1 INTRODUCTION 1
4 LAPLACE EQUATION 93
4.1 GaussGreen theorem . . . . . . . . . . . . . . . . . . . . . . . . . . . 93
4.2 PDEs and physics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 96
4.3 Boundary values and physics . . . . . . . . . . . . . . . . . . . . . . . 97
4.4 Fundamental solution of the Laplace equation . . . . . . . . . . . . 101
4.5 The Poisson equation . . . . . . . . . . . . . . . . . . . . . . . . . . . . 103
4.6 Greens function . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 111
4.7 Greens function for the upper halfspace* . . . . . . . . . . . . . . . 115
4.8 Greens function for the ball* . . . . . . . . . . . . . . . . . . . . . . . 117
4.9 Mean value formulas . . . . . . . . . . . . . . . . . . . . . . . . . . . . 121
4.10 Maximum principles . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 123
4.11 Harnacks inequality* . . . . . . . . . . . . . . . . . . . . . . . . . . . . 128
4.12 Energy methods . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 129
4.13 Weak solutions* . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 132
4.14 The Laplace equation in other coordinates* . . . . . . . . . . . . . . 133
4.15 Summary . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 138
Introduction
1
These notes are meant to be an elementary introduction to Partial Differential
Equations (PDEs) for undergraduate students in mathematics, the natural sci
ences and engineering. They assume only advanced multidimensional differential
calculus including partial derivatives, integrals and the GaussGreen formulas.
The sections denoted by * consist of additional material, which is essential in
understanding the rest of the material, but can omitted or glanced through quickly
in the first reading.
A partial differential equation is an equation involving an unknown function
of two ore more variables and its partial derivatives. Although PDE are general
izations of ordinary differential equations (ODE), for most PDE problems it is not
possible to write down explicit formulas for solutions that are common in the ODE
theory. This means that there is greater emphasis on qualitative features. There
is no general method to solve all PDE, however, some methods have turned out
to be more useful than other. We study special cases, in which explicit solutions
and representation formulas are available and focus on features that are present
in more general situations. Qualitative aspects are also important in numerical
solutions of PDE. Without existence, uniqueness and stability results numerical
methods may give inaccurate or completely wrong solutions.
Let x , where is an open subset of Rn and t R. In these notes we study
1
CHAPTER 1. INTRODUCTION 2
2 u
u = f u = u( x, t).
t2
Here we have set all physical constants equal to one. Physically, solutions of
Laplaces equation correspond to steady states for time evolutions such as heat
flow or wave motion, with f corresponding to external driving forces such as
heat sources or wave generators. A solution u = u( x) to Laplaces equation gives,
for example, the temperature at the point x and a solution u = u( x, t) to
the heat equation gives the temperature at the point x at the moment of
time t. A solution u = u( x, t) to the wave equation gives the displacement of
a body at the point x in the moment of time t. We shall later discuss the
origin and interpretation of these PDEs in more detail. If f = 0 (the function,
which is identically zero), the PDE is called homogeneous, otherwise it is said
to be inhomogeneous. All PDEs above are linear, which means that any linear
combination of solutions is a solution. More precisely, if u 1 and u 2 are solutions,
then au 1 + bu 2 , a, b R, is a solution of the corresponding equation as well.
By solving a PDE we mean that we find all functions u verifying the PDE in
a class of functions, which possibly satisfy certain auxiliary conditions. A PDE
typically has many solutions, but there may be only one solution satisfying specific
boundary or initial value conditions conditions. These conditions are motivated
by the physics and describe the physical state at a given moment or/and on the
boundary of the domain. For Laplaces equation we can describe, for example,
the temperature on the boundary . For the heat equation we can, in addition,
describe the initial temperature and for the wave equation the initial velocity at a
given moment of time. By finding a solution to a PDE we mean that we obtain
explicit representation formulas for solutions or deduce general properties that
hold true for all solutions. A PDE problem is well posed, if
These are all desirable features when we talk about solving a PDE. The last
condition is particularly important in physical problems, since we would like that
our (unique) solution changes little when the conditions specifying the problem
change little.
There is at least one more important aspect in solving PDE. We have not yet
specified what does it mean that a function actually is a solution to a PDE. We
shall consider classical solutions, which means that all partial derivatives which
appear in the PDE exist and are continuous. In this case, we can verify by a
direct computation that a function solves the PDE. However, the PDE can be so
CHAPTER 1. INTRODUCTION 3
strong that it forces the solution to be smoother than assumed in the beginning.
A PDE may also have physically relevant weak solutions with less regularity
than classical solutions, think for example a saw tooth wave. These questions are
studied in regularity theory for PDE.
The PDE above are examples of the three most common types of linear equa
tions: Laplaces equation is elliptic, the heat equation is parabolic and the wave
equation is hyperbolic, although general classification is somewhat useless since
it does not give any method to solve the PDE. There are many other PDE that
arise from physical problems. Let us consider, for example, Maxwells equations.
Let R3 be an open set then R is the corresponding spacetime cylinder.
Maxwells equations are
div E = ,
0
div B = 0,
B
curl E = ,
t
E
curl B = 0 J + 0
,
t
where E is the electric field and B is the magnetic field (which both are maps form
R R3 ) corresponding to a charge density and a current density J (which
are functions from R R and R R3 correspondingly). Here 0 and 0 are
positive physical constants called the permittivity and permeability of free space,
respectively. Recall that the divergence of a vector field E = (E 1 , E 2 , E 3 ) is
n E
X i
div E = E =
i =1 x i
Since (exercise)
curl(curl E ) = (div E ) div(E ),
where the divergence is taken componentwise, that is div(E ) = (div E 1 , div E 2 , div E 3 ),
CHAPTER 1. INTRODUCTION 4
and thus
2 E
c2 E = .
t2
That is, each component of E = (E 1 , E 2 .E 3 ) satisfies the wave equation with the
speed of waves c. Similarly, B satisfies the same wave equation. These are the
electromagnetic waves.
Another special case of Maxwells equations is electrostatistics. In this case
there is no current and the field is independent of the time t. Then we have
curl E = 0, which implies that E is a gradient of a function (in a simply connected
domain ). Thus E = V , where V is called the electrostatic potential. Then
div E = div (V ) = V
so that
V = .
0
That is, V is a solution to inhomogeneous Laplaces equation, called Poissons
equation. Note that V is defined only up to an additive constant, which does not
affect the negative gradient E .
Fourier series is a series representation of a function de
fined on a bounded interval on the real axis as trigonometric
polynomials. The function does not have to be smooth, but
the convergence of a Fourier series is a delicate issue. How
2
ever, the Fourier series gives the best square approximation
of the function and it has many other elegant and useful
properties. It also converges pointwise, if the function is
smooth enough. Solutions to several problems in partial
differential equations, including the Laplace operator, the
heat operator and the wave operator, can be obtained using
Fourier series and convolutions.
Historically the study of the motion of vibrating string fixed at its end points, and
later the heat flow in a onedimensional rod, lead to the development of Fourier
series and Fourier analysis. These physical phenomena are modeled by partial
differential equations and, as we shall see, these problems can be solved using
Fourier series. Fourier claimed that for an arbitrary function
n n
fb( j ) e i jt =
X X
S n f ( t) = fb( j ) (cos( jt) + i sin( jt)) f ( t) as n ,
j = n j = n
where
1
Z
f ( j) =
b f ( t) e i jt dt, j Z.
2
In other words, any function defined on a bounded interval on the real axis can be
represented as a Fourier series
fb( j ) e i jt .
X
f ( t) =
j =
This is somewhat analogous to Taylor series in the sense that it gives a method to
express a given function as an infinite sum of the elementary functions e j ( t) = e i jt ,
j Z,. As we shall see, the convergence of the Fourier series is a delicate issue and
it depends on in which sense the limit is taken. Fourier analytic methods play an
important role in solving linear PDEs in physics and they have many applications
in several branches of mathematics. A useful property of the functions e j ( t) from
the PDE point of view is that each basis vector is an eigenfunction of the derivative
operator in the sense that
e0j ( t) = i je j ( t), j Z.
We shall start by taking a more careful look at the Fourier series. The Fourier
series apply only for periodic functions. This is not a serious restriction, as we
shall see.
5
CHAPTER 2. FOURIER SERIES AND PDES 6
f ( t + 2) = f ( t). (2.1)
f ( t + T ) = f ( t) (2.2)
for every t R. Observe, that the period T is not unique. If f is T periodic, then
it is also nT periodic for every n = 1, 2, . . . . The smallest positive value of T (if
exists) for which (2.2) holds is called the fundamental period. We shall consider
functions f on [, ] with f () = f (), and assume that they are 2periodic by
extending f periodically to the whole R. In order to study a 2periodic function f
it is enough to do so on any interval of length 2. For this course we mainly work
with the basic interval [, ], but we could choose any other interval of length 2
as well.
If f and g are T periodic functions with a common period T , then their product
f g and linear combination a f + b g, a, b C, are also T periodic. To prove the
latter statement, let F ( t) = a f ( t) + b g( t). Then
F ( t + T ) = a f ( t + T ) + b g( t + T ) = a f ( t) + b g( t) = F ( t).
jt jt
f : R R, f ( t) = sin and g : R R, g( t) = cos , j = 1, 2, . . . ,
L L
2L
are j periodic.
(4) The function f : R C, f ( t) = e i jt , j Z, is 2periodic, since
f ( t + 2) = e i j( t+2) = e i jt e i{z
2 j
} = f ( t)
=1
CHAPTER 2. FOURIER SERIES AND PDES 7
e i2 j = cos(2 j ) + i sin(2 j ) = 1, j Z.
Lemma 2.2. Let f : R C be a T periodic function for some T > 0. Then for every
a R we have Z T Z a+ T
f ( t) dt = f ( t) dt.
0 a
kT a < ( k + 1)T.
This is because the intervals [ kT, ( k + 1)T ) partition the real line. Thus
Z a+ T Z ( k+1)T Z a Z a+ T
f ( t) dt = f ( t) dt f ( t) dt + f ( t) dt (2.3)
a kT kT ( k+1)T
by the periodicity of f . This shows that the last two terms in (2.3) cancel each
other. This proves the claim.
f ( ) = F ( e i ),
and observe that with this definition, the function f is 2periodic. Thus 2
periodic functions on R and functions on any interval of length 2 that take on
the same value at its end points are same mathematical objects.
THE MORAL : Instead of of the absolute value of the function, a power of the
absolute value of the function is required to be integrable. Geometrically this
means that the area of the graph of  f  p is finite. If p = 2, when we talk about
square integrable functions. In particular, functions belonging to L p ([, ]) do
not have to be continuous or smooth. The only requirement is that the integral
above makes sense and is finite.
This shows that the definition is compatible with constant functions and scalings.
Examples 2.6:
(1) Claim: C ([, ]) L2 ([, ]).
Reason.
Z
 f ( t)2 dt 2( max  f ( t)))2 < .
t[,]
(3) Let f : [, ] R,
p1 , t 6= 0,
 t
f ( x) =
0, t = 0.
Then 1
Z Z
 f ( t)2 dt = dt = .
t

Thus f L ([, ]). Observe, that f L1 ([, ]) so that, in general,
2
Note that vectors (or elements) in L2 ([, ]) are functions. We define an inner
product in L2 ([, ]) by
1
Z
f , g = f ( t) g( t) dt
2
Z Z
1
= Re( f ( t) g( t)) dt + i Im( f ( t) g( t)) dt .
2
1 1
1 1
Z Z
2 2 1
k f kL2 ([,]) =  f ( t)2 dt = f ( t) f ( t) dt = f , f 2 .
2 2
Remark 2.7. The inner product in L2 ([, ]) satisfies the following properties:
1 1
Z Z
(1) f , f = f ( t) f ( t) dt =  f ( t)2 dt 0.
2 2
(2) f , f = 0 if and only if f = 0 in L2 ([, ]), that is, k f kL2 ([,]) = 0.
CHAPTER 2. FOURIER SERIES AND PDES 11
1 1 1
Z Z Z
(3) f , g = f ( t) g( t) dt = f ( t) g( t) dt = f ( t) g( t) dt = g, f .
2 2 2
(4) a f , g = a f , g, a C,
(5) f + g, h = f , h + g, h.
is a norm in Cn .
Proof. Denote by k k the norm defined by the inner product of H , that is, k xk =
1
x, x 2 , x H . If y = 0 it is clear that the CauchySchwarz holds with equality. So
let us assume that y 6= 0. We set
x, y
z = x y.
y, y
Then
x, y
z, y = x, y y, y = 0.
y, y
CHAPTER 2. FOURIER SERIES AND PDES 13
x,y
Thus vectors z and y are orthogonal. Observe, that y,y y is the projection of x to
y. Since
x, y
x= y+ z
y, y
we can use the Pythagorean theorem to write
x, y2 x, y2 x, y2
k xk2 = 2
k y k2 + k z k2 = 2
+ k z k2 .
y, y k yk k y k2
Remarks 2.11:
(1) The CauchySchwarz inequality in L2 ([, ]) reads
This implies
Z
Z 1 Z 1
2 2
 f ( t)2 dt  g( t)2 dt
f ( t) g( t) dt .
Remark 2.12. The norm k kL2 ([,]) satisfies the following properties:
1
1
Z
2
k f gkL2 ([,]) =  f ( t) g( t)2 dt = 0.
2
(3) ka f kL2 ([,]) = ak f kL2 ([,]) for every a C and f L2 ([, ]).
(4) The triangle inequality
1
Lemma 2.13. If H is a space with inner product then k xk = x, x 2 , x H , is a
norm in H .
Proof. All other properties of a norm are easily verified except maybe for the
triangle inequality. To prove this, we observe that
k x + yk2 = x + y, x + y = x, x + y, x + x, y + y, y
= x, x + y, y + x, y + x, y
= k xk2 + k yk2 + 2 Re x, y.
2 Re x, y 2 x, y 2k xkk yk,
This implies
Z 1 Z 1 Z 1
2 2 2
 f ( t) + g( t)2 dt  f ( t)2 dt +  g( t)2 dt .
Definition 2.15 (Fourier series). Let f L1 ([, ]). The nth partial sum of a
Fourier series is
n
fb( j ) e i jt ,
X
S n f ( t) = n = 0, 1, 2, . . . ,
j = n
where
1
Z
fb( j ) = f , e j = f ( t) e i jt dt, j Z,
2
Remarks 2.16:
(1) In the convergence of the Fourier series we always consider symmetric
partial sums, where the indices run from n to n. Note that, in the
classical sense, convergence of the series j = z j , z j C, means that
P
X 1
X
X
zj = zj + z j,
j = j = j =0
Reason.
n
X
j = n + + (1) + 0 + 1 + + n = 0
j = n
P
for every n = 1, 2, . . . , but the series j = j does not converge in the
classical sense. This shows that the symmetric partial sums may converge
for a divergent series. Equality holds for absolutely convergent series.
This means that the Fourier coefficients are well defined also if f
L2 ([, ]).
(3) Since e j , j Z, is 2periodic, the partial sum S n f ( t), n = 0, 1, 2, . . . , of
a Fourier series is 2periodic. Consequently the limit limn S n f ( t),
whenever it exists. is 2periodic.
T HE MORAL : We can only approximate 2periodic functions by a
Fourier series.
0
0 2 2
t t
Z Z Z
 f ( t) dt = t dt + t dt = + = 2 < .
0 2 0 2
CHAPTER 2. FOURIER SERIES AND PDES 16
Figure 2.3: The Fourier series approximation of the saw tooth function.
This means that the absolute error made in the approximation is about
18% independent of the degree of the approximation. In particular, the
error does not go to zero as n . This is an unexpected phenomenon.
2
(2) We have  fb( j ) j for j 6= 0 while fb(0) = 0. It follows that fb( j ) 0 as
 j  . Actually, this kind of decay general property of the Fourier
coefficients of any L1 ([, ]) or L2 ([, ]) function.
It is clear that the function f L1 ([, ]) so that we can calculate the Fourier
coefficients fb( j ), j 6= 0, as
e i jt e i jt
Z 0 Z 0 !
1 1
i jt i jt
f ( j) =
b e dt + e dt = +
2 0 2 i j 0 i j
1 0 1
= e e i j ( e i j e0 ) = (1 cos( j ) cos( j ) + 1)
2 i j 2 i j
1 i 0, j even,
= (1 cos( j )) = (cos( j ) 1) =
i j j 2 i , j odd.
j
For j = 0 we have Z 0 Z
1
fb(0) = 1 dt + 1 dt = 0.
2 0
1
S n f (0) = 0 = lim f ( t) + lim f ( t) .
2 t 0 t0+
f ( t)( j ) = fb( j ), j Z.
(5) (Reflection)
( t + s)( j ) = e i js fb( j ), j Z, for a fixed s.
(6) (Shift) f
(7) (Modulation) e ikt f ( t)( j ) = fb( j k), j Z, for a fixed k Z.
1
Z 1
Z + s
f
( t + s)( j ) = f ( t + s) e i jt dt = f ( u) e i j(us) du.
2 2 + s
Now using Lemma 2.2, and the fact that the function f ( u) e i j(us) is 2periodic,
we have
1
Z + s 1
Z
i j ( u s) i js
f ( u) e du = e f ( u) e i ju du = e i js fb( j ).
2 + s 2
n n
fb( j ) e i jt ,
X X
S n f ( t) = f , e j e j = n = 0, 1, 2, . . . ,
j = n j = n
where
1
Z
fb( j ) = f , e j = f ( t) e i jt dt.
2
previous lemma tells that the same holds true in L2 ([, ]).
Proof.
n
X
f Sn f , e k = f fb( j ) e j , e k
j = n
n
X
= f , ek fb( j ) e j , e k
j = n
= fb( k) fb( k) = 0, k = n, . . . , n,
implies
n
X n
X
f Sn f , a j e j = a j f S n f , e j = 0, (2.4)
j = n j = n
= ( f S n f ) + S n f , ( f S n f ) + S n f
= f S n f , f S n f + f S n f , S n f + S n f , f S n f +S n f , S n f
 {z }  {z }
=0 =0
It follows that
TERMINOLOGY:
n n n n
a j e i jt = a j ( e it ) j = a j z j,
X X X X
ajej =
j = n j = n j = n j = n
Example 2.22. Trigonometric polynomials are different for the standard polyno
mials. For example,
e i jt + e i jt e i jt e i jt
cos( jt) = and sin( jt) = , j Z,
2 2i
are trigonometric polynomials.
for every a j C, j = n, . . . , n.
Proof. Clearly
!
n
X n
X n
X
f ajej = f f ( j) e j +
b ( fb( j ) a j ) e j ,
j = n j = n j = n
where
n
X n
X
f fb( j ) e j , ( fb( j ) a j ) e j = 0,
j = n j = n
Pn
since j = n ( f ( j ) a j ) e j
b belongs to the subspace spanned by { e j }nj=n , see (2.4).
The Pythagorean theorem implies
2 2 2
Xn Xn X n
f a j e j = f fb( j ) e j + ( fb( j ) a j ) e j
j = n j = n
2 j=n 2
2 L ([,]) L ([,]) L ([,])
 {z }
0
2
Xn
f f ( j) e j .
b
j = n
2
L ([,])
Remark 2.24. Equality occurs in the previous theorem if and only if we have
equalities throughout in the proof of the theorem. This implies that the equality
occurs if and only if
X n
a j e j Sn f = 0,
j=n
L2 ([,])
Pn
that is, S n f = j = n a j e j in L2 ([, ]).
It follows that
n
 fb( j )2 = lim  fb( j )2 k f k2L2 ([,]) .
X X
(2.6)
n
j = j = n
WA RNING : The partial sums of the Fourier series of a L2 function are only
claimed to converge in the L2 norm. This mode of convergence is rather weak. In
particular, it does not follow in general that f ( t) = limn S n f ( t) pointwise for
every t [, ], see Example 2.17.
Here we use the fact that since g is a trigonometric polynomial of degree m and
n m, we may consider g as a trigonometric polynomial of order n with the
interpretation that some of the coefficients are zero which proves the claim.
Remarks 2.26:
(1) Theorem 2.25 implies that { e j }
j =
is an orthonormal basis for the space
L2 ([, ]) in the sense that
X n
lim fb( j ) e j f =0
n
j = n
L2 ([,])
CHAPTER 2. FOURIER SERIES AND PDES 23
This implies that the series above converges. Thus  fb( j )2 0 and fb( j ) 0
as  j  .
1
This claim holds also for f L ([, ]), but this is out of the scope of this
course.
Corollary 2.27 (Uniqueness). Let f , g L2 ([, ]) such that fb( j ) = gb( j ) for all
j Z. Then f = g in L2 ([, ]).
1
Z b 2 i jt
fb( j ) = f ( t) e ba dt, j Z.
ba a
THE MORAL : The interval [, ] does not play any special role in the Fourier
theory, but we shall mainly consider this case.
