy (7.53)
for every x ,
I where : Rn is the outer unit normal field on .
Single Second-Order PDE
Proof (cont.).
I Further,
Gx 1
(y) = (yi xi ) |x y|n
yi nv(B1 (0))
1 1
+ 2 yi |x| + xi |x y|n
2
nv(B1 (0)) R
1
R2 |x|2 yi |x y|n
= 2
nR v(B1 (0))
Single Second-Order PDE
Proof (cont.).
I and hence
n
X yi Gx
(Gx )(y) = (y)
i=1
|y| yi
1
R2 |x|2 |x y|n
=
nRv(B1 (0))
Proof (cont.).
I In particular, the special case that v(x) = 1 for all x of
(7.53) leads to Z
K(x, y) dSy = 1
for every x ,
I where Poissons kernel K : R is defined by
1
R2 |x|2 |x y|n
K(x, y) :=
nRv(B1 (0))
Proof (cont.).
I Further, it follows for every y that
K
nRv(B1 (0)) (x, y)
xi
= 2xi |x y|n n R2 |x|2 (xi yi ) |x y|(n+2)
2K
nRv(B1 (0)) (x, y) = 2 |x y|n
xi2
+ 4nxi (xi yi ) |x y|(n+2) n R2 |x|2 |x y|(n+2)
for all x .
I As a consequence, K(, y) is harmonic for every y .
I Hence it follows by differentiation under the integral sign
that u C 2 (, R) and that u is harmonic.
Single Second-Order PDE
Proof (cont.).
I Let x0 , > 0 and > 0 such that
Proof (cont.).
I Then it follows for every x U/2 (x0 ) that
Z
|u(x) f (x0 )| = K(x, y)(f (y) f (x0 )) dSy
Z
6 |K(x, y)| |f (y) f (x0 )| dSy
U (x0 )
Z
+ |K(x, y)| |f (y) f (x0 )| dSy
(Rn \U (x0 ))
n Z
2M(R2 |x|2 )
6+ dSy
nRv(B1 (0)) 2
Single Second-Order PDE
Proof (cont.).
I because
|xy| = |xx0 (yx0 )| > | |xx0 ||yx0 | | > =
2 2
for all y (Rn \ U (x0 )) .
I Obviously, this implies that
R
x 02
-R R x
W
W
-R
45
This equation is also sometimes referred as diffusion equation.
46
For instance, the thermal diffusivity of iron at 27 degrees Celsius is about
0.227 cm2 /s [15].
Single Second-Order PDE
u
(t, x) [u(t, )](x) 6 0
t
for all (t, x) (a, b) . Then u assumes its maximum value
on the part P of the boundary of [a, b] given by
P := ( {a} ) ( [a, b] ) .
Single Second-Order PDE
Proof.
I In a first step, we assume the stronger condition that
u
(t, x) [u(t, )](x) < 0 (7.54)
t
for all (t, x) (a, b) .
I Further, let N such that > 1/(b a).
I Then there is (t , x ) [a, b (1/)] such that
u(t , x ) = max u.
[a,b(1/)]
Single Second-Order PDE
Proof (cont.).
I If (t , x ) (a, b (1/)) , then
u
(t , x ) = 0 , [u(t , )](x ) 6 0
t
I and hence
u
(t , x ) [u(t , )](x ) > 0 , (7.55)
t
I in contradiction to (7.54).
Single Second-Order PDE
Proof (cont.).
I If (t , x ) {b (1/)} , then
u
(t , x ) > 0 , [u(t , )](x ) 6 0
t
I and hence (7.55) in contradiction to (7.54).
I As a consequence,
Proof (cont.).
I Then v is a continuous function that is continuously
partially differentiable in the first variable
I and twice continuously partially differentiable in the
second variable on (a, b)
I as well as such that
v u 1
(t, x) [v (t, )](x) = (t, x) [u(t, )](x) < 0
t t
for all (t, x) (a, b) .
Single Second-Order PDE
Proof (cont.).
I Hence it follows from the first part of the proof that
max v = max v .
[a,b] P
u(t, x) 6 u(t0 , x0 )
Proof (cont.).
