Partial Differential
Equations
Qing Han
Graduate Studies
in Mathematics
Volume 120
Qing Han
Graduate Studies
in Mathematics
Volume 120
QA377.H31819 2010
515. 353dc22
2010043189
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10 9 8 7 6 5 4 3 2 1 16 15 14 13 12 11
To Yansu, Raymond and Tommy
Contents
Preface ix
Chapter 1. Introduction 1
1.1. Notation 1
1.2. WellPosed Problems 3
1.3. Overview 5
vii
viii Contents
ix
x Preface
and the wave equation. We discuss energy methods for proving uniqueness
and nd solutions in the plane by separation of variables. The explicit
expressions of solutions demonstrate dierent properties of solutions of dif
ferent types of PDEs. Such dierences clearly indicate that there is unlikely
to be a unied approach to studying PDEs.
Third, we focus on simple models of PDEs and study these equations in
detail. We have chapters devoted to the Laplace equation, the heat equation
and the wave equation, and use several methods to study each equation.
For example, for the Laplace equation, we use three dierent methods to
study its solutions: the fundamental solution, the meanvalue property and
the maximum principle. For each method, we indicate its advantages and
its shortcomings. General equations are not forgotten. We also discuss
maximum principles for general elliptic and parabolic equations and energy
estimates for general hyperbolic equations.
The book is designed for a onesemester course at the graduate level.
Attempts have been made to give a balanced coverage of dierent classes
of partial dierential equations. The choice of topics is inuenced by the
personal tastes of the author. Some topics may not be viewed as basic by
others. Among those not found in PDE textbooks at a comparable level
are estimates in L norms and L2 norms of solutions of the initialvalue
problem for the rstorder linear dierential equations, interior gradient es
timates and dierential Harnack inequality for the Laplace equation and the
heat equation by the maximum principle, and decay estimates for solutions
of the wave equation. Inclusions of these topics reect the emphasis on
estimates in this book.
This book is based on onesemester courses the author taught at the Uni
versity of Notre Dame in the falls of 2007, 2008 and 2009. During the writing
of the book, the author benetted greatly from comments and suggestions of
many of his friends, colleagues and students in his classes. Tiancong Chen,
YenChang Huang, Gang Li, Yuanwei Qi and Wei Zhu read the manuscript
at various stages. Minchun Hong, Marcus Khuri, Ronghua Pan, Xiaodong
Wang and Xiao Zhang helped the author write part of Chapter 8. Hairong
Liu did a wonderful job of typing an early version of the manuscript. Special
thanks go to Charles Stanton for reading the entire manuscript carefully and
for many suggested improvements.
I am grateful to Natalya Pluzhnikov, my editor at the American Math
ematical Society, for reading the manuscript and guiding the eort to turn
it into a book. Last but not least, I thank Edward Dunne at the AMS for
his help in bringing the book to press.
Qing Han
Chapter 1
Introduction
1.1. Notation
In general, we denote by x points in Rn and write x = (x1 , , xn ) in terms
of its coordinates. For any x Rn , we denote by x the standard Euclidean
norm, unless otherwise stated. Namely, for any x = (x1 , , xn ), we have
1
n 2
x = x2i .
i=1
1
2 1. Introduction
 u =
m 2
 u .
=m
In particular,
1
n 2
u = u2xi ,
i=1
and
1
n 2
 u =
2
u2xi xj .
i,j=1
A hypersurface in Rn
is a surface of dimension n 1. Locally, a C m 
hypersurface can be expressed by { = 0} for a C m function with = 0.
Alternatively, by a rotation, we may take (x) = xn (x1 , , xn1 ) for a
C m function of n 1 variables. A domain Rn is C m if its boundary
is a C m hypersurface.
1.2. WellPosed Problems 3
Several PDEs involving one or more unknown functions and their deriva
tives form a partial dierential system. We dene linear and quasilinear
partial dierential systems accordingly.
In this book, we will focus on rstorder and secondorder linear PDEs
and rstorder linear dierential systems. On a few occasions, we will diverge
to nonlinear PDEs.
1.3. Overview
There are eight chapters in this book.
The main topic in Chapter 2 is rstorder PDEs. In Section 2.1, we in
troduce the basic notion of noncharacteristic hypersurfaces for initialvalue
problems for rstorder PDEs. We discuss rstorder linear PDEs, quasilin
ear PDEs and general nonlinear PDEs. In Section 2.2, we solve initialvalue
6 1. Introduction
expression for solutions of the initialvalue problem for the heat equation.
In Section 5.2, we prove that such an expression indeed yields a classical
solution under appropriate assumptions on initial values. We also discuss
regularity of arbitrary solutions of the heat equation by the fundamental
solution. In Section 5.3, we discuss the maximum principle for the heat
equation and its applications. In particular, we use the maximum principle
to derive interior gradient estimates for solutions of the heat equation and
the Harnack inequality for positive solutions of the heat equation.
In Chapter 6, we study the ndimensional wave equation, which rep
resents vibrations of strings or propagation of sound waves in tubes for
n = 1, waves on the surface of shallow water for n = 2, and acoustic or
light waves for n = 3. In Section 6.1, we discuss initialvalue problems and
various initial/boundaryvalue problems for the onedimensional wave equa
tion. In Section 6.2, we study initialvalue problems for the wave equation
in higherdimensional spaces. We derive explicit expressions of solutions in
odd dimensions by the method of spherical average and in even dimensions
by the method of descent. We also discuss global behaviors of solutions.
Then in Section 6.3, we derive energy estimates for solutions of initialvalue
problems. Chapter 6 is relatively independent of Chapter 4 and Chapter 5
and can be taught after Chapter 3.
In Chapter 7, we discuss partial dierential systems of rst order and
focus on existence of local solutions. In Section 7.1, we introduce non
characteristic hypersurfaces for partial dierential equations and systems of
arbitrary order. We demonstrate that partial dierential systems of arbi
trary order can always be changed to those of rst order. In Section 7.2,
we discuss the CauchyKovalevskaya theorem, which asserts the existence of
analytic solutions of noncharacteristic initialvalue problems for dierential
systems if all data are analytic. In Section 7.3, we construct a rstorder
linear dierential system in R3 which does not admit smooth solutions in
any subsets of R3 . In this system, coecient matrices are analytic and the
nonhomogeneous term is a suitably chosen smooth function.
In Chapter 8, we discuss several dierential equations we expect to study
in more advanced PDE courses. Discussions in this chapter will be brief.
In Section 8.1, we discuss basic secondorder linear dierential equations,
including elliptic, parabolic and hyperbolic equations, and rstorder linear
symmetric hyperbolic dierential systems. We will introduce appropriate
boundaryvalue problems and initialvalue problems and introduce appro
priate function spaces to study these problems. In Section 8.2, we introduce
several important nonlinear equations and focus on their background. This
chapter is designed to be introductory.
8 1. Introduction
Each chapter, except this introduction and the nal chapter, ends with
exercises. Level of diculty varies considerably. Some exercises, at the most
dicult level, may require long lasting eorts.
Chapter 2
FirstOrder Dierential
Equations
9
10 2. FirstOrder Dierential Equations
u
6 u(, t1 ) u(, t2 )

 x
t2 t1
In light of Example 2.1.1, we will introduce initial values for (2.1.1) and
discuss whether initial values determine solutions.
Let be a smooth hypersurface in Rn with = . We intend to
prescribe u on to nd a solution of (2.1.1). To be specic, let u0 be a given
smooth function on . We will nd a solution u of (2.1.1) also satisfying
(2.1.2) u = u0 on .
We usually call the initial hypersurface and u0 the initial value or Cauchy
value. The problem of solving (2.1.1) together with (2.1.2) is called the
initialvalue problem or Cauchy problem. Our main focus is to solve such an
initialvalue problem under appropriate conditions.
We start with the following question. Given an initial value (2.1.2) for
equation (2.1.1), can we compute all derivatives of u at each point of the
initial hypersurface ? This should be easier than solving the initialvalue
problem (2.1.1)(2.1.2).
To illustrate the main ideas, we rst consider linear PDEs. Let be a
domain in Rn containing the origin and ai , b and f be smooth functions in
, for any i = 1, , n. We consider
n
(2.1.3) ai (x)uxi + b(x)u = f (x) in .
i=1
Here, ai and b are coecients of uxi and u, respectively. The function f is
called the nonhomogeneous term. If f 0, (2.1.3) is called a homogeneous
equation.
We rst consider a special case where the initial hypersurface is given
by the hyperplane {xn = 0}. For x Rn , we write x = (x , xn ) for x =
(x1 , , xn1 ) Rn1 . Let u0 be a given smooth function in a neighborhood
of the origin in Rn1 . The initial condition (2.1.2) has the form
(2.1.4) u(x , 0) = u0 (x ),
for any x Rn1 suciently small.
Let u be a smooth solution of (2.1.3) and (2.1.4). In the following, we
will investigate whether we can compute all derivatives of u at the origin in
terms of the equation and the initial value. It is obvious that we can nd
all x derivatives of u at the origin in terms of those of u0 . In particular, we
have, for i = 1, , n 1,
uxi (0) = u0,xi (0).
To nd uxn (0), we need to use the equation. We note that an is the coecient
of uxn in (2.1.3). If we assume
(2.1.5) an (0) = 0,
12 2. FirstOrder Dierential Equations
then by (2.1.3)
n1
1
uxn (0) = ai (0)uxi (0) + b(0)u(0) f (0) .
an (0)
i=1
for i = 1, , n 1, and
n1
1
uxn (0) = ai 0, u0 (0) uxi (0) f 0, u0 (0)
an 0, u0 (0) i=1
if
an 0, u0 (0) = 0.
Similar to (2.1.5), this is the noncharacteristic condition for (2.1.8) at the
origin if the initial hypersurface is given by {xn = 0}.
In general, let x0 be a point in Rn and be a smooth hypersurface
containing x0 . Let u0 be a prescribed smooth function on and ai and f be
smooth functions in a neighborhood of (x0 , u(x0 )) Rn R, for i = 1, , n.
Then for quasilinear PDE (2.1.8), is noncharacteristic at x0 with respect
to u0 if
n
(2.1.9) ai x0 , u0 (x0 ) i = 0,
i=1
where = (1 , , n ) is normal to at x0 .
2.1. Noncharacteristic Hypersurfaces 15
where = (1 , , n ) is normal to at x0 .
Proof. This follows easily from the implicit function theorem. By standard
results in ordinary dierential equations, (2.2.4) admits a smooth solution
x = x(y, s) for any suciently small (y, s) Rn1 R. We treat it as a
map (y, s) x and calculate its Jacobian matrix J at (y, s) = (0, 0). By
x(y, 0) = (y, 0), we have
a1 (0)
x Id
..
.
J(0) = = .
(y, s) (y,s)=(0,0) an1 (0)
0 0 an (0)
Hence det J(0) = an (0) = 0.
uniquely for small y and s. Then u(x) = u0 (y) yields a solution of (2.2.1).
Note that s is not present in the expression of solutions. Hence the value
xn 6
x
(y, 0)
Rn1
of the solution u(x) depends only on the initial value u0 at (y, 0) and, mean
while, the initial value u0 at (y, 0) inuences the solution u along the integral
curve starting from (y, 0). Therefore, we say the domain of dependence of
the solution u(x) on the initial value is represented by the single point (y, 0)
and the range of inuence of the initial value at a point (y, 0) on solutions
consists of the integral curve starting from (y, 0).
For n = 2, integral curves are exactly characteristic curves. This can be
seen easily by (2.2.2) and Denition 2.1.2. Hence the ODE (2.2.2) is often
referred to as the characteristic ODE. This term is adopted for arbitrary
dimensions. We have demonstrated how to solve homogeneous rstorder
linear PDEs by using characteristic ODEs. Such a method is called the
method of characteristics. Later on, we will develop a similar method to
solve general rstorder PDEs.
We need to emphasize that solutions constructed by the method of char
acteristics are only local. In other words, they exist only in a neighborhood
of the origin. A natural question here is whether there exists a global so
lution for globally dened a and u0 . There are several reasons that local
solutions cannot be extended globally. First, u(x) cannot be evaluated at
x Rn if x is not on an integral curve from the initial hypersurface, or equiv
alently, the integral curve from x does not intersect the initial hypersurface.
Second, u(x) cannot be evaluated at x Rn if the integral curve starting
from x intersects the initial hypersurface more than once. In this case, we
cannot prescribe initial values arbitrarily. They must satisfy a compatibility
condition.
Example 2.2.3. We discuss the initialvalue problem for the equation in
Example 2.1.1. We denote by (x, t) points in R2 and let u0 be a smooth
20 2. FirstOrder Dierential Equations
function in R. We consider
u t + ux = 0 in R (0, ),
u(, 0) = u0 on R.
It is easy to verify that {t = 0} is noncharacteristic. The characteristic ODE
and corresponding initial values are given by
dx dt
= 1, = 1,
ds ds
and
x(0) = x0 , t(0) = 0.
Here, both x and t are treated as functions of s. Hence
x = s + x0 , t = s.
By eliminating s, we have
x t = x0 .
This is a straight line containing (x0 , 0) and with a slope 1. Along this
straight line, u is constant. Hence
u(x, t) = u0 (x t).
We interpreted the fact that u is constant along the straight line x t = x0
in Example 2.1.1. With t as time, the graph of the solution represents a
wave propagating to the right with velocity 1 without changing shape. It is
clear that u exists globally in R2 .
t 6

x0 x1 x
This is the compatibility condition for the initial value u0 . Even if the origin
is the only point where {xn = 0} is characteristic, solutions may not exist in
any neighborhood of the origin for initial values satisfying the compatibility
condition (2.2.9). Refer to Exercise 2.5.
Then
(2.2.15) F (x1 , , xn , u, p1 , , pn ) = 0.
n
Fpj pj,xi + Fxi + Fu uxi = 0 for i = 1, , n.
j=1
n
(2.2.16) Fpj pi,xj = Fxi Fu uxi for i = 1, , n.
j=1
dxj
= Fpj for j = 1, , n,
ds
dpi
= Fu pi Fxi .
ds
We also have
du
n n
dxj
= uxj = pj Fpj .
ds ds
j=1 j=1
We should note that this solution u depends on the choice of the scalar
a0 and the function a(x ).
where
dxn
(0, 0) = Fpn (0, u0 (0), x u0 (0), a0 ).
ds
Hence det J(0) = 0 by the noncharacteristic condition (2.2.12). By the
implicit function theorem, for any x Rn suciently small, we can solve
28 2. FirstOrder Dierential Equations
Hence f (s) 0.
Step 3. We claim that
pi (y, s) = uxi (x(y, s)) for i = 1, , n,
for any y and s suciently small. Let
wi (s) = uxi (x(y, s)) pi (y, s) for i = 1, , n.
We will prove that
wi (s) = 0 for any s small and i = 1, , n.
By Step 2,
F x, u(x), p1 (x), , pn (x) = 0.
Dierentiating with respect to xi , we have
n
Fxi + Fu uxi + Fpj pj,xi = 0.
j=1
Hence
dwi n
= Fxi Fu uxi (Fpj )xi wj + Fu pi + Fxi
ds
j=1
n
= F u wi (Fpj )xi wj ,
j=1
or
dwi n
= Fu ij + (Fpj )xi wj .
ds
j=1
This ends the proof of Step 3.
Step 2 and Step 3 imply that u is the desired solution.
Here, we estimate the supnorm of u in [0, T ] by the initial value u(0) and
the supnorm of the nonhomogeneous term f in [0, T ].
Now we turn to PDEs. For convenience, we work in Rn (0, ) and
denote points by (x, t), with x Rn and t (0, ). In many applications,
we interpret x as the space variable and t the time variable.