Theorem 2.29. Let f L1 ([, )). The nth partial sum of a Fourier series can
be written as
n
a0 X
S n f ( t) = + (a j cos( jt) + b j sin( jt)),
2 j=1
where
1
Z
aj = f ( t) cos( jt) dt, j = 0, 1, 2, . . .
and
1
Z
bj = f ( t) sin( jt) dt, j = 1, 2, . . . .
This is called the real form of the Fourier series of f . The coefficients a j are called
the Fourier cosine coefficients of f and b j are called the Fourier sine coefficients
of f . The corresponding series are called the Fourier cosine and sine series of f
correspondingly.
Conversely, any trigonometric series of the form
n
a0 X
+ (a j cos( jt) + b j sin( jt)) (2.8)
2 j=1
CHAPTER 2. FOURIER SERIES AND PDES 25
where
a ib
j 2 j , j = 1, 2, . . . , n
c j = a20 , j = 0,
a j + ib j , j = 1, 2, . . . , n.
2
T HE MORAL : If f is real valued, then the Fourier cosine and sine series
consist of real numbers. However, the use of the complex form is preferable since
it contains the same information as the cosine and sine coefficients in one complex
Fourier coefficient. Moreover, properties of the Fourier coefficients take an elegant
and easytoremember form in the complex notation. The real form is only for
those who are afraid of complex numbers.
By the identities
e it + e it e it e it
= cos t and = sin t, (2.10)
2 2i
CHAPTER 2. FOURIER SERIES AND PDES 26
we have
1
Z
a 0 = 2 fb(0) = f ( t) dt,
1
Z
a j = f ( j ) + f ( j ) =
b b f ( t)( e i jt + e i jt ) dt
2
1 1
Z Z
= f ( t)2 cos( jt) dt = f ( t) cos( jt) dt,
2
Z
i
b j = i ( fb( j ) fb( j )) = f ( t)( e i jt e i jt ) dt
2
Z
i 1
Z
= f ( t)(2 i ) sin( jt) dt = f ( t) sin( jt) dt.
2
Now consider the real trigonometric series as in (2.8). Using (2.10) again we
have
n
a0 X
+ (a j cos( jt) + b j sin( jt))
2 j=1
a0 Xn e i jt + e i jt X n e i jt e i jt
= + aj + bj
2 j=1 2 j =1 2i
a0 Xn 1 n 1
(a j ib j ) e i jt + (a j + ib j ) e i jt .
X
= +
2 j=1 2 j =1 2
Remarks 2.30:
(1) A function f is even, if f ( t) = f ( t) for every t and odd if f ( t) = f ( t) for
every t. For a 2periodic odd function all Fourier cosine coefficents a j ,
j = 1, 2, . . . , in (2.8) are zero. Similarly, for a 2periodic even function all
Fourier sine coefficents b j , j = 1, 2, . . . , in (2.8) are zero.
(2) In applications we are interested in representing by a Fourier series a
function f ( t) defined on the bounded interval 0 < t < L. There are several
ways to extend f as a periodic function to R. The even periodic extension
of f is defined by
f ( t), 0 < t < L,
f ( t) =
f ( t), L < t < 0,
and f ( t) = f ( t + 2L) otherwise. Similarly, the odd periodic extension of f is
defined by
f ( t ), 0 < t < L,
f ( t) =
f ( t), L < t < 0,
and f ( t) = f ( t + 2L) otherwise. We do not worry about the definition of ex
tensions at the points 0, L, 2L, . . . , since that does not affect the Fourier
coefficients. The cosine coefficients of the odd periodic extension are zero
and the sine coefficients of the even periodic extension are zero. Thus we
obtain two Fourier expansions
a0 X
f ( t) = + a j cos( jt),
2 j=1
CHAPTER 2. FOURIER SERIES AND PDES 27
with
2 L jt
Z
aj = f ( t) cos dt, j = 0, 1, 2, . . .
L 0 L
and
X
f ( t) = b j sin( jt),
j =1
with
2 L jt
Z
bj = f ( t) sin dt, j = 1, 2, . . . .
L 0 L
Note carefully, that both cosine and sine series represent the same function.
Thus a function can be represented only by its sine or cosine series.
fb0 ( j ) = i j fb( j ), j Z.
THE MORAL : The Fourier series can be differentiated termwise and differen
tiation becomes multiplication on the Fourier side,
fb( j ) e i jt = f 0 ( t) = i j fb( j ) e i jt .
X X
f ( t) =
j = j =
= i j fb( j ).
fb0 ( j )
fb( j ) = , j 6= 0,
ij
CHAPTER 2. FOURIER SERIES AND PDES 28
and consequently
 fb0 ( j ) 1 1
Z 1
 fb( j ) =  f 0 ( t) dt max  f 0 ( t) 0
 j  j  2  j  t[,]
 {z }
<
1
as  j  . This means that fb( j ) 0 with speed  j as  j  . We can iterate this
procedure if f has higher order derivatives and obtain a faster decay.
THE MORAL: By Remark 2.26 (2), we see that for every function f L2 ([, ])
(or f L1 ([, ])) we have fb( j ) 0 as  j  . In other words, the Fourier
coefficients of an L2 function always converge to zero, but there is no estimate for
the speed of convergence. If the function is smoother, then the Fourier coefficients
converge to zero faster with an estimate for the speed.
Before discussing further this formula let us take a closer look at the Dirichlet
kernel.
Lemma 2.33.
sin n + 21 t
n
i jt
X
D n f ( t) = e = , t 6= 0, n = 0, 1, 2, . . . .
j = n sin 12 t
Reason. Clearly
S = an + an+1 + + a1 + 1 + a + + a n1 + a n
= aS = an+1 an+2 1 a a2 a n a n+1 .
This can be recovered by the general formula as well by taking the limit as t 0.
On the other hand, for t = we have
sin n + 12
D n () =
= sin n + = cos( n) = (1)n
sin 2 2
as claimed.
The calculation of the integral of the Dirichlet kernel will turn out to be
important in some of the applications we shall discuss.
Lemma 2.34.
1
Z
D n ( t) dt = 1, n = 0, 1, 2, . . . .
2
THE MORAL : The total mass of the Dirichlet kernel is one.
20
17.5
15
12.5
10
7.5
2.5
2.5
5
2.9 Convolutions*
The notion of convolution plays a fundamental role in Fourier analysis and PDEs.
Let f , g C (R) be 2periodic. The convolution of f and g on [, ] is the function
f g defined as
1
Z 1
Z
( f g)( t) = f ( t s) g( s) ds = f ( s) g( t s) ds, t [, ].
2 2
The second equality follows by a change of variables and the fact that f and g are
2periodic. Indeed, setting u = t s in the defining integral we have
Z Z t Z
f ( t s) g( s) ds = f ( u) g( t u) du = f ( u) g( t u) du
t+
by Lemma 2.2. To apply this lemma we used the fact that for a fixed t the function
F ( u) = f ( u) g( t u) is 2periodic, if f , g are 2periodic. Indeed
F ( u + 2) = f ( u + 2) g(( t u) 2) = f ( u) g( t u) = F ( u).
CHAPTER 2. FOURIER SERIES AND PDES 31
1
Z
( f g)( t + 2) = f (( t + 2) s) g( s) ds
2
Z
1
= f (( t s) + 2) g( s) ds = ( f g)( t).
2  {z }
= f ( t s)
1
R
If g = 1, then f g is constant and equal to 2 f ( s) ds. Observe, that this is the
integral average of f over [, ].
Next we shall show that the convolution of f and g is well defined also if
f , g L1 ([, ]) or L2 ([, ]). If f , g L1 ([, ]), then
1 1
Z Z
k f gkL1 ([,]) = f ( t s) g( s) ds dt
2 2
1 1
Z Z
 f ( t s) dt  g( s) ds
2 2
1 1
Z Z
=  f ( t) dt  g( s) ds
2 2
= k f kL1 ([,]) k gkL1 ([,]) < .
Thus we obtain
(4) f g = g f .
(5) f ( g h) = ( f g) h.
(6) f ( g + h) = f g + f h.
(7) a( f g) = (a f ) g = f (ag), a C.
f g)( j ) = fb( j ) gb( j ), j Z.
(8) (
Proof. (8) :
1
Z
f g)( j ) =
( ( f g)( t) e i jt dt
2
1 1
Z Z
= f ( s) g( t s) ds e i jt dt
2 2
1 1
Z Z
= f ( s) e i js g( t s) e i j( ts) dt ds
2 2
1
Z
i js 1
Z
= f ( s) e g( t) e i jt dt ds = fb( j ) gb( j ).
2 2
In the third equality we changed the order of integration and on the fourth equality
we used the fact that the integrand is 2periodic and Lemma 2.2.
Other claims are left as exercises.
lim S n f ( t 0 ) = f ( t 0 ).
n
CHAPTER 2. FOURIER SERIES AND PDES 33
S n f ( t 0 ) f ( t 0 ) = (D n f )( t 0 ) f ( t 0 )
1 1
Z Z
= D n ( t) f ( t 0 t) dt D n ( t) dt f ( t 0 )
2 2
 {z }
=1
1
Z
= ( f ( t 0 t) f ( t 0 ))D n ( t) dt
2
Z
1
= tF ( t)D n ( t) dt
2
by the definition of F . Remembering the formula for the Dirichlet kernel and
using standard trigonometric identities we have
sin n + 12 t
tD n ( t) = t t
sin 2
sin( nt) cos 2t cos( nt) sin 2t
=t +t
sin 2t sin 2t
Thus
1
Z t t
1
Z
S n f ( t0 ) f ( t0 ) = t sin( nt) cos F ( t) dt + F ( t) t cos( nt) dt.
2 sin 2 2 2
by the RiemannLebesgue lemma. Similarly for the second term we see that
the function ( t) = tF ( t) is continuous and thus L2 ([, ]). Again by the
RiemannLebesgue lemma we conclude
1
Z
( t) cos( nt) dt 
b( n) 0 as n .
2
Remarks 2.38:
(1) It is enough to assume that f is Lipschitz continuous, that is,
In this case
sup S n f ( t) f ( t) 0 as n .
t[,]
Remark 2.39. We list here some further results related to the pointwise conver
gence of the Fourier series.
real and imaginary parts of a complex analytic function are solutions to the
Laplace equation.
We begin with considering the twodimensional case. Let
1
= {( x, y) R2 : ( x2 + y2 ) 2 < 1}
This is called the Dirichlet problem for the Laplace equation in the unit disc.
We will solve this Dirichlet problem using Fourier series together with a
technique called separation of variables. This means that we look for solutions of
the form
u( x, y) = A ( x)B( y),
where the dependencies on x and y are separated. The problem is now reduced to
finding the functions A ( x) and B( x). The directions of the coordinate axes play a
special role in this approach and this would work, for example, for the Dirichlet
problem in a rectangular domain.
For the the unit disc we switch to polar coordinates. More precisely, any point
in the plane can be uniquely determined by its distance from the origin r and the
angle that the line segment from the origin to the point forms with the xaxis,
that is,
Note that the unit disc becomes a rectangular set in polar coordinates and this is
compatible with the separation of variables technique.
The next goal os to express the Laplace equation in polar coordinates as well.
This is done in the following lemma.
CHAPTER 2. FOURIER SERIES AND PDES 37
2 u 1 u 1 2 u
u = + + , 0 < r < , < .
r2 r r r 2 2
Proof. Remember that x = r cos and y = r sin . We use the chain rule to express
the r and derivatives in terms of the x and y derivatives. This gives
u u x u y u u
= + = cos + sin ,
r x r y r x y
2 u u u u u
= cos cos + sin + sin cos + sin
r2 x x y y x y
2 u 2 u 2 u
= cos2 + 2 sin cos + sin2 .
x2 x y y2
Similarly
u u x u y u u
= + = r sin + r cos ,
x y x y
2 u u u u u
= r cos r sin r sin + r cos
2 x y x y
u 2 u 2 u
= r r sin r sin 2 + r cos
r x x y
2 u 2 u
+ r cos r sin + r cos 2
x y y
2
u u 2 u 2
2 u
2 2
= r + r sin 2 2 sin cos + cos 2 .
r x x y y
Thus
2 u 1 u 1 2 u 2 u 2 u
+ + = +
r2 r r r 2 2 x2 y2
as desired.
for u = u( r, ).
THE MORAL : This is the polar form of the Dirichlet problem (2.12) in the unit
disc. Observe that the domain becomes rectangular in polar coordinates. Solution
of (2.13) will give a solution of (2.12) in polar coordinates.
u( r, ) = A ( )B( r )
CHAPTER 2. FOURIER SERIES AND PDES 38
r 2 B00 ( r ) + rB0 ( r ) A 00 ( )
r 2 A ( )B00 ( r ) + r A ( )B0 ( r ) + B( r ) A 00 ( ) = 0 = .
B( r ) A ( )
Observe that the variables have been separated in the sense that the lefthand
side depends only on r and the righthand side only on . This can happen only if
both sides are equal to a constant, say equal to . This is called the separation
constant.
Reason. Denote
r 2 B00 ( r ) + rB0 ( r ) A 00 ( )
( r, ) = =
B( r ) A ( )
for every r and in the appropriate intervals. Then
( r, ) = 0 and ( r, ) = 0
r
and thus ( r, ) is a constant function. Another way to see this is to observe that
the term including B does not depend on and the term including A does not
depend on r . Thus we may conclude that is independent of both variables.
Thus
r 2 B00 ( r ) + rB0 ( r ) A 00 ( )
==
B( r ) A ( )
for every r and . Consequently, we may rewrite the separated equations as two
ordinary differential equations (ODEs)
A 00 ( ) + A ( ) = 0,
r 2 B00 ( r ) + rB0 ( r ) B( r ) = 0.
As we shall see, not all values of the separation constant give nontrivial
solutions to these ODEs. However, these are simple second order ODEs with
constant coefficients.
Step 2 (Solution to the separated equations): Now we take into account
the boundary data
u(1, ) = A ( )B(1) = g( ).
Since g is defined on the circle it can be identified with a 2periodic function and
thus A has to be 2periodic as well.
The question is that for which values of we have nontrivial solutions to
A 00 ( ) + A ( ) = 0 A 00 ( ) = A ( ).
We integrate to get
Z Z
00 0 0
( A 00 A + A A ) d = ( A 0 A + A A )0 d = ( A 0 A + A A )
0 0
= A 0 () A () + A () A () ( A 0 () A () + A () A ()).
A ( ) = c 1 e + c 2 e .
u( r, ) = c 2 ( d 1 + d 2 ln r ).
A ( ) = c 1 e i + c 2 e i .
(We could consider the real solutions A ( ) = c 1 sin( ) + c 2 cos( ), but the complex
notation in more convenient for the Fourier series.) For this solution to be 2
p
periodic we need = to be an integer. Thus we have = 2 = j 2 , j Z \ {0}
as the case j = 0 has already been considered. These are the eigenvalues and
eigenfunctions for our problem.
Now the ODE for B is
r 2 B00 + rB0 j 2 B = 0.
It can be shown that the general solution of this equation, called the Euler
equation, is
B( r ) = d 1 r j + d 2 r j , j = 1, 2, . . . .
Again, since > 0, the term with r j blows up as r 0 which contradicts the
continuity of u as well as the physical intuition. Thus we only include the solution
B( r ) = d 1 r j . Thus > 0 gives solutions of the form
u( r, ) = r  j e i j , j Z.
Observe that these functions are special solutions of the Laplace equation in polar
coordinates with boundary values u(1, ) = e i j , j Z.
Step 3 (Fourier series solution of the entire problem): To solve the orig
inal Dirichlet problem we try to express a general solution as a linear combination
of the special solutions in such a way that the boundary condition is satisfied.
Since the Laplace operator is a linear, any linear combination of solutions is again
a solution. We conclude that the general solution should be given in the form
a j r j e i j ,
X
u( r, ) = 0 r < 1, < . (2.14)
j =
We are already familiar with this question for the Fourier series. The question
is that can we determine coefficients a j so that the series representation above
holds? If g L2 ([, )), then by Thoerem 2.25 we see that this is possible, at least
if the equality above is interpreted in L2 sense. If g C 1 (R), then the discussion
in Section 2.10 shows that the series above converges even uniformly on [, ]
and the coefficients a j will be the Fourier coefficients of g, that is, a j = gb( j ), j Z.
THE MORAL : The solution of the Dirichlet problem for the Laplace equation
in the unit disc is given by the Fourier series of the boundary function.
CHAPTER 2. FOURIER SERIES AND PDES 41
There are several nontrivial points related to the formula above that remain
to be discussed:
A direct computation shows that the obtained series is a solution to the Laplace
equation and by substituting r = 1 we see that the solution has the desired
boundary values. On a formal level this looks correct, but a special attention has
to be paid to switch the order of the limit and the infinite series. We return to this
question in Section 2.14. Uniqueness will be discussed in Chapter 4.
Step 4 (Explicit representation formula): By subsituting the definition of
the Fourier coefficients of g in (2.14) we obtain
1 Z
g( t) e i jt dt r  j e i j
X
u( r, ) =
j = 2
n 1 Z
i jt
dt r  j e i j
X
= lim g ( t) e
j = n 2
n
!
1 n
Z
 j  i j ( t )
X
= lim g ( t) r e dt.
n 2
j = n
and thus the sequence of the finite partial sums is uniformly bounded by a constant.
By switching the order of the limit and the integral, we have
!
1 n
Z
 j  i j ( t )
X
u( r, ) = g( t) lim r e dt
2 n
j = n
!
1
Z
 j  i j ( t )
X
= g ( t) r e dt.
2 j =
This can be justified by the dominated convergence theorem, which is out of the
scope of this course. We define the Poisson kernel for the disc to be the 2periodic
function
r j e i j .
X
P r ( ) = P ( r, ) = (2.15)
j =
By using convolutions from Section 2.9 this means that the solution to the Dirichlet
problem can be written as
1
Z
u( r, ) = ( g P r )( ) = g( t)P r ( t) dt.
2
CHAPTER 2. FOURIER SERIES AND PDES 42
THE MORAL : This suggests that the solution of the Dirichlet problem for the
Laplace equation in the unit disc is a convolution of the boundary data with the
Poisson kernel. This is an integral representation of the solution.
From this we see that the solution is well defined whenever the convolution of
g and P r is well defined. The functions u that satisfy the Laplace equation in an
open domain are called harmonic in . Let us look at properties of the Poisson
kernel in more detail.
Lemma 2.41.
1 r2
P r ( ) = P ( r, ) = , 0 r < 1, < .
1 2 r cos + r 2
Remark 2.42. It is obvious that the Poisson kernel is a nonnegative function in
the disc, since
1 r2
P ( r, ) = 0.
sin2 + (cos r )2
Furthermore
1
Z
P r ( ) d = 1
2
for every r (0, 1).
T HE MORAL : The total mass of the Poisson kernel is one implies that the
solution of the Dirichlet problem for the Laplace equation in the unit disc is an
average of the boundary function g with the weight P r .
( re i )n+1 re i ( re i )n+1 re i
= 1+ + .
1 + re i re i 1
Letting n , and remembering that r < 1, the righthand side of the display
above tends to
re i re i re i re i + 2 r 2 r 2 r cos
1+ + = 1+ = 1+2
re i 1 1 re i ( re i 1)(1 re i ) re i r 2 1 + re i
2
r cos r 1 r2
= 1+2 2 = ,
r + 1 2 r cos 1 2 r cos + r 2
which is the desired formula. The integral of P r ( ) can be calculated by integrating
(2.15) term by term (exercise).
Theorem 2.43 (Solution of the Dirichlet problem on the disc). The solution
of the Dirichlet problem (2.12) in polar coordinates is
a j r j e i j ,
X
u( r, ) = 0 r < 1, < ,
j =
where
1
Z
a j = gb( j ) = g( ) e i j d , j Z.
2
Moreover, the solution can be written as a convolution with the Poisson kernel as
1
Z
u( r, ) = ( g P r )( ) = g( t)P r ( t) dt,
2
where
1 r2
P r ( ) = P ( r, ) = , 0 r < 1, < .
1 2 r cos + r 2
We close this section by considering two explicit examples.
2 u 2
Example 2.45. Consider u = x2
+ yu2 = 0 in the rectangle = [0, a] [0, b] with
the boundary conditions
u( x, 0) = 0, 0 < x < a,
u( x, b) = 0,
0 < x < a,
u(0, y) = 0, 0 y b,
u(a, y) = g( y), 0 y b,
A 00 ( x) B00 ( y)
0 = u( x, y) = A 00 ( x)B( x) + A ( x)B00 ( x) + =0
A ( x) B( y)
A 00 ( x) B00 ( y)
== , R,
A ( x) B ( y)
j
sin( b) = 0 = = , j = 1, 2, . . . ,
b
and d 1 = 0 = B( y) = 0. Thus
A ( x) = c 1 sinh jx
b
B( y) = d sin j y
1 b
and
jx j y
u( x, y) = A ( x)B( y) = a j sinh sin , j = 1, 2, . . . ,
b b
CHAPTER 2. FOURIER SERIES AND PDES 45
are nontrivial special solutions. We look for the solution of the general problem in
the form
X jx j y
u( x, y) = a j sinh sin .
j =1 b b
j a 2 b j y
Z
a j sinh = g( y) sin d y, j = 1, 2, . . . ,
b b 0 b
and consequently
2 b j y
Z
aj = j a
g( y) sin d y, j = 1, 2, . . . .
b sinh 0 b
b
u 2 u
a2 = 0,
t 2
u( , t) = A ( )B( t).