I and hence that
max u = max u .
[a,b] P
Appendix
Lemma 8.1
(Transformation of the Laplace operator under inversion
with respect to n-spheres) For this, let n N , R > 0 and
Rn \ {0} be non-empty and open. In addition, let
0 Rn \ {0} be a non-empty open subset such that
g( 0 ) = ,
R2
g(x) := x
|x|2
Lemma (cont.)
Finally, let u C 2 (, R) and u C 2 (0 , R) be defined by
" 2n #
R2
2
2n R
u(x) := u (g(x)) = |x| u x
|| |x|2
Proof.
I For this, we define u C 2 (0 , R) by
2
R
u(x) := (u g)(x) = u x
|x|2
for all x 0 .
I Then, it follows by the chain rule that
n 2
R2
u X u R
(x) = (g(x)) 4 2xi xk ,
2 ik
xi k=1
xk |x| |x|
Appendix
Proof (cont.).
I where (
6 m
0 if l =
lm :=
1 if l = m
for all l, m {1, . . . , n},
Appendix
Proof (cont.).
2 u
(x)
xi2
n
2u
2
R2
2
R2
X R R
= (g(x)) ik 4 2xi xk ij 4 2xi xj
xj xk |x|2 |x| |x|2 |x|
j,k=1
n
4R2 8R2 R2
X u
+ (g(x)) 4 ik xi + 6 xi2 xk 4 2xk
xk |x| |x| |x|
k=1
n
R4 2 u 4R4 X 2u
= (g(x)) xi x j (g(x))
|x|4 xi2 |x|6 j=1 xi xj
n
4R4 2 X 2u
+ 8
x i xj xk (g(x))
|x| xj xk
j,k=1
n
4R2 8R2 R2
X u
+ (g(x)) 4 ik xi + 6 xi2 xk 4 2xk
xk |x| |x| |x|
k=1
Appendix
Proof (cont.).
I and hence
n
R4 R2 X u
(4u)(x) = (4u)(g(x)) + 2(2 n) xk (g(x))
|x|4 |x|4 k=1 xk
for every x 0 .
Appendix
Proof (cont.).
I Further,
u u
(x) = (2 n) xi |x|n u(x) + |x|2n (x) ,
xi xi
2 u
2
(x) = (2 n) |x|n u(x) n(2 n) xi2 |x|(n+2) u(x)
xi
u 2 u
+ 2(2 n) xi |x|n (x) + |x|2n 2 (x)
xi xi
n 2 (n+2)
= (2 n) |x| u(x) n(2 n) xi |x| u(x)
n
R2 R2 2
n
X u
+ 2(2 n) |x| (g(x)) x 4 2xi xk
2 ik i
k=1
x k |x| |x|
2 u
+ |x|2n (x)
xi2
Appendix
Proof (cont.).
I and hence
n
X u
(4u)(x) = 2(2 n) R2 |x|(n+2) xi (g(x)) + |x|2n (4u)(x)
i=1
x i
n 4
X u R
= 2(2 n) R2 |x|(n+2) xi (g(x)) + |x|2n 4
(4u)(g(x))
i=1
xi |x|
n
#
R2 X u R4
+2(2 n) 4 xk (g(x)) = n+2 (4u)(g(x))
|x| xk |x|
k=1
for every x 0 .
Appendix
Lemma 8.2
(Transformation of the Laplace operator in two dimensions
into polar coordinates) For this, let R2 \ {(0, 0)} be
non-empty and open. In addition, let p R2 be a non-empty
open subset such
g(p ) = ,
where g C (R2 , R2 ) is defined by
2 u 1 u 1 2 u
(4u)(g(r, )) = (r, ) + (r, ) + (r, ) (8.1)
r 2 r r r 2 2
Lemma (cont.)
where u C 2 (p , R) is defined by
Proof.
It follows by the chain rule that
u u u
(r, ) = cos() (g(r, )) + sin() (g(r, ))
r x1 x2
u u u
(r, ) = r sin() (g(r, )) + r cos() (g(r, )) ,
x1 x2
Appendix
Proof (cont.).
