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THIRD EDITION

K. SANKARA RAO

Formerly Professor

Department of Mathematics

Anna University, Chennai

New Delhi-110001

2011

INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS, Third Edition

K. Sankara Rao

© 2011 by PHI Learning Private Limited, New Delhi. All rights reserved. No part of this book may

be reproduced in any form, by mimeograph or any other means, without permission in writing from

the publisher.

ISBN-978-81-203-4222-4

The export rights of this book are vested solely with the publisher.

Published by Asoke K. Ghosh, PHI Learning Private Limited, M-97, Connaught Circus,

New Delhi-110001 and Printed by Syndicate Binders, A-20, Hosiery Complex, Noida, Phase-II

Extension, Noida-201305 (N.C.R. Delhi).

This book is dedicated with affection and gratitude to

the memory of my respected Father

(Late) KOMMURI VENKATESWARLU

and

to my respected Mother

SHRIMATI VENKATARATNAMMA

Contents

Preface ix

Preface to the First and Second Edition xi

0.1 Introduction 1

0.2 Surfaces and Normals 2

0.3 Curves and Their Tangents 4

0.4 Formation of Partial Differential Equation 7

0.5 Solution of Partial Differential Equations of First Order 11

0.6 Integral Surfaces Passing Through a Given Curve 18

0.7 The Cauchy Problem for First Order Equations 21

0.8 Surfaces Orthogonal to a Given System of Surfaces 22

0.9 First Order Non-linear Equations 23

0.9.1 Cauchy Method of Characteristics 25

0.10 Compatible Systems of First Order Equations 33

0.11 Charpit’s Method 37

0.11.1 Special Types of First Order Equations 42

Exercises 49

1.1 Introduction 52

1.2 Classification of Second Order PDE 53

1.3 Canonical Forms 53

1.3.1 Canonical Form for Hyperbolic Equation 55

1.3.2 Canonical Form for Parabolic Equation 57

1.3.3 Canonical Form for Elliptic Equation 59

v

vi CONTENTS

1.5 Riemann’s Method 71

1.6 Linear Partial Differential Equations with Constant Coefficiants 84

1.6.1 General Method for Finding CF of Reducible Non-homogeneous

Linear PDE 86

1.6.2 General Method to Find CF of Irreducible Non-homogeneous Linear PDE 89

1.6.3 Methods for Finding the Particular Integral (PI) 90

1.7 Homogeneous Linear PDE with Constant Coefficients 97

1.7.1 Finding the Complementary Function 98

1.7.2 Methods for Finding the PI 99

Exercises 102

2.1 Occurrence of the Laplace and Poisson Equations 106

2.1.1 Derivation of Laplace Equation 106

2.1.2 Derivation of Poisson Equation 108

2.2 Boundary Value Problems (BVPs) 109

2.3 Some Important Mathematical Tools 110

2.4 Properties of Harmonic Functions 111

2.4.1 The Spherical Mean 113

2.4.2 Mean Value Theorem for Harmonic Functions 114

2.4.3 Maximum-Minimum Principle and Consequences 115

2.5 Separation of Variables 122

2.6 Dirichlet Problem for a Rectangle 124

2.7 The Neumann Problem for a Rectangle 126

2.8 Interior Dirichlet Problem for a Circle 128

2.9 Exterior Dirichlet Problem for a Circle 132

2.10 Interior Neumann Problem for a Circle 136

2.11 Solution of Laplace Equation in Cylindrical Coordinates 138

2.12 Solution of Laplace Equation in Spherical Coordinates 146

2.13 Miscellaneous Examples 154

Exercises 178

3.1 Occurrence of the Diffusion Equation 182

3.2 Boundary Conditions 184

3.3 Elementary Solutions of the Diffusion Equation 185

3.4 Dirac Delta Function 189

3.5 Separation of Variables Method 195

3.6 Solution of Diffusion Equation in Cylindrical Coordinates 208

3.7 Solution of Diffusion Equation in Spherical Coordinates 211

3.8 Maximum-Minimum Principle and Consequences 215

CONTENTS vii

3.9 Non-linear Equations (Models) 217

3.9.1 Semilinear Equations 217

3.9.2 Quasi-linear Equations 217

3.9.3 Burger’s Equation 218

3.9.4 Initial Value Problem for Burger’s Equation 219

3.10 Miscellaneous Examples 220

Exercises 229

4.1 Occurrence of the Wave Equation 232

4.2 Derivation of One-dimensional Wave Equation 233

4.3 Solution of One-dimensional Wave Equation by Canonical Reduction 236

4.4 The Initial Value Problem; D’Alembert’s Solution 240

4.5 Vibrating String—Variables Separable Solution 245

4.6 Forced Vibrations—Solution of Non-homogeneous Equation 254

4.7 Boundary and Initial Value Problem for Two-dimensional Wave Equations—

Method of Eigenfunction 257

4.8 Periodic Solution of One-dimensional Wave Equation in Cylindrical Coordinates 260

4.9 Periodic Solution of One-dimensional Wave Equation in Spherical Polar

Coordinates 262

4.10 Vibration of a Circular Membrane 264

4.11 Uniqueness of the Solution for the Wave Equation 266

4.12 Duhamel’s Principle 268

4.13 Miscellaneous Examples 270

Exercises 279

5.1 Introduction 282

5.2 Green’s Function for Laplace Equation 289

5.3 The Methods of Images 295

5.4 The Eigenfunction Method 302

5.5 Green’s Function for the Wave Equation—Helmholtz Theorem 305

5.6 Green’s Function for the Diffusion Equation 310

Exercises 314

6.1 Introduction 316

6.2 Transform of Some Elementary Functions 319

6.3 Properties of Laplace Transform 321

6.4 Transform of a Periodic Function 329

6.5 Transform of Error Function 332

6.6 Transform of Bessel’s Function 335

6.7 Transform of Dirac Delta Function 337

viii CONTENTS

6.9 Convolution Theorem (Faltung Theorem) 344

6.10 Transform of Unit Step Function 349

6.11 Complex Inversion Formula (Mellin-Fourier Integral) 352

6.12 Solution of Ordinary Differential Equations 356

6.13 Solution of Partial Differential Equations 360

6.13.1 Solution of Diffusion Equation 362

6.13.2 Solution of Wave Equation 367

6.14 Miscellaneous Examples 375

Exercises 383

7.1 Introduction 388

7.2 Fourier Integral Representations 388

7.2.1 Fourier Integral Theorem 390

7.2.2 Sine and Cosine Integral Representations 394

7.3 Fourier Transform Pairs 395

7.4 Transform of Elementary Functions 396

7.5 Properties of Fourier Trasnform 401

7.6 Convolution Theorem (Faltung Theorem) 412

7.7 Parseval’s Relation 414

7.8 Transform of Dirac Delta Function 416

7.9 Multiple Fourier Transforms 416

7.10 Finite Fourier Transforms 417

7.10.1 Finite Sine Transform 418

7.10.2 Finite Cosine Transform 419

7.11 Solution of Diffusion Equation 421

7.12 Solution of Wave Equation 425

7.13 Solution of Laplace Equation 428

7.14 Miscellaneous Examples 431

Exercises 443

Bibliography 447–448

Answers and Keys to Exercises 449–484

Index 485–488

Preface

The objective of this third edition is the same as in previous two editions: to provide a broad

coverage of various mathematical techniques that are widely used for solving and to get analytical

solutions to Partial Differential Equations of first and second order, which occur in science and

engineering. In fact, while writing this book, I have been guided by a simple teaching philosophy:

An ideal textbook should teach the students to solve problems. This book contains hundreds of

carefully chosen worked-out examples, which introduce and clarify every new concept. The core

material presented in the second edition remains unchanged.

I have updated the previous edition by adding new material as suggested by my active

colleagues, friends and students.

Chapter 1 has been updated by adding new sections on both homogeneous and non-

homogeneous linear PDEs, with constant coefficients, while Chapter 2 has been repeated as such

with the only addition that a solution to Helmholtz equation using variables separable method is

discussed in detail.

In Chapter 3, few models of non-linear PDEs have been introduced. In particular, the exact

solution of the IVP for non-linear Burger’s equation is obtained using Cole–Hopf function.

Chapter 4 has been updated with additional comments and explanations, for better

understanding of normal modes of vibrations of a stretched string.

Chapters 5–7 remain unchanged.

I wish to express my gratitude to various authors, whose works are referred to while writing

this book, as listed in the Bibliography. Finally, I would like to thank all my old colleagues, friends

and students, whose feedback has helped me to improve over previous two editions.

It is also a pleasure to thank the publisher, PHI Learning, for their careful processing of the

manuscript both at the editorial and production stages.

Any suggestions, remarks and constructive comments for the improvement of text are always

welcome.

K. SANKARA RAO

ix

Preface to the

First and Second Edition

With the remarkable advances made in various branches of science, engineering and technology,

today, more than ever before, the study of partial differential equations has become essential. For,

to have an in-depth understanding of subjects like fluid dynamics and heat transfer, aerodynamics,

elasticity, waves, and electromagnetics, the knowledge of finding solutions to partial differential

equations is absolutely necessary.

This book on Partial Differential Equations is the outcome of a series of lectures delivered by

me, over several years, to the postgraduate students of Applied Mathematics at Anna University,

Chennai. It is written mainly to acquaint the reader with various well-known mathematical

techniques, namely, the variables separable method, integral transform techniques, and Green’s

function approach, so as to solve various boundary value problems involving parabolic, elliptic and

hyperbolic partial differential equations, which arise in many physical situations. In fact, the

Laplace equation, the heat conduction equation and the wave equation have been derived by taking

into account certain physical problems.

The book has been organized in a logical order and the topics are discussed in a systematic

manner. In Chapter 0, partial differential equations of first order are dealt with. In Chapter 1, the

classification of second order partial differential equations, and their canonical forms are given. The

concept of adjoint operators is introduced and illustrated through examples, and Riemann’s method

of solving Cauchy’s problem described. Chapter 2 deals with elliptic differential equations. Also,

basic mathematical tools as well as various properties of harmonic functions are discussed. Further,

the Dirichlet and Neumann boundary value problems are solved using variables separable method

in cartesian, cylindrical and spherical coordinate systems. Chapter 3 is devoted to a discussion on

the solution of boundary value problems describing the parabolic or diffusion equation in various

coordinate systems using the variables separable method. Elementary solutions are also given.

Besides, the maximum-minimum principle is discussed, and the concept of Dirac delta function is

introduced along with a few properties. Chapter 4 provides a detailed study of the wave equation

representing the hyperbolic partial differential equation, and gives D’Alembert’s solution.

In addition, the chapter presents problems like vibrating string, vibration of a circular

membrane, and periodic solutions of wave equation, shows the uniqueness of the solutions, and

illustrates Duhamel’s principle. Chapter 5 introduces the basic concepts in the construction of

xi

xii PREFACE TO THE FIRST AND SECOND EDITION

Green’s function for various boundary value problems using the eigenfunction method and the

method of images. Chapter 6 on Laplace transform method is self-contained since the subject

matter has been developed from the basic definition. Various properties of the transform and

inverse transform are described and detailed proofs are given, besides presenting the convolution

theorem and complex inversion formula. Further, the Laplace transform methods are applied to

solve several initial value, boundary value and initial boundary value problems. Finally in

Chapter 7, the theory of Fourier transform is discussed in detail. Finite Fourier transforms are also

introduced, and their applications to diffusion, wave and Laplace equations have been analyzed.

The text is interspersed with solved examples; also, miscellaneous examples are given in

most of the chapters. Exercises along with hints are provided at the end of each chapter so as to

drill the student in problem-solving. The preprequisites for the book include a knowledge of

advanced calculus, Fourier series, and some understanding about ordinary differential equations

and special functions.

The book is designed as a textbook for a first course on partial differential equations for the

senior undergraduate engineering students and postgraduate students of applied mathematics,

physics and engineering. The various topics covered in the book can be taught either in one

semester or in two semesters depending on the syllabi. The book would also be of interest to

scientists and engineers engaged in research.

In the second edition, I have added a new chapter (Partial Differential Equations of First

Order). Also, some additional examples are included, which are taken from question papers for

GATE in the last 10 years. This, I believe, would surely benefit students intending to appear for the

GATE examination.

I am indebted to many of my colleagues in the Department of Mathematics, particularly to

Prof. N. Muthiyalu, Prof. Prabhamani, R. Patil, Dr. J. Pandurangan, Prof. K. Manivachakan,

for their many useful comments and suggestions. I am also grateful to the authorities of

Anna University, for the encouragement and inspiration provided by them.

I wish to thank Mr. M.M. Thomas for the excellent typing of the manuscript. Besides, my

gratitude and appreciation are due to the Publishers, PHI Learning, for the very careful and

meticulous processing of the manuscript, both during the editorial and production stages.

Finally, I sincerely thank my wife, Leela, daughter Aruna and son-in-law R. Parthasarathi, for

their patience and encouragement while writing this book. I also appreciate the understanding

shown by my granddaughter Sangeetha who had to forego my attention and care during the course

of my book writing.

Any constructive comments for improving the contents of this volume will be warmly

appreciated.

K. SANKARA RAO

CHAPTER 0

of First Order

0.1 INTRODUCTION

Partial differential equations of first order occur in many practical situations such

as Brownian motion, the theory of stochastic processes, radioactive disintegration, noise in

communication systems, population growth and in many problems dealing with telephone

traffic, traffic flow along a highway and gas dynamics and so on. In fact, their study is

essential to understand the nature of solutions and forms a guide to find the solutions of

higher order partial differential equations.

A first order partial differential equation (usually denoted by PDE) in two independent

variables x, y and one unknown z, also called dependent variable, is an equation of the form

§ wz wz·

F ¨ x, y , z , , 0.

w x w y ¸¹

(0.1)

©

Introducing the notation

wz wz

p , q (0.2)

wx wy

Equation (0.1) can be written in symbolic form as

F ( x, y , z , p , q ) 0. (0.3)

of C c in Ω should satisfy the following two conditions:

(i) For every ( x, y ) Ω, the point ( x, y, z , p, q ) is in the domain of the function F.

(ii) When z f ( x, y ) is substituted into Eq. (0.1), it should reduce to an identity in x,

y for all ( x, y ) Ω.

1

2 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

We classify the PDE of first order depending upon the form of the function F. An

equation of the form

wz wz

P ( x, y , z ) Q ( x, y , z ) R ( x, y , z ) (0.4)

wx wy

is a quasi-linear PDE of first order, if the derivatives w z /w x and w z /w y that appear in the

function F are linear, while the coefficients P, Q and R depend on the independent variables

x, y and also on the dependent variable z. Similarly, an equation of the form

wz wz

P ( x, y ) Q ( x, y ) R ( x, y , z ) (0.5)

wx wy

is called almost linear PDE of first order, if the coefficients P and Q are functions of the inde-

pendent variables only. An equation of the form

wz wz

a ( x, y ) b ( x, y ) c ( x, y ) z d ( x, y ) (0.6)

wx wy

is called a linear PDE of first order, if the function F is linear in w z /w x, w z / w y and z, while

the coefficients a, b, c and d depend only on the independent variables x and y. An equation

which does not fit into any of the above categories is called non-linear. For example,

wz wz

(i) x y nz

wx wy

is a linear PDE of first order.

wz wz

(ii) x y z2

wx wy

is an almost linear PDE of first order.

wz wz

(iii) P( z ) 0

wx wy

is a quasi-linear PDE of first order.

2 2

wz §w z ·

(iv) §¨ ·¸ ¨ ¸ 1

©w x ¹ ©w y ¹

is a non-linear PDE of first order.

Before discussing various methods for finding the solutions of the first order PDEs, we

shall review some of the basic definitions and concepts needed from calculus.

the class C c (Ω), then the vector valued function grad F can be written as

PARTIAL DIFFERENTIAL EQUATIONS OF FIRST ORDER 3

⎛∂ F ∂ F ∂ F ⎞

grad F = ⎜ , , (0.7)

⎝ ∂ x ∂ y ∂ z ⎟⎠

If we assume that the partial derivatives of F do not vanish simultaneously at any point then

the set of points (x, y, z) in Ω, satisfying the equation

F ( x, y , z ) = C (0.8)

is a surface in Ω for some constant C. This surface denoted by SC is called a level surface

of F. If (x0, y0, z0) is a given point in Ω, then by taking F ( x0 , y0 , z0 ) = C , we get an equation

of the form

F ( x, y , z ) = F ( x0 , y0 , z0 ), (0.9)

which represents a surface in W, passing through the point ( x0 , y0 , z0 ). Here, Eq. (0.8) represents

a one-parameter family of surface in W. The value of grad F is a vector, normal to the level

surface. Now, one may ask, if it is possible to solve Eq. (0.8) for z in terms of x and y. To

answer this question, let us consider a set of relations of the form

x = f1 (u , v ), y = f 2 (u , v ), z = f3 (u , v) (0.10)

Here for every pair of values of u and v, we will have three numbers x, y and z, which

represents a point in space. However, it may be noted that, every point in space need not

correspond to a pair u and v. But, if the Jacobian

∂ ( f1 , f 2 )

≠0 (0.11)

∂ (u , v)

then, the first two equations of (0.10) can be solved and u and v, can be expressed as functions

of x and y like

u = λ ( x, y ), v = μ ( x, y ).

Thus, u and v are obtained once x and y are known, and the third relation of Eq. (0.10)

gives the value of z in the form

z = f3 [λ ( x, y ), μ ( x, y )] (0.12)

This is, of course, a functional relation between the coordinates x, y and z as in Eq. (0.8).

Hence, any point (x, y, z) obtained from Eq. (0.10) always lie on a fixed surface. Equations

(0.10) are also called parametric equations of a surface. It may be noted that the parametric

equation of a surface need not be unique, which can be seen in the following example:

The parametric equations

x = r sin θ cos φ , y = r sin θ sin φ , z = r cos θ

and

(1 − φ 2 ) (1 − φ 2 ) 2rφ

x=r cos θ , y=r sin θ , z=

(1 + φ )

2

(1 + φ )2 1+φ2

both represent the same surface x 2 + y 2 + z 2 = r 2 which is a sphere, where r is a constant.

4 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

z f ( x, y ) (0.13)

Then

F f ( x, y ) z 0. (0.14)

Differentiating partially with respect to x and y, we obtain

wF wF wz wF wF wz

0, 0

wx wz wx wy wz wy

from which we get

wz w F /w x wF

(using 0.14)

wx w F /w z wx

wF

or p.

wx

Similarly, we obtain

wF wF

q and 1.

wy wz

Hence, the direction cosines of the normal to the surface at a point (x, y, z) are given as

§ p q 1 ·

¨ , , ¸ (0.15)

¨© p 2 q 2 1 p2 q2 1 p 2 q 2 1 ¸¹

Now, returning to the level surface given by Eq. (0.8), it is easy to write the equation of the

tangent plane to the surface Sc at a point (x0, y0, z0) as

ªw F º ªw F º ªw F º

( x x0 ) « ( x0 , y0 , z0 )» ( y y0 ) « ( x0 , y0 , z0 ) » ( z z0 ) « ( x0 , y0 , z0 )» 0. (0.16)

¬wx ¼ ¬w y ¼ ¬wz ¼

A curve in three-dimensional space IR 3 can be described in terms of parametric equations.

&

Suppose r denotes the position vector of a point on a curve C, then the vector equation of

C may be written as

& &

r F (t ) for t I , (0.17)

where I is some interval on the real axis. In component form, Eq. (0.17) can be written as

x f1 (t ), y f 2 (t ), z f3 (t ) (0.18)

& &

where r ( x, y, z ) and F (t ) [ f1 (t ), f 2 (t ), f3 (t )] and the functions f1 , f 2 and f3 belongs to

C c ( I ).

PARTIAL DIFFERENTIAL EQUATIONS OF FIRST ORDER 5

§ df1 (t ) df 2 (t ) df3 (t ) ·

¨© , , ¸ z (0, 0, 0) (0.19)

dt dt dt ¹

of the curve C.

Another way of describing a curve in three-dimensional space IR 3 is by using the fact

that the intersection of two surfaces gives rise to a curve.

Let

F1 ( x, y , z ) C1 ½°

and ¾ (0.20)

F2 ( x, y , z ) C2 °¿

are two surfaces. Their intersection, if not empty, is always a curve, provided grad F1 and

grad F2 are not collinear at any point of Ω in IR 3. In other words, the intersection of surfaces

given by Eq. (0.20) is a curve if

grad F1 ( x, y , z ) u grad F2 ( x, y , z ) z (0, 0, 0) (0.21)

for every ( x, y, z ) Ω . For various values of C1 and C2, Eq. (0.20) describes different curves.

The totality of these curves is called a two parameter family of curves. Here, C1 and C2

are referred as parameters of this family. Thus, if we have two surfaces denoted by S1 and S2

whose equations are in the form

F ( x, y , z ) 0½°

and ¾ (0.22)

G ( x, y , z ) 0°¿

wF wF wF

( x x0 ) ( y y0 ) ( z z0 ) 0 (0.23)

wx wy wz

wG wG wG

( x x0 ) ( y y0 ) ( z z0 ) 0. (0.24)

wx wy wz

Here, the partial derivatives w F/w x, w G /w x, etc. are evaluated at P ( x0 , y0 , z0 ). The intersection

of these two tangent planes is the tangent line L at P to the curve C, which is the intersection

of the surfaces S1 and S2. The equation of the tangent line L to the curve C at ( x0 , y0 , z0 ) is

obtained from Eqs. (0.23) and (0.24) as

( x x0 ) ( y y0 ) ( z z0 ) (0.25)

w F wG w F wG w F wG w F wG w F wG w F wG

wy wz wz wy wz wx wx wz wx wy wy wx

6 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

or

( x x0 ) ( y y0 ) ( z z0 ) (0.26)

w (F , G) w (F , G) w (F , G)

w ( y, z ) w ( z , x) w ( x, y )

Therefore, the direction cosines of L are proportional to

ªw (F , G) w (F , G) w (F , G) º

« , , ». (0.27)

¬ w ( y , z ) w ( z , x ) w ( x, y ) ¼

For illustration, let us consider the following examples:

EXAMPLE 0.1 Find the tangent vector at (0, 1, π /2) to the helix described by the equation

x cos t , y sin t , z t, t I in IR c .

§ dx dy dz ·

¨© , , ¸ ( sin t , cos t , 1).

dt dt dt ¹

We observe that the point (0, 1, π /2) corresponds to t π /2. At this point (0, 1, π /2), the tangent

vector to the given helix is (1, 0, 1).

EXAMPLE 0.2 Find the equation of the tangent line to the space circle

x2 y 2 z 2 1, x yz 0

at the point (1/ 14, 2/ 14, 3/ 14).

F ( x, y , z ) x2 y 2 z 2 1 0

G ( x, y , z ) x yz 0

Recalling Eq. (0.25), the equation of the tangent plane at (1/ 14, 2/ 14, 3/ 14) can be

written as

x 1/ 14 y 2/ 14

2 § 3 · § 3 · § 1 ·

2u 2¨ ¸¹ 2 ©¨

© 14 ¹¸

2¨ ¸

14 © 14 14 ¹

z 3/ 14

§ 1 · § 2 ·

2¨ ¸ 2¨

© 14 ¹ © 14 ¹¸

or

x 1/ 14 y 2/ 14 z 3/ 14

.

10/ 14 8/ 14 2/ 14

PARTIAL DIFFERENTIAL EQUATIONS OF FIRST ORDER 7

Suppose u and v are any two given functions of x, y and z. Let F be an arbitrary function of

u and v of the form

F (u , v) 0 (0.28)

We can form a differential equation by eliminating the arbitrary function F. For, we differentiate

Eq. (0.28) partially with respect to x and y to get

w F ªw u w u º w F ªw v w v º

p» p» 0

w u «¬ w x w z ¼ w v «¬ w x w z

(0.29)

¼

and

w F ªw u w u º w F ª w v w v º

q q 0

w u «¬ w y w z »¼ w v «¬ w y w z »¼ (0.30)

wu wu wv wv

p p

wx wz wx wz

0

wu wu wv wv

q q

wy wz wy wz

which simplifies to

w (u , v) w (u , v) w (u , v)

p q . (0.31)

w ( y, z ) w ( z , x) w ( x, y )

This is a linear PDE of the type

Pp Qq R, (0.32)

where

w (u , v) w (u , v) w (u , v)

P , Q , R . (0.33)

w ( y, z ) w ( z , x) w ( x, y )

Equation (0.32) is called Lagrange’s PDE of first order. The following examples illustrate the

idea of formation of PDE.

EXAMPLE 0.3 Form the PDE by eliminating the arbitrary function from

(i) z f ( x it ) g ( x it ), where i 1

2 2 2

(ii) f ( x y z, x y z ) 0.

Solution

(i) Given z f ( x it ) g ( x it ) (1)

8 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

wz

f c ( x it ) g c ( x it )

wx

w 2z

f cc ( x it ) g cc ( x it ). (2)

w x2

Here, f c indicates derivative of f with respect to ( x it ) and g c indicates derivative of g

with respect to ( x it ). Also, we have

wz

if c ( x it ) ig c( x it )

wt

w 2z

f cc ( x it ) g cc ( x it ). (3)

w t2

From Eqs. (2) and (3), we at once, find that

w 2z w 2z

0, (4)

w x2 w t2

which is the required PDE.

(ii) The given relation is of the form

G (u , v) 0,

where u x y z , v x 2 y 2 z 2

Hence, the required PDE is of the form

Pp Qq R, (Lagrange equation) (1)

where

wu wv

w (u , v) wy wy 1 2y

P 2 ( z y)

w ( y, z ) wu wv 1 2z

wz wz

wu wv

w (u , v) wz wz 1 2z

Q 2 ( x z)

w ( z, x) wu wv 1 2x

wx wx

and

wu wv

w (u , v) wx wx 1 2x

R 2 ( y x)

w ( x, y ) wu wv 1 2y

wy wy

PARTIAL DIFFERENTIAL EQUATIONS OF FIRST ORDER 9

2 ( z y) p 2 ( x z) q 2 ( y x)

or

( z y ) p ( x z )q y x.

EXAMPLE 0.4 Eliminate the arbitrary function from the following and hence, obtain the

corresponding partial differential equation:

(i) z xy f ( x 2 y 2 )

(ii) z f ( xy/z ).

Solution

(i) Given z xy f ( x 2 y 2 ) (1)

Differentiating Eq. (1) partially with respect to x and y, we obtain

wz

y 2 xf c( x 2 y 2 ) p (2)

wx

wz

x 2 yf c ( x 2 y 2 ) q (3)

wy

yp xq y 2 x2 , (4)

which is the required PDE.

(ii) Given z f ( xy /z ) (1)

Differentiating partially Eq. (1) with respect to x and y, we get

wz y

f c( xy /z ) p (2)

wx z

wz x (3)

f c ( xy/z ) q

wy z

xp yq 0

or

px qy (4)

10 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

EXAMPLE 0.5 Form the partial differential equation by eliminating the constants from

z ax by ab.

Differentiating Eq. (1) partially with respect to x and y we obtain

wz

a p (2)

wx

wz

b q (3)

wy

Substituting p and q for a and b in Eq. (1), we get the required PDE as

z px qy pq

EXAMPLE 0.6 Find the partial differential equation of the family of planes, the sum of

whose x, y, z intercepts is equal to unity.

x y z

Solution Let 1 be the equation of the plane in intercept form, so

a b c

that a b c 1. Thus, we have

x y z

1 (1)

a b 1 a b

Differentiating Eq. (1) with respect to x and y, we have

1 p p 1

0 or (2)

a 1 a b 1 a b a

and

1 q q 1

0 or (3)

b 1 a b 1 a b b

From Eqs. (2) and (3), we get

p b

(4)

q a

Also, from Eqs. (2) and (4), we get

p

pa a b 1 a a 1

q

or

§ p ·

a ¨1 p ¸ 1.

© q ¹

PARTIAL DIFFERENTIAL EQUATIONS OF FIRST ORDER 11

Therefore,

q

a= (5)

( p + q − pq )

Similarly, from Eqs. (3) and (4), we find

p

b= (6)

( p + q - pq )

Substituting the values of a and b from Eqs. (5) and (6) respectively to Eq. (1), we have

p + q − pq p + q − pq p + q − pq

x+ y+ z =1

q p − pq

x y z 1

or + − = .

q p pq p + q − pq

That is,

pq

px + qy − z = , (7)

p + q − pq

which is the required PDE.

In Section 0.4, we have observed that relations of the form

F ( x, y , z , a , b ) = 0 (0.34)

give rise to PDE of first order of the form

f ( x, y , z , p , q ) = 0 (0.35)

Thus, any relation of the form (0.34) containing two arbitrary constants a and b is a solution

of the PDE of the form (0.35) and is called a complete solution or complete integral.

Consider a first order PDE of the form

∂z ∂z

P ( x, y , z ) + Q ( x, y , z ) = R ( x, y , z ) (0.36)

∂x ∂y

or simply

Pp + Qq = R (0.37)

where x and y are independent variables. The solution of Eq. (0.37) is a surface S lying in

the ( x, y, z ) -space, called an integral surface. If we are given that z = f ( x, y ) is an integral

surface of the PDE (0.37). Then, the normal to this surface will have direction cosines

12 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

& &

given by n { p, q, 1}. From the PDE (0.37), we observe that the normal n is perpendicular

&

to the direction defined by the vector t {P, Q, R} (see Fig. 0.1).

(x, y, z)

n nt

n

x

Fig. 0.1 Integral surface z f ( x , y ).

Therefore, any integral surface must be tangential to a vector with components {P, Q, R}, and

hence, we will never leave the integral surface or solutions surface. Also, the total differential

dz is given by

wz wz

dz dx dy (0.38)

wx wy

From Eqs. (0.37) and (0.38), we find

{P, Q, R} {dx, dy, dz} (0.39)

Now, the solution to Eq. (0.37) can be obtained using the following theorem:

Pp Qq R

v ( x, y , z ) C2 form a solution of the equation

dx dy dz (0.40)

P ( x, y , z ) Q ( x, y , z ) R ( x, y , z )

Proof We observe that Eq. (0.40) consists of a set of two independent ordinary differential

equations, that is, a two parameter family of curves in space, one such set can be written as

PARTIAL DIFFERENTIAL EQUATIONS OF FIRST ORDER 13

dy Q ( x, y , z ) (0.41)

dx P ( x, y , z )

which is referred to as “characteristic curve”. In quasi-linear case, Eq. (0.41) cannot be

evaluated until z ( x, y ) is known. Recalling Eqs. (0.37) and (0.38), we may recast them using

matrix notation as

ªP Q º § w z /w x · §R·

« dx (0.42)

¬ dy »¼ ¨©w z /w y ¸¹ ¨© dz ¸¹

Both the equations must hold on the integral surface. For the existence of finite solutions of

Eq. (0.42), we must have

P Q P R R Q

0 (0.43)

dx dy dx dz dz dy

dx dy dz (0.44)

P ( x, y , z ) Q ( x, y , z ) R ( x, y , z )

which are called auxiliary equations for a given PDE.

In order to complete the proof of the theorem, we have yet to show that any surface

generated by the integral curves of Eq. (0.44) has an equation of the form F (u, v) 0.

Let

u ( x, y , z ) C1 and v ( x, y , z ) C2 (0.45)

be two independent integrals of the ordinary differential equations (0.44). If Eqs. (0.45)

satisfy Eq. (0.44), then, we have

wu wu wu

dx dy dz du 0

wx wy wz

and

wv wv wv

dx dy dz dv 0.

wx wy wz

Solving these equations, we find

dx dy

wu wv wu wv wu wv wu wv

wy wz wz wy wz wx wx wz

dz

wu wv wu wv

wx wy wy wx

14 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

dx dy dz

(0.46)

w (u , v) w (u , v) w (u , v)

w ( y, z ) w ( z , x) w ( x, y )

Now, we may recall from Section 0.4 that the relation F (u , υ ) 0, where F is an arbitrary

function, leads to the partial differential equation

w (u , v) w (u , v) w (u , v)

p q (0.47)

w ( y, z ) w ( z , x) w ( x, y )

By virtue of Eqs. (0.37) and (0.47), Eq. (0.46) can be written as

dx dy dz

P Q R

F (u , v ) 0 is the required solution of Eq. (0.37), if u and v are given by Eq. (0.45),

We shall illustrate this method through following examples:

EXAMPLE 0.7 Find the general integral of the following linear partial differential equations:

(i) y 2 p xy q x ( z 2 y)

(ii) ( y zx) p ( x yz ) q x2 y 2 .

Solution

(i) The integral surface of the given PDE is generated by the integral curves of the

auxiliary equation

dx dy dz (1)

y 2 xy x ( z 2 y)

The first two members of the above equation give us

dx dy

or x dx y dy ,

y x

which on integration results in

x2 y2

C or x2 y 2 C1 (2)

2 2

The last two members of Eq. (1) give

dy dz

or z dy 2 y dy y dz

y z 2y

PARTIAL DIFFERENTIAL EQUATIONS OF FIRST ORDER 15

That is,

2 y dy y dz z dy ,

which on integration yields

y2 yz C2 or y 2 yz C2 (3)

Hence, the curves given by Eqs. (2) and (3) generate the required integral surface as

F ( x 2 y 2 , y 2 yz ) 0.

(ii) The integral surface of the given PDE is generated by the integral curves of the

auxiliary equation

dx dy dz (1)

y zx ( x yz ) x y2

2

To get the first integral curve, let us consider the first combination as

x dx y dy dz

2 2

xy zx xy y z x y2

2

or

x dx y dy dz .

2 2

z (x y ) x y2

2

That is,

x dx y dy z dz.

On integration, we get

x2 y 2 z 2

C or x2 y 2 z 2 C1 (2)

2 2 2

Similarly, for getting the second integral curve, let us consider the combination such as

y dx x dy dz

2 2

y xyz x xyz x y2

2

or

y dx x dy dz 0,

which on integration results in

xy z C2 (3)

Thus, the curves given by Eqs. (2) and (3) generate the required integral surface as

F ( x 2 y 2 z 2 , xy z ) 0.

16 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

x y z

α β γ

0

wz wz

1

wx wy

where z z ( x, y ).

ª wzº ª w zº ª wz w zº

x « β γ y « α γ z «α β 0

¬ w y »¼ ¬ »

w x¼ ¬ wy w x »¼

or

wz wz

(γ y β z ) (α z γ x) β x α y (1)

wx wy

The corresponding auxiliary equations are

dx dy dz (2)

(γ y β z ) (α z γ x) ( β x α y)

Using multipliers x, y, and z we find that each fraction is

x dx y dy z dz

.

0

Therefore,

x dx y dy z dz 0,

which on integration yields

x2 y 2 z 2 C1 (3)

Similarly, using multipliers α , β , and γ , we find from Eq. (2) that each fraction is equal to

α dx β dy γ dz 0,

which on integration gives

αx β y γ z C2 (4)

Thus, the general solution of the given equation is found to be

F ( x2 y 2 z 2 , α x β y γ z) 0

PARTIAL DIFFERENTIAL EQUATIONS OF FIRST ORDER 17

EXAMPLE 0.9 Find the general integrals of the following linear PDEs:

(i) pz qz z 2 ( x y )2

(ii) ( x 2 yz ) p ( y 2 zx) q z 2 xy.

Solution

(i) The integral surface of the given PDE is generated by the integral curves of the

auxiliary equation

dx dy dz

(1)

z z z ( x y )2

2

dx dy 0,

which on integration yields

x y C1 (2)

Now, considering Eq. (2) and the first and last members of Eq. (1), we obtain

z dz

dx

z C 12

2

2 z dz

or 2 dx,

z C 12

2

ln ( z 2 C 12 ) 2 x C2

or

ln [ z 2 ( x y )2 ] 2 x C2 (3)

Thus, the curves given by Eqs. (2) and (3) generates the integral surface for the given PDE

as

F ( x y, log {x 2 y 2 z 2 2 xy} 2 x) 0

(ii) The integral surface of the given PDE is given by the integral curves of the auxiliary

equation

dx dy dz

(1)

2 2 2

x yz y zx z xy

Equation (1) can be rewritten as

dx dy dy dz dz dx (2)

( x y) ( x y z) ( y z) ( x y z) ( z x) ( x y z )

18 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

Considering the first two terms of Eq. (2) and integrating, we get

ln ( x y ) ln ( y z ) ln C1

x y

or C1 (3)

yz

Similarly, considering the last two terms of Eq. (2) and integrating, we obtain

yz

C2 (4)

zx

Thus, the integral curves given by Eqs. (3) and (4) generate the integral surface

§x y y z·

F¨ , 0.

© y z z x ¸¹

In the previous section, we have seen how a general solution for a given linear PDE can be

obtained. Now, we shall make use of this general solution to find an integral surface containing

a given curve as explained below:

Suppose, we have obtained two integral curves described by

u ( x, y , z ) C1 ½°

¾ (0.48)

v ( x, y , z ) C2 °¿

from the auxiliary equations of a given PDE. Then, the solution of the given PDE can be

written in the form

F (u , v) 0 (0.49)

Suppose, we wish to determine an integral surface, containing a given curve C described

by the parametric equations of the form

x x(t ), y y (t ), z z (t ), (0.50)

where t is a parameter. Then, the particular solution (0.48) must be like

u {x(t ), y (t ), z (t )} C1 »¯

¼ (0.51)

v {x(t ), y (t ), z (t )} C2 ¯½

Thus, we have two relations, from which we can eliminate the parameter t to obtain a relation

of the type

F (C1 , C2 ) 0, (0.52)

which leads to the solution given by Eq. (0.49). For illustration, let us consider the following

couple of examples.

PARTIAL DIFFERENTIAL EQUATIONS OF FIRST ORDER 19

x ( y 2 z) p y ( x2 z) q ( x2 y2 ) z

containing the straight line x y 0, z 1.

dx dy dz

(1)

2 2

x ( y z) y ( x z) (x y2 )z

2

yz dx zx dy xy dz 0.

On integration, we get

xyz C1 (2)

Suppose, we use the multipliers x, y and z. Then find that each fraction in Eq. (1) is equal

to

x dx y dy z dz 0,

which on integration yields

x2 y 2 z 2 C2 (3)

For the curve in question, we have the equations in parametric form as

x t, y t , z 1

Substituting these values in Eqs. (2) and (3), we obtain

t 2C1 ½°

¾ (4)

2t 2 1 C2 °¿

1 2C1 C2

or

2C1 C2 1 0

Hence, the required integral surface is

x 2 y 2 z 2 2 xyz 1 0.

xp yq z

which contains the circle defined by

x2 y 2 z 2 4, x yz 2.

20 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

Solution The integral surface of the given PDE is generated by the integral curves of

the auxiliary equation

dx dy dz (1)

x y z

Integration of the first two members of Eq. (1) gives

ln x ln y ln C

or

x (2)

C1

y

Similarly, integration of the last two members of Eq. (1) yields

y

C2 (3)

z

Hence, the integral surface of the given PDE is

§ x y· (4)

F¨ , ¸ 0

©y z¹

If this integral surface also contains the given circle, then we have to find a relation between

x/y and y/z.

The equation of the circle is

x2 y2 z 2 4 (5)

x yz 2 (6)

From Eqs. (2) and (3), we have

y x /C1 , z y /C2 x /C1C2

Substituting these values of y and z in Eqs. (5) and (6), we find

x2 x2 § 1 1 ·

x2 4, or x 2 ¨1 2 2 2 ¸ 4 (7)

C 12 C 12C 22 ¨© C 1 C 1 C 2 ¸¹

and

x x § 1 1 ·

x 2, or x ¨1 2 (8)

© ¸

C1 C1C2 C1 C1C2 ¹

PARTIAL DIFFERENTIAL EQUATIONS OF FIRST ORDER 21

2

1 1 § 1 1 ·

1 ¨©1 C C C ¸¹ ,

C 12 C 12C 22 1 1 2

2 2 2

2 0

C1 C1C2 C 1 C2

That is,

C1C2 C1 1 0. (9)

Now, replacing C1 by x/y and C2 by y/z, we get the required integral surface as

x y x

1 0,

y z y

x x

or 1 0,

z y

or xy xz yz 0.

Consider an interval I on the real line. If x0 ( s ), y0 ( s ) and z0 ( s ) are three arbitrary functions

of a single variable s I such that they are continuous in the interval I with their first

derivatives. Then, the Cauchy problem for a first order PDE of the form

F ( x, y , z , p, q ) 0 (0.53)

solution z φ ( x, y ) of the PDE (0.53) such that

Z [ x0 ( s ), y0 ( s )] Z0 (s)

and φ ( x, y ) together with its partial derivatives with respect to x and y are continuous functions

of x and y in the region IR .

Geometrically, there exists a surface z φ ( x, y ) which passes through the curve Γ, called

datum curve, whose parametric equations are

x x0 ( s ), y y0 ( s ), z z0 ( s )

and at every point of which the direction ( p, q, 1) of the normal is such that

F ( x, y , z , p, q ) 0

This is only one form of the problem of Cauchy.

22 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

In order to prove the existence of a solution of Eq. (0.53) containing the curve (, we

have to make further assumptions about the form of the function F and the nature of Γ. Based

on these assumptions, we have a whole class of existence theorems which is beyond the scope

of this book. However, we shall quote one form of the existence theorem without proof,

which is due to Kowalewski (see Senddon, 1986).

Theorem 0.2 If

(i) g(y) and all of its derivatives are continuous for | y y0 | δ ,

(ii) x0 is a given number and z0 g ( y0 ), q0 g c ( y0 ) and f ( x, y, z, q) and all of its partial

derivatives are continuous in a region S defined by

| x x0 | δ , | y y0 | δ , | q q0 | δ ,

(a) φ ( x, y ) and all of its partial derivatives are continuous in a region IR defined by

| x x0 | δ1 , | y y0 | δ 2 ,

(b) For all ( x, y ) in IR, z φ ( x, y ) is a solution of the equation

wz § wz·

f ¨ x, y , z , and

wx © w y ¸¹

One of the useful applications of the theory of linear first order PDE is to find the system

of surfaces orthogonal to a given system of surfaces. Let a one-parameter family of surfaces

is described by the equation

F ( x, y , z ) C (0.54)

Then, the task is to determine the system of surfaces which cut each of the given surfaces

orthogonally. Let ( x, y, z ) be a point on the surface given by Eq. (0.54), where the normal

to the surface will have direction ratios (w F /w x, w F /w y, w F /w z ) which may be denoted by P,

Q, R.

Let

Z φ ( x, y ) (0.55)

be the surface which cuts each of the given system orthogonally (see Fig. 0.2).

PARTIAL DIFFERENTIAL EQUATIONS OF FIRST ORDER 23

Z = φ(x, y)

F = C1

F = C2

F = C3

Then, its normal at the point ( x, y, z ) will have direction ratios (w z /w x, w z /w y , 1) which, of

course, will be perpendicular to the normal to the surfaces characterized by Eq. (0.54). As a

consequence we have a relation

wz wz

P Q R 0 (0.56)

wx wy

or

Pp Qq R (0.57)

which is a linear PDE of Lagranges type, and can be recast into

wF wz wF wz wF (0.58)

wx wx wy wy wz

Thus, any solution of the linear first order PDE of the type given by either Eq. (0.57) or (0.58)

is orthogonal to every surface of the system described by Eq. (0.54). In other words, the

surfaces orthogonal to the system (0.54) are the surfaces generated by the integral curves of

the auxiliary equations

dx dy dz (0.59)

w F /w x w F /w y w F /w z

In this section, we will discuss the problem of finding the solution of first order non-linear

partial differential equations (PDEs) in three variables of the form

F ( x, y , z , p , q ) 0, (0.60)

24 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

where

wz wz

p , q .

wx wy

We also assume that the function possesses continuous second order derivatives with respect

to its arguments over a domain Ω of ( x, y, z , p, q)-space, and either Fp or Fq is not zero at

every point such that

F p2 F q2 z 0.

