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# z

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z
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Introduction to

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CONTENTS
Preface

## 0. Partial Differential Equationsof First Order

I Surfacesand Normals 2 w,6.3 Curves and their Tangents 4 Formation of Partial Differential Equation 6 wg4 Solution of Partial Differential Equationsof First Order ,10 -09 Integral SurfacesPassingthrough a Given Curve ,{Z \9.7 The Cauchy Problem for First Order Equations 20 '0.9 SurfacesOrthogonalto a Given Systemof Surfaces 21 First Order Non-linear Equations 22 0.9.1 Cauchy Method of Characteristics 2.1 \y.1,0 CompatibleSystemsof First Order Equations 30 Charpit's Method 34 0.ll.l Special Tlpes of First Order Equations 38

t-46

0 . 1 Introduction

,,91

y.{

,,xrr

Exercises 43

1. Fundamental Concepts
1.1 Introduction 47 ''./2 Classificationof SecondOrder PDE 47 Canonical Forms 48 -14 1.3.1 CanonicalForm for Hyperbolic Equation 49 1.3.2 CanonicalForm for Parabolic Equation 51 1.3.3 CanonicalForm for Elliptic Equation 53 Adjoint Operators 62 I .4 I .5 Riemann's Method 64

47:78

Exerckes 77

## 2. Elliptic Differential Equations

'.4.t . 2.2 .,tl C/ Occunence the Laplace of and Poisson Equations 79 2.1.1 Derivation Laplace of Equation 79 2.1.2 Derivation Poisson of Equation 8/ (BVPs) :82 BotndaryValueProblems Mathematical SomeImportant Tools 82 Properties Harmonic of Functions 84 2.4.1 The Spherical Mean 85 v

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vt

CoNTENTS

2.4.2 Mean ValueTheoremfor HarmonicFunctions g6 Maximum-Minimumprinciple and Consequences gZ ,2.4.3 Separationof Variables 9-l 4 Dirichlet Problem for a Rectangle 94 ,;tK The NeumannProblemfor a Rectanple 92 Z1 InteriorDirichlerProblemfor a CircL 9g -ZA Exterior Dirichler Problem for a Circle 102 _29 -.f l0 lnterior NeumannProblem for a Circle 106 ._V1,1 Solutionof LaplaceEquationin CylindricalCoordinates /0g 91 2 Solutionof LaplaceEquationin Spherical Coordinates 1/J Examples /22 ,2. l3 Miscelianeous Exercises I44

## 3. Parabolic Differential Equations

3.1 3.2 3.3 3.4 3.5 3.6 3.7 3.8 1.9 Occurrenceof the Diffusion Equation 147 Boundary Conditions 149 Elementary Solutionsof the Diffusion Equarion 150 Dirac Delta Function /54 Separation Variables of Method /j9 Solutionof Diffusion Equationin CylindricalCoordinares 121 Solutionof Diffusion Equationin Spherical Coordinares _124 Maximum-MinimumPrincipleand Consequences1Zl M i s c e l l a n e o u sx a m p l e s / 2 9 E Exercises I86

147_lgg

## 4. Hyperbolic Differential Equations

4.1 4.2 4.3 4.4 4.5 4.6 4.7 4.8 4.9 4.10 4.ll 4.12 4.13 Occurrence the Wave Equation 1g9 of Derivationof One-dimensional Wave Equation /g9 solution of one-dimensional wave Equationby canonicalReduction /92 The Initial ValueProblem;D'Alembert'sSolution 196 Vibrating Srring-Vadables Separable Solution 200 ForcedVibrations-Solutionof Non_homogeneous Equation ?0g Boundaryand Initial Value problemfor Two-dimensional Wave Equarions*Merhodof Eigenfunction 2I0 PeriodicSolutionof One-dimensional Wave Equationin Cylindrical Coordinates 213 PeriodicSolutionof one-dimensional polar wave Equarionin Sphericar Coordinares 21J Vibrationof a CircularMembrane 2/Z Uniqueness the Solutionfor the Wave Equation 2/9 of Duhamel'sPrinciple 220 Miscellaneous Examples 222 Exercises 230

lgg_232

I
I
I

I i
5. Green's Function
t., 5.2 5.3 5.4 5.5 5.6

CoNTENTS

233-2

l n r r o d u c r i o nz J J Green'sFunctionfor LaplaceEquation 239 The Methods of Images 245 The Eigenfuncrion Method 2jZ Green's Function for the Wave Equation_Helmholtz Theorcm 254 Green'sFunctionfor the Diffusion Equation 259 Exercises 263 Methods Z6S-J1

6. Laplace Transform 6.1 6.2 6.3 6.4 6.5 6.6 6.7 6.8 6.9 6.10 6.ll 6.12 6.13

Introducrion 265 Transformof Some ElementaryFunctions 26g Propeniesof LaplaceTransform 270 Transform of a Periodic Function 228 Transformof Error Function 280 Transform of Bessel'sFunction 28J Transform of Dirac Delta Function 2g5 InverseTransform 285 Convolution Theorem (Faltung Theorem) 292 Transform of Unit Step Function 296 Complex Inversion Formula (Mellin-Fourier Integral) 299 Solution of Ordinary Differential Equations 302 Solutionof PartialDifferenrialEquations 302 6.13.1 Solurionof Diffusion Equarion 308 6.13.2 Solutionof Wave Equarion j13 6.14 Miscellaneous Examples 321 Exercises 329

## 7. Fourier Transform Methods

7.1 7.2 Introduction 333 Foti,er Integral Representations -tj.t 7.2.1 Fourier Integral Theorem 335 7.2.2 Sine and Cosine Integral Representationsjjg Fourier TransformPairs -139 Transform of ElementaryFunctions 340 Properties Fourier Trasnform -i4j of Convolution Theorem (Faltung Theorem) -i56 Parseval's Relation -t58 Transform of Dirac Delta Function 3i9 Multiple Fourier Transforms .li9 Finite FourierTransforms 360 7.10.1Finite Sine Transform i61 7.10.2Finire CosineTransform 362

333-3g

## 7.3 7.4 7.5 7.6 7.7 7.8 7.9 7.10

CONTENTS

7.ll Solutionof DiffusionEquation 363 7.12 Solutionof Wave Equation 367 7.13 Solutionof LaplaceEquation 371 Examples J73 7.14 Miscellaneous Exercises 384 Ansversand Keysto Eterches Bibliagaphy Index 388-423 425 427-430

PREFACE

'\'ith the remarkableadvancesmade in various branchesof science,engineeringand technology :rday, more than ever before, the study of partial differential equationshas becomeessential. For, :.: have an indepth understanding subjectslike fluid dynamics and heat transfer,aerodynamics of :lasticity, waves, and electromagnetics, knowledge of finding solutions to partial differentia the :quationsis absolutely necessary. This book on Partial Differential Equationsis the outcome of a seriesof lecturesdelivered me, over several years, to the postgraduate ry studentsof Applied Mathematicsat Anna university, chennai. It is written mainly to acquaint the reader with various well-known :nathematical techniques,namely, the variables separablemethod, integral transform techniques and Green's function approach,so as to solve various boundary value problems involving parabolic,elliptic and hyperbolicpartial differenrialequations, which arise in many physica situations. fact, the Laplaceequation,the heat conductionequationand the wave equation In have been derived by taking inro account certain physical problems. The book has been organizedin a logical order and the topics are discussed a systemati in manner In chapter 0, partial differential equationsof first order are dealt with. In chapter I, the classificationof secondorder partial differential equations,and their canonical forms are given. The concept of adjoint operatorsis introduced and illustrated through examples,and Riemann's method of solving cauchy's problem described. chapter 2 deals with elliptic differential equations. Also, basic mathematicaltools as well as various DroDerties harmonic functions are of discussed. Further, Dirichletand Neumann the boundary valueprtblemsare solvedusingvariable separable method in cartesian,cylindrical and sphericalcoordinatesystems.chapter 3 is devoted to a discussionon the solution of boundary value problemsdescribingthe parabolicor diffusion equation in various coordinate systems using the variables separablemethod. Elementar solutionsare also given. Besides,the maximum-minimumprinciple 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 representingthe hyperbolic partial differential equation, and gives D'Alembert'ssolution. In addition, the chapterpresentsproblemslike vibrating string, vibration of a circular membrane,and periodic solutions of wave equation,shows the uniqueness the solutions,and of illustrates Duhamel'sprinciple.chapter 5 introduces the basic conceptsin the construction of 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-containedsince the subject matter has been developed from the basic definition. various properties of the transform and inverse transformare describedand detailedproofs are given, besidespresentingthe convolution theorem and complex inversion formula. Further, the Laplace transform methodsare applied to solve severalinitial value, boundary value and initial boundary value problems.Finally in Chapter7, the theory of Fourier transformis discussed detail. Finite Fourier transformsare also in introduced,and their applicationsto diffusion, wave and Laolace equationshave been analvzed The text is inr.erspersed solvedexamplesl with also. miscellaneous examples are given in

CHAPTER O

## PARTIAL DIFFERENTIAL EQUATIONSOF FIRST ORDER

:.1 INTRODUCTION

::rial differential equations offirst orderoccurin manypractical situatrons suchas Brownian motion r:3 theofy of stochastic processes, radioactive disintigration,noise in communi.utron ,yrt.,rr, :rDulation growth and in many problemsdealing wiih telephonetraffic, traffic flow along a -.ghwayand gas dynamicsand so on. In fact, their study is essential understand to the nat-u :: solutions and forms a guide to find the solutions hijher order partial of differentiar equation A first orderpartialdifferentiar equation (usually denoted pDE) in two independent by variabre ,:..r,and one unknownz, also called dependent viriable, is an equationof the iorm

o(r r,,,(.*)=o
\ dx dy)

(0. ) t

I n r r o d u c i ntg e n o l a t i o n h

P=^,

OZ

ox

s=-

d7

dy

(0.2

Equation(0.1) can be written in symbolicform as F t x ,y , z . p , q ) = 0 . A solutionof Eq. (0.1) in somedomain O of IR2 is a function z = f(x, y) definedand is of C,, in Q shouldsatisfythe following two conditions: ( i ) F o r e v e r y( x , y ) e O , t h e p o i n t( r , y , " , p , q ) i s i n t h e d o m a i no f t h e f u n c t i o nF . ( i i ) W h e nz = f ( x , y ) i s s u b s t i t u t eid t o E q . ( 0 . 1 ) ,i t s h o u l d n r e d u c e o a n i d e n r i t yn x , y f o r t i all (x, y) e Q.

(03)

we classifythe PDE of first order depending upon the form of the functionF. An equation of the form

## P1x. ztli + Qtx. zt+ = R\x. z) y. y. y. ox

dy

S,

).

(0 . 4 )

is a quasi-linear PDE of first order,if tr,ederivatives dz/dx and dzr0y tr-tatappear the function in -Eare Iihear'while the coefficients p, andR depend the indepe;dent on e variabres I,and arso x, on the dependent variablez. Similarly,an equationof the form

## ), s, Ptx, ytl + Qtx.y\f = R(x. z) y.

ox dy

(0.s)

p is calledalmost linear PDE of first order,if the coefficients and o are functionsof the independent variables only. An equationof the fonn

a l x .y t d + b l x .y \ f i + c t x . l t t := d \ r . i

;?

s"

(0 . 6 )

is cafleda finearPDE of first order,if the functionF is linear in 0zl0x, dzldy andz, while the a, coefficients b, c and d dependonly on the independent variables and y. An equationwhich x doesnot fit into any of the abovecategories called non-linear. is For example, 0z dz \t, x 1 +Y. =nz ox oy is a linear PDE of first order. dz dz ) ltt) x 1 +Y a =zox oy is an almost linear PDE of first order.

s, 2, ( i i i )P { z ) = + - = 0
ox oy is a quasi-linear of first order. PDE

(iv) I .l ?l =t l+ ) \dx
\dy ) is a non-linearPDE of first order. variousmethods finding the solutions the first order pDEs, we shall Beforediscussing for of some of the basic definitionsand concepts review neededfrom calculus.

,a,Z

/.\z

AND NORMALS 0,2 SURFACES in LetO be a domain three-dimensional IRr andsuppose space F(x,y,z) is a function the in
class C'(O), then the vector valued function grad F can be wrrrten as

. ^ g r a of = l . . - " . . - l \ox oy

(ap aF aF\
dz )

(0.7)

If we assume that the partial derivatives F do not vanishsirnultaneously any point then the of at points (x, y, z) in Q, satisfying set of the equation F(x, y, z) = (

(0.8 )

is a surfacein o for someconstant This surface c. denotedby s6 is calleda level surface ofF. y6, lf (,16, z6) is a given point in Q, then by taking F(x6,y|,zi=(, we get an equationbf the form F(x, y, z) = F(xo, y6, zs),

(0e)

## PARTIAL DIFFERENTIAL EQUATIONS FIRSTORDER OF

rlich represents surfacein f), passingthrough the point (r0,J0,zo). Here, Eq. (0.9) represent a . oe-paraneter family of surface in o. The value of grad F is a vector, normal to the level rrfrce- Now, one may ask, if it is possibleto solve Eq. (0.8) for z in terms of ;r and y. To-answer G qnestion, let us consider a set of relations of the fomr

## a=fr(u,v), y= f2Qt,v), 2=fi(u,v)

(0.10

llere for every pair of valuesof a and v, we will have three numbers;r, Jr and z, which represetts r point in space.However, it may be noted that, every point in spaceneed not correspondto a peir u and v. But, if the Jacobian

u!{'r" *, o \u, v)
u = f,(x. y), v = p(x, y).