2 u 2u 2u
(r, ) = cos() cos() 2 (g(r, )) + sin() (g(r, ))
r 2 x1 x2 x1
2u 2u
+ sin() cos() (g(r, )) + sin() 2 (g(r, ))
x1 x2 x2
2 2
u u
= cos2 () 2 (g(r, )) + sin2 () 2 (g(r, ))
x1 x2
2
u
+ 2 sin() cos() (g(r, )) ,
x1 x2
Appendix
Proof (cont.).
2 u u
2
(r, ) = r (r, )
r
2u 2u
r sin() r sin() 2 (g(r, )) + r cos() (g(r, ))
x1 x2 x1
u u
+ r cos() r sin() (g(r, )) + r cos() 2 (g(r, ))
x1 x2 x2
2
2u
u 2 2 u 2
= r (r, ) + r sin () 2 (g(r, )) + cos () 2 (g(r, ))
r x1 x
2
2
u
2 sin() cos() (g(r, ))
x1 x2
Lemma 8.3
(Transformation of the Laplace operator in three
dimensions into cylindrical coordinates) For this, let
R3 \ ({0} {0} R) be non-empty and open. In
addition, let cyl R3 be a non-empty open subset such
g(cyl ) = ,
Lemma (cont.)
Then
2 u 1 u 1 2 u
(4u)(g(r, , z)) = (r, , z) + (r, , z) + (r, , z)
r 2 r r r 2 2
2 u
+ 2 (r, , z) (8.2)
z
for all (r, , z) cyl , where u C 2 (cyl , R) is defined by
Proof.
It follows by the chain rule that
u u u
(r, , z) = cos() (g(r, , z)) + sin() (g(r, , z))
r x1 x2
u u u
(r, , z) = r sin() (g(r, , z)) + r cos() (g(r, , z))
x1 x2
u u
(r, , z) = (g(r, , z)) ,
z x3
Appendix
Proof (cont.).
2 u
(r, , z)
r 2
2u 2u
= cos() cos() 2 (g(r, , z)) + sin() (g(r, , z))
x1 x2 x1
2u 2u
+ sin() cos() (g(r, , z)) + sin() 2 (g(r, , z))
x1 x2 x2
2u 2u
= cos2 () 2
(g(r, , z)) + sin2 () 2 (g(r, , z))
x1 x2
2u
+ 2 sin() cos() (g(r, , z)) ,
x1 x2
Appendix
Proof (cont.).
2 u u
2
(r, , z) = r (r, , z)
r
2u 2u
r sin() r sin() 2 (g(r, , z)) + r cos() (g(r, , z))
x1 x2 x1
u u
+ r cos() r sin() (g(r, , z)) + r cos() 2 (g(r, , z))
x1 x2 x2
2 2
u u
= r 2 sin2 () 2 (g(r, , z)) + cos2 () 2 (g(r, , z))
x x2
2
u
2 sin() cos() (g(r, , z)) ,
x1 x2
2 u 2u
(r, , z) = (g(r, , z))
z2 x32
Lemma 8.4
(Transformation of the Laplace operator in three
dimensions into spherical coordinates) For this, let
R3 \ ({0} {0} R) be non-empty and open. In
addition, let sph R3 be a non-empty open subset such
g(sph ) = ,
Proof (cont.).
u u
(r, , z) = r sin() sin() (g(r, , z))
x1
u
+ r sin() cos() (g(r, , z)) ,
x2
Appendix
Proof (cont.).
2 u 2 2 2u
(r, , z) = sin () cos () (g(r, , z))
r 2 x12
2u
+ sin2 () sin() cos() (g(r, , z))
x2 x1
2u
+ sin() cos() cos() (g(r, , z))
x3 x1
2u
+ sin2 () sin() cos() (g(r, , z))
x1 x2
2u
+ sin2 () sin2 () 2 (g(r, , z))
x2
2u
+ sin() cos() sin() (g(r, , z))
x3 x2
2u
+ sin() cos() cos() (g(r, , z))
x1 x3
Appendix
Proof (cont.).