The PDE (0.60) establishes the fact that at every point ( x, y, z ) of the region, there exists

a relation between the numbers p and q such that φ ( p, q ) 0, which defines the direction of

&

the normal n { p, q, 1} to the desired integral surface z z ( x, y ) of Eq. (0.60). Thus, the

direction of the normal to the desired integral surface at certain point (x, y, z) is not defined

uniquely. However, a certain cone of admissable directions of the normals exist satisfying the

relation φ ( p, q ) 0 (see Fig. 0.3).

O y

x

Fig. 0.3 Cone of normals to the integral surface.

Therefore, the problem of finding the solution of Eq. (0.60) reduces to finding an integral

surface z z ( x, y ), the normals at every point of which are directed along one of the permissible

directions of the cone of normals at that point.

Thus, the integral or the solution of Eq. (0.60) essentially depends on two arbitrary

constants in the form

f ( x, y , z , a , b ) 0, (0.61)

which is called a complete integral. Hence, we get a two-parameter family of integral surfaces

through the same point.

PARTIAL DIFFERENTIAL EQUATIONS OF FIRST ORDER 25

The integral surface z = z ( x, y ) of Eq. (0.60) that passes through a given curve x0 = x0(s),

y0 = y0(s), z0 = z0(s) may be visualized as consisting of points lying on a certain one-parameter

family of curves x = x (t , s), y = y (t , s ), z = z (t , s ), where s is a parameter of the family called

characteristics.

Here, we shall discuss the Cauchy’s method for solving Eq. (0.60), which is based

on geometrical considerations. Let z = z ( x, y ) represents an integral surface S of Eq. (0.60)

in (x, y, z)-space. Then, { p, q, − 1} are the direction ratios of the normal to S. Now, the

differential equation (0.60) states that at a given point P ( x0 , y0 , z0 ) on S, the relationship

between p0 and q0, that is F ( x0 , y0 , z0 , p0 , q0 ), need not be necessarily linear. Hence, all the

tangent planes to possible integral surfaces through P form a family of planes enveloping a

conical surface called Monge Cone with P as its vertex. In other words, the problem of

solving the PDE (0.60) is to find surfaces which touch the Monge cone at each point along

a generator. For example, let us consider the non-linear PDE

p 2 − q 2 = 1. (0.62)

At every point of the xyz-space, the relation (0.62) can be expressed parametrically as

p = cosh μ , q = sinh μ , −∞ < μ < ∞ (0.63)

Let P ( x0 , y0 , z0 ) be the vertex and Q( x, y , z ) be any point on the generator. Then, the direction

ratios of the generator are ( x − x0 ), ( y − y0 ), ( z − z0 ). Now, the direction ratios of the axis of

the cone which is parallel to x-axis are (1, 0, 0) (see Fig. 0.4). Let the semi-verticle angle of

the cone be π /4. Then,

π ( x − x0 )1 + ( y − y0 ) 0 + ( z − z0 ) 0 1

cos = =

4 2 2

( x − x0 ) + ( y − y0 ) + ( z − z0 ) 2 2

or

( x − x0 )2 + ( y − y0 )2 + ( z − z0 )2 = 2( x − x0 )2

or

( x − x0 )2 − ( y − y0 )2 − ( z − z0 )2 = 0 (0.65)

Thus, we see that the Monge cone of the PDE (0.62) is given by Eq. (0.65). This is a right

circular cone with semi-vertical angel π /4 whose axis is the straight line passing through

( x0 , y0 , z0 ) and parallel to z-axis.

26 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

/4

Q (x, y, z)

O y

x

Fig. 0.4 Monge cone.

Since an integral surface is touched by a Monge cone along its generator, we must have a

method to determine the generator of the Monge cone of the PDE (0.60) which is explained

below:

It may be noted that the equation of the tangent plane to the integral surface z z ( x, y ) at

the point ( x0 , y0 , z0 ) is given by

p ( x x0 ) q ( y y0 ) ( z z0 ). (0.66)

Now, the given non-linear PDE (0.60) can be recasted into an equivalent form as

q q ( x0 , y0 , z0 , p ) (0.67)

indicating that p and q are not independent at ( x0 , y0 , z0 ). At each point of the surface S,

there exists a Monge cone which touches the surface along the generator of the cone. The

lines of contact between the tangent planes of the integral surface and the corresponding

cones, that is the generators along which the surface is touched, define a direction field on

the surface S. These directions are called the characteristic directions, also called Monge

directions on S and lie along the generators of the Monge cone. The integral curves of this

field of directions on the integral surface S define a family of curves called characteristic

curves as shown in Fig. 0.5. The Monge cone can be obtained by eliminating p from the

following equations:

PARTIAL DIFFERENTIAL EQUATIONS OF FIRST ORDER 27

p ( x x0 ) q ( x0 , y0 , z0 , p ) ( y y0 ) ( z z0 ) (0.68)

and

dq

( x x0 ) ( y y0 ) 0. (0.69)

dp

observing that q is a function of p and differentiating Eq. (0.60) with respect to p, we get

dF w F w F dq

0. (0.70)

dp w p w q dp

Now, eliminating (dq /dp ) from Eqs. (0.69) and (0.70), we obtain

w F w F ( x x0 )

0

w p w q ( y y0 )

or

x x0 y y0 (0.71)

Fp Fq

q q ( x0 , y0 , z0 , p),½°

( x x0 ) p ( y y0 ) q ( z z0 ) °

°°

¾ (0.72)

and °

x x0 y y0 °

. °

Fp Fq °¿

The second and third of Eqs. (0.72) define the generator of the Monge cone. Solving them

for ( x x0 ), ( y y0 ) and ( z z0 ), we get

x x0 y y0 z z0 (0.73)

Fp Fq pFp qFq

to infinitesimal movement from ( x0 , y0 , z0 ) along the generator, Eq. (0.73) becomes

dx dy dz (0.74)

.

Fp Fq pFp qFq

28 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

Denoting the ratios in Eq. (0.74) by dt, we observe that the characteristic curves on S can be

obtained by solving the ordinary differential equations

dx

Fp {x, y , z ( x, y ), p ( x, y ), q ( x, y )} (0.75)

dt

and

dy

Fq {x, y, z ( x, y ), p ( x, y ), q ( x, y )}. (0.76)

dt

Also, we note that

dz w z dx w z dy dx dy

p q

dt w x dt w y dt dt dt

Therefore,

dz

pFp qFq (0.77)

dt

Along the characteristic curve, p is a function of t, so that

dp w p dx w p dy

dt w x dt w y dt

Now, using Eqs. (0.75) and (0.76), the above equation becomes

dp w p wF w p wF

.

dt wx w p wy wq

Since z xy z yx or p y qx , we have

dp w p wF wq wF

(0.78)

dt wx w p wx wq

Also, differentiating Eq. (0.60) with respect to x, we find

wF wF wF w p w F wq

p 0 (0.79)

wx wz w p wx wq wx

Using Eq. (0.79), Eq. (0.78) becomes

dp

( Fx pFz ) (0.80)

dt

Similarly, we can show that

dq

( Fy qFz ) (0.81)

dt

PARTIAL DIFFERENTIAL EQUATIONS OF FIRST ORDER 29

Thus, given an integral surface, we have shown that there exists a family of characteristic

curves along which x, y, z, p and q vary according to Eqs. (0.75), (0.76), (0.77), (0.80) and

(0.81). Collecting these results together, we may write

dx ½

Fp , °

dt

°

dy °

Fq , °

dt °

dz °°

pFp qFq , ¾ (0.82)

dt °

dp °

( Fx pFz ) and °

dt °

°

dq °

( Fy qFz ).

dt °¿

These equations are known as characteristic equations of the given PDE (0.60). The last three

equations of (0.82) are also called compatibility conditions. Without knowing the solution

z z ( x, y ) of the PDE (0.60), it is possible to find the functions x (t ), y (t ), z (t ), p(t ), q(t ) from

Eqs. (0.82). That is, we can find the curves x x(t ), y y (t ), z z (t ) called characteristics

and at each point of a characteristic, we can find the numbers p p (t ) and q q(t ) that

determine the direction of the plane

p ( X x) + q(Y y ) = ( Z z ). (0.83)

The characteristics, together with the plane (0.83) referred to each of its points is called a

characteristic strip. The solution x x (t ), y y (t ), z z (t ), p p (t ), q q (t ) of the

characteristic equations (0.82) satisfy the strip condition

dz dx dy

p (t ) q (t ) (0.84)

dt dt dt

It may be noted that not every set of five functions can be interpreted as a strip. A strip should

satisfy that the planes with normals ( p, q, 1) be tangential to the characteristic curve. That is, they

must satisfy the strip condition (0.84) and the normals should vary continuously along the

curve.

An important consequence of the Cauchy’s method of characteristic is stated in the

following theorem.

Theorem 0.3 Along every strip (characteristic strip) of the PDE: F ( x, y, z , p, q ) 0, the

function F ( x, y, z , p, q) is constant.

30 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

d w F dx w F dy w F dz w F dp w F dq

F{ x (t ), y (t ), z (t ), p(t ), q (t )}

dt w x dt w y dt w z dt w p dt w q dt

Now, using the results listed in Eq. (0.82), the right-hand side of the above equation becomes

Fx Fp Fy Fq Fz ( pFp qFq ) Fp ( Fx pFz ) Fq ( Fy qFz ) 0.

Hence, the function F ( x, y, z , p, q) is constant along the strip of the characteristic equations

of the PDE defined by Eq. (0.60).

For illustration, we consider the following examples:

EXAMPLE 0.12 Find the characteristics of the equation pq z and determine the integral

surface which passes through the straight line x 1, z y.

x0 ( s ) 1, y0 ( s ) s, z0 ( s ) s,

then ordinarily the solution is sought in parametric form as

x x (t , s ), y y (t , s ), z z (t , s ).

Thus, using the given data, the differential equation becomes

p0 ( s )q0 ( s ) s 0 F (1)

and the strip condition gives

1 p0 (0) q0 (1) or q0 1. (2)

Therefore,

q0 1, p0 s (unique initial strip) (3)

Now, the characteristic equations for the given PDE are

dx dy dz dp dq

q, p, 2 pq, p, q (4)

dt dt dt dt dt

On integration, we get

¾ (5)

y c1 exp (t ) c4 , z 2c1c2 exp (2t ) c5 °¿

Now, taking into account the initial conditions

x0 1, y0 s , z0 s, p0 s, q0 1 (6)

PARTIAL DIFFERENTIAL EQUATIONS OF FIRST ORDER 31

¾ (7)

y s exp (t ), z s exp (2t ) °¿

z xy.

EXAMPLE 0.13 Find the characteristics of the equation pq z and hence, determine the

integral surface which passes through the parabola x 0, y 2 z.

x0 ( s ) 0, y0 ( s ) s , z0 ( s ) s2.

p0 ( s ) q0 ( s) s 2 0 F (1)

The strip condition gives

2s p0 (0) q0 (1) or q0 2 s 0 (2)

Therefore,

s

q0 2s and p0 z0 /q0 s 2/2 s (3)

2

Now, the characteristic equations of the given PDE are given by

dx dy dz dp dq

q, p, 2 pq, p, q (4)

dt dt dt dt dt

On integration, we obtain

¾ (5)

y c1 exp (t ) c4 , z c1c2 exp (2t ) c5 °¿

Taking into account the initial conditions

x0 0, y0 s, z0 s 2 , p0 s /2, q0 2 s,

we find

c1 s /2, c2 2 s, c3 2 s, c4 s /2, c5 0

32 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

Therefore, we have

s ½

p exp (t ), q 2 s exp (t ), °

2

°

s ° (6)

x 2 s [exp (t ) 1], y [exp (t ) 1] ¾

2 °

°

z s 2 exp (2t ) °

°¿

Eliminating s and t from the last three equations of (6), we get

16 z (4 y x)2 .

This is the required integral surface.

p2 q2 2

x0 ( s ) 0, y0 ( s ) s , z0 ( s ) s.

Using this data, the given PDE becomes

p 02 q 02 2 0 F (1)

1 p0 (0) q0 (1) or q0 1 0 (2)

Hence,

q0 1, p0 r1 (3)

Now, the characteristic equations for the given PDE are given by

dx dy dz ½

2 p, 2q, 2 p 2 2q 2 4°

dt dt dt ° (4)

¾

dp dq °

0, 0 °¿

dt dt

On integration, we get

p c1 , q c2 , x 2c1t c3 ½°

¾ (5)

y 2c2 t c4 , z 4t c5 °¿

PARTIAL DIFFERENTIAL EQUATIONS OF FIRST ORDER 33

x0 0, y0 s , z0 s, p0 r1, q0 1,

we find

¾ (6)

y 2t s, z 4t s. °¿

The last-three equations of (6) are parametric equations of the desired integral surface. Eliminating

the parameters s and t, we get

z y r x.

Two first order PDEs are said to be compatible, if they have a common solution. We shall

now derive the necessary and sufficient conditions for the two partial differential equations

f ( x, y , z , p , q ) 0 (0.85)

and

g ( x, y , z , p , q ) 0 (0.86)

to be compatible.

w ( f , g)

Let J z0 (0.87)

w ( p, q )

Since Eqs. (0.85) and (0.86) have common solution, we can solve them and obtain

explicit expressions for p and q in the form

p φ ( x, y , z ), q ψ ( x, y, z ) (0.88)

and then, the differential relation

p dx q dy dz

or

φ ( x, y, z ) dx ψ ( x, y, z ) dy dz (0.89)

should be integrable, for which the necessary condition is

& &

X curl X 0

iˆ ˆj kˆ

ˆ ˆ ˆ

(φ i ψ j k ) w /w x w /w y w /w z 0

φ ψ 1

34 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

or

φ (ψ z ) ψ (φ z ) ψ x φ y

which can be rewritten as

ψ x φψ z φ y ψφ z (0.90)

Now, differentiating Eq. (0.85) with respect to x and z, we get

wp wq

fx f p fq 0

wx wx

and

wp wq

fz f p fq 0

wz wz

But, from Eq. (0.89), we have

w p wφ w q wψ

, and so on.

wx wx wx wx

Using these results, the above equations can be recast into

f x f pφ x f qψ x 0

and

f z f pφ z f qψ z 0.

Multiplying the second one of the above pair by φ and adding to the first one, we readily

obtain

( f x φ f z ) f p (φ x φφ z ) f q (ψ x φψ z ) 0

( g x φ g z ) g p (φ x φφ z ) g q (ψ x φψ z ) 0

(ψ x φψ z ) 1 1

f p (gx φ gz ) g p ( fx φ fz ) f q g p gq f p J

or

1

ψ x φψ z [( f p g x g p f x ) φ ( f p g z g p f z )]

J

1 ªw ( f , g ) w ( f , g)º

« φ (0.91)

J ¬ w ( x, p ) w ( z , p ) »¼

PARTIAL DIFFERENTIAL EQUATIONS OF FIRST ORDER 35

where J is defined in Eq. (0.87). Similarly, differentiating Eq. (0.85) with respect to y and z

and using Eq. (0.88), we can show that

1 ªw ( f , g ) w ( f , g) º

φ y ψφ z « ψ (0.92)

J ¬ w ( y, q) w ( z , q) »¼

Finally, substituting the values of ψ x φψ z and φ y ψφ z from Eqs. (0.91) and (0.92) into

Eq. (0.90), we obtain

w ( f , g) w ( f , g) ªw ( f , g ) w ( f , g) º

φ « ψ

w ( x, p ) w ( z, p) ¬ w ( y, q) w ( z , q) »¼

w ( f , g) w ( f , g) w ( f , g) w ( f , g)

p q 0 (0.93)

w ( x, p ) w ( z , p) w ( y, q) w ( z, q)

This is the desired compatibility condition. For illustration, let us consider the following

examples:

xp yq x and x2p q xz

are compatible and hence, find their solution.

Solution Suppose, we have

f xp yq x 0, (1)

and

g x 2 p q xz 0. (2)

Then,

w ( f , g) ( p 1) x

px 2 x 2 2 x 2 p xz xz x 2 p x 2 ,

w ( x, p ) (2 xp z ) x2

w ( f , g) 0 x

x2 ,

w ( z, p) x x2

w ( f , g) q y

q,

w ( y, q) 0 1

w ( f , g) 0 y

xy.

w ( z, q) x 1

36 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

and we find

w ( f , g) w ( f , g) w ( f , g) w ( f , g)

p q xz x 2 p x 2 px 2 q qxy

w ( x, p ) w ( z, p) w ( y, q) w ( z , q)

xz q qxy x 2

xz q x (qy x)

xz q x 2 p

0

Hence, the given PDEs are compatible.

Now, solving Eqs. (1) and (2) for p and q, we obtain

p q 1

xyz x 3

x x z 2

x x2 y

from which we get

x (1 yz ) 1 yz

p

x (1 xy ) 1 xy

and

x 2 ( z x) x ( z x)

q

x (1 xy ) 1 xy

In order to get the solution of the given system, we have to integrate Eq. (0.89), that is

(1 yz ) x ( z x)

dz dx dy (3)

1 xy 1 xy

or

y ( z x) x ( z x)

dz dx dx dy

1 xy 1 xy

or

dz dx y dx x dy

zx 1 xy

On integration, we get

ln ( z x) ln (1 xy ) ln c.

That is,

z x c (1 xy )

Hence, the solution of the given system is found to be

z x c (1 xy ), (4)

which is of one-parameter family.

PARTIAL DIFFERENTIAL EQUATIONS OF FIRST ORDER 37

In this section, we will discuss a general method for finding the complete integral or complete

solution of a nonlinear PDE of first order of the form

f ( x, y , z , p , q ) 0. (0.94)

This method is known as Charpit’s method. The basic idea in Charpit’s method is the introduction

of another PDE of first order of the form

g ( x, y , z , p, q ) 0 (0.95)

and then, solve Eqs. (0.94) and (0.95) for p and q and substitute in

dz p ( x, y , z , a ) dx q ( x, y , z , a ) dy. (0.96)

Now, the solution of Eq. (0.96) if it exists is the complete integral of Eq. (0.94).

The main task is the determination of the second equation (0.95) which is already discussed

in the previous section. Now, what is required, is to seek an equation of the form

g ( x, y , z , p, q ) 0

compatible with the given equation

f ( x, y , z , p , q ) 0

for which the necessary and sufficient condition is

w ( f , g) w ( f , g) w ( f , g) w ( f , g)

p q 0. (0.97)

w ( x, p ) w ( z , p) w ( y, q) w ( z, q)

On expansion, we have

§w f w g w f w g · §w f w g w f w g ·

¨© w x w p w p w x ¸¹ p ¨© w z w p w p w z ¸¹

§w f w g w f w g · §w f w g w f w g ·

¨ ¸ q¨ 0

©w y wq wq w y ¹ © w z w q w q w z ¸¹

which can be recast into

wg wg wg wg wg

fp fq ( pf p qf q ) ( f x pf z ) ( f y qf z ) 0. (0.98)

wx wy wz wp wq

This is a linear PDE, from which we can determine g. The auxiliary equations of (0.98) are

dx dy dz dp

fp fq pf p qf q ( f x pf z )

dq

(0.99)

( f y qf z )

38 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

These equations are called Charpit’s equations. Any integral of Eq. (0.99) involving p or q

or both can be taken as the second relation (0.95). Then, the integration of Eq. (0.96) gives

the complete integral as desired. It may be noted that all charpits equations need not be used,

but it is enough to choose the simplest of them. This method is illustrated through the

following examples:

( p2 q2 ) y qz

Solution Suppose

f ( p 2 q 2 ) y qz 0 (1)

then, we have

fx 0, fy p2 q2 , fz q

fp 2 py, fq 2qy z ,

dx dy dz dp dq

fp fq pf p qf q ( f x pf z ) ( f y qf z )

That is,

dx dy dz

2 py 2qy z 2 p y 2q 2 y qz

2

dp dq

(2)

pq [( p q 2 ) q 2 ]

2

dp dq

pq p2

or

p dp q dq 0

On integration, we get

p2 q2 a (constant) (3)

PARTIAL DIFFERENTIAL EQUATIONS OF FIRST ORDER 39

ay qz 0 or q ay/ z ½

and °

° (4)

2 ¾

§ ay · 2 2 2 2 °

p a¨ ¸ (az a y )/z °

© z ¹ ¿

dz p dx q dy,

we get

az 2 a 2 y 2 ay

dz dx dy

z z

or

z dz ay dy az 2 a 2 y 2 dx

which can be rewritten as

d (az 2 a 2 y 2 )1/2

dx

a

On integration, we find

az 2 a 2 y 2

xb

a

or

( x b) 2 ( z 2/ a) y 2

Hence, the complete integral is

( x b) 2 y 2 z 2/ a.

z2 pq xy.

f z 2 pq xy. (1)

Then, we have

fx pqy, fy pqx, fz 2z

fp qxy, fq pxy.

40 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

dx dy dz dp dq

.

fp fq pf p qf q ( f x pf z ) ( f y qf z )

That is,

dx dy dz dp dq (2)

qxy pxy 2 pq xy pqy 2 pz pqx 2qz

From Eq. (2), it follows that

dp / p dq /q dx /x dy / y

qy 2 z px 2 z qy px

which can be rewritten as

dp / p dq /q dx/x dy / y

qy px qy px

or

dp dq dy dx

p q y x

On integration, we find

p x

c (constant)

q y

or

p cqy /x

From the given PDE, we have

z2 pq xy cq 2 y 2

which gives

q2 z 2/ cy 2 or q z/ c y az /y,

where a 1/ c .

Hence,

p z /ax.

Substituting these values of p and q in

dz p dx q dy,

we get

z az

dz dx dy

ax y

PARTIAL DIFFERENTIAL EQUATIONS OF FIRST ORDER 41

or

dz 1 dx dy

a

z a x y

On integration, we obtain

1

ln z ln x a ln y ln b

a

or

z bx1/a y a

which is the complete integral of the given PDE.

x2 p2 y 2 q2 4 0

using Charpit’s method.

Solution The Charpit’s equations for the given PDE can be written as

dx dy dz dp

2 2 2 2 2 2

2x p 2y q 2 (x p y q ) 2 xp 2

dq (1)

2

2 yq

Considering the first and last but one of Eq. (1), we have

dx dp dx dp

2 2

or 0

2x p 2 xp x p

On integration, we get

ln ( xp ) ln a or xp a (2)

From the given PDE and using the result (2), we get

y2q2 4 a2 (3)

Substituting one set of p and q values from Eqs. (2) and (3) in

dz p dx q dy,

we find that

dx dy

dz a 4 a2 .

x y

On integration, the complete integral of the given PDE is found to be

z a ln x 4 a 2 ln y b.

42 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

Type I Equations Involving p and q only.

That is, equations of the type

f ( p, q ) 0. (0.100)

wz wz

p a, q b.

wx wy

Substituting these values of p and q in the given PDE, we get

f ( a, b ) 0 (0.101)

z ax φ (a ) y c (0.102)

is the complete integral of the given PDE.

p q 1.

Solution The given PDE is of the form f ( p, q ) 0. Therefore, let us assume the solution

in the form

z ax by c

where

a b 1 or b (1 a )2

Hence, the complete integral is found to be

z ax (1 a )2 y c.

pq 1.

Solution Since the given PDE is of the form f ( p, q ) 0, we assume the solution in

the form z ax by c, where ab 1 or b 1/ a. Hence, the complete integral is

1

y c.

z ax

a

Type II Equations Not Involving the Independent Variables.

That is, equations of the type

f ( z , p, q ) 0 (0.103)

PARTIAL DIFFERENTIAL EQUATIONS OF FIRST ORDER 43

constant. Then,

z f (u ) f ( x ay ) (0.104)

wz dz w u dz

p ¹

wx du w x du

wz dz w u dz

q ¹ a

wy du w y du

Substituting these values of p and q in the given PDE, we get

§ dz dz ·

f ¨ z, , a ¸ 0 (0.105)

© du du ¹

which is an ordinary differential equation of first order.

Solving Eq. (0.105) for dz /du , we obtain

dz

φ ( z , a ) (say)

du

or

dz

du.

φ ( z, a)

On integration, we find

dz

³ φ ( z, a) uc

That is,

F ( z , a) uc x ay c (0.106)

which is the complete integral of the given PDE.

p (1 q ) qz

z f (u ) x ay

Then,

dz dz

p , q a

du du

Substituting these values in the given PDE, we get

dz § dz · dz

¨©1 a ¸¹ az

du du du.

44 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

That is,

dz dz

a az 1 or a du

du az 1

On integration, we find

ln (az 1) u c x ay c

which is the required complete integral.

p2 z 2 q2 1.

dz dz

, q a

p

du du

Substituting these values of p and q in the given PDE, we obtain

2 2

§ dz · 2 2 § dz ·

¨© ¸¹ z a ¨© ¸¹ 1

du du

That is,

2

§ dz · 2 2 dz 1

¨© ¸¹ ( z a ) 1 or

du du z a2

2

or

z 2 a 2 dz du

On integration, we get

z z 2 a2 a2 ª z z 2 a2 º

ln « » x ay b

2 2 «¬ a »¼

which is the required complete integral of the given PDE.

An equation in which z is absent and the terms containing x and p can be separated from those

containing y and q is called a separable equation.

That is, equations of the type

f ( x, p ) F ( y, q) (0.107)

As a trial solution, let us assume that

f ( x, p ) F ( y, q) a (say) (0.108)

PARTIAL DIFFERENTIAL EQUATIONS OF FIRST ORDER 45

p φ ( x), q ψ ( y)

Since

wz wz

dz dx dy p dx q dy

wx wy

or

dz φ ( x) dx ψ ( y ) dy

On integration, we get the complete integral in the form

z ³ φ ( x) dx ³ ψ ( y) dy b (0.109)

p 2 y (1 x 2 ) qx 2

p 2 (1 x 2 ) q

2

a (say), an arbitrary constant.

x y

Then,

ax

p , q ay

1 x2

Substituting these values of p and q in

dz p dx q dy,

we get

ax

dz dx ay dy

1 x2

On integration, we obtain

a 2

z a 1 x2 y b

2

which is the complete integral of the given PDE.

p2 q2 x y

p2 x y q2 a (say)

46 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

Then,

p x a, q y a.

Now, substituting these values of p and q in

dz p dx q dy

we find

dz x a dx y a dy

On integration, the complete integral is found to be

2 2

z ( x a )3/2 ( y a )3/2 b.

3 3

A first order PDE is said to be of Clairaut’s form if it can be written as

z px qy f ( p, q ) (0.110)

The corresponding Charpit’s equations are

dx dy dz

x fp y fq px qy pf p qf q

dp dq

(0.111)

p p qq

p a, q b

Substituting these values of p and q in the given PDE, we get the required complete integral

in the form

z ax by f (a, b) (0.112)

z px qy 1 p 2 q 2

Solution The given PDE is in the Clairaut’s form. Hence, its complete integral is

z ax by 1 a 2 b 2 .

( p q ) ( z xp yq ) 1

PARTIAL DIFFERENTIAL EQUATIONS OF FIRST ORDER 47

1

z xp yq

pq

which is in the Clairaut’s form,

z px qy f ( p, q )

Hence, the complete integral of the given PDE is

1

z ax by .

ab

EXAMPLE 0.27 Solve the following Cauchy IVP:

PDE: ut + cux = 0, x Î R, t > 0

IC: u(x, 0) = f(x), x Î R.

dt dx du

Solution The characteristic equations for the given problem is given by .

1 c 0

On integration, we get: u = constant and x – ct = x (constant). This linear problem

has a unique solution, given by u(x, t) = f(x – ct).

This is a right travelling wave with speed c, of course with no change in shape. The

characteristic line x = x + ct, gives rise to a system of parallel, straight lines in the (x, t)-plane

as shown in Fig. 0.6.

We observe that one of these lines that passes through the point (x, t) intersects the

x-axis at (x, 0) moving with speed c, having a slope –1/c.

EXAMPLE 0.28 In classical mechanics, the Hamilton–Jacobi equation for the problem of

one-dimensional, Harmonic oscillator is given by the differential equation as (see–Sankara

Rao, 2005).

48 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

2

1 È S Ø 1 S

É Ù Kq 2 0,

2 m Ê q Ú 2 t

S

where S = S(p, q, t), p = and K is a constant. Using Charpits method, find S.

q

Solution Following the notation of Eq. (0.94) we rewrite

2

1 È S Ø 1 S

f (t , q, S, St , Sq ) É Ù Kq 2 (1)

Ê

2 m q Ú 2 t

which gives us

Sq

ft 0, fq Kq, f S .

0, f St 1, f Sq

m

Then, the Charpits auxiliary equations (0.99) assumes the following form:

dt dq dS dSt dSq

(2)

1 Sq /m St Sq2 /m 0 Kq

dq dSq

Considering the second and last members, we have .

Sq /m Kq

On integration, we get

Sq2 1 2

Kq a (constant of integration).

2m 2

Equation (1) then becomes

St = –a,

È 2a Ø

and Sq2 Km É q2 Ù .

ÊK Ú

Substituting St and Sq into

dS = St dt + Sq dq

and integrating, we arrive at

1/2

È 2a Ø

S at Km É

ÊK Ô

q2 Ù

Ú

dq C

or S Ô

at Km (D 2 q 2 )1/2 dq C

2a

where a2 = and C is another constant of integration.

K

PARTIAL DIFFERENTIAL EQUATIONS OF FIRST ORDER 49

EXERCISES

1. Eliminate the arbitrary function in the following and hence obtain the corresponding

PDE

z x y f ( xy ).

2. Form the PDE from the following by eliminating the constants

z ( x 2 a ) ( y 2 b).

3. Find the integral surface (general solution) of the differential equation

wz wz

x2 y2 ( x y ) z.

wx wy

4. Find the general integrals of the following linear PDEs:

y2 z

(i) p xzq y2

x

(ii) ( y 1) p ( x 1) q z.

5. Find the integral surface of the linear PDE

xp yq z

6. Find the equation of the integral surface of the PDE

2 y ( z 3) p (2 x z ) q y (2 x 3)

7. Find the general integral of the PDE

( x y) p ( y x z) q z

8. Find the solution of the equation

1 2

z ( p q 2 ) ( p x) (q y )

2

which passes through the x-axis.

9. Find the characteristics of the equation

pq xy

and determine the integral surface which passes through the curve z x, y 0.

10. Determine the characteristics of the equation

z p2 q2

and find the integral surface which passes through the parabola 4 z x 2 0, y 0.

50 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

xp yq and z ( xp yq ) 2 xy

are compatible and hence find its solution.

12. Show that the equations

p2 q2 1 and ( p2 q2 ) x pz

are compatible and hence find its solution.

13. Find the complete integral of the equation

( p2 q2 ) x pz

where p w z /w x, q w z /w y.

14. Find the complete integrals of the equations

(i) px5 4q3 x 2 6 x 2 z 2 0

2

(ii) 2 ( z xp yq ) yp .

15. Find the complete integral of the equation

p q pq.

16. Find the complete integrals of the following equations:

(i) z pq p q

(ii) p 2 q 2 x 2 y 2 x 2 q 2 ( x 2 y 2 ).

17. Find the complete integral of the PDE

z px qy sin ( pq )

18. Find the complete integrals of the following PDEs:

(i) xp3 q 2 yp 2 q3 ( p3 q3 ) zp 2 q 2 0

(ii) p qz p 2 ( xq p 2 ) q 2 ( yp q 2 ).

19. Find the surface which intersects the surfaces of the system

z ( x y) c (3 z 1)

orthogonally and passes through the circle

x2 y2 1, z 1.

20. Find the complete integral of the equation

( p2 q2 ) x pz

wz wz

where p , q . (GATE-Maths, 1996)

wx wy

PARTIAL DIFFERENTIAL EQUATIONS OF FIRST ORDER 51

wz wz

( x y) ( x y z) z

wx wy

22. Using the transformation u W / y in the PDE xu x u yu y , the transformed equation

has a solution of the form W =

(A) f ( x /y ) (B) f ( x y)

(C) f ( x y ) (D) f ( xy ). (GATE-Maths, 1997)

23. The complete integral of the partial differential equation

xp3 q 2 yp 2 q3 ( p3 q3 ) zp 2 q 2 0

is z =

2 2

(A) ax by (ab 2 ba 2 ) (B) ax by (ab ba )

(GATE-Maths, 1997)

24. The partial differential equation of the family of surfaces z ( x y ) A ( xy ) is

(A) xp yq 0 (B) xp yq x y

(C) xp yq x y (D) xp yq 0.

(GATE-Maths, 1998)

25. The complete integral of the PDE z px qy sin ( pq ) is

(A) z ax by sin (ab) (B) z ax by sin (ab)

(C) z ax y sin (b) (D) z x by sin (a ).

(GATE-Maths, 2003)

CHAPTER 1

Fundamental Concepts

1.1 INTRODUCTION

Many practical problems in science and engineering, when formulated mathematically, give

rise to partial differential equations (often referred to as PDE). In order to understand the

physical behaviour of the mathematical model, it is necessary to have some knowledge about

the mathematical character, properties, and the solution of the governing PDE. An equation

which involves several independent variables (usually denoted by x, y, z, t, …), a dependent

function u of these variables, and the partial derivatives of the dependent function u with

respect to the independent variables such as

F ( x, y, z , t , } , u x , u y , u z , ut , } , u xx , u yy , } , u xy ,}) 0 (1.1)

is called a partial differential equation. A few well-known examples are:

(i) ut k (u xx u yy u zz ) [linear three-dimensional heat equation]

In all these examples, u is the dependent function and the subscripts denote partial differentiation

with respect to these variables.

Definition 1.1 The order of the partial differential equation is the order of the highest derivative

occurring in the equation. Thus the above examples are partial differential equations of

second order, whereas

ut uu xxx sin x

is an example for third order partial differential equation.

52

FUNDAMENTAL CONCEPTS 53

The most general linear second order PDE, with one dependent function u on a domain Ω of

points X ( x1 , x2 , } , xn ), n ! 1, is

n n

¦ aij u xi x j ¦ biuxi F (u) G (1.2)

i, j 1 i 1

The classification of a PDE depends only on the highest order derivatives present.

The classification of PDE is motivated by the classification of the quadratic equation of

the form

Ax 2 Bxy Cy 2 Dx Ey F 0 (1.3)

zero or positive. Thus, we have the following second order linear PDE in two variables

x and y:

Au xx Bu xy Cu yy Du x Eu y Fu G (1.4)

where the coefficients A, B, C, … may be functions of x and y, however, for the sake of

simplicity we assume them to be constants. Equation (1.4) is elliptic, parabolic or hyperbolic

at a point (x0, y0) according as the discriminant

B 2 ( x0 , y0 ) 4 A ( x0 , y0 ) C ( x0 , y0 )

is negative, zero or positive. If this is true at all points in a domain Ω, then Eq. (1.4) is said

to be elliptic, parabolic or hyperbolic in that domain. If the number of independent variables

is two or three, a transformation can always be found to reduce the given PDE to a canonical

form (also called normal form). In general, when the number of independent variables is

greater than 3, it is not always possible to find such a transformation except in certain special

cases. The idea of reducing the given PDE to a canonical form is that the transformed

equation assumes a simple form so that the subsequent analysis of solving the equation is

made easy.

Consider the most general transformation of the independent variables x and y of Eq. (1.4)

to new variables ξ , η , where

ξ ξ ( x, y ), η η ( x, y ) (1.5)

such that the functions ξ and η are continuously differentiable and the Jacobian

w (ξ , η ) ξx ξy

J (ξ xη y ξ yη x ) z 0 (1.6)

w ( x, y ) ηx ηy

54 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

in the domain Ω where Eq. (1.4) holds. Using the chain rule of partial differentiation, the

partial derivatives become

ux uξ ξ x uηη x

uy uξ ξ y uηη y

Substituting these expressions into the original differential equation (1.4), we get

Auξξ Buξη Cuηη Duξ Euη Fu G (1.8)

where

A Aξ x2 Bξ xξ y Cξ y2

B 2 Aξ xη x B (ξ xη y ξ yη x ) 2Cξ yη y

C Aη x2 Bη xη y Cη y2

D Aξ xx Bξ xy Cξ yy Dξ x Eξ y

E Aη xx Bη xy Cη yy Dη x Eη y

F F, G G (1.9)

It may be noted that the transformed equation (1.8) has the same form as that of the original

equation (1.4) under the general transformation (1.5).

Since the classification of Eq. (1.4) depends on the coefficients A, B and C, we can also

rewrite the equation in the form

Au xx Bu xy Cu yy H ( x, y , u , u x , u y ) (1.10)

It can be shown easily that under the transformation (1.5), Eq. (1.10) takes one of the

following three canonical forms:

(i) uξξ uηη φ (ξ , η , u, uξ , uη ) (1.11a)

or

uξη φ , (ξ , η , u , uξ , uη ) in the hyperbolic case

FUNDAMENTAL CONCEPTS 55

or

uηη φ (ξ , η , u, uξ , uη ) in the parabolic case

We shall discuss in detail each of these cases separately.

Using Eq. (1.9) it can also be verified that

B 2 4 AC (ξ xη y ξ yηx )2 ( B 2 4 AC )

and therefore we conclude that the transformation of the independent variables does not

modify the type of PDE.

Since the discriminant B 2 4 AC ! 0 for hyperbolic case, we set A 0 and C 0 in Eq. (1.9),

which will give us the coordinates ξ and η that reduce the given PDE to a canonical form

in which the coefficients of uξξ , uηη are zero. Thus we have

A Aξ x2 Bξ xξ y Cξ y2 0

C Aη x2 Bη xη y Cη 2y 0

which, on rewriting, become

2

§ξ · §ξ ·

A¨ x ¸ B ¨ x ¸ C 0

©ξ y ¹ ©ξ y ¹

2

§η · §η ·

A¨ x ¸ B ¨ x ¸ C 0

©η y ¹ ©ηy ¹

ξx B B 2 4 AC

ξy 2A

ηx B B 2 4 AC (1.12)

ηy 2A

real. Thus, if B 2 ! 4 AC , then at any point (x, y), there exists two real directions given by the

two roots (1.12) along which the PDE (1.4) reduces to the canonical form. These are called

characteristic equations. Though there are two solutions for each quadratic, we have considered

only one solution for each. Otherwise we will end up with the same two coordinates.

56 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

dξ ξ x dx ξ y dy 0

Hence,

dy §ξ ·

¨ x ¸ (1.13)

dx ©ξy ¹

dy §η ·

¨ x ¸ (1.14)

dx ©η y ¹

Integrating Eqs. (1.13) and (1.14), we obtain the equations of family of characteristics ξ ( x, y ) c1

and η ( x, y ) c2 , which are called the characteristics of the PDE (1.4). Now to obtain the

canonical form for the given PDE, we substitute the expressions of ξ and η into Eq. (1.8)

which reduces to Eq. (1.11a).

To make the ideas clearer, let us consider the following example:

3u xx 10u xy 3u yy 0

the given equation is a hyperbolic PDE. The corresponding characteristics are:

dy §ξ · § B B 2 4 AC · 1

¨ x ¸ ¨ ¸

dx ©ξ y ¹ ¨© 2A ¸¹ 3

dy §η · § B B 2 4 AC ·

¨ x ¸ ¨ ¸ 3

dx ©ηy ¹ ¨© 2A ¸¹

To find ξ and η , we first solve for y by integrating the above equations. Thus, we get

1

y 3 x c1 , y x c2

3

which give the constants as

c1 y 3 x, c2 y x /3

Therefore,

1

ξ y 3x c1 , η y x c2

3

FUNDAMENTAL CONCEPTS 57

These are the characteristic lines for the given hyperbolic equation. In this example, the

characteristics are found to be straight lines in the (x, y)-plane along which the initial data,

impulses will propagate.

To find the canonical equation, we substitute the expressions for ξ and η into Eq. (1.9) to get

B 2 AY xIx B (Y xI y Y y Ix ) 2CY y I y

¦ 1µ © ¦ 1µ ¸

2(3) ( 3) § ¶ 10 ª( 3)(1) 1§ ¶ ¹ 2(3) (1) (1)

¨ 3· « ¨ 3· º

¦ 10 µ 100 64

6 10 § ¶ 6 12

¨ 3· 3 3

C 0, D 0, E 0, F 0

Hence, the required canonical form is

64

uξη 0 or uξη 0

3

On integration, we obtain

u (ξ , η ) f (ξ ) g (η )

where f and g are arbitrary. Going back to the original variables, the general solution is

u ( x, y ) f ( y 3x) g ( y x /3)

if B 0 and A or C is equal to zero. Suppose we set first A 0 in Eq. (1.9). Then we

obtain

A Aξ x2 Bξ xξ y Cξ y2 0

or

2

§ξ · §ξ ·

A¨ x ¸ B ¨ x ¸ C 0

©ξy ¹ ©ξ y ¹

which gives

ξx B r B 2 4 AC

ξy 2A

58 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

ξx B

=− (1.15)

ξy 2A

dy ξ B

=− x =

dx ξ y 2A

and get the implicit solution

ξ ( x, y ) = C1

B = 2 Aξ x η x + B (ξ x η y + ξ y ηx ) + 2Cξ y η y

B = 2 Aξxηx + 2 AC (ξ xη y + ξ y ηx ) + 2Cξ y η y

= 2 ( Aξ x + C ξ y ) ( Aηx + C η y )

However,

ξx B 2 AC C

=− =− =−

ξy 2A 2A A

Hence,

B = 2 ( Aξ x − Aξ x ) ( Aη x + Cη y ) = 0

We therefore choose ξ in such a way that both A and B are zero. Then η can be chosen in

any way we like as long as it is not parallel to the ξ - coordinate. In other words, we choose η such

that the Jacobian of the transformation is not zero. Thus we can write the canonical equation

for parabolic case by simply substituting ξ and η into Eq. (1.8) which reduces to either of

the forms (1.11c).

To illustrate the procedure, we consider the following example:

x 2u xx − 2 xyu xy + y 2u yy = e x

everywhere. The characteristic equation is

dy ξ B 2 xy y

=− x = =− 2 =−

dx ξy 2A 2x x

FUNDAMENTAL CONCEPTS 59

On integration, we have

xy c

and hence ξ xy will satisfy the characteristic equation and we can choose η y. To find

the canonical equation, we substitute the expressions for ξ and η into Eq. (1.9) to get

A Ay 2 Bxy cx 2 x2 y 2 2 x2 y 2 y 2 x2 0

2

B 0, C y , D 2 xy

E 0, F 0, G ex

Hence, the transformed equation is

y 2uηη 2 xyuξ ex

or

η 2uηη 2ξ uξ eξ /η

The canonical form is, therefore,

2ξ 1

uηη u

2 ξ

eξ /η

η η2

dy B B 2 4 AC

dx 2A

dy B B 2 4 AC

dx 2A

give us complex conjugate coordinates, say ξ and η. Now, we make another transformation

from (ξ , η ) to (α , β ) so that

ξ η ξ η

α , β

2 2i

which give us the required canonical equation in the form (1.11b).