2.3. A Priori Estimates 31
(a, 1)
t
MB 6
B
@ B
@
@
@
@
@ 
Rn
+
t6
(a, 1) (a, 1)
MB
B
S
B S
S
S 
S
S
Rn
It is easy to see that the integral curve associated with (2.3.2) start
ing from P and going to the initial hypersurface Rn {0} stays in C (P ).
In fact, this is true for any point (x, t) C (P ). This suggests that solu
tions in C (P ) should depend only on f in C (P ) and the initial value u0
on C (P ). The following result, proved by a maximum principle type
argument, conrms this.
t
6
P
S
S
S
S 
S
S
Rn
We will prove
e t u(x, t) M + tF for any (x, t) C (P ).
For the upper bound, we consider
w(x, t) = e t u(x, t) M tF.
34 2. FirstOrder Dierential Equations
t6
JJ
J

J
Rn
An integration in C (P ) yields
n
et t + ai i u2 dS
s C (P ) i=1
n
t
+ e + 2b ai,xi u2 dxdt
C (P ) i=1
= u20 dx + 2et uf dxdt,
C (P ) C (P )
2.3. A Priori Estimates 37
and hence
n
t + ai i 0 on s C (P ).
i=1
Next, we choose such that
n
+ 2b ai,xi 2 in C (P ).
i=1
Then
t 2
2 e u dxdt u20 dx + 2et uf dxdt.
C (P ) C (P ) C (P )
Proof. We rst take > 0 such that (2.3.1) holds. Take any t > T and
t6
J
J
J
J
J
J 
Rn
consider
D(t) = {(x, t) : x < t t, 0 < t < T }.
In other words,
D(t) = C (0, t) {0 < t < T }.
We denote by D(t), s D(t) and + D(t) the bottom, the side and the top
of the boundary, i.e.,
We note that t enters this estimate only through the domain D(t). Hence,
we may let t to get the desired result.
2.3.3. Weak Solutions. Anyone beginning to study PDEs might well ask,
what a priori estimates are good for. One consequence is of course the
uniqueness of solutions, as shown in Corollary 2.3.2. In fact, one of the
most important applications of Theorem 2.3.5 is to prove the existence of
a weak solution of the initialvalue problem (2.3.2). We illustrate this with
the homogeneous initial value, i.e., u0 = 0.
To introduce the notion of a weak solution, we x a T > 0 and consider
functions in Rn (0, T ). Set
n
(2.3.3) Lu = ut + ai uxi + bu in Rn (0, T ).
i=1
Then
n
vLu = uL v + (uv)t + (ai uv)xi .
i=1
40 2. FirstOrder Dierential Equations
We now require that u and v vanish for large x. Then by a simple integration
in Rn (0, T ), we obtain
vLu dxdt = uL v dxdt
R (0,T )
n R (0,T )
n
+ uv dx uv dx.
Rn {t=T } Rn {t=0}
We note that derivatives are transferred from u in the lefthand side to v in
the righthand side. Integrals over {t = 0} and {t = T } will disappear if we
require, in addition, that uv = 0 on {t = 0} and {t = T }.
Denition 2.3.6. Let f and u be functions in L2 (Rn (0, T )). Then u is
a weak solution of Lu = f in Rn (0, T ) if
(2.3.4) uL v dxdt = f v dxdt,
Rn (0,T ) Rn (0,T )
for any v C 1 (Rn (0, T )) C(Rn [0, T ]) with v(x, t) = 0 for any (x, t)
with large x and any (x, t) = (x, T ).
in C01 (Rn (0, T )) vanish for large x and for t close to 0 and T , and functions
1 (Rn (0, T )) vanish only for large x.
in C 0
We note that, with L in (2.3.3), we can rewrite the estimate in Theorem
2.3.5 as
uL2 (Rn (0,T )) C u(, 0)L2 (Rn ) + LuL2 (Rn (0,T )) ,
where C is a positive constant depending only on T , the C 1 norms
of ai and the supnorm of b in Rn (0, T ). This holds for any u
C 1 (Rn (0, T )) C(Rn [0, T )) with Lu L2 (Rn (0, T )) and u(, 0)
L2 (Rn ). In particular, we have
(2.3.6) uL2 (Rn (0,T )) CLuL2 (Rn (0,T )) ,
1 (Rn (0, T )) C(Rn [0, T )) with u = 0 on {t = 0}.
for any u C 0
for any v C01 (Rn (0, T )). Since C01 (Rn (0, T )) is dense in L2 (Rn (0, T )),
we conclude that
Lu = f in Rn (0, T ).
Therefore,
uv dx = 0,
Rn {t=0}
1 (Rn (0, T )) C(Rn [0, T ]) with v = 0 on {t = T }. This
for any v C 0
implies
u(, 0) dx = 0 for any C01 (Rn ).
Rn
2.4. Exercises 43
u(, 0) = 0 on Rn .
We note that a crucial step in passing from weak solutions to classical solu
tions is to improve the regularity of weak solutions.
Now we summarize the process of establishing solutions by using a priori
estimates in the following four steps:
Step 1. Prove a priori estimates.
Step 2. Prove the existence of a weak solution by methods of functional
analysis.
Step 3. Improve the regularity of a weak solution.
Step 4. Prove that a weak solution with sucient regularity is a classical
solution.
In discussions above, we carried out Steps 1, 2 and 4. Now we make
several remarks on Steps 3 and 4. We recall that in Step 4 we proved that
weak solutions with continuous derivatives are classical solutions. The re
quirement of continuity of derivatives can be weakened. It suces to assume
that u has derivatives in the L2 sense and to verify that the integration by
parts can be performed. Then we can conclude that Lu = f almost every
where. Because of this relaxed regularity requirement, we need only prove
that weak solutions possess derivatives in the L2 sense in Step 3. The proof
is closely related to a priori estimates of derivatives of solutions. The brief
discussion here suggests the necessity of introducing new spaces of functions,
functions with derivatives in L2 . These are the Sobolev spaces, which play
a fundamental role in PDEs. In subsequent chapters, Sobolve spaces will
come up for dierent classes of equations. We should point out that Sobolev
spaces and weak solutions are not among the main topics in this book. Their
appearance in this book serves only as an illustration of their importance.
2.4. Exercises
Exercise 2.1. Find solutions of the following initialvalue problems in R2 :
2 /2
(1) 2uy ux + xu = 0 with u(x, 0) = 2xex ;
(2) uy + (1 + x2 )u x u = 0 with u(x, 0) = arctan x.
Exercise 2.4. Find a smooth function a = a(x, y) in R2 such that, for the
equation of the form
uy + a(x, y)ux = 0,
there does not exist any solution in the entire R2 for any nonconstant initial
value prescribed on {y = 0}.
Exercise 2.7. In the plane, solve uy = 4u2x near the origin with u(x, 0) = x2
on {y = 0}.
2.4. Exercises 45
An Overview of
SecondOrder PDEs
47
48 3. An Overview of SecondOrder PDEs
its initial values, while the regularity of a solution of the wave equation is
similar to the regularity of its initial values. Such a dierence in regularity
suggests that dierent methods are needed to study these two equations.
3.1. Classications
The main focus in this section is the secondorder linear PDEs. We proceed
as in Section 2.1.
Let be a domain in Rn containing the origin and aij , bi and c be
continuous functions in , for i, j = 1, , n. Consider a secondorder
linear dierential operator L dened by
n
n
(3.1.1) Lu = aij (x)uxi xj + bi (x)uxi + c(x)u in .
i,j=1 i=1
and
To compute uxn xn (0), we need to use the equation. We note that ann is the
coecient of uxn xn in (3.1.2). If we assume
then by (3.1.2)
1
uxn xn (0) = aij (0)uxi xj (0)
ann (0)
(i,j)=(n,n)
n
+ bi (0)uxi (0) + c(0)u(0) f (0) .
i=1
For the operator L in (3.1.6), the symmetric matrix (aij ) always has two
(real) eigenvalues. Then
L is elliptic if the two eigenvalues have the same sign;
L is hyperbolic if the two eigenvalues have dierent signs;
L is degenerate if at least one of the eigenvalues vanishes.
The number of characteristic curves is determined by the type of the
operator. For the operator L in (3.1.6),
there are two characteristic curves if L is hyperbolic;
there are no characteristic curves if L is elliptic.
and
(2 x1 1 x2 )[ux2 ] = 0.
Then we conclude
2 [ux1 x1 ] 1 [ux1 x2 ] = 0,
and
2 [ux1 x2 ] 1 [ux2 x2 ] = 0.
By the continuity of aij , bi , c and f in , we have
a11 [ux1 x1 ] + 2a12 [ux1 x2 ] + a22 [ux2 x2 ] = 0 on .
Thus, the nontrivial vector ([ux1 x1 ], [ux1 x2 ], [ux2 x2 ]) satises a 3 3 homoge
neous linear system on . Hence the coecient matrix is singular. That is,
on
2 1 0
det 0 2 1 = 0,
a11 2a12 a22
or
a11 12 + 2a12 1 2 + a22 22 = 0.
This yields the desired result.
The Laplace operator, the wave operator and the heat operator can be
generalized to higher dimensions.
Example 3.1.7. The ndimensional Laplace operator in Rn is dened by
n
u = uxi xi ,
i=1
and the Laplace equation is given by u = 0. Solutions are called harmonic
functions. The principal symbol of the Laplace operator is given by
p(x; ) = 2 ,
for any Rn . Obviously, is elliptic. Note that is invariant under
rotations. If x = Ay for an orthogonal matrix A, then
n
n
uxi xi = uy i y i .
i=1 i=1
For a nonzero function f , we call the equation u = f the Poisson equation.
The Laplace equation has a wide variety of physical backgrounds. For
example, let u denote a temperature in equilibrium in a domain Rn
with the ux density F. Then for any smooth subdomain , the net
ux of u through is zero, i.e.,
F dS = 0,
56 3. An Overview of SecondOrder PDEs
@
@
@
@
@
@ (x0 , t0 )
@
@
@
@
@@
where F is the force acting on through and the mass density is taken
to be 1. Upon integration by parts, we obtain
d2
u dx = div F dx.
dt2
This implies
utt = div F in ,
since is arbitrary. In a special case F = au for a positive constant a,
we have
utt = a div(u) = au.
This is the wave equation if a = 1.
The heat equation and the wave equation can be generalized to para
bolic equations and hyperbolic equations in arbitrary dimensions. Again,
we denote points in Rn+1 by (x1 , , xn , t). Let aij , bi , c and f be functions
dened in a domain in Rn+1 , i, j = 1, , n. We assume (aij ) is an n n
positive denite matrix in this domain. An equation of the form
n
n
ut aij (x, t)uxi xj + bi (x, t)uxi + c(x, t)u = f (x, t)
i=1 i=1
is hyperbolic.
satises
w = 0 in ,
w=0 on .
We multiply the Laplace equation by w and write the resulting product as
n
0 = ww = (wwxi )xi w2 .
i=1
Proof. We write Rn = Rn1 R. For any x0 Rn1 , let lx0 be the straight
line containing x0 and normal to Rn1 {0}. Consider those x0 such that
lx0 = . Now lx0 is the union of a countable collection of pairwise
disjoint open intervals. Let I be such an interval. Then I and I has
the form
I = {(x0 , xn ) : a < xn < b},
where (x0 , a), (x0 , b) . Since u(x0 , a) = 0, then
xn
u(x0 , xn ) = uxn (x0 , s)ds for any xn (a, b).
a
xn 6
lx0

x0 Rn1
where Cx0 is the length of lx0 in . Now a simple integration over x0 yields
the desired result.
Now consider
u = f in ,
(3.2.1)
u = 0 on .
We note that u has a homogeneous Dirichlet boundary value on .
Theorem 3.2.3. Let Rn be a bounded C 1 domain and f be a contin
uous function in . Suppose u C 2 () C 1 () is a solution of (3.2.1).
Then
uL2 () + uL2 () Cf L2 () ,
where C is a positive constant depending only on .
Proof. Multiply the equation in (3.2.1) by u and write the resulting product
in the lefthand side as
n
uu = (uuxi )xi u2 .
i=1
Upon integrating by parts in , we obtain
u
u dS u dx =
2
uf dx.
With u = 0 on , we have
u dx =
2
uf dx.
The Cauchy inequality yields
2
2
u2 dx = uf dx u2 dx f 2 dx.
By Lemma 3.2.2, we get
2
u dx diam()
2
f 2 dx.
Using Lemma 3.2.2 again, we then have
4
u dx diam()
2
f 2 dx.
This yields the desired estimate.
62 3. An Overview of SecondOrder PDEs
Set
E(t) = u(t)L2 () .
Then
t t
2 2
E(t) + 2 u dxds = E(0) + 2
2
f u dxds.
0 0
Dierentiating with respect to t, we have
2E(t)E (t) 2E(t)E (t) + 2 u(t) dx = 2 f (t)u(t) dx
2
2f (t)L2 () u(t)L2 () = 2E(t)f (t)L2 () .
Hence
E (t) f (t)L2 () .
Integrating from 0 to t gives the desired estimate.
Proof. Multiply the equation in (3.2.3) by ut and write the resulting prod
uct in the lefthand side as
1 2
n
ut utt ut u = (ut + u )t
2
(ut uxi )xi .
2
i=1
Upon integration by parts in for each xed t > 0, we obtain
1d 2 u
ut (t) + x u(t)2 dx ut (t) (t) dS = f (t)ut (t) dx.
2 dt
Note that ut = 0 on (0, ) since u = 0 on (0, ). Then
1 d 2
ut (t) + x u(t)2 dx = f (t)ut (t) dx.
2 dt
Dene the energy by
2
E(t) = ut (t) + x u(t)2 dx.
If f 0, then
d
E(t) = 0.
dt
Hence for any t > 0,
1 2
E(t) = E(0) = u1 + x u0 2 dx.
2
This is the conservation of energy. In general,
t
E(t) = E(0) + 2 f ut dxds.
0
To get an estimate of E(t), set
1
J(t) = E(t) 2 .
Then t
2 2
J(t) = J(0) + 2 f ut dxds.
0
By dierentiating with respect to t and applying the Cauchy inequality, we
get
2J(t)J (t) = 2 f (t)ut (t) dx 2f (t)L2 () ut (t)L2 ()
2J(t)f (t)L2 () .
Hence for any t > 0,
J (t) f (t)L2 () .
Integrating from 0 to t, we obtain
t
J(t) J(0) + f (s)L2 () ds.
0
3.2. Energy Estimates 65
This is the desired estimate for the energy. Next, to estimate the L2 norm
of u, we set
F (t) = u(t)L2 () ,
i.e.,
2
F (t) = u2 (t) dx.
A simple dierentiation yields
2F (t)F (t) = 2 u(t)ut (t) dx 2u(t)L2 () ut (t)L2 ()
= 2F (t)ut (t)L2 () .
Hence t
F (t) ut L2 () J(0) + f (s)L2 () ds.
0
Integrating from 0 to t, we have
t t
u(t)L2 () u0 L2 () + tJ(0) + f (s)L2 () dsdt .
0 0
By interchanging the order of integration in the last term in the righthand
side, we obtain the desired estimate on u.
u are eliminated. These strategies also work for general elliptic equations,
parabolic equations and hyperbolic equations. Compare methods in this
section with those used to obtain L2 estimates of solutions of initialvalue
problems for rstorder linear PDEs in Section 2.3.
To end this section, we discuss an elliptic dierential equation in the
entire space. Let f be a continuous function in Rn . We consider
(3.2.4) u + u = f in Rn .
n
u2 + u2 (uuxk )xk = f u.
k=1
(u)2 2uu + u2 = f 2 .