( 0 .l 1 )

len, the first two equationsof (0.10) can be solved and z and y. can be exDressed functions as ofr and y like Thus, r and v are obtainedoncex and y are known, and the third relation of Eq. (0.10) givesthe ralue of z in the form

z = fift(x, y),p(x,y)l

(0.12

This is, of course,a functional relation betweenthe coordinates y andz as in Eq. (0.g). Hence, x, ry point (x, y, z) obtained from Eq. (0.10) always lie on a fixed surface.Equations (0.10) are also called paranetric equationsof a surface.It may be noted that the parametricequation of a srface need not be unique, which can be seen in the following example: The parametric equations -r=rsrndcosd, y=rsinAsind, and z=rcos0

rro, , = r Q - Q 1 - ) " r n,r= . " = , ( 1 - o ' ") " e , + 0) o ' (r+0") t+0'
both representthe same surfacex2 + y2 + z2 = 12 which is a sphere,where r is a constant. If the equation of the surface is of the form

z = f(x, y)
Then

(0.13

=-f

(0.14)

dx .dz dx

-+--={l

dF
0y

dF dz
0z 0y

4 or

## INTRODUCTION PARTIAL TO D]FFERENTIAL EOUATIONS

o"

dx we Similarly, obtain
dl.

= n

,-=q

dv d_ Hence, direction the cosines the normal the surface a point(x, y, z) are givenas of to at
(0.15) Now, returningto the level surfacegiven by Eq. (0.g), it is easy to write the equationof the tangent plane to the surface ,.t" at a point (rp, y6, z6) as

'

and

:1

)E

=_l

## ll .lar J lar l ( x - x 0 ) a F( x 0 . l o . zIo ) ,_ l + ( l - r o ) l l - r x s . y 6 . z 6 ) l + r r - r s t l f r 1 6 . y n".l- - o r l = 0{.0 . t b r Lax )

,-, s Ld: 0.3 CURVES AND THEIR TANGENTS

A c u r v e i n t h r e e - d i m e n s i o ns p a c eI R I c a n b e d e s c r i b e dn t e r m s o f p a r a m e t r i c o u a t i o n s al i e Suppose denotes positionvectorof a point on a curvec, then the vectorequation C mav i the ol b e w r i h e na s
v=Fltl t^r lcI

( 0 .l 7 )

where 1is some interval on the real axis. In component form, Eq. (0.17) can be written as

x=I(1).

y=f2G), z=fr(t\

(0. 8) r

where = (r, /, z) andF(t) =[fi(t), f2(), hO] andthefuncrions i to fr, f2 and/3 betongs C,(1). Further, assume we that

W'ryT)*,0'o'0,

( 0 .l e )

This non-vanishing vecroris tangenr the curve C at the poinr (x, y, z) or at ro [J;O, f20, f](t)) of the curve C. Anotherway of describing curve in three-dimensional a spaceIRI is by using rhe fact that t h e i n t e r s e c l i oo f t w o s u r f a c e s i v e sr i s e l o a c u r v e . n g Let
and

## \(x, y, z) = C1 | F2@,y, z) = Crl|

(0.20 )

\ are two surfaces. Their intersecrion. nor empty.is alwaysa curve, providedgrad F, and grad ir F: are not collinearat any poinr of ct in IRj. In other words,the intersection surfices siven of b 1 E q . ( 0 . 2 0 )i s a c u r v e i f

## y, etad 4Q, y,z)xglad F2@, z) + (0,0,0)

(0.2

:;:* every@,y,2)eQ. For various values C1 andC2,Eq. (0.20)desuibes of different curv ::r totalityofthesecurves calleda two parameter is familyof curves. Here,c1 andc2 arereferr 15parameters this family.Thus,if we havetwo surfaces of denoted s] and52 whose by equatio r: in the form
rJ

F ( xy ,z ) = o l .
G(x,y, z) = 0l

(0.2

## l::en, the equationof the tangentplaneto,Sl at a point p(xs, ys,z()) is

( x - x o ) i + ( y- y o t ; + ( z - 2 6 ;

)F

)F

)F

=0

(0.2

## dG aG . - .aG (.x x0)=- + (/ - yn)^- +\z - z =-=l). oxdy-dz

(0.2

iere, the partial derivatives dFllx, dGldx,etc. are evaluatedat p(xx,yx,zs). The intersectionr :Fse two tangent planes is the tangent line I at P to the curve C, which is the int3rsection( ::e surfaces and .92.The equationof the tangentline z to the curue c at (xo, yo, s' is obtaine "i ::r'm Eqs. (0.23) and (0.24) as (x-,ro)

AF-AG aF E

(y- yo\

## ay ar- a, a, a" dr-E a, E n- n a,

(x-xs) (y- yi \z-zo)

aG-

(0.2

e@a=a(F,q=Ztr.gl
0 (y, ,) 0 (2,x) 0 (r, y) 'l}rerefore, the directioncosines I are proportional of to

(0.2

Lao,d'aea' a@,r\l
aor illustration, us considerthe following examples: let

l a 1 r , c 7a @ , G )d ( F , q 1

(0.2

EX4MPLE 0.1 Findlhe tangentvector at (0,1,nl2) ro the helix described the equation by x=cost, Solution r -y=sin , z=t, 11in lR'.

\a'a'i

)={-"n

7t

## nnnoDUcTIoN To PARTTAL DIFFERENTIAI. EQUATIoNS

we observe that the point (0,1,tr/2) corresponds t = ttl2. At this point (0,1,n/2), the tangent to vector the givenhelix is (-1,0,l). to EXAMPLE 0,2 Find the equation the tangent of line to the spacecircle f + y 2 + 2 2= 1 , x + y + z = o

## at thepoint (1/Jt4, 2tJ14,-3tJ:,4).

Solation The spacecircle is described as F(x,Y,z) = Y2+Y2+t2 -l=0 G ( x Y ,z )= s a Y a 2 = g , Recalling (0.25),the equation rhe tangent Eq. of planeat (l(i4, 2lJA, 4lJw can be wrirten

-;---l"\--7----\-

,"h-,1+") ,(#)-,(#)
z+3/Jl4

x -rilta

v-zlJu

x-rtJ14 y-2/.64

z+3ktl4

0.4

## FORMATIONOF PARTIAL DIFFERENTTAL EQUATION

u Suppose andy are any two given functions x, y and z. Let F be an arbitraryfunctionof z of andv of the form F(u,v)=6 (0.28) we can form a differentialequation eliminating arbitraryfunctionF. For, we differentiate by the Eq.(0.28)partiallywith respect r andl, to get to

and

(0.2e)

(0.30)

## PARTIAL DIFFERENTIAL EQUATIONS OF FIRS-I' ORDER

\-.rv. eliminatin 0Fldu and 0Fl0v fton Eqs. (0.29) and (0.30), we obtain

du - + - Ddu dx dz'
-0u- o 0u +
d), dz

dv - + - D0v dx dz'
-dv- o dv +
dy d2

;1ich simpliltesto

Pa o A " q a e \$ = a l r , y )
fhis is a linear PDE of the t)?e PP+Qq=R, '* hele

d(u,r)

0 1 u , v ) 0 \ u ,v )

( 0 . 3) I

(0.32)

'^

d\u.v\

00.2)'

'

O(u,v)

ae,.\)'

"

O\u,v\

d\x,y)

( 0 . 1) 3

:quation (0.32) is called Lagrange'sPDE of first order.The following examplesillustrate the idea :.: formation of PDE. EXAMPLE 0.3 Form the PDE by eliminating the arbitrary function from (t) z = f (x + it) + g(r - tr), where t=J-1 (1i) f(x+y+2, *2 +y2 +t21=0. . Solution (i) Given z = f Qc +it) + g(x -it) Differentiating Eq. (1) twice partially with respectto r and ,, we get := f ' l x + i t )+ g ' ( x i t l ox -) ".;= f"(x+it)+ s"tr-it). dx-iere, /' indicates derivative of /with :.spect to (x-il). Also, we have
dt

(1)

s"

(2)

## o^- = -1" t* * ,,\ - g" rx - it). 1

clt-

-)

(r)

i:om Eqs. (2) and (3), we at once, find that (4) ;hich is the requiredPDE.

## INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

(ii) The given relation is of the form Q ( u ' v )= o ' wherc u = x + y + t, u = 12 + y2 + "2 Hence, the required PDE is of the form pp+ where eq = R, (Lagrangeequation) (l)

## lau Arl =la, avl=lt 2vl , =a^(u'')

d\y.z) ldu

IE

EI
0rl

avl I

z,l=zf"-,1

,=#3=1fr1";,,,-,, frl=li
tox dxl

Id"

"- a*r)=l+
p=!(r.r\ _ld*
I dy Hence,the requiredPDE is or

l?!

a'l

+l=l' zrl=2{t-') dy I

dxt lt

2rl

2(z- y)p +2(x - z)q =2(y - x) (z-y)p+(x-z)q=y-x. EXAMPLE 0.4 Eliminate arbitrary the functionfrom the following andhence, obtainthe corresponding partial differeniial equation: 1i1 z=xy+ f(x2 +y2)

(ii) z = f(xylz). Solution (r) Urven =xy+J\x- +y') z Differentiating (l) partiallywith respect .r and we obtarn Eq. to J.,,
)! 1 = y + 2 x f ' \ x 2 * y r 1 =p dz ay=x+zYf'(x'+Y')=q

(l)

(2) (3)

Eininating /'

## from Eqs. (2) and (3) we get W-)KI=y2-x2, (4)

*ich is the required PDE. (ii) Given 2= f(ry/z) Differentiating partially Eq. (l) with respectto r and /, we get ), :: = !f,(xylz) = p oxz

(1)

(2) (3)

s + =: I,kytz\= oy z
Etuinating /' from Eqs. (2) and (3), we find xp-vq=o
J

2.

w=(]v
lich is the required PDE. 0.5 Form the partial differential equation by eliminating the constantsfrom z=e+by+ab. Solution Given z = ax+ by + ab

(4)

E/IMPLE

(l)

## Differentiating Eq. (l) partially witi respectto.x and / we obtain dz --=a= ox p

(2) (3)

dz q av='= 9\$stituting p and q for a and b in Eq. (l), we get the requifed PDE as z= px+qy+pq

EGMPLE 0,6 Find the partial differential equationof the family of planes,the sum of whose ! r'. ? interceptsis equal to unity. Solution Thus, we have xy + - + -z - - = l a b l-a-b (l) Let * +1, +1=l form,so rhala+b+c=1. be theequation ofthe planein intercept

7
IO NTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

Differentiating Eq. (l) with respectto x and y, we have l* a and I' b From Eqs. (2) and (3), we get Q -n t-a-b-" "' q t_"4=1 b P l-a-b =n p l-r_b=-; I

(2)

(3)

!=!
qa

(4)

## Also, from Eqs.(2) and (4), we ger

pa=a+b-1=a+!a-l q

alt+L-pl=1.

\s)

Therefore, a=q/(p+q_ pq) Sirnilarly, from Eqs. (3) and (4), we find b=pt(p+q_pq) the Substituting valuesof a and 6 from Eqs. (5) and (6) respectively Eq. (r), we have to p+ q_ pq q or x+p+q_ p pq ,*P+Q_ _pq P Qz = l (6) (5)

| !+l-'= q p pq p+q- pq That is, Px+qY-2=---!!-, p+q-pq whichis the required PDE. 0.5 SOLUTIONOF PARTIALDIFFERENTTAL EOUATIONS FIRST ORDER OF In Section 0.4, we have observed that relations the form of F(x, y, z, a, b) = 0 (0.34) 0)

## PARTIAL DIFFERENTIAL EQUATIONS OF FIRST ORDER

It

. . - :ise to PDE of first order of the form (0.3) 5 f ( x , y , z ,p , q ) = 9 . - -,:. any relationof the form (0.34) containing two arbitraryconstants and 6 is a solutionof a '. ?DE of the form (0.35) and is called a complete solurionor completeintegral. fonsider a first order PDE of the form

## ), ), P\x.y. z)- + Q(x, z)"+ = R\x. zl y, y.

ox dy

(0 . 3 ) 6

'r.nply
Pp+Qq=R,

(0.3 ) 7

variables. The solutionof Eq. (0.37) is a surfaceS lying in the "-::. -r ?rd.;,,are independent called an integralsurface. we are given that z=-f(x,y) is an integralsurface If ...--)-space, .' ::: PDE (0.37).Then, the normal to this surfacewill have directioncosinesproportional to : - : x . d z l d y , - l ) o r ( p , g , - l ) . T h e r e f o r eh e d i r e c t i o n f t h e n o r m a l s g i v e n b y i = \ p , q , - 1 \ . t, o i :'.': the PDE (0.37),we observe that the normal ii is perpendicular the directiondefinedby to -: .:ctor/ =\P, R ) ( s e eF i g . 0 . 1 ) . Q,

## Fig.0.1 Integral surlace z=f(x,y). --=:efore,

any integralsurfacemust be tangential a vector with components Q, Rj, and to lP, -:-:e. we will never leavethe integralsurfaceor solutions surface. Also, the total differential d: -:ren by

a,=(a,*(ay
dx dy

(0.3 8)

:-:r

(0.3 e)

12

## INTRODUCTION PARTIAL TO DIFFERENTIAL EQUATIONS

pDE Theorem0.I The general solution ofthe linear PP+Qq=R canbe writtenin the form F(u,v\=Q, where I'is an arbitrary function, andu(x,y,z)=Ct and v(x, y, z) = C2 form a solutionof the equation
dt_dy dz

p(x, y, z)

e@, y, ")

R(x,y, z)

(0.40)

Proof We observe that Eq. (0.a0)consists a set of two independent of ordinarydifferential that equations, is, a two parameter family of curvesin space, one such set can be written as

a=;G;;
ol ll t a z D x \ ( R \ t=l I dy)\dz/dy) \dz)

dv OG. v. z\

(0.4) r

which is referredto as "characferisticcrrrve". In quasiJinearcase,Eq. (0.41) cannotbe evaluated until z(r,/) is known. Recalling Eqs. (0.37) and (0.38), we may recast them using matrix nomllon as