To illustrate the procedure, we consider the following example:

u xx x 2u yy 0

equations are

60 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

dy B B 2 4 AC 4 x 2

ix

dx 2A 2

dy B B 2 4 AC

ix

dx 2A

Integration of these equations yields

x2 x2

iy c1 , iy c2

2 2

Hence, we may assume that

1 2 1 2

ξx iy , η x iy

2 2

Now, introducing the second transformation

ξ η ξ η

α , β

2 2i

we obtain

x2

α

, β y

2

The canonical form can now be obtained by computing

A Aα x2 βα xα y cα 2y x2

B 2 Aα x β x B (α x β y α y β x ) 2c (α y β y ) 0

C Aβ x2 B β x β y c β y2 x2

D Aα xx Bα xy cα yy Dα x Eα y 1

E Aβ xx B β xy c β yy D β x E β y 0

F 0, G 0

x 2uαα x 2uββ uα 0

or

uα

uαα uββ

2α

FUNDAMENTAL CONCEPTS 61

y2 x2

y 2u xx − 2 xyu xy + x 2 u yy = ux + u y

x y

to a canonical form and solve it.

Solution The discriminant of the given PDE is

B 2 − 4 AC = 4 x 2 y 2 − 4 x 2 y 2 = 0

Hence the given equation is of a parabolic type. The characteristic equation is

dy ξ B −2 xy x

=− x = = =−

dx ξ y 2 A 2 y2 y

η - coordinate can be chosen arbitrarily so that it is not parallel to ξ , i.e. the Jacobian of the

transformation is not zero. Thus we choose

ξ = x2 + y 2 , η = y2

To find the canonical equation, we compute

A = Aξ x2 + Bξxξ y + Cξ 2y = 4 x 2 y 2 − 8 x 2 y 2 + 4 x 2 y 2 = 0

B = 0, C = 4 x2 y 2 , D=E =F =G=0

Hence, the required canonical equation is

4 x 2 y 2uηη = 0 or uηη = 0

uη = f (ξ ), u = f (ξ )η + g (ξ )

where f (ξ ) and g (ξ ) are arbitrary functions of ξ . Now, going back to the original independent

variables, the required solution is

u = y 2 f ( x2 + y 2 ) + g ( x2 + y 2 )

(1 + x 2 ) u xx + (1 + y 2 ) u yy + xu x + yu y = 0

B 2 − 4 AC = − 4 (1 + x 2 ) (1 + y 2 ) < 0

62 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

Hence the given PDE is an elliptic type. The characteristic equations are

dy B − B 2 − 4 AC − 4(1 + x 2 ) (1 + y 2 ) 1 + y2

= =− = −i

dx 2A 2(1 + x 2 ) 1 + x2

dy B + B 2 − 4 AC 1 + y2

= =i

dx 2A 1 + x2

On integration, we get

ξ = ln ( x + x 2 + 1) − i ln ( y + y 2 + 1) = c1

η = ln ( x + x 2 + 1) + i ln ( y + y 2 + 1) = c2

Introducing the second transformation

ξ +η η −ξ

α= , β=

2 2i

we obtain

α = ln ( x + x 2 + 1)

β = ln ( y + y 2 + 1)

Then the canonical form can be obtained by computing

A = Aα x2 + Bα xα y + Cα 2y = 1, B = 0, C = 1, D=E =F =G=0

Thus the canonical equation for the given PDE is

uαα + u ββ = 0

EXAMPLE 1.3 Reduce the following equation to a canonical form and hence solve it:

u xx − 2 sin xu xy − cos2 xu yy − cos xu y = 0

Solution Comparing with the general second order PDE (1.4), we have

A = 1, B = −2 sin x, C = − cos 2 x,

D = 0, E = − cos x, F = 0, G=0

The discriminate B 2 − 4 AC = 4 (sin 2 x + cos 2 x) = 4 > 0. Hence the given PDE is hyperbolic.

The relevant characteristic equations are

dy B − B 2 − 4 AC

= = − sin x − 1

dx 2A

dy B + B 2 − 4 AC

= = 1 − sin x

dx 2A

FUNDAMENTAL CONCEPTS 63

On integration, we get

y cos x x c1 , y cos x x c2

Thus, we choose the characteristic lines as

ξ x y cos x c1 , η x y cos x c2

In order to find the canonical equation, we compute

A Aξ x2 Bξ xξ y Cξ y2 0

B 2 Aξ xη x B (ξ xη y ξ yη x ) 2Cξ yη y

C 0, D 0, E 0, F 0, G 0

Thus, the required canonical equation is

uξη 0

Integrating with respect to ξ , we obtain

uη f (η )

where f is arbitrary. Integrating once again with respect to η , we have

u ³ f (η ) dη g (ξ )

or

u ψ (η ) g (ξ )

where g (ξ ) is another arbitrary function. Returning to the old variables x, y, the solution of

the given PDE is

u ( x, y ) ψ ( y x cos x) g ( y x cos x)

u xx xu yy 0, xz0

for all x, y to canonical form.

Solution The discriminant B 2 4 AC 4 x. Hence the given PDE is of mixed type:

hyperbolic for x 0 and elliptic for x ! 0.

dy ξx B B 2 4 AC 2 x

x

dx ξy 2A 2

dy ηx B B 2 4 AC

x

dx ηy 2A

64 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

Integration yields

2

y ( x)3/2 c1

3

2

y ( x)3/2 c2

3

Therefore, the new coordinates are

3

ξ ( x, y ) y ( x )3 c1

2

3

η ( x, y ) y ( x )3 c2

2

which are cubic parabolas.

In order to find the canonical equation, we compute

9 9

A Aξ x2 Bξ xξ y Cξ y2 x0 x 0

4 4

3

B 9 x, C 0, D ( x)1/2 E, F G 0

4

Thus, the required canonical equation is

3 3

9 xuξη ( x ) 1/2 uξ ( x )1/2 uη 0

4 4

or

1

uξη (uξ uη )

6 (ξ η )

dy dy

i x, i x

dx dx

On integration, we have

3 3

ξ ( x, y )

y i ( x )3 , η ( x, y ) y i ( x )3

2 2

Introducing the second transformation

ξ η ξ η

α , β

2 2i

we obtain

3

α y, β ( x )3

2

FUNDAMENTAL CONCEPTS 65

1

uαα u ββ uβ 0

3β

u xx 2u xy sin 2 ( x) u yy u y 0

when it is of hyperbolic type.

Solution The discriminant B2 – 4AC = 4 – 4sin2x = 4cos2x. Hence for all x ¹ (2n – 1)p/2,

the given PDE is of hyperbolic type. The characteristic equations are

dy B # B 2 4 AC

1 # cos x

dx 2A

On integration, we get

y x sin x c1 , y x sin x c2

Thus, the characteristic equations are

ξ y x sin x, η y x sin x

EXAMPLE 1.6 Reduce the following equation to a canonical form and hence solve it:

yu xx ( x y ) u xy xu yy 0

B 2 4 AC ( x y )2 4 xy ( x y )2 ! 0

Hence the given PDE is hyperbolic everywhere except along the line y = x; whereas on the

line y = x, it is parabolic. When y z x, the characteristic equations are

dy B # B 2 4 AC ( x y) # ( x y)

dx 2A 2y

Therefore,

dy dy x

1,

dx dx y

On integration, we obtain

y x c1 , y2 x 2 c2

Hence, the characteristic equations are

ξ y x, η y 2 x2

66 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

These are straight lines and rectangular hyperbolas. The canonical form can be obtained by

computing

A Aξ x2 Bξ xξ y Cξ y2 yx yx 0, B 2 ( x y )2 ,

C 0, D 0, E 2( x y ), F G 0

Thus, the canonical equation for the given PDE is

2( x y )2 uξη 2( x y ) uη 0

or

2ξ 2uξη 2(ξ ) uη 0

or

w § wu ·

ξ uξη uη ξ 0

w ξ ¨© w η ¸¹

Integration yields

wu

ξ f (η )

wη

Again integrating with respect to η , we obtain

1

u

ξ ³ f (η ) dη g (ξ )

Hence,

1

u

yx ³ f ( y 2 x 2 ) d ( y 2 x 2 ) g ( y x)

EXAMPLE 1.7 Classify and transform the following equation to a canonical form:

sin 2 ( x) u xx sin (2 x) u xy cos 2 ( x) u yy x

Hence, the given equation is of parabolic type. The characteristic equation is

dy B

cot x

dx 2A

Integration gives

y ln sin x c1

FUNDAMENTAL CONCEPTS 67

ξ y ln sin x, η y

η is chosen in such a way that the Jacobian of the transformation is nonzero. Now the

canonical form can be obtained by computing

A 0, B 0, C cos 2 x, D 1,

E 0, F 0, G x

Hence, the canonical equation is

cos2 ( x) uηη uξ x

or

[1 e2 (η ξ ) ] uηη sin 1 (eη ξ ) uξ

2N 1

u xx utt ux

a2 x

where N and a are constants, is hyperbolic and obtain its canonical form.

Solution Comparing with the general PDE (1.4) and replacing y by t, we have A 1, B 0,

given PDE is hyperbolic. The characteristic equations are

dt B # B 2 4 AC 4/ a 2 1

# #

dx 2A 2 a

Therefore,

dt 1 dt 1

,

dx a dx a

On integration, we get

x x

t c1 , t c2

a a

Hence, the characteristic equations are

ξ x at , η x at

The canonical form can be obtained by computing

A Aξ x2 Bξ xξt Cξ t2 0,

2N 2N

C 0, D Dξ x Eξt , E Dη x Eηt

x x

68 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

2N

4uξη (uξ uη ) 0

x

Expressing x in terms of ξ and η , the required canonical equation is

N

uξη (u u ) 0

ξ η ξ η

u xx 2u xy 4u yy 2u x 3u y 0

Solution The discriminant B 2 4 AC 12 0. Hence, the given PDE is elliptic. The

characteristic equations are

dy B B 2 4 AC

1 i 3

dx 2A

dy B B 2 4 AC

1 i 3

dx 2A

Integration of these equations yields

y (1 i 3) x c1 , y (1 i 3) x c2

Hence, we may take the characteristic equations in the form

ξ y (1 i 3) x, η y (1 i 3) x

In order to avoid calculations with complex variables, we introduce the second transformation

ξ η ξ η

α , β

2 2i

Therefore,

α y x, β 3x

The canonical form can now be obtained by computing

A Aα x2 Bα xα y Cα 2y 3

B 2 Aα x β x B (α x β y α y β x ) 2Cα y β y 0

C Aβ x2 B β x β y C β y2 3

D Aα xx Bα xy Cα yy Dα x Eα y 1

E Aβ xx B β xy C β yy D β x E β y 2 3

F 0, G 0

FUNDAMENTAL CONCEPTS 69

3uαα 3u ββ uα 2 3u β 0

or

1

uαα u ββ (uα 2 3u β )

3

Let

Lu φ (1.16)

where L is a differential operator given by

dn d n 1

L a0 ( x) a1 ( x)

an ( x)

dx n dx n 1

One way of introducing the adjoint differential operator L* associated with L is to form the

product vLu and integrate it over the interval of interest. Let

B B

³A vLu dx [ ] BA ³A uL * v dx (1.17)

which is obtained after repeated integration by parts. Here, L* is the operator adjoint to L,

where the functions u and v are completely arbitrary except that Lu and L*v should exist.

EXAMPLE 1.10 Let Lu a ( x) (d 2u /dx 2 ) b( x) (du /dx) c( x)u; construct its adjoint L*.

Solution Consider the equation

B B ª d 2u du º

³A vLu dx ³A v « a ( x) 2 b( x)

¬« dx dx

c( x)u » dx

¼»

B d 2u B du B

³A (av)

dx 2

dx ³A (bv)

dx

dx ³A (cv) u dx

However,

B

d 2u B

d

Ô A

(av)

dx 2

dx Ô A

(av)

dx

(u )dx

B

[u va ] BA Ô A

(av) u dx

B

[u av] BA [u (av) ] BA Ô A

u (av) dx

B B

du

Ô A

(bv)

dx

dx [u (bv)] BA Ô A

u (bv) dx

B B

Ô A

(cv) u dx Ô A

u (cv) dx

70 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

Therefore,

B B

³A vLu dx [u c (av) u (av) c u (bv)] BA ³A u [(av)cc (bv)c (cv)] dx

Comparing this equation with Eq. (1.17), we get

Therefore,

d2 d

L* a 2

(2a c b) (a cc b c c)

dx dx

Consider the partial differential equation

L(u ) Au xx 2 Bu xy Cu yy Du x Eu y Fu φ (1.18)

In addition, linear boundary conditions of the general form

α u β ux f

³³ vLu dσ [ ] ³³ uL * v dσ

S S

where the integrated part [ ] is a line integral evaluated over w S , the boundary of S, then L*

is called the adjoint operator. In general, a second order linear partial differential operator L

is denoted by

n n

w 2u wu

L(u ) ¦ Aij

w xiw x j i ¦ Bi w xi Cu (1.19)

i, j 1 1

n n

w2 w

L * (v ) ¦ w xiw x j

( Aij v) ¦ w xi (Bi v) Cv (1.20)

i, j 1 i 1

Here it is assumed that Aij C (2) and Bi C (1). For any pair of functions u , v C (2) , it can

be shown that

w Ë È wu wv Ø È w Aij Ø Û

n n n

vL(u ) uL * (v) Ç Ì

w xi Ì Ç Aij É v

Ê w xj

u Ù

w xj Ú

uv É Bi

Ê

Ç wx ÙÜ

j ÚÜ

(1.21)

i 1 Í j 1 j 1 Ý

This is known as Lagrange’s identity.

FUNDAMENTAL CONCEPTS 71

L(u ) u xx u yy (1.22)

Solution Comparing Eq. (1.22) with the general linear PDE (1.19), we have

A11 1, A22 1. From Eq. (1.20), the adjoint of (1.22) is given by

w2 w2

L * (v ) (v ) (v ) vxx v yy

w x2 w y2

Therefore,

L * (u ) u xx u yy

Hence, the Laplace operator is a self-adjoint operator.

L (u ) u xx ut (1.23)

Solution Comparing Eq. (1.23) with the general second order PDE (1.19), we have

A11 1, B1 1. From Eq. (1.20), the adjoint of (1.23) is given by

w2 w

L * (v ) (v ) ( v ) vxx vt

wx 2 wt

Therefore,

L * (u ) u xx ut

It may be noted that the diffusion operator is not a self-adjoint operator.

In Section 1.2, we have noted with interest that a linear second order PDE

L(u ) G ( x, y )

in the xy-plane whose equations are

ξ f1 ( x, y ) c1 , η f 2 ( x, y ) c2

Here, (ξ , η ) are the natural coordinates for the hyperbolic system. In the xy-plane, the curves

ξ ( x, y ) c1 and η ( x, y ) c2 are the characteristics of the given PDE as shown in Fig. 1.1(a),

while in the ξη -plane, the curves ξ c1 and η c2 are families of straight lines parallel to

the axes as shown in Fig. 1.1(b).

72 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

y

I

Characteristics Characteristics

Y = const.

x

O

I = const. Y

O

(a) (b)

Fig. 1.1 Families of characteristic lines.

A linear second order partial differential equation in two variables, once classified as a

hyperbolic equation, can always be reduced to the canonical form

w 2u

F ( x, y , u , u x , u y )

wxw y

In particular, consider an equation which is already reduced to its canonical form in the

variables x, y:

w 2u wu wu

L(u ) a b cu F ( x, y ) (1.24)

wxw y wx wy

where L is a linear differential operator and a, b, c, F are functions of x and y only and are

differentiable in some domain IR .

Let v ( x, y ) be an arbitrary function having continuous second order partial derivatives.

Let us consider the adjoint operator L* of L defined by

w 2v w w

L * (v ) (av) (bv) cv (1.25)

wxw y wx wy

Now we introduce

wv wu

M auv u , N buv v (1.26)

wy wx

then

Mx Ny u x (av) u (av) x u x v y uvxy u y (bv) u (bv) y v y u x vu xy

FUNDAMENTAL CONCEPTS 73

ª w 2v w w º ª w 2u wu wu º

Mx Ny u « (av) (bv) cv » v « a b cu »

«¬ w x w y w x wy »¼ «¬ w x w y wx wy »¼

i.e.

vLu uL*v Mx Ny (1.27)

This is known as Lagrange identity which will be used in the subsequent discussion. The

operator L is a self-adjoint if and only if L = L*. Now we shall attempt to solve Cauchy’s

problem which is described as follows: Let

L(u ) F ( x, y ) (1.28)

with the condition (Cauchy data)

(i) u f ( x) on Γ, a curve in the xy-plane;

wu

(ii) g ( x) on (.

wn

That is u, and its normal derivatives are prescribed on a curve * which is not a characteristic line.

Let * be a smooth initial curve which is also continuous as shown in Fig. 1.2. Since

Eq. (1.24) is in canonical form, x and y are the characteristic coordinates. We also assume that

the tangent to * is nowhere parallel to the coordinate axes.

Q P(Y, I)

IR

Data curve R

x

O

Let P(ξ , η ) be a point at which the solution to the Cauchy problem is sought. Let us draw

the characteristics PQ and PR through P to meet the curve Γ at Q and R. We assume that

u, ux, uy are prescribed along Γ. Let w IR be a closed contour PQRP bounding IR . Since

Eq. (1.28) is already in canonical form, the characteristics are lines parallel to x and y axes.

Using Green’s theorem, we have

ÔÔ ( M x N y )dxdy vÔ IR ( M dy N dx ) (1.29)

R

74 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

where ∂ IR is the boundary of IR . Applying this theorem to the surface integral of Eq. (1.27),

we obtain

IR

In other words,

Ú Γ

( M dy - N dx) + Ú RP

( M dy - N dx) + Ú PQ

( M dy - N dx) = ÚÚ [vL(u) - uL * (v)] dx dy

R

IR

Q Q

∫ PQ N dx = ∫P buv dx + ∫P vux dx

Integrating by parts the second term on the right-hand side and grouping, the above equation

becomes

Q

ÚPQ

N dx = [uv] Qp + ÚP

u (bv - vx ) dx

− ∫ Γ (M dy − N dx) + ∫∫ [vL(u) − uL * (v)] dx dy (1.32)

IR

L * (v ) = 0 (1.33)

and at the same time satisfy the following conditions:

(i) vx = bv when y = η , i.e., on PQ (1.34a)

(ii) v y = av when x = ξ , i.e., on PR (1.34b)

(iii) v =1 when x = ξ , y =η (1.34c)

Since L(u ) = F , Eq. (1.32) reduces to

FUNDAMENTAL CONCEPTS 75

IR

This is called the Riemann-Green solution for the Cauchy problem described by Eq. (1.28)

when u and ux are prescribed on *. Equation (1.35) can also be written as

[u ] P [uv]Q Ô *

uv (a dy b dx ) Ô *

(uv y dy vu x dx) ÔÔIR (vF ) dx dy (1.36)

This relation gives us the value of u at a point P when u and ux are prescribed on Γ. But when

u and uy are prescribed on Γ, we obtain

IR

1 1

[u ]P

2

{[uv]Q [uv]R }

( ³

uv (a dy b dx)

2 ( ³

u (vx dx v y dy )

1

³

2 (

v (u x dx u y dy ) ³³ (vF ) dx dy (1.38)

IR

Thus, we can see that the solution to the Cauchy problem at a point (ξ , η ) depends only

on the Cauchy data on Γ. The knowledge of the Riemann-Green function therefore enables

us to solve Eq. (1.28) with the Cauchy data prescribed on a noncharacteristic curve.

w 2u

F ( x, y )

wxw y

given

(i) u f ( x) on Γ

wu

(ii) g ( x) on Γ

wn

where Γ is the curve y x.

Solution Here, the given PDE is

w 2u

L(u ) F ( x, y ) (1.39)

wxw y

76 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

M auv uv y , N buv vu x

and comparing the given equation (1.39) with the standard canonical form of hyperbolic

equation (1.24), we have

a b c 0

Therefore,

M uv y , N vu x (1.40)

and

Mx Ny vu xy uvxy vL(u ) uL * (v)

Thus,

w 2v (1.41)

L * (v )

wxw y

Here, L = L* and is a self-adjoint operator. Using Green’s theorem

³³ (M x N y ) dx dy ³w IR (M dy N dx)

IR

we have

IR

or

IR

But

where

§ wv wu ·

³ Γ (M dy N dx) ³ Γ ¨© u w y dy v w x dx ¸¹

From Fig. 1.3, we have on Γ, x y. Therefore, dx dy. Hence

§ wv wu·

³ Γ (M dy N dx) ³ Γ ¨© u w y v w x ¸¹ dx (1.44)

FUNDAMENTAL CONCEPTS 77

y

y =η

P(ξ, η) Q

x=ξ x

y=

R

x

O

∂u

∫QP (M dy − N dx) = ∫QP − N dx = ∫QP − v ∂x dx (1.45)

∂v

∫PR (M dy − N dx) = ∫PR M dy = ∫PR −u ∂ y dy (1.46)

Substituting Eqs. (1.44)–(1.46) into Eq. (1.43), we obtain from Eq. (1.42), the relation

⎛ ∂v ∂u ⎞ ∂u ∂v

∫∫ [vF − uL * (v)] dx dy = ∫Γ ⎜⎝ −u ∂ y dx − v ∂ x dx ⎟⎠ + ∫QP −v ∂ x dx + ∫PR −u ∂ y dy

IR

But

∂u ∂v

∫QP −v ∂ x dx = [−vu] Q + ∫QP u ∂ x dx

P

Therefore,

⎛ ∂v ∂u ⎞

∫∫ [vF − uL * (v)] dx dy = ∫Γ ⎜⎝ −u ∂ y dx − v ∂ x dx ⎟⎠

IR

∂v ∂v

∫QP u ∂ x dx + ∫PR − u ∂ y dy

P

+ [−vu ] Q + (1.47)

∂v

(ii) =0 when y = η , i.e., on QP

∂x

78 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

wv

(iii) 0 when x ξ , i.e., on PR

wy

(iv) v 1 at P (ξ , η ).

Equation (1.47) becomes

§ wv wu ·

³³ (vF ) dx dy ³ ( ¨© u w y dx v w x dx ¸¹ (uv)Q (u)P

IR

or

§ wv wu ·

(u ) P (uv)Q ³ ( ¨© u w y dx v w x dx ¸¹ ³³ (v F ) dx dy (1.48)

IR

However,

© w w ¸

(uv) R

(uv)Q ± ( d (uv) ±( ª w x (uv) dx w y (uv) dy ¹

« º

±( (u x v dx uvx dx u y v dy uv y dy )

Now Eq. (1.48) can be rewritten as

IR

1 1

(u ) P

2

[(uv)Q (uv) R ]

2 ( ³

(uvx dx vu x dx)

1

³

2 (

(u y v dy uv y dy ) ³³ (vF ) dx dy

IR

EXAMPLE 1.14 Verify that the Green function for the equation

w 2u 2 §w u w u ·

0

w x w y x y ©¨ w x w y ¹¸

subject to u 0, w u /w x 3x 2 on y x, is given by

( x y ) {2 xy (ξ η ) ( x y ) 2ξη}

v ( x, y; ξ , η )

(ξ η )3

and obtain the solution of the equation in the form

u ( x y ) (2 x 2 xy 2 y 2 )

FUNDAMENTAL CONCEPTS 79

w 2u 2 wu 2 wu

L(u ) 0 (1.50)

wxw y x y wx x y w y

Comparing this equation with the standard canonical hyperbolic equation (1.24), we have

2

a b , C 0, F 0

x y

Its adjoint equation is L * (v) 0, where

w 2v w § 2v · w § 2 v ·

L * (v ) . (1.51)

w x w y w x ©¨ x y ¸¹ w y ¨© x y ¸¹

such that

(i) L * v 0 throughout the xy-plane

wv 2

(ii) v on PQ, i.e., on y η

wx x y

wv 2

(iii) v on PR, i.e., on x ξ

wy x y

(1.52)

(iv) v 1 at P(ξ , η ).

If v is defined by

( x y)

v ( x, y; ξ , η ) [2 xy (ξ η ) ( x y ) 2ξη ] (1.53)

(ξ η )3

Then

wv x y ª 2 xy (Y I ) ( x y ) 2YI º

[2 y (Y I )] « »

wx (Y I )3 ¬ (Y I )3 ¼

or

wv 1

[4 xy 2 y 2 2 x (Y I ) 2YI ] (1.54)

wx (Y I ) 3

and

w 2v 4( x y )

(1.55)

wxw y (ξ η )3

wv 1

[4 xy 2 x 2 2 y (ξ η ) 2ξη ] (1.56)

wy (ξ η )3

80 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

w 2v 2 §wv wv · 4v

L * (v )

w x w y x y ©¨ w x w y ¹¸ ( x y )2

4 ( x y) 2

[4 xy 2 ( x 2 y 2 )]

(ξ η ) 3

( x y ) (ξ η ) 3

or

4 ( x y) 4 ( x y)

L * (v ) 3

0

(Y I ) (Y I )3

Hence condition (i) of Eq. (1.52) is satisfied. Also, on y η.

wv 1

[4 xI 2I 2 2 x (Y I ) 2YI ]

wx (Y I ) 3

or

wv 1

[2η 2 2 x (ξ η ) 2ξη ] (1.57)

wx y η (ξ η ) 3

2v 2 x η

[2 xη (ξ η ) ( x η ) 2ξη ]

x y x η (ξ η )3

1

[2η 2 2 x (ξ η ) 2ξη ] (1.58)

(ξ η ) 3

wv 2

v at y η

wx x y

Thus, property (ii) in Eq. (1.52) has been verified. Similarly, property (iii) can also be

verified. Also, at x ξ , y η ,

ξ η (ξ η ) (ξ η ) 2

v [2ξη (ξ η )2 2ξη ] 1

(ξ η ) 3

(ξ η )3

Thus property (iv) in Eq. (1.52) has also been verified.

FUNDAMENTAL CONCEPTS 81

w 2u w 2v w § 2vu · w § 2vu ·

vL(u ) uL * (v) v u

w x wy w x w y w x ¨© x y ¸¹ w y ¨© x y ¸¹

w § w u · w § w v · w § 2vu · w § 2vu ·

¨v ¸ u

w y © w x ¹ w x ¨© w y ¸¹ w x ¨© x y ¸¹ w y ¨© x y ¸¹

w § 2vu w v · w § 2vu wu ·

¨ u ¸ ¨ v ¸

wx©x y w y¹ w y ©x y wx¹

wM wN

wx wy

where

2uv wv 2vu wu

u M , N v

x y wy x y wx

Now using Green’s theorem, we have

Q

³³ [vL(u) uL * (v)] dx dy ³w IR (M dy N dx) ³R (M dy N dx)

IR

P R

³Q (M dy N dx) ³P (M dy N dx) (1.59)

Q ª 2uv wv½ 2uv wu½ º

³R «®

¬¯ x y

u ¾ dy ®

w y¿ ¯x y

v ¾ dx »

w x¿ ¼

P ª 2uv w u ½º R ª 2uv w v ½º

³Q «®

¬¯ x y

v ¾» dx

w x ¿¼ ³P «®

¬¯ x y

u ¾» dy

w y ¿¼

However,

P § 2uv wu · P 2uv P wv

³Q ¨© x y v w x ¸¹ dx ³Q ³Q u w x dx

P

dx (uv) Q

x y

Now, using the condition u 0 on y x, Eq. (1.59) becomes

Q § 2uv wv · Q § 2uv wu ·

³³ [vL(u) uL * (v)] dx dy ³R ¨© x y u w y ¹¸ dy ³R ¨© x y v w x ¹¸ dx

IR

P 2uv P wv

³Q x y

dx (uv) P (uv)Q ³Q u w x dx

P 2uv R § wv ·

³Q x y

dy ³P u

©¨ w y ¹¸

dy

82 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

Also, using conditions (ii)–(iv) of Eq. (1.52), the above equation simplifies to

Q wu

(u ) P (uv)Q ³R v

wx

dx

wu

3x 2 on RQ

wx

we obtain

Q ª 2 x [2 x 2 2YI ] º

(u ) P (uv)Q 3 ³R x2 «

«¬ (Y I )

3 » dx

»¼

12 I

(Y I ) 3 ³Y ( x5 x3YI ) dx

12 ª1 6 6 1 4 4 º

«¬ 6 (I Y ) 4 YI (I Y ) »¼

3

(Y I )

Y 2 I2

[2 (Y 4 Y 2I 2 I 4 ) 3YI (Y 2 I 2 )]

(Y I )3

(Y I ) (2Y 2 YI 2I 2 )

Therefore,

u ( x, y ) ( x y ) (2 x 2 xy 2 y 2 )

Hence the result.

EXAMPLE 1.15 Show that the Green’s function for the equation

w 2u

u 0

wxw y

is

v ( x, y; Y , I ) J0 2 ( x Y ) ( y I)

where J0 denotes Bessel’s function of the first kind of order zero.

Solution Comparing with the standard canonical hyperbolic equation (1.24), we have

a b 0, c 1

It is a self-adjoint equation and, therefore, the Green’s function v can be obtained from

w 2v

v 0

wxw y

FUNDAMENTAL CONCEPTS 83

subject to

wv

0 on y η

wx

wv

0 on x ξ

wy

v 1 at x ξ , y η

Let

φk a ( x ξ ) ( y η)

wv w v wφ

wx wφ w x

But

wφ

kφ k 1 a ( y η)

wx

Therefore,

wφ a 1 k

φ ( y η)

wx k

Thus,

wv w v a 1 k

φ ( y η)

wx wφ k

w 2v w ª w v a 1 k º

« φ ( y η )»

wxw y w y ¬w φ k ¼

a ª 1 k w v w v wφ w 2v w φ º

«φ (1 k ) φ k ( y η ) φ 1 k ( y η ) 2 »

k ¬« wφ wφ w y w φ w y »¼

However,

wφ a 1 k

φ (x ξ )

wy k

Therefore,

w 2v a ª 1 k w v k a 1 k w v 1 k w 2 v a 1 k º

« φ (1 k ) φ ( x ξ ) ( y η ) φ φ ( y η ) φ ( x ξ )»

wxw y k ¬« wφ k wφ wφ k2

¼»

84 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

Hence,

∂ 2v

+v=0

∂x∂ y

gives

a ⎡ φ k 2 (1− k ) d 2 v φ 1− k dv dv ⎤

⎢ φ + (1 − k ) + φ 1− k ⎥+v=0

k ⎢⎣ k dφ 2 k dφ dφ ⎥⎦

or

a ⎛ 2− k d 2 v 1− k dv

⎞

⎜ φ + φ +v=0

k2 ⎝ dφ 2 dφ ⎟⎠

or

k2 k

φ 2 v ′′ + φ v ′ + φ v=0

a

Let k = 2, a = 4. Then the above equation reduces to

1

φ 2 v ′′ + φ v ′ + φ 2 v = 0 = v ′′ + v ′ + v (Bessel’s equation)

φ

Its solution is known to be of the form

v = J 0 (φ ) = J 0 2( x − ξ )( y − η)

which is the desired Green’s function.

COEFFICIENTS

An nth order linear PDE with constant coefficients can be written in the form

a0 + a1 + a2 + L + an

∂x n ∂x n -1∂y ∂x n - 2 ∂ 2 y ∂y n

= f(x, y) (1.60)

where a0, a1, …, an are constants; u is the dependent variable; x and y are independent

∂ ∂

variables. Introducing the standard differential operator notation, such as D = , D¢ = ,

∂x ∂y

the above equation can be rewritten as

F(D, D¢)u = (a0Dn + a1Dn–1D¢ + a2Dn–2D¢2 + … + anD¢n)u = f(x, y) (1.61)

FUNDAMENTAL CONCEPTS 85

F ( D, D ¢)u = Â ÂC D D¢

i j

ij

i j

(1.62)

∂ ∂ ∂n ∂n

where Cij are constants, D = , D ¢ = , D n = n , D ¢ n = n , etc.

∂x ∂y ∂x ∂y

As in the case of linear ODE with constant coefficients, the complete solution of Eq. (1.61)

consists of two parts:

(i) the complementary function (CF), which is the most general solution of the

equation F(D, D¢)u = 0, the one containing, n arbitrary functions, where n is the

order of the DE.

(ii) the particular integral (PI), is a particular solution, which is free from arbitrary

constants or functions of the equation F(D, D¢)u = f(x, y).

The complete solution of Eq. (1.61) is then

u = CF + PI (1.63)

It may be noted that, if all the terms on the left-hand side of Eq. (1.61) are of the same

order, it is said to be a homogeneous equation otherwise, it is a non-homogeneous equation.

Now, we shall study few basic theorems as is the case in ODEs.

Theorem 1.1 If uCF and uPI are respectively the complementary function and particular

integral of a linear PDE, then their sum (uCF + uPI) is a general solution of the given PDE.

Proof Since F(D, D¢)uCF = 0,

and F(D, D¢)uPI = f(x, y),

we arrive at

F(D, D¢)uCF + F(D, D¢)uPI = f(x, y).

showing that (uCF + uPI) is in fact a general solution of Eq. (1.61). Hence proved.

Theorem 1.2 If u1, u2, …, un are the solutions of the homogeneous PDE: F(D, D¢)u = 0,

n

then ÂC u , where C

i =1

i i i are arbitrary constants, is also a solution.

F(D, D¢)(Ciui) = CiF(D, D¢)ui

n n

and F ( D, D ¢) Âi =1

vi = Â F (D, D ¢)v

i =1

i

86 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

n n

F ( D, D ) Ç i 1

Ci ui Ç F (D, D )(C u )

i 1

i i

Ç C F (D, D )u

i 1

i i 0

Hence proved.

We shall now classify linear differential operator F(D, D¢) into reducible and irreducible

types, in the sense that F(D, D¢) is reducible if it can be expressed as the product of linear

factors of the form (aD + bD¢ + c), where a, b and c are constants, otherwise F(D, D¢) is

irreducible. For example, the operator

F(D, D¢)u = (D2 – D¢2 + 3D + 2D¢ + 2)u

= (D + D¢ + 1)(D – D¢ + 2)u

is reducible. While the operator F(D, D¢)u = (D2 – D¢), is irreducible, due to the fact that it

cannot be factored into linear factors.

Linear PDE

The general strategy adopted for finding the CF of reducible equations is stated in the

following theorems:

Theorem 1.3 If the operator F(D, D¢) is reducible that is, if (aiD + biD¢ + ci) is a factor of

F(D, D¢) and fi(x) is an arbitrary function of a single variable x, then, if ai ¹ 0,

È c Ø

ui = exp É i x Ù fi(bix – aiy) (1.64)

Ê ai Ú

is a solution of the equation F(D, D¢)u = 0 (Sneddon, 1986).

Proof Using product rule of differentiation, Eq. (1.64) gives

È ci Ø È ci Ø È c Ø

Dui ÉÊ a ÙÚ exp ÉÊ a x Ù Ii (bi x ai y) bi exp É i x Ù Ii(bi x ai y)

i i Ú Ê ai Ú

ci È c Ø

ui bi exp É i x Ù I (bi x ai y).

ai Ê ai Ú

Similarly, we get

È c Ø

D ui ai exp É i x Ù I (bi x ai y).

Ê ai Ú

FUNDAMENTAL CONCEPTS 87

(aiD + biD¢ + ci)ui = 0 (1.65)

That is, if the operator F(D, D¢) is reducible, the order in which the linear factors appear

is immaterial. Thus, if

ÏÔ n ¸Ô

F ( D, D ¢)ui = Ì

ÔÓ

’ ¢(a D + b D ¢ + c )˝Ô (a D + b D ¢ + c )u

j j j i i i i (1.66)

j =1 ˛

where, the prime on the product indicates that the factor corresponding to i = j is omitted.

Combining Eqs. (1.65) and (1.66), we arrive at the result F(D, D¢)ui = 0. Hence proved.

It may be noted that if no two factors of Eq. (1.65) are linearly independent, then the

general solution of Eq. (1.66) is the sum of the general solutions of the equations of the form

(1.65). For illustration, we consider the following examples:

EXAMPLE 1.16 Solve the following equation (D2 + 2DD¢ + D¢2 – 2D – 2D¢)u = 0.

Solution Observe that the given PDE is non-homogeneous and can be factored as

(D2 + 2DD¢ + D¢2 – 2D – 2D¢)u = (D + D¢)(D + D¢ – 2)u.

Using the result of Theorem 1.3, we get the general solution or the CF as

uCF = f1(x – y) + e2xf2(x – y).

On similar lines, we can also establish the following result:

Theorem 1.4 (Sneddon, 1986) Let (bi D¢ + ci) is a factor of F(D, D¢)u, and fi(x) is an

arbitrary function of a single variable x, then, if bi π 0, we have

Ê c ˆ

ui = exp - i

ÁË b y ˜ fi(bix) (1.67)

i ¯

Proof Suppose, the factorisation of F(D, D¢) = 0 gives rise to a multiple factors of the

form (aiD + biD¢ + ci)n, the solution of F(D, D¢)u = 0 can be obtained by the application of

Theorems 1.3 and 1.4. For example, let us find the solution of

(aiD + biD¢ + ci)2u = 0 (1.68)

We set,

(aiD + biD¢ + ci)u = U,

then, Eq. (1.68) becomes

(aiD + biD¢ + ci)U = 0.

Using Theorem 1.3, its solution is found to be

Ê c ˆ

U = exp Á - i x ˜ fi(bix – aiy).

Ë ai ¯

88 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

Ê c ˆ

(aiD + biD¢ + ci)u = exp Á - i x ˜ fi(bix – aiy).

Ë ai ¯

This is a first order PDE. Using the Lagrange’s method (Section 0.8), its auxiliary equations

are

dx dy du

= = (1.69)

ai bi Ê ci ˆ

-ci u + exp Á - x ˜ fi (bi x - ai y)

Ë ai ¯

One solution of which is given by

bix – aiy = l (a constant) (1.70)

Substituting this solution into the first and third of the auxiliary equations, we obtain

dx du

=

ai Ê c ˆ

-ci u + exp Á - i x ˜ fi (l )

Ë ai ¯

du ci 1 Ê c ˆ

or + u = exp Á - i x ˜ f i ( l ).

dx ai ai Ë ai ¯

This being an ODE, its solution can be readily written as

Êc ˆ 1

u exp Á i x ˜ = xfi (l ) + m (constant)

Ë ai ¯ ai

1 Ê c ˆ

or u= [ xfi (l ) + m ] exp Á - i x˜ (1.71)

ai Ë ai ¯

Thus, the solution of Eq. (1.68) is given by

u = [xfi(bix – aiy) + yi(bix – aiy]e–ci/aix (1.72)

where fi and yi are arbitrary functions.

In general, if there are n, multiple factors of the form (aiD + biD¢ + ci), then the solution

of (aiD + biD¢ + ci)n u = 0 can be written as

Ê c ˆÈ n ˘

u = exp Á - i

Ë ai

Â

x ˜ Í x j -1fij (bi x - ai y) ˙

¯ ÍÎ j =1 ˙˚

(1.73)

FUNDAMENTAL CONCEPTS 89

EXAMPLE 1.17 Find the solution of the equation (2D – D¢ + 4)(D + 2D¢ + 1)2u = 0.

Solution The complementary function (CF) corresponding to the factor (2D – D¢ + 4)

is e–2x f(–x – 2y). Similarly, CF corresponding to

(D + 2D¢ + 1)2 is e–x[y1(2x – y) + xy2(2x – y)].

Thus, the CF for the given PDE is given by

u = e–2xf(x + 2y) + e–x[y1(2x – y) + xy2(2x – y)],

where, f, y1, y2 are arbitrary functions.

If the operator F(D, D¢) is irreducible, we can find the complementary function, containing

as many arbitrary functions as we wish by a method which is stated in the following theorem:

Theorem 1.5 The solution of irreducible PDE F(D, D¢)u = 0 is

u Ç ci exp(ai x bi y) (1.74)

i 1

Proof Let us assume the solution of F(D, D¢)u = 0 in the form, u = ceax+by, where a, b and

c are constants to be determined. Then, we have

Diu = caieax+by, D¢ju = cb j eax+by,

DiD¢ju = caib jeax+by

Thus, F(D, D¢)u = 0 yields

c[F(a, b)]eax+by = 0

where c is an arbitrary constant, not zero, holds true iff

F(a, b) = 0, (1.75)

indicating that there exists infinite pair of values (ai, bi) satisfying Eq. (1.75). Hence,

u Ç ci ea x b y

i i

(1.76)

i 1

F(D, D¢)u = 0, (1.77)

provided F(ai, bi) = 0 (1.78)

It may be noted that this method is applicable even for reducible equations. Here follows

an example for illustration:

EXAMPLE 1.18 Solve the following equation (2D2 – D¢2 + D)u = 0.

Solution The given equation is an irreducible non-homogeneous PDE. Using the result

of Theorem 1.5, it follows immediately that

90 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

•

u = uCF = Â ci ea x +b y

i i

i =1

where ai, bi are related by F(ai, bi) = 0.

That is,

2ai2 – bi2 + ai = 0

which gives bi2 = 2ai2 + ai.

To find the PI of Eq. (1.61), we rewrite the same in the form

1

u= f ( x, y) (1.79)

F ( D, D ¢)

Very often, the operator F–1(D, D¢) can be expanded, using binomial theorem and interpret

the operators D–1, (D¢)–1 as integrations. That is,

1

D -1 f ( x, y) =

D

f ( x, y) = Ú f ( x, y)dx ,

y constant

1

and

D¢

f ( x , y) = Ú f ( x, y)dy.

x constant

We present below different cases for finding the PI, depending on the nature of f(x, y).

Case I Let f(x, y) = exp(ax + by), then

1 1

eax + by = e ax + by (1.80)

F ( D, D ¢) F (a, b)

By direct differentiation, we find DiD¢jeax+by = aib j eax+by.

In other words,

F(D, D¢)eax+by = F(a, b)eax+by,

that is,

1

e ax + by = F (a, b) e ax + by .

F ( D, D ¢)

Dividing both sides by F(a, b), we get

1 1

eax + by = e ax + by ,

F ( D, D ¢) F (a, b)

provided F(a, b) π 0.

Case II Let f(x, y) = sin(ax + by) or cos(ax + by), where a and b are constants, then, since

D2 sin(ax + by) = –a2 sin(ax + by)

DD¢ sin(ax + by) = –ab sin(ax + by)

FUNDAMENTAL CONCEPTS 91

We notice that

1

sin(ax + by)

F ( D, D¢)

is obtained by setting, D2 = –a2, DD¢ = –ab, D¢2 = –b2 provided F(D, D¢) π 0. Thus,

F(D2, DD¢, D¢2) sin(ax + by) = F(–a2, –ab, –b2) sin(ax + by)

1 1

or sin( ax + by) = sin( ax + by) (1.81)

F ( D , DD ¢, D ¢ )

2 2

F ( - a , - ab, - b 2 )

2

Similarly,

1 1

cos(ax + by) = cos(ax + by) (1.82)

F ( D , DD ¢, D ¢ )

2 2

F ( - a , - ab, - b2 )

2

Case III Let f(x, y) is of the form xpyq, where p and q are positive integers. Then, the PI

can be obtained by expanding F(D, D¢) in ascending powers of D or D¢.