B0 ( t) A 00 ( )
A ( )B0 ( t) A 00 ( )B( t) = 0 = .
B ( t) A ( )
The variables are separated in the sense that the two sides of the equation above
depend on different variables and thus both have to be constant denoted by .
Thus
A 00 ( ) = A ( ),
B 0 ( t ) = B ( t ).
u( , 0) = A ( )B(0) = g( )
Figure 2.10: The spacetime domain for the heat distribution in a ring.
which is periodic only if c 1 = c 2 = 0. This gives the trivial solution u = 0 and thus
we exclude this alternative.
= 0 Then A 00 ( ) = 0, which implies A ( ) = c 1 + c 2 . Here the only possibility
that is compatible with the periodicity of A is the solution A ( ) = c 2 is constant.
In this case we also get that B( t) = c 3 so that this gives only the constant solution.
< 0 Then = 2 , > 0 and the ODE for A ( ) is A 00 ( ) + 2 A ( ) = 0. The
general complex solution of this ODE is
A ( ) = c 1 e i + c 2 e i
Thus we have special solutions, called the normal modes, of the form
2
u( , t) = e j t e i j , j Z.
which identifies the coefficients a j as the Fourier coefficients gb( j ) of the initial
data g. Thus
2
gb( j ) e j t e i j .
X
u ( , t ) =
j =
This infinite series converges absolutely, since the Fourier coefficients gb( j ) are
2t
bounded if g L1 ([, ]) (see Lemma 2.20 (2)) and the term e j decays ex
tremely fast as t > 0 and j is large. Thus
2
2
2
b( j ) e j t e i j b( j ) e j t k gkL1 ([,]) e j t .
X X X
g g
j = j = j =
 {z }
<
The last series converges, which shows that the series defining the solution to the
heat equation converges absolutely. This allows us to differentiate the series term
by term. Thus
u 2 u 2 u
2t 2t
e j e i j e j e i j
X
( , t) ( , t) = gb( j )
t 2 j = t 2
2 2
gb( j ) ( j 2 ) e j t e i j e j t ( i j )2 e i j
X
=
j 6=0
2 2
gb( j ) ( j 2 ) e j t e i j + e j t j 2 e i j = 0.
X
=
j 6=0
We observe, as with the Poisson kernel, that we have the uniform estimate
X n
j 2 t i j ( s ) 2
e j t < .
X
e e
j=n j=
CHAPTER 2. FOURIER SERIES AND PDES 49
Here it is crucial that t > 0, so these estimates do not generalize to negative times.
By switching the order of the limit and the integral, we obtain
!
1 n
Z
j 2 t i j ( s )
X
u( , t) = g( s) lim e e ds
2 n
j = n
!
1
Z
j 2 t i j ( s )
X
= g ( s) e e ds.
2 j =
we see that the solution of the heat equation on the circle is given by the convolu
tion
1
Z
u( , t) = ( g H t )( ) = g( s) H t ( s) ds, < , t > 0.
2
THE MORAL : The solution of the initial value problem for the heat equation
on the circle is a convolution of the initial temperature distribution with the heat
kernel.
The following result gives convergence of the solution to the initial data f as
time t 0+ . We shall prove this in section 2.14.
Theorem 2.46 (Solution to the heat equation on the unit circle). The solu
tion of the (periodic) initial value problem (2.16) is
1
Z
u( , t) = ( g H t )( , t) = g( s) H t ( s) ds, < , t > 0,
2
j2 t i j
where H t ( ) =
P
j = e e .
Remark 2.47. Another way to derive the solution to a PDE problem is start with
the Fourier series expansion, insert it in the PDE and try to determine the
coefficients. This approach works for the Laplace equation, the heat equation
and the wave equation, but we shall discuss only the initial value problem (2.16)
in.detail. For every fixed t > 0, consider the Fourier series of the function 7
u( , t). This gives
c j ( t) e i j ,
X
u( , t) =
j =
where the Fourier coefficients are
1
Z
c j ( t) = u( s, t) e i js ds, j Z.
2
Observe that the Fourier coefficients depend on t. We claim that the PDE for u
implies that the Fourier coefficients satisfy an ODE as a function of t. To see this,
we switch the order of integral and derivative to have
Z
u 1 1 u
Z
i js
0
c j ( t) = u( s, t) e ds = ( s, t) e i js ds, j Z.
t 2 2 t
CHAPTER 2. FOURIER SERIES AND PDES 50
which identifies the coefficients a j as the Fourier coefficients gb( j ) of the initial
data g. Thus
2
gb( j ) e j t e i j .
X
u ( , t ) =
j =
The following theorem gives a solution of the heat distribution in the bar of
length L > 0. We shall prove this in the exercises using the method of separation
of variables.
u(0, t) = u(L, t) = 0, t 0,
u( x, 0) = g( x), 0 x L.
is
X 2j t jx
u( x, t) = aje sin ,
j =1 L
where
2 L jx j
Z
aj = g( x) sin dx and j = a , j = 1, 2, . . . .
L 0 L L
The method of separation of variables can also be used to solve heat conduction
problems with other boundary conditions than those given above.
Example 2.49. Consider a bar of lenght is in boiling water. After reaching the
temperature 100 C throughout, the bar is taken out and immersed in a medium
with constant freezing temperature 0 C. The the bar are kept insulated and we
CHAPTER 2. FOURIER SERIES AND PDES 52
Figure 2.12: The spacetime domain for the heat distribution in a bar.
where
2
Z 200
aj = 100 sin( jx) dx = (1 cos( j )).
0 j
After some simplifications (exercise)
2
e(2 j +1) t
400 X
u( x, t) = sin((2 j + 1) x).
j=0 2 j + 1
2 u 2 u
a2 = 0.
t2 x2
CHAPTER 2. FOURIER SERIES AND PDES 53
We are looking for a solution u = u( x, t), where x [0, L] describes the position on
the string and t > 0 is time.
The initial displacement profile and the velocity of the string at time t = 0 are
given as the initial conditions
u
u( x, 0) = g( x) and ( x, 0) = h( x), 0 x L.
t
Since the end points of the string are fixed, we have the boundary conditions
The problem is to determine the solution of the wave equation that also satisfies
the the initial conditions and boundary conditions above. This can be considered
as a boundary value problem in the strip 0 < x < L, t > 0, in the xtplane. With
this interpretation, the boundary condition is imposed on the sides of the strip
and the two initial conditions are imposed on the base of the strip. Thus we have
the problem
2 u 2 u
a2 2 = 0, 0 < x < L,
t > 0,
t x
2
u(0, t) = u(L, t) = 0, t 0,
(2.17)
u( x, 0) = g( x), 0 x L
u
( x, 0) = h( x), 0 x L.
t
CHAPTER 2. FOURIER SERIES AND PDES 54
u( x, t) = A ( x)B( t),
We could consider the complex solution of these ODE, as we did in the cases of the
Laplace and the heat equations. However, let us show here how to do the analysis
using the real Fourier series.
Step 2 (Solution to the separated equations): We do a similar case study
on the possible values of , as we did in the case of the Laplace and the heat
equations.
> 0 Then = 2 , > 0, and thus we have A 00 2 A = 0. This ODE has the
general real solution
We show that the only way to satisfy the boundary conditions is to take c 1 = c 2 = 0.
Indeed, A (0) = 0 implies 0 = c 1 cosh(0) + c 2 sinh(0) = c 1 so that A ( x) = c 2 sinh( x).
The condition A (L) = 0 implies c 2 sinh(L) = 0. However, L 6= 0 and so sinh(L) 6=
0. Thus c 2 = 0 and this gives the trivial solution u = 0. We exclude this alternative.
= 0 Then A 00 ( x) = 0, which implies A ( x) = c 1 x + c 2 . Here the only way to
satisfy the boundary condition is to take c 1 = c 2 = 0, which again leads to the
trivial solution u = 0.
< 0 Then = 2 for some > 0 and the ODE for A is A 00 + 2 A = 0. The
general real solution of this ODE is
A ( x) = c 1 cos( x) + c 2 sin( x)
for some constants c 1 and c 2 . Since A (0) = 0, we have c 1 = 0 and A ( x) = c 2 sin( x).
Since A (L) = 0, we have c 2 sin(L) = 0, from which we conclude that L = j ,
j = 0, 1, 2, . . . (or c 2 = 0, which again gives the trivial solution u( x, t) = 0). This
gives
j
= , j = 1, 2, . . .
L
and
jx
A ( x) = c sin , j = 1, 2, . . .
L
for any constant c that may depend on j . Note that for negative values of j we
obtain the same solutions except for a change of sign. Since the general solution
will be represented as a linear combination of the special solutions, the solutions
with negative j can be discarded without loss.
We have
j 2
2
= = , j = 1, 2, . . . .
L
With this, the ODE for B becomes
a j 2
B00 ( t) + B( t) = 0.
L
The general solution of this equation is
a jt a jt
B( t) = b 1 cos + b 2 sin , j = 1, 2, . . .
L L
for any constants b 1 and b 2 that may depend on j . Thus the product solution is
jx a jt a jt
u( x, t) = A ( x)B( t) = sin a j cos + b j sin , j = 1, 2, . . .
L L L
Observe, that we have absorbed the constant in front of sine to the constants a j
and b j .
Step 3 (Fourier series solution of the entire problem): Since the wave
equation is linear, any linear combination of these solutions will give again a
solution. We thus define
jx a jt a jt
X
u( x, t) = sin a j cos + b j sin
j =1 L L L
CHAPTER 2. FOURIER SERIES AND PDES 56
which identifies the coefficient a j as the Fourier sine coefficient of the initial
data f on [0, L]. Observe, that the boundary function g( x) is extended as an odd
2Lperiodic function to R by setting g( x) = g( x),L < x < 0 and g( x) = g( x + 2L),
see 2.30. Thus the Fourier cosine coefficients are zero. This gives
2 L jx
Z
aj = g( x) sin dx, j = 1, 2, . . .
L 0 L
u a X
jx a jt a jt
( x, t) = sin ja j sin + jb j cos ,
t L j=1 L L L
a
Consequently, L jb j must be the Fourier sine coefficient of h on [0, L]. The
boundary function h( x) is extended as an odd 2Lperiodic function to R and thus
the Fourier cosine coefficients are zero. This gives
a 2 L jx
Z
jb j = h( x) sin dx, j = 1, 2, . . .
L L 0 L
or equivalently
2 L jx
Z
bj = h( x) sin dx, j = 1, 2, . . .
a j 0 L
We have now determined all the unknown coefficients in the series representation
of the solution u. We summarize our findings in here.
where
2 L jx
Z
aj = g( x) sin dx, j = 1, 2, . . . ,
L 0 L
and
2 L jx
Z
bj = h( x) sin dx, j = 1, 2, . . . .
a j 0 L
CHAPTER 2. FOURIER SERIES AND PDES 57
As in the case of the Laplace equation and the heat equation considered earlier,
this is only a formal solution of the problem. To show that the obtained formula
actually represents the solution of the problem requires further investigations
(exercise).
Remark 2.51. The solution of the vibrating string problem is an infinite sum of
the normal modes
jx a jt a jt
u j ( x, t) = sin a j cos + b j sin , j = 1, 2, . . . .
L L L
When the string vibrates according to u j , we say that it is in the j th normal mode
of vibration. The first normal mode is called the fundamental mode and the the
other modes are overtones. The quantities a j /L, j = 1, 2, . . . , are the natural
frequencies of the normal mode, which gives the number of oscillations in 2 units
of time. The factor sin( j x/L) is the displacement pattern of the string when it
vibrates at the given frequency. When the string vibrates in its normal mode,
some points of the string are fixed at all times. These are the solutions of the
equation sin( j x/L) = 0. If we do not count the ends of the string, there are n 1
equidistant points that do not vibrate in the nth normal mode.
profile
3x , 0 x 13 ,
10
g ( x) =
3(1 x) x, 1 x 1.
20 3
Since h( x) = 0, we have b j = 0. Using the formula for the solution and integrating
by parts, we have
Z L
aj = 2 g( x) sin( j x) dx
0
3
Z 1/3 3
Z 1
= x sin( j x) dx + (1 x) sin( j x) dx
5 0 10 1/3
j j j j j
cos 3 3 sin 3 cos 3 3 sin 3 9 sin 3
= + + + = .
5 j 5 j 2 2 5 j 10 j 2 2 102 j2
Thus
sin j
9 X 3
u( x, t) = sin( j x) cos( j t).
102 j=1 j2
The first formula encodes the most basic and natural question in Fourier series:
Can we recover a function f from the partial sums of its Fourier series? We have
seen that this is not always possible. The pointwise limit
lim S n f = lim (D n f )
n n
may fail to exist even if f is continuous. However, by Theorem 2.37 this limit
exists, if f is continuously differentiable. Moreover, for a continuous function f ,
we are interested in existence of the pointwise limits
These are related to the question in which sense the boundary or initial values
are obtained in the corresponding problems. It turns out that the Poisson kernel
and the heat kernel are just special cases of a general theory of good kernels.
The following theorem explains why good kernels are very useful. Because
of this result, the family {K }>0 is sometimes referred to as an approximation
of the identity. Note that the theorem below immediately provides the proof for
Theorem 2.43 and Theorem 2.46 for the Poisson and the heat kernel, respectively.
lim ( f K )( x) = f ( x)
0+
T HE MORAL : The fact that the boundary and initial values are obtained is
based on a general properties of the convolution with approximations of identity.
On the other hand, this can be used to approximate a given function with smoother
functions. Several fundamental solutions of PDEs give rise to an approximation
of identity.
Proof. Let > 0. Since f continuous at x there exists > 0 such that
 f ( x y) f ( x) <
1
Z
( f K )( x) f ( x) = ( f ( x y) f ( x))K ( y) d y.
2
Thus
1
Z
(K f )( x) f ( x) K ( y) f ( x y) f ( x) d y
2  y<
1
Z
+ K ( y) f ( x y) f ( x) d y.
2 < y
Z
1
Z
K ( y) d y + sup  f ( t) K ( y) d y.
2 t[,] < y
Now letting 0+ the second term tends to zero by property (3) of the good
kernels. Since > 0 was arbitrary, this completes the proof of the first part of
CHAPTER 2. FOURIER SERIES AND PDES 61
the theorem. For the second part note that if f is continuous on [, ] and
2periodic, then it is uniformly continuous. Thus the > 0 in the argument above
can be chosen independently of x, which shows that the convergence is uniform in
this case.
is the indicator function (or the characteristic function) of the set [a, b].
Observe that
1
Z 1
Z 1
K ( x) dx = dx = 1, > 0.
2 2
Thus for all > 0 the function K has the same total mass one, but as 0 this
mass is concentrated more and more around the origin. Now for any f L1 ([, ])
CHAPTER 2. FOURIER SERIES AND PDES 62
we have
1
Z
( f K )( x) = f ( x t)K ( t) dt
2
Z
1
= f ( x t) dt
2
Z x+
1
= f ( t) dt.
2 x
This means that the pointwise value of a continuous function is the limit of the
integral averages.
2.15 Summary
The main steps in the application of the Fourier series to PDE problems are the
following.
(1) The task is to find the solution u of an initial or boundary value problem
in a rectangular domain.
(2) Separate variables and insert the product solution to the PDE.
(3) This reduces the problem to two ODE.
(4) The two ODE are solved explicitly to find nontrivial special solutions.
(5) The general solution of a problem is a linear combination of nontrivial
special solutions.
(6) The initial or boundary conditions are used to represent the coefficients
using Fourier series.
(7) It is a matter of taste whether one wants to work with the real or the
complex form of the Fourier series.
(8) The solution of the original problem is represented as a convolution of
the data with a kernel function, which is a fundamental solution of the
corresponding problem.
(9) This gives an integral representation of the solution to the original problem
and the initial or boundary values are attained by using approximations
of the unity.
Fourier transform gives a method to solve PDEs in the
higher dimensional case. It has many properties analogous
to the Fourier series, but the functions do not need to be
periodic. Convolution plays a central role in the theory.
(2) If A B Rn , then Z Z
 f ( x) dx  f ( x) dx.
A B
63
CHAPTER 3. FOURIER TRANSFORM AND PDES 64
WA RNING : It is essential in (2) and (3) that we consider the absolute values
of the functions. The corresponding claims do not hold for real valued functions
that are allowed to change signs.
We recall the the definition of the L p (Rn ) spaces. For 1 p < , the space
L p (Rn ) consists of functions f : Rn C such that
Z 1
p
p
kf k L p (R n ) =  f ( x) dx < .
Rn
For p = we set
k f kL (Rn ) = sup  f ( x).
xRn
It can be shown that L p (Rn ), 1 p , is a complete normed space (Banach
space) with the norm defined above, but this is out of the scope of this course.
Examples 3.1:
(1) Let f : Rn R, f ( x) = 1. Then k f kL (Rn ) = 1 < , so that f L (Rn ).
However, k f kL p (Rn ) = , so that f L p (Rn ) whenever 1 p < .
(2) Let f : R R,
1,  x 1,
f ( x) =
1
 x 2
,  x  > 1.
Then
+
1 1
Z Z Z
 f ( x) dx = 1 dx + 2 dx = 2 + 2 = 4 < .
R  x1 1 x2 1 x
1
Thus f L (R).
1
(3) Let f : R R, f ( x) = 1+ x .
Claim: f L (R).
Claim: f L1 (R).
Claim: f L2 (R).
Reason.
1
Z Z
 f ( x)2 dx = 2
dx
R R (1 +  x)
1 1
Z Z
= 2
dx + 2
dx
 x1 (1 +  x)  x>1 (1 +  x)
1
Z Z
1 dx + 2
dx
 x1  x>1 x
1
= 2 + 2 = 2 + 2 = 4 < .
1 x
THE MORAL : L2 (R) is not contained in L1 (R). Note carefully, that this
is different from the case with an interval of finite length when we have
L2 ([, ]) L1 ([, ]).
(4) Let f : R R,
p1 , if 0 < x 1,
x
f ( x) =
0, otherwise.
Claim: f L2 (R).
Reason.
Z Z 1 1
 f ( x)2 dx = dx =
R 0 x
Remark 3.2. There are essentially two reasons why a function may fail to belong
to L1 (R). The first reason is the decay of the function near infinity. For example,
the function 1/(1 +  x)2 decays fast enough at infinity so that it belongs to L1 (R).
On the other hand, the function 1/(1 +  x) does not decay fast enough so that it
would belong to L1 (R). A second reason is that the function may blow up at a
given point. Typical example is the function that equals 1/ x when  x 1 and 0
otherwise. It blows up near x = 0 too fast in order to belong to L1 (R). On the other
p
hand, the function which agrees with 1/  x when  x 1 and is 0 otherwise, also
p
bows up near x = 0. However, 1/  x is integrable on  x 1 and thus it belongs
to L1 (R). The borderline case for L1 (R), both at infinity and close to a point is
the function 1/ x. This function does not decay fast enough at infinity in order to
belong to L1 (R). At the same time it blows up too fast near x = 0 in order to belong
to L1 (R).
CHAPTER 3. FOURIER TRANSFORM AND PDES 66
Remark 3.3. There are several alternative definitions for the Fourier transform
in the literature, for example,
Z Z Z
n
f ( x) e ix dx, f ( x) e2 ix dx and (2) 2 f ( x) e ix dx.
Rn Rn Rn
There is an analogous theory for these definitions and, as we shall see, the factor
2 appears somewhere in each of these choices.
lim f ( x) e ixk = f ( x) e ix .
k
The fact that we can switch the order of the integral and the limit follows from
the Lebesgue dominated convergence theorem, since  f ( x) e ixk  =  f ( x) L1 (Rn )
for every k = 1, 2, . . . .
(5)
1 x ix 1
Z Z
f a () =
c f e dx = f ( y) e ia y a n d y = fb(a).
Rn an a Rn an
(7)
Z Z
ix f ( x)() =
e e ix f ( x) e ix dx = f ( x) e ix ix dx
Rn Rn
Z
= f ( x) e ix() dx = fb( ).