L lax
D /11

t0.42)

must hold on the integralsurface.For the existence finite solutionsof Both the equations of (0.42), we must have Eq.
| D

RI IR
dzl ldz
dy dz

ax

ayl ldx

ol ; t=0 ayl

(0.43 )

## on expandingthe determinants, have we

dx P (x, y, z)

Q@,y, z)

(0.44)

R(x, y, z)

which are called auxiliary99!4j!ensfor a givenPDE. ln order to complete the proof of the theorem, have yet to show that any surface we generated the integralcurves Eq. (0.44)hasan equationof the form F(r.i,v) = 0. by of Let

y u(x, ,z)=(,

and v(x,y,z)=C,

(0.45)

be two indeperident integrals the ordinarydifferentialequations of (0.44).If Eqs.(0.45) satisfy (0.44). we have Eq. then. du du du ;dx+=-dy+;-dz=du=0 ox
dy dz

and

dv, 0v dv . ax+-dy+-&=dv=U. ox
dy dz

t3

_;_-____;_____=_

dx
=__=___j......-

dv

du dv du dv

0u dv dufr
dz du 0v du 0v'

## at at- a" a, E Ar- arE

a, ay- ay dr
rfiich can be rewritten as
---;-------i l

## dx dy dz = ---t---= --i-:---:o\u,v) d\u,v't d\u,vl 0(y,z) d(z,x) 0(r,y)

(0.46)

:iow, we may recall from Section0.4 that the relation F(u, \$ = A, where F is an arbitrary function, bds to the partial differentiA',equation ' -;.P d(y, - , + q ' z) d(2, x)

d(u.v\

A(u\$ _ a@.v)
d(x, y)

(0.47

Br virtue of Eqs. (0.37) and (0.47), Eq. (0.46) can be written as dx =dy _dz PQR

T b e s o l u t i o n o f t h e S ee q u a t i o n sa r e k n o w n t o b e u ( x , y , z ) - _ C 1a n dv ( x , y , z ) = C 2 . H e n c e f(2. v) = g is the required solution of Eq. (0.37), if u andv are given by Eq. (0.a5), We shall illustrate this method through following examples: EX4MPLE 0.7 Find the general integal of the following linear partial differential equations: ( i ) y 2p - x y q = y ( 2 - 2 y 1 (ii) (y+zx)p-(x+yz)q=7s2 - 12. Solulion (i) The integral surface of the given PDE is generated the integral curves ofthe auxiliary by eouatlon dx y' dy -ry dz x(z -2y) (1)

fhe first two members of the above equation give us :== rhich on integration results in
_2

or

xdx=-ydy,

-.2 L+C 2

or

x'+ v'=C,

(2)

l4 The

## That is, 2ydy=ydz+zdy, which on integration yields y2 = yz +C2 or y2 - yz =C2 (J)

Hence,the curvesgiven by Eqs. (2) and (3) generate requiredintegralsurfaceas the F\xz+y2, y2 - lz)=0. (ii) The integralsurfaceofthe given pDE is generated the integral by curvesofthe auxiliary equation

dx_dy
y+zx -(x+ lz)

dz *2 -y,

(t)

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

## ;;;7 _;;fr=? _yz

or
xdx+ydy _ dz (r2 - yz) ,2 - y2 " xdx+ydy=2fu. On integration,we get ,'2 ,2 t2 _+ " =L 2 V-t or x'+Y'-z'=Ct

xdx+ydy

dz

That is,

(2)

## Similarly,for gettingthe secondintegralcurve, let us considerthe combination such as ydx+xdy dz

7;;;7__y=7_t
or ydx+xdy+dz=0, w h i c h o n i n t e g r a t i or e s u l t s n n i xY+z=C2 Thus, the curvesgiven by Eqs. (2) and (3) generate requiredintegralsurface the as F ( x 2+ y 2 - z 2 , x y + z ) = g .

(3)

l5

EGIMPLE

## 0.8 Use Lagrange'smethod to solve the equation

,'T
a dz iox there z=z(x,y). Solution The given PDE can be written as

f
ozl
1l

I rl-^

oyl

-l I

## x t- pa y ;l-Ilay l1a - y - ^ l^ -z - , oyJ L L

2.

l +z ld = - - l t - l = t ) dxJ L dy dx)
'-

|d,ozf

(yy-Pz\1i+@z-ygi!= Bx-ay dx
dy

(t)

dy
(az-yx) (fx-ay)

(2)

## Lsing multipliers x, y, and z we find that each fraction is _xdx+ydy+zdz 0

Ihrefore, xdx+ydy+zdz=0, rhich on integration yields ,2+y2+"2=c, usingmultipliers f , nd y, we find from Eq. (2) that each fraction is equal to Similarly, a, adx+Bdy+ydz=0, riich on integration gives ax+py+yz=Cz Thus,the general solutionof the given equation foundto be is ' F ( t z + y 2 + 2 2 ,a x + B y + y z ) = 0 EXAMPLE0.9 Findthe general integrals the followinglinearpDEs: of (i) pz-qz=22 +(x+y)2
(iil (x2 - lz) p +(y2 - u)q = ,2 - 'y.

(3)

(4)

t6 Solution

## INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

(i) The integral surfaceof the given PDE is generated the integral curvesof the auxiliary by equation dx z The first two members of Eq. ( 1 ) g i v e dr+dY-9, yields which on integration x+Y=Cl Eq. (2) and the first and last members Eq. (l), we obtain of Now, considering , zdz (2) dy _z dz z 2+ ( x + y ) 2 (l)

z'+ci
or 2z dz z'+C; yields which on integration

## ln (22+ Cl) =2x + C2

OI

l n l z "+ ( x + y ) " ) - 2 x = C ,

(3)

for Thus,the curvesgiven by Eqs.(2) and (3) generates integralsurface the given PDE as the
F(x + y, log \x2 + y2 + 22 + 2xyj -2x) = 0 (ii) The integralsurfaceof the given PDE is given by the integralcurvesof the auxiliary equation

## * =0, ,z -tn y2 -",

Equation(1) can be rewrittenas

dz
,2 -*y

(l)

dx-dy dy-dz dz-dx _ _ (x- y)(x+ y+ z) (y-z)(x+y+z) (z-x)(x+y+z) Consideringthe trst two terms of Eq. (2) and integrating,we get ln (r - ]') = ln (),- z) + ln C'r
OI

(2)

-vl

(3)

## PARTIAL DIFFERENTIAL EQUATIONS OF FIRST ORDER

l7

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

fi=c,
rus, the integral curves given by Eqs. (3) and (4) generatethe integral surface /\ "' (y-'' ,-x) 3,6 INTEGRAL SURFACES PASSING THROUGH A GTVENCURVE

(4)

the previoussection,we have seenhow a generalsolution for a given l i n e a r P D E . a n b e c :rained.Now, we shall make use of this general solutionto find an integrals u r f a c e o n t a i n i n c . :iven curve as explained below: we Suppose, have obtainedtwo integralcurvesdescribed by u(x, Y, z) = (t ) t t v(x, Y, z) = C, )

(0.48)

' rm the auxiliaryequations a given of PDE.Then,the solutionof the given PDE can be written - the form F(u,v)= Q

(0.4e

Suppose, wish to determinean integral surface,containing a given curve C described we by -.3 parametric equations the form of x=x(t), y=y(t), z=z(t),

( 0 . 5) 0

## I vIx(t), y(t), z(t) = C2)

( 0 . 5) r

:.us,we have two relations, from which we can eliminatethe parameter to obtain a relation / :: rhetype F(C.,C)=0 (0 52)

.:ich leadsto the solution g i v e n b y E q . ( 0 . a 9 ) .F o r i l l u s t r a t i o n , t u s c o n s i d e t h e f o l l o w i n g le r : uple of examples. t.Y4MPLE 0.10 Find t\e integralsurfaceof the linear PDE x(y2 + z)p - y(x2 +z)q=1x2 - y21z - : n t a i n i r r gh e s t r a i g h lti n e x + y = g , s = 1 . t Solution The auxiliary equations the given PDE are for ___1 x\y2+ z) - y t x z- : 1 dz (r' - yt),
(l)

18

## Using the multiplier xyz, we have yzdx+zxdy+xydz=0. On integration,we get xtz = Ct Q)

we Suppose, use the multipliersx, y and z. Then find that each fraction in Eq. (l) is equalto xdx+ydy+zdz=0, yields which on integration *2 +y2 +"2 =C, For the curve in question, we have the equationsin parametricform as x=t, y=-t, z=l (3)

'f

(4)

## zt2+t = Cz) the t' we Eliminating parameter find 1_zcr=c2

or 2Cy+C2-l=0 Hence, the required integral surface is t 2 + y 2 + 1 2+ 2 r y 2 - 1 = 0 .

EXAMPLE 0.ll

x.P+Yq=z

## which contains the circle defined by t2+y2+12=4, x+y+z=2.

The integral surface of the given PDE is generatedby the integral curves of the Solution auxiliary equation dx _dy =dz xyz I of Integration the first two membersof Eq. (l)gives (l)

(2)

t9

## i:milarly, integration the last t\ryomembers Eq. (l) yields of of

,v = C z
z ::3nce, the integral surface of the given pDE rs

(3)

o[:,zl=o z)
\y

s)

-: this integral surface also contains the given circle, then we have to find a relation betwaen : 1' and ylz. The equationof the circle is *2+y2 +"2 =4 x+y+z=2 i:om Eqs. (2) and (3), we have !=xlCv z=ylCr=a1grg,

(s)
(6)

## xz+ 2 +2-":(-r r ) , = 4 , o I . * 2 l l + - ! + - - l " 'x-t

Ll LrL2 | Ci CiC;)

l=a

(7)

x+-+-=2.
i:om Eqs. (7) and (8) we observe

xx(rt\

q Crcz

(8)

## 1*{* -l -=f,*t* t l' ci cici l. cr crc2J'

-hich on simplification gives us _+_+--=0
)11

Cr CrCz c r'C,
l:rat is, C r C 2 r C t+ t = 0 . \ow, repfacingCl by xly and C2 by ylz, we get ihe required integral surface as x+ - -v _ +x = 0 , t yz y

(e)

20

I N T R O D U C T I O NT O P A R T I A LD I F F E R E N T I A L O U A T I O N S E

zy
Yl,rw'tl'?-n

0.7

## THE CAUCHY PROBLEM FOR FIRST ORDER EQUATIONS

Consideran interval1on the real line. If xo(s),y6(s) and zs(s) are three arbitraryfunctionsof a singlevariablese1 such that they are continuous the intervallwith their first derivatives. in Then, the Cauchy problem for a first order PDE of the form F(x, y, z, p, q) = Q

( 0 . 5) 3

is to find a region IR in (r, y), i.e. the space containing (xo(s),-},o(s)) all s e 1, and a solution for z = dQ, y) of the PDE (0.53) such that Z [ x 6 ( s ) y 6 ( s ) ] =Z o ( 5 ) , and QQ,y) togetherwith its partialderivatives with respeclto n and ), are continuous functions of x and y in the region IR. there exists a surfacez=QG,y) which passes Geometrically, through the curve f, called c d a l u mc u r v e .w h o s ep a r a m e t r i e q u a l i o n s r e a x=,x6(s), y=yo(s), z=zs(s)

and at every point of which the direction(p, q,-1) of the normal is such that F(x, Y, z, P, q) = Q This is only one form of the problemof Cauchy. of In order to prove the existence a solutionof Eq. (0.53) containing the curve f, we have about the lorm of the function F and the nature of f. Basedon these to make further assumptions we assumptions, have a whole class of existence theoremswhich is beyond the scope of this book. However,we shall quote one form of the existence theoremwithout proof, which is due to Kowalewski(see Senddon,1986). T h e o r e m0 . 2 I f (i) SCy) and all of its derivatives continuous are for y y6l<d, ( i i ) x 6 i s a g i v e nn u m b e ra n d ; 6 = g ( y 6 ) , q 0 = C ' O o ) a n df ( x , y , z , q ) a n d a l l o f i t s p a r t i a l are derivatives continuous a regionS definedby in lx xp <d, y-yol<5, cl-aol<3, then, there exists a unique function/(x,y) such that (.i) d!,y) and all of its partial derivatives continuous a region IR definedby are in d lx- :16l< 1, !-lo <52,

21

## (ii) For all (.r, y) in IR, z = Q\$, y) is a solution of the equation

oz dz\ - a = J.(x . y , z , = - l l
ox \ dy)

and

(iii) For all values y in the interval _ of ll tsl < 6b Leo, y) = S0). 0.8 SURFACES ORTHOGONAL A GIVENSYSTEMOF SURFACES TO one of the usefulapplications the theoryof linear first order pDE is to find the sysrem of of surfaces orthogonal a given systemof surfaces. a one-parameter to Let famiry of surfaces is described the equation by F(x,y, z)= ( (0.54) Then,the task is to determine systemof surfaces the which cut each of the given surfaces onhogonally..Let y, z\ be a point on the surface (x, given by Eq. (0.54),wherethJnormalto the surface will havedirectionratios()Fldx,7F/dy, drn4 *ni.n ,nuy be denoted p, by e, R.

z=d@,y)
rhe surface which cuts each of the given system orthogonally (see Fig. 0.2).