3.3. Separation of Variables 67
We note that
n
n
n
(u)2 = uxk xk uxl xl = (uxk xk uxl )xl uxk xk xl uxl
k,l=1 k,l=1 k,l=1
n n n
= (uxk xk uxl )xl (uxk xl uxl )xk + u2xk xl .
k,l=1 k,l=1 k,l=1
Hence
n
n
 u + 2u + u +
2 2 2 2
(uxk xk uxl )xl (uxk xl uxl )xk
k,l=1 k,l=1
n
2 (uuxk )xk = f 2 .
k=1
Integration in Rn yields
2 2 2 2
(3.2.5) ( u + 2u + u ) dx = f 2 dx.
Rn Rn
Therefore, the L2 norm of f controls the L2 norms of every second deriva
tives of u, although f is related to u by u, which is just one particular
combination of second derivatives. As we will see, this is the feature of
elliptic dierential equations.
We need to point out that it is important to assume that u and its
derivatives decay suciently fast. Otherwise, the integral identity (3.2.5)
does not hold. By taking f = 0, we obtain u = 0 from (3.2.5) if u and its
derivatives decay suciently fast. We note that u(x) = ex1 is a nonzero
solution of (3.2.4) for f = 0.
where
1
a0 = v() d,
2 S1
and for k = 1, 2, ,
1
ak = v() cos k d,
S1
1
bk = v() sin k d.
S1
This series for v is its Fourier series and a0 , ak , bk are its Fourier coecients.
The series converges in L2 (S1 ). Moreover,
1
2
vL2 (S1 ) = a0 +
2 2
(ak + bk )2
.
k=1
Now, we are ready to solve the Dirichlet problem for the Laplace equa
tion in the unit disc B1 R2 . Let be a function on B1 = S1 and
consider
u = 0 in B1 ,
(3.3.1)
u = on S1 .
The terms in the series are all harmonic functions of the form f (r)g() that
we discussed above. Thus the sum u(r, ) should also be harmonic. Letting
r = 1 in (3.3.2), we get
1 1
() = u(1, ) = a0 + ak cos k + bk sin k .
2
k=1
First, we set
S00 (r, ) = ak rk cos k + bk rk sin k.
k=1
By (3.3.2), we have
1 1
u(r, ) a0  + S00 (r, ).
2
To estimate S00 , we note that, for any r [0, R] and any S1 ,
1
S00 (r, ) a2k + b2k 2
Rk .
k=1
By the Cauchy inequality, we get
1 1
2 2
S00 (r, ) 2 2
ak + b k R 2k
< .
k=1 k=1
Hence, the series dening u in (3.3.2) is convergent absolutely and uniformly
in BR . Therefore, u is continuous in BR .
Next, we take any positive integer m and any nonnegative integers m1
and m2 with m1 + m2 = m. For any r [0, R] and any S1 , we have
formally
1 m1 m2 k
xm1 ym2 u(r, ) = x y ak r cos k + bk rk sin k .
k=1
In order to justify the interchange of the order of dierentiation and sum
mation, we need to prove that the series in the righthand side is convergent
absolutely and uniformly in BR . Set
m1 m2 k
(3.3.5) Sm1 m2 (r, ) = x y ak r cos k + bk rk sin k .
k=1
(We note that this is S00 dened earlier if m1 = m2 = 0.) By using rectan
gular coordinates, it is easy to check that, for k < m,
xm1 ym2 ak rk cos k + bk rk sin k = 0,
and for k m,
m m k
1 2 ak r cos k + bk rk sin k
x y
1
k(k 1) (k m + 1) a2k + b2k 2 rkm .
Hence, for any r [0, R] and any S1 ,
1
Sm1 m2 (r, ) a2k + b2k 2
k m Rkm .
k=m
72 3. An Overview of SecondOrder PDEs
This veries that the series dening xm1 ym2 u is convergent absolutely and
uniformly in BR , for any m1 and m2 with m1 + m2 1. Hence, u is smooth
in BR for any R < 1 and all derivatives of u can be obtained from termby
term dierentiation in (3.3.2). Then it is easy to conclude that u = 0.
We now prove the L2 convergence. First, by the series expansions of u
and , we have
1
u(r, ) () = ak cos k + bk sin k (rk 1),
k=1
and then
2
u(r, ) ()2 d = (a2k + b2k ) rk 1 .
S1 k=1
For any > 0, there exists a positive integer K = K() such that
(a2k + b2k ) < .
k=K+1
since the series in the lefthand side consists of nitely many terms. There
fore, we obtain
u(r, ) ()2 d < 2 for any r (1 , 1).
S1
solutions of Dirichlet problems for the Laplace equation in balls with con
tinuous boundary values.
Next, we compare the regularity results in Theorems 3.3.23.3.3. For
Dirichlet problems for the Laplace equation in the unit disc, solutions are
always smooth in B1 even with very weak boundary values, for example,
with L2 boundary values. This is the interior smoothness, i.e., solutions are
always smooth inside the domain regardless of the regularity of boundary
values. Moreover, solutions are smooth up to the boundary if boundary
values are also smooth. This is the global smoothness.
vL2 (0,) = 2
vk .
k=1
For k = 1, 2, , let
uk (x, t) = ak (t)wk (x)
be a solution of (3.3.9). Then ak (t) satises the ordinary dierential equation
ak (t) + k 2 ak (t) = 0.
Thus, ak (t) has the form
ak (t) = ak ek t ,
2
Then the Cauchy inequality implies, for any (x, t) [0, ] [t0 , ),
1 1
2 k 2i+4j 2
(3.3.14) Sij (x, t) a2k Ci,j,t0 u0 L2 (0,) ,
k=1 k=1
e2k2 t0
and then
2 2
u(x, t) u0 (x)2 dx = a2k ek t 1 .
0 k=1
We note that e k2 t
1 as t 0 for each xed k 1. For a positive integer
K to be determined, we write
K
2 2 2 2
u(x, t) u0 (x)2 dx = a2k ek t 1 + a2k ek t 1 .
0 k=1 k=K+1
For any > 0, there exists a positive integer K = K() such that
a2k < .
k=K+1
since the series in the lefthand side consists of nitely many terms. There
fore, we obtain
u(x, t) u0 (x)2 dx < 2 for any t (0, ).
0
[0, ] [0, ). Let Sij be the series dened in (3.3.13). Then for any
x [0, ] and t 0,
Sij (x, t) k i+2j ak .
k=1
To prove that the series in the righthand side is convergent, we need to
improve estimates of ak , the coecients of Fourier series of u0 . With (3.3.15)
for = 0, we have, upon simple integrations by parts,
2 2 cos kx
ak = u0 (x) sin kx dx = u (x) dx
0 0 0 k
2 sin kx
= u0 (x) 2 dx.
0 k
We note that values at the endpoints are not present since u0 (0) = u0 () = 0
in the rst integration by parts and sin kx = 0 at x = 0 and x = in the
second integration by parts. Hence for any m 1, we continue this process
with the help of (3.3.15) for = 0, , [(m 1)/2] and obtain
m1 2 (m) cos kx
ak = (1) 2 u0 (x) m dx if m is odd,
0 k
and
m 2 (m) sin kx
ak = (1) 2 u0 (x) m dx if m is even.
0 k
In other words, {k ak } is
m the sequence ofcoecients of the Fourier series
(m)
of u0 with respect to { 2 sin kx} or { 2 cos kx}, where m determines
uniquely the choice of positive or negative sign and the choice of the sine or
the cosine function. Then, we have
(m)
k 2m a2k u0 2L2 (0,) .
k=1
Hence, by the Cauchy inequality, we obtain that, for any (x, t) [0, ]
[0, ) and any m,
1 1
2 2
normalized eigenfunctions
2
wk (x) = sin kx
form a complete orthonormal set in L2 (0, ). For k = 1, 2, , let
uk (x, t) = ck (t)wk (x)
be a solution of (3.3.18). Then ck (t) satises the ordinary dierential equa
tion
ck (t) + k 2 ck (t) = 0.
Thus, ck (t) has the form
ck (t) = ak cos kt + bk sin kt,
where ak and bk are constants. Therefore, for k = 1, 2, , we have
2
uk (x, t) = (ak cos kt + bk sin kt) sin kx.
Now, let us suppose that
2
(3.3.19) u(x, t) = (ak cos kt + bk sin kt) sin kx
k=1
3.3. Separation of Variables 83
but we are given the initial condition u(x, 0) = u0 (x) for x (0, ). Thus
we take the constants ak , k= 1, 2, , to be the Fourier coecients of u0
2 2
with respect to the basis sin kx of L (0, ), i.e.,
2
(3.3.20) ak = u0 (x) sin kx dx for k = 1, 2, .
0
Dierentiating (3.3.19) term by term, we nd
2
ut (x, t) = (kak sin kt + kbk cos kt) sin kx,
k=1
and evaluating at t = 0 gives
2
ut (x, 0) = kbk sin kx.
k=1
From the initial condition ut (x, 0) = u1 (x), we see that kbk , fork = 1, 2, ,
2
are the Fourier coecients of u1 with respect to the basis sin kx of
L2 (0, ), i.e.,
2 sin kx
(3.3.21) bk = u1 (x) dx for k = 1, 2, .
0 k
We now discuss the regularity of u in (3.3.19). Unlike the case of the
heat equation, in order to get dierentiability of u now, we need to impose
similar dierentiability assumptions on initial values. Proceding as for the
heat equation, we note that if u is a C 2 solution, then
u0 (0) = 0, u1 (0) = 0, u0 (0) = 0,
(3.3.22)
u0 () = 0, u1 () = 0, u0 () = 0.
respect to { 2
cos kx}, and {k 3 bk } is the sequence of Fourier coecients of
u1 (x) with respect to { 2 sin kx}. Hence
(k 6 a2k + k 6 b2k ) u 2
0 L2 (0,) + u1 L2 (0,) .
2
k=1
By the Cauchy inequality, we obtain that, for any (x, t) [0, ] [0, ),
1 1
2 1 2
Tij (x, t) k 2(i+j+1) a2k + b2k < .
k2
k=1 k=1
will prove this for a more general initial/boundaryvalue problem for the
wave equation in Section 6.1. See Theorem 6.1.3.
Now, we compare the regularity results for solutions of initial/boundary
value problems in Theorems 3.3.5, 3.3.6 and 3.3.8. For the heat equation
in Theorem 3.3.5, solutions become smooth immediately after t = 0, even
for L2 initial values. This is the interior smoothness (with respect to time).
We also proved in Theorem 3.3.6 that solutions are smooth up to {t = 0}
if initial values are smooth with a compatibility condition. This property
is called the global smoothness. However, solutions of the wave equation
exhibit a dierent property. We proved in Theorem 3.3.8 that solutions
have a similar degree of regularity as initial values. In general, solutions of
the wave equation do not have better regularity than initial values, and in
higher dimensions they are less regular than initial values. We will discuss
in Chapter 6 how solutions of the wave equation depend on initial values.
To conclude, we point out that the methods employed in this section to
solve initial/boundaryvalue problems for the 1dimensional heat equation
and wave equation can actually be generalized to higher dimensions. We
illustrate this by the heat equation. Let be a bounded smooth domain in
Rn and u0 be an L2 function in . We consider
ut u = 0 in (0, ),
(3.3.23) u(, 0) = u0 in ,
u = 0 on (0, ).
3.4. Exercises
Exercise 3.1. Classify the following secondorder PDEs:
n
(1) uxi xi + uxi xj = 0.
i=1 1i<jn
(2) uxi xj = 0.
1i<jn
Exercise 3.5. Prove that the Poisson kernel in (3.3.6) is given by (3.3.7).
Exercise 3.6. For any u0 L2 (0, ), let u be given by (3.3.11). For any
nonnegative integers i and j, prove
sup xi tj u(, t) 0 as t .
[0,]
Laplace Equations
89
90 4. Laplace Equations
We point out that several results in this chapter are proved by multiple
methods. For example, interior gradient estimates are proved by three meth
ods: the fundamental solution, the meanvalue property and the maximum
principle.
In Section 4.4, we discuss the Poisson equation. We rst discuss regu
larity of classical solutions using the fundamental solution. Then we discuss
weak solutions and solve the Dirichlet problem in the weak sense. The
method is from functional analysis, and the Riesz representation theorem
plays an essential role. The presentation in this part is brief. The main
purpose is to introduce notions of weak solutions and Sobolev spaces.
The equation u = 0 is called the Laplace equation and its C 2 solutions are
called harmonic functions.
where is the unit exterior normal to (\Br (x)). Now = 0 in \Br (x),
so letting r 0, we have
u u
u dy = u dSy + lim u dSy .
y r0 Br (x) y
For n 3, by the denition of , we get
u r2n u
dSy = dSy
(2 n)n Br (x)
Br (x)
r
max u 0 as r 0,
n 2 Br (x)
and
1
u dSy = u dSy u(x) as r 0,
Br (x) y n rn1 Br (x)
where is normal to Br (x) and points to x. This implies the desired result
for n 3. We proceed similarly for n = 2.
Remark 4.1.3. We note that
(x y) dSy = 1,
y
for any x . This can be obtained by taking u 1 in Theorem 4.1.2.
that the Greens function is unique if it exists. This follows from Lemma
3.2.1 or Corollary 4.2.9, since the dierence of any two Greens functions is
harmonic, with vanishing boundary values.
Lemma 4.1.5. Let G be the Greens function in . Then G(x, y) = G(y, x)
for any x, y with x = y.
and hence,
x
(4.1.4) y x = y X.
R
This implies
R n2
(y x) = (y X),
x
for any x BR \ {0} and y BR . Then we take
n2
R
(x, y) = (y X),
x
for any x BR \ {0} and y BR \ {x}. The proof for n = 2 is similar and
is omitted.
X
x
PP
O P
y
R
By (4.1.4) in the proof of Theorem 4.1.6, we have, for any x BR \ {0} and
y BR ,
yi R2 x2
Gyi (x, y) = .
n R2 x yn
This formula also holds when x = 0. With i = yi /R for any y BR , we
obtain
G n
1 R2 x2
(x, y) = i Gyi (x, y) = .
y n R x yn
i=1
This yields the desired result for n 3. The proof for n = 2 is similar and
is omitted.
Proof. First, (1), (2) and (3) follow easily from the explicit expression for K
as in (4.1.5), and (4) follows easily from the denition K(x, y) = y G(x, y)
and the fact that G(x, y) is harmonic in x. Of course, we can also verify
(4) by a straightforward calculation. An easy derivation of (5) is based on
(4.1.3). By taking a C 2 (BR ) harmonic function u in (4.1.3), we conclude
that
u(x) = K(x, y)u(y) dSy for any x BR .
BR
Then we have (5) by taking u 1.
Now we are ready to solve the Laplace equation in balls, with prescribed
Dirichlet boundary values.
Theorem 4.1.9. Let be a continuous function on BR and u be dened
by
(4.1.6) u(x) = K(x, y)(y) dSy for any x BR ,
BR
4.1. Fundamental Solutions 99
Then
u(x) (x0 ) = K(x, y) (y) (x0 ) dSy = I1 + I2 ,
BR
where
I1 = , I2 = ,
BR B (x0 ) BR \B (x0 )
Hence
u(x) (x0 ) < 2,
for any x BR B (x0 ). This implies the convergence of u at x0 BR .
100 4. Laplace Equations
u = 0 in BR ,
u= on BR .
The formula (4.1.6) is called the Poisson integral formula, or simply the
Poisson formula.
For n = 2, with x = (r cos , r sin ) and y = (R cos , R sin ) in (4.1.6),
we have
2
1
u(r cos , r sin ) = K(r, , )(R cos , R sin ) d,
2 0
where
R2 r 2
K(r, , ) = .
