Math 124B: PDEs

Solving the heat equation with the Fourier transform

Find the solution u(x, t) of the diusion (heat) equation on (, ) with initial
data u(x, 0) = (x).
We will need the following facts (which we prove using the denition of the Fourier transform):
u
t
(k, t) =

t
u(k, t) Pulling out the time derivative from the integral:
u
t
(k, t) =
_

u
t
(x, t)e
ikx
dx =
_

t
_
u(x, t)e
ikx

dx =

t
__

u(x, t)e
ikx
dx
_
=

t
[ u(k, t)].
u
xx
(k, t) = (ik)
2
u(k, t)) Integrating by parts twice:
u
xx
(k, t) =
_

u
xx
(x, t)e
ikx
dx =
_

u
x
(x, t)[(ik)e
ikx
] dx
= (ik)
_

u
x
(x, t)e
ikx
dx = (ik)
2
_

u(x, t)e
ikx
dx
= (ik)
2
u(k, t).
We know that u
t
u
xx
= 0 (for some constant > 0) and u(x, 0) = (x). Taking the Fourier
transform of both of these equations tells us that

t
u(k, t) + k
2
u(k, t) = 0 and u(k, 0) =

(k).
Mulitiplying both sides of the rst equation by the integrating factor e
k
2
t
, the equation becomes

t
_
e
k
2
t
u(k, t)
_
= 0.
When we integrate with respect to t (so hold k xed!), this becomes e
k
2
t
u(k, t) = f(k) where
f(k) is an arbitrary function of k. Then,
u(k, t) = f(k)e
k
2
t
.
Using the initial condition u(k, 0) =

(k), we nd out that f(k) =

(k). (Notice that if we
forgot that when we integrate with respect to t, the arbitrary constant is really a function of k,
then we wouldnt be able to satisfy the initial condition.) Now we know u(k, t) =

(k)e
k
2
t
,
but what we want to know is the solution u(x, t) in terms of the original variable x. What we
are really doing is looking for the function u(x, t) whose Fourier transform is

(k)e
k
2
t
! The
rst step is just to nd the function S(x, t) whose Fourier transform is

S(k, t) = e
k
2
t
. Using
Fouriers identity,
S(x, t) =
1
2
_

S(k, t)e
ikx
dk =
1
2
_

e
k
2
t+ikx
dk =
1

4t
e

1
4t
x
2
.
(For the last step, we can compute the integral by completing the square in the exponent. Al-
ternatively, we could have just noticed that weve already computed that the Fourier transform
of the Gaussian function
1

4t
e

1
4t
x
2
gives us e
k
2
t
.)
Finally, we need to know the fact that Fourier transforms turn convolutions into multipli-
cation. Therefore, to get the Fourier transform u(k, t) = e
k
2
t

(k) =

S(k, t)

(k), we must
have started with the function u = S : From the denition of the convolution,
u(x, t) = (S(., t) (.))(x) =
_

S(x y, t)(y) dy =
1

4t
_

(xy)
2
4t
(y) dy .
This is the solution of the heat equation for any initial data . We derived the same formula
last quarter, but notice that this is a much quicker way to nd it!