(0.5s)

Fig.0.2 Orthogonal surtace a given to system surfaces. ot l::n, its normal atlhe point (x, y, z.) will havedirection ratios(dz/dx, _l) which, of course, dz/O.y, ':'r be perpendicurar the normarto the surfaces to characterized Eq. (0.54).As u.onr.qu.n.. by '.: havea relation

r(*e!-n=o ox
dy

(0.5 6)

Pp+Qq= R

(0. s7)

22

## type, and can be recastinto which is a linear PDE of Lagranges

#x.Hx=#
#^=h=#""
EouArloNs NoN-LINEAR oRDEB o.e FrBSr

ros

Thus, any solution of the linear first order PDE of the type given by either Eq. (0.57) or (0'58) | is o*hogonat to every surface of the systemdescribedby Eq. (0.5a). In other words, the surfaces I orthogonalto the system(0.54) are the surfacesgenelatedby the integral curves of the auxiliary | equations

(o5e
I

rl I

## equations in."";fl::,T;:T: differentiar (PDEs)

partial of the the of we In rhissection, will discuss problem finding solution first ordernon-linear I

(0.60t

## where ,=*, ,=fr

tol with respect second orderderivatives continuous that We also assume the functionpossesses zero at every and over a domainQ of (x,y,z, p, q)-space, eitherFp or Fq is not its arguments I

## that such Pont

.l

't*?r r, I

l the fact that at every point (x; y, z) of the region, there exists a I The PDE (0.60) establishes p relationbetweenthe numbers and q such that 0@;q)=0' which definesthe directionof the I = \p, Q,- l) to the desiredintegralsurfacez = z(x, y) of Eq. (0.60).Thus, the directionI normalfi of the normal to the desired integral surface at certain point (x, y, :) is not defined uniquely.i existsatislingthe relation((p,q)=0: ofthe normals directions coneofadmissable a However, certain (see Fig. 0.3).

## PARTIAL DJFFERENTIAL EQUATIONS OF FIRST ORDER

23

-.herefore, the problemof finding the solutionof Eq. (0.60) reduces finding an integral to ':':.e z - z(x, y). the normalsat every point of which are directedalongone of the permissible - -:-:ions of the cone of normalsat that point. depends two arbitraryconstants on Ihus, the integralor the solutionof Eq. (0.60)essentially : fonn JG,y,z,a,b)=0, (0.61)

family of integralsurfaces :r is called a completeintegral.Hence,we get a two-parameter - .gh the same Polnt. - -q,1 Cauchy's Method of Characteristics z=z(x,y) ofEq. (0.60)thatpasses through givencurye ro=x6(s), )0=,)'0(r), a surface : ntegral famlly 01' of : -:x(s) may be visualizedas consisting points lying on a certainone-parameter . : s r = x ( l , s ) , y = ) , ( / , s ) , z = z ( t , s ) , w h e r e si s a p a r a m e t e rf t h e f a m i l yc a l l e d l r a r a c t e r i s t i c s . c o the method solvingEq. (0.60),which is based geometrical for on :lere,we shalldiscuss Cauchy's an . ieralions. Let z=z(x,y) represents integralsurfaceS of Eq. (0.60) in (r, y.:)-space. ( r e o t . - . . , , p , q , - l \ a r e t h e d i r e c t i o n a t i o s f t h e n o r m a l o S . N o w , t h e d i f f e r e n t i a l q u a t i o n0 . 6 0 ) ' . i s t h a t a t a g i v e n p o i n t P ( x x , y 6 , z 6 )o n S , t h e r e l a t i o n s h i pb e t w e e np 0 a n d 90, tllat . rr.1 :6 . po, qo), need not be necessarily linear.Hence,all the tangentplanesto possible . _r,s, throughP form a family of planesenveloping conical surfacecalled Monge a :ral surfaces :- \\'ith P as its vertex. In other words, the problem of solvlng the PDE (0.60) is to find . , : e s w h i c h t o u c h t h e M o n g e c o n e a t e a c h p o i n t a l o n g a g e n e r a t o rF o r e x a m p l e . e t u s l . . i e r t h e n o n - l i n e aP D E r P2 -q2 =1'

(0 . 6 2 )

parametrically as the .,ery point of the r1,;-space, relation(0.62) can be expressed -*<p<* ( 0 . 6) 3 p=coshp, q=sinhl, .-:. the equationof the tangentplanesat (ro,_yo,"o)can be written as ( x - x 0 ) c o s h + ( y - y s ) s i n h 4- ( z - : . ) = Q p

(0.61)

Then, the direction be .,rr0..1,6,:0) the vertex and QQ,y,z) be any point on the generator. (x x6),(,r, ya),G-zo). Now, the directionratios of the axis of the are . of the generator o le : \ \ h i c hi s p a r a l l etlo x - a x i sa r e ( 1 , 0 , 0 ) ( s e eF i g .0 . 4 ) .L e t t h e s e m i - v e r t i c a n g l e f t h e c o n e - l. Then.
7r
,1

( r - x u ) l + { . }- ) u ) 0 + ( z - z u i 0

## ziz = 2 (,t .ro)2

1 r r e ) 2- ( - r , - l o ) 2- ( z - z i 2 - o

(0.65)

24

## IN'TRODUCTION TO PARTIAL DII.FERENTIAL EQUATIONS

Thus, we see that the Monge cone of the pDE (0.62) is given by Eq. (0.65). This is a right circular conewith semi-verticalangel 4 whoseaxis is the straightline passing through (..b,_yo, zo) and parallel to t-axis. r,,. ) l(.\,,. --r

Fig,0.4 Monge cone. since an integral surfaceis touchedby a Monge cone along its generator, must have a method we to determinethe generatorof the Monge cone of the pDE (0.60) which is explained below: It nray be noted that the equationof the tangentplane to the integral surface z = z (x, ),) at the point (,re,1:e,;s)is given by \, p(x-xo)+q(y-yo)=k-z . (0.66) Now, the given nonJinear PDE (0.60) can be recastedinto an equivalent fonn as q = q ( x o ,y o ,z o ,p ) (0 . 67 ) indicatingthat p and ? are not independent (xo,yo,zo).At eachpoint of the surfaces, there at exists a Monge cone which touches the surface along the generatorof the cone. The lines of contact between the tangent planes of the integral surface and the correspondingcones, that is the generators along which the surfaceis touched,define a direction field on the surfaceS. These directions are called the characteristic directions,also called Monge directions on S and lie along the generatorsof the Monge cone. The integral cunr'esof this field of directions on the intesral surface.l 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 followins equations:

<----+---+--<---+--+--+-<----+---+--)
Fig. 0.5 Characteristic directions an integral. on surface.

25 (0.6 ) 8

## p(x - xi + q@0, zo,p) (y - yo)= Q - zo) yo,

anl
.1-

(r-x0)+()/-).,0):1=0. ap
o-fservingthat 4 is a function of p and differentiating (0.60) with respect p, we Eq. to
a.r4 df dI< da -, =-;-+=- - =u.

(0.6e)

ap

dp

dq dp

(0.70)

\.-'\\i eliminating (dqldp) from Eqs. (0.69) and (0.70), we obtain dF dF (x - x6)

ap-A vyi='
r-rn 'F F p l'(l ln

(0.71)

the l*:.erefore, equations describing Mongeconeare given by the q = q(xo,Yo,zo,p), (x - xs)p+ (y - yslq = Q - zs)
=l
I--Xn 'P l-9n -q

(0.72)

l:: secondand third of Eqs. (0.72) define the generatorof the Monge cone. Solving them for :-ro)(y-jlo) and (z-zo), we get x-xn Fp l-Vn Fq z-z^ pFo + qFn

F :alfy, replacing (x- xo),Q - yi and (z - zs) by dx, dy and dz respectively,which corresponds r infinitesimal movement from (ro,ys,z6) along the generator,Eq. (0.73) becomes dx Fp dy Fq dz pF, + qFo'

D:roting the ratios in Eq. (0.7a) by dt, we observethat the characteristiccurves on s can be c,::ained by solving the ordinary differential equations

(0.75)

26 and

at

(0.76)

Therefore,
d: -=Dt-+af^ dt

(0.7? )

## curve,p is a functionof r, so that Along the characteristic

a=;,a.6,a
becomes Now, using Eqs. (0.75) and (0.76),the aboveequation
--..-=-:-+3-_

dD dp dx 0p dv

dp 0o 0F dt 0x 0p

dp dF dy dq

## Since z,, =zyic or Py =q,, we have

dD dD - : = - - + - dI1 dt 0x dp d0 dr

(0.78) I

dx dq

## (0.60);;^ Eq. differentiating Arso, ;Tec,;:

:-+-:-P+ dx dz' Using Eq. (0.79), Eq' (0.78) becomes : Similatly, we can show that
AT

)irr, = U ^ -:*-:dp dx dq dx

j"

(0.79)

= -\r\ + prz)

(0.80 )

_:a=-(Fv+qF:)

( 0 . 8) 1

curves we Thus,givenan integralsurface, haveshownthat thereexistsa family of characterislic (0.76), (0'77)' (0'80)and (0.81). to alongwhichx, !, z, p and g vary according Eqs.(0.75), we theseresultstogether, may write Collecting

## PARTIAL DIFFERENTIAL EOUATIONS OF FIRST ORDER

27

dx dt dy (tt
-= dt

dz

P t aD + q r o ,

(0.82)

==-(f,
AT

+ pF,t and

==-(F,+qF-).
dl

equations the given PDE (0.60).The last three of are equations known as characteristic :.:: Without knowing the solution z = z(x' y) :'- ...:ronsof(0.82) are also calledcompatibilityconditions. c' r: PDE (0.60),it is possibleto find the functionsx(t),y(t),2(t), p(t),q(r) from Eqs. (0.82) and y(t),2 -- z(t) calledcharacteristics at eachpoint :--: rs. we can find the curvesr=r(t),/= ' - :haracteristic,we can find the numbers p = p(t) and q = q(t) that determinethe direction ol ,:

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

(0.83)

togetherwith the plane (0.83) refened to each of its points is called a T-, rharacteristics, x c - : : ' : : i e r i s t i cs t r i p .T h e s o l u t i o n = x ( / ) , / = y ( t ) , 2 = z ( t ) , p = p ( t ) , q = S Q ) o f t h e c h a r a c t e r i s t i c (0.82) satisfythe strip condition .:-,:::Jns

= * fi rr,t!,a,lL
[ l. h [

(0 84)

as -.. b. notedthat not every set of ltve functionscan be interpreted a strip. A strip should curve.Thatis' thel with normals(P. q. -l) be tangential the charactertstic to . rhatthe planes .rrisfy the strip condition (0.84) and the normals should vary continuouslyalong the curve. is consequence the Cauchy'smethodof characteristic statedin the following of .r rmportant

F.

--.

strip)of the PDE: F(.r..1 --.p. g) = 0. the function . h= . r..- 0.3 AJongeverystrip (characteristic is constant . .:. P'gl l" strip, we have eroo| Along the characteristic I

,,

|
t T

; r t y ( ' ) , ) . ( r ) . 2 ( r ) . p ( r ) . q a \ r = ; ; + i i ** A -

## 0F dx . dF (b. aF (t: +rydp *dj ,tq

aoi-A,t,

becomes equation sideof the above listedin Eq. (0.82), righrhand the usingthe results

4Fp+F,Fq+F,(pFr+qFo)-Fo(F,+pF,)-Fo(Fr+qF,)=0. I '... tt'" function of equations y, .F(x, z, p, 4) is constant alongthe stripof the characteristic | -re by Eq. (0.60). defined F we examples: the . .: illusrration. consider following |

28

## INTRODUCTION PARTIAL TO DIFFERENTIAL EQUATIONS

ofthe equation pg = z and determinethe integralsurface EXAMPLE 0,12 Find the characteristics throughthe straightline x=l,z= y. which passes Solution If the initial data curve is given in parametricform as ,o(r) = I, yo(s)= s, z6(s)= s,

then ordinarily the solution is sought in parametricform as : = x(r, s), y = y(t, s), z = z(t, s).

Thus, using the given data, the differential equation becomes P6(s)q6(s)-s=0=r' and the strip condition gives I = pe(0)+ q6(l) Therefore, qo =1, Po = r (uniqueinitial striP) or Qo= l. (l)

(2) (3)

## Now, the characteristicequationsfor the given PDE are dxdydz^dDds

A=q'
On integration,we get

A= e'

a=

zPq'

;= e' ;=q

(4)

p = cl exp (r), q = c2 exp (t), x = c2 exp (r) + ca I y=cl exp(t)+c4, z =2cpz exp(2t) + cs Now taking into account the initial conditions x o = 1 , y o = J r z o= s , p o = s , q o = l we can determinethe constantsof integration and obtain (since c2 = l, ct = 0) l P = s e x P ( t ) ,4 = e x P ( t ) , x = e x P ( ). f 'J

(5)

(6)

(7)

/ = s e x p ( / ) ,z = s e x p ( Z t )

## the is Consequently, requiredintegralsurface obtained from Eq. (7) as

.-^t-

EXAMPLE T.lJ Find the characteristics ofthe equation pq=z passes parabola through the surfacewhich x=0, y'=2. Solution The initial data curve is

29

## The strip condition gives

2s=ps(o)+qs(l)or
Therefore,

qs_2s=o

(2)

t = po = zolQo ,212, = 2 pDE are given by Now, the characteristicequations of the given Qo= 2s and

B\, '-

## = * r' * =,,*=roo, =,,# =, *

we On integration, obtain p=qexp(t), q = c2 exp x =c2 exp(l)+c, (t), . the Takinginto account initial conditions u'e find h = s/2, cz =2s, ct = Qs, ca= 3l), gt =Q Therefore,we have y=ctexpO+ca, z = c1c2 (2t)+ c5 exp I J

(4)

(5)

## to =0, .Io=s, zO=s2,ps=s/2, qt=2s,

(t), r =| exp q =2s exp 1r;, x = 2s[exp - l], .y= (r) z = s2exp (2t)
Elirninating.r and t from the last three equationsof (6), we get

;texp

(r)+ tl

(6)

= 167 (4y + x)2. This is the requiredintegralsurface. EYAMPLE 0.11 Find the characte stics of the PDE P 2+ q 2= 2 the md determine inte\$al surfacewhich passes throughx=0,2=y. Solution The initial datacurveis ro(r)= 0, yo(s)=s,z6(s)=s.