R2 2Rr cos( ) + r2
Compare with (3.3.6) and (3.3.7) in Section 3.3.
Now we discuss properties of the function dened in (4.1.6). First, u(x)
in (4.1.6) is smooth for x < R, even if the boundary value is simply
continuous on BR . In fact, any harmonic function is smooth. We will
prove this result later in this section.
Next, by letting x = 0 in (4.1.6), we have
1
u(0) = u(y) dSy .
n Rn1 BR
We note that n Rn1 is the surface area of the sphere BR . Hence, values
of harmonic functions at the center of spheres are equal to their average over
spheres. This is the meanvalue property.
Moreover, by Lemma 4.1.8(2) and (5), u in (4.1.6) satises
min u max in BR .
BR BR
In other words, harmonic functions in balls are bounded from above by their
maximum on the boundary and bounded from below by their minimum on
the boundary. Such a result is referred to as the maximum principle. Again,
this is a general fact, and we will prove it for any harmonic function in any
bounded domain.
The meanvalue property and the maximum principle are the main topics
in Section 4.2 and Section 4.3, respectively.
4.1. Fundamental Solutions 101
for any x B1/4 . We note that there is no singularity in the integrand for
x < 1/4 and 1/2 < y < 3/4. (This also gives an alternative proof of the
smoothness of u in B1/4 .) Therefore,
u(x) = u(y) y (y)x (x y)
1
<y< 34
2
+2y (y) x y (x y) dy,
for any x B1/4 . Hence, we obtain
u(x) C sup u for any x B 1 ,
B1 4
We note that the proof above consists of two steps. We rst prove the
desired estimate for R = 1 and then extend such an estimate to arbitrary
R by a simple scaling. Such a scaling argument is based on the following
fact: If u is a harmonic function in BR , then u(x) = u(Rx) is a harmonic
function in B1 . We point out that this scaling argument is commonly used
in studying elliptic and parabolic dierential equations.
Next, we estimate derivatives of harmonic functions of arbitrary order.
Theorem 4.1.12. Suppose u C BR (x0 ) is harmonic in BR (x0 ) Rn .
Then for any multiindex with  = m,
C m em1 m!
 u(x0 ) max u,
Rm BR (x0 )
section were either proved in the previous section or will be proved in the
next section.
We rst dene the meanvalue property. There are two versions of the
meanvalue property, mean values over spheres and mean values over balls.
Denition 4.2.1. Let be a domain in Rn and u be a continuous function
in . Then
(i) u satises the meanvalue property over spheres if for any Br (x) ,
1
u(x) = u(y) dSy ;
n rn1 Br (x)
(ii) u satises the meanvalue property over balls if for any Br (x) ,
n
u(x) = u(y) dy,
n rn Br (x)
where n is the surface area of the unit sphere in Rn .
We note that n rr1 is the surface area of the sphere Br (x) and that
n rn /n
is the volume of the ball Br (x).
These two versions of the meanvalue property are equivalent. In fact,
if we write (i) as
n1 1
u(x)r = u(y) dSy ,
n Br (x)
we can integrate with respect to r to get (ii). If we write (ii) as
n n
u(x)r = u(y) dy,
n Br (x)
we can dierentiate with respect to r to get (i).
By a change of variables, we also write meanvalue properties in the
following equivalent forms: for any Br (x) ,
1
u(x) = u(x + ry) dSy
n B1
or
n
u(x) = u(x + ry) dy.
n B1
A function satisfying meanvalue properties is required only to be con
tinuous to start with. However, a harmonic function is required to be C 2 .
We now prove that these two requirements are actually equivalent.
Theorem 4.2.2. Let be a domain in Rn and u be a function in .
(i) If u C 2 () is harmonic in , then u satises the meanvalue prop
erty in .
4.2. MeanValue Properties 107
Proof. Take any ball Br (x) . Then for any u C 2 () and any
(0, r), we have
u n1 u
u dy = dS = (x + w) dSw
B (x) B (x) B1
(4.2.1)
= n1 u(x + w) dSw .
B1
(i) Let u C 2 () be harmonic in . Then for any (0, r),
u(x + w) dSw = 0.
B1
Integrating from 0 to r, we obtain
u(x + rw) dSw = u(x) dSw = u(x)n ,
B1 B1
and hence
1
u(x) = u(x + rw) dSw .
n B1
This yields the desired meanvalue property.
(ii) Let u C() satisfy the meanvalue property. For the smoothness,
we prove that u is equal to the convolution of itself with some smooth
function. To this end, we choose a smooth function in [0, 1] such that
is constant in [0, ] and = 0 in [1 , 1] for some (0, 1/2), and
1
n rn1 (r) dr = 1.
0
The existence of such a function can be veried easily. Dene (x) = (x).
Then C0 (B1 ) and
dx = 1.
B1
Next, we dene (x) = 1n x for any > 0. Then supp B . We
claim that
u(x) = u(y) (y x) dy,
for any x with dist(x, ) > . Then it follows easily that u is smooth.
Moreover, by (4.2.1) and the meanvalue property, we have, for any Br (x)
,
u dy = rn1 u(x + rw) dSw = rn1 n u(x) = 0.
Br (x) r B1 r
This implies u = 0 in .
108 4. Laplace Equations
Now we prove the claim. For any x and < dist(x, ), we have,
by a change of variables and the meanvalue property,
y
1
u(y) (y x) dy = u(x + y) (y) dy = n u(x + y) dy
B B
= u(x + z)(z) dz
B1
1
= u(x + rw)(rw)rn1 dSw dr
0 B1
1
n1
= (r)r u(x + rw) dSw dr
0 B1
1
= u(x)n (r)rn1 dr = u(x).
0
This proves the claim.
Proof. As in the proof of Theorem 4.2.4, from integration by parts and the
nonnegativeness of u, we have
n n
uxi (x0 ) n
u(y) dSy = u(x0 ),
n R BR (x0 ) R
where in the last equality we used the meanvalue property.
estimate for u + and then let 0. For any x BR/2 (x0 ), we have
BR/2 (x) BR (x0 ). By applying Theorem 4.2.5 to u in BR/2 (x), we get
2n
u(x) u(x),
R
or
2n
 log u(x) .
R
For any x, y BR/2 (x0 ), a simple integration yields
1
u(x) d
log = log u(tx + (1 t)y) dt
u(y) 0 dt
1
= (x y) log u(tx + (1 t)y) dt.
0
Since tx + (1 t)y BR/2 (x0 ) for any t [0, 1] and x y R, we obtain
1
u(x) 2n
log x y  log u(tx + (1 t)y) dt x y 2n.
u(y) 0 R
Therefore
u(x) e2n u(y).
This is the desired result.
Another proof of Corollary 4.2.7. First, we take any B4r (x) BR (x0 )
and claim that
u(x) 3n u(x),
for any x, x Br (x). To see this, we note that Br (x) B3r (x) B4r (x) for
any x, x Br (x). Then the meanvalue property implies
n n
u(x) = u dy u dy = 3n u(x).
n rn Br (x) n rn B3r (x)
inf u u sup u in .
u = f in ,
u= on .
Compare Corollary 4.2.9 with Lemma 3.2.1, where the uniqueness was
proved by energy estimates for solutions u C 2 () C 1 ().
The maximum principle is an important tool in studying harmonic func
tions. We will study it in detail in Section 4.3, where we will prove the
maximum principle using the algebraic structure of the Laplace equation
and discuss its applications.
112 4. Laplace Equations
Then
max u max u + R2 = max u + R2 max u + R2 .
We have the desired result by letting 0 and using the fact that
.
4.3. The Maximum Principle 113
Proof. We can proceed as in the proof of Theorem 4.3.2 with simple modi
cations. In the following, we provide an alternative proof based on Theorem
4.3.2. Set + = {x ; u(x) > 0}. If + = , then u 0 in , so u+ 0.
If + = , then
u = u + cu cu cu 0 in + .
Theorem 4.3.2 implies
max u = max u = max u+ .
+ +
assume
n
aij (x)i j 2 for any x and any Rn ,
i,j=1
u + cu = f in ,
u= on .
w + cw = 0 in ,
w=0 on .
u = 0 in
u = 0 on ,
u + nu = 0 in ,
u=0 on .
and
v(x) = u(x) u(x0 ) + w(x).
We consider w and v in D = BR \ BR/2 .
D x0
2
ex 42 x2 2n + c ,
where we used c 0 in BR . Since R/2 x R in D, we have
w + cw ex (2 R2 2n + c) > 0 in D,
2
x0 D
Obviously, we have
u + cu 0 in B,
and
u(x) < u(x0 ) for any x B and u(x0 ) = M 0.
By Lemma 4.3.7, we have
u
(x0 ) > 0,
4.3. The Maximum Principle 119
Proof. Set
F = sup f , = sup .
Then
( + c)(u) = f F in ,
u = on .
Without loss of generality, we assume BR , for some R > 0. Set
F
v(x) = + (R2 x2 ) for any x .
2n
We note that v 0 in since BR . Then, by the property c 0 in ,
we have
v + cv = F + cv F.
We also have v on . Hence v satises
v + cv F in ,
v on .
4.3. The Maximum Principle 121
Therefore,
( + c)(u) ( + c)v in ,
u v on .
By the maximum principle, we obtain
u v in ,
and hence u v in . Therefore,
1
u(x) + (R2 x2 )F for any x .
2n
This yields the desired result.
4 w C in B1 ,
The proof is identical to the rst proof of Corollary 4.2.7 and is omitted.
We note that u is required to be positive in Theorem 4.3.14 since log u is
involved, while u is only nonnegative in Corollary 4.3.15.
The Harnack inequality describes an important property of harmonic
functions. Any nonnegative harmonic functions have comparable values in
a proper subdomain. We point out that the Harnack inequality in fact
implies the strong maximum principle: Any nonnegative harmonic function
in a domain is identically zero if it is zero somewhere in the domain.
4.3. The Maximum Principle 125
we then have
rn2 1
w(x) M + n2 rn2 max u ,
x n2 x Br
126 4. Laplace Equations
for any x BR \ Br . Now for each xed x = 0, we take r < x and then let
r 0. By the assumption on u, we obtain w(x) = 0. This implies w = 0
and hence u = v in BR \ {0}.
Proof. We rst prove the only if part. For any ball B and any
harmonic function w C(B) with v w on B, we have
v w in B,
vw on B.
By the maximum principle, we have v w in B.
Now we prove the if part by a contradiction argument. If v < 0
somewhere in , then v < 0 in B for some ball B with B . Let w
solve
w = 0 in B,
w=v on B.
The existence of w in B is implied by the Poisson integral formula in The
orem 4.1.9. We have v w in B by the assumption. Next, we note that
w = 0 > v in B,
w=v on B.
We have w v in B by the maximum principle. Hence v = w in B, which
contradicts w > v in B. Therefore, v 0 in .
The proof in fact yields the strong maximum principle: Either u < v in
or u v is constant in .
Next, we describe Perrons method. Let be a bounded domain in
Rn and be a continuous function on . We will nd a function u
C () C() such that
u = 0 in ,
(4.3.2)
u = on .
Suppose there exists a solution u = u . Then for any v C() which is
subharmonic in with v on , we obtain, by Lemma 4.3.19,
v u in .
Hence for any x
u (x) = sup{v(x) : v C() is subharmonic in
(4.3.3)
and v on }.
We note that the equality holds since u is obviously an element of the set
in the righthand side. Here, we assumed the existence of the solution u .
In Perrons method, we will prove that the function u dened in (4.3.3) is
indeed a solution of (4.3.2) under appropriate assumptions on the domain.
The proof consists of two steps. In the rst step, we prove that u is
harmonic in . This holds for arbitrary bounded domains. We note that u
in (4.3.3) is dened only in . So in the second step, we prove that u has
a limit on and this limit is precisely . For this, we need appropriate
assumptions on .
Before we start our discussion of Perrons method, we demonstrate how
to generate greater subharmonic functions from given subharmonic func
tions.
Lemma 4.3.20. Let v C() be a subharmonic function in and B be a
ball in with B . Let w be dened by
w=v in \ B,
and
w = 0 in B.
Then w is a subharmonic function in and v w in .
Proof. Set
S = {v : v C() is subharmonic in and v on }.
Then for any x ,
u (x) = sup{v(x) : v S }.
In the following, we simply write S = S .
Step 1. We prove that u is well dened. To do this, we set
m = min , M = max .
We note that the constant function m is in S and hence the set S is not
empty. Next, the constant function M is obviously harmonic in with
M on . By Lemma 4.3.19, for any v S,
vM in .
Thus u is well dened and u M in .
Step 2. We prove that S is closed by taking maximum among nitely
many functions in S. We take arbitrary v1 , , vk S and set
v = max{v1 , , vk }.
It follows easily from Denition 4.3.18 that v is subharmonic in . In fact,
we take any ball B and any harmonic function w C(B) with v w
on B. Then vi w on B, for i = 1, , k. Since vi is subharmonic, we
get vi w in B, so v w in B. We conclude that v is subharmonic in .
Hence v S.
130 4. Laplace Equations
and
w(x) = u (x).
Next, we note that w w is a harmonic function in Br (x0 ) with a maximum
attained at x0 . By applying the strong maximum principle to w w in
Br (x0 ), we conclude that w w is constant, which is obviously zero. This
implies w = w in Br (x0 ), and in particular, w(x) = w(x) = u (x). We
then have w = u in Br (x0 ) since x is arbitrary in Br (x0 ). Therefore, u is
harmonic in Br (x0 ).
We point out that the integration is in fact over a bounded region. Note that
is evaluated as a function of x y. By the change of variables z = y x,
we have
w(x) = (z)f (z + x) dz.
Rn
By the assumption, f is at least C 1 . By a simple dierentiation under the
integral sign and an integration by parts, we obtain
wxi (x) = (z)fxi (z + x) dz = (z)fzi (z + x) dz
Rn Rn
= zi (z)f (z + x) dz.
Rn
Lemma 4.4.1 is optimal in the C category in the sense that the smooth
ness of f implies the smoothness of wf . However, it does not seem optimal
concerning nite dierentiability. For example, Lemma 4.4.1 asserts that
wf is C 2 in if f is C 1 in . Since f is related to second derivatives of wf ,
it seems natural to ask whether wf is C 2 in if f is continuous in . We
will explore this issue later.
We now prove a regularity result for general solutions of (4.4.1).
Theorem 4.4.2. Let be a domain in Rn and f be continuous in . Sup
pose u C 2 () satises u = f in . If f C k1 () for some integer
k 3, then u C k (). Moreover, if f is smooth in , then u is smooth in
.
136 4. Laplace Equations
Example 4.4.4 illustrates that the C 2 spaces, or any C k spaces, are not
adapted to the Poisson equation. A further investigation reveals that solu
tions in this example fail to be C 2 because the modulus of continuity of f
does not decay to zero fast enough. If there is a better assumption than the
continuity of f , then the modulus of continuity of 2 u can be estimated.
Better adapted to the Poisson equation, or more generally, the elliptic dif
ferential equations, are Holder spaces. The study of the elliptic dierential
equations in Holder spaces is known as the Schauder theory. In its simplest
form, it asserts that all second derivatives of u are Holder continuous if u
is. It is beyond the scope of this book to give a presentation of the Schauder
theory.
It is easy to see that weak derivatives are unique if they exist. We also
point out that classical derivatives of C 1 functions are weak derivatives upon
a simple integration by parts.
4.4. Poisson Equations 139
We now consider the Dirichlet problem for the Poisson equation with
the homogeneous boundary value,
u = f in ,
(4.4.7)
u=0 on .