2u
+ sin() cos() sin() (g(r, , z))
x2 x3
2u
+ cos2 () (g(r, , z))
x32
2u 2u
= sin2 () cos2 () (g(r, , z)) + sin 2
() sin 2
() (g(r, , z))
x12 x22
2u 2u
+ cos2 () (g(r, , z)) + 2 sin 2
() sin() cos() (g(r, , z))
x32 x1 x2
2u
+ 2 sin() cos() cos() (g(r, , z))
x1 x3
2u
+ 2 sin() cos() sin() (g(r, , z)) ,
x2 x3
Appendix
Proof (cont.).
2 u u 2 2 2 2u
(r, , z) = r (r, , z) + r cos () cos () (g(r, , z))
2 r x12
2u
+ r 2 cos2 () sin() cos() (g(r, , z))
x2 x1
2u
r 2 sin() cos() cos() (g(r, , z))
x3 x1
2u
+ r 2 cos2 () sin() cos() (g(r, , z))
x1 x2
2u
+ r 2 cos2 () sin2 () 2 (g(r, , z))
x2
2u
r 2 sin() cos() sin() (g(r, , z))
x3 x2
2u
r 2 sin() cos() cos() (g(r, , z))
x1 x3
Appendix
Proof (cont.).
2u
r 2 sin() cos() sin() (g(r, , z))
x2 x3
2u
+ r 2 sin2 () (g(r, , z))
x32
u 2u
= r (r, , z) + r 2 cos2 () cos2 () 2 (g(r, , z))
r x1
2u 2u
+ r 2 cos2 () sin2 () (g(r, , z)) + r 2
sin 2
() (g(r, , z))
x22 x32
2u
+ 2r 2 cos2 () sin() cos() (g(r, , z))
x1 x2
2u
2r 2 sin() cos() cos() (g(r, , z))
x1 x3
2u
2r 2 sin() cos() sin() (g(r, , z))
x2 x3
Appendix
Proof (cont.).
2 u u u
(r, , z) = r (r, , z) + r cos() (g(r, , z))
2 r x3
2u
+ r 2 sin2 () sin2 () 2 (g(r, , z))
x1
2u
r 2 sin2 () sin() cos() (g(r, , z))
x2 x1
2u
r 2 sin2 () sin() cos() (g(r, , z))
x1 x2
2u
+ r 2 sin2 () cos2 () 2 (g(r, , z))
x2
u u
= r (r, , z) + r cos() (g(r, , z))
r x3
2u 2u
+ r 2 sin2 () sin2 () 2 (g(r, , z)) + cos2 () 2 (g(r, , z))
x1 x2
2
u
2 sin() cos() (g(r, , z))
x1 x2
Appendix
Proof (cont.).
This implies that
2 u 1 2 u
(r, , z) + (r, , z)
r 2 r 2 2
2u 2u
= cos2 () 2 (g(r, , z)) + sin2 () 2 (g(r, , z))
x1 x2
2
u 2u
+ (g(r, , z)) + 2 sin() cos() (g(r, , z))
x32 x1 x2
1 u
(r, , z) ,
r r
Appendix
Proof (cont.).
2 u 1 cos() u
(r, , z) + 2 (r, , z)
r r r sin()
1 u cos2 () cos() u
= (r, , z) + (g(r, , z))
r r r sin() x1
cos2 () sin() u cos() u
+ (g(r, , z)) (g(r, , z))
r sin() x2 r x3
sin() cos() u sin() sin() u
+ (g(r, , z)) + (g(r, , z))
r x1 r x2
cos() u
+ (g(r, , z))
r x3
1 u cos() u sin() u
= (r, , z) + (g(r, , z)) + (g(r, , z))
r r r sin() x1 r sin() x2
1 u 1 u cos() u
= (r, , z) + 2
(r, , z) (g(r, , )) ,
r r r sin () r r sin2 () x3
Appendix
Proof (cont.).