(l)

## and the strip conditiongives

1 = p o ( 0 ) + q e ( l )o r
Hence, 8 o = l ' P o= l l

qo-l=0

## =rr, +zq2 4 r d r d r t4 =rr. * = ro' =+l d

!=0.41=o dtdtl
On integration,we get P=q, q=c), x=2ctl+ql

I
'l

## y = 2 c 2 t + c 4z = 4 t + c s ) , the Takinginto account initial conditions x o = 0 ,l o = s , z o= r , p o = ! 1 , q o = 1 , we find

D=Xl. o =1.x=!2t.)

Y=2t+s. z=4t+s. )

Elimi of(6) are parametric equations ofthe desiredintegralsurface. equations The last-three s the parameters and r, we get z=y!x. . O.1O COMPATIBLE SYSTEMS OF FIRST ORDER EQUATIONS if Two first order PDEs are said to be compatible, they have a commonsolution.We shal and sufficientconditions the two partial differentialequations for derivethe necessary f(x, Y, z, P, q) = s and g(x, y, z, p, q) = 0 to be compatible. Let

,-d(f,s\,n
d (p, q)

(0.87)

## solution, cansolvethemandobtainexplicitexpressions we SinceEqs.(0.85)and(0.86)havecommon for u and a in the form

P = OG,Y'z), q =t//(x, z) v,

(0.8) 8

3l

## andthen, the differential relation Pdx+qdY=77 or

Q@,y,2) dx+ ry\x, y, z) dy = dz for condition is be should integrable, whichthe necessary - i . c u r l* = 0 vhere =Id,V,-l). That is, X

(0.89)

## +,yi <di -iqlanx

li

dDy

dtdzl=s

il

lo
or
uhich can be rewrittenas

rl

= dGv,)+v(Q") v, - Qy
Vt,+0V"=Qy+V@, to Eq. )JoWdifferentiating (0.85)with respect x andz, we get

(0. ) e0

1*yofi*;nfr=o

t.r,ffi.r,ffi=o
But,from Eq. (0.89),we have dp =dd oq =dv and so on.

## tt'" these L:sins ,.rutt.. ,0"* .ii"t'li t'""Jt 'lJu'"'"

f*+ fp!,+ fqv/,=o
ano .f"+fpf,+fqV,=0. one ofthe abovepair by Q andaddingto the firsl one. we readilyobtain \lultiplying the second

## + (f, + 0f,) + f p@,+ 00,)+ .fq(V, 0v = 0 ")

t S i m i l a r l yf.r o m E q . ( 0 . 8 6 )w e c a n d e d u c e h a t

32

OI

## v, +Ov"= jUtot, - sof) +Q(fos"- sof))

) = t . l o _ \ t . g + 6 d _ \, g t | l ' t l d 1 x ,p ) A Q ,p ) ) 1O.ot)

whereJ is definedin Eq. (0.87).Similarly, differentiating (0.85)with respect y andz and Eq. to usingEq. (0.88),we can showthat

## = 6" 16,- ll a+4 *, al|.qstl ' * r d\z, t

Ldty,q) )

(0.e2)

the of Finally, substituting values Vt + QV, and(, +ry/, fromEqs. (0.91) (0.92) Eq.(0.90), and into we obtain d t t . S )) lA(y,S) In view of Eqs. (0.88),we can replace andy by p and q, respectively get to \$

## atf.il *rd^tf =_11!+.ra:l.etl .g)

d ( x .p \ d ( 2 .p )

## a C ' s ) p d - ( 'fs ) .s . + ' 0 ( 2 . p ) + a _ ( f )* o d , t f d _ o

0(t,p) d(y,q)', d(r,q)-"

(0.93)

This is the desiredcompatibility condition. For illustration, let us considerthe following examples: EXAMPLE 0./5 Show that the following PDES xp-yq=x and ,2p+q=r"

are compatible and hence, find their solution. Solutioh Suppose,we have

.f=xp-yq-x=0. g=x2p+q-xz=0.
Then,
A^

(l)

(2)

a(f,s)_l o
o \ 2 ,p t
a. ,-l

x l__z
x. I
rl-'t

l-x

33

=*=l

## aU,e\ l-q d\y,q) l0

-vl - o . 'i=
ll

aj.il -:-:------- = | |
ard we find

-vl
t=-xv,

d(z,q) | -:r

I I

## a j , c ) . - d-( f-, !d +,qazje !d ,= p- + ; J l ..,^+

d\x, p) d\2, p)

d(y,q)

'

a(f,d
d(z,q)

r"-r'p-12

+ p x 2- q - q x y

## =o_q_qry_r, =xz-q,x(qy+x) =o-q_x2p =0

the compatible. Hence, given PDEsare. Now, solvingEqs. (1) and (2) for p and g, we obtain P=q-l rqz+x x3+x2z x+x2y from which we get

## p=x(1+ vz\ l+ r,z ,G\$= u,

and

c=

x2(z-x\

x(z-x)

4r-;a9=r.,
l+ry
(rl

ln order to get the solution of the given system,we have to integrate Eq. (0.89), that is . ( 1 +' u z&.+ x ( z - x '\d v '\ dz='

l+ry

OT

v(z- x\ - x(z-x\ 1z- dk = !...:.........-:- * j dx o, _: or dz-& _ydx+xdy z-x l+xy On integration,we get ln (z-I) Ihat is, z-x=c(l+xy) = ln (l + r1,)+ ln c.

34

## EQUATIONS TO INTRODUCTION PARTIALDIFFERENTIAL

Hence, the solution of the given system is found to be z=x+c(\+xy), family. which is of one-parameter 0.11 CHARPIT'S METHOD In this section,we will discussa generalmethodfor finding the completeintegralor complete solutionof a noirlinearPDE of first order of the form
ar-.,--^\-n
J\^.)'..,yattt-v,

(4)

(0. ) e4

The basicidea in Charpit'srnethodis the introduction This methodis known as Charpit'smethod. of the form of anotherPDE of first order g(x'v'z,p,q)=o in and then, solve Eqs. (0.94) and (0.95) for p and q and substitute /7 = p(x, y, z, a)dx + q(x, y, z, a)dy. Now, the solution of Eq. (0.96) if it exists is the completeintegralof Eq. (0 94).

(0.95 ) (0. ) e6

discussed (0.95)whichis already equation of The maintaskis the determination the second of is Now, what is required, to seekan equation the form section. in the previous g ( x ,v ' z ' p ' q ) = o with compatible the givenequation f ( x , y , z 'p ' q ) = o condition is and for whichthe necessary sufficient

a \ f . g \ + , d t f , g ,* d U . g \* o d ( J , t , _ 0 . 'a(z.qJ 'dtz-p\-dly,q)
d(*. p) we On expansion, have

(0.q7)

## (af ds_aI ae\,"(atds-af as\

'\a.' dp apa= ) \ a * a p o p d x) '
\dY dq dq dY ) \dz dq

.t44-4+).,(++-++)=,
dq o: )

## which can be recast into

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

fp fq
_dq

(0.e8)

-U' + q1"1

## PARTIALDIFFERENTIAL EQUATIONS FIRSTORDER OF

35

-Ihese equations calledCharpit'sequations. are Any integral Eq. (0.99) involvingp or q or both of :an be laken as the secondrelation(0.95).Then,the integration Eq. (0.96) givesthe complete of :regralas desired. may b6 notedthat all charpits It .quutibn, neednor be ur.I, bu, it is enough the simplestof them. This methodis illustrated :r choose throughthe following examples: EXAMPLE 0.16 Find the complete integral of

(r)

p'L+qj-1zr= o
/*=u, Jr=p-+q"
f^ =2pv.

J,=-s

f- =2av-2.

fp
I hat ls.

fq

dx

dy

2p2y+2qzy-qz (2)

## dq - l (p 2* q 2 ) - q 2 l Pq of Fromthe lasttwo members Eq. (2), we have

dP=dq Pq -p2 or PdP+qdq=g we On integration, get P2+q2 =4(constant) From Eqs. ( l). and (3), we obtain ay-qz=0 and (av "-\; 1 o t 2- a zy 2 1 t t z or Q=q,/z

( 3)

(1)

36

OI

## z dz- ay dy = I m' - o' y' &

which can be rewritten as d 1*2 - a2y2 7tt2

r---i-_---:'--;

we . On intgration, find

or
\x+ b)- = \z-/a) - y-

## the integralis Hence, complete

lx+b)- +y- = z'la.
. .-t ) 1.

EXAMPLE 0.17 Find the complete integralof the PDE: ,2 = pq ry. Solution given In this example, f = Then,we have 'fx = - P4/' fY = -PA*' f" =22 "2 - pqxy.
(l)

## dt _dy = d" dp aq = = pf, + q1:n -(f, + pf") -(f, + q1'"1 fp fq

That is, dx -qxy dy - pxy dz -2pqry dp pqy-zpz ds pqx -Zqz

(2)

## From Eq. (2), it follows that

dplp qy-22 dqlq px-22 dxlx -qy dvlv -px

PARTIAL DIFFERENTIALEQUATIONSOF

FIRST ORDER

37

## .irich can be rewritten as dplp - dqlq _-dxlx+dyty

qy-px
dp Pq ft integation, we find dq

qy- px
dy dx

-D X = c(constant) qv p = cwlx Fmm the given PDE, we have ,2 = pqry=rq2y2 rtich gives q2 ="2/"y2 or q=zl^fcy=azly,

sherea = l/J7.
Hence,

## P = zlax' 9rbstituting thesevaluesof p andq in dz= pdx+ q dy,

get az=-dx+-d! axy

dz z

l&, ax

dy y

lnz=:lnx+alny+lnb
a'

z = brrroyo

## is the complete integral of the given pDE.

0.18 Find the complete integral of ,2p2 +y2q2 -4=o Charpit's method.

38

Solution

## -2'P2 + 'a2P2 Y2q21(l)

dP

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

-!+-1
2x'p we On integration, gel

-Zxp'

or * *42=o x
P xP=a (2)

ln (xp)=1Y1s or From the given PDE and using the result (2)' we get y 2q 2 = 4 _ o 2

(3)

one set of p and q valuesfrom Eqs (2) and (3) in Substituting dz= pdr + q dy, we find that

4, = o& *.J;I
xy

dY .

found to be the On integration, completeintegralof the given PDE is .=otnr*r[4Jhy*h. 0.11.1 Speciat Types of First Order Equations Type I EquationsInvolving p and q only' of That is, equations the tYPe f(p, q) = 0. L e tz = a l + b y + c = 0 16gn b o i s a s o l u t i o n f t h e g i v e nP D E , d e s c r i b e d y f ( . p ' q ) = o ,
1 t.

(0. I 00)

p=?=o.q=:.=b
.1x

uf

thesevaluesof p and q in the given PDE' we get Substituting f ( a . b )= 0 S o l v i n gf o r b . w e g e t ,6 = / ( d ) . s a y T h e n ' z--ax+A@).v+c is the completeintegralof the given PDE

(0 l0lt

(0 l0lr

39

## E,\-IMPLE 0.19 Find a complete integral of the equation

"lp*"G=t
Solution -: :he form ';:-:rg The given PDE is of the font f(p,q)=g. z=ax+by+c Therefore, us assume solution let the

integralis foundto be Hirce, the complete z = ax+ (1- nla)2 y+c. EX{MPLE 0.20 Find the complete integralof the PDE Ps=l Solution Sincethe given PDE is of the torm f(p,q)=O, we assume solulionin the the :t;:n z=ax+by-lc, whereab=l or b=lla- Hence, complete the is integral I z=ax+-y+c.

"G+Jt'=t

or b=(r-J;)2

I !
Tlpe Il -,ar Equations Not Involving the Independent Variables. is, equations of the type

f ( 2 ,p , d = o

(o.lo3)

-ai a trial solution, let us assumethat z is a function of u = )c+ ay, where a is an arbitrary constant. z = f(u) = f(x + ay) dz ' dx dz dz du du 0x dz 0u dz du dz (0.104)

t= sr= * ,=a ^

## S-:stituting these values ofp and g in the given PDE, we get

Il".a.,+l=o au) \ au
r::ch is an ordinary differential equation of first ordet Solving Eq. (0.105) for dz/du, we obtain ]=Qk,a)
i:

)-

,-\

(o.ros)

\sav)

39

## EI{-I{PLE 0.19 Find a complete integral of the equation

Ji * Jq=t.
Solulion : :--: form The given PDE is of the form /(p, g) = g. Therefore, let us assumethe solution z=ar+by+c ,!a+.lb=l l-l:::e. the complete integral is found to be z=ax+Q-Ji)2y+c. E.\\${PLE 0.20 Find the complete integral of the pDE P q= t '

or

b=\l-Jtt)t

Solution Since tlie given PDE is of the form f(p,q)=O, we assumethe solution in the - : - , z = a r + W * c , w h e r ea b = 1 o r b = 1 1 a .H e n c e ,t h e c o m p l e t en t e g r a l s i i 1 z=ax+-y+c. a Tlpe II EquationsNot Involving the IndependentVariables. .l-:: is, equationsof the type

f(2, p,q)=o

(0.103)

:-. : rial solution, let us assumethat z is a function of u = x+ ay, where a is an arbitrary constant.

z=f(u)=f(x+ay) ' 0z 0x
oy

(0.104)

dz 0u du dx
du dy

dz du
du

o=+=++=,+
S,::rituting thesevaluesofp and q in the given PDE, we get

f(,.+. d u ) \ a u "!)=o
r::ch is an ordinary differential equation of first order.
Solving Eq. (0.105) for dz/du, we obtain dz ^=QQ,a) (sav)

(0. 05) r

40

## EQUATIONS INTRODUCTION PARTIAL TO DIFFEREN1IAL

we On integration, find
J 9\2' a t

I t! '=u*"