We attempt to solve (4.4.7) by methods of functional analysis. It is natural
to start with the set
C = {u C 1 () C() : u = 0 on }.
We note that the lefthand side of (4.4.5) provides an inner product in C.
To be specic, we dene the H01 inner product by
(u, v)H01 () = u v dx,
for any u, v C. It induces a norm dened by
1
2
uH01 () = u dx .
2
The proof is based on the Riesz representation theorem, and major steps
are already given earlier.
for any H01 (). By the Cauchy inequality and (4.4.8), we have
F () f L2 () L2 () Cf L2 () H01 () .
Therefore, u minimizes J among all functions with the same boundary value.
Now we assume that u minimizes J among all functions with the same
boundary value. Then for any C01 (),
J(u + ) J(u) for any .
In other words,
j() J(u + )
has a minimum at = 0. This implies j (0) = 0. A straightforward calcula
tion shows that u satises (4.4.5) for any C01 (). Therefore, u is a weak
solution of u = f . In conclusion, u is a weak solution of u = f if and
only if u minimizes J among all functions with the same boundary value.
The above calculation was performed for functions in C 1 (). A similar cal
culation can be carried out for functions in H01 (). Hence, an alternative
way to solve (4.4.7) in the weak sense is to minimize J in H01 (). We will
not provide details in this book.
The weak solutions and Sobolev spaces are important topics in PDEs.
The brief discussion here serves only as an introduction. A complete pre
sentation will constitute a book much thicker than this one.
4.5. Exercises
Exercise 4.1. Suppose u(x) is harmonic in some domain in Rn . Prove that
x
v(x) = x2n u
x2
is also harmonic in a suitable domain.
Exercise 4.2. For n = 2, nd the Greens function for the Laplace operator
on the rst quadrant.
Exercise 4.3. Find the Greens function for the Laplace operator in the
upper halfspace {xn > 0} and then derive a formal integral representation
for a solution of the Dirichlet problem
u = 0 in {xn > 0},
u= on {xn = 0}.
Exercise 4.4. (1) Suppose u is a nonnegative harmonic function in
BR (x0 ) Rn . Prove by the Poisson integral formula the following
Harnack inequality:
n2
n2
R Rr R R+r
u(x0 ) u(x) u(x0 ),
R+r R+r Rr Rr
where r = x x0  < R.
144 4. Laplace Equations
u C 2 () C 1 () satises
u + u3 = 0 in ,
u
+ u = on .
Prove that
1
max u max .
0
Exercise 4.12. Let f be a continuous function in BR . Suppose u
C 2 (BR ) C(BR ) satises
u = f in BR .
Prove that
n R
u(0) max u + max f .
R BR 2 BR
+
Hint: In BR , set
1
v(x , xn ) =
u(x , xn ) u(x , xn ) .
2
Consider an auxiliary function of the form
w(x , xn ) = Ax 2 + Bxn + Cx2n .
+
Use the comparison principle to estimate v in BR and then derive a bound
for vxn (0).
Heat Equations
147
148 5. Heat Equations
or
1
sup 
u n uL1 (Rn ) .
Rn (2) 2
This suggests that Fourier transforms are well dened for L1 functions. We
will not explore this issue in this book.
We now discuss properties of Fourier transforms. First, it is easy to
see that the Fourier transformation is linear, i.e., for any u1 , u2 S and
c1 , c2 C,
1 + c2 u
(c1 u1 + c2 u2 )= c1 u 2 .
5.1. Fourier Transforms 149
"
x u() = (i) u()
and
() = (i) x"
u u().
=(i)+ x
(x u)()
1 +
= n (i) eix x x u(x) dx.
(2) 2 Rn
Hence
1
sup  u
() n x x u(x)  dx < ,
Rn (2) 2 Rn
since each term in the integrand decays faster than any polynomial because
x u S.
and
1
u(k)() =
u .
k n k
Then
1 2
4A
() =
u n e .
(2A) 2
Therefore,
1 1
eixAx dx = 1 2
2
n n e 4A .
(2) 2 Rn (2A) 2
This yields the desired result.
We now prove the Fourier inversion formula, one of the most important
results in the theory of Fourier transforms.
152 5. Heat Equations
We note that vj S by Lemma 5.1.2. Upon evaluating the righthand side
of (5.1.1) at x = 0, we obtain
n
1 1
n () d =
u n ij vj () d = 0.
(2) 2 Rn (2) 2 Rn j=1
where u0 is dened in (5.1.2). First, (5.1.1) holds for u0 and hence for
u(0)u0 . Next, since u u(0)u0 is zero at x = 0, we see that (5.1.1) holds
for u u(0)u0 at x = 0. We obtain (5.1.1) for u at x = 0. Next, for any
x0 Rn , we consider v(x) = u(x + x0 ). By Lemma 5.1.3,
v() = eix0 u
().
u, v)L2 (Rn ) .
(u, v)L2 (Rn ) = (
154 5. Heat Equations
Proof. We note
u, v)L2 (Rn ) =
( ()
u v () d
Rn
1 ix
= n
v () e u(x) dx d
(2) 2 Rn Rn
1
= n u(x)
v ()e ix d dx
(2) 2 Rn Rn
= u(x)v(x) dx = (u, v)L2 (Rn ) ,
Rn
where we applied Theorem 5.1.6 to v. The interchange of the order of
integrations can be justied by Fubinis theorem.
and hence
1
u(x) + u(x) = n eix f() d.
(2) 2 Rn

u2 + 22  u2 = f2 .
u2 + 4 
k=1 k,l=1
Example 5.1.11. Now we discuss the initialvalue problem for the nonho
mogeneous heat equation and derive an explicit expression for its solution.
Let f be a continuous function in Rn (0, ) and u0 a continuous function
in Rn . We consider
ut u = f in Rn (0, ),
(5.1.6)
u(, 0) = u0 on Rn .
We take Fourier transforms of both sides of the equation and the initial
condition in (5.1.6) and obtain, by Lemma 5.1.2,
= f in Rn (0, ),
t + 2 u
u
(, 0) = u
u 0 on Rn .
This is an initialvalue problem for an ODE with Rn as a parameter.
Its solution is given by
t
0 ()e t + e (ts) f(, s) ds.
2 2
u(, t) = u
0
Now we treat t as a parameter instead. For any t > 0, let K(x, t) satisfy
t) = 1 2 t
K(, n e .
(2) 2
Then
t
t)
n
(, t) = (2) K(,
u 2
n
u0 () + (2) 2 t s)f(, s) ds.
K(,
0
Therefore Theorem 5.1.6 and Lemma 5.1.4 imply
u(x, t) = K(x y, t)u0 (y) dy
Rn
(5.1.7) t
+ K(x y, t s)f (y, s) dyds,
0 Rn
for any (x, t) Rn (0, ). By Theorem 5.1.6 and Proposition 5.1.5, we
have
1
eix e t d,
2
K(x, t) = n
(2) Rn
or
1 x2
4t
(5.1.8) K(x, t) = n e ,
(4t) 2
for any (x, t) Rn (0, ). The function K is called the fundamental
solution of the heat equation.
The derivation of (5.1.7) is formal. Having derived the integral formula
for u, we will prove directly that it indeed denes a solution of the initial
value problem for the heat equation under appropriate assumptions on the
initial value u0 and the nonhomogeneous term f . We will pursue this in the
next section.
158 5. Heat Equations
(5.2.1) ut u = 0,
Proof. Here (1) and (2) are obvious from the explicit expression of K in
(5.2.3). We may also get (3) from (5.2.3) by a straightforward calculation.
For (4) and (5), we simply note that
1
e d.
2
K(x, t)dx = n
x> 2 > 2 t
6
y = K(, t2 )
y = K(, t1 )

Now we are ready to prove that the integral formula derived by using
Fourier transforms indeed yields a classical solution of the initialvalue prob
lem for the heat equation under appropriate assumptions on u0 .
Theorem 5.2.3. Let u0 be a bounded continuous function in Rn and u be
dened by (5.2.4). Then u is smooth in Rn (0, ) and satises
ut u = 0 in Rn (0, ).
5.2. Fundamental Solutions 161
We note that the function u in (5.2.4) is dened only for t > 0. We can
extend u to {t = 0} by setting u(, 0) = u0 on Rn . Then u is continuous
up to {t = 0} by Theorem 5.2.3. Therefore, u is a classical solution of the
initialvalue problem (5.2.2).
The proof of Theorem 5.2.3 proceeds as that of the Poisson integral
formula for the Laplace equation in Theorem 4.1.9.
Therefore,
u(x, t) u0 (0) 2,
for any x B/2 (x0 ) and t (0, ). We then have the desired result.
The proof follows easily from (5.2.4) and the explicit expression for the
fundamental solution K in (5.2.3).
Now we discuss a result more general than Theorem 5.2.3 by relaxing
the boundedness assumption on u0 . To seek a reasonably more general as
sumption on initial values, we examine the expression for the fundamental
solution K. We note that K in (5.2.3) decays exponentially in space vari
ables with a large decay rate for small time. This suggests that we can allow
an exponential growth for initial values. In the convolution formula (5.2.4),
a xed exponential growth from initial values can be oset by the fast ex
ponential decay in the fundamental solution, at least for a short period of
time. To see this clearly, we consider an example. For any > 0, set
1
x2
G(x, t) = n e
14t ,
(1 4t) 2
for any x Rn and t < 1/4. It is straightforward to check that
Gt G = 0.
5.2. Fundamental Solutions 163
Note that
2
G(x, 0) = ex for any x Rn .
Hence, viewed as a function in Rn [0, 1/4), G has an exponential growth
initially for t = 0, and in fact for any t < 1/4. The growth rate becomes
arbitrarily large as t approaches 1/4 and G does not exist beyond t = 1/4.
Now we formulate a general result. If u0 is continuous and has an ex
ponential growth, then (5.2.4) still denes a solution of the initialvalue
problem in a short period of time.
Rn
ut uxx = 0 in R [0, ),
u(, 0) = 0 on R.
for any (x, t) R [0, T ). Then um solves this problem with the terminal
value
m (x) = um (x, T ) = sin(mx),
for any x R. We note that
sup m  = 1,
R
and for any t [0, T ),
2 (T t)
sup um (, t) = em as m .
R
There is no continuous dependence of solutions on the values prescribed at
the terminal time T .
R(x0 , t0 )
6
R2
Proof. For simplicity, we consider the case (x0 , t0 ) = (0, 0) and write
QR = BR (R2 , 0].
Without loss of generality, we assume that u is bounded in QR . Otherwise,
we consider u in Qr for any r < R.
We take an arbitrarily xed point (x, t) QR and claim that
u(x, t) = K x y, t + R2 u(y, R2 ) dy
BR
t #
u
+ K(x y, t s) (y, s)
R2 BR y
$
K
u(y, s) (x y, t s) dSy ds.
y
We rst assume this identity and prove that it implies the smoothness of u.
We note that the integrals in the righthand side are only over the bottom
and the side of the boundary of BR (R2 , t]. The rst integral is over
BR {R2 }. For (x, t) QR , it is obvious that t + R2 > 0 and hence
there is no singularity in the rst integral. The second integral is over
BR (R2 , t]. By the change of variables = t s, we can rewrite it as
t+R2 # $
u K
K(x y, ) (y, t ) u(y, t ) (x y, ) dSy d.
0 BR y y
There is also no singularity in the integrand since x BR , y BR , and
> 0. Hence, we conclude that u is smooth in QR .
We now prove the claim. Let K be the fundamental solution of the heat
equation as in (5.2.3). Denoting by (y, s) points in QR , we set
1 xy2
4(ts)
K(y, s) = K(x y, t s) = n e for s < t.
4(t s) 2
Then
Ks + y K = 0.
Hence,
n
0 = K(us y u) = (uK)s + (uKyi Kuyi )yi u(Ks + y K)
i=1
n
= (uK)s + (uKyi Kuyi )yi .
i=1
168 5. Heat Equations
The proof proceeds similarly to that in Step 2 in the proof of Theorem 5.2.3.
The integral here over a nite domain introduces few changes here. We omit
the details.
Proof. We consider the case (x0 , t0 ) = (0, 0) and R = 1 only. The general
case follows from a simple translation and dilation. (Refer to Lemma 4.1.11
for a similar dilation for harmonic functions.) In the following, we write
Qr = Br (r2 , 0] for any r (0, 1].
We rst modify the proof of Theorem 5.2.7 to express u in terms of the
fundamental solution and cuto functions. We denote points in Q1 by (y, s).
Let K be the fundamental solution of the heat equation given in (5.2.3). As
in the proof of Theorem 5.2.7, we set, for any xed (x, t) Q1/4 ,
1 xy2
4(ts)
K(y, s) = K(x y, t s) = n e for s < t.
4(t s) 2
By choosing a cuto function C (Q1 ) with supp Q3/4 and 1
in Q1/2 , we set
v = K.
5.2. Fundamental Solutions 169
We need to point out that v(y, s) is dened only for s < t. For such a
function v, we have
n
0 = v(us y u) = (uv)s + (uvyi vuyi )yi u(vs + y v).
i=1
For any > 0, we integrate with respect to (y, s) in B1 (1, t). We note
that there is no boundary integral over B1 {1} and B1 (1, t ),
since vanishes there. Hence
(u)(y, t )K(x y, ) dy = u(s + y )(K) dyds.
B1 B1 (1,t)
Then similarly to the proof of Theorem 5.2.3, we have, as 0,
(x, t)u(x, t) = u(s + y )(K) dyds.
B1 (1,t)
In view of
Ks + y K = 0,
we obtain for any (x, t) Q1/4 that
u(x, t) = u (s + y )K + 2y y K dyds.
B1 (1,t)
We note that each term in the integrand involves a derivative of , which is
zero in Q1/2 since 1 there. Then the domain of integration D is actually
given by % %
D = B 3 (3/4)2 , t \ B 1 (1/2)2 , t .
4 2
The distance between any (y, s) D and any (x, t) Q1/4 has a positive
lower bound. Therefore, the integrand has no singularity in D. (This gives
an alternate proof of the smoothness of u in Q1/4 .)
D2 D2
D1
x K C n e 4(ts) ,
(t s) 2 +1
and
x y2 + (t s) xy 2
x y K C n e 4(ts) .
(t s) 2 +2
Obviously, for any (x, t) Q1/4 and any (y, s) D,
x y 1, 0 < t s 1.
Therefore, for any (x, t) Q1/4 ,
2 xy2
1 4(ts)
x u(x, t) C n e u(y, s) dyds.
i=1 D (t s) 2 +i
Now we claim that, for any (x, t) Q1/4 , (y, s) D and i = 1, 2,
1 xy2
4(ts)
n e C.
(t s) 2 +i
Then we obtain easily for any (x, t) Q1/4 that
x u(x, t) C sup u.
Q1
1 xy2 1
4(ts) 3 1
4 (ts) = 2 +i e 43 C,
n
n e n e
(t s) 2 +i
(t s) 2 +i
for any > (4/3)2 . This nishes the proof of the claim.
C m+2k k m+2k1
tk m
x u(x0 , t0 ) n e (m + 2k)! sup u,
Rm+2k QR (x0 ,t0 )
C m em1 m!
x u(x0 , t0 ) sup u.
Rm QR (x0 ,t0 )
tk m
x u(x0 , t0 ) n
k
max x u(x0 , t0 ).
=m+2k
The next result concerns the analyticity of solutions of the heat equation
on any time slice.
Hence
sup u(, t) 0 as t 0.
Rn
To discuss whether u is dierentiable, we note that
1 xi x2
Kxi (x, t) = n e 4t ,
(4t) 2 2t
1 xi xj ij x2
4t
Kxi xj (x, t) = n e .
