Homework # 3.

Problem 1. Let u(t, x) satisfy the heat equation

∂u
− ∆u = 0, t > 0, x ∈ R3
∂t
in three dimensions, with the initial condition u(0, x) = f (x), where f (x) is
a continuous function that vanishes outside of the ball {|x| ≤ 1}. Define
Z ∞
v(x) = u(t, x)dt.
0
(i) Use the explicit expression for u(t, x) in terms of the heat kernel to show
that this function is well-defined: the integral above converges.
(ii) Show that v(x) is the unique bounded solution of the Poisson equation
−∆v = f (x), x ∈ R3 .
This gives a way to express solutions of the Poisson equation in terms of the
solution of the initial value problem for the heat equation. (iii) Use this to
obtain the expression
1
H(x) =
4π|x|
for the fundamental solution of the Laplace equation, starting with the heat
kernel in three dimensions
1 2
G(t, x) = 3/2
e−|x−y| /(4t) .
(4πt)
Problem 2. Write down an explicit formula for the solution of the initial
value problem
∂u
− ∆u + cu = 0, t > 0, x ∈ Rn
∂t
u(0, x) = f (x),
where c ∈ R is a fixed constant. Show that if f (x) ≥ 0 for all x ∈ Rn ,
then u(t, x) ≥ 0 for all t > 0 and x ∈ Rn . Is it necessarily true that
u(t, x) ≤ maxy∈Rn f (y) for all t > 0 and x ∈ Rn (it is true for c = 0 – this is
the maximum principle but is true for c 6= 0)?
Problem 3. Let the function g(t) be bounded and continuous, with
g(0) = 0, and set
Z t
x 1 2
u(t, x) = √ 3/2
e−x /(4(t−s)) g(s)ds,
4π 0 (t − s)
defined for t > 0 and x > 0.
(i) Why does the integral above converge for all x > 0 (there is a potential
problem at t = s where 1/(t − s)3/2 blows up)?
(ii) Verify that u(t, x) satisfies the heat equation for t > 0 and x > 0:
∂u ∂2u
= .
∂t ∂x2
1
(iii) Show that u(t, x) → 0 as t → 0 for all x > 0.
(iv) Show that u(t, x) → g(t) as x → 0 for all t > 0. Hence, u(t, x) is the
solution of the initial boundary value problem posed in the half-space x > 0:
∂u ∂2u
=
∂t ∂x2
u(t, 0) = g(t),
u(0, x) = 0.
Problem 4. Let u(t, x) be the solution of the initial value problem
∂u ∂ 2 u
− 2 = 0, t > 0, x ∈ R,
∂t ∂x
u(0, x) = f (x),
with a non-negative continuous function f (x) of compact support. Define
Z ∞
I(t) = x2 u(t, x)dx.
−∞
Find the limit of I(t)/t as t → +∞. Can you interpret this result in terms
of the random walks?
Problem 5. Write down an explicit formula for the solution of the initial
value problem
∂u ∂ 2 u ∂u
− 2 +b + cu = 0, t > 0, x ∈ Rn
∂t ∂x ∂x
u(0, x) = f (x),
where b, c ∈ R are fixed constants. Hint: use a change of variables to get rid
of the term with the first derivative. Show that if f (x) ≥ 0 for all x ∈ Rn ,
then u(t, x) ≥ 0 for all t > 0 and x ∈ Rn .
Problem 6. Let a(x) be a smooth function such that 1 < a(x) < 10 for
all x ∈ R, and let b ∈ R. Let u(t, x) be a bounded solution (you may assume
it exists and is unique) of the initial value problem
∂u ∂2u ∂u
− a(x) 2 + b = 0, t > 0, x ∈ Rn
∂t ∂x ∂x
u(0, x) = f (x).
Show that u(t, x) attains its maximum over all t ≥ 0 and x ∈ R at the time
t = 0, that is,
u(t, x) ≤ max f (y),
y∈R
for all t > 0 and x ∈ R.