That is, F(z,a)=u+s=Ylaytt. integralof the given PDE. which is the complete EXAMPLE 0.21 Find the completeintegral of P(1+q) = qz Solution Then, dz P=A' q=a dz du dz Let us assumethe solution in the form 7=f(u)=a+6y

thesevaluesin the given PDE, we get Substituting dz(. That is, dz oar=*-' On integration,we find ln(az-l)=u+c=x+aY+c integral. which is the requiredcomplete integal of the PDE: EXAMPLE 0.22 Find the complete P 2 2 + q z= 1 ' " = f(u)= x+ ay is a solutionof the given PDE.Then, lhat z Sotation Let us assume dz dz c=a du du' given PDE,we obtain thesevaluesofp and g in the Substituting e=
ldzl

dz\

al'*oa)=o'd".
dz or a-'-=4u

la")
That is,

(*\
\du )

<,,*ort=r or

## PARTIAL DIFFERENTIALEQUATIONSOF FIRST ORDER

4l

'[7*t a"=au
ar lnte\$ation, we get

## t f r-------''l a- . I z+!z- +a-

2l

t=truv'rD

integralof the given PDE. -:.;h is the requiredcomplete Equations Type lll Separable from those x and the termscontaining andp canbe separated r.- eOuation which z is absent in equation. ::-::iningy and4 is calleda separable of the tYPe Tlat is, equations (0. 07) r f(x, p)= F(v'q) that : trial solution,let us assume f(x'P)=F(Y'q)=a (saY) .. solvingthem for p and q, we obtain

(0. 108)

p = 0 @ ) 'c = v 0 )
a"=* a"**ay= pdx+qdy
dx dy

## dz=O@dx+v(;)dy in integral the form the we r ::egration, ge1 complete (0.10e)

"=lO<Oa'*JyQ)dY+b
integralof the PDE: TUPLE 0,23 Find the complete qx2 pzy (1+ x2'1=
Solution type and can be rewritten as The given PDE is of separable o 2( l .--. + , 2 \ .-=9=o x'y

## (say), arbitrary constant. an

e=;67'
r:r rring these values of P and q in

J-o*

q=aY

42=pdx+qdf,

42 we get

## ' u= On inlegation, we obtain

{ot

Jl;7ar+aYry

'=Ji[*t
EXAMPLE 0.21 Find the completeintegral of

*1y'*b

## integralof the given PDE. which is the complete

P2+q2='+Y Solution Then, The given PDE is of separable type and can be rewritten as p2 -t= y-q2 =a (say)

P =J'+i,

q=Jy+a.

## thesevaluesofp and 4 in Now, substituting dz=p&+qdy we find dz=.lx + a dx+,JW

On integration,the complete integral is found to be 2 = :(x + a)"' + | (y + a)'', + b.
5J

dy,

Form Type Mlairaut's A first orderPDE is said to be of clairaut'sform if it can be written as z= px+W+f @,q) Charpit'sequations are The corresponding

## &dv dz fr y+.fq px+qy+pfr+q1fo "+

dp p-p dq q-q gives us (0.lll)

## The integration of the last two equationsof (0.lll) p=a,

q=b

Substitutingthese values ofp and q in the given PDE, we get the required complete integral in the form

z=ax+by+f(a,b)

(0. l2) r

43

E\-lrtPLE

## 0.25 Find the complete integral of the equation

,= p**qy*rlt*p\ t, Solation ThegivenPDEis in the Clairaut's form.Hence, complete its integral is t=**ry*r[*]
Find the complete integral of (p+q)(z-xp-yq)=I The given PDE can be rewritten as

*F.

I z=xp+yq+p+q
:s in the Clairaut's form,

EXERCISES
. pDE Eliminate arbitraryfunctionin the followingandhence the obtainthe corresponding z=x+y+f(A).
Form the PDE from the following by eliminating the constants z=(x2 + a)(y2+b). Find the integral surface (general solution) of the differential equarion

## x"-d - + y ' 7 d= \$ + y ) 2 . ;z "-z ox oy

Find the general integrals of the following linear pDEs: ,) yi) -P+xzq= ,i i ) ( y + l ) p + ( x + 1 ) q= s .

## INTRODUC'TION TO PARTIAL DIFFERENTIAL EQUATIONS

6. Find the equation of the integral surface of the PDE 2y(z -3)p + (2x - z)q = y(2x - 3) whiclr containsthe circle x2 + y2 =2a, 2 =g. 7. Find the generalintegral of the PDE (x-y)p+(y-x-z)q=z which containsthe circle *2 + y2 =1, =1. " 8. Find the solution of the equation + , = L1p2 + q21 1p _ x\ (q _ y)
2

## throughthe x-axis. which passes of 9. Find the characteristics the equation

pq=ry
and determinethe integral surface which passesthrough the curve z=x,y=0. of 10. Determine the characteristics the equation pz -q2 "= and find the integral surface which passesthrough the parabola4z+x2 =0, y=0. rll. Show that the PDEs xp= yq 12. Show that the equations p2 + q2 =! arrd (p' + q')x = pz and z(xp+ yq)=Zxy are compatibleand hence find its solution.

are compatible and hence find its solution. 13. Find the complete integral of the equation (p2+q27x=pz where P=AzDx' q=0zl0Y. 14. Find the complete integrals of the equations ( i ) p x s- 4 q 3 2 + 6 x 2 2 - 2 = o x (ri) 2(z+xP+Yq)=YP2. 1 5 . Find the complete integral of the equation p+q=pq. 1 6 . Find the complete integrals of the following equations: (l) zpq=p+q (lr) p2q2 + *t ut = *'qt (" + y').

45

## the rollowing PDEs:

(\) tp3q2 + yp2q3+1p3+q3)-"p2q2 =o ( i 1 ) p q z = p 2 ( x q+ p 2 ) + q 2 ( y p + q 2 ) . 1 9 . Find the surface which intersectsthe surfaces of the system

z(x+Y1=s132a11
orthogonally and passesthrough the circle x 2 + Y 2= 1 , 7 = 1 '

## 10. Find the complete integral of the equation

1 p 2+ q 2 1 x = p z

## .0202 where p=2,

tl

Q=2,

(GATE-Maths, 1996)

## of Find the integralsurface th linearPDE

s-D*-G-v+4!=, dy dx
which containsz-1 and *2 +y2 =1. (GATE-Maths,1999) the correct answer in the following questions: equation u Using the transformation =Wly in the PDE xux = u + yu, the transformed of the form l/= has a solution

## (A) f(x/y) (C) f (x - y)

ls z=

(cATE-Maths,l e97) +1p3+q31-tp2q2 =O ofthepartial differential equation q2 + yp2q3 integral ,p3 Thecomplete +ba)1 @) ax-by+(ab-2 (D) ax+ by-(ab-2 +ba-2).

## (A) ax+ by+ (ab-2+ baal (C) -ax + by + (bo-2- ob-z)

(GATE-Maths, 1997) z=(x+ y)+ A(ry) is of The partialdifferentialequation the family of surfaces (B) xP-Yq=Y-Y (A) xp- yq=g (C) xp+yq=x+y (D) xP+Yq=o. (GATE-Maths, 1998)

## INTRODUCTION TOPANTIAL DIFFERETMAL EQUATIONS

Thecomplete integral the ppt 7=psaqy-sin(pq) is of (A) z=at+by+sin(ab) @) z=u.+by-sin(ab) (C) z=ar+y1sh16; (D) z=x+6y-sin(a).

I I I

I I
I
I I
{

CHAPTER T

FUNDAMENTALCONCEPTS
. INTBODUCTION
!::. practicalproblemsin scienceand engineering, when formulatedmathematically, give rise to r--:l differential equations(often refened to as pDE). In order to understand the physical _ -r'. iou' ofthe mathematical model,it is necessary havesomeknowledgeaboutthe mathematical to .::;ter, properties, and the sorution the governing pDE. An equationwhich invorves of several (usuallydenoted x, y, z, r, ...), a dependeni ::Tndent variables by functiona ofthese variables, : -re partial derivatives of the dependentfunction a with respectto the independent variables F ( x ,y , 2 , t , . . . , u , u y ,u z ,h , . . . , u r x , u r , . . . , u r , . . - ) 0 = :.:.leda partialdifferentialequation. few well-krown examDles A are: u, = k(uo +uw + urz) Iinear three-dimensional equation] heat u * + u , ^ + u - -= O . '). u = c- (u\$ + u)ry+ uzz) q+uur=puxr (l.l)

equation threedimensions] in [Laplace Iinear three-dimensional equation] wave one-dimensional [nonlinear Burgerequation].

:. theseexamples,z is the dependentfunction and the subscriptsdenote partial differentiation --: respectto these variables. inition l.l rhe order ofthe partialdifferential equationis the order of the highestderivative -:ring in the equation. Thus the above examplesare partiar differentiar equations of second :::. whereas q=uurn+stnx :--.examplefor third order partial differential equation.

CLASSIFICATION SECONDORDEF PDE OF . nost generallinear secondorder pDE, with one dependent functronu on a domaine of - : X = ( \ , x 2 , . . . x n )n > l . i s , .
nn s1 S ri1urixJ * b,'r' + F(u) = Q z.t L i ,i = t t=l

(1.2)

47

48

## INTRODUCTION PARTIAL TO DIFFERENTIAL EQUATIONS

The classificationof PDE is motivated by the classificationof the quadraticequation of the form Ax2 + Bxy+ Cy2 + Dx + Ey + F =0

(1.3)

which is elliptic, parabolic,or hlperbolic accordingas the discrimina Bz -4AC is negative. zero or positive. Thus, we have the following secondorder linear PDE in two variables;r and y': Auo + Bu,y + Curr + Dux + Eur + Fu = G (1.4)

where the coefficientsA, B, C, ... may be functions of .r and y, however,for the sakeof simplicity Equation (1.4) is elliptic, parabolic or hyperbolic at a point we assumethem to be constants. (.x6, according as the discriminant y6) Bz(xo, y) - 4A(xo, ro ) C (;ro rb ) , is negative,zero or positive. If this is true at all points in a domain Q, then Eq. (1.4) is said to variablesis two be elliptic, parabolic or hyperbolic in that domain. If the number of independent a transformationcan always be found to reducethe given PDE to a canonicalform (also or three, called normal form). In general,when the number of independentvariables is greaterthan 3, it is not always possible to find such a transformationexcept in certain special cases.The idea of reducing the given PDE to a canonical form is that the transformedequation assumesa simple analysisof solving the equation is made easy. form so that the subsequent 1.3 CANONICAL FORMS

variablesx andy of Eq. (1.4) to new Considerthe most generaltransformationof the independent wherc variables 1,q, (1.5) 5=1@,y), n=q@,y) such that the functions { and r7 arc continuously differentiable and the Jacobian

## -,n,) ' =#3=,;,',1= *o o*,

ux = u|1x +uTna uy = ut'j +unn)

(16)

in the domain O where Eq. (l.a) holds. Using the chain rule of partial differentiation,the partial derivativesbecome

## +2u4r,4, rnrr\! + rg,to + urno + u* = uE461.

uo = ugl*4y + utT(4,ryy1yry") + +urrn,n, + u|qn, +u44n ur, =u6gC,? +2u6r1yey +rrrrt r? +u,{r, +urr1r^ (1.4), we get into theseexpressions the originaldifferentialequation Substituting Au"" + Bu,- + Cu-- + Du, + Eu- + Fu = G 't'I tI 99 S'l 9 (I 8) (17)

## FUNDAMENTAL CONCEPTS - :te

49

2=A1l+Bt"t..+Ct?
E =2A1,t1,+ B((,q, + (rr7) +2C(rr,,

e = 4l + nr7,r1, +Cr72,

## E = Anxr + Bry,y Cnw + Dttx + Enr +

| =1, (-'=U

(l.e)

(1.8) hasthe sameform as that of the original equation -: nay be notedthat the transformed (1.4) underthe general (1.5). transformation :::ation of on Sincethe classification Eq. (1.4) depends the coefficients B and C, we can also A, :: *rite the equationin the form = Au* + Bu^. +Cu.^. H (x. v.u.u-.u-.\
(l.l0)

(1.5),Eq. (1.10)takesone of the following -: canbe showneasilythat underthe transformation '-l:eecanonical forms: (i) ulq-ur,=0(6,ry,u,%,ua) (l.lla) :: uq=Q,(6,n,u,uq,ao) the hyperbolic in case (ii) ury+urr=0(6,4,u,ue ,ua) in theelliptic case =tg,n,u,u,u?) u\$ (iit
:l

(l.llb) (l.llc)

uaa= Q(6'n,u'u1, zo) in the parabolic case *e shalldiscuss detail eachof thesecases in separately. UsingEq. (1.9) it can also be verifiedthat

## _ Ez_ qlc = G,?ry tr4)2 {a, _ +,1c1

we that the transformation the independent -d therefore conclude of variables doesnot modify r-e type of PDE. 1.3.1 Canonical Form for Hyperbolic Equation E2-qAe>0 for hyperbolic :;ncethe discriminanr case, set 7=0 andf=0 in Eq. (1.9). we ;hich will give us the coordinates and ry that reduce given PDE to a canonical the form in '*hich the coefficients u\$,u44 re zero.Thus we have of ,4= A4', + B,6y+ c6; =o

50

## which, on rewriting, become

al!l

(r

\2

\qv)

+nli l+c=o
\{r i

(r\

=o ,fr'l'.uiz,l..
\tty ) \ay )

for Solvingtheseequations

## GJ11,)and(n'/ny)'we get 4x_-B+,1B" -4AC

, at

r-..-

r y ,_ - B - l B ' - 4 A C 2A 4y

F--;-

(r.12)

The conditionB' >4AC implies that the slopesof the curves( (x, y) = C1,r\Q, y) = Cz are real. Thus, if B' > 4AC, then at any point (x, _y), there existstwo real directions given by the two roots (1.12) along which the PDE (1.4) reduces the canonical to form. Theseare called characterislic Though there are two solutionsfor each quadratic,we have considered equations. only one solutionfor each. Otherwisewe will end up with the sametwo coordinates. A f o n g t h e c u r v e( ( x , y ) = c r , w e h a v e d( =(,dx+(rdy=0 Hence.