(4t) 2 4t2 2t
For any t > 0, by the change of variables x = 2z t, we have
1 2 zi  1
Kxi (x, t) dx = n ez dz = ,
Rn 2 Rn t t
and
1 ij z2
Kxi xj (x, t) dx = n zi zj e dz.
Rn 2 t Rn 2
Hence Kxi L1 (Rn (0, T )) and Kxi xj / L1 (Rn (0, T )) for any T > 0. A
formal dierentiation of (5.2.5) yields
t
(5.2.6) uxi (x, t) = Kxi (x y, t s)f (y, s) dyds.
0 Rn
5.2. Fundamental Solutions 173
as t 0.
A simple dierentiation yields
t
1
ez xi f (x + 2z t s, s) dzds
2
uxi (x, t) = n
2 0 Rn
t
1 1
ez
2
= n zi f (x + 2z t s, s) dzds.
2 0 Rn 2 ts
Upon integrating by parts, we have
t
1 zi
ez
2
uxi (x, t) = n f (x + 2z t s, s) dzds.
2 0 Rn ts
174 5. Heat Equations
(We note that this is (5.2.6) by the change of variables y = x + 2z t s.)
A dierentiation under the integral signs yields
t
1 zi
ez
2
uxi xj (x, t) = n fxj (x + 2z t s, s) dzds.
2 0 Rn ts
A similar dierentiation of (5.2.7) yields
1
ez f (x, t) dz
2
ut (x, t) = n
2 Rn
t
1
n
zi
ez
2
+ n fxi (x + 2z t s, s) dzds.
2 0 Rn i=1 ts
In view of the boundedness of x f , we conclude that ut and uxi xj are
continuous in (x, t) Rn (0, ). We note that the rst term in the right
hand side of ut (x, t) is simply f (x, t). Hence,
n
ut (x, t) u(x, t) = ut (x, t) uxi xi (x, t) = f (x, t),
i=1
Proof. We rst consider a special case where ut u < 0 and prove that
u cannot attain in T its maximum in T . Suppose, to the contrary, that
there exists a point P0 = (x0 , t0 ) T such that
u(P0 ) = max u.
T
Then
max u(x, t) = max(u (x, t) + t)) max u (x, t) + T
T T T
= max u (x, t) + T max u(x, t) + T.
p T p T
Hence u 0 in T .
We point out that the nal estimate in the proof yields a lower bound
of u over BR {0} in terms of the lower bound of u over BR {R2 }.
This is an important estimate.
Now, we are ready to prove the strong maximum principle.
Theorem 5.3.6. Let be a bounded domain in Rn and T be a positive
constant. Suppose c is a continuous function in (0, T ] with c 0, and
u C 2,1 ( (0, T ]) satises
ut u + cu 0 in (0, T ].
If for some (x , t ) (0, T ],
u(x , t ) = sup u 0,
(0,T ]
182 5. Heat Equations
then
u(x, t) = u(x , t ) for any (x, t) (0, t ).
Proof. Set
M = sup u 0,
(0,T ]
and
v =M u in (0, T ].
Then v(x , t ) = 0, v 0 in (0, T ] and
vt v + cv 0 in (0, T ].
We will prove that v(x0 , t0 ) = 0 for any (x0 , t0 ) (0, t ).
To this end, we connect (x0 , t0 ) and (x , t ) by a smooth curve
(0, T ] along which the tcomponent is increasing. In fact, we rst connect
x0 and x by a smooth curve 0 = 0 (s) , for s [0, 1], with 0 (0) = x0
and 0 (1) = x . Then we may take to be the curve given by (0 (s), st +
(1 s)t0 ). With such a , there exist a positive constant R and nitely
(x , t )
(x0 , t0 )
Proof. Without loss of generality, we assume that (x0 , t0 ) = (0, 0). Then
D = {(x, t) Rn R : x2 t < R2 , t 0}.
By the continuity of u up to D, we have
u(x, t) u(x, 0) for any (x, t) D.
For positive constants and to be determined, we set
w(x, t) = e(x
2 t)
eR
2
and
v(x, t) = u(x, t) u(x, 0) + w(x, t).
We consider w and v in
!
1
D0 = (x, t) D : x > R .
2
e(x t) 42 x2 2n c ,
2
(x, 0)
and hence
wt w + cw 0 in D0 .
Since c 0 and u(x, 0) 0, we obtain for any > 0 that
vt v + cv = ut u + cu + (wt w + cw) cu(x, 0) 0 in D0 .
The parabolic boundary p D0 consists of two parts 1 and 2 given by
!
1
1 = (x, t) : x2 t < R2 , t 0, x = R ,
2
!
1
2 = (x, t) : x t = R , t 0, x R .
2 2
2
First, on 1 , we have u u(x, 0) < 0, and hence u u(x, 0) < for some
> 0. Note that w 1 on 1 . Then for such an , we obtain v < 0 on 1 .
Second, for (x, t) 2 , we have w(x, t) = 0 and u(x, t) u(x, 0). Hence
v(x, t) 0 for any (x, t) 2 and v(x, 0) = 0. Therefore, v 0 on 2 . In
conclusion,
vt v + cv 0 in D0 ,
v 0 on p D0 .
By the maximum principle, we have
v 0 in D0 .
Then, by v(x, 0) = 0, v attains at (x, 0) its maximum in D0 . In particular,
v(x, 0) v(x, 0) for any x BR \ B 1 R .
2
Hence, we obtain
v
(x, 0) 0,
and then
u w
(x, 0) = 2ReR > 0.
2
(x, 0)
This is the desired result.
5.3. The Maximum Principle 185
ut u + cu = f in T ,
u(, 0) = u0 on ,
u= on (0, T ),
Then
L(u) F in T ,
u B on p T .
Set
v(x, t) = ec0 t (B + F t).
Since c + c0 0 and ec0 t 1 in T , we have
Lv = (c0 + c)ec0 t (B + F t) + ec0 t F F in T
and
vB on p T .
Hence,
L(u) Lv in T ,
u v on p T .
By the maximum principle, we obtain
u v in T .
Therefore,
u(x, t) ec0 t (B + F t) for any (x, t) T .
This implies the desired estimate.
Then
L(u) F in Rn (0, T ],
u B on Rn .
Since u is bounded, we assume that u M in Rn (0, T ] for a positive
constant M . For any R > 0, consider
w(x, t) = ec0 t (B + F t) + vR (x, t) in BR (0, T ],
where vR is a function to be chosen. By c + c0 0 and ec0 t 1, we have
Lw = (c + c0 )ec0 t (B + F t) + ec0 t F + LvR F + LvR in BR (0, T ].
Moreover,
w(, 0) = B + vR (, 0) in BR ,
and
w vR on BR (0, T ].
We will choose vR such that
LvR 0 in BR (0, T ],
vR (, 0) 0 in BR ,
vR u on BR [0, T ].
To construct such a vR , we consider
M
vR (x, t) = 2 ec0 t (2nt + x2 ).
R
Obviously, vR 0 for t = 0 and vR M on x = R. Next,
M c0 t
LvR = e (c + c0 )(2nt + x2 ) 0 in BR (0, T ].
R2
With such a vR , we have
L(u) Lw in BR (0, T ],
u w on p (BR (0, T ]).
Then the maximum principle yields u w in BR (0, T ]. Hence for any
(x, t) BR (0, T ],
M c0 t
u(x, t) ec0 t (B + F t) + e (2nt + x2 ).
R2
Now we x an arbitrary (x, t) Rn (0, T ]. By choosing R > x and then
letting R , we have
u(x, t) ec0 t (B + F t).
188 5. Heat Equations
Now we x an arbitrary (x, t) Rn (0, 1/4) and then choose R > x.
We note that vR (x, t) 0 as R , since > A. We therefore obtain
u(x, t) = 0.
Hence,
(t )( x u ) 2t 2 + 6x  x u2
2 2 2
Cx u2 ,
where C is a positive constant depending only on and n. Note that
(t )(u2 ) = 2x u2 + 2u(ut u) = 2x u2 .
By taking a constant large enough, we get
(t )( 2 x u2 + u2 ) (C 2)x u2 0.
By the maximum principle, we have
sup( 2 x u2 + u2 ) sup ( 2 x u2 + u2 ).
Q1 p Q1
Therefore,
n 2
t2 2 x 2 x1 
u(x1 , t1 ) e 4(t2 t1 )
u(x2 , t2 ),
t1
for any x1 , x2 Rn and any t2 > t1 > 0, and the equality holds if is chosen
as above. This simple calculation suggests that the Harnack inequality for
the heat equation has an evolution feature: the value of a positive solution
at a certain time is controlled from above by the value at a later time. Hence,
if we attempt to establish the estimate
u(x1 , t1 ) Cu(x2 , t2 ),
the constant C should depend on t2 /t1 , x2 x1 , and most importantly
(t2 t1 )1 (> 0).
Suppose u is a positive solution of the heat equation and set v = log u.
In order to derive an estimate for the quotient
u(x1 , t1 )
,
u(x2 , t2 )
it suces to get an estimate for the dierence
v(x1 , t1 ) v(x2 , t2 ).
To this end, we need an estimate of vt and v. For a hint of proper
forms, we again turn our attention to the fundamental solution of the heat
equation.
Consider for any (x, t) Rn (0, ),
1 x2
4t
u(x, t) = n e .
(4t) 2
Then
n x2
v(x, t) = log u(x, t) = log(4t) ,
2 4t
and hence
n x2 x
vt = + 2 , v = .
2t 4t 2t
Therefore,
n
vt = + v2 .
2t
We have the following dierential Harnack inequality for arbitrary pos
itive solutions of the heat equation.
Theorem 5.3.12. Suppose u C 2,1 (Rn (0, T ]) satises
ut = u, u>0 in Rn (0, T ].
Then v = log u satises
n
vt + v2 in Rn (0, T ].
2t
192 5. Heat Equations
2 2
wt w 2v w w .
n
f = v2 vt .
Then
ft f 2v f = 22 v2 .
1 1 2 1 2
2 v2 (v)2 = v2 vt = (1 )v2 + f
n n n
1 2
= f + 2(1 )v f + (1 )2 v4
2
n
1 2
f + 2(1 )v2 f .
n
We obtain
2 2
(5.3.3) ft f 2v f f + 2(1 )v2 f .
n
We should point out that v2 in the righthand side plays an important
role later on.
Step 3. Now we introduce a cuto function C0 (Rn ) with 0
and set
g = tf.
gt = f + tft ,
g = tf + tf ,
g = tf + 2t f + tf .
5.3. The Maximum Principle 195
Then,
g
tft = gt ,
t
tf = g g,
tf = g 2 g g g
2
= g 2 g + 2 2 g.
Multiplying (5.3.3) by t2 2 and substituting ft , f and f by above equal
ities, we obtain
t(gt g) + 2t( v) g
!
2 2 4(1 )
g g+t 2 v 2 v
2
.
n n
To eliminate v from the righthand side, we complete the square for the
last two terms. (Here we need < 1! Otherwise, we cannot control the
expression 2 v in the righthand side.) Hence,
t(gt g) + 2t( v) g
!
2 2 n 2
g g+t 2 + ,
n 4(1 )
whenever g is nonnegative. We point out that there are no unknown ex
pressions in the righthand side except g. By choosing = 2 for some
C0 (Rn ) with 0, we get
t 2 (gt g) + 2t(2 2 v) g
!
2 n
g 2
g + t 6 2 +
2
 2
,
n (1 )
whenever g is nonnegative. Now we x a cuto function 0 C0 (B1 ), with
0 0 1 in B1 and 0 = 1 in B1/2 . For any xed R 1, we consider
(x) = 0 (x/R). Then
n
62 2 + 2 (x)
(1 )
1 n x
= 2 60  20 0 +
2
0  2
.
R (1 ) R
Therefore, we obtain that in BR (0, T ),
2 C t
t (gt g) + 2t(2 v) g g 1
2 2
g+ 2 ,
n R
196 5. Heat Equations
5.4. Exercises
Exercise 5.1. Prove the following statements by straightforward calcula
tions:
x2
(1) K(x, t) = t 2 e
n
4t satises the heat equation for t > 0.
x2
(2) For any > 0, G(x, t) = (1 4t) 2 e 14t satises the heat equa
n
ut u = 0 in Rn (, 0).
ut u = 0 in (0, ),
u(, 0) = u0 on ,
u = 0 on (0, ).
Prove that
sup u(, t) Cet sup u0  for any t > 0,
ut u + cu = u2 in (0, T ],
u(, 0) = u0 on ,
u=0 on (0, T ).
Prove that
0 u ec0 T sup u0 in (0, T ].
5.4. Exercises 199
Wave Equations
201
202 6. Wave Equations
are well posed. We point out that energy estimates are fundamental and
form the basis for the existence of solutions of general hyperbolic equations.
t6
A
@
B @
@ @
@ @C
@
@
D

x
In other words, the sums of the values of u at opposite vertices are equal.
This follows easily from (6.1.3). In fact, if we set A = (xA , tA ), B = (xB , tB ),
C = (xC , tC ) and D = (xD , tD ), we have
xB t B = xA t A , xB + t B = xD + t D ,
and
x C t C = xD t D , xC + t C = xA + t A .
We then get (6.1.4) by (6.1.3) easily. An alternative method to prove (6.1.4)
is to consider it in (, )coordinates, where A, B, C, D are the vertices of
a rectangle with sides parallel to the axes. Then we simply integrate u ,
which is zero, in this rectangle to get the desired relation.
We now solve (6.1.1) for the case f 0. Let u be a C 2 solution which
is given by (6.1.3) for some functions g and h. By evaluating u and ut at
t = 0, we have
Then
1 1
g (x) = (x) (x),
2 2
1 1
h (x) = (x) + (x).
2 2
A simple integration yields
1 1 x
g(x) = (x) (s) ds + c,
2 2 0
for a constant c. Then a substitution into the expression of u(x, 0) implies
1 1 x
h(x) = (x) + (s)ds c.
2 2 0
Therefore,
1 1 x+t
(6.1.5) u(x, t) = (x t) + (x + t) + (s) ds.
2 2 xt
This is dAlemberts formula. It clearly shows that regularity of u(, t) for
any t > 0 is the same as that of the initial value u(, 0) and is 1degree better
than ut (, 0). There is no improvement of regularity.
We see from (6.1.5) that u(x, t) is determined uniquely by the initial
values in the interval [x t, x + t] of the xaxis, which is the base of the
characteristic triangle C1 (x, t). This interval is the domain of dependence
for the solution u at the point (x, t). We note that the endpoints of this
interval are cut out by the characteristic curves through (x, t). Conversely,
the initial values at a point (x0 , 0) of the xaxis inuence u(x, t) at points
(x, t) in the wedgeshaped region bounded by characteristic curves through
(x0 , 0), i.e., for x0 t < x < x0 + t, which is often referred to as the range
of inuence.
t6 t6
@ @
@ @
@ @
@ @ 
x x
The initialvalue problem (6.1.7) was discussed in Example 2.2.3. Its solution
is given by
v(x, t) = (x t).
The initialvalue problem (6.1.6) was discussed in Example 2.2.4. Its solution
is given by
t
u(x, t) = (x + t 2 ) d.
0
By a change of variables, we obtain
x+t
1
u(x, t) = (s) ds.
2 xt
and
L0 = {(y, 0) : x t < y < x + t}.
We note that L+ and L are parts of the characteristic curves through (x, t).
Let = (1 , 2 ) be the unit exterior normal vector of C1 (x, t). Then
(1, 1)/ 2 on L+ ,
= (1, 1)/ 2 on L ,
(0, 1) on L0 .