Rn
f
Theorem 3.5. Let f C 1 (Rn ) and assume that x j
L1 (Rn ), j = 1, 2, . . . , n. We
also assume that lim x f ( x) = 0. Then
f
d
() = i j fb(), j = 1, 2, . . . , n.
x j
f f
Z
( x) e ix dx
d
() =
x j R n xj
f
Z Z
= ( x) e ix dx j dx1 . . . dx j1 dx j+1 . . . dxn
Rn1 R x j
Z a !
ix
= lim f ( x) e dx1 . . . dx j1 dx j+1 . . . dxn
Rn1 a x j =a
Z Z
f ( x) ( e ix ) dx j dx1 . . . dx j1 dx j+1 . . . dxn
Rn1 R x j
Z Z
= f ( x)( i j ) e ix dx = i j f ( x) e ix dx = i j fb().
Rn Rn
Remarks 3.6:
(1) In particular, the previous theorem applies to a compactly supported
smooth function f C 0 (Rn ). Recall, that a function is compactly supported,
if it is zero outside a compact (closed and bounded) set.
(2) A vector of the form = (1 , . . . , n ), where each component j is a non
negative integer, is called a multiindex of order  = 1 + + n . For a
multiindex , we define
 u
D u ( x) = ( x)
x1 1 . . . x
n
n
Let = (1 , . . . , n ) Cn and denote = 1 1 . . . n n . The function e : Rn
C,
e ( x) = e x = e x1 1 ++ xn n ,
we have
a e .
X
P (D ) e =
 k
a D u = 0.
X
P (D ) u =
 k
The idea behind the Fourier transform is that the partial differential
operator P can be better understood if the functions on which they act
are represented as linear combinations of the eigenvectors. Observe that
the set of eigenvalues is the whole Cn and for this reason it is natural to
replace the linear combinations by integrals over . Indeed, P acts as a
scalar multiplication on each eigenvector and the scalar is the eigenvalue
corresponding the eigenvector. In practice this means that it is better to
consider the operator P on the Fourier side.
The following result deals with the case that the derivatives are on the Fourier
side.
fb
Z
= f ( x) e ix dx = ().
j Rn j
The order of the limit and the integral can be changed by the Lebesgue dominated
convergence theorem.
that is, f is the indicator function of the interval (a, a). Then the Fourier
transform of f is
a ix
a e e ia e ia 2 sin(a)
Z
fb() = f ( x) e ix dx = = = , 6= 0.
a a i i
Moreover Z
fb(0) = 1(a,a) ( x) dx = 2a.
R
Observe that lim fb() = 0 and fb L2 (R), but fb L1 (R). The function f has
a compact support and thus fb C (R), that is, it has derivatives of every order.
This is in accordance with the previous theorem.
1.6
1.2
0.8
0.4
5 4 3 2 1 0 1 2 3 4 5
0.4
W A R N I N G : This example shows that f L1 (R) does not imply that fb L1 (R).
and g : R R,
xe x , x > 0,
g ( x) =
0, x 0.
CHAPTER 3. FOURIER TRANSFORM AND PDES 71
Then
a x(1+ i)
e
Z
x(1+ i )
fb() = e dx = lim
0 a
0 1 + i
ea(1+ i) 1 1
= lim = .
a 1 + i 1 + i
1 1 fb
gb() =
x f ( x)() = ix f ( x)() = ()
i i
1 1 1 i 1
= = = .
i 1 + i i (1 + i ) 2 (1 + i )2
and
fc0 () = 2
x f ( x)() = 2 i
ix f ( x)().
fb 1 c0 1
() =
ix f ( x)() = f () = i fb() = fb().
2i 2i 2
fb b b 2
2
( ) + f () = 0 f () e /4 = 0 fb() = ce /4
2
p
Z
2
Claim: e x dx = .
R
CHAPTER 3. FOURIER TRANSFORM AND PDES 72
x p p
f p () = 2 fb( 2),
2
which implies that
p 2
x2 /2 () = 2 e /2 .
e
2 /2
This shows that g( x) = e x
is an eigenfunction for the Fourier transform corre
p
sponding to the eigenvalue 2, that is,
p
gb = 2 g.
This does not work out, because the inner integral does not exist, that is, the
function is not integrable. Thus we have to choose another approach.
Here the order of the limes and the integral can be switched by the Lebesgue
dominated convergence theorem.
CHAPTER 3. FOURIER TRANSFORM AND PDES 74
R
Claim: Rn f ( x)K a ( x) dx f (0) as a 0.
Reason. Since f C (Rn ), for every > 0 there exists r > 0 such that
 f ( x) f (0) <
2
whenever  x 0 < r . This implies
Z Z Z
f ( x)K a ( x) dx f (0) = f ( x)K a ( x) dx f (0) K a ( x) dx
Rn Rn  R {z
n
}
=1
Z
= K a ( x)( f ( x) f (0)) dx
ZR
n
Z
K a ( x) f ( x) f (0) dx + K a ( x) f ( x) f (0) dx
 x< r  x r
Z Z
K a ( x) dx + 2 sup  f ( x) K a ( x) dx <
2 Rn n  x r
 {z }  xR {z }
=1 < 2
= f ( x) g() e ix d dx
Rn Rn
Z Z Z
= f ( x) g() e i x d dx = f ( x) gb( x) dx.
Rn Rn Rn
Let g a : Rn Rn ,
2 /4
g a ( x) = (2)n eax , a > 0.
Then
n
2 2 2
ca () = (2)n e
g ax/22 () = (2) n e x
a a
n
2 2 2
= (2)n n/2 e2/a /4 = n/2 an e/a = K a ().
a
In the second equality we used Lemma 3.4 (5) and in the third equality Example
3.12.
Step 3:
Z
f (0) = lim f ( x)K a ( x) dx (Step 1)
a 0 R n
Z
= lim f ( x) gba ( x) dx (Step 2)
a 0 R n
Z
= lim fb() g a () d (Step 2)
a 0 R n
Z
= fb() lim g a () d
Rn a 0
 {z }
=(2)n
Z
= (2)n fb() d .
Rn
This proves the claim for x = 0. The general case follows by denoting F ( y) = f ( x + y).
Then
Z
f ( x) = F (0) = (2)n Fb() d
Rn
Z
= (2)n f( x + y)() d
ZR
n
= (2)n fb() e ix d .
Rn
Remark 3.14. The previous theorem holds true under the substantially weaker
hypothesis that f L1 (Rn ) and fb L1 (Rn ). This is not so surprising since the
Fourier inversion formula can be written as
Z
f ( x) = (2)n fb() e i( x) d = (2)n fb
b( x).
Rn
CHAPTER 3. FOURIER TRANSFORM AND PDES 76
Thus the function f is given by a Fourier transform of the function fb L1 (Rn ) and
it is automatically continuous and bounded.
Theorem 3.15. Let f , g L1 (Rn ) be continuous functions. If fb() = gb() for every
Rn then f ( x) = g( x) for every x Rn .
n
for every x R and we are done.
WA RNING : Note that this is not obvious. In general, a product of two inte
grable function is not necessarily integrable.
g() = fb() g
f b()
for every Rn .
Proof. Since
Z
( f g)( x) e ix = f ( y) g( x y) e ix d y
Rn
Z
= f ( y) e i y g( x y) e i( x y) d y,
Rn
we have
Z
g() =
f ( f g)( x) e ix dx
Rn
Z Z
= f ( y) e i y g( x y) e i( x y) d y dx
Rn Rn
Z Z
= f ( y) e i y g( x y) e i( x y) dx d y
Rn Rn
Z Z
i y iz
= f ( y) e g( z) e dz d y = fb() gb().
Rn Rn
 {z }
b()
=g
Next we present a corresponding result for the Fourier transform of the product.
This can be seen as a dual result of Theorem 3.16.
CHAPTER 3. FOURIER TRANSFORM AND PDES 78
for every Rn .
These families of good kernels play the same role as the good kernels in the
2periodic case, see Section 2.14. In fact, we shall consider the analogous theory
in the higher dimensional case.
The importance of good kernels is contained in the following result.
lim(K f )( x) = f ( x).
0
Proof. The proof is similar to the one in the 2periodic case. Let > 0. By the
continuity of f at x there exists > 0 such that
 f ( x y) f ( x) < when  y < , (3.1)
2M
where M is from property (2) of a good kernel.
CHAPTER 3. FOURIER TRANSFORM AND PDES 80
 f ( x y) f ( x)K ( y) d y
 y<
Z
+  f ( x y) f ( x)K ( y) d y
 y>
= I1 + I2.
Z
K ( y) d y < ,
 y> 4k f kL (Rn )
which is possible by property (3) of the good kernel. Observe that since f is
bounded we have k f kL (Rn ) < . On the other hand, we may assume that
k f kL (Rn ) > 0, otherwise f = 0 and the claim is clear. Thus
Z
 I 2  2k f kL (Rn ) K ( y) d y < .
 y> 2
1 x 2 2
K a ( x) = n
K = n/2 an e x /a , a > 0.
a a
Then the proof of the Fourier inversion theorem 3.13 shows that {K a }a>0 is a
family of good kernels.
1 2 /(4 t)
H t ( x) = e x .
(4 t)n/2
CHAPTER 3. FOURIER TRANSFORM AND PDES 81
Then H t is called the heat kernel for the upper half plane and, as we shall see, it is
related to the time dependent heat equation in the upper half plane. Furthermore,
H t can be given as
1 x
H t ( x) = p4 t ( x) = p K p
( 4 t)n 4 t
1 2 1 2
= p e x /(4 t) = e x /(4 t) .
( 4 t) n (4 t ) n/2
2
where K ( x) = e x . Then { H t } t>0 is a family of good kernels as in Example 3.20.
1B(0,r) ( x)
K r ( x) = ,
B(0, r )
1
Z
(K r f )( x) = f ( y)1B(0,r) ( x y) d y
B(0, r ) Rn
1
Z
= f ( y)1B( x,r) ( y) d y
B( x, r ) Rn
1
Z
= f ( y) d y
B( x, r ) B( x,r)
is the integral average of f over the ball B( x, r ). Here we also used the fact that
the volume of a ball is independent of the location. The previous theorem tells
that
1
Z
lim f ( y) d y = f ( x )
r 0 B( x, r ) B( x,r )
n+1
R+ = {( x, y) : x Rn , y > 0}.
CHAPTER 3. FOURIER TRANSFORM AND PDES 82
Observe that here the Laplacian is taken with respect to all n + 1 variables.
Physically this models the case when the temperature does not change in time and
that the temperature u( x, 0) at the boundary is given by the function g( x). We look
n+1 n+1
for solutions u C 2 (R+ ) C (R+ ) of this problem. This means that u is twice
continuously differentiable (all partial derivatives of u of second order exist and
are continuous) and that u is continuous up to the boundary. The differentiability
condition guarantees that the partial derivatives in the Laplace operator make
sense and the continuity up to the boundary is needed for the boundary condition.
Step 1 (PDE on the Fourier side): To solve this problem let y > 0 be fixed
and denote Z
b(, y) =
u u( x, y) e ix dx, Rn , y > 0.
Rn
Observe that we take the Fourier transform of u in the x variable only. By Theorem
3.5, we obtain
2 u
u
d
( , y) = i j (, y) = ( i j )2 u
b(, y) = 2j u
b(, y), j = 1, . . . , n,
2
x j x j
CHAPTER 3. FOURIER TRANSFORM AND PDES 83
2 u 2 u
Z
( x, y) e ix dx
( , y ) =
y2 Rn y
2
2 2 u
Z
ix
(, y).
b
= 2 u( x, y) e dx =
y R n y2
It follows that
2 u
cu(, y) = 2 u
2
1 b (, y) . . . . n u
b(, y) + ( , y)
b
y2
2 u
= 2 u
b(, y) + (, y) = 0.
b
y2
This is the Laplace equation on the Fourier side. Note that by the Fourier inversion
theorem 3.13, we have u = 0 cu = 0. Compare this to Remark 2.47 for the
Fourier series.
THE MORAL : The Laplace equation becomes an ODE on the Fourier side.
Step 2 (Solution on the Fourier side): For a fixed the solutions of this
ODE for u
b are of the form
Note here that, as is fixed and we solve the ODE in y, the constants c 1 and c 2
may depend on Rn . We disregard the first term on the right hand side, since
e y as  . This corresponds to the physically irrelevant unbounded
solution and we are left with
b(, y) = c 2 () e y .
u
c 2 ( ) = u
b(, 0) = g
b()
and thus
b() e y ,
b(, y) = g
u Rn , y > 0.
This is the candidate for a solution of the Dirichlet problem on the Fourier side.
Step 3 (Solution to the original problem): By the Fourier inversion theo
rem 3.13
Z
u( x, y) = (2) n
b(, y) e ix d
u
Rn
Z
= (2)n e y gb() e ix d
Rn
Z
= (2)n b() e ix d ,
cy () g
P
Rn
CHAPTER 3. FOURIER TRANSFORM AND PDES 84
cy () = e y . The function P y ( x) is called the Poisson kernel for the upper
where P
halfspace. Observe that at this point we only know the Fourier transform of
Poisson kernel. By Theorem 3.16, we have
Z
u( x, y) = (2)n P b() e ix d
cy () g
Rn
Z
= (2)n P y g() e ix d
Rn
Z
= (P y g)( x) = P y ( x z) g( z) dz.
Rn
THE MORAL : The solution of the Dirichlet problem in the upper halfspace is
a convolution of the boundary function with a Poisson kernel.
( n+1
2 ) y
P y ( x) = P ( x, y) = n+1 n+1
, x Rn , y > 0.
2 ( x2 + y2 ) 2
Here ( n+1
2 ) is a dimensional constant given by the function
Z
( s) = x s1 e x dx.
0
cy () = e y , we have
(3) Since P
Z
P y ( x) e ix dx = e y , Rn , y > 0.
Rn
1.25
0.75
0.5
0.25
5 4 3 2 1 0 1 2 3 4 5
Figure 3.4: The graph of the Poisson kernel in dimension n = 1 for y = 1 (yellow),
y = 0.5 (red) and y = 0.3 (blue).
1 x
P y ( x) = n P , x Rn , y > 0.
y y
This means that the Poisson kernel P y ( x) with y > 0 can be obtained from P1 ( y) by
rescaling, compare to Example 3.20. This formula has the following consequences.
First, by the change of variables z = xy , we have
1 x
Z Z
P y ( x) dx = P dx
Rn yn Rn y
1
Z Z
= n P ( z) yn dz = P ( x) dx = 1, y > 0.
y Rn Rn
Thus one can think of the dimensional constant appearing in front of the Poisson
kernel as the constant c n such that
1
Z
cn n+1
dx = 1.
Rn ( x2 + 1) 2
Second, from this we can see that {P y } y>0 is a family of good kernels. Indeed, all
the properties of a family of good kernels in Definition 3.18 are satisfied except
maybe the third. Thus, for every > 0 we have to show that
Z
lim P y ( x) dx = 0.
y0+  x>
CHAPTER 3. FOURIER TRANSFORM AND PDES 86
1 x
Z Z
P y ( x) dx = P dx
 x> yn  x> y
Z Z
= P ( z) dz = 1 x>/ y ( x)P ( x) dx.
 z>/ y Rn
Theorem 3.25. Let g C 0 (Rn ). The solution to the Dirichlet problem (3.2) is
( n+1
2 ) g( z) y
Z
u( x, y) = ( g P y )( x) = n+1 n+1
dz.
2 Rn ( x z2 + y2 ) 2
This is called the Cauchy problem for the heat equation. Physically this models
the case, when the initial temperature u( x, 0) at the moment t = 0 is given by the
function g( x) and we would like to know the temperature u( x, t) for t > 0. Here we
n+1 n+1
look for solutions u C 2 (R+ ) C (R+ ). This means that u has continuous second
order partial derivatives in the upper halfspace Rn+1 and that u is continuous up
to the initial boundary Rn { y = 0}.
b(, t)
Step 1 (PDE on the Fourier side): Let t > 0 be fixed and denote by u
the Fourier transform of u( x, t) in the xvariable
Z
b(, t) =
u u( x, t) e ix dx.
Rn
u u
d u
u(, t) = (, t)
cu(, t) = (, t) + 2 u
b(, t) = 0.
b
t t t
This can be seen in the same way as for the Laplace equation. Compare this to
Remark 2.47 for the Fourier series.
CHAPTER 3. FOURIER TRANSFORM AND PDES 88
Step 2 (Solution on the Fourier side): The solution of this ODE for a fixed
Rn is
2
b(, t) = c() e t .
u
c() = u
b(, 0) = g
b()
and thus
2
b() e t .
b(, t) = g
u
1 2 /(4 t)
H t ( x) = e x , x Rn , t > 0,
(4 t)n/2
ct () = e2 t . The function H t is called the heat kernel in the upper half
then H
space. Observe that it is a Gaussian function.
Reason.
ct () =
1  x2 /(4 t) () =
1 p
2
H e e( x/(2 t)) ()
(4 t)n/2 (4 t)n/2
1 p p
(2 t)n
2
= e x (2 t) (Lemma 3.4 (5))
(4 t)n/2
p
n/2 n/2 2 t2 /4 2
= e = e t . (Example 3.12)
CHAPTER 3. FOURIER TRANSFORM AND PDES 89
THE MORAL : The solution of the initial value problem for the heat equation
in the upper halfspace is a convolution of the initial value function with the heat
kernel.
Theorem 3.26. Assume that g C 0 (Rn ). The solution to the Cauchy problem
(3.3) is
1
Z
2 /(4 t)
u( x, t) = ( H t g)( x) = e x y g( y) d y, x Rn , t > 0.
(4 t)n/2 Rn
u
(, t) + 2 u
b(, t) = fb()
b
t
2t
and after a multiplication through by e we have
2t u 2 2
e  (, t) + e t 2 u
b(, t) = e t fb().
b
t
For the lefthand side, we observe, that
2t u 2 2
e   (, t) + e t 2 u
b(, t) = e   t u
b(, t) .
b
t t
Thus by the fundamental theorem of calculus, we have
2
Z t 2
e  t u
b(, t) + u
b(, 0) = e s fb(, s) ds
0
and so Z t
2 2 ( t s)
b(, t) = e t g
u b() + e fb(, s) ds.
0
CHAPTER 3. FOURIER TRANSFORM AND PDES 90
Thus the solution of the inhomogeneous problem can be represented using the
solutions of the homogeneous problem given by Theorem 3.26. This is socalled
Duhamels principle. We shall return to this later in Section 5.3.
Example 3.28. Let us consider the initial value problem for the Schrdinger equa
tion u
i ( x, t) + u( x, t) = 0, x Rn , t > 0,
t
u( x, 0) = g( x), x Rn .
Here
1 1 1 i i
i 2 = e 2 log i = e 2 (log  i+ i arg i) = e 2 arg i = e 4 .
2 u
( x, t) u( x, t) = 0,
t2
where the Laplace operator is only in the xvariable
n 2 u
u( x, t) =
X
( x, t).
j =1 x2j
One can think of the wave equation as describing the displacement of a vibrat
ing string (in dimension n = 1), a vibrating membrane (in dimension n = 2) or an
elastic solid (dimension n = 3). In dimension n = 3 this equation also determines
the behavior of electromagnetic waves in vacuum and the propagation of sound
waves.
The general goal is to find a solution of the Cauchy problem for the wave
equation 2
u u = 0, x Rn , t > 0,
t2
u( x, 0) = g( x), x Rn ,
u ( x, 0) = h( x), x Rn .
t
b(, t)
Step 1 (PDE on the Fourier side): Let t > 0 be fixed and denote by u
the Fourier transform of u( x, t) in the xvariable
Z
b(, t) =
u u( x, t) e ix dx.
Rn
Step 2 (Solution on the Fourier side): On the Fourier side, the wave
equation becomes
2u 2 u
2 u
u(, t) = 2 (, t)
cu(, t) = (, t) + 2 u
b(, t) = 0.
b
t 2 t t2
The solution of this ODE for a fixed Rn is
for some functions c 1 () and c 2 (). Taking the Fourier transforms of the initial
conditions we obtain
b() = u (, 0) =  c 2 ().
d
gb() = u
b(, 0) = c 1 () and h
t
Thus the solution on the Fourier side can be written in the form
b(, t) = g
u b() sin( t) .
b() cos( t) + h
 
CHAPTER 3. FOURIER TRANSFORM AND PDES 92
Now the problem is how to determine functions t and t and what is the
interpretation of the representation formula above. This is a hard problem and
we shall return to this later. A direct calculation shows that the u given by
the formula above does indeed solve the Cauchy problem for the wave equation.
Furthermore, the solution to the Cauchy problem is unique, but we will not prove
this here.
3.12 Summary
The main steps in the application of the Fourier transform to PDE problems are
the following.
4
of solutions to the Laplace equation. In this process we
shall encounter fundamental solutions, Greens functions,
mean value property, Harnacks inequality and maximum
principles.
Laplace equation
u = 0
93
CHAPTER 4. LAPLACE EQUATION 94
is the divergence of F .
Reason.