Case IV Let f(x, y) is of the form eax+by f(x, y).

Then,

F(D, D¢)[eax+by f(x, y)] = eax+by F(D + a, D¢ + b) f(x, y).

Let us recall Leibnitz’s theorem for the nth derivative of a product of functions; thus, we have

n

D n [eax f ] = Â ncr (Dr eax )(Dn-rf )

r =0

Ê n ˆ

Â

= e ax Á ncr ar D n -r f ˜

Ë r =0 ¯

= eax(D + a)nf

Applying this result, we arrive at

F(D, D¢)[eax+byf(x, y)] = eax+by F(D + a, D¢ + b) f(x, y) (1.83)

Hence, it follows that

1 1

[e ax + byf ( x, y)] = e ax + by f ( x, y)

F ( D, D ¢) F ( D + a, D ¢ + b)

1

= e ax ◊ ebyf ( x, y)

F ( D + a, D ¢)

1

= eby ◊ e ax f ( x, y) (1.84)

F ( D, D ¢ + b)

92 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

For illustration of various cases to find PI, here follows several examples:

EXAMPLE 1.19 Solve the equation (D2 + 3DD¢ + 2D¢2)u = x + y.

Solution The given PDE is reducible, since it can be factored as

(D + D¢)(D + 2D¢)u = x + y (1)

Therefore,

CF = f1(x – y) + f2(2x – y) (2)

where f1 and f2 are arbitrary functions.

The PI of the given PDE is obtained as follows:

1

PI ( x y)

( D 3DD 2 D 2 )

2

1

( x y)

È D D 2 Ø

D É1 3

2

2 2 Ù

Ê D D Ú

1

1 Ë È D D 2 Ø Û

Ì1 É 3 2 Ù Ü ( x y)

D 2 ÌÍ Ê D D 2 Ú ÜÝ

1 Ë D Û

Ì1 3 D Ü ( x y)

D2 Í Ý

1 Ë 3 Û

2 Ì

x y (1) Ü

D Í D Ý

1 x2 x3

2

[ y 2x] y (3)

D 2 3

Adding Eqs. (2) and (3), we have the complete solution of the given PDE as

x2 x3 .

u I1 ( y x ) I2 ( y 2 x ) y

2 3

EXAMPLE 1.20 Solve the following equation (D – D¢ – 1)(D – D¢ – 2)u = e2x–y + x.

Solution The CF of the given PDE is

CF = exf1(x + y) + e2xf2(x + y) (1)

2x–y

The PI corresponding to the term e is

1 1 2xy

e2 x y e (2)

(2 1 1)(2 1 2) 2

FUNDAMENTAL CONCEPTS 93

1

1 È D D Ø

(1 D D )1 É1 x

2 Ê 2 2 ÙÚ

1Ë È D D ØÛ

Ì (1 D D ) É1 Ù Ü x

2Í Ê 2 2 ÚÝ

1 È 1Ø 1È 3Ø

(1 D D ) É x Ù Éx Ù (3)

2 Ê 2Ú 2Ê 2Ú

Combining Eqs. (1), (2) and (3), the complete solution of the given PDE is found to be

1 2xy x 3

u e x I1 ( x y) e2 x I2 ( x y) e .

2 2 4

EXAMPLE 1.21 Solve the following equation

(D2 + 2DD¢ + D¢2 – 2D – 2D¢)u = sin(x + 2y).

Solution The given PDE can be factored and rewritten as

(D + D¢)(D + D¢ – 2)u = sin(x + 2y) (1)

for which the CF is given by

CF = f1(x – y) + e2xf2(x – y) (2)

while

1

PI sin( x 2 y) .

( D 2 DD D 2 2 D 2 D )

2

1

PI sin( x 2 y)

(2 D 2 D 9)

[2( D D ) 9]

sin( x 2 y )

[4( D 2 DD D 2 ) 81]

2

2( D D ) 9

sin( x 2 y)

117

1

[2 cos(x + 2y) + 4 cos(x + 2y) – 9 sin(x + 2y)]

117

1

[2 cos(x + 2y) – 3 sin(x + 2y)] (3)

39

94 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

Adding Eqs. (1), (2) and (3), we find that the complete solution of the given PDE as

1

u = f1(x – y) + e2xf2(x – y) + [2 cos(x + 2y) – 3 sin(x + 2y)].

39

EXAMPLE 1.22 Solve the following equation

(D2 – DD¢)u = cos x cos 2y.

Solution The given PDE can be rewritten as

D(D – D¢)u = cos x cos 2y (1)

Its CF is given by

CF = f1(y) + f2(y + x), (2)

while its PI is given by

1 1

PI ¹ [cos(x + 2y) + cos(x – 2y)]

( D DD )

2 2

1Ë 1 1 Û

Ì cos( x 2 y) cos( x 2 y)Ü

2 Í ( 1 2) ( 1 2) Ý

1 1

cos( x 2 y) cos( x 2 y) (3)

2 6

Hence, the complete solution of the given PDE is given by

1 1

u = f1(y) + f2(y + x) + cos(x + 2y) – cos(x – 2y).

2 6

EXAMPLE 1.23 Find the solution of

(D2 + DD¢ – 6D¢2)u = y cos x.

Solution The given PDE can be rewritten as

(D + 3D¢)(D – 2D¢)u = y cos x (1)

Its CF is given by

CF = f1(3x – y) + f2(2x + y) (2)

The PI of the given PDE is

1 1

PI ¹ y cos x (3)

( D 3D ) ( D 2 D )

1

Applying the operator first on y cos x

( D 2 D )

(D – 2D¢)u = y cos x

FUNDAMENTAL CONCEPTS 95

dx dy du .

1 2 y cos x

The first two members give

y + 2x = l (constant).

From the first and the third members, we have

du = y cos x dx = (l – 2x) cos x dx,

on integration, we get

u Ô (O 2 x ) cos x dx

where l is to be replaced by (y + 2x) after integration. Now, Eq. (3) gives

1 Ë(O 2 x ) sin x sin x ( 2)dx Û

PI

( D 3D ) ÍÌ Ô ÝÜ

1

[(O 2 x ) sin x 2 cos x ]

( D 3D )

1

[ y sin x 2 cos x ]

( D 3D )

Ô

(O 3 x )( cos x ) 3 cos x dx 2 sin x .

PI = –y cos x + sin x (4)

Hence, the solution of the given PDE is found to be

u = CI + PI

= f1(3x – y) + f2(2x + y) – y cos x + sin x.

EXAMPLE 1.24 Show that a linear PDE of the type

i j u

ÇÇ aij x i y j x i y j f ( x, y)

i j

x = log x, h = log y.

96 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

Solution

∂u ∂u ∂ x 1 ∂ u

= =

∂x ∂x ∂ x x ∂ x

∂u ∂u

or x =

∂x ∂x

That is,

∂ ∂

x = = D (say) (1)

∂x ∂ x

Therefore,

∂ Ê n -1 ∂ n -1u ˆ n ∂ u

n

n -1 ∂

n -1

u

x Á x - ˜ = x + ( n - 1) x -

∂x Ë ∂x ¯n 1

∂x n

∂x 1n

n -1

∂nu Ê ∂ ˆ n -1 ∂ u

or xn = Á x - n + 1˜ x (2)

∂x n Ë ∂ x ¯ ∂x n -1

By setting n = 2, 3, 4, … in Eq. (2), we obtain

∂2 u ∂u

x2 = ( D - 1) x = D( D - 1)u ,

∂x 2 ∂x

∂3 u

= D( D - 1)( D - 2)u ,

x3

∂x 3

and so on. Similarly, we can show that

∂u ∂u

y = = D ¢u,

∂y ∂h

∂2u

y2 = D ¢( D ¢ - 1)u ,

∂y 2

∂2u

and xy = DD ¢u

∂ x ∂y

and so on. Substituting these results into the given PDE, it becomes

F(D, D¢)u = f(ex, eh) = f(x, h) (3)

where,

∂ ∂

D= , D¢ =

∂x ∂h

Thus, Eq. (3) can be seen as a PDE with constant coefficients.

FUNDAMENTAL CONCEPTS 97

EXAMPLE 1.25 Solve the following PDE

(x2D2 + 2xy DD¢ + y2D¢2)u = x2y2 (1)

Solution Using the substitution

x = log x, h = log y and using the notation

∂ ∂

= D, = D¢

∂x ∂h

respectively, the given PDE reduces to a PDE with constant coefficients, in the form

[D(D – 1) + 2DD¢ + D¢(D¢ – 1)]u = e2x+2h.

On rewriting, we have

(D + D¢)(D + D¢ – 1)u = e2x+2h (2)

The CF of Eq. (2) is given by

CF = f1(x – h) + ex f2 (x – h), (3)

while, its PI is obtained as

1

PI = e 2 x + 2h

(2 + 2)(2 + 2 - 1)

1 2 x + 2h

= e . (4)

12

Transforming back from (x, h) to (x, y), we find the complete solution of the given PDE as

x 2 y2

u = f1(log x – log y) + x f2(log x – log y) +

12

Ê xˆ Ê xˆ 1

or u = y 1 Á ˜ + x y 2 Á ˜ + x 2 y2.

Ë y¯ Ë y ¯ 12

Equation (1.61) is said to be linear PDE of nth order with constant coefficients. It is also

called homogeneous, because all the terms containing derivatives are of the same order. Now,

Eq. (1.61) can be rewritten in operator notation as

[a0Dn + a1Dn–1 D¢ + a2Dn–2D¢2 + … + anD¢n]u = F(D, D¢)u = f(x, y) (1.85)

As in the case of ODE, the complete solution of Eq. (1.85) consists of the sum of CF

and PI.

98 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

Let us assume that the solution of the equation F(D, D¢)u = 0 in the form

u = f(y + mx) (1.86)

Then,

j

Diu = mifi(y + mx), D¢u = f j(y + mx),

and DiD¢ju = mifi+j (y + mx).

Substituting these results into F(D, D¢)u = 0, we obtain

(a0mn + a1mn–1 + a2mn–2 + … + an)fn(y + mx) = 0,

which will be true, iff

a0mn + a1mn–1 + a2mn–2 + … + an = 0 (1.87)

This equation is called an auxiliary equation for F(D, D¢)u = 0.

Let m1, m2, …, mn are the roots of Eq. (1.87). Depending on the nature of these roots,

several cases arise:

Case I When the roots m1, m2, …, mn are distinct. Corresponding to m = m1, the CF is

u = f1(y + m1x). Similarly, u = f2(y + m2x), u = f3(y + m3x), etc. are all complementary

functions. Since, the given PDE is linear, using the principle of superposition, the CF of

Eq. (1.85) can be written as

CF = f1(y + m1x) + f2(y + m2x) + … + fn(y + mnx)

where, f1, f2, …, fn are arbitrary.

Case II When some of the roots are repeated. Let two roots say m1 and m2 are repeated,

and each equal to m. Consider the equation

(D – mD¢)(D – mD¢)u = 0.

Setting (D – mD¢)u = z, the above equation becomes

(D – mD¢)z = 0,

∂z ∂z

or -m =0

∂x ∂y

which is of Lagrange’s form. Writing down its auxiliary equations, we have

dx dy dz .

= =

1 -m 0

The first two members gives y + mx = constant = a(say).

The third member yields z = constant.

Therefore, z = f(y + mx) is a solution.

Substituting for z, we get

(D – mD¢)u = f(y + mx)

FUNDAMENTAL CONCEPTS 99

dx dy du

1 m I ( y mx )

which gives,

y + mx = constant

and u = xf(y + mx) + constant

Hence, the CF is

u = xf(y + mx) + y(y + mx).

In general, if the root m is repeated r times, then the CF is given by

u = xr–1f1(y + mx) + xr–2f2(y + mx) + … + fr(y + mx)

where, f1, f2, …, fr are arbitrary.

For illustration, we consider the following couple of examples.

EXAMPLE 1.26 Solve the following PDE (D3 – 3D2D¢ + 4D¢3)u = 0.

Solution Observe that the given PDE is a linear homogeneous PDE. Dividing throughout

by D¢ and denoting (D/D¢) by m, its auxiliary equation can be written as

m3 – 3m2 + 4 = (m + 1)(m – 2)2 = 0.

Therefore, the roots of the auxiliary equation are –1, 2, 2. Thus,

CF = f1(y – x) + f2(y + 2x) + x f3(y + 2x).

EXAMPLE 1.27 Solve the following PDE

(D3 + DD¢2 – 10D¢3)u = 0.

Solution Observe that the given equation is a linear homogeneous PDE. Denoting (D/

D¢) by m. The auxiliary equation for the given PDE is given by

m3 + m – 10 = (m – 2)(m2 + 2m + 5) = 0.

Its roots are: 2, (–1 + 2i), (–1 – 2i).

Hence, the required CF is found to be

u = f1(y + 2x) + f2(y – x + 2ix) + f3(y – x – 2ix).

Methods for finding the PI, in the case of linear homogeneous PDE’s are, similar to the one’s

developed in the Section 1.6 for linear non-homogeneous PDEs. That is, the PI for the

equation

F(D, D¢)u = f(x, y)

is obtained from

1

uPI = PI = f(x, y).

F ( D, D)

100 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

However, when the above stated methods fail we have a general method, which is applicable

whatever may be the form of f(x, y), and is presented below:

We have already assumed that F(D, D¢) can be factorised, in general, say into n linear

factors. Thus,

1

PI = f ( x, y)

F ( D, D ¢)

1

PI = f ( x, y)

( D - m1D ¢)( D - m2 D ¢) K ( D - mn D ¢)

1 1 1

= ◊ L f ( x, y ) .

( D - m1D ¢) ( D - m2 D ¢) ( D - mn D ¢)

In general, to evaluate

1

f ( x, y),

( D - mD ¢)

we consider the equation

(D – mD¢)u = f(x, y)

or p – mq = f(x, y) (Lagrange’s form)

for which the auxiliary equations are

dx dy du

= = .

1 - m f ( x, y)

Its first two members, yield

y + mx = c (constant)

The first and last members gives us

du = f(x, y)dx = f(x, c – mx).

On integration, we get

u= Ú f ( x, c - mx )dx

1

or

( D - mD ¢)

f ( x, y) = Ú f ( x, c - mx )dx

After integration, we shall immediately replace c by (y + mx). Applying this procedure

repeatedly, we can find the PI for the given PDE. For illustration, we consider the following

examples:

EXAMPLE 1.28 Solve the following PDE

(D2 – 4DD¢ + 4D¢2)u = e2x+y.

FUNDAMENTAL CONCEPTS 101

Solution The given equation is a linear homogeneous PDE. Its auxiliary equation can

be written as

m2 – 4m + 4 = (m – 2)2 = 0.

In this example, the roots are repeated and they are 2, 2. The complementary function and

particular integral are obtained as

CF = f1(y + 2x) + xf2(y + 2x) (1)

1

and PI = e2 x + y

( D - 2 D ¢) 2

we shall adopt the general method to find PI. Now, noting that

1

( D - mD ¢)

f ( x, y) = Ú f ( x, c - mx )dx .

1 1

PI = ◊ e2 x + y

( D - 2 D ¢) ( D - 2 D ¢ )

1

=

( D - 2 D ¢) Ú

e(2 x + c - 2 x ) dx

1 1

= xec = xe y + 2 x

( D - 2 D ¢) ( D - 2 D ¢)

Ú

= xe( c - 2 x + 2 x ) dx = ec xdx Ú

x 2 x 2 y +2 x

= ec = e (2)

2 2

From Eqs. (1) and (2), the complete solution of the given PDE is found to be

x 2 y+2x

u = f1(y + 2x) + xf2(y + 2x) + e .

2

EXAMPLE 1.29 Find a real function u(x, y), which reduces to zero when y = 0 and satisfy

the PDE

∂2 u ∂2u

+ = - p ( x 2 + y 2 ).

∂x 2

∂y 2

(D2 + D¢2)u = –p(x2 + y2)

Its auxiliary equation is given by

(m2 + 1) = 0, which gives m = ±i.

102 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

Hence,

CF = f1(y + ix) + f2(y – ix) (1)

-1 p ( x 2 + y2 )

and PI = p ( x 2 + y2 ) = -

( D 2 + D ¢2 ) D ¢ 2 (1 + D 2 /D ¢ 2 )

-1

p Ê D2 ˆ

=- Á 1 + ˜ ( x 2 + y2 )

D ¢2 Ë D ¢2 ¯

p È D2 ˘ 2

=- Í1 - + L˙ (x + y )

2

D ¢ ÎÍ

2

D¢ 2

˚˙

p 2p

=- ( x 2 + y2 ) +

D¢ 2

D ¢4

p Ê y3 ˆ 2p

=- 2

+ +

D ¢ ÁË 3 ˜¯ D ¢3

x y y

Ê x 2 y 2 y 4 ˆ 2p y2

or PI = - p Á + ˜+ 2

Ë 2 12 ¯ D ¢ 2

Ê x 2 y2 y 4 ˆ y4

= -p Á + ˜ + 2p

Ë 2 12 ¯ 24

p

=- x 2 y2 (2)

2

Hence, the complete solution of the given PDE is found to be

p

u = f1(y + ix) + f2(y – ix) – x2y 2 (3)

2

Finally, the real function satisfying the given PDE is given by

p

u=- x 2 y2 (4)

2

which of course Æ 0 as y Æ 0.

EXERCISES

1. Find the region in the xy-plane in which the following equation is hyperbolic:

[( x − y )2 − 1] u xx + 2u xy + [( x − y )2 − 1] u yy = 0

FUNDAMENTAL CONCEPTS 103

(1 x 2 ) u xx u yy 0

in the elliptic and hyperbolic cases.

3. Reduce the following PDE to a canonical form

u xx xyu yy 0

4. Classify and reduce the following equations to a canonical form:

(a) y 2u xx x 2u yy 0, x ! 0, y ! 0.

(b) u xx 2u xy u yy 0.

(c) e x u xx e y u yy u.

(e) 4u xx 5u xy u yy u x u y 2.

5. Reduce the following equation to a canonical form and hence solve it:

3u xx 10u xy 3u yy 0

L* c 2 vxx vtt

7. Determine the adjoint operator L* corresponding to

L(u ) Au xx Bu xy Cu yy Du x Eu y Fu

8. Find the solution of the following Cauchy problem

u xy F ( x, y )

given

wu

u f ( x), g ( x) on the line y x

wn

using Riemann’s method which is of the form

1 1 y0

u ( x0 , y0 )

2

[ f ( x0 ) f ( y0 )]

2 ³x

0

g ( x) dx ³³ F ( x, y) dx dy

IR

where IR is the triangular region in the xy-plane bounded by the line y x and the

lines x x0 , y y0 through ( x0 , y0 ).

104 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

w 2z w 2z w 2z wz wz

2 cos 2 x 2 2 3 0

w x2 wxw y wy wx wy

when it is of hyperbolic type are… and… (GATE-Maths, 1997)

10. Using η x y as one of the transformation variable, obtain the canonical form of

w 2u w 2u w 2u

2 0.

w x2 w x w y w y2

(GATE-Maths, 1998)

Choose the correct answer in the following questions (11–14):

11. The PDE

y 3u xx ( x 2 1) u yy 0 is

(A) parabolic in {( x, y ) : x 0}

(B) hyperbolic in {( x, y ) : y ! 0}

(C) elliptic in IR 2

(D) parabolic in {( x, y ) : x ! 0}. (GATE-Maths, 1998)

12. The equation

x 2 ( y 1) z xx x ( y 2 1) z xy y ( y 2 1) z yy z x 0

is hyperbolic in the entire xy-plane except along

(A) x-axis (B) y-axis

(C) A line parallel to y-axis (D) A line parallel to x-axis.

(GATE-Maths, 2000)

13. The characteristic curves of the equation

x 2u xx y 2u yy x 2 y 2 x, x ! 0 are

(A) rectangular hyperbola (B) parabola

(C) circle (D) straight line.

(GATE-Maths, 2000)

14. Pick the region in which the following PDE is hyperbolic:

yu xx 2 xyu xy xu yy ux u y

(A) xy z 1 (B) xy z 0

(C) xy ! 1 (D) xy ! 0.

(GATE-Maths, 2003)

FUNDAMENTAL CONCEPTS 105

(i) (D – D¢ – 1)(D – D¢ – 2)u = 0

(ii) (D + D¢ – 1)(D + 2D¢ – 3)u = 0

16. Solve the following PDE:

(D2 + DD¢ + D + D¢ + 1)u = 0

17. Solve the following PDEs:

(i) (D2 – DD¢ + D¢ – 1)u = cos(x + 2y)

(ii) D(D – 2D¢ – 3)u = ex+2y

(iii) (2D + D¢ – 1)2(D – 2D¢ + 2)3 = 0

18. Find the complete solution of the following PDEs:

(i) (x2D2 – 2xy DD¢ + y2D¢2 – xD + 3yD¢)u = 8(y/x)

(ii) D(D – 2D¢ – 3)u = ex+2y

19. Find the complete solution of the following PDEs:

(i) (D2 + 3DD¢ + 2D¢2)u = x + y

(ii) (D2 + D¢2)u = cos px cos qy

(iii) (D2– DD¢ – 2D¢2)u = (y – 1)ex

(iv) (4D2 – 4DD¢ + D¢2)u = 16 log (x + 2y)

(v) (D2 – 3DD¢ + 2D¢2)u = e2x+3y + sin (x – 2y)

CHAPTER 2

In Chapter 1, we have seen the classification of second order partial differential equation into

elliptic, parabolic and hyperbolic types. In this chapter we shall consider various properties

and techniques for solving Laplace and Poisson equations which are elliptic in nature.

Various physical phenomena are governed by the well known Laplace and Poisson equations.

A few of them, frequently encountered in applications are: steady heat conduction, seepage

through porous media, irrotational flow of an ideal fluid, distribution of electrical and magnetic

potential, torsion of prismatic shaft, bending of prismatic beams, distribution of gravitational

potential, etc. In the following two sub-sections, we shall give the derivation of Laplace and

Poisson equations in relation to the most frequently occurring physical situation, namely, the

gravitational potential.

Consider two particles of masses m and m1 situated at Q and P separated by a distance r as

shown in Fig. 2.1. According to Newton’s universal law of gravitation, the magnitude of the

force, proportional to the product of their masses and inversely proportional to the square of

the distance, between them is given by

mm1

F G (2.1)

r2

)&

where G is the gravitational constant. It r represents the vector PQ, assuming unit mass at

Q and G 1, the force at Q due to the mass at P is given by

m1r §m ·

F ¨ 1¸ (2.2)

r 3 © r ¹

106

ELLIPTIC DIFFERENTIAL EQUATIONS 107

z

Q(m)

r

U

P

m1

S

O y

x

Fig. 2.1 Illustration of Newton’s universal law of gravitation.

which is called the intensity of the gravitational force. Suppose a particle of unit mass moves

under the attraction of a particle of mass m1 at P from infinity up to Q; then the work done

by the force F is

r r §m · m1

³ f F dr ³ f ¨© r1 ¸¹ dr r

(2.3)

m1 (2.4)

V

r

From Eq. (2.2), the intensity of the force at P is

F V (2.5)

Now, if we consider a system of particles of masses m1 , m2 , } , mn which are at distances

r1 , r2 , } , rn respectively, then the force of attraction per unit mass at Q due to the system is

n n

mi mi

F ¦

ri

¦ ri

(2.6)

i 1 i 1

n

r mi

³f F dr ¦ ri

V (2.7)

i 1

108 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

Therefore,

n n

mi m

2V 2 ¦ ri ¦ 2 rii 0, ri z 0 (2.8)

i 1 i 1

where

w2 w2 w2

2 div

w x2 w y2 w z2

is called the Laplace operator.

In the case of continuous distribution of matter of density ρ in a volume τ , we have

ρ (ξ , η , ζ )

V ( x, y , z ) ³³³ r

dτ (2.9)

τ

2V 0 (2.10)

which is called the Laplace equation.

n

point on S. Let Σ mi M be the total mass inside S, and let g1 , g 2 , } , g n be the gravity

i 1 n

field at Q due to the presence of m1 , m2 , } , mn respectively within S. Also, let Σ gi g , the

i 1

entire gravity field at Q. Then, according to Gauss law, we have

³³ g dS 4π GM (2.11)

S

where M ³³³ ρ dτ , ρ is the mass density function and τ is the volume in which the masses

τ

are distributed throughout. Since the gravity field is conservative, we have

g V (2.12)

where V is a scalar potential. But the Gauss divergence theorem states that

³³ g dS ³³³ g dτ (2.13)

S τ

S τ

ELLIPTIC DIFFERENTIAL EQUATIONS 109

∫∫∫ (∇ ⋅ g + 4π G ρ ) dτ = 0

τ

implying

∇ ⋅ g = −4π G ρ = ∇ ⋅ ∇V

Therefore,

∇ 2V = −4π G ρ (2.15)

This equation is known as Poisson’s equation.

The function V, whose analytical form we seek for the problems stated in Section 2.1, in

addition to satisfying the Laplace and Poisson equations in a bounded region IR in R3, should

also satisfy certain boundary conditions on the boundary ∂ IR of this region. Such problems

are referred to as boundary value problems (BVPs) for Laplace and Poisson equations. We

shall denote the set of all boundary points of IR by ∂ IR . By the closure of IR, we mean the

set of all interior points of IR together with its boundary points and is denoted

by IR. Symbolically, IR. = IR U ∂ IR .

If a function f ∈ c ( n ) ( f “belongs to” c(n)), then all its derivatives of order n are continuous.

If it belongs to c(0), then we mean f is continuous.

There are mainly three types of boundary value problems for Laplace equation. If f ∈ c (0) and

is specified on the boundary ∂ IR of some finite region IR, the problem of determining a

function ψ ( x, y, z ) such that ∇ 2ψ = 0 within IR and satisfying ψ = f on ∂ IR is called the

boundary value problem of first kind, or the Dirichlet problem. For example, finding the

steady state temperature within the region IR when no heat sources or sinks are present and

when the temperature is prescribed on the boundary ∂ IR, is a Dirichlet problem. Another

example would be to find the potential inside the region IR when the potential is specified

on the boundary ∂ IR . These two examples correspond to the interior Dirichlet problem.

is such that ψ = f on ∂ IR, is called an exterior Dirichlet problem. For example, determination

of the distribution of the potential outside a body whose surface potential is prescribed, is an

110 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

exterior Dirichlet problem. The second type of BVP is associated with von Neumann. The

problem is to determine the function ψ ( x, y, z ) so that 2ψ 0 within IR while w ψ /w n is

specified at every point of w IR, where w Z /w n denotes the normal derivative of the field

variable ψ . This problem is called the Neumann problem. If ψ is the temperature, w ψ /w n is

the heat flux representing the amount of heat crossing per unit volume per unit time along

the normal direction, which is zero when insulated. The third type of BVP is concerned with

the determination of the function ψ ( x, y, z ) such that 2ψ 0 within IR, while a boundary

condition of the form wψ /w n hψ f , where h t 0 is specified at every point of w IR . This

is called a mixed BVP or Churchill’s problem. If we assume Newton’s law of cooling, the

heat lost is hψ , where ψ is the temperature difference from the surrounding medium and h ! 0 is

a constant depending on the medium. The heat f supplied at a point of the boundary is partly

conducted into the medium and partly lost by radiation to the surroundings. Equating these

amounts, we get the third boundary condition.

Among the mathematical tools we employ in deriving many important results, the Gauss

divergence theorem plays a vital role, which can be stated as follows: Let w IR be a closed

surface in the xyz-space and IR denote the bounded region enclosed by w IR in which F is

a vector belonging to c(1) in IR and continuous on IR. Then

³³ F n̂ dS ³³³ F dV (2.16)

w IR IR

where dV is an element of volume, dS is an element of surface area, and n̂ the outward drawn

normal.

Green’s identities which follow from divergence theorem are also useful and they can be

derived as follows: Let F fφ , where f is a vector function of position and φ is a scalar

function of position. Then,

³³³ (fφ ) dV ³³ nˆ fφ dS

IR w IR

(fφ ) f φ φ f

we have

³³³ f φ dV ³³ nˆ fφ dS ³³³ φ f dV

IR w IR IR

ELLIPTIC DIFFERENTIAL EQUATIONS 111

³³ φ ψ dV ³³ φ nˆ ψ dS ³³³ φ ψ dV (2.17)

2

IR w IR IR

Noting that nˆ ψ is the derivative of ψ in the direction of nˆ, we introduce the notation

nˆ ψ wψ /w n

into Eq. (2.17) to get

wψ

³³³ φ ψ dV ³³ φ w n dS ³³³ φ ψ dV (2.18a)

2

IR w IR IR

both φ and ψ possess continuous second derivatives.

Interchanging the role of φ and ψ , we obtain from relation (2.18a) the equation

wφ

³³³ ψ φ dV ³³ ψ w n dS ³³³ ψ φ dV

2

(2.18b)

IR w IR IR

§ wψ wφ ·

³³³ (φ ψ ψ φ ) dV ³³ ©¨φ w n ψ w n ¹¸ dS (2.19)

2 2

IR w IR

wφ

³³³ (φ ) ³³ φ w n dS ³³³ φ φ dV (2.20)

2 2

dV

IR w IR IR

Solutions of Laplace equation are called harmonic functions which possess a number of

interesting properties, and they are presented in the following theorems.

Theorem 2.1 If a harmonic function vanishes everywhere on the boundary, then it is identically

zero everywhere.

shall show that φ 0 in IR IR U w IR . Recalling Green’s first identity, i.e., Eq. (2.20), we get

wφ

³³³ (φ ) ³³ φ w n dS ³³³ φ φ dV

2 2

dV

IR w IR IR

112 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

³³³ (φ )

2

dV 0

IR

Since (φ ) 2 is positive, it follows that the integral will be satisfied only if φ 0. This

follows that φ 0 in IR .

in IR.

Proof Using Green’s first identity and the data of the theorem, we arrive at

³³³ (φ )

2

dV 0

IR

implying φ 0, i.e., φ is a constant in IR . Since the value of φ is not known on the boundary

Theorem 2.3 If the Dirichlet problem for a bounded region has a solution, then it is unique.

Proof If φ1 and φ2 are two solutions of the interior Dirichlet problem, then

2φ1 0 in IR; φ1 f on w IR

2φ2 0 in IR; φ2 f on w IR

Let ψ φ1 φ2 . Then

ψ φ1 φ2 f f 0 on w IR

Therefore,

2ψ 0 in IR, ψ 0 on w IR

Now using Theorem 2.1, we obtain ψ 0 on IR, which implies that φ1 φ2 . Hence, the solution

of the Dirichlet problem is unique.

Theorem 2.4 If the Neumann problem for a bounded region has a solution, then it is either

unique or it differs from one another by a constant only.

ELLIPTIC DIFFERENTIAL EQUATIONS 113

Proof Let φ1 and φ2 be two distinct solutions of the Neumann problem. Then we have

∂ φ1

∇ 2φ1 = 0 in IR; = f on ∂ IR,

∂n

∂ φ2

∇ 2φ2 = 0 in IR; = f on ∂ IR

∂n

Let ψ = φ1 − φ2 . Then

∇ 2ψ = ∇ 2φ1 − ∇ 2φ2 = 0 in IR

∂ ψ ∂ φ1 ∂ φ2

= − =0 on ∂ IR

∂n ∂n ∂n

Hence from Theorem 2.2, ψ is a constant on IR, i.e., φ1 − φ2 = constant. Therefore, the solution

of the Neumann problem is not unique. Thus, the solutions of a certain Neumann problem

can differ from one another by a constant only.

Let IR be a region bounded by ∂ IR and let P ( x, y , z ) be any point in IR . Also,

let S ( P, r ) represent a sphere with centre at P and radius r such that it lies entirely within

the domain IR as depicted in Fig. 2.2. Let u be a continuous function in IR . Then the

spherical mean of u denoted by u is defined as

1

u (r ) =

4π r 2 ∫∫ u (Q) dS (2.21)

S ( P,r )

∂IR

Q (ξ, η, ζ)

r

P

IR

S (P, r)

O y

z

Fig. 2.2 Spherical mean.

114 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

where Q(ξ , η , ζ ) is any variable point on the surface of the sphere S ( P, r ) and dS is the

surface element of integration. For a fixed radius r, the value u (r ) is the average of the values

of u taken over the sphere S ( P, r ), and hence it is called the spherical mean. Taking the

origin at P, in terms of spherical polar coordinates, we have

ξ x r sin θ cos φ

η y r sin θ sin φ

ζ z r cos θ

1 2π π

u (r )

4π r 2 ³φ 0 ³θ 0

u ( x r sin θ cos φ , y r sin θ sin φ , z r cos θ ) r 2 sin θ dθ dφ

0 r d R, which can be verified as follows:

1 u (Q ) 2π π

u (r )

4π ³³ u (Q ) sin θ dθ d φ

4π ³0 ³0 sin θ dθ d φ u (Q )

Lt u (r ) u ( P) (2.22)

r o0

Hence, u is continuous in 0 d r d R.

Theorem 2.5 Let u be harmonic in a region IR . Also, let P(x, y, z) be a given point in IR

and S(P, r) be a sphere with centre at P such that S(P, r) is completely contained in the domain

of harmonicity of u. Then

1

u ( P) u (r )

4π r 2 ³³ u (Q) dS

S ( P ,r )

given by

1 1 2π π

u (r )

4π r 2 ³³ u (Q) dS

4π r 2 ³0 ³0 u (ξ , η , ζ ) r 2 sin θ dθ dφ

S ( P,r )

ELLIPTIC DIFFERENTIAL EQUATIONS 115

Therefore,

du (r ) 1 2π π

1 2π π

Noting that sin θ cos φ , sin θ sin φ and cos θ are the direction cosines of the normal n̂ on

S(P, r),

u iuξ juη kuζ , nˆ (in1 , jn2 , kn3 ),

the expression within the parentheses of the integrand of Eq. (2.23) can be written as u nˆ. Thus

du (r ) 1

dr 4π r 2 ³³ ˆ 2 sin θ dθ dφ

u nr

S ( P ,r )

1

4π r 2 ³³ u nˆ dS

S ( P ,r )

1

4π r 2 ³³³ u dV (by divergence theorem)

V ( P,r )

1

³³³ u dV

2

0 (since u is harmonic)

4π r 2 V ( P,r )

du

Therefore, 0, implying u is constant.

dr

1

u (r ) u ( P)

4π r 2 ³³ u (Q) dS (2.24)

S ( P,r )

Theorem 2.6 Let IR be a region bounded by w IR . Also, let u be a function which is

continuous in a closed region IR and satisfies the Laplace equation 2 u 0 in the interior

of IR . Further, if u is not constant everywhere on IR , then the maximum and minimum values

of u must occur only on the boundary w IR.

116 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

Proof Suppose u is a harmonic function but not constant everywhere on IR. If possible,

let u attain its maximum value M at some interior point P in IR . Since M is the maximum

of u which is not a constant, there should exist a sphere S ( P, r ) about P such that some of

the values of u on S ( P, r ) must be less than M. But by the mean value property, the value

of u at P is the average of the values of u on S ( P, r ), and hence it is less than M. This

contradicts the assumption that u M at P. Thus u must be constant over the entire

sphere S ( P, r ).

Let Q be any other point inside IR which can be connected to P by an arc lying entirely

within the domain IR . By covering this arc with spheres and using the Heine-Borel theorem

to choose a finite number of covering spheres and repeating the argument given above, we

can arrive at the conclusion that u will have the same constant value at Q as at P. Thus u

cannot attain a maximum value at any point inside the region IR . Therefore, u can attain its

maximum value only on the boundary w IR . A similar argument will lead to the conclusion

that u can attain its minimum value only on the boundary w IR .

Some important consequences of the maximum-minimum principle are given in the following

theorems.

Theorem 2.7 (Stability theorem). The solutions of the Dirichlet problem depend continuously

on the boundary data.

Proof Let u1 and u2 be two solutions of the Dirichlet problem and let f1 and f2 be given

continuous functions on the boundary w IR such that

2 u2 0 in IR; u2 f2 on w IR

Let u u1 u2 . Then,

2u 2u1 2 u2 0 in IR; u f1 f 2 on w IR

the maximum-minimum principle, u attains the maximum and minimum values on w IR . Thus

at any interior point in IR, we shall have, for a given ε ! 0,

ε umin d u d umax ε

Therefore,

|u | ε in IR, implying | u1 u2 | ε

ELLIPTIC DIFFERENTIAL EQUATIONS 117

Hence, if

| f1 − f 2 | < ε on ∂ IR, then | u1 − u2 | < ε on IR

Thus, small changes in the initial data bring about an arbitrarily small change in the

solution. This completes the proof of the theorem.

Theorem 2.8 Let {fn} be a sequence of functions, each of which is continuous on IR and

harmonic on IR . If the sequence {fn} converges uniformly on ∂ IR, then it converges uniformly

on IR.

Proof Since the sequence {fn} converges uniformly on ∂ IR, for a given ε > 0, we

can always find an integer N such that

| fn − fm | < ε for n, m > N

Hence, from stability theorem, for all n, m > N , it follows immediately that

| fn − fm | < ε in IR

by introducing plane polar coordinates r , θ defined by the relations x = r cos θ , y = r sin θ , it

takes the form

∂ 2u 1 ∂ u 1 ∂ 2u

+ + =0

∂ r 2 r ∂ r r 2 ∂θ 2

Solution In many practical problems, it is necessary to write the Laplace equation

in various coordinate systems. For instance, if the boundary of the region ∂ IR is a circle,

then it is natural to use polar coordinates defined by x = r cos θ , y = r sin θ . Therefore,

r 2 = x2 + y 2 , θ = tan −1 ( y/x)

sin θ cos θ

rx = cos θ , ry = sin θ , θx = − , θy =

r r

since

⎛ sin θ ⎞

u = u (r , θ ) u x = ur rx + uθ θ x = ⎜ ur cos θ − uθ ⎟

⎝ r ⎠

Similarly,

⎛ cos θ ⎞

u y = ur ry + uθ θ y = ⎜ ur sin θ + uθ ⎟

⎝ r ⎠

118 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

u xx (u x ) x (u x )r rx (u x )θ θ x ¨© ur cos θ uθ ¸¹ cos θ ¨© ur cos θ uθ ¸ ¨ ¸

r r r ¹θ © r ¹

Therefore,

§ sin θ sin θ ·

u xx ¨© urr cos θ uθ r uθ 2 ¸ cos θ

r r ¹

¨ urθ cos θ ur sin θ uθθ uθ ¸ ¨ ¸ (2.25)

© r r ¹© r ¹

§ cos θ cos θ ·

u yy ¨© urr sin θ urθ uθ 2 ¸ sin θ

r r ¹

¨ urθ sin θ ur cos θ uθθ uθ ¸¨ ¸ (2.26)

© r r ¹© r ¹

1 1

u xx u yy urr ur 2 uθθ 0 (2.27)

r r

which is the Laplace equation in polar coordinates. One can observe that the Laplace equation

in Cartesian coordinates has constant coefficients only, whereas in polar coordinates, it has

variable coefficients.

EXAMPLE 2.2 Show that in cylindrical coordinates r , θ , z defined by the relations x r cos θ ,

y r sin θ , z z , the Laplace equation 2 u 0 takes the form

w 2u 1 w u 1 w 2u w 2u

0

w r2 r w r r 2 wθ 2 w z2

w 2u w 2u w 2u

2u 0

w x2 w y2 w z2

r2 x2 y 2 , θ tan 1 ( y /x), z z

ELLIPTIC DIFFERENTIAL EQUATIONS 119

Since

u u (r , T , z )

È sin T Ø

ur rx uT T x u z z x ur cos T uT É

Ê r ÙÚ

ux

È cos T Ø

ur ry uT T y u z z y ur sin T uT É

Ê r ÙÚ

uy

uz ur rz uT T z u z uz

u xx (u x ) x (u x )r rx (u x )θ θ x (u x ) z z x

«ur cos θ uθ ©¨ r ¹¸ » cos θ «ur cos θ uθ ¨© r ¸¹ » ¨©

r ¹

¸

¬ ¼r ¬ ¼θ

§ sin θ sin θ ·

¨© urr cos θ urθ uθ 2 ¸ cos θ

r r ¹

¨ urθ cos θ ur sin θ uθθ uθ ¸ ¨ ¸ (2.28)

© r r ¹© r ¹

Similarly

u yy (u y ) y (u y ) r ry (u y )θ θ y (u y ) z z y

«¬ur sin θ uθ r »¼ sin θ «¬ur sin θ uθ r »¼ ¨© r ¸¹

r θ

§ cos θ cos θ ·

¨© urr sin θ uθ r uθ 2 ¸ sin θ

r r ¹

¨ urθ sin θ ur cos θ uθθ uθ ¸¨ ¸ (2.29)

© r r ¹© r ¹

(2.30)

u zz u zz

1 1

2u urr ur 2 uθθ u zz (2.31)

r r

120 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

EXAMPLE 2.3 Show that in spherical polar coordinates r , θ , φ defined by the relations

x r sin θ cos φ , y r sin θ sin φ , z r cos θ , the Laplace equations 2 u 0 takes the form

w § 2 wu · 1 w § wu · 1 w 2u

¨© r ¸¹ ¨© sin θ ¸¹ 0

wr wr sin θ w θ wθ sin 2 θ w φ 2

2u u xx u yy u zz 0

It can be easily verified that

cos θ cos φ cos θ sin φ sin θ

θx , θy , θz

r r r

sin φ cos φ

φx , φy , φz 0

r sin θ r sin θ

Now,

ux ur rx uθ θ x uφ φ x ur sin θ cos φ uθ uφ

r r sin θ

uy ur ry uθ θ y uφ φ y ur sin θ sin φ uθ

r r sin θ

§ sin θ ·

uz ur rz uθ θ z uφ φ z ur cos θ uθ ¨ ¸

© r ¹

u xx (u x )r rx (u x )θ θ x (u x )φ φ x

¨© ur sin θ cos φ uθ r

uφ

r sin θ ¸¹ r

(sin θ cos φ )

¨ ur sin θ cos φ uθ uφ ¨ ¸¹

© r r sin θ ¸¹θ © r

¨ ur sin θ cos φ uθ uφ ¨© r sin θ ¸¹

© r r sin θ ¸¹φ

ELLIPTIC DIFFERENTIAL EQUATIONS 121

(sin 2 θ cos 2 φ ) urr uθθ uφφ

r2 r 2 sin 2 θ

urθ ¨ ¸ urφ ¨© ¸¹

© r ¹ r

uθφ ¨

¸ r¨u

© r 2 sin θ ¹ © r r ¹¸

uφ ¨ 2 2 ¸

© r2 r 2 sin 2 θ r sin θ ¹

uθ ¨ 2 ¸

© r sin θ r2 ¹

u yy (u y )r ry (u y )θ θ y (u y )φ φ y ¨© ur sin θ sin φ uθ uφ (sin θ sin φ )

r r sin θ ¸¹ r

¨ ur sin θ sin φ uθ uφ

© r r sin θ ¸¹θ r

¨ ur sin θ sin φ uθ uφ

© r r sin θ ¸¹φ r sin θ

(sin 2 θ sin 2 φ ) urr uθθ uφφ

r2 r 2 sin 2 θ

§ 2 sin θ cos θ sin 2 φ · § 2 cos φ sin φ ·

urθ ¨ ¸ urφ ¨© ¸¹

© r ¹ r

uθφ ¨ u ¨

¸ r ¸¹

r

© r 2 sin θ ¹ © r

uθ ¨ ¸

© r2 r 2 sin θ ¹

uφ ¨ 2 2 ¸

© r2 r sin θ r 2 sin 2 θ ¹

(2.33)

122 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

Similarly,

u zz (u z )r rz (u z )θ θ z (u z )φ φ z

¨© ur cos θ uθ ¸¹ (cos θ ) ¨© ur cos θ uθ ¸¹ ¨© ¸

r r r θ r ¹

urr cos 2 θ urθ uθθ

r r2

ur uθ (2.34)

r r2

1 1 2 cos θ

2u urr u

2 θθ

uφφ ur 2 uθ 0

r r sin θ

2 2 r r sin θ

which can be rewritten as

w § 2 wu · 1 w § wu · 1 w 2u

2u ¨© r ¸ ¨ sin θ ¸ 0 (2.35)

wr w r ¹ sin θ w θ © w θ ¹ sin 2 θ w φ 2

The method of separation of variables is applicable to a large number of classical linear

homogeneous equations. The choice of the coordinate system in general depends on the shape

of the boundary. For example, consider a two-dimensional Laplace equation in Cartesian

coordinates.