Upon integrating by parts, we have
206 6. Wave Equations
t6
(x, t)
@
@
@
@
x
@ 
xt x+t
f dyds = (utt uxx ) dyds = (ut 2 ux 1 ) dl
C1 (x,t) C1 (x,t) C1 (x,t)
1 1
= (ut ux ) dl + (ut + ux ) dl
L+ 2 L 2
x+t
ut (s, 0) ds,
xt
where the orientation of the integrals over L+ and L is counterclockwise.
Note that (t x )/ 2 is a directional derivative along L+ with unit length
and with direction matching the orientation of the integral over L+ . Hence
1
(ut ux ) dl = u(x, t) u(x + t, 0).
L+ 2
On the other hand, (t + x )/ 2 is a directional derivative along L with
unit length and with direction opposing the orientation of the integral over
L . Hence
1
(ut + ux ) dl = u(x t, 0) u(x, t) .
L 2
Therefore, a simple substitution yields
1 1 x+t
u(x, t) = (x + t) + (x t) + (s) ds
2 2 xt
(6.1.8)
1 t x+(t )
+ f (y, ) dyd.
2 0 x(t )
since and are odd in R. We point out that (6.1.11) will be needed in
solving the initialvalue problem for the wave equation in higher dimensions.
6.1. OneDimensional Wave Equations 209
and
2 = {(x, t) : t > x > 0}.
We denote by u1 the solution in 1 . Then, u1 is determined by (6.1.5) from
the initial values. In fact,
1 1 x+t
u1 (x, t) = (x + t) + (x t) + (s) ds,
2 2 xt
We note that (x) is the value of the solution u along the straight line t = x
for x > 0. Next, we consider
utt uxx = 0 in 2 ,
u(0, t) = (t), u(x, x) = (x).
t6
@
@
@ @
@
@
@ x

we have
u1 (x, t)t=x u2 (x, t)t=x = (0) (0) = (0) (0),
x u1 (x, t)t=x x u2 (x, t)t=x = (0) + (0),
x2 u1 (x, t)t=x x2 u2 (x, t)t=x = (0) (0).
Then (6.1.10) implies
u 1 = u2 , x u1 = x u2 , x2 u1 = x2 u2 on {t = x}.
It is easy to get t u1 = t u2 on {t = x} by u1 = u2 and x u1 = x u2 on
{t = x}. Similarly, we get xt u1 = xt u2 and tt u1 = tt u2 on {t = x}.
Therefore, u is C 2 across t = x. Hence, we obtain the following result.
Theorem 6.1.2. Suppose C 2 [0, ), C 1 [0, ), C 2 [0, ) and
the compatibility condition (6.1.10) holds. Then there exists a solution u
C 2 ([0, ) [0, )) of (6.1.9).
We can also derive a priori energy estimates for solutions of (6.1.9). For
any constants T > 0 and x0 > T , we use the following domain for energy
estimates:
{(x, t) : 0 < x < x0 t, 0 < t < T }.
Now we consider the initial/boundaryvalue problem. For a positive
constant l > 0, assume that C 2 [0, l], C 1 [0, l] and , C 2 [0, ).
Consider
utt uxx = 0 in (0, l) (0, ),
(6.1.12) u(, 0) = , ut (, 0) = on [0, l],
u(0, t) = (t), u(l, t) = (t) for t > 0.
The compatibility condition is given by
(0) = (0), (0) = (0), (0) = (0),
(6.1.13)
(l) = (0), (l) = (0), (l) = (0).
6.1. OneDimensional Wave Equations 211
The proof is similar to that for the halfspace problem. We prove that
u(0, t) = 0 by introducing v(x, t) = u(x, t) and prove u(l, t) = 0 by
introducing w(x, t) = u(2l x, t).
We now discuss the general case and construct a solution of (6.1.12) by
an alternative method. We decompose [0, l] [0, ) into innitely many
regions by the characteristic curves through the corners and through the
intersections of the characteristic curves with the boundaries. Specically,
we rst consider the characteristic curve t = x. It starts from (0, 0), one of
the two corners, and intersects the right portion of the boundary x = l at
(l, l). Meanwhile, the characteristic curve x + t = l starts from (l, 0), the
other corner, and intersects the left portion of the boundary x = 0 at (0, l).
These two characteristic curves intersect at (l/2, l/2). We then consider the
characteristic curve tx = l from (0, l) and the characteristic curve t+x = 2l
from (l, l). They intersect the right portion of the boundary at (l, 2l) and the
left portion of the boundary at (0, 2l), respectively. We continue this process.
We rst solve for u in the characteristic triangle with vertex (l/2, l/2). In
this region, u is determined by the initial values. Then we can solve for u
by forming characteristic parallelograms in the triangle with vertices (0, 0),
(l/2, l/2) and (0, l) and in the triangle with vertices (l, 0), (l/2, l/2) and (l, l).
In the next step, we solve for u again by forming characteristic parallelogram
in the rectangle with vertices (0, l), (l/2, l/2), (l, l) and (l/2, 3l/2). We note
that this rectangle is a characteristic parallelogram. By continuing this
process, we can nd u in the entire region [0, l] [0, ).
212 6. Wave Equations
t6
2l
@
@
@
@
@
l @ @
@
@ @
@
@
@
@@
@ @
@
@@ 
l x
t 6
@
I
@
@
I
@ @
I
@
@
I
@ 
x
utt u = 0 in Rn (0, ),
(6.2.1)
u(, 0) = , ut (, 0) = on Rn .
where n is the surface area of the unit sphere in Rn . Then W (x; r) is the
average of w over the sphere Br (x). Now, w can be recovered from W by
and
1
(x; r) = (y) dSy ,
n rn1 Br (x)
(6.2.3)
1
(x; r) = (y) dSy .
n rn1 Br (x)
In other words, U (x; r, t), (x, r) and (x, r) are the averages of u(, t),
and over the sphere Br (x), respectively. Then U determines u by
Hence
n1 1
(r Ur ) r = utt (y, t) dSy
n Br (x)
1
= tt u(y, t) dSy = rn1 Utt .
n Br (x)
Letting r 0, we obtain
u(x, t) = lim U (x; r, t) = t t(x; t) + t(x; t).
r0
for any (x, t) R3 (0, ). We point out that we did not justify the
compatibility condition in applying (6.1.11). Next, we prove directly that
(6.2.5) is indeed a solution u of (6.2.1) under appropriate assumptions on
and .
where
1
(x, t) = (y) dSy .
4t2 Bt (x)
In this form, u(x, t) is dened for any (x, t) R3 [0, ) and u(, 0) = 0.
Since C k (R3 ), we conclude easily that ix u exists and is continuous in
R3 [0, ), for i = 0, 1, , k. In particular,
t
u(x, t) = x (x + t) dS .
4 =1
For tderivatives, we take (x, t) R3 (0, ). Then
ut = + tt , utt = 2t + ttt .
A simple dierentiation yields
1
t (x, t) = (x + t) dS .
4 =1
Hence, ut (x, t) is dened for any (x, t) R3 [0, ) and ut (, 0) = .
Moreover, ix ut is continuous in R3 (0, ), for i = 0, 1, , k 1. After
the change of coordinates y = x + t and an integration by parts, we rst
have
1 1
t = (y) dSy = (y) dy.
4t2 Bt (x) 4t2 Bt (x)
Then
1 1
tt = (y) dy + (y) dSy
2t3 Bt (x) 4t2 Bt (x)
2 1
= t (t) + (y) dSy .
t 4t2 Bt (x)
By setting y = x + t again, we have
t t
utt = y (y) dSy = x (x + t) dS = u.
4t2 Bt (x) 4 =1
This implies easily that u C k (R3 [0, )).
A similar calculation works for = 0.
We point out that there are other methods to derive explicit expressions
for solutions of the wave equation. Refer to Exercise 6.8 for an alternative
approach to solving the threedimensional wave equation.
By the change of variables y = x + t in (6.2.5), we have
t t
u(x, t) = t (x + t) dS + (x + t) dSy .
4 =1 4 =1
A simple dierentiation under the integral sign yields
1
u(x, t) = (x + t) + t(x + t) + t(x + t) dS .
4 =1
218 6. Wave Equations
Hence
1
u(x, t) = (y) + y (y) (y x) + t(y) dSy ,
4t2 Bt (x)
for any (x, t) R3 (0, ). We note that u(x, t) depends only on the initial
values and on the sphere Bt (x).
6.2.3. Dimension Two. We now solve initialvalue problems for the wave
equation in R2 (0, ) by the method of descent. Let C 2 (R2 ) and
C 1 (R2 ). Suppose u C 2 (R2 (0, )) C 1 (R2 [0, )) satises (6.2.1),
i.e.,
utt u = 0 in R2 (0, ),
u(, 0) = , ut (, 0) = on R2 .
we have
utt x u = 0 in R3 (0, ),
u(, 0) = , ut (, 0) = on R3 ,
where
(x) = (x), (x) = (x).
By (6.2.5), we have
1 1
u(x, t) = t (y) dSy + (y) dSy ,
4t Bt (x) 4t Bt (x)
where y = (y1 , y2 , y3 ) = (y, y3 ). The integrals here are over the surface
Bt (x) in R3 . Now we evaluate them as integrals in R2 by eliminating y3 .
For x3 = 0, the sphere y x = t in R3 has two pieces given by
y3 = t2 y x2 ,
Therefore, we obtain
1 1 (y)
u(x, t) = t dy
2 Bt (x) t2 y x2
(6.2.6)
1 1 (y)
+ dy,
2 Bt (x) t2 y x2
for any (x, t) R2 (0, ). We put the factor 1/2 separately to emphasize
that is the area of the unit disc in R2 .
Hence
1 1 t(y) + t(y) (y x) + t2 (y)
u(x, t) = 2 dy,
2 t Bt (x) t2 y x2
for any (x, t) R2 (0, ). We note that u(x, t) depends on the initial
values and in the solid disc Bt (x).
t 6
(x, t)
@
@ 
@
@
t @
x
Rn
t6
t
@
@
@ 
@
@
(x0 , 0)
Rn
Then at a later time t, the support of u(, t) is contained in the union of all
balls Bt (x) for x Br (x0 ). It is easy to see that such a union is in fact the
ball of center x0 and radius r + t. The support of u spreads at a nite speed.
To put it in another perspective, we x an x / Br (x0 ). Then u(x, t) = 0 for
t < x x0  r. This is a nitespeed propagation.
For n = 2, if the supports of and are the entire disc Br (x0 ), then the
support of u(, t) will be the entire disc Br+t (x0 ) in general. The inuence
from initial values never disappears in a nite time at any particular point,
like the surface waves arising from a stone dropped into water.
For n = 3, the behavior of solutions is dierent. Again, we assume that
the supports of and are contained in a ball Br (x0 ). Then at a later
time t, the support of u(, t) is in fact contained in the union of all spheres
Bt (x) for x Br (x0 ). Such a union is the ball Bt+r (x0 ) for t r, as in
the twodimensional case, and the annular region of center x0 and outer and
inner radii t + r and t r, respectively, for t > r. This annular region has
a thickness 2r and spreads at a nite speed. In other words, u(x, t) is not
zero only if
t r < x x0  < t + r,
or
x x0  r < t < x x0  + r.
Therefore, for a xed x R3 , u(x, t) = 0 for t < x x0  r (corresponding
to nitespeed propagation) and for t > x x0  + r. So, the inuence
from the initial values lasts only for an interval of length 2r in time. This
phenomenon is called Huygens principle for the wave equation. (It is called
the strong Huygens principle in some literature.)
In fact, Huygens principle holds for the wave equation in every odd space
dimension n except n = 1 and does not hold in even space dimensions.
222 6. Wave Equations
t6
@
@
@ 
@
R2
t6
@ @
@ @
@ @ 
@ @
R3
we obtain
1 2
Urtt = 2
(r U )rr + (n 5)rUrr (n + 1)Ur ,
r
or
(6.2.9) (r2 Ur )tt = (r2 Ur )rr + (n 5)rUrr (n + 1)Ur .
The second term in the righthand side of (6.2.9) has a coecient n 5,
which is 2 less than n 3, the coecient of the second term in the right
hand side of (6.2.8). Also the third term involving Ur in the righthand
side of (6.2.9) has a similar expression as the second term in the righthand
side of (6.2.8). Therefore an appropriate combination of (6.2.8) and (6.2.9)
eliminates those terms involving Ur . In particular, for n = 5, we have
(r2 Ur + 3rU )tt = (r2 Ur + 3rU )rr .
In other words, r2 Ur + 3rU satises the onedimensional wave equation. We
can continue this process to obtain appropriate combinations for all odd
dimensions. Next, we note that
1
r2 Ur + 3rU = (r3 U )r .
r
It turns out that the correct combination of U and its derivatives for arbi
trary odd dimension n is given by
n3
1 2
rn2 U .
r r
Hence
1
lim U (x; r, t) = lim U (x; r, t) = u(x, t).
r0 cm,0 r r0
Therefore, we obtain
r+t
1 1 1
u(x, t) = lim (x; t + r) (x; t r) + (x; s) ds
cm,0 r0 2r 2r tr
1
= t (x; t) + (x; t) .
cm,0
Using n = 2m+1, the expression for cm,0 in Lemma 6.2.4 and the denitions
of and , we can rewrite the last formula in terms of and . Thus, we
obtain for any x Rn and t > 0,
,
n3
1 1 2 1
u(x, t) = dS
cn t t t n t Bt (x)
(6.2.11)
n3 
1 2 1
+ dS ,
t t n t Bt (x)
where
1
(x, t) = dS.
n tn1 Bt (x)
Therefore,
i 1 i
(x, t) = (x + t) dS .
ti n =1 i
Hence, u(x, t) is dened for any (x, t) Rn [0, ) and u(, 0) = 0. Since
n3
C 2 +k (Rn ), we conclude easily that ix u exists and is continuous in
Rn [0, ), for i = 0, 1, , k. For tderivatives, we conclude similarly that
ut (x, t) is dened for any (x, t) Rn [0, ) and ut (, 0) = . Moreover,
ix ut is continuous in Rn (0, ), for i = 0, 1, , k 1. In particular,
1 1
t (x, t) = dS = dy.
n tn1 Bt (x) n tn1 Bt (x)
Next,
1
(x, t) = x (x + t) dS
n =1
1
= dSy .
n tn1 Bt (x)
Hence
n3
1 1 2 1
u(x, t) = dSy .
cn t t n t Bt (x)
Hence
n1
1 1 2
utt = dy
n cn t t Bt (x)
n3
1 1 2 1
= dS .
n cn t t t Bt (x)
where y = (y1 , , yn , yn+1 ) = (y, yn+1 ). The integrals here are over the
surface Bt (x) in Rn+1 . Now we evaluate them as integrals in Rn by elim
inating yn+1 . For xn+1 = 0, the sphere y x = t in Rn+1 has two pieces
given by
yn+1 = t2 y x2 ,
and its surface area element is
1 t
dSy = 1 + y yn+1 2 2 dy = dy.
t2 y x2
6.2. HigherDimensional Wave Equations 229
Hence
1 2 (y)
(y) dSy = dy
n+1 t Bt (x) n+1 Bt (x) y x2
t2
2n n (y)
= dy.
nn+1 n Bt (x) t2 y x2
We point out that n /n is the volume of the unit ball in Rn . A similar
expression holds for . By a simple substitute, we now get an expression of
u in terms of and . We need to calculate the constant in the formula.
Therefore, we obtain for any x Rn and t > 0,
,
n2
1 1 2 n (y)
u(x, t) = dy
cn t t t n Bt (x) t2 y x2
(6.2.13)
n2 
1 2 n (y)
+ dy ,
t t n Bt (x) t2 y x2
where n is an even integer, n /n is the volume of the unit ball in Rn and cn
is given by
ncn+1 n+1
cn = .