Z n F
Z X n Z F
j X j
div F ( x) dx = ( x) dx = ( x) dx
j =1 x j j =1 x j
n
XZ Z X n
= F j ( x) j ( x) dS ( x) = F j ( x) j ( x) dS ( x)
j =1 j =1
Z
= F ( x) ( x) dS ( x).
These are called Greens first, second and third identities, respectively.
v
Proof. (1) By replacing v with x j
in Theorem 4.4, we have
v u 2 v v
Z Z Z
( x) ( x) dx = u ( x) ( x) dx + u ( x) ( x) j ( x) dS ( x),
x j x j
2
x j x j
2 u u
Z Z
( x) dx = ( x) j ( x) dS ( x), j = 1, . . . , n.
2
x j x j
Remark 4.6. Greens third identity tells that the integral of the Laplacian of
a function over a domain is equal to the total flow through the boundary. In
particular, if u is harmonic in , then
u
Z
( x) dS ( x) = 0
V
for every subdomain V for which V . This means that the total flow is zero
through the boundary of any subdomain V . Physically this means that there are
no heat sources or electric charges in the domain.
CHAPTER 4. LAPLACE EQUATION 96
F ( x ) = a u ( x ), a > 0.
This gives
div u = u = f ,
w = ( u v) = u v = 0 in
Example 4.10. Let be the unit disc in R2 and consider the Dirichlet problem in
polar coordinates
u = 0 in ,
u(1, ) = cos , < .
THE MORAL : The solution of the Neumann problem for the Laplace equation
is not unique.
We need one more definition before the next claim. An open set is connected,
if every pair of points in can be connected by a piecewise linear path in .
Remarks 4.12:
u
(1) If u is harmonic in a connected domain and
= 0 on , then u = c in
.
u v
(2) If u and v are harmonic in a connected domain and
=
on , then
u = v + c in .
w = ( u v) = u v = 0 in
and
w
= ( u v) = 0 on .
(1) implies w = c and thus u = v + c in .
THE MORAL : The Greens formulas imply that the solution of the Neumann
problem is unique up to an additive constant in a connected domain. If the
domain has several components, the solution may be different constant in every
component of the domain. Observe that this result is not based on representation
formulas for solutions and holds in all domains and boundary values.
Remarks 4.13:
(1) By Greens third identity, we obtain the following compatibility condition
of the Neumann problem
u
Z Z Z
u dx =
0 = {z} dS = h dS.
=0
Note that the solution does not exist without the condition that the total
heat flow through the boundary is zero.
CHAPTER 4. LAPLACE EQUATION 101
u
a( x) ( x) + b( x) u( x) = g( x), x ,
but we shall not do this here.
(3) We may define the Dirichlet and Neumann problems for the Poisson equa
tion u = f . In this case, the function f describes the heat source.
However, it is enough to consider boundary value problems in which ei
ther the equation is homogeneous ( u = 0) or the boundary condition is
homogeneous ( g = 0 or h = 0). For example, to solve
u = f in ,
u = g on ,
and
u 2 = 0 in ,
u = g
2 on .
where r ( x) =  x = ( x12 + + x2n )1/2 . This means that we are looking for radial
solutions, that is, solutions that only depend on the distance from the origin.
Let us see what the Laplace equation is for the radial solutions. By the chain
rule
r 1 1 xj xj
( x) = ( x) = ( x12 + + x2n ) 2 2 x j = = , j = 1, . . . , n, x 6= 0.
x j x j 2  x r ( x)
Again, by the chain rule
u r xj
( x) = (v( r ( x))) = v0 ( r ( x)) ( x) = v0 ( r ( x))
x j x j x j r ( x)
and
2 u x2j
xj
( x) = v00 ( r ( x)) + v0 ( r ( x))
x j2 r ( x )2 x j r ( x)
x2j x2j
!
00 01
= v ( r ( x)) + v ( r ( x)) , j = 1, . . . , n, x 6= 0.
r ( x )2 r ( x ) r ( x )3
Thus
n 2 u
u ( x) =
X
( x)
j =1 x2j
n x2j v0 ( r ( x)) n x2j
= v00 ( r ( x)) 0
X X
2
+ n v ( r ( x )) 3
j =1 r ( x) r ( x) j =1 r ( x)
 {z }  {z }
=1 =1/ r ( x)
00 n1 0
= v ( r ( x)) + v ( r ( x)) = 0, x 6= 0.
r ( x)
Hence for a radial function
n1 0
u( x) = 0, x 6= 0 v00 ( r ) + v ( r ) = 0, r > 0.
r
T HE MORAL : This is the radial version of the Laplace equation. Note that
the Laplace equation for a radial function becomes an ODE.
where a, b, c, d are constants. These functions give radial solutions of the Laplace
equation in Rn \ {0}.
CHAPTER 4. LAPLACE EQUATION 103
1
ln  x, n = 2,
( x ) = 2
1 1
, n 3,
n( n 2)( n)  xn2
is called the fundamental solution of the Laplace equation. Here we denote the
volume of the unit ball in Rn by ( n) = B(0, 1).
Remarks 4.15:
(1) Note that is harmonic in Rn \ {0}, that is, ( x) = 0 for every x Rn \ {0}
(exercise). Moreover, has a singularity at the origin in the sense that
is unbounded in every neighbourhood of the origin.
(2) The choice of the scaling constants for the fundamental solution is a
normalization that gives
Z
dS = 1 for every r > 0.
B(0,r )
4
Example 4.16. Let n = 3. Then the volume of the unit ball in R3 is (3) = 3 and
1 1
( x ) = , x R3 , x 6= 0,
4  x 
1 1 x 1 x
E ( x) = ( x) = ( x1 ) =  x2 = , x R3 , x 6= 0.
4 4  x  4  x  3
u = f in Rn ,
a closed and a bounded set. In practice, this set can be chosen to be a ball. For
a fixed y Rn , the function x 7 ( x y) f ( y) is harmonic in Rn \ { y}. Here is
the fundamental solution to the Laplace equation. Since the Laplace equation is
linear, we could think that the convolution
Z
u ( x) = ( x y) f ( y) d y
Rn
The problem is that the second order partial derivatives of behave as c/ xn ,
which is not an integrable function.
However, we have the following result, which shows that the function above is
a solution to the Poisson equation.
Theorem 4.17 (Solution to the Poisson equation in the whole space). Let
f C 0 (Rn ) and define
Z
u( x) = ( f )( x) = f ( y)( x y) d y,
Rn
W A R N I N G : The problem above does not have a unique solution, since we can
always add a function v with v = 0 to the solution. This is not a serious problem,
since the solution above will be used as a tool in representation formulas.
THE MORAL : A convolution of the source term with the fundamental solution
is a solution to the Poisson equation in the whole space. Physically f describes a
charge density, that is, a distribution of electric charges and u is the potential of
the electric field induced by f . Observe that the potential is harmonic outside the
support of f .
Examples 4.18:
(1) In the plane R2 we have the logarithmic potential
1
Z
u ( x) = f ( y) ln  x y d y.
2 R2
1 f ( y)
Z
u ( x) = d y.
4 R3  x y
CHAPTER 4. LAPLACE EQUATION 105
Remark 4.19. The theorem gives a solution u in the whole space without a speci
fication of the boundary values. However, if is an open and bounded subset of
Rn and v is a solution of the Dirichlet problem
v = 0 in ,
v = u on .
Thus we have reduced the Dirichlet problem for the Poisson equation to the
Dirichlet problem for the Laplace equation. This will be useful later in the
construction of Greens function.
Proof. Step 1: Let us first calculate the partial derivatives of u. The j th difference
quotient is
u( x + he j ) u( x) f ( x y + he j ) f ( x y)
Z
= ( y) dy
h Rn h
f ( x y + he j ) f ( x y) f
lim = ( x y).
h 0 h x j
This partial derivative is bounded and has compact support since f C 0 (Rn ). The
Lebesgue dominated convergence theorem allows us to interchange the limit and
the integral to get
u u( x + he j ) u( x)
( x) = lim
x j h 0 h
f ( x y + he j ) f ( x y)
Z
= lim ( y) dy
h 0 R n h
f ( x y + he j ) f ( x y)
Z
= ( y) lim dy
R n h 0 h
f f
Z
= ( y) ( x y) d y = ( x), j = 1, . . . , n.
Rn x j x j
Arguing in exactly the same way, which is possible because f has second order
continuous derivatives with compact support, we get
2 u 2 f 2 f
Z
( x) = ( y) ( x y) d y = ( x), j, k = 1, . . . , n.
x j xk Rn x j xk x j xk
In order to carry out this plan, let 0 < < 12 and write
Z Z
u ( x) = x ( y) f ( x y) d y = ( y) x f ( x y) d y
Z R Rn
n
Z
= ( y) x f ( x y) d y + ( y) x f ( x y) d y
B(0,) Rn \B(0,)
= I + J .
where sup xRn  f ( x) < since f C 0 (Rn ). Next we shall compute the remaining
integral.
CHAPTER 4. LAPLACE EQUATION 107
n=2
1 1
Z Z Z Z
( y) d y = ln  y d y = ln  y dS ( y) dr
B(0,) 2 B(0,) 2 0 B(0,r)
1 1
Z Z Z
= ln r 1 dS ( y) dr = 2 r ln r dr
2 0 B(0,r ) 2 0
1 2 1 1 1
= r ln r r 2 = 2 ln 2
2 0 4 2 4
1
= 2  ln  + 2 .
4
 ln 
Since < 1/2  ln  >  ln 1/2 1 <  ln 1/2 the previous estimate implies that
Z
( y) d y c2  ln 
B(0,)
where c is a constant that depends only on the dimension. Now the ( n 1)
dimensional volume of the sphere B(0, r ) is B(0, r ) = cr n1 for some constant c
that depends only on dimension. Thus
Z Z
( y) d y = c r dr = c2
B(0,) 0
for some constant c that depends only on the dimension. In both cases we see that
lim I = 0.
0
2 2
( f ( x y)) = ( f ( x y)), ( f ( x y)) = ( f ( x y)), j = 1, . . . , n.
x j yj 2
x j y2j
Greens first identity with = Rn \ B(0, ) is applied so that the exterior unit vector
points inwards to the ball
y y
( y) = = , y B(0, ).
 y
CHAPTER 4. LAPLACE EQUATION 108
Z Z
J ( x) = ( y) ( f ( x y)) dS ( y) y ( y) y ( f ( x y)) d y = K + L .
B(0,) Rn \B(0,)
Step 5: We estimate K .
Z
( y) ( f ( x y)) dS ( y)
K 
B(0,)
Z
= ( y) f ( x y) ( x y) dS ( y)
B(0,)
Z
( y) f ( x y) ( x y) dS ( y) (CauchySchwarz inequality)
B(0,)  {z }
=1
Z
sup  f ( y) ( y) dS ( y),
yRn B(0,)
where sup yRn  f ( y) < because f C 0 (Rn ). Now we estimate the remaining
integral. Since is a radial function and  x = on B(0, ) we get
Z 2 ln , n = 2,
( y) dS ( y) = ()B(0, )
B(0,) c2n n1 = c, n 3.
n3
1
( y) = (2 n) y1n ( y) ( y)
n( n 2)( n)
1 y y 1  y 2
= =
n( n)  yn  y n( n)  yn+1
1 1
=  y1n = 1n , y B(0, ).
n( n) n( n)
CHAPTER 4. LAPLACE EQUATION 109
This implies
1
Z
L = f ( x y) dS ( y)
n( n)n1 B(0,)
1
Z
= f ( x y) dS ( y)
B(0, ) B(0,)
1
Z
= f ( z) dS ( z)
B( x, ) B( x,)
by the change of variables z = x y. Recall that B( x, ) denotes the ( n 1)
dimensional volume of the sphere B( x, r ). Thus the last quantity is an integral
average of f over a sphere of radius centered at x. Let us take a closer look at
this average.
1
Z
Claim: lim f ( z) dS ( z) = f ( x).
0 B( x, ) B( x,)
Reason. We have
1 1
Z Z
f ( z) dS ( z) f ( x) = ( f ( z) f ( x)) dS ( z).
B( x, ) B( x,) B( x, ) B( x,)
Let > 0. By continuity there exists > 0 such that
 z x  f ( x) f ( z) .
This implies
1 1
Z Z
 f ( z) f ( x) dS ( z) ,
B( x, ) f ( z) dS ( z) f ( x)
B( x,) B( x, ) B( x,)
CHAPTER 4. LAPLACE EQUATION 110
which proves the claim. Observe, that this is the same argument as in approxima
tion of the identity.
n = 2 Observe that
1
( y) = ( y) ( y) = (ln  y) ( y)
2
1 1 y y 1 1
= = = , y B(0, ), j = 1, . . . , n.
2  y  y  y 2 y 2
This is precisely the same formula as in the case n 3 for n = 2. Thus for
y B(0, ) we have
1 1
( y) =
=
2 B(0, )
and the rest is exactly the same as in the higher dimensional case. Thus
lim L = f ( x)
0
also when n = 2.
Step 7: Gathering all estimates together we see that
u( x) = I + J = I + K + L f ( x) as 0
{z} {z} {z}
0 0 f ( x)
Remark 4.20. We collect here basic results on volumes related to balls and spheres.
Since the ndimensional volume with n 2 of a ball B( x, r ) is translation invariant
and scales to the power n, we have
where ( n) is the ndimensional volume of the unit ball B(0, 1). On the other hand,
since the ( n 1)dimensional volume of the sphere B( x, r ) is translation invariant
and scales to the power n 1, we have
where ( n) is the ( n 1)dimensional volume of the unit sphere B(0, 1). Moreover,
( n)
Z Z 1Z Z 1
( n) = 1 dx = 1 dS dr = ( n) r n1 dr =
B(0,1) 0 B(0,r ) 0 n
Thus
B(0, 1) = ( n) = n( n) = nB(0, 1).
It can be shown that n
2
B(0, 1) = n ,
2 +1
so that the volume of a ball can be represented in terms of the gamma function.
CHAPTER 4. LAPLACE EQUATION 111
Our goal is to derive a general representation formula for the solution of this
problem using potential functions and so called Greens function.
Assuming that u C 2 ()). Let > 0 be small enough so that B( x, ) . Recall
that is the fundamental solution of the Laplace equation in Defintion 4.14. By
Greens second identity, we have
Z
u( y) y (( y x)) ( y x) y u( y) d y
\B( x,)  {z }
=0
u
Z Z
= u( y) ( y x) dS ( y) ( y x) ( y) dS ( y) (4.1)
B( x,) B( x,)
Z Z Z Z
= dS ( y) + dS ( y) dS ( y) dS ( y)
B( x,) B( x,)
= I 1 () + I 2 I 3 () I 4 .
u
Z
 I 3 () = ( y x) ( y) dS ( y)
B( x,)
Z
( y x) u( y)( y) dS ( y)
B( x,)
Z
sup  u( y) () d y
y B( x,)
sup
y
 u( y) ln , n = 2,
c sup  u( y)n1 2n , n 3.
y
Thus
lim I 3 () = 0.
0
1 1
( y x) = = , y B( x, ).
n( n) y xn1 n( n)n1
CHAPTER 4. LAPLACE EQUATION 112
Thus
lim I 1 () = u( x).
0
Finally we recall that is harmonic away from zero so that y ( y x) = 0 for
y 6= x. Thus by rearranging terms in (4.1) and letting 0 we conclude that
u( x) = lim I 1 ()
0
Z
= lim I 3 () + I 4 I 2 lim ( y x) y u( y) d y
0 0 \B( x,)
 {z }
=0
u
Z Z
= ( y x ) ( y) dS ( y) u( y) ( y x) dS ( y) (4.2)
Z
( y x) y u( y) d y, x .
Remarks 4.21:
(1) If u = 0 in , then by (4.2), we have
u
Z Z
u ( x) = ( y x ) ( y) dS ( y) u( y) ( y x) dS ( y), x . (4.3)
The first integral on the righthand side is called the single layer potential
u
with charge density
( y) and the second integral is called the double
layer potential with dipole moment density u( y). The latter represents the
potential induced by a double layer of charges of opposite sign on and
the former represents the potential induced by a single layer of charges on
. Note that these potentials are harmonic in and in Rn \ .
(2) Representation formula (4.3) implies that if u C 2 () is a harmonic func
tion in , then u C (). This means that every harmonic function
is smooth. Indeed, since there is no singularity in the integrand, the
derivatives can be taken inside the integral.
CHAPTER 4. LAPLACE EQUATION 113
Z
( y x) dS ( y) = 1
Let us look at the representation formula above in connection with the Dirich
let problem. We require that u = f in . The boundary condition specifies the
values of u = g on the boundary , but the normal derivative of u is unknown.
We solve this problem as follows. For a fixed x , let x = x ( y) be a corrector
function, which is a solition the Dirichlet problem
y x ( y) = 0 , y ,
x ( y) = ( y x), y .
Applying Greens second identity and using the fact that x = 0 in we have
Z Z
x ( y) u( y) d y = u( y) x ( y) x ( y) u( y) d y
 {z }
=0
x u
Z
= u ( y) ( y) x ( y)
( y) dS ( y) (4.4)
x u
Z
= u ( y) ( y) ( y x) ( y) dS ( y).
G ( x, y) = ( y x) x ( y), x, y , x 6= y.
With the definition of Greens function and adding (4.2) to (4.4), we have
u
Z
u ( x) = ( y) (( y x) ( y x)) dS ( y)
 {z }
=0
x
Z
u ( y) ( y x) ( y) dS ( y)
Z
x
+ u( y)( ( y) ( y x)) d y
G
Z Z
= u( y) ( x, y) dS ( y) u( y)G ( x, y) d y
CHAPTER 4. LAPLACE EQUATION 114
where
G
( x, y) = y G ( x, y) ( y)
and is the exterior unit normal on .
then
G
Z Z
u ( x) = g( y) ( x, y) dS ( y) + f ( y)G ( x, y) d y,
where G is Greens function for .
Remarks 4.24:
(1) Let us symbolically write x for the generalized function (distribution) that
has the property
Z
( y) x ( y) d y = ( x) for all C 0 (Rn ).
Rn
is Z
u ( x) = H ( x, y) g( y) dS ( y),
where
G
H ( x, y) = ( x, y)
is called the Poisson kernel in .
n+1
R+ = {( x0 , xn+1 ) : x0 Rn , xn+1 > 0}.
Although this domain is unbounded, and the arguments in the previous section
do not directly apply, we shall determine its Green function by the method of
reflection. After we have done that we have to check whether representation
formula really gives a solution to the problem. Remember that in order to construct
n+1
Greens function, for every x R+ , we need to construct the corrector function
x such that
x ( y) = 0, y Rn+1 ,
+
x ( y) = ( y x), y Rn+1 = Rn .
+
CHAPTER 4. LAPLACE EQUATION 116
n+1
Greens function for R+ will then be G ( x, y) = ( y x) x ( y).
n+1
Let x = ( x1 , . . . , xn , xn+1 ) R+ . Reflecting the vector x across the boundary
n+1
R+ gives the point x = ( x1 , . . . , xn , xn+1 ). Observe that x belongs to the lower
n+1
halfspace of Rn+1 . For x, y R+ we set
x ( y) = ( y x )
x ( y) = ( y x ) = ( y x )
n+1
G ( x, y) = ( y x) ( y x ), x, y R+ , x 6= y.
G
Z
u ( x) = ( x, y) g( y) dS ( y).
n +1
R+
G
We derive an explicit expression for
( x, y) in the upper halfspace. Recalling the
definition of the fundamental solution for n 3, we have
1 1 1
G ( x, y) = .
n( n 2)( n)  x yn2  x yn2
Thus
G G
( x, y) = G ( x, y) ( y) = ( x, y)
yn+1
= ( y x) + ( y x )
yn+1 yn+1
1 yn+1 xn+1 yn+1 + xn+1 2 xn+1
= = .
n( n)  x y n +1  x y n +1 n( n)  x yn+1
This holds also when n = 2 (exercise). By insreting this into the representation
formula above, we have
2 xn+1
Z
n+1
u ( x) = g( y) d y, x R+ , y Rn = R+
n+1
.
n( n) Rn  x yn+1
CHAPTER 4. LAPLACE EQUATION 117
The function
2 xn+1 n+1
K ( x, y) = , x R+ , y Rn = R+
n+1
.
n( n)  x yn+1
n+1
is the Poisson kernel of R+ and
2 xn+1 g ( y)
Z Z
n+1
u ( x) = dy = K ( x, y) g( y) d y, x R+ , y Rn .
n( n) Rn  x yn+1 Rn
Theorem 4.27 (Poisson formula in the upper halfspace). The solution of the
Dirichlet problem (4.5) is given by
2 xn+1 g( y)
Z
u ( x) = d y. (4.6)
n( n) Rn  x yn+1
Example 4.28. For a harmonic function in the upper half plane R2+ , formula (4.6)
gives
y g( z)
Z
u( x, y) = dz,
R ( x z)2 + y2
where < x < and y > 0.