4=-lL1
dx \1, )
y, Similarf afong the atwe q(x, y) = c2, we have

(r.r3)

4=-lul
dx \,tn )

(l.l4)

Eqs.(1.13)and (1.14),we obtainthe equations family of characteristics y)=ct Integrating of (r, a n dr y Q , y ) = c 2 , w h i c h a r e c a l l e dt h e c h a r a c t e r i s t i c s t h e P D E ( 1 . 4 ) . N o w t o o b t a i nt h e of form for the given PDE, we substitute expressions canonicai the of{ and ? into Eq. (1.8) which r e d u c e so E q . ( l . l I a ) . t To make the ideas clearer, let us consider the following example: 3 u * + l ] u - . + 3 t . - .= 0 Comparing with the standard PDE (1.4), we haveA =3, B =10, C =3, 82 - 4AC = 64 > 0. Hence the given equationis a hyperbolicPDE. The correspondingcharacteristics are:

dy (c,\
dx \6r)

(-a*,[F-+rc)
\ 2n )

1
3

I
|
| -: |

,,NDAMENTAL coNcEprs

sl

\4') \ )tina ( andry, we first solve for 7 by integrating aboveequations. the Thus,we get

+=-(u)=-(-a-'l-'a-qAc)-. * 24
'=3x+c1' ,=!'*', cr=y-x/3 n=t-!,=c,
I

|
J

## :h give the constants as

I
|

,=Y-3x.
:-crore' F = vy1 .3 - = c 1 , = - - - x

|
| | J

are.the characterislic for thegivenhyperbolic lines equation. thisexample, characteristics ln the to be strarghtlines in the (x, y)-plane along which the inirial data, impulseswill ,,=,'r# To find rhe canonical equation, substitute expressions we the for f and 7 into Eq. ( I .9) to get

- -::e

## ,=.e(|+Bl(r+cqj=t1_t12+10(_3)(r)+3=0 | I I = ZAi,ry, Bli,Uy+ qyry,t + +2c6rny

I I
I
I
lF: ' f-

=,(3,er(-;).,ofr-:xrr.r(-J)]+z(:)(r)(r)

=o=ro(_fJ+e =,,_+=_+
.=o D=0. E=0. F=o
or '':n=o :e. therequired canonical lormis *"'=o :rlegmtion, obtain we ---:/and g arearbitrary. Goingbackto the original variabres, generar the sorution is ,(x,y)=f(y_3x)+s(y_xt3)

|
f |

## ,G.n\= c)+ sot) "f

3.2 Canonical Form for parabotic Equation ":eparabof equation. disciiminant ic rhe E2-q,qe=0, which betrueif B=0 and or C can i f :j.rat to zero.Suppose set first l=0 in Eq. (1.9). we Thenwe obrain F ,=A{}+B(,(,+cs,,=0 f |

<t

11, )

\6, )

"y

## Using the condition for parabolic case, we get

9r

(1.15)

{,=- 2A we Eq.(1.15), set to Hence, find the function 6=1Q,y) whichsatisfies ),,rp

A=-7.= rA
andget the implicit solution

6Q,v)=ct
B=0 as follows: In fact,one can verify that 7=O implies + B = 2AS,t7, B(6,tl + 6yn + 2C1yry' y x\ to relation reduces 82 Since -4AC=0, the above

## +2.[ 'tc 1q,r7,qyq,)+2cEyn, + B =2Ar4,

= 26fAq,+ Je 6; (-.aq,+J- ry n1
Howevel

q, =- B =-z.!AC = 2A 4y 2A
Hence,

## -.,F.t6"11J-.t E= z1J-e6 t, +Jcrl)=s

in choose in sucha way that both 7 andE arezero.Then 17can be chosen any Wetherefore f r7 parallelto the f- coordinale. otherwords,we choose such ln way we like as long as it is not for equation is of that the Jacobian the transformation not zero.Thuswe canwrite the canonical ofthe forms to substituting and7 intoEq.(1.8)whichreduces either parabolic by simply case { (l.llc). we the example: the To illustrate procedure, consider following
x2uo -2ryu, + y2uo = er

everywhere. y2 y2 the 82 The discriminant - 4AC = 4x2 - 4x2 =g, andhence givenPDE is parabolic The characteristicequation is

FUNDAMENTAL CONCEPTS

53
!-

dvt-B2xvv
dx we .-.:eSTation, have
xl=c

-----L

2A

2x2

= : :.ence ( = xy will satisfy the characteristic equation and we can choose 17 y. To find the

## and ? into Eq. (1.9) to get

= A = A y z+ B x y + c x 2 t 2 y ' - 2 t 2 y 2 + y 2 x 2= 0

r=0, E=0,
-:.. the transformed equation is

e=y2, F=0,

D = -2xy G=e"

= lTur, - LxyuE e' 42unt=26uq+e1n : :rronicalform is, therefore, 21 | ' ur, = -7 u1+1e, r," i 3 Canonical Form for Elliptic Equation -:. :he discriminant 82-4AC<0, for ellipticcase, characteristic the equations

dx

dy_B+lB"-4AC
dx 24 --. complex conjugatecoordinates,say { and ri. Now, we make anothertransformationfrom - :o (d, p) so that

o=+n. s=-n
22i :- give us the requiredcanonical equationin the form (l.llb). -: the we ;llustrate procedure, consider the following example:

dy= Bdx

= -tX

-'[47
2

54

iy+l=s,,
)"4

-ir+L=""

## the transformation Now,introducing second

a=-,p=-; we obtain
F+n F-n

a=;,

12

F=v

form can now be obtained computing by The canonical ]=Aal+fa,ay+caj=y2 E =2Aa,f ,+ B(a*F, + arfr) +Zc(arg) = 0 e=eB| +BB,BI+cp2r=x2 D = Aao + Bary + cayy+ Ddx + Eat = | E = A9* + BBxy+ cByy+ DB, + EBn = 0

F=0,

c=o
,2uoo+ ,2uOO +uo =O

## canonical equation is Thusthe required

or

uoo+upp=-fi
1,1 Classify reduce relation and the EXAMPLE y2uo - Zxyu, * *' uo = t u, * t u,
xy form and solveit. to a canonical Solution The discriminant the given PDE is of -4x2y2=g 82 -4AC =4x2yz

FUNDAMENTAL CONCEPTS

55

-:-:3

## rhe given equation is ofa parabolic type. The characteristicequation is

d y_ _ 1 , _ B _ - 2 r y _ _ x dx 1r 2A Zy2 y
x2 L- .::ation gives +y2 =cr. Therefore, the equation. The =12 +y2 satisfies characteristic -- : :.rrdinate be chosen can arbitrarilysothat it is not parallel {, i.e. the Jacobian the transto of i. -::ion is not zero.Thus we choose
6=12 +y2, : ::d the canonicalequation,we compute
-,'2

F:-::.

e =4r2y2,

D = E = F= G = o

## the requiredcanonical equationis

=O orunn=0 4x2Yzur, we ::.re this equation, integrate twice with respect ry to get it to

ur=fG),
^:-:

u=f()rt+sG)

.fG) and SG) are arbitraryfunctionsoff. Now, going back to the original independenr solution is i:::-es. the required
u = y 2f ( x 2 + y 2 1 + l * 2 + y 2 1 g ,-tltPLE 1.2 Reduce the following equationto a canonical form: ( l + x 2 1 u o + ( + y 2 \ u y y x u x+ y u y = 0 + :,tlution The discriminant of the given PDE is

82 _ 4AC= _4(1+r211t+ y21<o :: rhe given PDE is an elliptic type.The characteristic equations are Bdx dy dx -::gration,we get

2(l+ x2)

t+r2

B+ J Br:4AC
2A

## n = tn(, * JP * D+i tn1y+,i1 = g,

second transformation
a =2__:J.
F +n n-f

22i

B=''

'

56 we obtain

## INTRODUCTIONTO PARTIAL DIFFERENTIALEQUATIONS

o=tn(r*Jr'*t) ] P = t n 1 y + , [ 1+ t )
Thenthe canonical form can be obtained computing by f = ^ l a ? + B a , a y + C a 2 r = 1 ,E = 0 , Thusthe canonical equation the given PDE is for udd+upg=0 EruMPLE 1.J Reduce following equation a canonical the to form and hencesolveit: =0 uo-2sinxu*-cos2 rrr - cos:ay Solution Computing with the general second orderPDE (1.4), we have A=1, D=0, B=-2sinx, C=-cos2x, t=-cosr, F=0, G=0 C=1, D=E=F=G=O

= The discriminate - 4.,q,C + (sin2 + cos2 = 4 > 3. Hencethe given pDE is hyperbolic. 82 x r) The characteristic relevant eouations are dy= B-JF -qAC =-sinr-l dx 2A d y _ B+J* -+rc =l-sinx dx ZA On integation, we get y = cosr -.r+ cl, Thus,we choosethe characteristic lines as I = x + y - c o sx = q , y r y - - - x + - c o sx = c 2 y = cos x + c2 x+

## 2 = A l l +M " e . , + c { = o 3 E = 2A1,ry.B(6,11 I yn +2cqyq + y+ ) y

= 2 ( s i n + l ) ( s i n - 1 ) - 4 s i n 2 - 2 c o sr = - 4 r x x 2 C =0, D =0,
I'-n

F =O

G=0

## equation Thus,the requiredcanonical is

ur- =0

FUNDAMENTAL CONCEPTS

## :::!raling with respect to 6, we obtain

un= f(ry)
...3re / is arbitrary.Integrating once again with respect to ?, we have

## u = f@) dtl+ cG) J u=V(rt)+cG)

PDEis

arbitrary function. Retuming the old variables lr, the solution the to e(6)is another r, of
u(x, y) = ry(y - x -cos x)+ g(y +x - cosx)

## the E\4.\IPLE 1.r' Reduce Tricomi equation

uft+xuyy=0, '" z.i x, y to canonicalform. x*0

The discriminant82 - 4AC = -4x. Hencethe givenpDE is of mixed type:hyperbolic solution ' - . < 0 a n de l l i p t i c o r x > 0 . f ,_-: I ln the half-plane x<0, the characteristic equations are

dv dx

nn-.

t*'[F -+,qc
2A

+ , =? g*yr/2 r, , = -? 943/2+
)re, the new coordinatesare

"2

((x,fi=1y-1fi'f =,,
2

=g 4{x,y)=}y+1.1-a13 , zarecubicparabolas. orderto find the canonical equation, compute we I = l t ? + "B .rxF) / + " 5F 1 = - 9 r * g *.2 ^ = g c1 , 4r 5 5 .
4..

E=9x,

e =0,

p=-1g4)t2 =-E,

F-C-n

5E

4' 4 OI

## I uh=-luq-ua) Case II ln the half-plane x > 0, the charactedsticequationsare given by

7=iJx. ctx
On integration,we have

dv .-

a=-iJi ctx
4(x.y) = | y + i(Jx\' Z'

dv

## transformation the Introducing second t+n d=i.

we obtain

^ p = -t ;- n

o=ry,

^ . p = - 6 tt-.1 xr

form is normalor canonical The corresponding 1 ^ =U uooluBB+----':up of EXAMPLE 1.5 Find the characteristics the equation + uxr+ 2ury+ sinz1x1uo u, = 0 type. when it is of hyperbolic 82 x x. Solution The discriminant - 4AC= 4 - 4 sin2 = 4 cos2 Hencefor alI x*(2n-l)212, type. The characteristic equations are given PDE is of hyperbolic the dy

&
On integration, we get

B+JF -qAC l + c o s . r =

## /=.r-sinrfcl, Thus, the characteristicequations are E=y-x+sinx,

y=x+sinx+c2

ry=y-x-sinx

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

## yut + (x+ y)ury+ xuw = 0

FUNDAMENTAICONCEPTS

59

Solution

Thediscriminant 8 2 - 4 A C = ( x + y 1 2 - 4 r y = ( x _ y ) 2> 0

-:-:e the given PDE is hyperboliceverywhere exceptalong the line y:x; = r. it is parabolic.When y*x, the characteristic equations are /--;dy _B+rlB. _4AC _(x+y\+(x_y) dx 2A 2y dy dx ,- - rregration, obtain we

## whereas the line on

4=t
dty y2 =x2 +cz tt=y2 -x2

## y=x+q, the characteristic equations are

1=v-x,

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

E=_z(,_y)2,

F=C=o

## -t2uh + 2 ( - O u , = 0 + 6u4 un= ; l E l = u " 05\ on)

::::ion yields
d I -dul -

E*=r<nt ory
with respectto ?. we obtain :. - :rtegrating lr

u=EJ fttt\dry+c,Gl

u=-.1
i:neral solution.

It

f (y'-x")dty' -x')+g1y-x)

60

## INTRODUCTION PARTIAL TO D]FFERENTIAL EQUATIONS

EXAMPLE 1.7 Classiff and transform the following equation to a canonical form: sin2(x)rio + sin(2x)u, I cos2 (x1u .=x o Solution The discriminant of the given pDE is 82 - 4AC = sin22x - 4 sin2x cos2r = o Hence, the given equation is of parabolic type. The characteristicequation is dvB 4t=;= Integation gives )r=lnsinx+ct Hence, the characteristicequationsare: 6=/-lnsinn, ry=y cot x

4 is chosenin such a way that the Jacobianof the transformationis nonzero.Now the canonical form can be obtained by computing

A=0, E=0.
equationis Hence.the canonical

a =0, F=0,

f =

r, "or2

D =t,

cos2 ur, + u, = x (x) -pn-|1- u, 1l- e2(n-1t1urosin-t EXAMPLE 1.8 Show that the eouation

uo+ryu,=Lu,,
xa' where 1y'and a are constants,is hyperbolic and obtain its canonical form. Solution Comparing with the general PDE (1.4) and replacingyby /, we have A=1, B=0, C = - 1 / a ' , D = 2 N l x , a n d E = F = G = 0 . T h ed i s c r i m i n a 8 2 - 4 A C = 4 1 a 2 > , J .H e n c et.h es i v e n nt PDE is hyperbolic.The characteristicequationsare dt dx Therefore, dtl dxa On integation, we get dtl
[aa
Pr

82 - 4AC

,,14/a' 2

= + ICI

t=-!+cr,
aa'

t=!+c.