2u u xx u yy 0 (2.36)

We assume the solution in the form

u ( x, y ) X ( x) Y ( y ) (2.37)

Substituting in Eq. (2.36), we get

X ccY Y ccX 0

i.e.

X cc Y cc

k

X Y

where k is a separation constant. Three cases arise.

ELLIPTIC DIFFERENTIAL EQUATIONS 123

d2X d 2Y

p2 X 0 and p 2Y 0

dx 2 dy 2

whose solution is given by

X c1e px c2 e px

and

Y c3 cos py c4 sin py

Thus, the solution is

d2X d 2Y

0 and 0

dx 2 dy 2

Integrating twice, we get

X c5 x c6

and

Y c7 y c8

The solution is therefore,

u ( x, y ) (c5 x c6 ) (c7 y c8 ) (2.39)

Y c11e py c12 e py

In all these cases, ci (i 1, 2, } , 12) refer to integration constants, which are calculated by

using the boundary conditions.

124 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

The Dirichlet problem for a rectangle is defined as follows:

PDE: 2u 0, 0 d x d a, 0 d y d b

BCs: u ( x, b) u (a, y ) 0, u (0, y ) 0, u ( x, 0) f ( x) (2.41)

This is an interior Dirichlet problem. The general solution of the governing PDE, using the

method of variables separable, is discussed in Section 2.5. The various possible solutions of

the Laplace equation are given by Eqs. (2.38–2.40). Of these three solutions, we have to

choose that solution which is consistent with the physical nature of the problem and the given

boundary conditions as depicted in Fig. 2.3.

y

y=b

u=0

x=0 x=a

u=0 u=0

u = f (x)

x

O y=0

Fig. 2.3 Dirichlet boundary conditions.

therefore,

c1 c2 0 (2.42)

implying thereby

c1eap c2 e ap 0 (2.43)

To determine the constants c1, c2, we have to solve Eqs. (2.42) and (2.43); being homogeneous,

the determinant

ELLIPTIC DIFFERENTIAL EQUATIONS 125

1 1

0

eap e ap

for the existence of non-trivial solution, which is not the case. Hence, only the trivial solution

u ( x, y ) 0 is possible.

If we consider the solution given by Eq. (2.39) u ( x, y ) (c5 x c6 ) (c7 y c8 ), the boundary

conditions: u (0, y ) u (a, y ) 0 again yield a trivial solution. Hence, the possible solutions

given by Eqs. (2.38) and (2.39) are ruled out. Therefore, the only possible solution obtained

from Eq. (2.40) is

u ( x, y ) (c9 cos px c10 sin px) (c11e py c12 e py )

Using the BC: u (0, y ) 0, we get c9 0. Also, the other BC: u (a, y ) 0 yields

For non-trivial solution, c10 cannot be zero, implying sin pa 0, which is possible if pa nπ or

p nπ /a, n 1, 2, 3, } Therefore, the possible non-trivial solution after using the superposition

principle is

f

nπ x

u ( x, y ) ¦ sin a

[an exp (nπ y/a) bn exp ( nπ y/a)] (2.44)

n 1

nπ x

sin [ an exp (nπ b/a ) bn exp ( nπ b /a )] 0

a

implying thereby

an exp (nπ b /a ) bn exp ( nπ b/a ) 0

which gives

exp (nπ b /a)

bn an , n 1, 2, } , f

exp ( nπ b/a)

The solution (2.44) now becomes

f

2an sin (nπ x/a ) ª exp {nπ ( y b)/a} exp { nπ ( y b)/a} º

u ( x, y ) ¦ exp ( nπ b /a) «¬ 2 »¼

n 1

f

2a

¦ exp (nnπ b/a) sin (nπ x/a)sin h {nπ ( y b)/a}

n 1

126 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

Let 2an /[exp ( nπ b /a )] An . Then the solution can be written in the form

f

u ( x, y ) ¦ An sin (nπ x/a) sinh {nπ ( y b)/a} (2.45)

n 1

f

¦ An sin (nπ x/a) sinh (nπ b/a) f ( x)

n 1

2 a

An sinh ( nπ b/a )

a ³0 f ( x) sin (nπ x /a ) dx (2.46)

f

u ( x, y ) ¦ An sin (nπ x/a) sinh {nπ ( y b)/a} (2.47)

n 1

where

2 1 a

An

a sinh ( nπ b /a) ³0 f ( x) sin (nπ x /a ) dx

The Neumann problem for a rectangle is defined as follows:

PDE: 2 u 0, 0 d x d a, 0 d y d b

BCs: u x (0, y ) u x ( a, y ) 0, u y ( x, 0) 0, u y ( x, b ) f ( x) (2.48)

The general solution of the Laplace equation using the method of variables separable is

given in Section 2.5, and is found to be

0 c2 p (c3e py c4 e py )

implying c2 0. Therefore,

ELLIPTIC DIFFERENTIAL EQUATIONS 127

nπ

sin pa 0, pa nπ , p (n 0, 1, 2, })

a

Thus the possible solution is

nπ x

u ( x, y ) cos ( Aenπ y /a Be nπ y /a ) (2.50)

a

nπ x § nπ nπ ·

0 cos ¨© A B ¸

a a a ¹

implying B A. Thus, the solution is

nπ x

u ( x, y ) A cos [exp (nπ y/a) exp ( nπ y /a)]

a

nπ x nπ y

2 A cos cosh

a a

f

nπ x nπ y

u ¦ An cos a

cosh

a

(2.51)

n 0

f

nπ x nπ nπ b

f ( x) ¦ An cos a a

sinh

a

n 1

nπ nπ b 2 a nπ x

a

sinh

An

a a ³0 f ( x) cos

a

dx

f

nπ x nπ y

u A0 ¦ An cos a

cosh

a

(2.52)

n 1

128 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

where

2 1 a nπ x

An

nπ sinh (nπ b /a ) ³0 f ( x) cos

a

dx

The Dirichlet problem for the circle is defined as follows:

PDE: 2u 0, 0 d r d a, 0 d θ d 2π

BC: u (a, θ ) f (θ ), 0 d θ d 2π (2.53)

where f (θ ) is a continuous function on w IR . The task is to find the value of u at any point

in the interior of the circle IR in terms of its values on w IR such that u is single valued and

continuous on IR.

In view of circular geometry, it is natural to choose polar coordinates to solve this

problem and then use the variables separable method. The requirement of single-valuedness

of u in IR implies the periodicity condition, i.e.,

u (r , θ 2π ) u (r , θ ), 0 d r d a, (2.54)

1 1

urr ur 2 uθθ 0

r r

If u (r , θ ) R(r ) H (θ ), the above equation reduces to

1 1

R ccH R cH 2 RH cc 0

r r

This equation can be rewritten as

r 2 R cc rR c H cc

k (2.55)

R H

which means that a function of r is equal to a function of θ and, therefore, each must be

equal to a constant k (a separation constant).

r 2 R cc rR c λ 2 R 0 (2.56)

which is a Euler type of equation and can be solved by setting r e z . Its solution is

R c1eλ z c2 e λ z c1r λ c2 r λ

ELLIPTIC DIFFERENTIAL EQUATIONS 129

Also,

H cc λ 2 H 0

whose solution is

H c3 cos λθ c4 sin λθ

Therefore,

r 2 R cc rR c λ 2 R 0, H cc λ 2 H 0

Their respective solutions are

R c1 cos (λ ln r ) c2 sin (λ ln r )

H c3eλθ c4 e λθ

Thus

rR cc R c 0

Setting R c (r ) V (r ), we obtain

dV dV dr

r V 0, i.e., 0

dr V r

c1 dR

V

r dr

On integration,

R c1 ln r c2

Also,

H cc 0

After integrating twice, we get

H c3θ c4

Thus,

u (r , θ ) (c1 ln r c2 ) (c3θ c4 ) (2.59)

130 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

Now, for the interior problem, r 0 is a point in the domain IR and since ln r is not defined

at r 0, the solutions (2.58) and (2.59) are not acceptable. Thus the required solution is

obtained from Eq. (2.57). The periodicity condition in θ implies

c3 cos λθ c4 sin λθ c3 cos (λ (θ 2π )) c4 sin (λ (θ 2π ))

i.e.

c3 [cos λθ cos (λθ 2λπ )] c4 [sin λθ sin (λθ 2λπ )] 0

or

2 sin λπ [c3 sin (λθ λπ ) c4 cos (λθ λπ )] 0

renaming the constants, the acceptable general solution can be written as

f

u (r , θ ) ¦ (cn r n dn r n ) (an cos nθ bn sin nθ ) (2.60)

n 0

At r = 0, the solution should be finite, which requires d n 0. Thus the appropriate solution

assumes the form

f

u (r , θ ) ¦ r n ( An cos nθ Bn sin nθ )

n 0

A0 f n

u (r , θ )

2 n 1 ¦

r ( An cos nθ Bn sin nθ ) (2.61)

which is a full-range Fourier series. Now we have to determine An and Bn so that the BC:

u (a, θ ) f (θ ) is satisfied, i.e.,

f

f (θ ) ¦ an ( An cos nθ Bn sin nθ )

n 0

Hence,

1 2π

A0

π ³0 f (θ ) dθ

1 2π

a n An

π ³0 f (θ ) cos nθ dθ (2.62)

1 2π

a n Bn

π ³0 f (θ ) sin nθ dθ , n 1, 2, 3, }

ELLIPTIC DIFFERENTIAL EQUATIONS 131

In Eqs. (2.62) we replace the dummy variable θ by φ to distinguish this variable from the

current variable θ in Eq. (2.61). Substituting Eq. (2.62) into Eq. (2.61), we obtain the relation

2π f ª r n cos nθ 2π

1

u (r , θ )

2π ³0 f (φ ) dφ ¦ « n

π ³0 cos (nφ ) f (φ ) dφ

n 1«

¬a

r n sin nθ 2π º

an π ³0 sin (nφ ) f (φ ) dφ »

»¼

2π 2π f n

1 1 §r·

u (r , θ )

2π ³0 f (φ ) dφ

π ³0 f (φ ) ¦ ¨© ¸¹ {cos nφ cos nθ sin nφ sin nθ } dφ

a

n 1

1 2π ª1 f

§r·

n º

π ³0 f (φ ) « ¦¨ ¸

«¬ 2 n 1 © a ¹

cos n (φ θ ) » dφ

»¼

(2.63)

follows:

Let

f n

§r·

c ¦ ¨© a ¸¹ cos n (φ θ )

n 1

f n

§r·

s ¦ ¨© ¸¹ sin n (φ θ )

a

n 1

so that

f n

ª r i (φ θ ) º

c is ¦ «a e »¼

n 1¬

f

(r/a ) ei (φ θ )

n

ª § r · i (φ θ ) º

c is ¦ «¨ ¸ e

¬© a ¹

»

¼ [1 (r /a) ei (φ θ ) ]

n 1

[1 (r/a )ei (φ θ ) ][1 (r/a ) ei (φ θ ) ]

132 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

[r/a ) cos (φ θ ) (r 2 /a 2 )]

c

[1 (2r/a ) cos (φ θ ) (r 2 /a 2 )]

Thus, the expression in the square brackets of Eq. (2.63) becomes

1 [(r/a ) cos (φ θ ) (r 2 /a 2 )] a2 r 2

2 [1 (2r/a ) cos (φ θ ) ( r 2 /a 2 )] 2[a 2 2ar cos (φ θ ) r 2 ]

Thus, the required solution takes the form

1 2π (a 2 r 2 ) f (φ )

u (r , θ )

2π ³0 [a 2 2ar cos (φ θ ) r 2 ]

dφ (2.64)

This is known as Poisson’s integral formula for a circle, which gives a unique solution for

the Dirichlet problem. The solution (2.64) can be interpreted physically in many ways: It can

be thought of as finding the potential u (r , θ ) as a weighted average of the boundary

potentials f (φ ) weighted by the Poisson kernel P, given by

a2 r 2

P

[a 2 2ar cos (φ θ ) r 2 ]

It can also be thought of as a steady temperature distribution u (r , θ ) in a circular disc, when

the temperature u on its boundary w IR is given by u f (φ ) which is independent of time.

The exterior Dirichlet problem is described by

PDE: 2u 0

BC: u (a, θ ) f (θ ) (2.65)

u must be bounded as r o f.

By the method of separation of variables, the general solution (2.60) of 2 u 0 in polar

coordinates can be written as

f

u (r , θ ) ¦ (cn r n dn r n ) (an cos nθ bn sin nθ )

n 0

ELLIPTIC DIFFERENTIAL EQUATIONS 133

∞

u (r , θ ) = ∑ r −n ( An cos nθ + Bn sin nθ )

n=0

A0 ∞ − n

u (r , θ ) = +

2 n =1 ∑

r ( An cos nθ + Bn sin nθ ) (2.66)

A0 ∞ − n

f (θ ) = +

2 n =1 ∑

a ( An cos nθ + Bn sin nθ )

1 2π

π ∫0

A0 = f (θ ) dθ

1 2π

π ∫0

a − n An = f (θ ) cos nθ dθ (2.67)

1 2π

π ∫0

a − n Bn = f (θ ) sin nθ dθ

In Eq. (2.67) we replace the dummy variable θ by φ so as to distinguish it from the current

variable θ . We then introduce the changed variable into solution (2.66) which becomes

2π ∞ ⎡ r −n an 2π

1

u (r , θ ) =

2π ∫0 f (φ ) dφ + ∑ ⎢⎢⎣ π

cos nθ ∫0 cos (nφ ) f (φ ) dφ

n =1

r −n an 2π ⎤

+

π

sin nθ ∫0 sin (nφ ) f (φ ) dφ ⎥

⎥⎦

or

1 2π ⎡ 1 ∞ ⎛ a ⎞n ⎤

u (r , θ ) =

π ∫0 f (φ ) ⎢ +

⎢⎣ 2 n = 1 r

∑

⎜⎝ ⎟⎠ cos n (φ − θ )⎥ dφ

⎥⎦

(2.68)

Let

• n

Ê aˆ

C= Â ÁË r ˜¯ cos n (f - q )

n =1

134 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

n

È aØ

S Ç ÉÊ ÙÚ sin n (I T )

r

n 1

Then,

f n

ª § a · i (φ θ ) º

C iS ¦ « ¨© r ¸¹ e »

n 1¬ ¼

a

Since 1, | ei (φ θ ) | d 1. We have

r

C iS

r [1 (a/r ) ei (φ θ ) ] [1 ( a/r ) ei (φ θ ) ] [1 (a/r ) e i (φ θ ) ]

Hence,

[( a / r ) cos (φ θ ) (a 2 /r 2 )]

C

[1 (2a / r ) cos (φ θ ) (a 2/ r 2 )]

Thus the quantity in the square brackets on the right-hand side of Eq. (2.68) becomes

1 [(a / r ) cos (φ θ ) (a 2/ r 2 )] r 2 a2

2 [1 (2a/r ) cos (φ θ ) ( a 2/ r 2 )] 2[r 2 2ar cos (φ θ ) a 2 ]

Therefore, the solution of the exterior Dirichlet problem reduces to that of an integral equation

of the form

1 2π (r 2 a 2 ) f (φ )

u (r , θ )

2π ³0 [r 2 2ar cos (φ θ ) a 2 ]

dφ (2.69)

EXAMPLE 2.4 Find the steady state temperature distribution in a semi-circular plate of

radius a, insulated on both the faces with its curved boundary kept at a constant temperature

U0 and its bounding diameter kept at zero temperature as described in Fig. 2.4.

R = Q/2

u = u0

r=a

r

R

R=Q u=0 R=0

Fig. 2.4 Semi-circular plate.

ELLIPTIC DIFFERENTIAL EQUATIONS 135

ut = ∇ 2 u

In the steady state, the temperature is independent of time; hence ut = 0, and the temperature

satisfies the Laplace equation. The problem can now be stated as follows: To solve

1 1

PDE: ∇ 2 u (r , θ ) = urr + ur + 2 uθθ = 0

r r

BCs: u (a, θ ) = U 0 , u (r , 0) = 0, u (r , π ) = 0

B sin λπ (cr λ + Dr − λ ) = 0

we must have sin λπ = 0, implying

λπ = nπ , n = 1, 2, …

In Eq. (2.71), we observe that as r → 0, the term r − λ → ∞. But the solution should be finite

at r = 0, and so D = 0. Then after adjusting the constants, it follows from the superposition

principle that,

∞

u (r , θ ) = ∑ Bn r n sin nθ

n =1

∞

u ( a, θ ) = U 0 = ∑ Bn an sin nθ

n =1

136 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

4U 0

2 π ° nπ , for n 1, 3, }

³0 U 0 sin nθ dθ

n

Bn a ®

π ° 0,

¯ for n 2, 4, }

Hence,

4U 0

Bn , n 1, 3, }

nπ a n

With these values of Bn, the required solution is

f n

4U 0 1 §r·

u (r , θ )

π ¦ n

¨© ¸¹ sin nθ

a

n odd

The interior Neumann problem for a circle is described by

PDE: 2u 0, 0 d r a; 0 d θ d 2π (2.72)

wu w u ( a, θ )

BC: g (θ ), r a

wn wr

Following the method of separation of variables, the general solution (2.60) of equation

2u 0 in polar coordinates is given by

f

u (r , θ ) ¦ (cn r n dn r n ) (an cos nθ bn sin nθ )

n 0

At r = 0, the solution should be finite and, therefore, d n 0. Hence, after adjusting the constants,

the general solution becomes

f

u (r , θ ) ¦ r n ( An cos nθ Bn sin nθ )

n 0

f

A0

u (r , θ )

2 n

¦ r n ( An cos nθ Bn sin nθ ) (2.73)

1

f

wu

wr ¦ nr n1 ( An cos nθ Bn sin nθ )

n 1

ELLIPTIC DIFFERENTIAL EQUATIONS 137

wu

( a, θ ) g (θ )

wr

we get

f

g (θ ) ¦ nan1 ( An cos nθ Bn sin nθ ) (2.74)

n 1

1 2π

na n 1 An

π ³0 g (θ ) cos nθ dθ

1 π

na n 1Bn

π ³0 g (θ ) sin nθ dθ (2.75)

Here, we replace the dummy variable θ by φ to distinguish from the current variable θ in

Eq. (2.74). Now introducing Eq. (2.75) into Eq. (2.73), we obtain

A0 f rn 2π

u (r , θ ) ¦

2 n 1 nπ a n 1 ³0 g (φ ) (cos nφ cos nθ sin nφ sin nθ ) dφ

or

2π f n

A0 §r· a

u (r , θ )

2

³0 g (φ ) ¦ ¨© ¸¹

a nπ

cos n (φ θ ) dφ (2.76)

n 1

This solution can also be expressed in an alternative integral form as follows: Let

n

§r· a

C ¦ ¨© a ¸¹ nπ

cos n (φ θ )

n

§r· a

S ¦ ¨© ¸¹

a nπ

sin n (φ θ )

Therefore,

n f n

§r· a in (φ θ ) a ªr º 1

C iS ¦ ¨© a ¸¹ nπ

e

π ¦ «¬ a ei (φ θ ) »¼n

n 1

ª r i (φ θ ) ½ r i (φ θ ) ½2 r i (φ θ ) ½3 º

«® e ¾ ® e ¾ ® e ¾ »

a «¯a ¿ ¯a ¿ ¯a ¿

»

π « 1 2 3 »

« »

¬« ¼»

138 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

or

a ⎡ r ⎤ a ⎡ r r ⎤

C + iS = − ln ⎢1 − ei (φ −θ ) ⎥ = − ln ⎢1 − cos (φ − θ ) − i sin (φ − θ ) ⎥ (2.77)

π ⎣ a ⎦ π ⎣ a a ⎦

To get the real part of ln z, we may note that

W = ln z or z = eW

x = eu cos v, y = eu sin v

e2u = x 2 + y 2 = | z |2

i.e., u = ln | z | . Therefore,

2 2

⎛ r

a ⎞ ⎛r ⎞

C = − ln ⎜1 − cos (φ − θ ) ⎟ + ⎜ sin (φ − θ ) ⎟

π ⎝ a ⎠ ⎝ a ⎠

a a 2 − 2ar cos (φ − θ ) + r 2

=− ln

π a2

Thus the required solution is

A0 a 2π a 2 − 2ar cos (φ − θ ) + r 2

u (r , θ ) = −

2 π ∫0 ln

a2

g (φ ) d φ (2.78)

The Laplace equation in cylindrical coordinates assumes the following form:

1 1

∇ 2u = urr + ur + 2 uθθ + u zz = 0 (2.79)

r r

We now seek a separable solution of the form

u (r , θ , z ) = F (r , θ ) Z ( z ) (2.80)

Substituting Eq. (2.80) into Eq. (2.79), we get

∂2F 1 ∂F 1 ∂2F d 2Z

Z + Z + Z + F =0

∂ r2 r ∂r r2 ∂ θ2 dz 2

or

⎛ ∂ 2F 1 ∂ F 1 ∂ 2F ⎞ 1 d 2Z 1

⎜ 2 + r ∂r + 2 ⎟ = − = k (say)

⎝ ∂r r ∂θ 2 ⎠ F dz 2 Z

ELLIPTIC DIFFERENTIAL EQUATIONS 139

d 2Z

kZ 0 (2.81)

dz 2

or

w 2F 1 w F 1 w 2F

KF 0 (2.82)

w r2 r w r r 2 wθ 2

If k is real and positive, the solution of Eq. (2.81) is

Z c1 cos k z c2 sin kz

If k is negative, the solution of Eq. (2.81) is

Z c1e kz

c2 e kz

Z c1 z c2

From physical considerations, one would expect a solution which decays with increasing z

and, therefore, the solution corresponding to negative k is acceptable. Let k λ 2 . Then

Z c1eλ z c2 e λ z (2.83)

Equation (2.82) now becomes

w 2F 1 w F 1 w 2F

λ2F 0

w r2 r w r r 2 wθ 2

Let F (r , θ ) f (r ) H (θ ). Substituting into the above equations, we get

1 1

f ccH f cH 2 f H cc λ 2 f H 0

r r

or

1 H cc

(r 2 f cc r f c λ 2 r 2 f ) k c (say)

f H

From physical consideration, we expect the solution to be periodic in θ , which can be obtained

when k c is positive and k c n 2 . Therefore, the acceptable solution will be

H c3 cos nθ c4 sin nθ (2.84)

d2 f df

r2 2

r (λ 2 r 2 n 2 ) f 0 (2.85)

dr dr

140 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

f AJ n (λ r ) BYn (λ r ) (2.86)

Here, J n (λ r ) and Yn (λ r ) are the nth order Bessel functions of first and second kind, respectively.

Since Yn (λ r ) o f as r o 0, Yn (λ r ) becomes unbounded at r 0. Continuity of the solution

0 d θ d 2π , 0 d z d h, where r , θ , z are cylindrical coordinates. The top z h and the lateral

surface r a are held at 0°, while the base z 0 is held at 100°. Assuming that there are no

sources of heat generation within the cylinder, find the steady-temperature distribution within

the cylinder.

Solution The temperature u must be a single valued continuous function. The steady

state temperature satisfies the Laplace equation inside the cylinder. To compute the temperature

distribution inside the cylinder, we have to solve the following BVP:

PDE: 2u 0

BCs: u 0q on z h,

u 0q on r a,

u 100q on z 0

The general solution of the Laplace equation in cylindrical coordinates as given in Section 2.11

is

r (r , θ , z ) J n (λ r ) (c1 cos nθ c2 sin nθ ) (c3eλ z c4 e λ z )

Since the face z 0 is maintained at 100° and since the other face and lateral surface of the

cylinder are maintained at 0°, the temperature at any point inside the cylinder is obviously

independent of θ . This is possible only when n 0 in the general solution. Thus,

u (r , z ) J 0 (λ r ) ( Aeλ z Be λ z )

0 J 0 (λ r ) ( Aeλ h Be λ h )

Aeλ h

B

e λ h

ELLIPTIC DIFFERENTIAL EQUATIONS 141

J 0 (λ r ) A

u (r , z ) λh

[e λ ( z h ) e λ ( z h ) ]

e

or

u (r , z ) J 0 (λ r ) A1 sinh λ ( z h)

0 A1 J 0 (λ a ) sinh λ ( z h)

have ξ n λ a, and therefore,

ξn

λ

a

Thus the solution is

§ξ r · ªξ º

u (r , z ) A1 J 0 ¨ n ¸ sinh « n ( z h) » , n 1, 2, }

© a ¹ ¬ a ¼

Using the principle of superposition, we have

f

§ ξn r · ªξ º

u (r , z ) ¦ An J0 ¨© a ¹ ¸ sinh « n ( z h)»

¬a ¼

n 1

f

§ ξn h · § ξn r ·

100 ¦ An sinh ¨© a ¸¹ ¨© a ¸¹

J0

n 1

which is a Fourier-Bessel series. Multiplying both sides with rJ 0 (ξ m r/a ) and integrating, we

get

f

a §ξ r · § ξn h · a § ξn r · § ξm r ·

100 ³0 rJ 0 ¨ m ¸ dr

© a ¹ ¦ An sinh ¨© a ¸¹ ³0 rJ0 ¨© J0

a ¸¹ ¨© a ¸¹

dr

n 1

0, if i z j

a °

³0 xJ n (αi x) J n (α j x) dx ® a 2

° J 2 (αi ), if i j

¯ 2 n 1

142 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

f

a §ξ r · § ξn h · a2 2

100 ³0 rJ 0 ¨ n ¸ dr

© a ¹ ¦ An sinh ¨© a ¸¹ 2 1

J (ξ n )

n 1

Therefore,

200 a § ξnr ·

An

§ ξ h· ³0 rJ 0 ©¨ a ¹

¸ dr

a 2 sinh ¨ n ¸ J 12 (ξ n )

© a ¹

Setting

ξn r a

x, dr dx

a ξn

the relation for An can also be written as

200 ξn

An

§ ξ h· ³0 xJ 0 ( x) dx

ξ n2 sinh ¨ n ¸ J 12 (ξ n )

© a ¹

Using the recurrence relation

d n

x n J n 1 ( x) [ x J n ( x)],

dx

For n 1, we get

³ xJ 0 ( x) dx xJ1 ( x)

ξ

ª 200 x J1( x) º n 200

An « »

« ξ n2 sinh (ξ n h/a) J 12 (ξ n ) » ξ n sinh (ξ n h /a ) J1 (ξ n )

¬ ¼0

Hence, the required temperature distribution inside the cylinder is

f

J 0 (ξ n r/a) sinh [(ξ n /a) ( z h)]

u (r , z ) 200 ¦ ξ n sinh (ξ n h /a) J1 (ξ n )

n 1

ELLIPTIC DIFFERENTIAL EQUATIONS 143

the potential on the top z h, and on the lateral surface r = a is held at zero, while on the

base z = 0, the potential is given by u (r , θ , 0) V0 (1 r 2/ a 2 ), where V0 is a constant; r , θ , z are

cylindrical polar coordinates.

Solution The potential u must be a single-valued continuous function and satisfy the

Laplace equation inside the cylinder. To compute the potential inside the cylinder, we have

to solve the following BVP:

PDE: 2u 0

BCs: u 0 on z h,

u 0 on r a,

§ r2 ·

u V0 ¨1 2 ¸ on z 0

© a ¹

In cylindrical coordinates, the general solution of the Laplace equation as given in Section 2.11

is

Since the face z = 0 has potential V0 (1 r 2/ a 2 ), which is purely a function of r and is independent

of θ and since the other faces of the cylinder are at zero potential, the potential at any point

inside the cylinder will obviously be independent of θ . This is possible only when n = 0 in

the general solution. Thus,

u (r , z ) J 0 (λ r ) ( Aeλ z Be λ z )

Using the BC: u = 0 on z = h, we obtain

0 J 0 (λ r ) ( Aeλ h Be λ h )

Aeλ h

B

e λ h

Hence, the solution is

A

u (r , z ) λh

J 0 (λ r )[eλ ( z h) e λ ( z h) ]

e

144 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

or

u (r , z ) A1 J 0 (λ r ) sinh λ ( z h)

where A1 A / e λ h . Now, using the BC: u = 0 on the lateral surface, i.e., on r = a, we get

0 A1 J 0 (λ a ) sinh λ ( z h)

implying J 0 (λ a ) 0. This has infinitely many positive roots; denoting them by ξ n we shall

have

ξn λa or λ ξ n /a

The solution now takes the form

§ξ r · ªξ º

u (r , z ) A1 J 0 ¨ n ¸ sinh « n ( z h) » , n 1, 2, }

© a ¹ ¬a ¼

The principle of superposition gives

f

§ ξn r · ªξ º

u (r , z ) ¦ An J 0 ¨© a ¹ ¸ sinh « n ( z h) »

¬a ¼

n 1

§ r2 ·

The last BC: u V0 ¨1 2 ¸ on z 0 yields

© a ¹

§ r2 · f

§ ξn h · § ξn r ·

V0 ¨1 2 ¸

© a ¹

¦ An sinh ¨© J0

a ¸¹ ¨© a ¸¹

n 1

This is a Fourier-Bessel’s series. Multiplying both sides by rJ 0 (ξ m r/a ) and integrating, we get

§ r2 · f

a § ξm r · § ξn h · a § ξn r · § ξm r ·

V0 ³0 ¨1 2 ¸ rJ 0 ¨© a ¸¹ dr

© a ¹

¦ An sinh ¨© a ¸¹ ³0 rJ0 ¨© a ¸¹ ¨© a ¸¹

J0 dr

n 1

Î 0, if i j

a

Ñ 2

Ô 0

x J n (D i x) J n (D j x) dx Ïa 2

Ñ J n 1 (D i ), if i j

Ð 2

§ r2 · f

a § ξn r · § ξn h · a2 2

V0 ³0 ¨1 2 ¸ rJ 0 ¨© a ¸¹ dr

© a ¹

¦ An sinh ¨© ¸

a ¹ 2 1

J (ξ n )

n 1

ELLIPTIC DIFFERENTIAL EQUATIONS 145

which gives

2V0 a § r2 · § ξnr ·

An

§ ξ h· ³0 ¨1 2 ¸ rJ 0 ¨© a ¸¹ dr

© a ¹

a 2 sinh ¨ n ¸ J 12 (ξ n )

© a ¹

2V0 ξn

An

§ ξ h· ³0 (ξ n2 x 2 ) x J 0 ( x) dx

ξ n4 sinh ¨ n ¸ J 12 (ξ n )

© a ¹

Using the well-known recurrence relation

d a

xα Jα 1 ( x) [ x Jα ( x)] for B 1, 2, }

dx

we get

³ xJ0 ( x) ³x

2

xJ1 ( x), J1 ( x) x 2 J 2 ( x)

2V0 ξn

An

§ ξ h· ³0 (ξ n2 x 2 ) d [ xJ1 ( x)]

ξ n4 sinh ¨ n ¸ J 12 (ξ n )

© a ¹

Integrating by parts, we get

4V0 ξn

An

ξ n4 sinh (ξ n h /a ) J 12 (ξ n ) 0

³ x 2 J1 ( x) dx

4V0 ξn

ξ n4 sinh (ξ n h /a ) J 12 (ξ n ) ³0

d [ x 2 J 2 ( x)]

4V0 ξ

[ x 2 J 2 ( x)] 0n

ξ n4 sinh (ξ n h /a ) J 12 (ξ n )

Thus,

4V0 J 2 (ξ n )

An

ξ n2 sinh (ξ n h /a ) J 12 (ξ n )

146 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

2n

J n 1 ( x) J n 1 ( x ) J n ( x)

x

for n 1 gives

2

J 0 (ξ n ) J 2 (ξ n ) J (ξ )

ξn 1 n

Hence,

2

J 2 (ξ n ) J (ξ )

ξn 1 n

since J 0 (ξ n ) 0. Therefore,

8V0 J1 (ξ n )

An

ξ n3 sinh (ξ n h /a ) J 12 (ξ n )

§ξ r · ªξ º

f 8V0 J 0 ¨ n ¸ sinh « n ( z h)»

© a ¹ ¬a ¼

u (r , z ) ¦ § ξ h ·

n 1 ξ n3 J1 (ξ n ) sinh ¨ n ¸

© a ¹

In Example 2.3, the Laplace equation is expressed in spherical coordinates and has the

following form:

w § 2 wu · 1 w § wu · 1 w 2u

2u ¨© r ¸¹ ¨© sin θ ¸¹ 0 (2.88)

wr wr sin θ w θ wθ sin 2 θ w φ 2

Let us assume the separable solution in the form

u (r , θ , φ ) R (r ) F (θ , φ ) (2.89)

Substituting Eq. (2.89) into Eq. (2.88), we get

w È 2 w RØ R w È wFØ R w2F

F É r Ù É sin T Ù 0

w r Ê w r Ú sin T w T Ê w T Ú sin 2 T w I 2

Separation of variables gives

d § 2 dR · 1 ° w § wF· 1 w 2 F ½°

¨r ¸ ® ¨© sin θ ¸¹ ¾

dr © dr ¹ sin θ ¯° w θ wθ sin θ w φ 2 ¿°

μ

R F

ELLIPTIC DIFFERENTIAL EQUATIONS 147

1 d § 2 dR ·

¨r ¸ μ (2.90)

R dr © dr ¹

1 ªw § wF· 1 w 2F º

« ¨© sin θ ¸¹ » μ (2.91)

F sin θ «¬ w θ wθ sin θ w φ 2 »¼

d 2R dR

r2 2

2r μR 0

dr dr

which is a Euler’s equation. Hence, using the transformation r e z , the auxiliary equation

can be written as

D ( D 1) 2 D μ D2 D μ 0

1 r 1 4 μ

D

2

Let μ α (α 1); then we get

° § 1 · ½°

2

®1 r 2 ¨©α ¸¹ ¾

°¯ 2 ° 1 § 1·

¿ r ¨α ¸

D

2 2 © 2¹

Taking μ α (α 1), Eq. (2.91) becomes

w § wF· 1 w 2F

¨© sin θ ¸ α (α 1) F sin θ 0

wθ w θ ¹ sin θ w φ 2

Inserting

F H (θ ) Φ (φ )

into the above equation and separating the variables, we obtain

sin θ ª d § dH · º 1 d 2Φ

¨© sin θ ¸¹ α (α 1) sin θ H » ν2

H «¬ dθ dθ ¼ Φ dφ 2

148 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

d 2Φ

ν 2Φ 0 (2.93)

dφ 2

sin θ ª d § dH · º

¨© sin θ ¸¹ α (α 1) sin (θ ) H » ν

2

«

H ¬ dθ dθ

(2.94)

¼

The general solution of Eq. (2.93) is

Φ c3 cos νφ c4 sin νφ (2.95)

case. Equation (2.94) becomes, for the axisymmetric, case,

d § dH ·

¨© sin θ ¸ α (α 1) sin (θ ) H 0

dθ dθ ¹

Transforming the independent variable θ to x and by letting x cos θ , the abvoe equation

becomes

d § dH dx · dx

¨© sin θ ¸ α (α 1) sin (θ ) H 0

dx dx dθ ¹ dθ

i.e.,

d ª dH º

«¬(1 cos θ ) dx »¼ α (α 1) H

2

0

dx

or

d ª 2 dH º

dx «¬(1 x ) dx »¼ α (α 1) H 0 (2.96)

H c5 Pα ( x ) c6 Qα ( x ), 1 d x d 1 (2.97)

where Pα , Qα are Legendre functions of the first and second kind respectively. For convenience

let α be a positive integer, say α n. Then

H c5 Pn (cos θ ) c6Qn (cos θ ) (2.98)

singularity at x = 1, we choose c6 0. Therefore, in axisymmetric case the solution of Laplace

equation in spherical coordinates is given by

ELLIPTIC DIFFERENTIAL EQUATIONS 149

After renaming the constants and using the principle of superposition, we find the solution

to be

f

u (r , θ ) ¦ [ An r n Bn r (n1) ] Pn (cos θ ) (2.99)

n 0

EXAMPLE 2.7 In a solid sphere of radius ‘a’, the surface is maintained at the temperature

given by

° k cos θ , 0 d θ π /2

f (θ ) ®

°̄ 0, π /2 θ π

Prove that the steady state temperature within the solid is

ª1 1§r· 5 §r·

2

3 §r·

4 º

u (r , θ ) k « P0 (cos θ ) ¨ ¸ P1 (cos θ ) ¨ ¸ P2 (cos θ ) ¨ ¸ P4 (cos θ ) »

¬« 4 2©a¹ 16 © a ¹ 32 © a ¹ ¼»

the Laplace equation. In spherical polar coordinates, the axisymmetric solution of the Laplace

equation in general with the assumption that the temperature should be finite at the origin is

given by Eq. (2.99) in the form

f

u (r , θ ) ¦ An r n Pn (cos θ ) (2.100)

n 0

f f

u ( a, θ ) f (θ ) ¦ An a n Pn (cos θ ) ¦ bn Pn (cos θ )

n 0 n 0

2n 1 1

bn

2 ³ 1 f (θ ) Pn (cos θ ) dθ

In the present problem,

2n 1 1

bn

2 ³0 f (θ ) Pn (cos θ ) dθ

Let cos θ x,

1 1 1 1 k

b0

2 ³0 kx P0 ( x) dx

2 ³0 kx 1 dx 4

150 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

Hence, we get

k

A0 =

4

Also,

3 1 k

b1 =

2 ∫0 kx ⋅ x ⋅ dx = 2 = A1a

Therefore,

k ⎛1⎞

A1 = ⎜ ⎟

2 ⎝a⎠

5 1 5 1 3x 2 − 1 5

b2 =

2 ∫0 kxP2 ( x) dx =

2 ∫0 kx

2

dx = k

16

Thus,

5 1

A2 = k⋅ 2

16 a

Further,

7 1 7 1 5 x3 − 3 x

b3 =

2 ∫0 kxP3 ( x) dx =

2 ∫0 kx

2

dx = 0

1

Similarly, noting that P4 ( x) = (35 x 4 − 30 x 2 + 3), we get

8

3

b4 = − k = A4 a 4

32

Hence,

3 1

A4 = − k ⋅ 4 ,L

32 a

Substituting these values of A0, A1, A2,… into Eq. (2.100), we obtain, finally, the required

temperature as

⎡1 1⎛r⎞

u (r , θ ) = k ⎢ P0 (cos θ ) + ⎜ ⎟ P1 (cos θ )

⎣ 4 2⎝a⎠

5 ⎛r⎞

2

⎛ 3 ⎞⎛r ⎞

4 ⎤

+ ⎜ ⎟ 2 P (cos θ ) + ⎜⎝ − ⎟⎜ ⎟ 4 P (cos θ ) + L⎥ .

16 ⎝ a ⎠ 32 ⎠ ⎝ a ⎠ ⎥⎦

ELLIPTIC DIFFERENTIAL EQUATIONS 151

EXAMPLE 2.8 Find the potential at all points of space inside and outside of a sphere of

radius R = 1 which is maintained at a constant distribution of electric potential

u ( R, θ ) f (θ ) cos 2θ .

Solution It is known that the potential on the surface of a sphere is governed by the

Laplace equation. The Laplace equation in spherical polar coordinates is

w 2u 2 w u 1 w 2 u cot θ w u 1 w 2u

2 0

w r2 r w r r wθ 2 r 2 w θ r 2 sin 2 θ w φ 2

The possible general solution by variables separable method, after using superposition principle,

is given by Eq. (2.99). Thus we have two possible solutions:

f

u1 (r , θ ) ¦ An r n Pn (cos θ ) (2.101)

n 0

f

B

u2 ( r , θ ) ¦ r nn1 Pn (cos θ ) (2.102)

n 0

For points inside the sphere, we take the series (2.101). Why is this so? Applying the BC: u ( R, θ )

f (θ ) cos 2θ , we obtain

f

f (θ ) ¦ An Rn Pn (cos θ )

n 0

the orthogonality property, we get

2n 1 1

An R n

2 ³1 f (θ ) Pn ( x) dx

Let x cos θ . Then we have

2n 1 π

2R

An n ³0

f (θ ) Pn (cos θ ) sin θ dθ

For points outside the sphere, we take the series (2.102). Why is this so? Using the BC:

u ( R, θ ) f (θ ), we get

f

B

f (θ ) ¦ Rnn1 Pn (cos θ )

n 0

2n 1 n 1 π

Bn

2

R ³0 f (θ ) Pn (cos θ ) sin θ dθ

152 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

2n 1 1

³1 (2 x

2

An 1) Pn ( x) dx

2

However,

1

P2 ( x) (3x 2 1)

2

Therefore,

4 1

2x2 1 P2 ( x)

3 3

Thus,

2n 1 ª 4 1 1 1 º

An

2 «¬ 3 ³1 P2 ( x) Pn ( x) dx 3 ³1 P0 ( x) Pn ( x) dx»¼

Using the orthogonality property of Legendre polynomials, all integrals vanish except those

corresponding to n = 0 and n = 2. We obtain, therefore,

1 1 1 1

³1 P0 ( x) dx

2

A0

2 3 3

5 4 1 4

³1 P2 ( x) dx

2

A2

2 3 3

Also,

2n 1 1

³1 (2 x

2

Bn 1) Pn ( x) dx

2

2n 1 ª 4 1 1 1 º

2 «¬ 3 ³1 P2 ( x) Pn ( x) dx 3 ³1 P0 ( x) Pn ( x) dx»¼

which, on using the orthogonality property, gives the non-vanishing coefficients as

1 4

B0 , B2

3 3

Substituting these values of A0 and A2 into Eq. (2.101), we obtain

1 4

u1 (r , θ ) r 2 P2 (cosθ )

3 3

which gives the potential everywhere inside the sphere. Similarly, substituting the values of

B0 and B2 into Eq. (2.102), we get

ELLIPTIC DIFFERENTIAL EQUATIONS 153

1 4

u2 (r , θ ) = −

+ P2 (cos θ )

3r 3r 3

which gives the potential outside the sphere.