2n
In fact, we have
cn = 2 4 n.
We note that c2 = 2 and hence (6.2.13) reduces to (6.2.6) for n = 2.
Theorem 6.2.6. Let n be an even integer and k 2 be an integer. Suppose
C 2 +k (Rn ), C 2 1+k (Rn ) and u is dened in (6.2.13). Then u
n n
Solutions not only are bounded globally but also decay as t for
n 2. In this aspect, there is a sharp dierence between dimension 1
and higher dimensions. By dAlemberts formula (6.1.5), it is obvious that
solutions of the initialvalue problem for the onedimensional wave equation
do not decay as t . However, solutions in higher dimensions have a
dierent behavior.
Theorem 6.2.8. For n 2, let be a smooth function in Rn and u be a
solution of
utt u = 0 in Rn (0, ),
u(, 0) = 0, ut (, 0) = on Rn .
Then for any t > 1,
. %
n
2
u(, t)L(Rn ) Ct
n1
2 i L1 (Rn ) ,
i=0
where C is a positive constant depending only on n.
Decay estimates in Theorem 6.2.8 are optimal for large t. They play an
important role in the studies of global solutions of nonlinear wave equations.
We note that decay rates vary according to dimensions.
Before presenting a proof, we demonstrate that t1 is the correct decay
rate for n = 3 by a simple geometric consideration. By (6.2.5), the solution
u is given by
1
u(x, t) = (y) dSy ,
4t Bt (x)
for any (x, t) R3 (0, ). Suppose is of compact support and supp
BR for some R > 0. Then
1
u(x, t) = (y) dSy .
4t BR Bt (x)
A simple geometric argument shows that for any x R3 and any t > 0,
Area BR Bt (x) CR2 ,
where C is a constant independent of x and t. Hence,
CR2
u(x, t) sup .
t R3
6.2. HigherDimensional Wave Equations 231
This clearly shows that u(x, t) decays uniformly for x R3 at the rate of t1
as t . The drawback here is that the diameter of the support appears
explicitly in the estimate. The discussion for n = 2 is a bit complicated and
is left as an exercise. Refer to Exercise 6.7.
We now prove Theorem 6.2.7 and Theorem 6.2.8 together. The proof is
based on explicit expressions for u.
and hence
r (x + r) dS s (x + s) dS ds
=1 r =1
L1 (R2 ) .
Therefore,
t
1 1 1
u(x, t) L1 (R2 ) dr = L1 (R2 ) .
2 0 t2 r 2 4
For the decay estimate, we write u as
t t
1 1
u(x, t) = + = I1 + I2 ,
2 0 t 2
where > 0 is a positive constant to be determined. We can estimate I2
similarly to the above. In fact,
t
1
I2  = r (x + r) dS dr
t t2 r2 =1
t
1
dr L1 (R2 ) .
t t r2
2
6.2. HigherDimensional Wave Equations 233
utt u = 0 in Rn (0, ),
(6.2.16)
u(, 0) = 0, ut (, 0) = on Rn ,
234 6. Wave Equations
and
utt u = f in Rn (0, ),
(6.2.17)
u(, 0) = 0, ut (, 0) = 0 on Rn .
Obviously, a sum of solutions of (6.2.15)(6.2.17) yields a solution of (6.2.14).
n
For any C [ 2 ]+1 (Rn ), set for (x, t) Rn (0, ),
n3
1 1 2 1
(6.2.18) M (x, t) = dS
cn t t n t Bt (x)
if n 3 is odd, and
n2
1 1 2 n (y)
(6.2.19) M (x, t) = dy
cn t t n Bt (x) t2 y x2
if n 2 is even, where n is the surface area of the unit sphere in Rn and
1 3 (n 2) for n 3 odd,
cn =
2 4n for n 2 even.
Proof. This follows easily from Theorem 6.2.5 and Theorem 6.2.6 for = 0.
As we have seen, u is in fact C m in Rn [0, ).
tt M M = 0 in Rn (0, ),
M (, 0) = 0, t M (, 0) = on Rn .
Then
and
utt u = f in Rn (0, ).
Proof. The regularity of u easily follows from Theorem 6.2.9. We will verify
that u satises utt u = f and the initial conditions. For each xed > 0,
w(x, t) = Mf (x, t ) satises
wtt w = 0 in Rn (, ),
w(, ) = 0, t w(, ) = f (, ) on Rn .
and
t
utt = t Mf (x, t ) =t + tt Mf (x, t ) d
0
t
= f (x, t) + Mf (x, t ) d
0
t
= f (x, t) + Mf (x, t ) d
0
= f (x, t) + u.
Hence utt u = f in Rn (0, ) and u(, 0) = 0, ut (, 0) = 0 in Rn .
6
t
P = (X, T )
J
J
J
J
J 
J
T / J
Rn
and
n
2et aut u = 2et aut uxi xi
i=1
n
= 2(et aut uxi )xi + 2et auxi utxi + 2et axi ut uxi
i=1
n
= 2(et aut uxi )xi + (et au2xi )t + 2et axi ut uxi
i=1
+ et au2xi et at u2xi ,
where we used 2uxi utxi = (u2xi )t . Therefore, we obtain
n
(et u2t +e t
au )t 2
2
(et aut uxi )xi + et (u2t + au2 )
i=1
n
+ 2et axi ut uxi et at u2 + 2et cuut
i=1
t
= 2e ut f.
We note that the rst two terms in the lefthand side are derivatives of
quadratic expressions in x u and ut and that the next three terms are
quadratic in x u and ut . In particular, the third term is a positive quadratic
form. The nal term in the lefthand side involves u itself. To control this
term, we note that
(et u2 )t + et u2 2et uut = 0.
Then a simple addition yields
t 2 2
n
e (u +ut + au2 ) t 2(et aut uxi )xi
i=1
+ et (u2 + u2t + au2 ) = RHS,
where
n
RHS = 2et axi ut uxi + et at u2 2et (c 1)uut + 2et ut f.
i=1
The rst three terms in RHS are quadratic in ut , uxi and u. Now by (6.3.2)
and the Cauchy inequality, we have
1 2
2axi ut uxi  axi (ut + uxi ) axi  ut + auxi ,
2 2 2
and similar estimates for other three terms in RHS. Hence
RHS 0 et (u2 + u2t + au2 ) + et f 2 ,
240 6. Wave Equations
Usually, we call u2t + au2 the energy density and its integral over
Rn {t} the energy at time t. Then Theorem 6.3.2 asserts, in the case of
c = 0 and f = 0, that the initial energy (the energy at t = 0) controls the
energy at later time.
a in D.
We now consider
(6.3.3) utt au + cu = f in D.
242 6. Wave Equations
t 6
+ D
D
D

Rn
t6
@
@
@
@

Rn
t6
@
@
@

Rn
6.4. Exercises
Exercise 6.1. Let l be a positive constant, C 2 ([0, l]) and C 1 ([0, l]).
Consider
and
utt = u 2 u in R2 (0, ),
u(, 0) = 0, ut (, 0) = on R2 .
Hint: Use complex functions temporarily to solve the second problem.
Exercise 6.7. Let be a bounded function dened in R2 with = 0 in
R2 \ B1 . For any (x, t) R2 (0, ), dene
1 (y)
u(x, t) = dy.
2 Bt (x) t y x2
2
1F. G. Friedlander, On the radiation eld of pulse solutions of the wave equation, Proc. Roy.
Soc. A, 269 (1962), 5365.
Chapter 7
FirstOrder Dierential
Systems
In this chapter, we discuss partial dierential systems of the rst order and
focus on local existence of solutions.
In Section 7.1, we introduce the notion of noncharacteristic hypersur
faces for initialvalue problems. We proceed here for linear partial dier
ential equations and partial dierential systems of arbitrary order similarly
to how we did for rstorder linear PDEs in Section 2.1 and secondorder
linear PDEs in Section 3.1. We show that we can compute all derivatives of
solutions on initial hypersurfaces if initial values are prescribed on nonchar
acteristic initial hypersurfaces. We also demonstrate that partial dierential
systems of arbitrary order can always be transformed to those of the rst
order.
In Section 7.2, we discuss analytic solutions of the initialvalue problem
for rstorder linear dierential systems. The main result is the Cauchy
Kovalevskaya theorem, which asserts the local existence of analytic solutions
if the coecient matrices and the nonhomogeneous terms are analytic and
the initial values are analytic on analytic noncharacteristic hypersurfaces.
The proof is based on the convergence of the formal power series of solutions.
In this section, we also prove a uniqueness result due to Holmgren, which
asserts that the solutions in the CauchyKovalevskaya theorem are the only
solutions in the C category.
In Section 7.3, we construct a rstorder linear dierential system in
R3 that does not admit smooth solutions in any subsets of R3 . In this
system, the coecient matrices are analytic and the nonhomogeneous term
249
250 7. FirstOrder Dierential Systems
and
p(x; ) = a (x) ,
=m
for any x and Rn .
and
n
n
Lu = aij (x)uxi xj + bi (x)uxi + c(x)u in .
i,j=1 i=1
Their principal symbols are given by
n
p(x; ) = ai (x)i ,
i=1
and
n
p(x; ) = aij (x)i j ,
i,j=1
for any x and Rn . For secondorder dierential operators, we
usually assume that (aij ) is a symmetric matrix in .
Let f be a continuous function in . We consider the equation
(7.1.2) Lu = f (x) in .
The function f is called the nonhomogeneous term of the equation.
Let be a smooth hypersurface in with a unit normal vector eld
= (1 , , n ). For any integer j 1, any point x0 and any C j 
function u dened in a neighborhood of x0 , the jth normal derivative of u
at x0 is dened by
j u
j
= u = 11 nn x11 xnn u.
=j 1 ++n =j
Step 2. Reductions to canonical forms and zero initial values. In the new
coordinates, {xn = 0} is noncharacteristic at 0. Then, the coecient matrix
A(0, ,0,m) is nonsingular at the origin and hence also in a neighborhood of
the origin. Multiplying the partial dierential system (7.1.8) by the inverse
of this matrix, we may assume that A(0, ,0,m) is the identity matrix in a
neighborhood of the origin. Next, we may assume
uj (x ) = 0 for j = 0, 1, , m 1.
To see this, we introduce a function v such that
m1
1
u(x) = v(x) + uj (x )xjn .
j!
j=0
Then the dierential system for v is the same as that for u with f replaced
by
m1
1 j
f (x) A (x)
uj (x )xn .
j!
j=0 m
Moreover,
xj n v(x , 0) = 0 for j = 0, 1, , m 1.
With Step 1 and Step 2 done, we assume that (7.1.8) and (7.1.9) have
the form
m1
xmn u + A u = f,
n =0  mn
with
xj n u(x , 0) = 0 for j = 0, 1, , m 1.
258 7. FirstOrder Dierential Systems
We substitute Un = uxn in the rst two terms in the lefthand side to get
m2
(7.1.13) xm1
n
Un + A Un + A( ,0) ( ,0) u = f.
n =0  mn 1  m
In the last summation in the lefthand side, any mthorder derivative of u can
be changed to an (m 1)thorder derivative of Ui for some i = 1, , n 1,
since no derivatives with respect to xn are involved. Now we can write a
dierential system for U in the form
m2
(7.1.14) xm1
n
U + A(1)
U =F
(1)
.
n =0  mn 1
where the c are real numbers dened for all multiindices Zn+ . Through
out this section,0
the term convergence always refers0 to absolute convergence.
Hence, a series c is convergent if and only if c  < . Here, the
summation is over all multiindices Zn+ .
Denition 7.2.2. A function u : Rn R is called analytic near x0 Rn if
there exist an r > 0 and constants {u } such that
u(x) = u (x x0 ) for x Br (x0 ).
Then
x1 + + xn 1 x1 + + xn k
u(x) = 1 =
r r
k=0
1 k
!
= x = x .
rk r !
k=0 =k
This power series is absolutely convergent for x < r/ n since
!
x1  + + xn  k
 !
x
 = < ,
r r
k=0
for x1  + + xn  x n < r. We also note that
!
u(0) = for Zn+ .
r
We point out that all derivatives of u at 0 are positive.
with
(7.2.3) u(, 0) = u0 .
We assume that A1 , , An , F and u0 are analytic in their arguments and
seek an analytic solution u. We point out that {t = 0} is noncharacteris
tic for (7.2.2). Noncharacteristics was dened for linear dierential systems
in Section 7.1 and can be generalized easily to quasilinear dierential sys
tems. We refer to Section 2.1 for such a generalization for single quasilinear
dierential equations.
The next result is referred to as the CauchyKovalevskaya theorem.
Theorem 7.2.9. Let u0 be an analytic N vector near 0 Rn , and let A1 ,
, An be analytic N N matrices and F be an analytic N vector near
(0, 0, u0 (0)) Rn+1+N . Then the problem (7.2.2)(7.2.3) admits an analytic
solution u near 0 Rn+1 .
F . For brevity, we still denote by N the number of equations and the number
of components of solution vectors.
In the following, we study
n
(7.2.4) ut = Aj (x, u)uxj + F (x, u),
j=1
with
(7.2.5) u(, 0) = 0,
where A1 , , An are analytic N N matrices and F is an analytic N vector
in a neighborhood of the origin in Rn+N . We seek an analytic solution u
in a neighborhood of the origin in Rn+1 . To this end, we will compute
derivatives of u at 0 Rn+1 in terms of derivatives of A1 , , An and F at
(0, 0) Rn+N and then prove that the Taylor series of u at 0 converges in a
neighborhood of 0 Rn+1 . We note that t does not appear explicitly in the
right hand side of (7.2.4).
Since u = 0 on {t = 0}, we have
x u(0) = 0 for any Zn+ .
For any i = 1, , n, by dierentiating (7.2.4) with respect to xi , we get
n
uxi t = (Aj uxi xj + Aj,xi uxj + Aj,u uxi uxj ) + Fu uxi + Fxi .
j=1
n
vt = Bj (x, v)vxi + G(x, v),
(7.2.8) j=1
v(, 0) = 0,
and
x u G(0) x u F (0).
This function is analytic near the origin and its Taylor series about the
origin is convergent for (x, t) < s, for suciently small s > 0. Hence, the
corresponding solution v of (7.2.8) is analytic and its Taylor series about
the origin is convergent for (x, t) < s. By Lemma 7.2.5 and (7.2.10), the
Taylor series of u about the origin is convergent and hence denes an analytic
function for (x, t) < s, which 0we denote by u. Since the Taylor series of
n
the analytic functions ut and j=1 Aj (x, u)uxj + F (x, u) have the same
coecients at the origin, they agree throughout the region (x, t) < s.
t6

Rn
+
and
ck = 2k ek .
We also denote by the collection of bounded innite sequences =
(a1 , a2 , ) of real numbers ai . This is a Banach space with respect to the
norm
= sup ak .
k
We note that f depends on linearly. This fact will be needed later on.
Lemma 7.3.3. Let f be dened as in (7.3.2) for some . Then
f C (R3 ). Moreover, for any Z3+ ,


sup  f 
sup h(+1) .
R3 e R
Proof. We rst prove that Ek,m is closed. Take any 1 , 2 , Ek,m and
such that
lim j = 0.
j
uC 1, (Bk,m ) m.
+
/ Ek,m ,
Lu = f in .
7.4. Exercises
Exercise 7.1. Classify the following 4thorder equation in R3 :
with
u(, 0) = 0 on R.
Under appropriate conditions on f , prove that the above initialvalue prob
lem admits a C 1 solution by using the contraction mapping principle.
Hint: It may be helpful to write it as a system of equations instead of using
a matrix form.
Epilogue