2y g( z)
Z
n+1
u( x, y) = dz, ( x, y) R+ .
n( n) Rn ( x z2 + y2 ) n+2 1
We just rediscovered our familiar Poisson kernel for the upper half plane by means
of Greens function for the upper half plane. Previously, we derived the same
formula using the Fourier transform, see Theorem 3.25. We already know that
the u given above solves the Dirichlet problem for the Laplace equation in the
upper halfspace with boundary data g by the approximation of the identity.
Greens function for B(0, 1) will then be G ( x, y) = ( y x) x ( y). For any point
x B(0, 1) we will again reflect the point with across to the boundary B(0, 1) as
follows. For x B(0, 1), we define
x
x = .
 x 2
1
Observe that  x < 1 implies that  x  =  x > 1 and thus x B(0, 1). The following
calculations are essentially the same when n = 2 so we give the details only for
the case n 3. Set
x ( y) = ( x( y x )).
Then
1 1 1
x ( y) = = n2 ( y x ).
n( n 2)( n)  x n 2
y x  n 2  x
Since y 6= x the function x ( y) is harmonic in B(0, 1) (as a function of y) as long
as x 6= 0. Let us check what happens on the boundary. For y B(0, 1) and x 6= 0
we have
x x x x 2x y
 x 2  y x  2 =  x 2 y 2 y 2 =  x 2 y y + 2 2
 x  x  x  x  x 2
1 2x y
()
=  x 2 1 + 2 =  x 2 + 1 2 x y
 x  x 2
= ( x y) ( x y) =  x y2 ,
where in (*) we used that y y =  y2 = 1 since y B(0, 1). The previous calculation
implies  x y x  =  y x when y B(0, 1) so that
1 1
x ( y) = ( x( y x )) = = ( x y)
n( n 2)( n) ( x y x )n2
when y B(0, 1). Thus x is the corrector function for B(0, 1) and Greens function
for B(0, 1) becomes
G
Z
u ( x) = ( x, y) g( y) dS ( y)
B(0,1)
CHAPTER 4. LAPLACE EQUATION 119
G y
( x, y) = y G ( x, y) ( y) = y G ( x, y) .
 y
We calculate the partial derivatives of G (again for n 3), when y B(0, 1), and
have
G
( x( y x )
( x, y) = ( y x)
yj yj yj
 x( y j xj )
!
1 1 yj x j 1
=  x
n( n)  y xn1  y x  x( y x )n1  x y x 
!
1 y j x j  x 2 y j x j 1 1  x 2
= = y j , j = 1, . . . , n.
n( n)  y x n  y x n n( n)  x yn
Thus
1 1  x 2
y G ( x, y) = y
n( n)  x yn
and
G 1 1  x 2 y 1 1  x 2
( x, y) = y G ( x, y) ( y) = y =
n( n)  x yn  y n( n)  x yn
1 1  x 2
Z
u ( x) = g( y) dS ( y)
n( n) B(0,1)  x y
n
is the solution for the Dirichlet problem for the Laplace equation in the unit ball
B(0, 1).
The Dirichlet problem for B(0, r ), r > 0, is
u = 0 in B(0, r ),
u = g on B(0, r ).
r 2  x 2 g ( y)
Z
u ( x) = dS ( y), x B(0, r ).
n( n) r B(0,r )  x y
n
The function
r 2  x 2 1
K ( x, y) = , x B(0, r ), y B(0, r ),
n( n) r  x yn
r 2  x 2 g ( y)
Z Z
u ( x) = dS ( y) = K ( x, y) g( y) dS ( y), x B(0, r ),
n( n) r B(0,r )  x y
n
B(0,r )
Remark 4.31. The Poisson kernel has the following properties (exercise).
lim K ( x, y) = 0
x x0 ,xB(0,r )
Theorem 4.32 (Poisson formula in the ball). The solution of the problem
u = 0 in B(0, r ),
u = g on B(0, r ).
is given by
r 2  x 2 g ( y)
Z
u ( x) = dS ( y).
n( n) r B(0,r )  x y
n
Remark 4.33. In dimension n = 2 the unit ball B(0, 1) is just the disc. Let us
write z = ( r cos , r sin ) in polar coordinates. Since y B(0, 1) we can write
y = (cos , sin ) and integrate in instead. We can calculate
1 r2
Z g(cos , sin )
u( r, ) = d ,
2 1 2 r cos( ) + r 2
where, in the last equality, we abuse notation and write g() for g(cos , sin ).
Again, we recover our familiar Poisson kernel for the disc in two dimensions. This
discussion motivates the definition of a Poisson kernel for the ball B(0, 1).
CHAPTER 4. LAPLACE EQUATION 121
1 1
Z Z
u ( x) = u( y) d y = u( y) dS ( y).
B( x, r ) B( x,r) B( x, r ) B( x,r)
THE MORAL : The value of a harmonic function at a point is the equal to the
average of its values over any ball or sphere centered at that point.
Proof. Set
1
Z
( r ) = u( y) dS ( y)
B( x, r ) B( x,r)
1
Z
= u( x + rz) r n1 dS ( z)
n( n) r n1 B(0,1)
1
Z
= u( x + rz) dS ( z),
n( n) B(0,1)
1
Z
0 ( r ) = u( x + rz) z dS ( z)
n( n) B(0,1)
1 y x
Z
= u( y) dS ( y)
n( n) r n1 B( x,r) r
1
Z
= u( y) ( y) dS ( y),
n( n) r n1 B( x,r)
1 1 u
Z Z
u( y) ( y) dS ( y) = ( y) dS ( y)
n( n) r n1 B( x,r) n( n) r n1 B( x,r)
1
Z
= div u( y) d y
n( n) r n1 B( x,r)
1
Z
= u ( y) d y = 0 ,
n( n) r n1 B( x,r)
Remark 4.35. The mean value property of harmonic functions follows also from
the Poisson formula for the ball in Theorem 4.32 (exercise).
We now state a converse to the mean value property. It states that the mean
value property characterizes harmonic functions.
Proof. We shall prove the claim under additional assumption that u C 2 (). A
convolution approximation will give the general result, but this will be omitted
here (exercise). If u( x) 6= 0 for some x then there is a ball B( x, r ) such
that u( y) > 0 for every y B( x, r ). As in the previous proof we have 0 ( r ) = 0,
CHAPTER 4. LAPLACE EQUATION 123
because of the hypothesis that the averages with respect to balls centered at x are
constant and equal to u( x). Thus we have
1
Z
0 = 0 ( r ) = u( y) d y > 0,
n( n) r n1 B( x,r )
which is a contradiction.
Remark 4.37. It follows from the proof above that a continuous function u is
harmonic if and only if for every point in the domain of definition the mean value
property holds true for small enough balls centered at the point.
Theorem 4.38. Let Rn be an open and bounded set and assume that u
C 2 () C () is a harmonic function in .
then u is constant in .
u( x0 ) = max u( x) = M.
x
Let 0 < r < dist( x0 , ). Then B( x0 , r ) and the mean value property implies
that
1 1
Z Z
M = u ( x0 ) = u ( y) d y M d y = M.
B( x0 , r ) B( x0 ,r )  B ( x0 , r ) B( x0 ,r )
and x = x N .
Let us assume (for contradiction) that this inequality is strict, that is,
u( x0 ) = max u( y).
y
The claim (2) implies that u is constant in and since u C () we conclude that
u is constant in as well. Thus
Remark 4.40. Let be a bounded, open and connected set and u C 2 () C ().
Suppose that u is a solution to the Dirichlet problem
u = 0 in ,
u = g on .
Assume that g 0. If g( x) > 0 for some x , then the strong minimum principle
implies that u > 0 everywhere in .
u( x0 ) = min u( x) = 0
x
Remark 4.41. The weak maximum principle can be also proved without the mean
value property.
CHAPTER 4. LAPLACE EQUATION 126
2 u
( x0 ) 0 , j = 1, . . . , n,
x2j
Then we consider the general case u( x) 0 for every x . Consider the auxiliary
function v ( x) = u( x) +  x2 with > 0. A direct calculation shows that
Note that the only property of the function  x2 that we use here is that its Laplace
operator is strictly positive. Any other function with this property would do as
well. Since v C 2 () C (), by the beginning of the proof we have
This implies
= max( u( x) +  x2 )
x
By letting 0, we have
max u( x) max u( x).
x x
max u( x) max u( x)
x x
Thus
max u( x) = max u( x).
x x
( u v) = u v = f + f = 0 in
Theorem 4.43 (Stability). Let Rn be open and bounded and assume that
u, v C 2 () C () are solutions to the Poisson equation u = f in . If  u v
on , then  u v in .
THE MORAL : This shows that the solution of the Dirichlet problem depends
continuously on the boundary data on a bounded set.
Example 4.44. The following Hadamards example shows that stability fails in
unbounded domains. Consider the Cauchy problem
2 u 2 u
u = 2 + 2 = 0 in R2+ ,
x y
u( x, 0) = 0, x R,
u
1
( x, 0) = sin( jx), x R, j = 1, 2, . . . .
y
j
Then
1
u( x, y) = sinh( j y) sin( jx)
j2
is a solution of the problem. Recall that sinh( x) = 12 ( e x e x ). Observe that this
function is a solution both to the Dirichlet and Neumann problems. By taking j
sufficiently large, the absolute value of the boundary data can be be everywhere
arbitrarily small, while the solution takes arbitrarily large values even at points
( x, y) with  y as small as we wish.
Proof. Let u and v be two solutions for the Dirichlet problem. Then
( u v) = u v = f + f = 0 in
Remarks 4.46:
(1) Another way to show uniqueness in a smooth domain is to apply Gauss
Green formula as in Remark 4.8.
(2) The assumption that is bounded is essential. Consider, for example, the
Dirichlet problem
u = 0 in Rn+1 ,
+
u = 0 on Rn+1 = Rn ,
+
n+1
in the unbounded open and connected unbounded set R+ . Every function
u( x0 , xn+1 ) = axn+1 , where x0 Rn , xn+1 R+ and a R, is a solution to the
problem. Thus the uniqueness of the boundary valued problem fails in this
case. Indeed, there are infinitely many solutions to the Dirichlet problem
with zero boundary value.
(3) Consider the Dirichlet problem
u = 0 in ,
u = 0 on .
sup u( x) c inf u( x)
xV xV
1
u( y) u( x) cu( y)
c
CHAPTER 4. LAPLACE EQUATION 129
for all points x, y V . This means that the values of nonnegative harmonic
functions in V are comparable. Thus if u is small (or large) somewhere in V it is
small (or large) everywhere in V . In particular, if u( y) = 0 for some y , then
u( x) = 0 for every x . The assumption that u 0 is essential in the result.
A = {w C 2 () C () : w = g on }.
This is the class of admissible functions for the Dirichlet problem with the given
boundary values. The energy functional for the Poisson equation u = f is
1
Z
2
I ( w) = w w f dx.
2
CHAPTER 4. LAPLACE EQUATION 130
Then
I ( u) = min I (w).
wA
Conversely, if u A satisfies I ( u) = minwA I (w), then u is a solution of the
Dirichlet problem above for the Poisson equation.
I ( u) = min I (w).
wA
CHAPTER 4. LAPLACE EQUATION 131
() = I ( u + v), R.
1
Z
() =  u + v2 ( u + v) f dx
2
1
Z
= ( u + v) ( u + v) ( u + v) f dx
2
1 2
Z
=  u2 + v2 + u v u f v f dx.
2 2
By differentiating under the integeral, we obtain
Z
0 ( ) = v2 + u v v f dx.
1 y
( y) = , > 0.
n
If > 0 is small enough, then ( x y) is supported in a small neighborhood of
x and thus ( x ) C 0 (). Thus for all > 0 small enough
Z
0 = ( u( y) + f ( y)) ( x y) d y = (( u + f ) )( x)
u( x) f ( x) = lim(( u + f ) )( x) = 0
0
for all x as long as f satisfies some mild assumptions, for example, f integrable,
bounded, and continuous in .
CHAPTER 4. LAPLACE EQUATION 132
u
Z Z Z
0 = u dx = u dx + dS,
{z}
=0
so that Z
u dx = 0 (4.7)
for every C 0 (). On the other hand, if (4.7) holds, then the computation above
shows that Z
u dx = 0
for every C 0 (). This implies that
u = 0 in
Z Z Z
0 = u dx = u dx + u dS,
{z}
=0
so that Z
u dx = 0 (4.8)
for every C 0 (). As above,
Z Z
u dx = u dx = 0
for every C 0 (). This shows that (4.8) holds for for every C 0 () if and
only if
u = 0 in .
Formulas (4.7) and (4.8) give two possible ways to define a generalized solution
to the Laplace equation. Observe, that in (4.7) we only need to assume that u
has the fist order derivatives. In (4.7) it is enough to assume that u is integrable.
With this interpretation, the function u does not have to have any derivatives at
all. This is in contrast with the standard definition of the Laplacian, where u has
to be twice differentiable.
CHAPTER 4. LAPLACE EQUATION 133
Cylindrical coordinates
Cylindrical coordinates ( r, , z) in R3 are defined by
x = r cos , y = r sin , z = z.
2 u 1 u 1 2 u 2 u
+ + + =0
r2 r r r 2 2 z2
in cylindrical coordinates.
CHAPTER 4. LAPLACE EQUATION 134
2 u u u
= cos + sin
r2 r x r y
u x u y u x u y
= cos + + sin +
x x r y x r x y r y y r
2 u 2 u 2 u 2 u
= cos2 + sin cos + sin cos + sin2 .
x2 x y x y y2
With respect to , we have
u u x u y u u
= + = r sin + r cos .
x y x y
By the product and the chain rules for derivatives
2 u u u
= r sin + r cos
2 x y
u u x u y
= r cos r sin +
x x x y x
u u x u y
r sin + r cos +
y x y y y
u 2 u 2 u
= r cos + r 2 sin2 r 2 sin cos
x x2 x y
2
u u 2 u
r sin r 2 sin cos + r 2 cos2 .
y x y y2
Thus
2 u 1 u 1 2 u
+ +
r 2 r r r 2 2
2
2 u 2 u 2
2 u cos u sin u
= cos 2 + 2 sin cos + sin 2 + +
x x y y r x r y
2 2 2
cos u 2 u u sin u 2 u
+ + sin 2 2 sin cos + cos 2
r x x x y r y y
2
u 2 2 2
u u u 2
= cos2 + sin2 + sin + cos2
= + ,
x2 y2 x 2 y2
which gives
2 u 1 u 1 2 u 2 u 2 u 2 u 2 u
+ + + = + + = u = 0.
r2 r r r 2 2 z2 x2 y2 z2
CHAPTER 4. LAPLACE EQUATION 135
Spherical coordinates
Spherical coordinates ( r, , ) in R3 are defined by
2 u 2 u 1 2 u 1 2 u cot u
+ + 2 + + 2 =0
r2 r r r (sin )2 2 r 2 2 r
in spherical coordinates.
2 u u u u
= cos sin + sin sin + cos
r2 r x r y r z
u x u y u z
= cos sin + +
x x r y x r z x r
u x u y u z
+ sin sin + +
x y r y y r z y r
u x u y u z
+ cos + +
x z r y z r z z r
2 u 2 u 2 u
= cos2 sin2 + sin cos sin2 + cos sin cos
x2 x y x z
2 u 2 u 2 u
+ sin cos sin2 + sin2 sin2 + sin sin cos
x y y2 y z
2
u 2 u
2 u
+ cos sin cos + sin sin cos + cos2 2 .
x z y z z
u u x u y u z u u
= + + = r sin sin + r cos sin u y + 0,
x y z x y
and thus
2 u u u
= r sin sin + r cos sin u y
2 x y
u u x u y u z
= r cos sin r sin sin + +
x x x y x z x
u u x u y u z
r sin sin + r cos sin + +
y x y y y z y
u 2 u 2 u
= r cos sin + r 2 sin2 sin2 r 2 sin cos sin2 +0
x x2 x y
u 2 u 2 u
r sin sin r 2 sin cos sin2 + r 2 cos2 sin2 + 0.
y x y y2
u u x u y
u z
= + +
x y z
u u u
= r cos cos + r sin cos r sin ,
x y z
CHAPTER 4. LAPLACE EQUATION 137
2 1 1
0 + (cos sin ) + 2 ( r cos sin ) + 2 ( r cos sin )
r r (sin )2 r
cot
+ 2 ( r cos cos )
r
cos
= (2 sin2 1 sin2 + cos2 ) = 0.
r sin
u
Similarly, for the y
terms, we have
2 1 1
0 + (sin sin ) + 2 ( r sin sin ) + 2 ( r sin sin )
r r (sin )2 r
cot
+ 2 ( r sin cos )
r
sin
= (2 sin2 1 sin2 + cos2 ) = 0
r sin
u
and for the z
terms we have
2 1 1 cot
0+ cos + 2 0 + 2 ( r cos ) + 2 ( r sin )
r r (sin )2 r r
1
= (2 cos cos cos ) = 0.
r
CHAPTER 4. LAPLACE EQUATION 138
2 u
For the x2
terms, we have
2 1 1 cot
cos2 sin2 + 0+ 2 ( r 2 sin2 sin2 ) + 2 ( r 2 cos2 cos2 ) + 2 0
r r (sin )2 r r
= cos2 (sin2 + cos2 ) + sin2 = 1.
2 u
Similarly, for the y2
terms, we have
2 1 1 cot
sin2 sin2 + 0+ 2 ( r 2 cos2 sin2 ) + 2 ( r 2 sin2 cos2 ) + 2 0
r r (sin )2 r r
= sin2 (sin2 + cos2 ) + cos2 = 1
2 u
and for the z2
terms, we have
2 1 1 cot
cos2 + 0+ 2 0 + 2 ( r 2 sin2 ) + 2 0 = 1.
r r (sin )2 r r
2 u
Moreover, for the x y
terms, we have
2 1
2 sin cos sin2 + 0+ 2 (2 r 2 sin cos sin2 )
r r (sin )2
1 cot
+ 2 (2 r 2 sin cos cos2 ) + 2 0
r r
= 2 sin cos (sin2 1 + cos2 ) = 0.
2 u
Similarly, for the x z
terms
2 1 1 cot
2 cos sin cos + 0+ 2 0 + 2 (2 r 2 cos sin cos ) + 2 0 = 0
r r (sin ) 2 r r
2 u
and for the y z
terms
2 1 1 cot
2 sin sin cos + 0+ 2 0 + 2 (2 r 2 sin sin cos ) + 2 0 = 0.
r r (sin )2 r r
2 u 2 u 1 2 u 1 2 u cot u 2 u 2 u 2 u
+ + 2 + 2 + 2 = + + = 0.
r2 r r r (sin )
2 2 r 2 r x2 y2 z2
4.15 Summary
We have considered four aspects of the PDE theory for the Laplace operator.
5
geneous problems. For subdomains the solutions can be
constructed through separation of variables, which leads
to an eigenvalue problem for the Laplace operator. We also
discuss the maximum principle to study uniqueness of the
solution.
Heat equation
that is, the Laplace is taken with respect to the spatial variable x. Let be an
open subset of Rn and T > 0. The problem is to find a function u = u( x, t) such that
it is a solution to the heat equation in (0, T ).
Physically, a solution u = u( x, t) of the heat equation represents the tempera
ture of the body at the point x and time t. Observe that any solution v = v( x) of
the Laplace equation induces a time independent solution u = u( x, t) = v( x) of the
heat equation. In practice this suggests that for every claim about solutions to
the Laplace equation there should be a corresponding claim for the solutions of
the heat equation. However, the dependence in time leads to new phenomena and
challenges which are not visible in the stationary case.
The appropriate initial condition is
u( x, 0) = g( x), x .
u( x, t) = g( x, t) x , t > 0,
140
CHAPTER 5. HEAT EQUATION 141
u
a u = 0,
t
where a R is the heat conductivity, can be reduced to the standard heat equation
by the change of variables t 7 at. This means that it is enough to consider the
case a = 1.
Z Z
u( x, t) dx = F ( x, t) ( x) dS ( x) = 0,
t V V
where F = (F1 , . . . , F n ) is the flux density and is the unit outer normal of V . By
the GaussGreen theorem we have
Z Z
div x F ( x, t) dx = F ( x, t) ( x) dS ( x)
V V
u
Z Z
= u( x, t) dx = ( x, t) dx.
t V V t
The last equality follows by switching the order of the derivative and the integral.
Since this holds for every subdomain V of , we have
u
div x F ( x, t) = ( x, t).
t
It is physically reasonable to assume that the flux F is proportional to the gradient
u but in the opposite direction, since the flow is usually from regions of high tem
perature to regions of low temperature or high concentration to low concentration.
Thus
F ( x, t) = a u( x, t), a > 0.
This gives
u
( x, t) = div x F ( x, t) = adiv x u( x, t) = a u( x, t),
t
which implies that u is a solution of the general heat equation.