1 2 u
(r, , z)
r 2 sin2 () 2
1 u cos() u
= 2 (r, , z) + (g(r, , z))
r sin () r r sin2 () x3
2u 2u
+ sin2 () 2 (g(r, , z)) + cos2 () 2 (g(r, , z))
x1 x2
2
u
2 sin() cos() (g(r, , z))
x1 x2
and, finally, (8.3) for all (r, , z) sph .
Index I
Partial differential equation
first-order
linear, 81
Cardanos formulas, 271
Conformal map, 534
Euclidean transformations, 528
Harmonic function, 546, 608, 617
Inversions with respect to n-spheres, 555, 676
Laplace operator, 400
Greens function, 643
Greens representation formula, 630
in cylindrical coordinates, 570, 689
in polar coordinates, 561, 684
in spherical coordinates, 574, 694
Poissons integral, 644
Index II
Poissons kernel, 657
One-point compactification of Rn , 612
Partial differential equation
a priori estimate, 178, 623
asymptotic of solutions, 123
biharmonic equation, 33
Burgers equation, 38
Hopf-Cole transformation, 38
inviscid, 234
Cauchy-Kowalevski theorem, 138
characteristic curve, 83, 195
characteristic hypersurface, 161, 392
characteristic method, 82, 193
characteristic paths, 83, 194
characteristic vector field, 82, 88, 193
characteristics, 83
Index III
conservation law, 106, 255
continuity equation, 106
definition, 18
diffusion equation, 38, 52, 664
maximum principle, 666
elliptic, 49, 405
Hopf maximum principle, 593
strong maximum principle, 586, 603
a priori estimate, 623
Dirichlet problem, 620, 628
Hadamards example, 516
initial boundary value problem, 516
energy method, 167
Euler, 234
first-order
quasi-linear, 192
Index IV
semi-linear, 199
Hamilton-Jacobi, 20
heat equation, 38, 52, 57, 429, 664
maximum principle, 666
hyperbolic, 53, 405
Klein-Gordon, 400, 469
Laplaces equation, 33, 55, 56
linear, 28
mass conservation, 106
method of descent, 459
method of separation of variables, 509
Navier-Stokes equation, 38
Hopf-Cole transformation, 38
non-characteristic hypersurface, 161, 392
non-linear, 28
nonuniqueness of solutions, 141, 147
Index V
order, 19
parabolic, 52, 405, 664
Poissons equation, 49, 620
principal part, 82, 194
quantum field theory, 33
second-order
conservation laws, 485, 493
linear, constant coefficients, 419
quasi-linear, 388
shock condition, 261
shock solution, 249
singular point, 103
symmetry transformation, 480
telegraph equation, 33
transformations, 45, 420, 427, 528, 560
Tricomi, 409
Index VI
ultrahyperbolic, 405
uniqueness of the solutions, 180, 504
wave equation
boundary value problem, 506
focusing effect, 60, 455
backward characteristic cone, 404
caustic, 455
conservation laws, 475
domain of dependence, 373, 450, 464, 474
domain of influence, 374, 452, 465, 504
Duhamels integral, 472
energy density, 486, 494
energy flux density, 486, 494
energy inequality, 498
forward characteristic cone, 404
Huygens principle, 449, 464
Index VII
in one space dimension, 43, 362
in three space dimensions, 53, 59, 430
in two space dimensions, 58, 458
inhomogeneous, 362, 471
inhomogeneous solution, 368, 473
initial value problem is well-posed, 375, 450, 453, 466
instability, 381
Kirchhoffs formula, 441
local uniqueness of the solutions, 504
solution, 368, 441, 463
weak solution, 257
Separation constants, 513
Special Relativity, 452
Stereographic projection, 612
System of PDE
Cauchy-Riemann, 29, 292, 538
Index VIII
characteristic hypersurface, 287
definition, 27
Euler, 316
first-order
elliptic, 341
hyperbolic, 341
quasi-linear, 283
symmetric hyperbolic, 341
Maxwells equations, 33
method of separation of variables, 336
plane waves, 336
Riemann invariants, 332
symmetric hyperbolic, 283, 303
dissipative boundary condition, 310
uniqueness of the solutions, 303
vector fields
Index IX
direction field, 67
integral curves, 75
maximal, 77
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