EXAMPLE 2.9 Find a general spherically symmetric solution of the following Helmholtz

equation:

(∇ 2 − k 2 ) u = 0

Solution In spherical polar coordinates, the Helmholtz equation can be written as

∂ 2 u 2 ∂ u 1 ∂ 2u cot θ ∂ u 1 ∂ 2u

+ + + + − k 2u = 0 (2.103)

∂ r2 r ∂ r r 2 ∂θ 2 r 2 ∂ θ r 2 sin 2 θ ∂ φ 2

In view of spherical symmetry, we look for u to be a function of r alone. Hence, Eq. (2.103)

becomes

∂ 2u 2 ∂ u

+ − k 2u = 0

∂ r2 r ∂ r

Therefore, we have to solve

∂ 2u ∂u

r2 + 2r − k 2 r 2u = 0 (2.104)

∂r 2 ∂r

Let

1

u= F (r )

r

Differentiating twice with respect to r and rearranging, we obtain

∂u F (r )

2r =− + 2 r F ′ (r )

∂r r

∂ 2u 3

r2 2

= − r −1/2 F (r ) − r1/2 F ′ (r ) + r 3/2 F ′′ (r )

∂r 4

Substituting the above relations, Eq. (2.104) becomes

⎛ 1⎞

r 2 F ′′ (r ) + rF ′ (r ) − ⎜ k 2 r 2 + ⎟ F (r ) = 0

⎝ 4⎠

or

⎡ ⎛1⎞ ⎤

2

r 2 F ′′(r ) + rF ′ (r ) + ⎢(ik )2 r 2 − ⎜ ⎟ ⎥ F (r ) = 0

⎢⎣ ⎝2⎠ ⎥

⎦

154 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

F (r ) AJ1/2 (ikr ) BY1/2 (ikr )

where J1/2 , Y1/2 are Bessel functions with imaginary arguments, and is rewritten as

Therefore,

u (r ) r 1/2 [ AI1/2 (kr ) BK1/2 (kr )]

But as r o f, the solution should be finite, which is possible only if A = 0. It is also known

that for large z,

π z

K1/2 ( z ) e

2z

Thus the acceptable spherically symmetric solution of the Helmholtz equation is given by

π kr c kr

u (r ) Br 1/2 e e

2kr r

where

π

c B

2k

EXAMPLE 2.10 Show that the velocity potential for an irrotational flow of an incompressible

fluid satisfies the Laplace solution.

Solution Let us consider a closed surface S enclosing a fixed volume V in the region

occupied by a moving fluid as shown in Fig. 2.5.

∧

n

dS

V

ELLIPTIC DIFFERENTIAL EQUATIONS 155

Let ρ be the density of the fluid. If n̂ is a unit vector in the direction of the normal to the

surface element dS and q the velocity of the fluid at that point, then the inward normal velocity

is (q nˆ ). Hence the mass of the fluid entering per unit time through the element dS is (q nˆ ) dS . It

follows therefore that the mass of the fluid entering the surface S in unit time is

³³ ρ (q nˆ) dS

S

Also, the mass of the fluid within S is

³³³ ρ dV

V

So the rate at which the mass goes on increasing is given by

w wS

wt ³³³ S dV ³³³ wt

dV

V V

By conservation of mass, the rate of generation of mass within a given volume under the

assumption that no internal sources are present is equal to the net inflow of mass through the

surface enclosing the given volume. Thus,

wρ

³³³ wt

dV ³³ ρ (q nˆ ) dS

V S

V

Therefore,

ªw ρ º

³³³ «¬ w t div ( ρq)»¼ dV 0

V

Since the integrand is a continuous function and since this result is true for any arbitrary

volume element dV, it follows that the integrand is zero. Therefore,

wρ

ρq 0

wt

which is called the equation of continuity. For an incompressible fluid, ρ constant and,

therefore,

q 0

Further, if the flow is irrotational, i.e., there exists a velocity potential φ such that

q φ

Hence,

q φ 2φ 0

Thus, an incompressible irrotational fluid satisfies the Laplace equation.

156 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

EXAMPLE 2.11 A thin rectangular homogeneous thermally conducting plate lies in the xy-

plane defined by 0 d x d a, 0 d y d b. The edge y 0 is held at the temperature Tx ( x a),

where T is a constant, while the remaining edges are held at 0°. The other faces are insulated

and no internal sources and sinks are present. Find the steady state temperature inside the

plate.

Solution Since no heat sources and sinks are present in the plate, the steady state

temperature u must satisfy 2 u 0. Hence the problem is to solve

PDE: 2u 0

BCs: u (0, y ) 0, u ( a, y ) 0, u ( x, b) 0, u ( x, 0) Tx ( x a )

This is a typical Dirichlet’s problem. The general solution satisfying the first three BCs is

given by Eq. (2.47). Therefore,

f

§ nπ · ª nπ º

u ( x, y ) ¦ An sin ¨© a x ¸ sinh « ( y b)»

¹ ¬ a ¼

n 1

where

nπ b 2 a § nπ ·

An sinh

a a ³0 f ( x) sin ¨

© a

x ¸ dx

¹

nπ b 2 a § nπ ·

An sinh

a a ³0 Tx ( x a) sin ¨© a x ¸ dx

¹

2T a § nπ ·

a ³0 x ( x a ) sin ¨

© a

x ¸ dx

¹

a 2T ª a § nπ · ½º

nπ a ¬

« ³0 x ( x a ) d ®cos ¨

¯ ©

x ¸ ¾»

a ¹ ¿¼

a

2T ª § nπ · º a a ª § nπ · º

«

nπ ¬

( x a ) cos ¨

© a

x ¸»

¹ ¼ 0 nπ ³0 (2 x a) d «¬sin ¨© a x ¸»

¹¼

a

2aT ª § nπ ·º a § nπ ·

2 2 «

nπ ¬

(2 x a ) sin ¨

© a

x ¸»

¹¼ 0 ³0 2 sin ¨© a x ¸ dx

¹

2aT ° § nπ · º ½°

a

2a ª

2 2 ®

a sin nπ «cos ¨© a x ¸¹ » ¾

n π ¯° nπ ¬ ¼ 0 °¿

2aT 2a 4a 2T

(cos nπ 1) [(1)n 1]

n 2π 2 nπ nπ3 3

ELLIPTIC DIFFERENTIAL EQUATIONS 157

f

§ nπ · 4Ta § nπ · ª nπ

2

º

u ( x, y ) ¦ cosech ¨© a b ¸¹ n3π 3 [(1)n 1] sin ¨© a x ¸ sinh « ( y b)»

¹ ¬ a ¼

n 1

2u 0, 0 d x d a, 0d ydb

satisfying the BCs:

u (0, y ) 0, u ( x, 0) 0, u ( x, b ) 0

wu πy

( a, y ) T sin 3

wx a

Solution Using the variables separable method, one of the acceptable general solutions

is given by Eq. (2.38). Hence

u ( x, y ) (c1e px c2 e px ) (c3 cos py c4 sin py )

Using the BC: u ( x, 0) 0, we get

0 c3 (c1e px c2 e px )

implying c3 = 0. Therefore,

u ( x, y ) c4 sin py (c1e px c2 e px )

Now, using the BC: u ( x, b) 0, we obtain

0 c4 sin pb (c1e px c2 e px )

nπ

pb nπ or p , n 1, 2, 3, }

b

Thus,

§ nπ ·

c4 sin ¨ y (c e px c2 e px )

© b ¸¹ 1

u ( x, y )

§ nπ · ª § nπ · § nπ · º

u ( x, y ) sin ¨ x B exp ¨ n 1, 2,}

© b ¸¹ «¬

y A exp ¨

© b ¸¹ © b ¸¹ »¼

x ,

§ nπ ·

sin ¨ y ( A B)

© b ¸¹

0

158 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

§ nπ ·ª § nπ · § nπ ·º

u ( x, y ) A sin ¨ y ¸ «exp ¨ x ¸ exp ¨ x¸»

© b ¹¬ © b ¹ © b ¹¼

§ nπ · § nπ ·

2 A sin ¨ y ¸ sinh ¨ n 1, 2, }

© b ¸¹

x ,

© b ¹

wu nπ § nπ · § nπ ·

sin ¨ y ¸ cosh ¨

© b ¸¹

2A x

wx b © b ¹

The last BC yields

πy nπ § nπ · § nπ ·

T sin 3 sin ¨

© b ¸¹

2A y cosh ¨ a¸

a b © b ¹

bT πy nπ § nπ ·

u ( x, y ) sin 3 sech a sinh ¨ x¸

nπ a b © b ¹

f

πy § nπ · § nπ ·

¦ nπ sin3

bT

sech ¨ a ¸ sinh ¨

© b ¸¹

u ( x, y ) x

a © b ¹

n 1

by 0 d x d a, 0 d y d b, 0 d z d c (see Fig. 2.6), if the potential is zero on all sides and the

bottom, while u f ( x, y ) on the top of the box.

z

c

b y

a O

x

Fig. 2.6 Rectangular box.

ELLIPTIC DIFFERENTIAL EQUATIONS 159

Solution The potential distribution in the rectangular box satisfies the Laplace equation.

Thus the problem is to solve

2u u xx u yy u zz 0

subject to the BCs:

u (0, y, z ) u ( a, y , z ) 0

u ( x, 0, z ) u ( x, b, z ) 0

u ( x, y, 0) 0

u ( x, y , c ) f ( x, y )

Following the variables separable method, let us assume the solution in the form

u ( x, y , z ) X ( x) Y ( y ) Z ( z )

Substituting into the Laplace equation, we get

X cc ( x) Y ( y ) Z ( z ) X ( x) Y cc ( y ) Z ( z ) X ( x) Y ( y ) Z cc( z ) 0

which can also be written as

Y cc ( y ) Z cc ( z ) X cc ( x)

λ 12

Y ( y) Z (z) X ( x)

X cc ( x) λ 12 X ( x ) 0 (2.105)

Z cc ( z ) Y cc ( y )

λ 12 λ 22

Z ( z) Y ( y)

Y cc ( y ) λ 22Y ( y ) 0 (2.106)

Z cc ( z ) λ 32 Z ( z ) 0 (2.107)

X ( x) c1 cos λ1 x c2 sin λ1 x

Y ( y) c3 cos λ2 y c4 sin λ2 y

Z ( z) c5 cosh λ3 z c6 sinh λ3 z

160 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

X (0) X (a ) 0

Y (0) Y (b) 0

Z (0) 0

X (0) 0 gives c1 0

X (a) 0 gives λ1a mπ .

Therefore,

mπ ,

λ1 m 1, 2, }

a

Similarly,

Y (0) 0 gives c3 0

Y (b) 0 gives λ2 b nπ

Therefore,

nπ ,

λ2 n 1, 2, }

b

Also, Z (0) 0 gives c5 0. Further, we note that

§ m2 n2 ·

λ 23 λ 12 λ 22 π2 ¨ 2 2 ¸ λ mn

2

(say)

©a b ¹

Then

m2 n2

λ3 π λmn

a2 b2

The solutions now take the form

mπ x ,

X ( x) c2 m sin m 1, 2, }

a

nπ y ,

Y ( y) c4 n sin n 1, 2, }

b

Z ( z) c6 mn sinh λmn z

Let cmn c2 m c4 n c6 mn ; then, after using the principle of superposition, the required solution is

f f

mπ x nπ y

u ( x, y , z ) X ( x) Y ( y ) Z ( z ) ¦ ¦ cmn sin a

sin

b

sinh λmn z (2.108)

m 1 n 1

ELLIPTIC DIFFERENTIAL EQUATIONS 161

mπ x nπ y

f ( x, y ) = ∑ ∑ cmn sinh λmn c sin a

sin

b

which is a double Fourier sine series. Thus, we have

4 a b mπ x nπ y

cmn sinh λmn c =

ab ∫0 ∫0 f ( x, y ) sin

a

sin

b

dx dy (2.109)

EXAMPLE 2.14 Find the electrostatic potential u in the annular region bounded by the

concentric spheres r = a, r = b, 0 < a < b (see Fig. 2.7), if the inner and outer surfaces are kept

at constant potentials u1 and u2, u1 ≠ u2 .

∇ 2u = 0

It is natural that we choose spherical polar coordinates. From the problem, it is evident that

we are looking for a solution with spherical symmetry which is independent of θ and φ .

Hence, u = u ( r ).

u = u1

a u = u2

∂ ⎛ 2 ∂u⎞

PDE: ⎜⎝ r ⎟=0 (2.110)

∂r ∂r ⎠

subject to

BCs: u = u1 at r = a

u = u2 at r = b

∂u

r2 =A (a constant of integration)

∂r

162 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

A

u B

r

Now, using the BCs, we have

A A

u1 B, u2 B

a b

Solving these equations, we get

u2 u1 (u1/b) (u2 /a )

A , B

(1/a ) (1/b) (1/b) (1/ a )

Hence, using these values, the required potential is

1 ª §1 1· § 1 1 ·º

u

(1/ a) (1/b) «u1 ¨© r b ¸¹ u2 ¨© a r ¸¹ »

¬ ¼

EXAMPLE 2.15 A thermally conducting solid bounded by two concentric spheres of radii

a and b as shown in Fig. 2.8, a < b, is such that the internal boundary is kept at f1 (θ ) and

the outer boundary at f 2 (θ ). Find the steady state temperature in the solid.

Solution It is known that the steady temperature T satisfies the Laplace equation. In

the present problem,

T T (r , θ )

a r P

O x

b

y

Fig. 2.8 Region bounded by two concentric spheres.

PDE: 2T 0

ELLIPTIC DIFFERENTIAL EQUATIONS 163

T f1 (θ ) at r a

T f 2 (θ ) at r b

In spherical polar coordinates, for axially symmetric case, the solution of the Laplace equation

is given by Eq. (2.99) as follows:

f

§ B ·

T (r , θ ) ¦ ¨© An r n r nn1 ¸¹ Pn (cos θ )

n 0

f

§ B ·

f1 (θ ) ¦ ¨© An an ann1 ¸¹ Pn (cos θ ) (2.111)

n 0

f

§ B ·

f 2 (θ ) ¦ ¨© Anbn bnn1 ¸¹ Pn (cos θ ) (2.112)

n 0

In order to find the coefficients An and Bn, we have to express f1 (θ ) and f 2 (θ ) in terms

of Legendre polynomials and compare the coefficients. In this process, the following orthogonality

relation is useful:

0, if m z n

π °

³0 Pm (cos θ ) Pn (cos θ ) sin θ dθ ® 2

° , if m n

¯ 2n 1

Thus, multiplying both sides of Eq. (2.111) by Pm (cos θ ) sin θ and integrating, we obtain

π f π

§ B ·

³0 f1 (θ ) Pm (cos θ )sin θ dθ ¦ ¨© An an ann1 ¸¹ ³0 Pn (cos θ ) Pm (cos θ )sin θ dθ

n 0

§ m Bm · 2 (2.113)

¨© Am a m 1 ¸¹ 2m 1

a

π f π

§ B ·

³0 f 2 (θ ) Pm (cos θ )sin θ dθ ¦ ¨© Anbn bnn1 ¸¹ ³0 Pn (cos θ ) Pm (cos θ )sin θ dθ

n 0

§ m Bm · 2 (2.114)

¨© Am b m1 ¸¹ 2m 1

b

164 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

Let

2m + 1 π

2 0 ∫

f1 (θ ) Pm (cos θ ) sin θ dθ = Cm

2m + 1 π

2 0∫f 2 (θ ) Pm (cos θ ) sin θ dθ = Dm

Bm

Am a m + = Cm

a m +1

Bm

Am bn + = Dm

b m +1

Am =

a 2m+1 − b2m +1

Bm =

b2m+1 − a 2m+1

Hence, the required steady temperature is

∞

⎛ B ⎞

T (r , θ ) = ∑ ⎜⎝ Am r m + r mm+1 ⎟⎠ Pm (cos θ )

m=0

EXAMPLE 2.16 A thin annulus occupies the region 0 < a ≤ r ≤ b, 0 ≤ θ ≤ 2π . The faces are

insulated. Along the inner edge the temperature is maintained at 0°, while along the outer

edge the temperature is held at T = K cos (θ /2), where K is a constant. Determine the temperature

distribution in the annulus.

Solution Mathematically, the problem is to solve

PDE: ∇ 2T = 0, a ≤ r ≤ b, 0 ≤ θ ≤ 2π

BCs: T (a, θ ) = 0

T (b, θ ) = k cos θ /2

The required general solution is given by Eq. (2.57) in the form

ELLIPTIC DIFFERENTIAL EQUATIONS 165

0 (c1a n c2 a n ) (c3 cos nθ c4 sin nθ )

implying thereby c1a n c2 a n 0, or c2 c1a 2n . After adjusting the constants suitably, we have

§ n a 2n ·

T (r , θ ) ¨ r n ¸ ( A cos nθ B sin nθ )

© r ¹

The principle of superposition gives

f § n a 2n ·

T (r , θ ) ¦ ¨ r n ¸ ( An cos nθ Bn sin nθ )

n 1© r ¹

Now, using the second boundary condition, we obtain

f

θ

T (b, θ ) K cos

2 ¦ (bn bn a2n ) ( An cos nθ Bn sin nθ )

n 1

which is a full-range Fourier series. Hence,

1 2π θ

An (b n b n a 2 n )

π 0 ³

K cos cos nθ dθ

2

k 2π ª § 1· § 1· º

2π ³0 «cos ¨© n 2 ¸¹ θ cos ¨© n 2 ¸¹ θ » dθ

¬ ¼

2π

ª § 1· § 1· º

sin n ¸ θ sin ¨ n ¸ θ »

k « ¨© 2¹ © 2¹

« »

2π « 1 1 »

n n

«¬ 2 2 »¼

0

0

implying An 0. Also,

k 2π θ

Bn (b n b n a 2 n )

π ³0 cos

2

sin nθ dθ

k 2π ª § 1· § 1· º

2π ³0 «sin ¨© n 2 ¸¹ θ sin ¨© n 2 ¸¹ θ » dθ

¬ ¼

2π

ª § 1· § 1· º

cos ¨ n ¸ θ cos ¨ n ¸ θ »

k « © 2¹ © 2¹

« »

2π « 1 1 »

n n

«¬ 2 2 »¼

0

166 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

§ ·

k ¨ 1 1 1 1 ¸

2π ¨ 1 1 1 1¸

¨© n n n n ¸

2 2 2 2¹

§ ·

k ¨ 1 1 ¸ k 2n

π ¨n 1 n 1 ¸ π n2 1

¨© ¸

2 2¹ 4

or

8kn

Bn (b n b n a 2 n )

π (4n 2 1)

Thus the temperature distribution in the annulus is given by

f ª (r / a ) n (a / r ) n º

8k n

T (r , θ )

π ¦ «

4n2 1 ¬« (b / a)n (a /b) n ¼»

» sin nθ

n 1

w 2V 1 w V 1 w 2V

0

w r2 r w r r 2 wθ 2

within the region of the plane bounded by r a, r b, θ 0, θ π /2. Its value along the

boundary r a is θ (π /2 θ ), along the other boundaries is zero. Prove that

f

2 (r / b)4n 2 (b / r )4n 2 ª sin (4n 2)θ º

V

π ¦ (a /b)4n2 (b/ a)4n2 «¬ (2n 1)3 ¼

»

n 1

w 2V 1 w V 1 w 2V

0

w r2 r w r r 2 wθ 2

subject to the following boundary conditions:

(i) V (b, θ ) 0, 0 θ π/2

(ii) V (r , π / 2) 0, ardb

(iii) V (r , 0) 0, ardb

(iv) V (a, θ ) θ (π / 2 θ ), 0 θ π /2.

ELLIPTIC DIFFERENTIAL EQUATIONS 167

The three possible solutions (see Section 2.8) are given as follows:

V (c1 ln r c2 ) (c3θ c4 )

Since the problem is not defined for r = 0, f, the second and third solutions are not acceptable.

Hence, the generally acceptable solution is the first one. The boundary condition (iii) gives

0 c3 (c1r p c2 r p )

π

0 c4 sin p (c1r p c2 r p )

2

Therefore,

π n 1, 2, }

sin p 0 or p 2 n,

2

Thus, the possible solution of the given equation has the form

Now, applying the boundary condition (i), we get

Superposing all the solutions, we obtain

f

V (r , θ ) ¦ cn sin (2nθ ) (r 2n r 2nb4n )

n 1

§π · § a 4n b 4n ·

θ ¨ θ ¸

©2 ¹ ¦ cn sin (2nθ ) ¨

© a 2n ¹

¸

2 π /2 §π · § a 4n b4n ·

π /2 ³0 θ ¨ θ ¸ sin (2nθ ) cn ¨

©2 ¹ © a 2n ¹

¸

168 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

π/2

ª§ π 2 · cos (2nθ ) ½ § π · sin (2nθ ) ½ cos (2nθ ) ½º π § a 4n b 4n ·

« ©¨ 2 θ θ ¹¸ ® ¾ ¨ 2θ ¸ ®

© ¹

¾ (2) ® ¾» cn ¨ ¸

¬ ¯ 2n ¿ 2 ¯ 4n 2

¿ ¯ 8n 3 ¿ ¼ 0 4 © a 2n ¹

On simplification, we get

1 π § a 4n b4n ·

{(1)n 1} cn

4n 3 4 ¨© a 2 n ¸¹

Thus,

1 ,

π § a 4 n b 4 n · ° 2 n3 for n odd

cn ®

4 ¨© a 2 n ¸¹ °

¯ 0, for n even

Hence, the required solution is

f 4n 2 § r 8n 4 b8n 4 ·

2 1 §a·

V (r , θ ) ¦ π (2n 1)3

¨© ¸¹

r

sin (4n 2)θ ¨ 8n 4

©a

¸

b8n 4 ¹

1

field defined by

PDE: 2u 0, 0 d r a, 0 θ π , 0 d φ 2π

BCs: (i) u ( a, θ ) 0.

(ii) u o E0 r cos θ as r o f.

Solution In spherical polar coordinates, with axial symmetry, the solution of the Laplace

equation is given by Eq. (2.99) in the form

f

§ B ·

u (r , θ ) ¦ ¨© An r n r nn1 ¸¹ Pn (cos θ )

n 0

f

u (r , θ ) ¦ An r n Pn (cos θ ) E0 r cos θ

n 0

which is true only for n = 1, when P1 (cos θ ) cos θ . Also, An 0 for n t 2. Therefore,

ELLIPTIC DIFFERENTIAL EQUATIONS 169

implying A1 = − E0 . Hence,

∞

B

u (r , θ ) = − E0 r cos θ + ∑ r n+n1 Pn (cos θ )

n =1

∞

B

0 = − E0 a cos θ + ∑ ann+1 Pn (cos θ )

n =1

Multiplying both sides by Pm (cos θ ) sin θ and integrating between the limits 0 to π , we have

π ∞ π

B

E0 a ∫0 cos (θ ) Pm (cos θ )sin θ dθ = ∑ ann+1 ∫0 Pn (cos θ ) Pm (cos θ ) sin θ dθ (2.117)

n =1

⎧ 0, for m ≠ n

π ⎪

∫0 Pn (cos θ ) Pm (cos θ )sin θ dθ = ⎨ 2

⎪ , for m = n

⎩ 2m + 1

we obtain

Bm 2 π

a m +1 2m + 1

= E0 a

0∫cos (θ ) Pm (cos θ ) sin θ dθ

or

2m + 1 π

2

Bm =E0 a m + 2

0 ∫

cos (θ ) Pm (cos θ ) sin θ dθ

It can be verified that the integral on the right-hand side of the Eq. (2.117) vanishes for

all m except when m = 1, in which case

B1 = E0 a3

Therefore, the required potential is given by

E0 a3

u (r , θ ) = − E0 r cos θ + cos θ

r2

EXAMPLE 2.19 The steady, two-dimensional, incompressible viscous fluid flow past a circular

cylinder, when the inertial terms are neglected (Stokes flow), is governed by the biharmonic

PDE: ∇ 4ψ = 0, where ψ is the stream function. Find its solution subject to the BCs:

(i) ψ (r , θ ) = ∂ ψ /∂ r = 0 on r = 1

(ii) ψ (r , θ ) → r sin θ as r → ∞.

170 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

4ψ 2 ( 2ψ ) 0

where

§ w2 1 w 1 w2 ·

2ψ

¨ 2 r wr ¸ψ

©w r r 2 wθ 2 ¹

Using the variables separable method, let us look for a solution of the form

ψ (r , θ ) f (r ) sin θ

Therefore,

wψ wψ

f c (r ) sin θ , f (r ) cos θ

wr wθ

w 2ψ w 2ψ

f cc (r ) sin θ , f (r ) sin θ

w r2 wθ 2

Hence,

ª 1 1 º

2ψ « f cc (r ) r f c (r ) 2 f (r ) » sin θ

¬ r ¼

which can also be written in the form

2ψ F (r ) sin θ

where

1 1

F (r ) f cc(r ) f c (r ) 2 f ( r )

r r

Therefore,

4ψ 2 ( 2ψ ) 2 [ F (r ) sin θ ] 0

i.e.,

ª 1 1 º

« F cc (r ) r F c ( r ) 2 F ( r ) » sin θ 0

¬ r ¼

implying

1 1

F cc(r ) F c(r ) 2 F (r ) 0

r r

Introducing the transformation r ez , D d /dz , the above equation becomes

[ D ( D 1) D 1] F (r ) 0

ELLIPTIC DIFFERENTIAL EQUATIONS 171

or

( D 2 1) F (r ) 0

Its complementary function is

B

F (r ) Ae z Be z Ar

r

or

1 1 B

f cc(r ) f c (r ) 2 f (r ) Ar

r r r

i.e.

r 2 f cc (r ) rf c (r ) f (r ) Ar 3 Br

which is a homogeneous ordinary differential equation. Again using the transformation r ez,

D d /dz , we get

[ D ( D 1) D 1] f Ae3 z Be z

or

( D 2 1) f Ae3 z Be z

Its complementary function is

f (r ) Ce z De z

while its particular integral is

1 Ae3 z Bze z

( Ae3 z Be z )

D2 1 8 2

Therefore,

D A 3 B

f (r ) Cr r r ln r

r 8 2

Thus, we have

§A 3 B D·

ψ ¨© r r ln r Cr ¸¹ sin θ

8 2 r

Now to satisfy the BC: ψ o r sin θ , as r o f and from physical considerations, we choose

A = 0, Therefore,

§B D·

ψ ¨© r ln r Cr ¸¹ sin θ

2 r

172 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

boundary condition w ψ /w r 0 on r = 1 gives

B B

C D 0 2D

2 2

implying B = 4D. Hence, the general solution is

§ r 1 ·

ψ 2 D ¨ r ln r ¸ sin θ

© 2 2r ¹

circular pipe of radius a is described as follows in cylindrical coordinates:

PDE: 2u 0, 0ra

wu

BCs: (i) 0 at r 0

wr

wu wu

(ii) 0, V (z) at r a

wz wr

Show that the speed of suction is given by

f

V ( z) ¦ αn ( An cosh αn z Bn sinh αn z) J1 (αn a)

n 1

w u

1 w u 1 w 2u w 2u

2u

0

w r 2 r w r r 2 wθ 2 w z2

In axisymmetric case, the above equation becomes

w 2u 1 w u w 2u

0 (2.118)

w r2 r w r w z2

f cc (1/ r ) f c φ cc

α 2 (say)

f φ

Then

φ cc α 2φ 0 (2.119)

1

f cc f c α2 f 0 (2.120)

r

ELLIPTIC DIFFERENTIAL EQUATIONS 173

φ A cosh α z B sinh α z

Equation (2.120) can be rewritten as

r 2 f cc rf c α 2 r 2 f 0

which is a Bessel’s equation of zeroth order whose general solution is

f J 0 (α r ) DY0 (α r )

Here, J 0 (α r ) and Y0 (α r ) are zeroth order Bessel functions of first and second kind respectively.

Therefore, the typical solution is

u ( A cosh α z B sinh α z ) [ J 0 (α r ) DY0 (α r )]

u ( A cosh α z B sinh α z ) J 0 (α r )

boundary condition w u /w z 0 at r = a gives J 0 (α a ) 0, implying that α a are the zeros of the

Bessel function J0. Let these zeros be α n a ( n 0, 1, 2, }). Thus the appropriate solution is

f

u (r , z ) ¦ αn ( An cosh αn z Bn sinh αn z) J0 (αn r )

n 1

f

§w u ·

V ( z) ¨© ¸¹

wr r a

¦ αn ( An cosh αn z Bn sinh αn z) J1 (αn a)

n 1

w 2u w 2u

2

w x2 w y2

subject to the boundary conditions

u (0, y ) u (5, y ) u ( x, 0) u ( x, 4) 0

u v X (2.121)

where v is a particular solution of the Poisson equation and ω is the solution of the corresponding

homogeneous Laplace equation. That is,

174 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

∇2v = 2 (2.122)

∇ 2ω = 0 (2.123)

It is customary to assume that v has the form

v ( x, y ) = a + bx + cy + dx 2 + exy + fy 2

Substituting this into Eq. (2.122), we get

2d + 2 f = 2

Let f = 0. Then d = 1. The remaining coefficients can be chosen arbitrarily. Thus we take

v ( x , y ) = −5 x + x 2 (2.124)

so that v reduces to zero (satisfies the boundary conditions) on the sides x = 0 and x = 5.

Now, we shall find ω from

satisfying

ω (0, y ) = −v (0, y) = 0

ω (5, y ) = −v (5, y ) = 0

ω ( x, 0) = −v ( x, 0) = −(−5 x + x 2 )

ω ( x, 4) = −v ( x, 4) = −(−5 x + x 2 )

The above conditions are obtained by using Eqs. (2.121), (2.124) and the given boundary

conditions. By using the superposition principle (see Section 2.5), the general solution of

Eq. (2.125) is found to be

∞

ω ( x, y ) = ∑ sin (nπ x /5) [an exp (nπ y /5) + bn exp (−nπ y/5)] (2.126)

n =1

Now, applying the non-homogeneous BC: ω ( x, 0) = − (−5 x + x 2 ), we get, after renaming the

constants, the equation

ω ( x, 0) = −(−5 x + x 2 ) = ∑ An sin (nπ x /5)

Also, applying the BC: ω ( x, 4) = −(−5 x + x 2 ), Eq. (2.126) can be rewritten in the form

∞

⎛ 4nπ 4nπ ⎞ nπ x

−(−5 x + x 2 ) = ∑ ⎜⎝ an cosh 5

+ bn sinh

5 ⎠

⎟ sin

5

(2.127)

n =1

ELLIPTIC DIFFERENTIAL EQUATIONS 175

which gives

2 5 nπ x

an

5 0 ³

(5 x x 2 ) sin

5

dx

5

2 ª 2 § 5 nπ · § 52 nπ x · § 53 nπ · º

an «(5 x x ) ¨ cos x ¸ (5 2 x) ¨ 2 2 sin ¸ (2) ¨ 3 3 cos x »

5 «¬ © nπ 5 ¹ © nπ 5 ¹ ©n π 5 ¸¹ »¼

0

2 ª 2(53 ) 2 § 53 · º

« 3 3 cos nπ 3 ¨ 3 ¸»

5 «¬ n π n © π ¹ »¼

« » « 3 »

π 3 ¬ n3 n3 ¼ π 3 «¬ n3 n »¼

Hence,

8(52 )

° 3 3, when n is odd

an ®π n (2.128)

°

¯ 0, when n is even

4nπ 4nπ 2 5 § nπ ·

³0 (5x x

2

bn sinh )sin ¨

© 5 ¸¹

an cosh x dx an

5 5 5

Therefore,

ª § 4 ·º

an «1 cosh ¨ nπ ¸ »

¬ © 5 ¹¼

bn (2.129)

§ 4 ·

sinh ¨ nπ ¸

©5 ¹

Substituting an, bn from Eqs. (2.128) and (2.129) into Eq. (2.126), we get

f

ª § nQ · §4 · §4 · § nQ ·

X ( x, y ) ¦ an ¬«cosh ¨© 5 y ¸ sinh ¨ nQ ¸ cosh ¨ nQ ¸ sinh ¨

¹ ©5 ¹ ©5 ¹ © 5

y¸

¹

n 1

§ nQ · § nQ · § 4 ·º

sinh ¨ x sinh ¨ nQ ¸ »

© 5 ¸¹ ¨© 5 ¸¹

y sin

© 5 ¹¼

176 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

or

∞

⎡ ⎧ nπ ⎫ ⎛ nπ ⎞ ⎤ ⎛ nπ ⎞ ⎛4 ⎞

ω ( x, y ) = ∑ ⎣⎢sinh ⎩⎨ 5 (4 − y)⎭⎬ + sinh ⎜⎝ 5 y ⎟ ⎥ sin ⎜

⎠⎦ ⎝ 5

x ⎟ sinh ⎜ nπ ⎟

⎠ ⎝5 ⎠

(2.130)

n =1

Combining Eqs. (2.124), (2.128) and (2.130), the solution of the given Poisson equation is

u(x, y) =

⎡ ⎤

8×5 ⎢

2

sinh (2n − 1) π (4 − y )/5 + sinh [(2n − 1)π y /5] ⎥ ⎧⎪ sin [(2n − 1) π x /5] ⎫⎪

∞

x ( x − 5) + 3

⎢

π n =1 ⎢

∑ ⎡ 4 ⎤

⎥×⎨

⎥ ⎩⎪ (2n − 1)3

⎬

⎭⎪

sinh ⎢(2n − 1) π ⎥

⎢⎣ ⎣ 5 ⎦ ⎥⎦

EXAMPLE 2.22 Let IR be a region bounded by ∂ IR. Let P( x, y, z ) be any point in the

interior of IR, as shown in Fig. 2.9. Let φ be a harmonic function in IR; also, let ψ = 1/ r , where

r is the distance from P. Applying Green’s second identity, show that

1 ⎡1 ∂φ ∂ ⎛ 1 ⎞⎤

φ ( P) =

4π ∫∫ ⎢⎣ r ∂ n − φ ∂ n ⎜⎝ r ⎟⎠ ⎥⎦ ds

∂ IR

∂IR

Q IR

ε ∂Σε

P

Σε

O x

z

Fig. 2.9 An illustration of Example 2.22.

identity cannot be directly applied to φ and ψ . However, ψ = 1/r is bounded in IR − Σε with

the boundary ∂ IR ∪ ∂ Σε , where Σε is a sphere of radius ε with centre at P. Now applying

Green’s second identity (2.19) to functions φ and ψ in IR– Σε , we get

⎡ 2 1 2 ⎤ ⎡ ∂ ∂φ ⎤

∫∫∫ ⎢⎣φ ∇ (1/ r ) − r ∇ φ ⎥⎦ dV = ∫∫ ⎢⎣φ ∂ n (1/ r ) − (1/ r ) ∂ n ⎥⎦ dS

IR − Σε ∂ IR

∂ ⎛∂φ ⎞

+ ∫∫ φ ∂ n (1/ r )dS − ∫∫ (1/ r ) ⎜⎝ ∂ n ⎟⎠ dS (2.131)

∂ Σε ∂ Σε

ELLIPTIC DIFFERENTIAL EQUATIONS 177

From the right-hand side of Eq. (2.131), we observe that the last two integrals depend only

on ε . But in the direction of the exterior normal to ∂ Σε , we find that

∂ ∂ 1

(1/ r ) = − (1/ r ) = 2

∂n ∂ Σε ∂ r r =ε ε

Therefore,

∂ 1 4πε 2

∫∫ φ

∂n

(1/ r ) dS = 2

ε ∫∫ φ dS =

ε2

φ (Q) = 4πφ * (Q)

∂ Σε ∂ Σε

∂φ 1 ⎛∂φ ⎞ ⎛∂φ *⎞

− ∫∫ (1/ r )

∂n

dS = −

ε ∫∫ ⎜⎝ ⎠⎟ dS = −4πε ⎝⎜

∂n

⎟

∂n ⎠

∂ Σε ∂ Σε

⎡ ∂ ∂φ ⎤ ⎛∂φ ⎞

∫∫∫ (−1/ r ) ∇ 2φ dV = ∫∫ ⎣⎢φ ∂ n (1/ r ) − (1/ r ) ∂ n ⎦⎥ dS + 4πφ * ( P) + 4πε ⎝⎜ ∂ n ⎠⎟ * (2.132)

IR − Σε ∂ IR

Now, taking the limit as ε → 0, and using the fact that φ is harmonic in IR − Σε , we arrive

at the fundamental result

1 ⎡ ∂φ ∂ ⎤

φ ( P) =

4π ∫∫ ⎢⎣(1/ r ) ∂ n − φ ∂ n (1/ r )⎥⎦ dS (2.133)

∂ IR

Thus, the value of a harmonic function at any point of IR can be obtained in terms of the

values of φ and ∂ φ /∂ n on the boundary ∂ IR of the region IR .

EXAMPLE 2.23 Find the solution of the following Helmholtz equation, using separation of

variables method:

—2u + K2u = uxx + uyy + uzz + K2u = 0 (2.134)

Solution It may be noted that the Laplacian in cartesian coordinates is a PDE with constant

coefficients, while in cylindrical or spherical coordinates, it is a PDE with variable coefficients.

Thus, let us assume the solution of the given Helmholtz equation in the form

u(x, y, z) = X(x) Y(y) Z(z)

where X(x) is a function of x alone, Y(y) is a function of y alone, Z(z) is a function of z only.

Substituting into the given Helmholtz equation, we get

X≤(x) Y(y) Z(z) + X(x) Y≤(y) Z(z) + X(x) Y(y) Z≤(z) + K2X(x) Y(y) Z(z) = 0,

178 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

X ( x ) Y ( y) Z ( z )

K2 0.

X(x) Y ( y) Z (z)

This equation is satisfied iff

X ( x ) Y ( y) Z ( z )

K12 , K 22 , K 32 (2.135)

X(x) Y ( y) Z (z)

The sign of these separation constants K1, K2 and K3 need not be same, of course depends

on the physical considerations. The solution of the three ODEs in Eq. (2.135) can be written

in the form

X ( x ) C1eiK1x C2 e iK1x Þ

Ñ

Y ( y) C3eiK2 y C4 e iK2 y ß (2.136)

Z ( z ) C5 eiK3 z C6 e iK3 z Ñà

u(x, y, z) = AeiKr + Be–iKr.

However, if K2 is positive, the solution is of the form

u(x, y, z) = A cos(K1x + K2y + K3z) + B sin(K1x + K2y + K3z),

while, if K2 is negative, the solution is found to be

u(x, y, z) = A cosh(K1x + K2y + K3z) + B sinh(K1x + K2y + K3z).

EXERCISES

1. Solve the following boundary value problem:

PDE: 2u 0, 0 d r d 10, 0 d θ d π

400

BCs: u (10, θ ) (πθ θ 2 )

π

u (r , 0) 0 u (r , π )

u (0, θ ) is finite

2. A homogeneous thermally conducting solid is bounded by the concentric spheres

r = a, r = b, 0 < a < b. There are no heat sources within the solid. The inner surface

r = a is held at constant temperature T1, and at the outer surface there is radiation

into the medium r > b which is at a constant temperature T2. Find the steady temperature

T in the solid.

ELLIPTIC DIFFERENTIAL EQUATIONS 179

a < b, is such that the internal boundary is kept at T1 and the outer boundary

at T2 (1 cos θ ). Find the steady state temperature in the solid.

4. A thin annulus occupies the region 0 a d r d b, 0 d θ d 2π , where b > a. The faces

are insulated, and along the inner edge, the temperature is maintained at 0°, while

along the outer edge, the temperature is held at 100°. Find the temperature distribution

in the annulus.

5. A thermally conducting homogeneous disc with insulated faces occupies the

region 0 d r d a in the xy-plane. The temperature u on the rim r a, is

° C , 0 θ α

u ®

°̄ 0, α θ 2π

interior points of the disc. In particular, consider the case when C 100, α π / 2.

6. If ψ is a harmonic function which is zero on the cone θ α and takes the value Σα n r n

on the cone θ β , show that, when α θ β ,

f

Q (cos α ) P (cos θ ) P (cos α ) Q (cos θ ) ½

ψ ¦ αn ¯® Qnn (cos α ) Pnn(cos β ) Pnn(cos α ) Qnn(cos β ) ¿¾ r n

n 0

7. Show that

q ,

ψ (q is constant)

| r rc |

is a solution of the Laplace equation.

8. Solve the following

w 2G 1 w G 1 w 2G

PDE: 0

w r2 r w r r 2 wR 2

wG

BCs: vr 0 at r a

wr

vr U f cos R at r f

1 wG

vR U f sin R

r wR

180 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

9. In the theory of elasticity, the stress function ψ , in the problem of torsion of a beam

satisfies the Poisson equation

∂ 2ψ ∂ 2ψ

+ = −2, 0 ≤ x ≤ 1, 0 ≤ y ≤ 1

∂ x2 ∂ y 2

with the boundary conditions ψ = 0 on sides x = 0, x = 1, y = 0 and on y = 1. Find

the stress function ψ .

10. For an infinitely long conducting cylinder of radius a, with its axis coincident with

its z-axis, the voltage u (r , θ ) obeys the Laplace equation

∇2u = 0, 0 ≤ r ≤ ∞, 0 ≤ θ ≤ 2π

r→ ∞

∂u u0

= sin 3θ

∂r r =a a

(a) Consider the Cauchy problem for the Laplace equation

u xx + u yy = 0 (E11.1)

1

subject to u ( x, 0) = 0, u y ( x, 0) = sin nx, where n is a positive integer. Show that

n

its solution is

1

un ( x , y ) sinh ny sin nx (E11.2)

n2

(b) Show that for large n, the absolute value of the initial data in (a) can be made

arbitrarily small, while the solution (E11.2) takes arbitrarily large values even at the

points (x, y) with | y | as small as we want.

(c) Let f and g be analytic, and let u1 be the solution to the Cauchy problem described

by

u xx + u yy = 0

subject to

u ( x, 0) = f ( x), u y ( x, 0) = g ( x) (E11.3)

and let u 2 be the solution of the Laplace equation (E11.1) subject to

u ( x, 0) = f ( x), u y ( x, 0) = g ( x) + (1/ n) sin nx. Show that

1

u2 ( x, y ) − u1 ( x, y ) = sinh ny sin nx (E11.4)

n2

ELLIPTIC DIFFERENTIAL EQUATIONS 181

(d) Conclude that the solution to the Cauchy problem for Laplace equation does not

depend continuously on the initial data. In other words, the initial value problem

(Cauchy problem) for the Laplace equation is not well-posed. It may be noted that

a problem involving a PDE is well-posed if the following three properties are satisfied:

(i) The solution to the problem exists.

(ii) The solution is unique.

(iii) The solution depends continuously on the data of the problem.

Fortunately, many a physical phenomena give rise to initial or boundary or IBVPs

which are well-posed.

12. Find the solution of the following PDE using separation of variables method

uxx – uy + u = 0.