CHAPTER 5. HEAT EQUATION 142
1
Z Z
2
u( x, t) = ( x y, t) g( y) d y = e x y /(4 t) g( y) d y (5.1)
Rn (4 t)n/2 Rn
is a solution to the heat equation in Rn (0, ). Here
1
2
e x /(4 t) , x Rn , t > 0,
( x, t) = (4 t ) n/2
0, x Rn , t 0,
is the fundamental solution of the heat equation (or the heat kernel). Note that
is a solution to the heat equation in the upper halfspace and that unbounded in
any neighbourhood of (0, 0). The fact that the solution assumes the initial values
g is a consequence of Theorem 3.19, which is the general result about families of
good kernels and the fact that the fundamental solution induces a family of good
kernels, see Example 3.20. This gives the existence of a solution to the Cauchy
problem, but the uniqueness may fail in unbounded domains, as we shall see later.
Note also that the solution given by (5.1) is smooth, since the fundamental solution
is smooth in the upper halfspace and the convolution inherits smoothness.
Remarks 5.2:
(1) We can also write
= 0 in Rn (0, ),
t
= 0 in Rn { t = 0},
1 x
u( x, t) = v , x Rn , t > 0,
t t
is a solution to the heat equation. We can insert this in the heat equation
and assume that v is a radial function. This gives an ODE for v which
can be solved. This is an alternative way to derive the formula for the
fundamental solution, which applies to other PDEs as well.
CHAPTER 5. HEAT EQUATION 143
1
Z
 x y2 /(4 t)
e g( y) d y
(4 t) n /2
Rn
1
Z
 g( y) d y
(4 t)n/2 Rn
1
Z
sup  u( x, t)  g( y) d y, t > 0.
xRn (4 t)n/2 Rn
In particular, this implies that the solution tends to zero as time goes to
infinity. The same argument can also be used to study stability of solutions
in the upper halfspace.
Observe that this is a initial value problem for the homogeneous heat equation
with the time t = 0 replaced by the time t = s. This is called the translation
principle.
CHAPTER 5. HEAT EQUATION 144
So called Duhamels principle, see Remark 3.27, suggests that we can build a
solution to the nonhomogeneous problem by integrating solutions u( x, t; s) over
s (0, t) and have
Z t
u( x, t) = u( x, t; s) ds, x Rn , t > 0.
0
u
Z t+h Z t
1
( x, t) = lim u( x, t + h; s) ds u( x, t; s) ds
t h 0 h 0 0
Z t+h Z t+ h
1
= lim u( x, t + h; s) ds u( x, t; s) ds
h 0 h 0 0
Z t+h Z t
1
+ lim u( x, t; s) ds u( x, t; s) ds
h 0 h 0 0
Z t+ h
1 1 t+ h
Z
= lim ( u( x, t + h; s) u( x, t; s)) ds + lim u( x, t; s) ds
h 0 0 h h0 h t
u
Z t
= u( x, t; t) + ( x, t; s) ds.
0 t
The following theorem claims that this gives a solution to the initial value
problem for the nonhomogeneous heat equation.
Theorem 5.4. Let f C 0 (Rn (0, )). The solution of the nonhomogeneous
Cauchy problem (5.2) is
Z tZ
u( x, t) = ( x y, t s) f ( y, s) d y ds
0 Rn
Z t  x y2
1
Z
4( ts)
= e f ( y, s ) d y ds. (5.3)
0 (4( t s))
n/2
Rn
CHAPTER 5. HEAT EQUATION 146
= f ( x, t) + u( x, t).
we can use the same approach is in Remark 4.13 (3) for the Laplace
equation and write u = u 1 + u 2 with
u
1 u 1 = f in Rn (0, ),
t
u 1 = 0 in Rn { t = 0},
and u
2 u 2 = 0 in Rn (0, ),
t
u 2 = g in Rn { t = 0}.
u = 0 on (0, ),
u = g on { t = 0}.
CHAPTER 5. HEAT EQUATION 147
Then
u
( x, t) = v0 ( t)w( x) and u( x, t) = v( t)w( x)
t
and
u
0= ( x, t) u( x, t) = v0 ( t)w( x) v( t)w( x).
t
It follows that
v0 ( t) w( x)
=
v( t) w( x)
for every x and t > 0 such that w( x) 6= 0 and v( t) 6= 0. Since the left hand side
depends only on t and the right hand side depends only on x, both sides have to
be the same constant. Thus we arrive at
0
v ( t)
= , t > 0,
v( t)
w ( x )
= , x .
w( x)
THE MORAL : The problem for the heat equation has been transformed to an
ODE and an eigenvalue problem for the Laplace equation.
where c is a constant.
Consider then the other equation w = w. We say that is an eigenvalue
of the (negative) Laplacian in , if there exists a solution w of the problem
w = w in ,
w = 0 on ,
This implies that 0 and this is explains the choice of the negative sign above.
In fact, we have > 0, since if = 0, then the Dirichlet problem above only has
the trivial solution w = 0. From (5.4) we conclude that
u( x, t) = ce t w( x)
is a solution to u
u = 0 in (0, ),
t (5.5)
u = 0 on (0, ),
gives the solution to the original problem in L2 (). Thus we have the representa
tion formula
g, w j e j t w j ( x)
X
u( x, t) =
j =1
Z
g( y)w j ( y) d y e j t w j ( x)
X
=
j =1
Z X
!
j t
= e w j ( x)w j ( y) g( y) d y
j =1
Z
= K ( x, y, t) g( y) d y,
where
e j t w j ( x)w j ( y)
X
K ( x, y, t) =
j =1
Remark 5.6. For time dependent problems it is also relevant to study the be
haviour of solutions as t .
Claim:
k u(, t)kL2 () e1 t k gkL2 () , t > 0,
Reason. Since
X
j t
 u( x, t) = g, w j e w j ( x )
j=1
 g, w j  e j t w j ( x)
X
j =1
e1 t
X
 g, w j w j ( x), (0 < 1 < 2 < . . . )
j =1
CHAPTER 5. HEAT EQUATION 150
= e1 t k gkL2 () .
In particular, the solution tends to zero as time goes to infinity. This method can
be used to study stability as well.
Remark 5.7. Similar argument also applies, for example, to the Neumann problem
u
u = 0 in (0, ),
t
u
= 0 on (0, ),
u = g on { t = 0}.
Physically this models an insulated boundary problem. This leads to the con
struction of orthonormal eigenfunctions for the Laplacian with the zero Neumann
boundary conditions.
where Rn is open and bounded and 0 < T < . By the maximum principle for
the solutions of the Laplace equation u = 0 we know that harmonic functions
achieve their maximum on the boundary . For the heat equation, the result
states that the maximum is achieved on certain part of the boundary, which is
called the parabolic boundary
T = ( [0, T ]) ( { t = 0}).
Observe that T consists of the base and the lateral sides of the cylinder T .
In this section we consider functions u C (T ), such that the second order
partial derivatives in space and the time derivative are continuous in T .
THE MORAL : A solution to the heat equation attains maximum and minimum
in T on the parabolic boundary T . This result holds for any bounded domain
without regularity assumptions on the boundary. Observe carefully that at a fixed
time t > 0 the function x 7 u( x, t) does not have to have maximum or minimum at
.
max v( x, t) = max v( x, t)
( x,t)T ( x,t)T
v( x0 , t 0 ) = max v( x, t).
( x,t)T
CHAPTER 5. HEAT EQUATION 152
v
( x0 , t 0 ) 0,
t
since otherwise the maximum would not be achieved at t = t 0 as a function of t.
On the other hand, v( x, t 0 ) v( x0 , t 0 ) for all x , since ( x0 , t 0 ) is a maximum of v
as a function of x. This implies that v( x0 , t 0 ) = 0 and
2 v
( x0 , t 0 ) 0 , j = 1, . . . , n,
x2j
v
( x0 , t 0 ) v( x0 , t 0 ) 0.
t
This is a contradiction with
v u
v = u = < 0.
t t
Note that the auxiliary function v was introduced only to get a strict inequality
here.
Step 2:
max v( x, t) + T
( x,t)T
= max v( x, t) + T (Step 1)
( x,t)T
max u( x, t) + T. (v u)
( x,t)T
Letting 0 we have
max u( x, t) max u( x, t).
( x,t)T ( x,t)T
max u( x, t) max u( x, t)
( x,t)T ( x,t)T
and thus
max u( x, t) = max u( x, t).
( x,t)T ( x,t)T
Remark 5.10. The maximum principle gives a comparison principle and a stability
result as in the case of the Laplace equation (exercises).
CHAPTER 5. HEAT EQUATION 153
T HE MORAL : The initial and boundary values can be given only on the
parabolic boundary T . The equation determines the values uniquely inside T
and on the top { t = T }, as in the representation formula (5.1).
Then
x2 j j 2
( e1/ t )
X
lim u( x, t) = lim
t 0 t0 j =0 (2 j )! t j
x2 j j 2
lim j ( e1/ t ) = 0.
X
=
j =0 (2 j )! t

0 t {z }
=0
2 u
X x2 j2 j 1/ t2
( x, t) = 2 j (2 j 1) (e )
x 2
j =1 (2 j )! t j
X x2 j2 j 1/ t2
= (e )
j =1 (2 j 2)! t
j
and
u x2 j j +1 2
( e1/ t )
X
( x, t) =
t j =0 (2 j )! t j +1
X x2( j1) j 1/ t2
= (e ).
j =1 (2( j 1))! t
j
CHAPTER 5. HEAT EQUATION 154
Thus u is a solution to
u t u xx = 0 in R (0, ),
u = 0 on R { t = 0}.
Since au is a solution to the same problem for every a R, we see that the
uniqueness fails for unbounded domains without extra assumptions. In this case,
the problem has infinitely many solutions. Observe that u = 0 is the physically
reasonable solution, but there are many nonphysical solutions as well. The
growth condition in the previous theorem excludes these nonphysical solutions.
The nonphysical solutions grow extremely fast as  x .
Note that the definition of u( x, t) also works for t < 0, so that the backward
Cauchy problem
u t u xx = 0 in R (, 0),
u = 0 on R { t = 0}.
does not have a unique solution in general.
Remarks 5.13:
(1) There is also a version of the strong maximum principle for solutions of
the heat equation. Let be an open, bounded and connected set in Rn . If
there exists a point ( x0 , t 0 ) (0, T ] such that
u( x0 , t 0 ) = max u( x, t)
( x,t)T
is illposed in the sense that, unlike the forward in time problem, it is not
solvable, in general, within the class of bounded solutions. Indeed, if a
bounded, continuous solution did exist for every choice g C (Rn ), then the
representation formula (5.1) gives
Z
g( x) = u( x, 0) = ( x y, T ) u( y, T ) d y
ZR
n
1 2
= e x y /(4T ) u( y, T ) d y.
(4T )n/2 Rn
This implies that g is smooth, which cannot be the case if g is only assumed
to be continuous.
Moreover, the backward in time problem is not stable. To see this, let > 0
and define x
2
u( x, t) = e t/ sin , x R, t < 0.
Then u is a solution to the problem
2
u u = 0 in R (, 0),
t x2
u = g on R { t = 0},
with x
g( x) = sin .
Then
max  g( x) 0 as 0,
xR
but
max  u( x, t) as 0.
xR
This means that the solution does not depend continuously on the boundary
values.
Then
Z Z
e 0 ( t) = w( x, t)2 dx = (w( x, t)2 ) dx
t t
w
Z Z
= 2w dx = 2ww dx (w satisfies the heat equation)
t
w
Z Z
=2 w dS 2 w2 dx (Greens first identity)
Z
2
= 2 w dx 0. (w = 0 on )
and thus w = 0 on T .
5.7 Summary
(1) We have derived several representation formulas for the solutions. The
Fourier series and the Fourier transform can be used to solve boundary
value problems in special cases. The solution to the Cauchy problem for
heat equation in the whole space can be represented as a convolution of
the source term with the fundamental solution.
(2) The nonhomogeneous Cauchy problem can be solved using Duhamels
principle by Theorem 5.4.
(3) Separation of variables and eigenvalue problems can be used to derive a
representation formula for the solutions in a subdomain, see Section 5.4.
(4) The heat equation has infinite propagation speed for disturbances.
(5) The heat equation smoothens the boundary data.
(6) The boundary and initial values can be given only on the parabolic bound
ary of a bounded space time cylinder. The same applies to the maximum
principle, uniqueness and stability results.
CHAPTER 5. HEAT EQUATION 157
(7) The uniqueness fails for the Cauchy problem without extra growth as
sumptions.
(8) Energy decreases and solutions decay to zero as t .
(9) Energy methods can be used to give a short proof of the uniqueness in a
bounded space time cylinder.
(10) If the direction of time changed, then the obtained backward in time heat
equation does not have a unique solution and the solution does not depend
continuously on the boundary data.
We study the wave equation in all dimensions, but with par
ticular focus on the physically relevant cases of dimensions
one, two and three. dAlemberts formula gives a solution
of the Cauchy problem in the onedimensional case. The
6
threedimensional Cauchy problem is solved by a spherical
mean reduction to the onedimensional case. Finally, the
twodimensional problem is solved by Hadamards decent
method from three dimensions. Duhamels principle ap
plies to the nonhomogeneous problem. Energy methods can
be used to prove the existence.
Wave equation
In this chapter we study the ndimensional wave equation with particular atten
tion to the physically relevant cases of dimensions one, two and three. It turns
out that the properties of the solutions depend on the dimension. We can think
of the wave equation as describing the displacement of a vibrating string (in
dimension n = 1), a vibrating membrane (in dimension n = 2) or an elastic solid
(dimension n = 3). In dimension n = 3 this equation also determines the behaviour
of electromagnetic waves in vacuum and the propagation of sound waves.
The ndimensional wave equation is
2 u
u = 0
t2
and the nonhomogeneous wave equation is
2 u
u = f .
t2
Here
n 2 u
u =
X
,
j =1 x2j
that is, the Laplace is taken with respect to the spatial variable x.
2 u
c 2 u = 0,
t2
where c R, can be reduced to the standard wave equation by the change of
variables (exercise).
158
CHAPTER 6. WAVE EQUATION 159
2
Z Z
u( x, t) dx = F ( x, t) ( x) dS ( x) = 0,
t2 V V
where F = (F1 , . . . , F n ) is the net contact force acting on V through V and is the
unit outer normal of V . This follows from Newtons law, which asserts that the
mass times the acceleration is the force. The mass density is assumed to be one.
By the GaussGreen theorem we have
Z Z
div x F ( x, t) dx = F ( x, t) ( x) dS ( x)
V V
2 2 u
Z Z
= u( x, t) dx = ( x, t) dx.
t2 V V t2
The last equality follows by switching the order of the derivative and the integral.
Since this holds for every subdomain V of , we have
2 u
div x F ( x, t) = ( x, t).
t2
It is physically reasonable to assume that the force F is proportional to the
gradient u but in the opposite direction. Thus
F ( x, t) = c2 u( x, t), c R.
This gives
2 u
( x, t) = div x F ( x, t) = c2 div x u( x, t) = c2 u( x, t),
t2
which implies that u is a solution of the general wave equation.
for the ndimensional wave equation is given by formula (3.5), which states that
b() sin( t) e ix d .
Z
u( x, t) = (2)n gb() cos( t) + h
Rn  
CHAPTER 6. WAVE EQUATION 160
Remark 6.2. To consider initial value problems for the wave equation in a bounded
domain T = (0, ), we can use eigenfunction expansions as in section 5.4.
1 b() sin( t) e ix d
Z
u( x, t) = gb() cos( t) + h
2 R  
1 sin( t) ix
Z
= gb() cos( t) + hb() e d
2 R
1 1
Z
= gb() ( e i t + e i t ) e ix d
2 R 2
1 b() 1 ( e i t e i t ) e ix d .
Z
+ h
2 R 2 i
1 1
Z
gb() ( e i t + e i t ) e ix d
2 R 2
1 1 1 1
Z Z
= e i t gb() e ix d + e i t gb() e ix d
2 2 R 2 2 R
1 1 1 1
Z Z
= g( x + t)() e ix d +
g( x t)() e ix d
2 2 R 2 2 R
1
= ( g( x + t) + g( x t)).
2
On the other hand,
1 b() 1 ( e i t e i t ) e ix d
Z
h
2 R 2 i
1 1 1 1
Z Z
= e i t H
b () e ix d e i t Hb () e ix d
2 2 R 2 2 R
1 1 1 1
Z Z
= H
( x + t)() e ix d H ( x t)() e ix d
2 2 R 2 2 R
1
= ( H ( x + t) H ( x t)),
2
where
b ( )
h
b () =
H .
i
Claim: H 0 ( x) = h( x) and
Z x Z x
0
H ( x) = H ( y) d y = h( y) d y
b() = i H
h b () = H
c0 ()
We conclude that
1 1
u( x, t) = ( g( x + t) + g( x t)) + ( H ( x + t) H ( x t))
2 2
1 1 x+ t
Z
= ( g( x + t) + g( x t)) + h( y) d y.
2 2 x t
This is dAlemberts formula for the onedimensional wave equation.
Example 6.4. If
jx
g( x) = sin , j = 1, 2, . . . , and h( x) = 0,
L
then Theorem 2.50 gives
jx jx
u( x, t) = sin cos .
L L
On the other hand, dAlemberts formula above gives
1 j ( x t ) j ( x t )
u( x, t) = sin + sin .
2 L L
Since sin a cos b = 21 (sin(a + b) + sin(a b)) the two solutions are the same.
Example 6.5. Assume that L = 1, g( x) = 0 and h( x) = x, 0 < x < 1. We take the odd
2 periodic extension of g( x) to the whole real line. By dAlemberts formula
1 x+ t 1
Z
u( x, t) = h( y) d y = ( H ( x + t) H ( x t)),
2 x t 2
where H is an antiderivative of h. For example, we can take
Z x
H ( x) = h( y) d y, 1 < x < 1.
1
Remarks 6.6:
(1) dAlemberts formula gives existence. The solution u is of the form
u( x, t) = F ( x + t) + G ( x t)
Reason. Assume that u and v are solutions with the same initial values.
Then u v is a solution with the zero initial values and dAlemberts
formula implies u v = 0.
Reason. Assume that u is a solution with the initial values g 1 and h 1 and
that v is a solution with the initial values g 2 and h 2 . dAlemberts formula
CHAPTER 6. WAVE EQUATION 163
gives
1 1
 u( x, t) v( x, t)  g 1 ( x + t) g 2 ( x + t) +  g 1 ( x t) g 2 ( x t)
2 2
1 x+ t
Z
+  h 1 ( y) h 2 ( y) d y
2 x t
sup  g 1 ( y) g 2 ( y) + t sup  h 1 ( y) h 2 ( y)
yR yR
+ t = (1 + t),
if
sup  g 1 ( y) g 2 ( y) and sup  h 1 ( y) h 2 ( y) .
yR yR
This means that a small change in the initial data g and h will affect the
solution u only a small amount. Thus the solution depends continously on
the boundary data.
(4) If g C k (R) and h C k1 (R), then u C k (R (0, )), but is not in general
smoother. Thus the wave equation does not smoothen the solution as in
the case of the Laplace or the heat equation.
(5) The solution at the point ( x, t) depends only on the values of g and h on
the interval [ x t, x + t]. This is called the domain of dependence of ( x, t).
Thus the value u( x, t) is not affected by the choice of g and h outside that
interval. Conversely, for every x0 R, there is a conical region called the
range of influence of x0 . Physically this means that the disturbances or
signals propagate with a finite speed. Initial disturbance at x0 will not be
felt at a point x until time t =  x x0 .
(6) dAlemberts formula makes sense also with initial values that are not
necessary even continuous. This is analogous to the mean value principle
for the harmonic functions, see section 4.9. Then the function u( x, t) is no
longer differentiable and it may not be a solution of the wave equation
in the classical sense. However, it is possible to consider socalled weak
solutions, but this is out of the scope of this course.
Remark 6.7. Consider the initial and boundary value problem on the first quad
rant
u u xx = 0 in R+ (0, ),
tt
u = g, u t = h on R+ { t = 0},
u = 0 on { x = 0} (0, ),
CHAPTER 6. WAVE EQUATION 164
where g(0) = h(0) = 0. We solve this problem by the method of reflection and
extend u, g and h to R by an odd reflection
u( x, t), x 0, t 0,
u
e( x, t) =
u( x, t), x 0, t 0,
g( x), x 0,
ge( x) =
g( x), x 0,
and
h( x), x 0,
h
e ( x) =
h( x), x 0.
This formula means that the initial displacement g splits into two parts, one
moving to right with speed one and one moving left with speed one. The latter
reflects off the point x = 0, where the string is held fixed.
1
u ( x1 , x2 ) = sin( jx1 ) sinh( jx2 ), j = 1, 2, . . . ,
j2
1
lim sinh( jx2 ) = ,
j j2
which shows that the solutions blows up even if the boundary values tend to zero
as j . Recall that sinh( x) = 12 ( e x e x ). This shows that stability fails for this
problem.
Next we modify Hadamards example so that it applies to the wave equation.
Consider u as a function on Rn (0, ) that is independent of variables x3 , . . . , xn
and t. This is the trivial extension of u to the upper halfspace. Then
u tt u = 0 in Rn (0, )
u( x1 , 0, x3 , . . . , xn , t) = 0
and
u 1
( x1 , 0, x3 , . . . , xn , t) = sin( jx1 ).
x2 j
By taking j sufficiently large, the absolute value of the boundary data can be be
everywhere arbitrarily small, while the solution takes arbitrarily large values
even at points with x2 6= 0 as small as we wish.
T HE MORAL : This shows that stability fails for the Cauchy problem for to
the wave operator when n 2.
Remark 6.9. It is enough to solve the Cauchy problem only in the upper halfspace
t 0. The reason is that the problem for the lower halfspace t 0 can be reduced
to the problem in the upper halfspace by switching t to t. Note that the wave
equation remains unchanged in this change of variables (exercise).
CHAPTER 6. WAVE EQUATION 166
We shall use the method of spherical means and define the appropriate aver
ages over spheres
1
Z
U ( x; r, t) = u( y, t) dS ( y),
B( x, r ) B( x,r)
1
Z
G ( x; r ) = g( y) dS ( y),
B( x, r ) B( x,r)
1
Z
H ( x; r ) = h( y) dS ( y).
B( x, r ) B( x,r)
THE MORAL : The pointwise values of the functions are replaced by integral
averages over spheres.
U tt Urr n 1 Ur = 0 in R+ (0, ),
r (6.4)
U = G, U t = H in R+ { t = 0}.
Remark 6.11. Recall from Section 4.4 that the Laplace operator applied to a radial
function u( x) = v( x) = v( r ) is
n1 0
u( x) = v00 ( r ) + v ( r ).
r
Observe that this term also appears in the EulerPoissonDarboux equation above.
For a radial function u( x, t) = v( x, t) = v( r, t), we have U ( x; r, t) = v( r, t) and we
CHAPTER 6. WAVE EQUATION 168
Proof. As in the proof of the mean value property for harmonic functions, see
Theorem 4.34, we have
r 1
Z
Ur ( x; r, t) = u( y, t) d y
n B( x, r ) B( x,r)
1
Z
= u( y, t) d y
n( n) r n1 B( x,r)
1
Z
= u tt ( y, t) d y. ( u = u tt )
n( n) r n1 B( x,r)
This implies
rn
Z
r n1Ur ( x; r, t) = u tt ( y, t) d y
nB( x, r ) B( x,r)
1
Z
= u tt ( y, t) d y
n( n) B( x,r)
Z rZ
1
= u tt ( y, t) dS ( y) d .
n( n) 0 B( x, )
Thus
1
Z
n1
(r Ur ( x; r, t)) = u tt ( y, t) dS ( y)
r n( n) B( x,r )
r n1
Z
= u tt ( y, t) dS ( y)
B( x, r ) B( x,r )
= r n1U tt ( x; r, t),
where in the last equality we switched the order of the integral and the derivative.
On the other hand, by the product rule
( r n1Ur ( x; r, t)) = ( n 1) r n2Ur ( x; r, t) + r n1Urr ( x; r, t).
r
This gives
U
e = rU, G
e = rG and H
e = rH.
Then
U
ett U
err = rU tt (U + rUr )r
= rU tt (Ur + Ur + rUrr )
= rU tt 2Ur rUrr
2
= r (U tt Urr Ur ) = 0
r
in R+ (0, ) by the EulerDarbouxPoisson equation (6.4) with n = 3. Furthermore
the initial conditions become
r
Z
U
e ( x; r, 0) = rU ( x; r, 0) = u( y, 0) dS ( y)
B( x, r ) B( x,r)
r
Z
= g( y) dS ( y) = rG ( x; r ) = G
e ( x; r )
B( x, r ) B( x,r)
r
Z
U
et ( x; r, t) = rU t ( x; r, t) = u( y, t) dS ( y)
t B( x, r ) B( x,r)
r u
Z
= ( y, t) dS ( y),
B( x, r ) B( x,r) t
Moreover,
r
Z
U
e ( x; 0, t) = lim u( y, t) dS ( y) = u( x, t) lim r = 0.
r 0 B( x, r ) B( x,r ) r 0
 {z }
=0
Thus we have reduced the problem to the wave equation in the first quadrant
Ue U err = 0 in R+ (0, ),
tt
Ue = G,
e U e on R+ { t = 0},
et = H
Ue = 0 on { r = 0} (0, ).
rU ( x; r, t) U
e ( x; r, t)
u( x, t) = lim U ( x; r, t) = lim = lim .
r 0 r 0 r r 0 r
1 r+ t e
1 e
Z
(G ( x; r + t) + G ( x; r t)) + H ( x; y) d y, r t 0,
e
Ue ( x; r, t) = 2 2 Zr t
r+ t
1 1
(Ge ( x; r + t) G
e( x; t r )) + H
e ( x; y) d y, 0 r t.
2 2 r+ t
CHAPTER 6. WAVE EQUATION 171
Ue ( x; r, t)
u( x, t) = lim
r 0 r
!
G
e ( x; r + t) G
e ( x; t r ) 1 t+ r e
Z
= lim + H ( x; y) d y
r 0 2r 2 r t r
=Ge t ( x; t) + He ( x; t)
t t
Z Z
= g( y) dS ( y) + h( y) dS ( y).
t B( x, t) B( x,t) B( x, t) B( x,t)
On the other hand,
1 1
Z Z
g( y) dS ( y) = g( y) dS ( y) (B( x, t) = 4 t2 )
B( x, t) B( x,t) 4 t2 B( x,t)
1
Z
= g( x + tz) t2 dS ( z)
4 t2 B(0,1)
( y = x + tz, dS ( y) = t2 dS ( z))
1
Z
= g( x + tz) dS ( z) (B(0, 1) = 4)
B(0, 1) B(0,1)
and thus
1 1
Z Z
g( y) dS ( y) = ( g( x + tz)) dS ( z)
t B( x, t) B( x,t) B(0, 1) B(0,1) t
1
Z
= g( x + tz) z dS ( z)
B(0, 1) B(0,1)
1 y x
Z
= g ( y) dS ( y).
B( x, t) B( x,t) t
( y = x + tz, dS ( z) = t2 dS ( y))
This gives
1 1
Z Z
u( x, t) = g( y) dS ( y) + t g( y) dS ( y)
B( x, t) B( x,t) t B( x, t) B( x,t)
t
Z
+ h( y) dS ( y) (6.5)
B( x, t) B( x,t)
1
Z
= ( th( y) + g( y) + g( y) ( y x)) dS ( y), x R3 , t > 0.
B( x, t) B( x,t)
This is Kirchhoffs formula for the solution of the Cauchy problem (6.1) for the
threedimensional wave equation.
Remarks 6.12:
(1) To compute u( x, t) we only need information on the data on the sphere
B( x, r ), not the entire ball B( x, r ). In other words, the domain of depen
dence of a point ( x, t) is the surface of the sphere B( x, t) in R3 . Similarly,
the range of influence of a point x0 R3 is the surface of the (light) cone
{( x, t) R3 (0, ) :  x x0  = t}.
CHAPTER 6. WAVE EQUATION 172
u
e( x1 , x2 , x3 , t) = u( x1 , x2 , t), ( x1 , x2 , x3 , t) R3 (0, ).
yB
Now if e y = ( y, y3 ) with y R2 , y3 R, this means that
x, t) and e
e( e
y = ( y1 , y2 , ( y1 , y2 )),
e where ( y1 , y2 ) = ( t2  x y2 )1/2 .
1
Z
= g( y)(1 + ( y)2 )1/2 d y,
4 t2 B( x,t)
CHAPTER 6. WAVE EQUATION 175
since ge is independent of the third variable. For the lower hemisphere we have
that y3 = ( t2  x y2 )1/2 = ( y). Since ( y) = (( y)), we obtain
1 2
Z Z
g ( y ) dS ( y) = g( y)(1 + ( y)2 )1/2 d y.
4 t2 Be(ex,t) 4 t2 B( x,t)
e e e
t 1 g ( y)
Z
= d y.
2 B( x, t) B( x,t) ( t2  x y2 )1/2
1 t 1 h ( y)
Z Z
h y) dS ( e
e( e y) = 2 2 1/2
d y.
 B ( e
e x, t) B(ex,t)
e 2  B ( x, t ) B( x,t) ( t  x y )
A final calculation will allow us to further simplify the formula given above. For
I 1 we change variables y = x + tz, d y = t2 dz, to get
1 g( y) t2 g( x + tz) 2
Z Z
t2 dy = t dz
B( x, t) B( x,t) ( t2  x y2 )1/2 t B(0,1) t(1  z2 )1/2
2
t g( x + tz)
Z
= dz.
B(0,1) (1  z2 )1/2
The product and chain rules together with a change of variables give
1 g( x + tz) t g( x + tz) z
Z Z
I1 = dz + dz
2 B(0,1) (1  z2 )1/2 2 B(0,1) (1  z2 )1/2
t g( y) t g ( y) ( y x )
Z Z
= dy+ d y.
2B( x, t) B( x,t) ( t2  x y2 )1/2 2B( x, t) B( x,t) ( t2  x y2 )1/2
CHAPTER 6. WAVE EQUATION 176
{( x, t) R2 (0, ) :  x x0  t}.
Physically this is a finite propagation speed, and more specifically, the absence of
sharp signals for twodimensional waves such as water waves. For example, an
initial disturbance near x = 0 will be felt at x0 R2 after the time t =  x0  for ever.
Example 6.14. Bessel functions are special functions that arise, for example, in
the study of vibrating circular membranes. As we have seen Section 5.4 for the
heat equation, the separation variables leads to the eigenvalue problem
w = w
2 u 1 u 1 u
+ + = u, 0 < r < 1, < ,
r2 r r r 2 2
for u = u( r, ). We separate variables as in Section 2.11 and look for a product
solution of the form
u( r, ) = A ( )B( r ).
and so we have
r 2 B00 ( r ) + rB0 ( r ) + r 2 B( r ) A 00 ( )
= .
B( r ) A ( )
Consequently, we may rewrite the separated equations as two ODE
A 00 ( ) + A ( ) = 0,
r 2 B00 ( r ) + rB0 ( r ) + r 2 B( r ) B( r ) = 0,
where is the separation constant. The latter equation is the parametric version
of the modified Bessel equation of order zero and its solutions are called Bessel
functions. We do not develop this issue futher here.
CHAPTER 6. WAVE EQUATION 177
Figure 6.9: The domain of dependence and the range of influence in the two
dimensional case.
The goal is to apply Duhamels principle as in Section 5.3 for the heat equation.
Then, for every fixed s, let the function u( x, t; s) be the solution of the Cauchy
problem
u tt ( x, t; s) u( x, t; s) = 0, x Rn , t > s,
u( x, s; s) = 0, u t ( x, s; s) = f ( x, s), x Rn .
Observe that this is just the homogeneous initial value problem for the wave
equation with the time t = 0 replaced by the time t = s. Duhamels principle sug
gests that we can build a solution to the nonhomogeneous problem by integrating
solutions u( x, t; s) over s (0, t)
Z t
u( x, t) = u( x, t; s) ds, x Rn , t > 0.
0
and
Z t
u tt ( x, t) = u t ( x, t; t) + u tt ( x, t; s) ds
0
Z t
= f ( x, t) + u tt ( x, t; s) ds
0
Z t
= f ( x, t) + u( x, t; s) ds
0
Z t
= f ( x, t) + u( x, t; s) ds
0
= f ( x, t) + u( x, t).
Remark 6.15. The nonhomogeneous Cauchy problem with more general boundary
values can be solved by summing up the solutions to (6.1) and (6.7) as in Remark
5.5 (1) for the heat equation and Remark 4.13 (3) for the Laplace equation.
Examples 6.16:
(1) For n = 1 dAlemberts formula in Theorem 6.3 gives
1
Z x+( t s)
u( x, t; s) = f ( y, s) d y.
2 x( t s)
Thus
Z t
u( x, t) = u( x, t; s) ds
0
1 t x+ t s
Z Z
= f ( y, s) d y ds
2 0 x t+ s
Z t Z x+ r
1
= f ( y, t r ) d y dr (s = t r)
2 0 x r
1 t x+ s
Z Z
= f ( y, t s) d y ds.
2 0 x s
ts
Z
u( x, t; s) = f ( y, s) dS ( y).
B( x, t s) B( x,ts)
CHAPTER 6. WAVE EQUATION 179
Thus
Z t
u( x, t) = u( x, t; s) ds
0
Z t ts
Z
= f ( y, s) dS ( y) ds
0 B( x, t s) B( x,t s)
Z tZ
1 f ( y, s)
= dS ( y) ds (B( x, t s) = 4( t s)2 )
4 0 B( x,ts) t s
1 t f ( y, t r )
Z Z
= dS ( y) dr ( r = t s)
4 0 B( x,r) r
1 f ( y, t  y x)
Z
= d y.
4 B( x,t)  y x
es x+( ts)
Z
u( x, t; s) = cos y d y
2 x( ts)
es
= (sin( x + ( t s)) sin( x ( t s))
2
= es sin( t s) cos x.
This energy measures the first order regularity of a function. If the solution
develops a singularity so that the first order derivatives become unbounded, we
might expect the energy to become unbounded. On the other hand, if the energy
is constant, then such singularities become concentrated to a smaller and smaller
sets. We shall show that the wave equation conserves energy.
By differenting the energy, we have
2
1 u
Z
e 0 ( t) = +  u2 dx
t
2 t
1 u 2 u
Z
= 2 + 2 u u dx
2 t t2 t
u 2 u u
Z
= u dx (Greens first identity)
t t2 t
Z
= u t ( u tt u) dx = 0,
provided
u tt u = 0 in T ,
u = 0 on T .
Then
1
Z
(w t )2 + w2 dx = e(0) = 0,
e ( t) =
2
from which it follows that
w
=0 and w = 0 in T .
t
This shows that w is constant in every component of T . Since the w = 0 on
{ t = 0} we conclude w = u v = 0 in T . This proves the claim.
CHAPTER 6. WAVE EQUATION 181
6.8 Epilogue
We have seen that nonhomogeneous linear PDEs can be solved by Duhamels
principle if we can solve the corresponding homogeneous PDEs. Thus we may first
focus on homogeneous problems only. Let us return to homogeneous Maxwells
equations
div E = 0,
div B = 0,
B
curl E = ,
t
2 E 1
curl B = c , c= p ,
t 0 0
discussed in Introduction. We have seen that each component of electric field
E = (E 1 , E 2 .E 3 ) satisfies the wave equation
2 E
c2 E = 0.
t2
Similarly, magnetic field B satisfies the same wave equation
2 B
c2 B = 0.
t2
B
B( x, 0) = B0 ( x) and ( x, 0) = curl E 0 ( x).
t
Thus we have the Cauchy problems
2 E
c2 E = 0 in R3 (0, ),
t2
E = E 0 in R3 { t = 0},
E
= c2 curl B0 in R3 { t = 0}.
t
CHAPTER 6. WAVE EQUATION 182
and
2 B
c2 B = 0 in R3 (0, ),
t2
B = B0 in R3 { t = 0},
B
= curl E 0 in R3 { t = 0}.
t
1
Z
u( x, t) = ( ct h( y) + g( y) + g( y) ( y x)) dS ( y),
B( x, ct) B( x,ct)
Thus we have
1
Z
tc3 curl B0 ( y) + E 0 ( y) + E 0 ( y) ( y x) dS ( y)
E ( x, t) =
B( x, ct) B( x,ct)
1
Z
tc curl E 0 ( y) + B0 ( y) + B0 ( y) ( y x) dS ( y)
B( x, t) =
B( x, ct) B( x,ct)
6.9 Summary
(1) We have derived several representation formulas for the solutions. The
Fourier series and the Fourier transform can be used to solve boundary
value problems in special cases.
(2) The behaviour of the solutions to the wave equation is different in dimen
sions one, two and three.
(3) The nonhomogenerous Cauchy problem can be solved using Duhamels
principle.
(4) The wave equation has finite propagation speed for disturbances.
(5) There is no maximum principle for the wave equation.
(6) The wave equation does not smoothen the boundary data.
(7) The direction of time can be changed in the wave equation.
(8) The energy is preserved and thus there is no decay as t .
(9) The energy is preserved in the wave equation and this can be used to give
a short proof of the uniqueness in a bounded space time cylinder.
Notation and tools
7
(1) Rn = { x = ( x1 , . . . , xn ) : x j R, j = 1, 2, . . . , n} is the ndimensional Euclidean
space and R = R1 is the real line.
(2) C = { x + i y : x, y R} is the complex plane. Here i is the imaginary unit for
which i 2 = 1. The real part of z = x + i y C is Re( z) = y and the imaginary
part is Im( z) = y. The complex conjugate of z = x + i y is z = x i y. Observe
that zz =  z2 .
(3) x y = nj=1 x j y j , x = ( x1 , . . . , xn ), y = ( y1 , . . . , yn ) is the standard inner prod
P
uct in Rn .
1
qP
n
(4) k xk = ( x x) 2 = 2
j =1 x j is the norm of x Rn .
(5) e j = (0, . . . , 0, 1, 0, . . . , 0) is the j th standard basis vector of Rn .
n+1
(6) R+ = {( x, t) : x Rn , t > 0} is the upper half space in Rn+1 .
(7) B( x, r ) = { y Rn :  x y < r } is the open ball with the center x Rn and
radius r > 0.
(8) is an open subset of Rn , if for every x there is r > 0 such that
B( x, r ) , that is, every point x in is an interior point of .
(9) A point x belongs to the boundary of , denoted , if B( x, r ) 6= ; and
B( x, r ) (Rn \ ) 6= ; for every r > 0, that is, every ball with a positive radius
centered at the boundary intersects both the set and its complement.
(10) is smooth, if the boundary can be locally represented as a graph of a
smooth function.
(11) = is the closure of , that is, the closure of an open set is the
union of the set and its boundary.
(12) An open set is connected, if every pair of points in can be connected
by a piecewise linear path in .
(13) Rn is bounded if there is M < such that k xk M for every x .
183
CHAPTER 7. NOTATION AND TOOLS 184
Theis means that the order of taking limits and integral can be switched if
there is an integrable majorant function g. Observe that the same g has
to do for all functions f j .
(31) The Lebesgue dominated convergence theorem can be used to show that
in certain ceases we can switch the order of integrals and limits. Assume
thar I R is an interval. Suppose that for every fixed t I there exists an
integrable function on . Thus we have f : I R, f = f ( x, t). For each
t I we denote Z
F ( t) = f ( x, t) dx.
Assume that or every y I , the function x 7 f ( x, t) is integrable in ,
the function t 7 f ( x, t) is continuous for every x at t 0 I and there
exists g L1 () such that  f ( x, t) g( x) for every ( x, t) I . Then F is
continuous at t 0 , that is,
Z
lim F ( t) = lim f ( x, t) dx
t t 0 t t 0
Z Z
= lim f ( x, t) dx = f ( x, t) dx.
t t 0
(32) The Lebesgue dominated convergence theorem can be used to show that
in certain ceases we can switch the order of integrals and derivatives. We
use the same notation as in the previous item. Assume that for every
t I , the function x 7 f ( x, t) is integrable in , the function t 7 f ( x, t) is
differentiable for every x at every point t I and there exists h L1 ()
f
such that t ( x, t) h( x) for every ( x, t) I . Then F is differentiable at
Z
(33) f , g = f ( x) g( x) dx is the standard inner product in L2 ().
Z 1 Z 1
1 2 2
(34) k f kL2 () = f , f 2 = f ( x) f ( x) dx =  f ( x)2 dx is the L2 norm in
.
n
2
(35) B( x, r ) = B(0, r ) = r n B(0, 1) = ( n) r n , where ( n) = is the n
( n2 +1)
R
dimensional volume of the unit ball B(0, 1). Here ( s) = 0 x s1 e x dx
is the gamma function
(36) The boundary of the ball B( x, r ) is the sphere B( x, r ) = { y Rn :  x y = r }.
(37) B( x, r ) = B(0, r ) = r n1 B(0, 1) = ( n) r n1 , where ( n) = n( n) is the
( n 1)dimensional volume of the unit sphere B(0, 1).
(38) The convolution f g : Rn C is
Z
( f g)( x) = f ( x y) g( y) d y,
Rn
[1] N.H. Asmar, Partial Differential Equations with Fourier Series and
Boundary Value Problems, Second Edition, Pearson Prentice Hall, 2005.
[2] W.E. Boyce and R.C. DiPrima, Elementary Differential Equations and
Boundary Value Problems, 9th Edition, John Wiley & Sons, 2010.
187