CHAPTER 3

The diffusion phenomena such as conduction of heat in solids and diffusion of vorticity in

the case of viscous fluid flow past a body are governed by a partial differential equation of

parabolic type. For example, the flow of heat in a conducting medium is governed by the

parabolic equation

wT

ρC div ( K T ) H (r , T , t ) (3.1)

wt

where ρ is the density, C is the specific heat of the solid, T is the temperature at a point with

position vector r, K is the thermal conductivity, t is the time, and H (r, T , t ) is the amount of

heat generated per unit time in the element dV situated at a point (x, y, z) whose position

vector is r. This equation is known as diffusion equation or heat equation. We shall now

derive the heat equation from the basic concepts.

Let V be an arbitrary domain bounded by a closed surface S and let V V S . Let T ( x, y,

z , t ) be the temperature at a point (x, y, z) at time t. If the temperature is not constant, heat

flows from a region of high temperature to a region of low temperature and follows the

Fourier law which states that heat flux q (r, t) across the surface element dS with normal n̂ is

proportional to the gradient of the temperature. Therefore,

q (r , t ) K T (r , t ) (3.2)

where K is the thermal conductivity of the body. The negative sign indicates that the heat flux

vector points in the direction of decreasing temperature. Let n̂ be the outward unit normal

vector and q be the heat flux at the surface element dS. Then the rate of heat flowing out

through the elemental surface dS in unit time as shown in Fig. 3.1 is

dQ (q nˆ ) dS (3.3)

182

PARABOLIC DIFFERENTIAL EQUATIONS 183

∧

n

q

dS

Heat can be generated due to nuclear reactions or movement of mechanical parts as in inertial

measurement unit (IMU), or due to chemical sources which may be a function of position,

temperature and time and may be denoted by H (r , T , t ). We also define the specific heat of

a substance as the amount of heat needed to raise the temperature of a unit mass by a unit

temperature. Then the amount of heat dQ needed to raise the temperature of the elemental

mass dm = ρ dV to the value T is given by dQ = C ρT dV . Therefore,

Q= ∫∫∫ C ρT dV

V

dQ ∂T

dt

= ∫∫∫ C ρ ∂ t dV

V

The energy balance equation for a small control volume V is: The rate of energy storage in

V is equal to the sum of rate of heat entering V through its bounding surfaces and the rate

of heat generation in V. Thus,

∂ T (r, t )

∫∫∫ Cρ ∂t

dV = − ∫∫ q ⋅ nˆ dS + ∫∫∫ H (r, T , t ) dV (3.4)

V S V

⎡ ∂T ⎤

∫∫∫ ⎢⎣ Cρ ∂ t (r, t ) + div q (r, t ) − H (r, T , t )⎥⎦ dV = 0 (3.5)

V

∂ T (r , t )

ρC = − div q (r, t ) + H (r, T , t ) (3.6)

∂t

Substituting Eq. (3.2) into Eq. (3.6), we obtain

∂ T (r , t )

ρC = ∇ ⋅ [ K ∇T (r, t )] + H (r, T , t ) (3.7)

∂t

184 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

K

α

ρC

then the differential equation of heat conduction with heat source is

1 w T (r, t ) H (r, T , t ) (3.8)

2T (r , t )

α wt K

In the absence of heat sources, Eq. (3.8) reduces to

w T (r, t )

α 2T (r, t ) (3.9)

wt

This is called Fourier heat conduction equation or diffusion equation. The fundamental problem

of heat conduction is to obtain the solution of Eq. (3.8) subject to the initial and boundary

conditions which are called initial boundary value problems, hereafter referred to as IBVPs.

The heat conduction equation may have numerous solutions unless a set of initial and boundary

conditions are specified. The boundary conditions are mainly of three types, which we now

briefly explain.

Boundary Condition I: The temperature is prescribed all over the boundary surface. That

is, the temperature T(r, t) is a function of both position and time. In other words, T G (r, t ) which

is some prescribed function on the boundary. This type of boundary condition is called the

Dirichlet condition. Specification of boundary conditions depends on the problem under

investigation. Sometimes the temperature on the boundary surface is a function of position

only or is a function of time only or a constant. A special case includes T(r, t) = 0 on the

surface of the boundary, which is called a homogeneous boundary condition.

Boundary Condition II: The flux of heat, i.e., the normal derivative of the temperature w T /w n,

is prescribed on the surface of the boundary. It may be a function of both position and time,

i.e.,

wT

f (r , t )

wn

This is called the Neumann condition. Sometimes, the normal derivatives of temperature may

be a function of position only or a function of time only. A special case includes

wT

0 on the boundary

wn

This homogeneous boundary condition is also called insulated boundary condition which

states that the heat flow is zero.

PARABOLIC DIFFERENTIAL EQUATIONS 185

Boundary Condition III: A linear combination of the temperature and its normal derivative

is prescribed on the boundary, i.e.,

∂T

K + hT = G (r, t )

∂n

where K and h are constants. This type of boundary condition is called Robin’s condition. It

means that the boundary surface dissipates heat by convection. Following Newton’s law of

cooling, which states that the rate at which heat is transferred from the body to the surroundings

is proportional to the difference in temperature between the body and the surroundings, we

have

∂T

−K = h (T − Ta )

∂n

As a special case, we may also have

∂T

K + hT = 0

∂n

which is a homogeneous boundary condition. This means that heat is convected by

dissipation from the boundary surface into a surrounding maintained at zero temperature.

The other boundary conditions such as the heat transfer due to radiation obeying the

fourth power temperature law and those associated with change of phase, like melting, ablation,

etc. give rise to non-linear boundary conditions.

Consider the one-dimensional diffusion equation

= (3.10)

∂ x2 α ∂ t

The function

1

T ( x, t ) = exp [ -( x - ξ )2/(4α t )] (3.11)

4πα t

where ξ is an arbitrary real constant, is a solution of Eq. (3.10). It can be verified easily as

follows:

∂T 1 ( x − ξ )2 1

= − exp [ − ( x − ξ )2/(4α t )]

∂t 4πα t 4α t 2 2t

∂T 1 −2 ( x − ξ)

= exp [ − ( x − ξ )2/(4α t )]

∂x 4πα t 4α t

186 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

Therefore,

w 2T 1 ª 1 ( x ξ )2 º 1 wT

» exp [( x ξ ) /(4α t )]

2

«

w x2 4πα t «¬ 2α t 4α t »¼

2 2 α wt

which shows that the function (3.11) is a solution of Eq. (3.10). The function (3.11), known

as Kernel, is the elementary solution or the fundamental solution of the heat equation for the

infinite interval. For t > 0, the Kernel T(x, t) is an analytic function of x and t and it can also

be noted that T(x, t) is positive for every x. Therefore, the region of influence for the diffusion

equation includes the entire x-axis. It can be observed that as | x | o f, the amount of heat

transported decreases exponentially.

In order to have an idea about the nature of the solution to the heat equation, consider

a one-dimensional infinite region which is initially at temperature f (x). Thus the problem is

described by

wT w 2T

PDE: α , f x f, t ! 0 (3.12)

wt w x2

IC: T ( x, 0) f ( x), f x f, t 0 (3.13)

T ( x, t ) X ( x) β (t ) (3.14)

Substituting into Eq. (3.12), we arrive at

X cc 1 βc

λ (3.15)

X α β

β Ceαλt (3.16)

If λ ! 0, we have β and, therefore, T growing exponentially with time. From realistic physical

considerations, it is reasonable to assume that f ( x) o 0 as | x | o f, while | T ( x, t )| M as

| x | o f. But, for T(x, t) to remain bounded, λ should be negative and thus we

X cc μ 2 X 0

Its solution is found to be

X c1 cos μ x c2 sin μ x

Hence

2

T ( x, t , μ ) ( A cos μ x B sin μ x) eαμ t (3.17)

PARABOLIC DIFFERENTIAL EQUATIONS 187

is a solution of Eq. (3.12), where A and B are arbitrary constants. Since f (x) is in general not

periodic, it is natural to use Fourier integral instead of Fourier series in the present case. Also,

since A and B are arbitrary, we may consider them as functions of μ and take

A A ( μ ), B B ( μ ). In this particular problem, since we do not have any boundary conditions

which limit our choice of μ , we should consider all possible values. From the principles of

superposition, this summation of all the product solutions will give us the relation

f f 2

T ( x, t ) ³0 T ( x, t , μ ) dμ ³0 [ A ( μ ) cos μ x B ( μ )sin μ x] eαμ t dμ (3.18)

which is the solution of Eq. (3.12). From the initial condition (3.13), we have

f

T ( x, 0) f ( x) ³0 [ A ( μ ) cos μ x B ( μ ) sin μ x] dμ (3.19)

1 f ª f º

f (t )

π ³0 «¬ ³f f ( x) cos ω (t x) dx » dω

¼

(3.20)

1 f ª f º

f ( x)

π ³0 «¬ ³f f ( y) cos μ ( x y) dy »¼ dμ

1 f ª f º

π ³0 ³f f ( y) (cos μ x cos μ y sin μ x sin μ y) dy »¼ dμ

«¬

1 f ª f f º

π ³0 «¬cos μ x ³f f ( y) cos μ y dy sin μ x ³f f ( y) sin μ y dy »¼ dμ (3.21)

Let

1 f

A (μ )

π ³f f ( y) cos μ y dy

1 f

B (μ )

π ³f f ( y) sin μ y dy

Then Eq. (3.21) can be written in the form

f

f ( x) ³0 [ A ( μ ) cos μ x B ( μ )sin μ x] dμ (3.22)

1 f ª f º

T ( x, 0) f ( x)

π ³0 ³f «¬ f ( y ) cos μ ( x y ) dy » dμ

¼

(3.23)

188 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

1 f ª f º

T ( x, t )

π ³0 «¬ ³f f ( y ) cos μ ( x y ) exp ( αμ 2t ) dy » dμ

¼

(3.24)

Assuming that the conditions for the formal interchange of orders of integration are satisfied,

we get

1 f ª f º

T ( x, t )

π ³f f ( y) «

¬ ³0 exp (αμ 2 t ) cos μ ( x y ) d μ » dy

¼

(3.25)

f π

³0 exp ( s 2 ) cos (2bs ) ds

2

exp (b 2 ) (3.26)

x y

b

2 αt

Equation (3.26) becomes

f 2 π

³0 eαμ t cos μ ( x y ) dμ exp [ ( x y ) 2/(4α t )] (3.27)

4α t

Substituting Eq. (3.27) into Eq. (3.25), we obtain

1 f

³f f ( y) exp [( x y) /(4α t )] dy

2

T ( x, t ) (3.28)

4απ t

Hence, if f (y) is bounded for all real values of y, Eq. (3.28) is the solution of the problem

described by Eqs. (3.12) and (3.13).

initially maintained at temperature T0 and at zero temperature everywhere outside the surface.

Show that

T0 ª § bx · § a x ·º

T ( x, t ) «erf ¨© 4α t ¸¹ erf ¨© 4α t ¸¹ »

2 ¬ ¼

where erf is an error function.

Solution The problem is described as follows:

PDE: Tt αTxx , f xf

IC: T T0 , a xb

PARABOLIC DIFFERENTIAL EQUATIONS 189

1 f

³f f (ξ ) exp [( x ξ ) /(4α t )] dξ

2

T ( x, t )

4πα t

Substituting the IC, we obtain

T0 b

³a exp [( x ξ ) /(4α t )] dξ

2

T ( x, t )

4πα t

Introducing the new independent variable η defined by

x ξ

η

4α t

and hence

dξ 4α t dη

the above equation becomes

T0 (b x ) /√ (4α t )

η 2 T0 ª 2 (b x ) /√ (4α t ) 2 2 ( a x ) /√ (4α t ) 2 º

T ( x, t ) ³(a x) /√(4αt ) e dη « ³0 eη dη ³0 eη dη »

π 2 ¬ π π ¼

Now we introduce the error function defined by

2 z

³0 exp (η ) dη

2

erf ( z )

π

Therefore, the required solution is

T0 ª §bx · § a x ·º

T ( x, t ) «erf ¨© 4α t ¸¹ erf ¨© 4α t ¸¹ »

2 ¬ ¼

According to the notion in mechanics, we come across a very large force (ideally infinite)

acting for a short duration (ideally zero time) known as impulsive force. Thus we have a

function which is non-zero in a very short interval. The Dirac delta function may be thought

of as a generalization of this concept. This Dirac delta function and its derivative play a useful

role in the solution of initial boundary value problem (IBVP).

Consider the function having the following property:

° 1/2ε , |t |ε

δ ε (t ) ® (3.29)

°̄ 0, |t |!ε

190 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

Thus,

f ε 1

³f δ ε (t ) dt ³ε 2ε dt 1 (3.30)

Let f (t) be any function which is integrable in the interval (ε , ε ). Then using the Mean-

value theorem of integral calculus, we have

f 1 ε

³f f (t ) δ ε (t ) dt 2ε ³ε f (t ) dt f (ξ ), ε ξ ε (3.31)

δ (t ) Lt δ ε (t ) (3.32)

εo0

° f,

δ (t ) Lt δ ε (t ) ® if t 0 (3.33)

εo0

°

¯ 0, if t z 0

f

³f δ (t ) dt 1 (3.34)

This limiting function δ (t ) defined by Eqs. (3.33) and (3.34) is known as Dirac delta function

or the unit impulse function. Its profile is depicted in Fig. 3.2. Dirac originally called it an

improper function as there is no proper function with these properties. In fact, we can observe

that

f

1 ³f δ (t ) dt Lt ³

ε o 0 |t | ! ε

δ ε (t ) dt

εo0

Lt 0 0

δε

1/2ε

–ε 0 ε t

Fig. 3.2 Profile of Dirac delta function.

Obviously, this contradiction implies that δ (t ) cannot be a function in the ordinary sense.

Some important properties of Dirac delta function are presented now:

PARABOLIC DIFFERENTIAL EQUATIONS 191

f

PROPERTY I: ³f δ (t ) dt 1

f

³f f (t ) δ (t ) dt f (0)

f

ε o 0 ³f

Lt f (t ) δ ε (t ) dt Lt f (ξ ), ε ξ ε

ξo0

As ε o 0, we have ξ o 0. Therefore,

f

³f f (t ) δ (t ) dt f (0)

∞

∫ −∞

δ (t − a ) f (t ) dt = f (a )

δ e (t − a) = ⎨

⎪⎩ 0, elsewhere

f 1 a ε

³f δ ε (t a ) f (t ) dt

ε ³a f (t ) dt f (a θε ), 0 θ 1

f

³f δ (t a) f (t ) dt f (a )

Thus, the operation of multiplying f (t) by δ (t a) and integrating over all t is equivalent to

substituting a for t in the original function.

1

PROPERTY V: δ (at ) δ (t ), a!0

a

192 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

PROPERTY VI: If δ (t ) is a continuously differentiable. Dirac delta function vanishing for large

t, then

∞

∫− ∞ f (t ) δ ′(t ) dt = − f ′(0)

Proof Using the rule of integration by parts, we get

∞ ∞

∫−∞ f (t ) δ ′ (t ) dt = [ f (t ) δ (t )] ∞

−∞ − ∫−∞ f ′(t ) δ (t ) dt

Using Eq. (3.33) and property (III), the above equations becomes

∞

∫− ∞ f (t ) δ ′(t ) dt = − f ′(0)

∞

PROPERTY VII: ∫−∞ δ ′(t − a) f (t ) dt = − f ′(a)

Having discussed the one-dimensional Dirac delta function, we can extend the definition to

two dimensions. Thus, for every f which is continuous over the region S containing the

point (ξ , η ), we define δ ( x − ξ , y − η ) in such a way that

∫∫ δ ( x − ξ , y − η ) f ( x, y) dσ = f (ξ , η ) (3.35)

S

δ ( x − ξ , y − η ) = Lt δ ε (r ) (3.36)

ε →0

∫∫ δ ( x − ξ ) δ ( y − η) f ( x, y) dx dy = f (ξ , η) (3.37)

δ ( x − ξ , y − η) = δ (x − ξ )δ ( y − η) (3.38)

Thus, a two-dimensional Dirac delta function can be expressed as the product of two one-

dimensional delta functions. Similarly, the definition can be extended to higher dimensions.

EXAMPLE 3.2 A one-dimensional infinite region − ∞ < x < ∞ is initially kept at zero

temperature. A heat source of strength gs units, situated at x = ξ releases its heat instantaneously

at time t = τ . Determine the temperature in the region for t > τ .

PARABOLIC DIFFERENTIAL EQUATIONS 193

Solution Initially, the region f x f is at zero temperature. Since the heat source

is situated at x ξ and releases heat instantaneously at t τ , the released temperature

at x ξ and t τ is a δ - function type. Thus, the given problem is a boundary value problem

described by

w 2T g ( x, t ) 1 wT

PDE: , f x f, t ! 0

wx 2 k α wt

IC: T ( x, t ) F ( x) 0, f x f, t 0

g ( x, t ) g sδ ( x ξ ) δ (t τ )

The general solution to this problem as given in Example 7.25, after using the initial condition

F ( x) 0, is

α t dt c f

T ( x, t )

k ³t c 0 4πα (t t c ) ³x c f

g ( x c, t c ) exp [ ( x x c)2 /{4α (t t c)}] dx c (3.39)

Since the heat source term is of the Dirac delta function type, substituting

g ( x, t ) g sδ ( x ξ ) δ (t τ )

into Eq. (3.39), and integrating we get, with the help of properties of delta function, the

relation

T ( x, t )

k 4πα ³0 t tc

δ (t τ ) dt c

T ( x, t )

k 4πα (t τ )

zero temperature initially. There is a heat source of strength g s (t ) units, situated at x ξ , which

releases constant heat continuously for t > 0. Find an expression for the temperature distribution

in the solid for t > 0.

a Dirac delta function type. The solution to this IBVP is

α t g s (t c )

T ( x, t )

K ³t c 0 4πα (t t c )

exp [ ( x ξ )2 /{4α (t t c )}] dt c (3.40)

194 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

x ξ 1( x ξ ) 2

η or t tc

4α (t t c ) η 2 4α

Therefore,

1 ( x ξ )2

dt c dη

η 3 2α

Thus, Eq. (3.40) becomes

x ξ f exp (η 2 )

T ( x, t ) gs

2K π ³( xξ )/ 4α t η2

dη

However,

d § eη 2 · eη

2

2

¨ ¸ 2eη

dη ¨© η ¸¹ η 2

Hence,

ª § η 2 ·

f º

x ξ « e f

η 2 »

T ( x, t ) gs

2K π « ¨¨ η ¸

¸¹

2 ³( xξ ) / (4αt ) e dη »

«¬ © ( x ξ ) / 4α t »¼

2 x

η 2

erf ( x)

π ³0 e dη , erf (f) 1

2 § f x ·

³0 exp (η 2 ) dη ³0 exp (η ) dη ¸

2

erfc ( x) 1 erf ( x) ¨

π © ¹

2 f

π ³x exp (η 2 ) dη

α gs ª t | x ξ | § x ξ ·º

T ( x, t ) « exp [( x ξ )2 /(4α t )] ¨©1 erf ¸»

K ¬ 2π 2α 4α t ¹ ¼

α gs ª t | x ξ | x ξ º

T ( x, t ) « exp [ ( x ξ )2 /(4α t )] erfc »

K ¬ 2π 2α 4α t ¼

PARABOLIC DIFFERENTIAL EQUATIONS 195

Consider the equation

wT w 2T

α (3.41)

wt w x2

Among the many methods that are available for the solution of the above parabolic partial

differential equation, the method of separation of variables is very effective and straightforward.

We separate the space and time variables of T(x, t) as follows: Let

T ( x, t ) X ( x) β (t ) (3.42)

be a solution of the differential Eq. (3.41). Substituting Eq. (3.42) into (3.41), we obtain

X cc 1 βc

K , a separation constant

X α β

Then we have

d2X

KX 0 (3.43)

dx 2

dβ

αKβ 0 (3.44)

dt

In solving Eqs. (3.43) and (3.44), three distinct cases arise:

Case I When K is positive, say λ 2 , the solution of Eqs. (3.43) and (3.44) will have the form

c1eλ x c2 e λ x ,

2

X β c3eαλ t (3.45)

Case II When K is negative, say λ 2 , then the solution of Eqs. (3.43) and (3.44) will have

the form

2

X c1 cos λ x c2 sin λ x, β c3e αλ t (3.46)

Case III When K is zero, the solution of Eqs. (3.43) and (3.44) can have the form

X c1 x c2 , β c3 (3.47)

Thus, various possible solutions of the heat conduction equation (3.41) could be the following:

2

T ( x, t ) (c1ceλ x c2c e λ x ) eαλ t

2

T ( x, t ) (c1c cos λ x c2c sin λ x) eαλ t

(3.48)

T ( x, t ) c1cx c2c

196 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

where

c1c c1c3 , c2c c2 c3

EXAMPLE 3.4 Solve the one-dimensional diffusion equation in the region 0 d x d π , t t 0,

subject to the conditions

(i) T remains finite as t o f

(ii) T 0, if x 0 and π for all t

x, 0 d x d π /2

°

(iii) At t 0, T ® π

°̄ π x, d x d π.

2

Solution Since T should satisfy the diffusion equation, the three possible solutions are:

2

T ( x, t ) (c1eλ x c2 e λ x ) eαλ t

2

T ( x, t ) (c1 cos λ x c2 sin λ x) eαλ t

T ( x, t ) (c1 x c2 )

The first condition demands that T should remain finite as t o f. We therefore reject the first

solution. In view of BC (ii), the third solution gives

0 c1 0 c2 , 0 c1 π c2

implying thereby that both c1 and c2 are zero and hence T = 0 for all t. This is a trivial

solution. Since we are looking for a non-trivial solution, we reject the third solution also.

Thus, the only possible solution satisfying the first condition is

2

T ( x, t ) (c1 cos λ x c2 sin λ x) eαλ t

0 (c1 cos λ x c2 sin λ x ) x 0

implying c1 = 0. Therefore, the possible solution is

2

T ( x, t ) c2 eαλ t sin λ x

Applying the BC: T 0 when x π , we get

sin λπ 0 λπ nπ

where n is an integer. Therefore,

λ n

Hence the solution is found to be of the form

2

T ( x, t ) ceα n t sin nx

PARABOLIC DIFFERENTIAL EQUATIONS 197

Noting that the heat conduction equation is linear, its most general solution is obtained by

applying the principle of superposition. Thus,

f

¦ cneα n t sin nx

2

T ( x, t )

n 1

f

T ( x, 0) ¦ cn sin nx

n 1

2 π 2ª π /2 π º

cn

π ³0 T ( x, 0) sin nx dx

π «¬ ³0 x sin nx dx ³π /2 (π x)sin nx dx»¼

Integrating by parts, we obtain

2 ª § cos nx sin nx · π /2 π

cos nx sin nx ½ º

cn «¨ x ¸ ® (π x ) ¾ »

π «¬ © n n2 ¹ 0 ¯ n n 2 ¿ π /2 »¼

or

4 sin (nπ /2)

cn

n2π

Thus, the required solution is

f 2

4 eα n t sin (nπ /2)

T ( x, t )

π ¦ n2

sin nx

n 1

EXAMPLE 3.5 A uniform rod of length L whose surface is thermally insulated is initially

at temperature q = q0. At time t = 0, one end is suddenly cooled to q = 0 and subsequently

maintained at this temperature; the other end remains thermally insulated. Find the temperature

distribution q(x, t).

Solution The initial boundary value problem IBVP of heat conduction is given by

wθ w 2θ

PDE: α , 0 d x d L, t ! 0

wt w x2

BCs: θ (0, t ) 0, tt0

wθ

( L, t ) 0, t!0

wx

IC: θ ( x, 0) θ 0 , 0d xdL

198 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

From Section 3.5, it can be noted that the physically meaningful and non-trivial solution is

2

θ ( x, t ) eαλ t ( A cos λ x B sin λ x)

Using the first boundary condition, we obtain A 0. Thus the acceptable solution is

2

θ Beαλ t sin λ x

wθ 2

λ Beαλ t cos λ x

wx

Using the second boundary condition, we have

2

0 λ Beαλ t cos λ L

implying cos λ L 0. Therefore,

The eigenvalues and the corresponding eigenfunctions are

(2n 1) π

λn , n 0, 1, 2, }

2L

Thus, the acceptable solution is of the form

§ 2n 1 ·

θ B exp [α {(2n 1) / 2 L}2 π 2 t ] sin ¨ πx

© 2 L ¸¹

Using the principle of superposition, we obtain

f

§ 2n 1 ·

θ ( x, t ) ¦ Bn exp [α {(2n 1)/2L}2π 2t ] sin ¨© 2L

π x¸

¹

n 0

f

§ 2n 1 ·

θ0 ¦ Bn sin ¨© 2L

π x¸

¹

n 0

2 L § 2n 1 ·

Bn

L ³0 θ 0 sin ¨© 2L

π x ¸ dx

¹

2ª § 2n 1 · ½ º

L

2L

« θ 0 ® ¨

cos π x ¸¹ ¾ »

L«

¬

(2n 1) π ¯ © 2L ¿ 0 »¼

4θ 0 4θ 0

[cos {(2n 1) π /2} cos 0]

(2n 1) π (2n 1) π

PARABOLIC DIFFERENTIAL EQUATIONS 199

f

4θ § 2n 1 ·

θ ( x, t ) ¦ (2n 01)π exp [α {(2n 1)/2L}2π 2t ] sin ¨© 2L

π x¸

¹

n 0

EXAMPLE 3.6 A conducting bar of uniform cross-section lies along the x-axis with ends

at x 0 and x L. It is kept initially at temperature 0° and its lateral surface is insulated. There

are no heat sources in the bar. The end x = 0 is kept at 0°, and heat is suddenly applied at

the end x = L, so that there is a constant flux q0 at x = L. Find the temperature distribution

in the bar for t > 0.

Solution The given initial boundary value problem can be described as follows:

wT w 2T

PDE: α

wt w x2

BCs: T (0, t ) 0, t!0

wT

( L, t ) q0 , t!0

wx

IC: T ( x, 0) 0, 0d xdL

Prior to applying heat suddenly to the end x = L, when t = 0, the heat flow in the bar is

independent of time (steady state condition). Let

T ( x, t ) T( s ) ( x) T1 ( x, t )

where T(s) is a steady part and T1 is the transient part of the solution. Therefore,

w 2T( s )

0

w x2

whose general solution is

T( s ) Ax B

T( s ) Ax

w T( s )

Using the other BC: q0 , we get A q0 . Hence, the steady state solution is

wx

T( s ) q0 x

200 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

(i) T1 (0, t ) T (0, t ) T( s ) (0) 00 0

(ii) w T1 ( L, t )/w x w T ( L, t )/w x w Ts ( L, t )/w x q0 q0 0

(iii) T1 ( x, 0) T ( x, 0) T( s ) ( x) q0 x, 0 x L.

Thus, for the transient part, we have to solve the given PDE subject to these conditions. The

acceptable solution is given by Eq. (3.48), i.e.

2

T1 ( x, t ) eαλ t ( A cos λ x B sin λ x)

2

T1 ( x, t ) Beαλ t sin λ x

and using the BC (ii), we obtain

w T1 2

Bλ eαλ t cos λ L 0

wx x L

π

implying λ L (2n 1) , n 1, 2,} Using the superposition principle, we have

2

f

§ 2n 1 ·

T1 ( x, t ) ¦ Bn exp [α {(2n 1)/2L}2π 2t ]sin ¨© 2L

π x¸

¹

n 1

f

§ 2n 1 ·

T1 ( x, 0) q0 x ¦ Bn sin ¨© 2L

π x¸

¹

n 1

§ 2m 1 ·

Multiplying both sides by sin ¨ π x ¸ and integrating between 0 to L and noting that

© 2L ¹

0, nzm

L § 2n 1 · § 2m 1 · °

³0 Bn sin ¨

© 2 L ¸¹

π x sin ¨

© 2L

π x ¸ dx

¹

® Bm L

° , n m

¯ 2

we get at once, after integrating by parts, the equation

4 L2ª § 2m 1 · º L

q0 «sin ¨ π ¸» Bm

(2m 1) π ¬ © 2

2 2 ¹¼ 2

PARABOLIC DIFFERENTIAL EQUATIONS 201

or

4 L2 L

q0 (1) m 1 Bm

(2m 1) π 2 2 2

which gives

(1)m 8 Lq0

Bm

(2m 1) 2 π 2

Hence, the required temperature distribution is

f ª (1)m

8Lq0 § 2m 1 · º

T ( x, t ) q0 x

π2

¦ ¬«« (2m 1)2 exp [α {(2m 1)/ L}2π 2t ] sin ¨© 2L

π x ¸»

¹ ¼»

m 1

EXAMPLE 3.7 The ends A and B of a rod, 10 cm in length, are kept at temperatures 0°C

and 100°C until the steady state condition prevails. Suddenly the temperature at the end A is

increased to 20°C, and the end B is decreased to 60°C. Find the temperature distribution in

the rod at time t.

Solution The problem is described by

wT w 2T

PDE: α , 0 x 10

wt w x2

BCs: T (0, t ) 0, T (10, t ) 100

Prior to change in temperature at the ends of the rod, the heat flow in the rod is independent

of time as steady state condition prevails. For steady state,

d 2T

0

dx 2

whose solution is

T( s ) Ax B

T( s ) Ax

When x 10, T 100, implying A 10. Thus, the initial steady temperature distribution in

the rod is

T( s ) ( x) 10 x

Similarly, when the temperature at the ends A and B are changed to 20 and 60, the final steady

temperature in the rod is

T( s ) ( x) 4 x 20

202 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

which will be attained after a long time. To get the temperature distribution T ( x, t ) in the

intermediate period, counting time from the moment the end temperatures were changed, we

assume that

T ( x, t ) = T1 ( x, t ) + T( s ) ( x)

T1 ( x, t ) satisfies the given PDE. Hence, its general solution is of the form

2

T ( x, t ) = (4 x + 20) + e−αλ t ( B cos λ x + c sin λ x)

2

20 = 20 + Be −αλ t

nπ

sin 10λ = 0, implying λ = , n = 1, 2,…

10

The principle of superposition yields

∞

⎛ nπ ⎞

T ( x, t ) = (4 x + 20) + ∑ cn exp [−α (nπ /10)2 t ]sin ⎜⎝ 10 ⎟⎠ x

n =1

⎛ nπ ⎞

10 x = 4 x + 20 + ∑ cn sin ⎜⎝ 10 x ⎟⎠

or

⎛ nπ ⎞

6 x − 20 = ∑ cn sin ⎝⎜ 10 x ⎠⎟

where

2 10 ⎛ nπ ⎞ 1 ⎡ n 800 200 ⎤

cn =

10 ∫0 (6 x − 20) sin ⎜

⎝ 10

x ⎟ dx = −

⎠ 5 ⎢⎣ (−1) nπ − nπ ⎥⎦

∞ ⎡ ⎛ nπ ⎞ 2 ⎤

1 ⎡ n 800 200 ⎤ ⎛ nπ ⎞

T ( x, t ) = 4 x + 20 − ∑

5 n = 1 ⎢⎣

( −1)

nπ

−

nπ ⎥⎦

exp ⎢ −α ⎜ ⎟ t ⎥ sin ⎜

⎢⎣ ⎝ 10 ⎠ ⎥⎦ ⎝ 10

x⎟ .

⎠

PARABOLIC DIFFERENTIAL EQUATIONS 203

EXAMPLE 3.8 Assuming the surface of the earth to be flat, which is initially at zero

temperature and for times t > 0, the boundary surface is being subjected to a periodic heat

flux g0 cos ωt. Investigate the penetration of these temperature variations into the earth’s

surface and show that at a depth x, the temperature fluctuates and the amplitude of the steady

temperature is given by

g0 2α

exp [ (ω /2α ) x ]

2 ω

wT w 2T

PDE: α (3.49)

wt w x2

wT

BC: g 0 cos ω t at x 0, t ! 0 (3.50)

wx

IC: T ( x, 0) 0 (3.51)

We shall introduce an auxiliary function T satisfying Eqs. (3.49)–(3.51) and then define the

complex function Z such that

Z T iT

We can easily verify that Z satisfies

wZ w 2Z

PDE: α (3.52)

wt w x2

wZ

BC: g0 eiω t at x 0, t ! 0

wx

Z f ( x) eiω t

where f (x) satisfies

d 2 f ( x) ω

i f ( x) 0 (3.53)

dx 2 α

df ( x)

g0 at x 0 (3.54)

dx

204 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

Also,

f ( x) is finite for large x. (3.55)

The solution of Eq. (3.53), satisfying the BC (3.55), is

f ( x) A exp [ (iω /α ) x ]

The constant A can be determined by using the BC (3.54). Therefore,

1 α

f ( x) g0 exp [ (iω / α ) x]

i ω

Thus,

α 1

Z g0 exp [iω t (iω / α ) x] (3.56)

ω i

It can be shown for convenience that

1 i 1 1 i

i ,

2 i 2

Thus, Eq. (3.56) can be written in the form

g0 2α § ω · ª § ω ·º

Z exp ¨ x ¸ (1 i ) exp «i ¨ω t x ¸»

2 ω © 2α ¹ ¬ © 2α ¹¼

g0 2α § ω · ª § ω · § ω ·º

exp ¨ x ¸ (1 i) «cos ¨ω t x ¸ i sin ¨ω t x »

2 ω © 2α ¹ ¬ © 2α ¹ © 2α ¸¹ ¼

g0 2α § ω ·ª § ω · § ω ·º

T ( x, t ) exp ¨ x ¸ «cos ¨ω t x ¸ sin ¨ω t x ¸»

2 ω © 2α ¹ ¬ © 2α ¹ © 2α ¹¼

g0 2α § ω · § ω π·

exp ¨ x ¸ cos ¨ω t x ¸

2 ω © 2α ¹ © 2α 4¹

g0 2α § ω ·

exp ¨ x

2 ω © 2α ¹¸

EXAMPLE 3.9 Find the solution of the one-dimensional diffusion equation satisfying the

following BCs:

(i) T is bounded as t o f

PARABOLIC DIFFERENTIAL EQUATIONS 205

wT

(ii) 0, for all t

wx x 0

wT

(iii) 0, for all t

wx x a

(iv) T ( x, 0) x (a x), 0 x a.

Solution This is an example with insulated boundary conditions. From Section 3.5, it

can be seen that a physically acceptable general solution of the diffusion equation is

Thus,

wT

exp (αλ 2 t ) ( Aλ sin λ x Bλ cos λ x) (3.57)

wx

Using BC (ii), Eq. (3.57), gives B = 0. Since we are looking for a non-trivial solution, the use

of BC (iii) into Eq. (3.57) at once gives

sin λ a 0 implying λ a nπ , n 0, 1, 2,}

Using the principle of superposition, we get

f ª § nπ · 2 º § nπ ·

T ( x, t ) ¦ An exp (αλ 2t ) cos λ x ¦ An exp « α ¨ ¸ t » cos ¨ ¸ x.

«¬ © a ¹ »¼ © a ¹

n 0

f ª § nπ · 2 º § nπ ·

T ( x, 0) x (a x) A0 ¦ An exp « α ¨ ¸ t » cos ¨ ¸ x

«¬ © a ¹ »¼ © a ¹

n 1

where

2 a a2

A0

a ³0 (ax x 2 ) dx

6

2 a § nπ ·

³0 (ax x

2

An ) cos ¨ x ¸ dx

a © a ¹

2a 2 2a 2

(1 cos nπ ) [1 (1)n ]

n 2π 2 n 2π 2

Therefore,

4a 2

° 2 2 , for n even

An ® nπ

°

¯ 0, for n odd

206 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

f ª § nπ · 2 º

a 2 4a 2 1 § nπ ·

T ( x, t )

6

2

π

¦ n2

cos

©¨ a ¹¸

x exp « α ¨ ¸ t »

«¬ © a ¹ »¼

n 2, 4,} even

temperature. If at t = 0 the temperature T has the prescribed value f (x, y), show that for

t > 0, the temperature at a point within the rectangle is given by

f f

4 mπ x nπ y

T ( x, y , t )

ab ¦ ¦ f (m, n) exp (αλ mn2 t ) sin a

sin

b

m 1 n 1

where

a b mπ x nπ y

f ( m, n ) ³0 ³0 f ( x, y ) sin

a

sin

b

dx dy

and

§ m2 n2 ·

λ mn

2

π2 ¨ 2 2 ¸

©a b ¹

wT § w 2T w 2T ·

PDE: α ¨ 2 2 ¸, 0 x a, 0 y b, t ! 0

wt ©w x wy ¹

T ( x, 0, t ) T ( x, b, t ) 0, 0 x a, t ! 0

IC: T ( x, y, 0) f ( x, y ), 0 x a, 0 y b

T X ( x) Y ( y ) β (t )

Substituting into PDE, we get

X cc Y cc 1 βc

λ 2

X Y α β

Then β c αλ 2 β 0

X cc § Y cc ·

¨λ 2 ¸ p 2 (say)

X © Y ¹

PARABOLIC DIFFERENTIAL EQUATIONS 207

Hence,

X cc p 2 X 0

Y cc

λ 2 p 2 q 2 (say)

Y

Therefore,

Y cc q 2Y 0

Thus, the general solution of the given PDE is

2

T ( x, y , t ) ( A cos px B sin px) (c cos qy D sin qy ) eαλ t

where

λ2 p2 q2

Using the BC: T (0, y, t ) 0, we get A = 0. Then, the solution is of the form

2

T ( x, y , t ) B sin px (c cos qy D sin qy ) eαλ t

2

T ( x, y , t ) BD sin px sin qyeαλ t

sin pa 0, implying pa nπ

or

nπ

, n 1, 2,}p

a

Using the principle of superposition, the solution can be written in the form

f

§ nπ ·

¦ An sin ¨© a

2

T ( x, y , t ) x ¸ sin qyeαλ t

¹

n 1

mπ

q , m 1, 2,}

b

Thus, the solution is found to be

f f

§ nπ · § mπ · αλ 2t

T ( x, y , t ) ¦ ¦ Amn sin ¨© a x ¸ sin ¨

¹ © b ¸¹

y e

m 1 n 1

208 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

where

§ m2 n2 ·

λ2 p2 q2 π2 ¨ 2 2 ¸

©b a ¹

Finally, using the IC, we get

§ nπ · § mπ ·

T ( x, y, 0) f ( x, y ) ¦ Amn sin ¨© a x ¸ sin ¨

¹ © b ¸¹

y

2 2 a b § mπ · § nπ ·

Amn

a b ³0 ³0 f ( x, y ) sin ¨

© a

x ¸ sin ¨

¹ © b

y ¸ dx dy

¹

f f

§ nπ · § mπ ·

¦¦

2

f (m, n) eαλ t sin ¨

© a ¸¹

x sin ¨

© b ¸¹

T ( x, y , t ) y

m 1 n 1

where

4 a b ⎛ mπ ⎞ ⎛ nπ ⎞

f ( m, n ) =

ab ∫0 ∫0 f ( x, y ) sin ⎜

⎝ a

x ⎟ sin ⎜

⎠

y ⎟ dx dy

⎝ b ⎠

and

§ m2 n2 ·

λ2 π2 ¨ 2 2 ¸

©b a ¹

COORDINATES

Consider a three-dimensional diffusion equation

wT

α 2T

wt

In cylindrical coordinates (r , θ , z ), it becomes

1 wT w 2T 1 w T 1 w 2T w 2T (3.58)

α wt w r2 r w r r 2 wθ 2 w z2

where T T (r , θ , z, t ).

Let us assume separation of variables in the form

T (r , θ , z , t ) R(r ) H (θ ) Z ( z ) β (t )

PARABOLIC DIFFERENTIAL EQUATIONS 209

1 1 βc

R ccHZ β R cHZ β 2 H ccRZ β Z ccRH β RHZ

r r α

or

R cc 1 R c 1 H cc Z cc 1 βc

λ 2

R r R r2 H Z α β

β c αλ 2 β 0 (3.59)

R cc 1 R c 1 H cc Z cc

λ2 μ 2 (say)

R r R r2 H Z

Thus, the equations determining Z, R and H become

Z cc μ 2 Z 0 (3.60)

R cc 1 R c 1 H cc

λ2 μ2 0

R r R r2 H

or

R cc Rc H cc

r2 r (λ 2 μ 2 ) r 2 v 2 (say)

R R H

Therefore,

H cc v 2 H 0 (3.61)

1 ª v2 º

R cc R c «(λ 2 μ 2 ) 2 » R 0 (3.62)

r ¬« r ¼»

Equations (3.59)–(3.61) have particular solutions of the form

2

β eαλ t

H c cos vθ D sin vθ

Z Ae μ z Be μ z

The differential equation (3.62) is called Bessel’s equation of order v and its general solution

is known as

R (r ) c1 J v ( λ 2 μ 2 r ) c2Yv ( λ 2 μ 2 r )

210 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

where Jν (r ) and Yν ( r ) are Bessel functions of order ν of the first and second kind, respectively.

Of course, Eq. (3.62) is singular when r = 0. The physically meaningful solutions must be twice

continuously differentiable in 0 d r d a. Hence, Eq. (3.62) has only one bounded solution, i.e.

R (r ) Jν ( λ 2 μ 2 r )

Finally, the general solution of Eq. (3.58) is given by

2

T (r , θ , z , t ) e αλ t [ Ae μ z Be μ z ] [C cos νθ D sin νθ ] Jν ( λ 2 μ 2 r )

the initial temperature is T (r , 0) f (r ), and the surface r = a is maintained at 0° temperature.

wT

α 2T

wt

where T is a function of r and t only. Therefore,

w 2T 1 wT 1 wT (3.63)

wr 2 r wr α wt

The corresponding boundary and initial conditions are given by

BC: T (a, t ) 0 (3.64)

IC: T (r , 0) f (r )

The general solution of Eq. (3.63) is

T (r , t ) A exp (αλ 2 t ) J 0 (λ r )

Using the BC (3.64), we obtain

J 0 (λ a ) 0

which has an infinite number of roots, ξ n a (n 1, 2, } , f). Thus, we get from the superposition

principle the equation

f

T (r , t ) ¦ An exp (αξ n2t ) J0 (ξn r )

n 1

f

f (r ) ¦ An J 0 (ξn r )

n 1

PARABOLIC DIFFERENTIAL EQUATIONS 211

To compute An, we multiply both sides of the above equation by rJ 0 (ξ m r ) and integrate with

respect to r to get

e

± 0

a

rf (r ) J 0 (Ym r ) dr ¥ A ±

n 1

n

a

0

rJ 0 (Ym r ) J 0 (Yn r ) dr

¬0 for n y m

¯¯

¦ a2 µ

¯ Am § ¶ J 12 (Ym a) for n m

¯® ¨ 2 ·

which gives

2 a

Am

a 2 J 12 (ξ m a ) ³0 uf (u ) J 0 (ξ mu ) du

Hence, the final solution of the problem is given by

f

2 J 0 (ξ m r ) ª a º

T (r , t )

a 2 ¦ J 1 (ξ m a)

2

exp (αξ m2 t ) «

¬ ³0 uf (u) J0 (ξmu) du »¼

m 1

COORDINATES

In this section, we shall examine the solution of diffusion or heat conduction equation in the

spherical coordinate system. Let us consider the three-dimensional diffusion Eq. (3.9), and let

T T (r , θ , φ , t ). In the spherical coordinate system, Eq. (3.9) can be written as

w 2T 2 wT 1 w § wT · 1 w 2T 1 wT

2 ¨© sin θ ¸¹ 2 2 (3.65)

wr 2 r w r r sin θ w θ wθ r sin θ w φ 2 α wt

This equation is separated by assuming the temperature function T in the form

T R(r ) H (θ ) Φ (φ ) β (t ) (3.66)

Substituting Eq. (3.66) into Eq. (3.65), we get

R cc 2 R c 1 1 d § dH · 1 d 2Φ 1 βc

¨© sin θ ¸¹ λ 2 (say)

R r R r 2 sin θ H dθ dθ Φr 2 sin 2 θ d φ 2 α β

dβ

λ 2αβ 0

dt

212 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

whose solution is

2

β c1eαλ t

(3.67)

Also,

ª 1 § d 2 R 2 dR · 1 d § dH · º 1 d 2Φ

r 2 sin 2 θ « ¨ 2 ¨ sin θ ¸ λ 2

» m2 (say)

¬« R © dr r dr ¸¹ Hr 2 sin θ dθ © dθ ¹ ¼» Φ dφ 2

which gives

d 2Φ

m2Φ 0

dφ 2

whose solution is

Now, the other separated equation is

1 § d 2 R 2 dR · 1 d § dH · m2

¨© sin θ ¸λ

2

¨ ¸

R © dr 2 r dr ¹ Hr sin θ dθ

2 dθ ¹ r 2 sin 2 θ

or

r2 § 2 · m2 1 d § dH ·

¨© R cc R c ¸¹ λ r ¨© sin θ

2 2

¸

R r sin θ

2 H sin θ dθ dθ ¹

n (n 1) (say)

On re-arrangement, this equation can be written as

2 n (n 1) ½

R cc R c ®λ 2 ¾R 0 (3.69)

r ¯ r2 ¿

and

1 § d 2H dH · m2

¨ sin θ cos θ ¸ n (n 1)

H sin θ © dθ 2 dθ ¹ sin 2 θ

or

d 2H dH ° m 2 ½°

cot θ ®n (n 1) 2 ¾ H 0 (3.70)

dθ 2 dθ ¯° sin θ ¿°

ª 1 ° (n 1/2)2 °½ º

λ r )1/2 «ψ cc (r ) ψ c (r ) ®λ 2 ¾ψ » 0

«¬ r °¯ r2 °¿ »¼

PARABOLIC DIFFERENTIAL EQUATIONS 213

Since (λ r ) z 0, we have

1 ° (n 1/2)2 °½

ψ cc (r ) ψ c (r ) ®λ 2 ¾ ψ (r ) 0

r °¯ r2 °¿

Therefore,

where Jn and Yn are Bessel functions of first and second kind, respectively. Now, Eq. (3.70)

can be put in a more convenient form by introducing a new independent variable

μ cos θ

so that

cot θ μ/ 1 μ2

dH dH

1 μ2

dθ dμ

d 2H d 2H dH

(1 μ 2 ) μ

dθ 2

dμ 2 dμ

Thus, Eq. (3.70) becomes

d 2H dH ª m2 º

(1 μ 2 ) 2μ « n (n 1) »H 0 (3.72)

dμ2 d μ «¬ 1 μ 2 »¼

which is an associated Legendre differential equation whose solution is

H (θ ) Ac Pnm ( μ ) B cQ mn ( μ ) (3.73)

where Pnm ( μ ) and Q mn ( μ ) are associated Legendre functions of degree n and of order m, of

first and second kind, respectively. Hence the physically meaningful general solution of the

diffusion equation in spherical geometry is of the form

¦

2

T (r , θ , φ , t ) Aλ mn (λ r )1/2 J n 1/2 (λ r ) Pnm (cos θ ) erimφ αλ t

(3.74)

λ , m, n

In this general solution, the functions Q mn ( μ ) and (λ r )1/2 Yn1/2 (λ r ) are excluded because

these functions have poles at μ r1 and r = 0 respectively.

214 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

EXAMPLE 3.12 Find the temperature in a sphere of radius a, when its surface is kept at

zero temperature and its initial temperature is f (r , θ ).

spherical polar coordinates independent of φ . Therefore, the task is to find the solution of

PDE

1 wT w 2T 2 wT 1 w § wT ·

2 ¨© sin θ ¸ (3.75)

α wt wr 2 r w r r sin θ w θ wθ ¹

subject to

IC: T (r , θ , 0) f (r , θ ) (3.77)

The general solution of Eq. (3.75), with the help of Eq. (3.74), can be written as

2

T (r , θ , t ) (3.78)

λ, n

J n 1/2 (λ a ) 0

This equation has infinitely many positive roots. Denoting them by ξi , we have

f f

T (r , θ , t ) ¦ ¦ Ani (ξi r )1/2 J n1/2 (ξi r ) Pn (cos θ ) exp (αξ 2i t ) (3.79)

n 0 i 1

f f

f (r , cos 1 ( μ )) ¦ ¦ Ani (ξi r )1/2 J n1/2 (ξi r ) Pn (μ ).

n 0 i 1

1 f f 1

³1 f (r , cos 1 ( μ )) Pm ( μ ) d μ ¦ ¦ Ani (ξi r )1/2 J n1/2 (ξi r ) ³1 Pm (μ ) Pn (μ ) d μ

n 0 i 1

f f

§ 2 ·

¦ ¦ Ani (ξi r )1/2 J n1/2 (ξi r ) ¨© 2n 1 ¸¹

n 0 i 1

PARABOLIC DIFFERENTIAL EQUATIONS 215

or

f

§ 2n 1 · 1

¨©

2 ¹

¸ ³1 Pn ( μ ) f (r , cos 1 ( μ )) d μ ¦ Ani (ξi r )1/2 J n1/2 (ξi r ) for n 0, 1, 2, 3,}

i 1

Now, to evaluate the constants A ni , we multiply both sides of the above equation

by r 3/2 J n 1/2 (ξ j r ) and integrate with respect to r between the limits 0 to a and use the

orthogonality property of Bessel functions to get

§ 2n 1 · a ª 1 º

³0 r ³1 Pn (μ ) f (r, cos

1

ξ 1/2

i ¨

3/2

J n 1/2 (ξ j r ) dr « ( μ )) d μ »

© 2 ¸¹ ¬ ¼

f a

¦ Ani ³0 rJ n1/2 (ξi r ) J n1/2 (ξ j r ) dr

i 1

f

1

2i¦ Ani [ J cn1/2 (ξi r )]2 , n 0, 1, 2, 3,} (3.80)

1

Thus, Eqs. (3.79) and (3.80) together constitutes the solution for the given problem.

Let u ( x, t ) be a continuous function and a solution of

ut α u xx (3.81)

for 0 d x d l , 0 d t d T , where T > 0 is a fixed time. Then the maximum and minimum values

of u are attained either at time t = 0 or at the end points x = 0 and x = l at some time in the

interval 0 d t d T .

Proof To start with, let us assume that the assertion is false. Let the maximum value

of u ( x, t ) for t 0 (0 d x d l ) or for x = 0 or x = l (0 d t d T ) be denoted by M. We shall assume

that the function u ( x, t ) attains its maximum at some interior point (x0, t0), in the rectangle

defined by 0 d x0 d l , 0 d t0 d T , and then arrive at a contradiction. This means that

u ( x0 , t0 ) M ε (3.82)

Now, we shall compare the signs in Eq. (3.81) at the point (x0, t0). It is well known from

calculus that the necessary condition for the function u(x, t) to possess maximum at (x0, t0) is

wu w 2u

( x0 , t0 ) 0, ( x0 , t0 ) d 0 (3.83)

wx w x2

216 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

wu

( x0 , t0 ) t 0 (3.84)

wt

Thus, with the help of Eqs. (3.83) and (3.84) we observe that the signs on the left- and right-

hand sides of Eq. (3.81) are different. However, we cannot claim that we have reached a

contradiction, since the left- and right-hand sides can simultaneously be zero.

To complete the proof, let us consider another point (x1, t1) at which w 2 u /w x 2 d 0 and

w u /w t ! 0.

Now, we construct an auxiliary function

v ( x, t ) u ( x, t ) λ (t0 t ) (3.85)

we choose λ ! 0, such that λ ε /2T ; then the maximum of v ( x, t ) for t 0 or

for x 0, x l cannot exceed the value M ε /2. But v ( x, t ) is a continuous function and,

therefore, a point ( x1 , t1 ) exists at which it assumes its maximum. It implies

M ε /2 d v ( x1 , t1 ) t v ( x0 , t0 ) M ε

This pair of inequalities is inconsistent and therefore contradicts the assumption that v

takes on its maximum at ( x0 , t0 ). Therefore, the assertion that u attains its maximum either

at t 0 or at the end points is true.

We can establish a similar result for minimum values of u(x, t). If u satisfies Eq. (3.81),

–u also satisfies Eq. (3.81). Hence, both maximum and minimum values are attained either

initially or at the end points. Thus the proof is complete. We shall give some of the consequences

of the maximum-minimum principle in the following theorems.

and a continuous function u(x, t) defined on the boundary of the rectangle satisfying the heat

equation

ut α u xx

This equation possesses one and only one solution satisfying the initial and boundary conditions

u ( x, 0) f ( x)

u (0, t ) g1 (t ), u (l , t ) g 2 (t )

where f (x), g1(t), g2(t) are continuous on their domains of definition.

Proof Suppose there are two solutions u1 ( x, t ), u2 ( x, t ) satisfying the heat equation as

well as the same initial and boundary conditions. Now let us consider the difference

PARABOLIC DIFFERENTIAL EQUATIONS 217

v ( x, t ) = u2 ( x, t ) − u1 ( x, t )

in x and t. Also, v ( x, t ) = 0, 0 ≤ x ≤ l and v (0, t ) = v (l , t ) = 0, 0 ≤ t ≤ T . Hence, v ( x, t ) satisfies

the conditions required for the application of maximum-minimum principle. Thus, v ( x, t ) = 0 in

the rectangular region defined by 0 ≤ x ≤ l , 0 ≤ t ≤ T . It follows therefore that u1 ( x, t ) = u2 ( x, t ).

Another important consequence of the maximum-minimum principle is the stability property

which is stated in the following theorem without proof.

ut = α u xx , 0 ≤ x ≤ l, 0 ≤ t ≤ T

u ( x, 0) = f ( x), 0≤ x≤l

u (0, t ) = g (t ), u (l , t ) = h(t ), 0 ≤ t ≤ T

depends continuously on the initial and boundary conditions.

Today various studies of fluid behaviour are available which encompass virtually any type of

phenomena of practical importance. However, there are many unresolved important problems

in fluid dynamics due to the non-linear nature of the governing PDEs and due to difficulties

encountered in many of the conventional, analytical and numerical techniques in solving

them. In the following, we shall present few non-linear model equations to have a feel for this

vast field of study.

Reaction–diffusion equations that appear in the literature are frequently semilinear and are of

the form ut = —2u + f(u, x, t).

Typically, they appear as models in population dynamics, with inhomogeneous term

depending on the density of local population. In chemical engineering, f varies with temperature

and/or chemical concentration in a reaction like f(u) = luN.

Many problems in fluid mechanics, when formulated mathematically, give rise to quasi-linear

parabolic PDEs. A simple example concerns the flow of compressible fluid through a porous

medium. Let r denotes fluid density. Following Darcy’s law, which relates the velocity V to

the pressure p as

ÊKˆ

V = - Á ˜ —p .

Ëm¯

218 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

∂r

+ — ◊ ( rV ) = 0

∂t

and the equation of state p = p(r) can be combined to get

∂r

+ — ◊ [ K ( r )— r ]

∂t

dp

where K(r) is proportional to r . The model can then be written as the porous medium

dr

equation in the form

∂r

+ — ◊ ( r n —r )

∂t

where n is a positive constant.

The well-known Burger’s equation is non-linear and finding its solution has been the subject

of active research for many years. For simplicity, let us consider one-dimensional Burger’s

equation in the form

ut + uux = vuxx

Ê 1 ˆ

or ut - Á vux - u2 ˜ = 0 (3.85a)

Ë 2 ¯x

which is actually the non-linear momentum equation in fluid mechanics without the pressure

term. v is the physical viscosity. Here vuxx measures dissipative term and uux measures

convective term, while ut is the unsteady term. Hopf (1950) and Cole (1951) gave independently

the analytical solution for a model problem using a two-step Hopf–Cole transformation described

by

u(x, t) = yx

y = –2v log f(x, t)

That is,

fx

u = - 2v (3.85b)

f

Thus,

Êf ˆ ff

ut = - 2 v Á xt ˜ + 2 v x 2 t ,

Ë f ¯ f

PARABOLIC DIFFERENTIAL EQUATIONS 219

ÈI Ø È I2 Ø

ux 2 v É xx Ù 2 v É x2 Ù

Ê I Ú ÊI Ú

ÈI Ø ÈI I Ø È I3 Ø

uxx 2 v É xxx Ù 6v É x 2xx Ù 4 v É x3 Ù .

Ê I Ú Ê I Ú ÊI Ú

Inserting, these derivative expressions into Eq. (3.85a) and on simplification, we arrive at

Ix

(vfxx – ft) – (vfxx – ft)x = 0. (3.85c)

I

Therefore, we have to solve Eq. (3.85c) to find f(x, t), and using this result in Eq. (3.85b),

we obtain an expression for u(x, t) which of course satisfies Eq. (3.85a). Thus, if f(x, t)

satisfies heat conduction equation

ft = vfxx (3.85d)

which also means solving trivially Eq. (3.85c). This is also called linearised Burger’s equation.

Equivalently, we may introduce the transformation:

\x u, Þ

Ñ

u2 ß (3.85e)

\t vux Ñ

2à

in such a way, satisfying that yxt = ytx. Then, the above transformation can be rewritten as

\ x2

yt = vyxx – (3.85f)

2

Also, Eq. (3.85b) can be recast in the form

f(x, t) = e[–y(x, t)/2v] (3.85g)

Thus, knowing f(x, t), we can find u(x, t) from Eq. (3.85b). It may also be observed that

Eqs. (3.85d) and (3.85f) are equivalent.

Hence, the transformation of non-linear Burger’s equation into heat conduction equation,

made life easy to get analytical solution to the Burger’s equation.

The IVP for Burger’s equation can be stated as follows. Solve

PDE: ut + uux = vuxx, – ¥ < x < ¥, t > 0

IC: u(x, 0) = f(x) (3.85h)

Under the transformation defined by Eq. (3.85b) and using (3.85g), the given IVP can be

restated as a Cauchy problem, described by

PDE: ft = vfxx,

220 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

Ë 1 x Û

Ì 2v

Í Ô0 f (K ) dK Ü

Ý

IC: f(x, 0) = I ( x ) e (3.85i)

Using, the standard, separation of variables, method of solution, as given in Eq. (3.28), the

solution to Eq. (3.85i) is found to be

1 Ë ( x [ )2 Û

I ( x, t )

4S vt Ô

I ( x )exp Ì

ÍÌ 4 vt ÝÜ

Ü d[ (3.85j)

1 Ë f ([ , x, t ) Û

4S vt Ô

I ( x, t ) exp Ì d[

Í 2 v ÜÝ

where,

( x [ )2

[

f ([ , x , t )

0 Ô 2t

f (D )dD

.

Finally, using Eq. (3.85b), the exact solution of the IVP for Burger’s equation as stated

in Eq. (3.85h) is found to be

Ë (x [) Î f ([ , x, t ) Þ Û

Ì

Í

Ô t

exp Ï

Ð

ß d[

2 v à ÜÝ

u( x, t ) (3.85k)

Ë f ([ , x, t ) Û

exp Ì d[

Í 2 v ÜÝ

Here, the function f(x, x, t) is known as Hopf–Cole function.

EXAMPLE 3.13 A homogeneous solid sphere of radius R has the initial temperature distribution

f (r ), 0 d r d R, where r is the distance measured from the centre. The surface temperature

is maintained at 0°. Show that the temperature T (r , t ) in the sphere is the solution of

§ 2 ·

Tt c 2 ¨Trr Tr ¸

© r ¹

where c2 is a constant. Show also that the temperature in the sphere for t > 0 is given by

f

1 § nπ · cnπ

T (r , t )

rn ¦ Bn sin ¨© R r ¸¹ exp (λ 2nt ), λn

R

1

PARABOLIC DIFFERENTIAL EQUATIONS 221

heat equation

Tt c 2 2T

From the data given, T is a function of r and t alone. In view of the symmetry of the sphere,

the above equation with the help of Eq. (3.65) reduces to

§ 2 ·

Tt c 2 ¨Trr Tr ¸ (3.86)

© r ¹

v ( R, t ) rT ( R, t ) 0

while the IC gives

v (r , 0) rT (r , 0) rf (r )

v (0, t ) 0

Now,

§v· vr r v

vt rTt , Tr ¨© ¸¹

r r r2

Similarly, finding Trr and substituting into Eq. (3.86), we obtain

vt c 2 vrr

Using the variables separable method, we may write v (r , t ) R(r ) τ (t ) and get

R (r ) A cos kr B sin kr

τ (t ) exp ( c 2 k 2t )

Thus, using the principle of superposition, we get

f

v (r , t ) ¦ ( An cos kr Bn sin kr ) exp (c2 k 2t )

n 1

( An cos kr Bn sin kr ) | r 0 0

nπ

kR nπ , k , n 1, 2, }

R

222 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

f § c 2 n2π 2t ·

§ nπ ·

v (r , t ) ¦ Bn sin ¨© R r ¸¹ exp ¨© R2 ¹

¸

n 1

f

§ nπ ·

rf (r ) ¦ Bn sin ¨© R r ¸¹

n 1

2 R § nπ ·

Bn

R ³0 rf (r )sin ¨

© R ¸¹

r dr

f § c 2 n2π 2t ·

1 § nπ ·

T (r , t )

rn ¦ Bn sin ¨© R r ¸¹ exp ¨© R2 ¹

¸

1

EXAMPLE 3.14 A circular cylinder of radius a has its surface kept at a constant temperature

T0. If the initial temperature is zero throughout the cylinder, prove that for t > 0.

° 2

f

J 0 (ξ n a) ½°

T (r , t ) T0 ® 1

°¯ a ¦ ξ J (ξ a)

exp (ξ n2 kt )¾

°¿

n 1 n 1 n

where rξ1 , r ξ 2 ,} , r ξ n are the roots of J 0 (ξ a ) 0, and k is the thermal conductivity which

is a constant.

Solution It is evident that T is a function of r and t alone and, therefore, the PDE to

be solved is

w 2T 1 wT 1 wT (3.87)

wr 2 r wr k wt

subject to

IC : T (r , 0) 0, 0dra

BC : T (a, t ) T0 , tt0

Let

T ( r , t ) T0 T1 ( r , t )

PARABOLIC DIFFERENTIAL EQUATIONS 223

so that

T1 (r , 0) T0 (3.88)

T1 (a, t ) 0 (3.89)

where T1 is the solution of Eq. (3.87). By the variables separable method we have (see

Example 3.11),

T1 (r , t ) AJ 0 (λ r ) exp (λ 2 kt )

AJ 0 (λ a ) exp (λ 2 kt ) 0

possible solution using the superposition principle is

f

T1 (r , t ) ¦ An J0 (ξn r ) exp (ξ 2n kt ) (3.90)

n 1

f

¦ An J 0 (ξn r ) T0

n 1

a f a

T0 ³0 rJ 0 (ξ m r ) dr ¦ An ³0 rJ 0 (ξm r ) J 0 (ξn r ) dr

n 1

a

³0 rJ 0 (ξm r )

2

Am if m n; otherwise 0

a2 2

Am J 1 (ξ m a)

2

But,

a ξma x dx

T0 ³0 rJ 0 (ξ m r ) dr T0 ³0 ξm

J 0 ( x)

ξm

( x ξm r )

T0 ξm a d

ξ 2m ³0 dx

[ xJ1 ( x)] dx

T0 ξ a aT0

[ xJ1 ( x)] 0m J (ξ a )

ξ 2m ξm 1 m

224 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

Therefore,

a2 2 aT0

Am J 1 (ξ m a) J (ξ a )

2 ξm 1 m

or

2T0 1

An

a[ n J1 ([ n a )

Hence, Eq. (3.90) becomes

f

J 0 (ξ n r ) exp (ξ n kt )

2

2

T1 (r , t ) T0

a ¦ J1 (ξ n a) ξn

n 1

ª 2 f

J 0 (ξ n r ) exp (ξ n kt ) º

2

T (r , t ) T0 «1

«¬ a

¦ J1 (ξ n a) ξn

»

»¼

n 1

EXAMPLE 3.15 Determine the temperature in a sphere of radius a, when its surface is

maintained at zero temperature while its initial temperature is f (r , θ ).

polar coordinates independent of φ , which is given by

1 wu w 2u 2 wu 1 w § wu ·

¨ sin θ ¸ (3.91)

k wt wr 2 r w r r 2 sin θ w θ © wθ ¹

Let

u (r , θ , t ) R(r ) H (θ ) T (t )

By the variables separable method (see Section 3.7), the general solution of Eq. (3.91) is

found to be

λ n

IC: u (r , θ , 0) f (r , θ ) (3.94)

Substituting the BC (3.93) into Eq. (3.92), we get

J n 1/2 (λ a ) 0 (3.95)

PARABOLIC DIFFERENTIAL EQUATIONS 225

Let ξ1a, ξ 2 a,… , ξ i a,… be the roots of Eq. (3.95). Then the general solution can be put in the form

∞ ∞

u (r , θ , t ) = ∑ ∑ Ani (ξi r )−1/2 J n+1/2 (ξi r ) Pn (cos θ ) exp (−kξ 2i t ) (3.96)

n =1 i =1

∞ ∞

f (r , θ ) = ∑ ∑ Ani (ξi r )−1/2 J n+1/2 (ξi r ) Pn (cos θ )

n =1 i =1

1 ∞ ∞ 1

∫−1 Pn (cos θ ) f (r , θ ) d (cos θ ) = ∑ ∑ Ani (ξi r )−1/2 J n+1/2 (ξi r ) ∫−1 Pn2 (cos θ ) d (cos θ )

n =1 i =1

Using the orthogonality property of Legendre polynomials, we get

∞ ∞

1 ⎛ 2 ⎞

∫−1 Pn (cosθ ) f (r , θ ) d (cos θ ) = ∑ ∑ Ani (ξi r )−1/2 J n+1/2 (ξi r ) ⎜⎝ 2n + 1 ⎟⎠

n =1 i =1

Rearranging and multiplying both sides of the above equation by r 3/2 J n+1/2 (ξi r ) and integrating

between the limits 0 to a with respect to r, we get

2n + 1 a 1 a

∫0 ∫−1 Pn (cos θ ) f (r , θ ) d (cos θ ) = Ani ∫0 rJ n+1/2 (ξi r ) ξ i

2 −1/2

r 3/2 J n +1/2 (ξi r ) dr dr

2

a2

= Ani {J n′ +1/2 (ξi a )}2

2

Therefore,

(2n + 1) ξ 1/2 a 1

∫0 ∫−1 Pn (cos θ ) f (r , θ ) d (cos θ )

i

Ani = 2 2

r 3/2 J n +1/2 (ξi r ) dr (3.97)

a {J n′ +1/2 (ξi a )}

Hence, we obtain the solution to the given problem from Eq. (3.96), where Ani is given by

Eq. (3.97).

EXAMPLE 3.16 The heat conduction in a thin round insulated rod with heat sources present

is described by the PDE

ut − α u xx = F ( x, t )/ρc, 0 < x < l, t > 0 (3.98)

subject to

BCs: u (0, t ) = u (l , t ) = 0

IC: u ( x, 0) = f ( x), 0≤ x≤l (3.99)

where ρ and c are constants and F is a continuous function of x and t. Find u ( x, t ).

226 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

Solution It can be noted that the boundary conditions are of homogeneous type. Let

us consider the homogeneous equation

ut α u xx 0 (3.100)

Setting u ( x, t ) X ( x) T (t ), we get

Tc X cc

λ 2 (say) (3.101)

αT X

X (0) X (l ) 0

The solution of Eq. (3.101) gives the desired eigenfunctions and eigenvalues, which are

2

§ nπ ·

sin λn x, λ 2n n t1 (3.102)

©¨ l ¹¸

X n ( x) ,

For the non-homogeneous problem (3.98), let us propose a solution of the form

f

u ( x, t ) ¦ Tn (t ) X n ( x) (3.103)

n 1

It is clear that Eq. (3.103) satisfies the BCs (3.99). From the orthogonality of eigenfunctions,

it follows that

2 l

Tm (t )

l ³0 u ( x, t ) X m ( x) dx

However,

2 1 § mπ ·

Tm (0)

l ³0 f ( x) sin ¨

© l ¸¹

x dx (3.104)

which is an IC for Tm(t). Introducing Eq. (3.103) into the governing equation (3.98), we get

f f

F ( x, t )

¦ Tnc X n α ¦ Tn X ncc ρc

(3.105)

n 1 n 1

on 0 x l , t ! 0 in the form

f

¦ qn (t ) X n ( x)

F

(3.106)

ρc n 1

PARABOLIC DIFFERENTIAL EQUATIONS 227

where

2 l F ( x, t ) § nπ ·

qn (t )

l ³0 ρc

sin ¨

© l

x ¸ dx

¹

(3.107)

Thus, qn(t) is known. Now, Eq. (3.105), with the help of Eq. (3.101), becomes

f

¦ X n (Tnc λ 2nαTn qn ) 0

n 1

Its solution with the help of IC (3.104) is

t

Tn (t ) Tn (0) exp (λ 2nα t ) ³0 exp [λ nα (τ t )] qn (τ ) dτ

2

(3.109)

f

ª 1 º

u ( x, t ) ¦ «¬Tn (0) exp (λ 2nα t ) ³0 exp [λ 2nα (τ t ) qn (τ ) dτ »¼ X n ( x)

n 1

f

ª 2 l ½

u ( x, t ) ¦ «¬®¯ l ³0 f (ξ ) X n (ξ ) dξ ¾ exp (λ 2nα t )

¿

n 1

^ `³ F (ξ , τ ) º

2 l l

l ³0 exp λ 2nα (τ t )

0 ρc

X n (ξ ) dξ dτ » X n ( x)

¼

(3.110)

It can be verified that the series in Eq. (3.110) converges uniformly for t > 0. By changing

the order of integration and summation in Eq. (3.110), we get

l ª f exp ( λ 2nα t ) X n ( x) X n (ξ ) º

u ( x, t ) ³0 ¦ «

«¬ n 1 1/2

» f (ξ ) dξ

»¼

³0 ³0 ¦ «

«¬ n 1 l /2

»

»¼ ρ c

d ξ dτ

l l l F (ξ , τ )

u ( x, t ) ³0 G ( x, ξ ; t ) f (ξ ) dξ ³0 ³0 G( x, ξ ; t τ ) ρc

d ξ dτ (3.111)

228 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

where

f exp (λ 2nα t ) X n ( x) X n (ξ )

G ( x, ξ ; t ) ¦ l /2

n 1

is called Green’s function. More details on Green’s function are given in Chapter 5.

EXAMPLE 3.17 The temperature distribution of a homogeneous thin rod, whose surface is

insulated is described by the following IBVP:

PDE: vt – vxx = 0, 0 < x < L, 0 < t < ¥ (3.112)

BCS: v(0, t) = v(L, t) = 0 (3.113)

IC: v(x, 0) = f(x), 0 £ x £ L (3.114)

Find its formal solution.

Solution Let us assume the solution in the form

v(x, t) = X(x)T(t)

Eq. (3.112) gives

XT¢ = X²T

X T

or D 2 (say)

X T

where a is a positive constant. Then, we have

X² + a2X = 0

and T¢ + a2T = 0

From the BCS

v(0, t) = X(0)T(t) = 0,

and v(L, t) = X(L)T(t) = 0,

we obtain, X(0) = X(L) = 0 for arbitrary t. Thus, we have to solve the eigenvalue problem

X² + a2X = 0

subject to X(0) = X(L) = 0.

The solution of the differential equation is

X(x) = A cos ax + B sin ax.

Since X(0) = 0, A = 0. The second condition yields

X(L) = B sin aL = 0

For non-trivial solution, B ¹ 0 and therefore we have

sin aL = 0, implying a = np/L, for n = 1, 2, 3, …

PARABOLIC DIFFERENTIAL EQUATIONS 229

np x

Xn(x) = Bn sin .

L

Next, we consider the equation

T¢ + a2T = 0

whose solution can be written as

T (t ) = Ce -a

2

t

Tn (t ) = Cn e-( np /L ) t .

2

or

Hence, the non-trivial solution of the given heat equation satisfying both the boundary

conditions is found to be

Ê np x ˆ

vn ( x, t ) = an e - ( np /L ) t sin Á

2

(3.115)

Ë L ˜¯

where an = bncn (arbitrary constant).

To satisfy the IC, we should have

•

Ê np x ˆ

v( x, 0) = f ( x ) = Â an sin ÁË L ˜¯

n =1

which holds good, if f(x) is representable as Fourier Sine series with Fourier coefficients

2 L Ê np x ˆ

an =

L Ú0 f ( x )sin Á

Ë L ˜¯

dx .

•

È2 npt ˘ - ( np /L )2 t Ê np x ˆ

Â Ú0

L

v( x , t ) = f (t )sin dt ˙ e sin Á

ÍL Ë L ˜¯

.

n =1 Î ˚

L

EXERCISES

1. A conducting bar of uniform cross-section lies along the x-axis, with its ends at x = 0

and x = l. The lateral surface is insulated. There are no heat sources within the body.

The ends are also insulated. The initial temperature is lx − x 2 , 0 ≤ x ≤ l. Find the

temperature distribution in the bar for t > 0.

2. The faces x = 0, x = a of a finite slab are maintained at zero temperature. The initial

distribution of temperature in the slab is given by T ( x, 0) = f ( x), 0 ≤ x ≤ a. Determine

the temperature at subsequent times.

230 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

wT w 2T

wt w x2

satisfying the conditions:

(i) T o 0 as t o f

(ii) T = 0 for x = 0 and x = a for all t > 0

(iii) T = x when t = 0 and 0 < x < a

is

f

2a (1)n 1 § nπ ·

T ( x, t )

π ¦ n

sin ¨ ¸ x exp [(nπ /a)2 t ]

© a ¹

n 1

2

4. Solve the equation w T w T satisfying the conditions:

w t w x2

(i) T = 0 when x = 0 and 1 for all t

2 x, 0 d x d 1/2

°

(ii) T ® 1

° 2 (1 x), d x d 1 when t 0.

¯ 2

5. Solve the diffusion equation

wθ § w 2θ 1 w θ ·

v¨ 2

wt ©w r r w r ¹¸

subject to

r 0, θ is finite, t!0

r a, θ 0, t!0

P 2

θ (a r 2 ), t 0

4μ

6. A homogeneous solid sphere of radius R has the initial temperature

distribution f (r ), 0 d r d R, where r is the distance measured from the centre. The

surface temperature is maintained at 0°. Show that the temperature T(r, t) in the

§ 2 ·

sphere is the solution of Tt c 2 ¨Trr Tr ¸ . Show that the temperature in the sphere

© r ¹

for t > 0 is given by

PARABOLIC DIFFERENTIAL EQUATIONS 231

f

1 § nπ ·

T (r , t )

rn ¦ Bn sin ¨© R r ¸¹ exp (λ 2nt )

1

7. If φ ( x) is bounded for all real values of x, show that

1 f

³f φ (ξ ) exp [( x ξ ) /(4kt )] dξ

2

T ( x, t )

4π kt

8. An infinite homogeneous solid circular cylinder of radius a is thermally insulated to

prevent heat escape. At any time t, the temperature T(r, t) at a distance r from the

axis of symmetry is given by the heat conduction equation with axial symmetry. At

time t = 0, the initial temperature distribution at a distance r from the axis is known

to be a function of r. Find the temperature distribution at any subsequent time.

9. Let r ( x, y , z ) represent a point in three-dimensional Euclidean space R3. Find a

formal solution u (r , t ) which satisfies the diffusion equation

ut α 2u, t!0

wθ w 2θ

10. Solve , 0 d x d a, t ! 0 subject to the conditions

wt w x2

θ (0, t ) θ (a, t ) 0 and θ ( x, 0) θ 0 (constant).

(GATE-Maths, 1996)

CHAPTER 4

One of the most important and typical homogeneous hyperbolic differential equations is the

wave equation. It is of the form

w 2u

c 2 2u (4.1)

w t2

where c is the wave speed. This differential equation is used in many branches of Physics and

Engineering and is seen in many situations such as transverse vibrations of a string or

membrane, longitudinal vibrations in a bar, propagation of sound waves, electromagnetic

waves, sea waves, elastic waves in solids, and surface waves as in earthquakes. The solution

of a wave equation is called a wave function.

An example for inhomogeneous wave equation is

w 2u

c 2 2u F (4.2)

w t2

where F is a given function of spatial variables and time. In physical problems F represents

an external driving force such as gravity force. Another related equation is

w 2u wu

2γ c 2 2u F (4.3)

wt 2 wt

where γ is a real positive constant. This equation is called a wave equation with damping

term, the amplitude of which decreases exponentially as t increases. In Section 4.2, we shall

derive the partial differential equation describing the transverse vibration of a string.

232

HYPERBOLIC DIFFERENTIAL EQUATIONS 233

Suppose a flexible string is stretched under tension τ between two points at a distance L

apart as shown in Fig. 4.1. We assume the following:

1. The motion takes place in one plane only and in this plane each particle moves in

a direction perpendicular to the equilibrium position of the string.

2. The tension τ in the string is constant.

y

Q τ

P ds y = y (x, t)

τ

x

O dx A

Fig. 4.1 Flexible string.

4. The slope of the deflection curve is small.

Let the two fixed ends of the string be at the origin O and A(L, 0) which lies along the

x-axis in its equilibrium position. Consider an infinitesimal segment PQ of the string. Let ρ be

the mass per unit length of the string. If the string is set vibrating in the xy-plane, the

subsequent displacement, y from the equilibrium position of a point P of the string will be

a function of x and time t, while an element of length dx is stretched into an element of length

ds given by

§w y ·

2 ª 1 § w y ·2 º

ds 1 ¨ ¸ dx | «1 ¨ ¸ » dx

©w x ¹ «¬ 2 © w x ¹ »¼

2

1 §w y ·

dL ds dx ¨© ¸ dx

2 wx¹

2

1 §w y ·

U¨ ¸ dx

2 ©w x ¹

Therefore, the total work done, W, for the whole string is

2

1 L §w y ·

W

2 ³0 U¨

© wx¹

¸ dx

234 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

2

1 L ⎛∂ y ⎞

U =W =

2 ∫0 τ⎜

⎝ ∂ x ⎟⎠

dx

2

1 L ⎛∂ y ⎞

T=

2 ∫0 ρ⎜

⎝ ∂ t ⎟⎠

dx

t1

δ ∫t

0

(T − U ) dt = 0

i.e.

t1

∫t 0

(T − U ) dt

1 t1 L ⎡ ⎛ ∂ y ⎞2 ⎛∂ y ⎞ ⎤

2

2 ∫t ∫0

0

⎢ ρ ⎜ ⎟ − τ ⎜ ⎟ ⎥ dx dt

⎢⎣ ⎝ ∂ t ⎠ ⎝∂ x ⎠ ⎥

⎦

is stationary, and is of the form

∫∫ F ( x, t, y, yx , yt ) dx dt

Noting that x and t are independent variables, from the Euler-Ostrogradsky equation, we have

∂F ∂ ⎛∂F ⎞ ∂ ⎛ ∂F ⎞

− − =0

∂ y ∂ t ⎜⎝ ∂ yt ⎟⎠ ∂ x ⎜⎝ ∂ y x ⎟⎠

which gives

∂ ⎛ ∂ y⎞ ∂ ⎛ ∂ y⎞

ρ − τ =0

∂ t ⎜⎝ ∂ t ⎟⎠ ∂ x ⎜⎝ ∂ x ⎟⎠

If the string is homogeneous, then ρ and τ are constants, in which case the governing equation

representing the transverse vibration of a string is given by

∂ 2y 2

2∂ y

= c (4.4)

∂ t2 ∂ x2

where

c 2 = τ /ρ (4.5)

HYPERBOLIC DIFFERENTIAL EQUATIONS 235

E 4πρ

H 0

1 wH

uE

c wt

4π i 1 w E

uH

c c wt

where E is an electric field, ρ is electric charge density, H is the magnetic field, i is the

current density, and c is the velocity of light. Show that in the absence of charges, i.e.,

when ρ i 0, E and H satisfy the wave equations.

Solution Given

1 wH

curl E uE

c wt

Taking its curl again, we get

§ 1 wH· w §1 ·

u ( u E) u ¨ ¨© u H ¸¹

© c w t ¸¹ wt c

1 w §1 wE· 1 w 2E

¨ ¸

c wt ©c wt ¹ c2 w t 2

Moreover, using the identity

u ( u E) ( E) 2 E 2 E

it follows directly that

1 w 2E

2 E

c2 w t 2

Similarly, we can observe that the magnetic field H also satisfies

1 w 2H

2 H

c2 w t 2

which is also a wave equation.

236 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

CANONICAL REDUCTION

The one-dimensional wave equation is

utt c 2u xx 0 (4.6)

Choosing the characteristic lines

Y x ct , I x ct (4.7)

the chain rule of partial differentiation gives

ux uξ ξ x uηη x uξ uη

ut uξ ξt uηηt c(uη uξ )

w w w w §w w ·

, c¨

wx w[ wK wt © wK w[ ¹¸

Thus, we get

2

w 2u §w w ·

¨© w[ wK ¸¹ u uYY 2uYI uII (4.8)

w x2

w 2u

2

c 2 (uYY 2uYI uII ) (4.9)

wt

Substituting Eqs. (4.8) and (4.9) into Eq. (4.6), we obtain

4uYI 0 (4.10)

Integrating, we get

u (Y , I ) G (Y ) Z (I ),

where G and Z are arbitrary functions. Replacing Y and I as defined in Eq. (4.7), we have

the general solution of the wave equation (4.6) in the form

u ( x, t ) G ( x ct ) Z ( x ct ) (4.11)

The two terms in Eq. (4.11) can be interpreted as waves travelling to the right and left,

respectively. Consider

u1 ( x, t ) G ( x ct )

HYPERBOLIC DIFFERENTIAL EQUATIONS 237

This represents a wave travelling to the right with speed c whose shape does not change as

it travels, the initial shape being given by a known function φ ( x). In fact, by setting t = 0

in the argument of φ , it can be observed that the initial wave profile is given by

u1 ( x, 0) = φ ( x )

At time t = 1/ c,

u1 ( x, 1/c ) = φ ( x − 1)

Let x ′ = x − 1. Then φ ( x − 1) = φ ( x ′ ). That is, the same shape is retained even if the origin

is shifted by one unit along the x-axis. In other words, the graph of u1 ( x, 1/ c ) is the same as

the graph of the original wave profile translated one unit to the right. At t = 2/ c, the graph

of u1 ( x, 2 /c ) is the graph of the wave profile translated two units to the right. Thus, in

particular, at t = 1, we have u1 ( x, 1) = φ ( x − c ). Hence in one unit of time, the profile has

moved c units to the right. Therefore, c is the wave speed or speed of propagation. Using

similar argument, we can conclude that the equation u2 ( x, t ) = ψ ( x + ct ) is also a wave profile

travelling to the left with speed c along the x-axis. Hence the general solution (4.11) of one-

dimensional wave equation represents the superposition of two arbitrary wave profiles, both

of which are travelling with a common speed but in the opposite directions along the x-axis,

while their forms remain unaltered as they travel. This situation is described in Fig. 4.2.

u1(x, 0) = φ (x)

u1(x, 1/c) u1(x, 1)

x

–1 0 (1, 1/c) (c, 1)

Fig. 4.2 Travelling wave profile.

u ( x, t ) = φ [k ( x − ct )] + ψ [k ( x + ct )] (4.12)

This is also a solution of the one-dimensional wave equation. Further, let ω = kc. Then

238 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

A function of the type given in Eq. (4.13) is a solution of one-dimensional wave equation iff

ω = kc. Therefore, waves travelling with speeds which are not the same as c cannot be

described by the solution of the wave equation (4.6). Here, (kx + ω t ) is called the phase for

the left travelling wave. We have already noted that x ± ct are the characteristics of the one-

dimensional wave equation.

EXAMPLE 4.2 Obtain the periodic solution of the wave equation in the form

u ( x, t ) = Aei ( kx ±ω t )

where i = −1, k = ± ω /c, A is constant; and hence define various terms involved in wave

propagation.

utt = c 2u xx

Then

ω2

f ′′ ( x) + f ( x) = 0

c2

Its general solution is found to be

u ( x, t ) = Aei ( kx ±ω t )

Hence, u ( x, t ) = Aei ( kx ±ω t ) is a solution of the wave equation, and is called a wave function.

It is also called a plane harmonic wave or monochromatic wave. Here, A is called the

amplitude, ω the angular or circular frequency, and k is the wave number, defined as the

HYPERBOLIC DIFFERENTIAL EQUATIONS 239

number of waves per unit distance. By taking the real and imaginary parts of the solution,

we find the linear combination of terms of the form

A cos (kx ± ω t ), A sin (kx ± ω t )

representing periodic plane waves. For instance, consider the function u ( x, t ) = A sin (kx − ω t ).

This is a sinusoidal wave profile moving towards the right along the x-axis with speed c.

Defining the wave length λ as the length over which one full cycle is completed, we

have λ = 2π /k , thereby implying that k = 2π /λ.

Suppose an observer is stationed at a fixed point x0 ; then,

⎛ λ⎞ ⎛ λ⎞

u ⎜ x0 , t + ⎟ = A sin ⎜ kx0 − ω t − ω ⎟

⎝ c⎠ ⎝ c⎠

= A sin (kx0 − ω t − 2π ) = A sin (kx0 − ω t )

Thus, we have

u ( x0 , t + λ /c ) = u ( x0 , t )

Hence, exactly one complete wave passes the observer in time T = λ /c, which is called the

period of the wave. The reciprocal of the period is called frequency and is denoted by

f = 1/ T

The function, u = A cos (kx − ω t ) = A sin (π /2 + kx − ω t ), also represents a wave train except

that it differs in phase by π /2 from the sinusoidal wave. Now consider the superposition of

the sinusoidal waves having the same amplitude, speed, frequency, but moving in opposite

directions. Thus, we have

u ( x, t ) = A sin [k ( x − ct )] + A sin [k ( x + ct )]

= 2 A sin kx cos (kct ) = 2 A cos (kct ) sin kx

Its amplitude factor [2 A cos (kct )] varies sinusoidally with frequency ω . This situation is

described as a standing wave. The points xn = nπ /k , n = 0, ± 1, ± 2, … are called nodes. No

displacement takes place at a node. Therefore,

u ( xn , t ) = 0 for all t

The nth standing wave profile will have (n − 1) equally spaced nodes in a given interval

as shown in Fig. 4.3.

240 INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

n=5

n=4

n=3

n=2

n=1

Fig. 4.3 Standing wave profiles.

Consider the initial value problem of Cauchy type described as

ICs: u ( x, 0) = η ( x ), ut ( x, 0) = v ( x ) (4.15)

where the curve on which the initial data η ( x) and v( x) are prescribed is the x-axis. η ( x) and v( x)

are assumed to be twice continuously differentiable. Here, the strin