## oPERAroRs 1.4 ADJorNr

tu=' given where is a differential r operator or t= aolxylL ar<'){\ +...+o,{') +
the adjoint differentialoperator associated One way of introducing Z* with I is to form the I productvZu and integrate over the intervalof interest. it Let I

(t'16)

I
I |

Itn"uarlfn+lB rt*uar

rvhichis obtained afterrepeated integration parts.Here,Z* is the operator by adjointto t, where I u the functions and y arecompletely arbitraryexceptlhat Lu and.ttv shouldexist. I EXAMPLE 1.10 Let Lu = a(x) (d2uldx2-S g"ldr'1+c(.r)r/;constructits adjoint Z+. + n14 I Solution Consider equation the I

(1.11 |

## t'**= :,':..*),',,1, -t.,',:!:;'*,.' I ^,,.

= (av)---= + @v) ax Gv)u dx Jn Io *dxJ n

FUNDAMENTAL CONCEPTS

,\ :: -1 ever,
rB r!2"
dX-

?8

S
dX

| 1av)Td;r=J|A to")|tu'\a* JA

## =1u'val,^ {ou)'u'a, l"

=[u'av]l-tu(av)'ll + tu u@v)"dx

-[uubi'a* I'ooffa.=tu(bv)li

lB

## vtu dx=7u'(av) u(av)'+ u (bv)lBn ul(av)" (bv)'+ (cv)) + dx JB

equationwith Eq. (1.17), we get 1 * y = (av)" - (bv)' + (cv) = 6y" a 12o'- b) v, + (a,, - b, + c) v

-b)!+{a" -b'+c)
dx

(l . 1 8 )
functions of x and y. In

L(u) =

,a-J

(l.le)

64

## r-(u)= j. ). dx'ox ,n,rr-f.!@,u)*"u dxi

ij=1 t E

(r.zo)

that A4 eCQ) and B, ec(l). For any pair of functionsu,reCQ\, it can be Here it is assumed shown that

## vL(u\-uL*(v\=\*lI\ d x , d x i ) r,l,?-,+1.*lt,-2?lla r , ' dx,

,: l-tr \ i This is known as Lagrange'sidentity. EXAMPLE 1.11 Construct an adjoint to the Laplace operator given by L(u)=\\$+uD

-r

tf,

,'-

-rr \l 11

(r.2r \"-'l

(1.22)

Eq. Solution Comparing (1.22)with the general linearPDE (1.19),we have All=l,lrr=1. Eq. (1.20),the adjoint of (1.22) is given by From

L+O)=+O)+{{i=uo
dxdyTherefore, L*(u)=uo+u, Hence, the Laplace operator is a self-adjoint operator.

*,""

## EXAMPLE 1.12 Find the adjoint of the differential operator L(u)=uo-rt

'/l t1\

Solution Comparing Eq. (1.23)with the general second order PDE (1.19),we have 4r =1, Br =-1. From Eq. (1.20), the adjoint of (1.23) is given by

4;0\-4Cn)=u**, L*O)=
dx' oI

Therefore, L* (u) = uo t, Y, It may be noted that the diffusion operator is not a self-adjoint operator. 1.5 R I E M A N N ' SM E T H O D

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

L(u)= 61'' 11
is classifiedas hlperbolic if 82 > 4AC, and it has two families of real characteristic curves in the xy-plane whose equationsare

FUNDAMENTAL CONCEPTS

## 4=fz@,y)=cz of the givenpDe as shown i"'nig. i.ifa

:re' (|'TD are the natural coordinates for the hyperboric system. In the -r,r'-prane, curves the 6?-plane, 6=ct and e=cz are furn'ili". oi.truight lines parallelto the ; as shown in Fig. l.l(b). A linearsecondorder partial differentialequationin two variables, onceclassifiedas a hyperboric rrion, can always be reduced to the canonical form 2'2,

d+ dy

/1 z, z-,

1L )

## consideran eguationwhich is alteadyreducedfo its canonicd form in te vaiab)es

d-u du . du L(u) = + a- + b-; + cu = F(x. y) ox oy ox oy

(1.24)

r Z is a linear differential operator and a, b, c, F are functions of r and y only and are rntiable in some domain IR.

## (a) lines. Fig. 1.1 Families characteristic of

(b)

Let second orderpartialderivatives. us functionhavingcontinuous d v(x, y) be an arbitrary Z* ler the adjoint operator of Z definedby Z * (v) = -:-:- - -:- (av)- + (bv)+ cv ox oy ox oy
we introduce
)2,, ) )

(t.2s)

u = o * - u 4 , N= b u v + v f u dx ov'

(1.26)

66 then

Loxoy

'l
)

## . l -l-'"- ! wr-levy+ cvl*ul!.^ *od u *od-u *rul u,+N,=-,1 -x d y ' ox dy d

ldxdy l

r -1'r

l e.

yLu_uL*v=MtrNy

(1.:-'

This is known as Lagrange identity which will be used in the subsequent discussion.The operarr if Z is a self-adjoint and only if L=L*. Now we shall attempt solve Cauchy'sproblemwhici to as is described follows: Let

L@)= 16,r',
with the condition (Cauchy data) (i) u= f(x) on f, a curve in the xy-plane; ),,

(1.18r

on This is a, and its normal derivativesare prescribed a curve I which is not a characteristic on lina be a smoothinitial curvewhich is alsocontinuous shownin Fig. 1.2.SinceEq. (1.ltl Let f as is in canonical form, .r and y are the characteristiccoordinates.We also assumethat the tanget to f is nowhere parallel to the coordinate axes.

(ii) :: = s(x) on r.

P(1,tt)

Flg. 1.2 Cauchy data. LeI P(6,D be a point at which the solution to the Cauchy problem is sought. Let us drar PQ and PR through P to meet the curve f at Q and R. We assumethat r the characteristics u,, uy ate prescribedalong f. Let ?lR be a closed contour PpRP bounding lR. Since Eq. (l.ltr is already in canbnical form, the characteristics lines parallel to x and y axes. Using Greel': are theorem, we have
ff

JJ R

## l l ( M , + N , ) d x d y = Q '-R ' ( M d y - N d x ) " Jl

FUNDAMENTAL CONCEPTS

dlR is the boundaryof lR. Applying this theoremto the surface integral ofEq. (1.27), we

J'R

[ ^_q ay-Na,1=![tu4o)-ut*{D]a,at
o.

(1.30)

other words,

| Jr'

+ ' < * o r - r u a ' y *[a ' ( M d y - N d x )J r l 'r v a' r - N ,-/' " ) =JfJ p L @ ) - u L * ( v ) ) d x t r y [ J o
on PR, we have

## - (v)]dx l_1u ' J r ' ay-Na'1+lR.u ay-.[-^ l,'a"=[[1"21u)-uL+ dy p J p ' 1e ,ii..,

Eq. (1.26), we find that

(1 . 3 1 )

*'d* Irn'*=1nu"a*+[o
by parts the second term on the right-hand side and grouping, the above equation

l,n

## luvl, = luvlg+ J, u (bv- v,) dx-J

u@v vr) dl
(1.32)

.u,* choosev(x,y:6,q)

IR

## to be a solution of the adjoint equation

?
vt=bv yy = av v=l

g t* 1,1=
w h e ny = q , i . e . , o n P Q when "r = 4, i.e., on PR w h e nr = 6 , y=q

## r de same time satisfy the following conditions:

rzi rhis function v(x,y;,D as the Riemannfunction ot the Riemann-Green function. Since = F - E q . ( 1 . 3 2 )r e d u c e s o t

## lulp = luv)e- [, [u(av- vr) trt, v(bu+ u-) dl + eF)ttxdy [I

(1 . 3 5 )

= :alled the Riemann-Green solution for the Cauchy problem describedby Eq. (1.28) when ;r- are prescribedon l. Equalion (1.35) can also be written as

68

## INTRoDUCTI0N To PARTIAL DIFFERENTIAL EQUAI.IONS

I f rr _ l u l p = l u v - o _ l - u v \ a d y _ b d x ) + | ( u v , d y v u , d x )+ l l ( v F ) d x t v l r .tf Jr Jd

{1.361

This relation gives us the value of z at a point p when u and u, arc prescribedon f. But when u and u, are prescribed on f, we obtain t t , rr dy-bdx)-Jr(/vr dx+w).dy)+ (vF)dx y lulp=LuvlRd Jruv\d JJ
JR

(t.17)

## l u l , = - { l u v l " + [ a v l p l -l _ u v ( sd y - b d r ) - ^ l u e , d r - v , , d y ) rr 2 2Jr "

l.

lr

+ - l v ( u , d r - u u d y \ r r l 1 v f 1 da y + l x "'d 2Jr ^

I f

(t.i8)

Tlrus, we can see that the solution to the Cauchy problem at a pornt (q,q) dependsonly on the cauchy data on f. The knowledge of the Riemann-Greenfunction therefore enablesus to solve Eq. (1.28) with the Cauchy data prescribed on a noncharacteristic curve_ EXAMPLE 1.1J Obtain the Riemann solution for the equation -) - *-"' dxdY grven (t) u=f(x) ),, (u) - = g(x) otx onf on I

## where f is the curve y=x. Solution Here, the given PDE is

^t

L@) = -:--L. = r1x. y1 ox oy We construct the adjoint La of L as follows: setting M = quv-uyy, N =buv+vu,

(t.3e)

and comparingthe given equation(1.39) with the standardcanonicalform of hyperbolic equation ( I .24.1, have we a=b=c=0 Therefore, M =-uvy, N =yux (1.40)

69

^7

## l*(v)=__:__: dx dy F:::. Z = Z* and is a self-adjoint operator.Using Green's theorem "fi

r:1ave
tf = ll lvL(u) uL*tv)ldidy Ja{v ay u a')

(1.41)

"

IR'

fl 'ril

(1.42)

(l.4r)

## -N = J,w at, a,t [,( -"!.0,- "!*) ) ,r\ dy dx

1.3, we have on f, r=/. Therefore, dx=dy. Hence (1.44)

- = J,tvat,ua,t[,[-,t, -,'i)*

70

## since on qP, y = constant. Therefore, dy = 0. Thus,

JQP'

I t u a. r - u a * l = f - N a t = f - , L a * JQP JQP
Ox

(r . 4 s )

JpR'

## I say-xa*t=[--r+=[R-,?+' ' ' Jp JpR dy

(r.46)

Eqs. (1.44)-(1.46)into Eq. (1.43),we obtainfrom Eq. Q.al, the relation Substituting

But

t . -P
Therefore,

0,

)l n

tt-

vr -

## " -,7* ) at= <uila, [.] -"ff,a, o x | "L* oY )

t'

"\

+l-vulb+),pufrdx+)ro-ufidt
Now choosingv(x,y;6,il (i) Z*v=0 (ii) dv ^=tt as the solution of the adjoint equation such that

Dr)vcdv

0.41)

## Av (iii; | =0 oy (iv) v=l

Equation(1.47) becomes

n or

oy dx J ,t

(r.48)

FUNDAMENTAL

CONCEPTS

1l

lox

2 + ltwlay
dy

1 I
I

## = p (u)p (uvt = (ur,dy *, ay1 pr; axay + J, lJ

IR : -:il1', addingEqs. (1.48) and (1.49), we get

( l .4e)

(u)p=11@v)p+{*)n)+

lr.

2) r

## at*,', an- II eFtdx d.y )[ ,{ur, IR

d2u 2 (du*!!\=n * d xd y x + y \ d x d y )

## at-l.ltPlE 1.14 Yerify that the Greenfunctionfor the equation

o .,: :crto u=0,0uldx=3x2 ny=r, is given y b (x + y) l2xy + 1( - rl.) - y) + 2(r7) g ,r^,t,t,'rt-T in i-: :ltain the solutionof the equation the form y = 1 x - y 1 ( 2 x 2 x y+ 2 y 2 ) Solution In the given problem,

,,=#k.h*.h*=,
o=b= 2 , x+ y C=0, F=o :: lint equation Z+(v)=Q,\vhs1g is

(, so)

-::ring this equation with the standard canonical (1.24),we have hyperbolic equation

## -!': (Zl-!(JL). L.(D= d y - a= dx

dx\x+y) '-:at Lrv=0 throughout the r/-plane

(l.sl)

dy\x+y)

nt ,,^ (lll d - v = -v z dx x+ y

## (iii) +=---:--v oy x+y

(iv) v=l If v is definedby

(1rs2)

## v(x, y; (,4"1=:-:--!J-lzxy + (( _ r) (x _ y) + 2qryl

/-r

.,\

\e+D"

( l .s3)

Then

#=ffi,,,.o-^v|*ut.#*l
*= A#*,
and

+ 2Y22x - 4)+2(41 + ((

( 1.54)

dzv _4(x+y)

0x 0y

G + tD3

(1.s5)

dv = -)-2y\q t t .gry +zx2 ' t \ e _ D '+z6tt) a l 1 1 +' f ' ' " ' ' ' ^ r Using results the described Eqs.(1.53f{1.56), (t.51)becomes by Eq.

0.s6)

!:-'*P1=
dxdy

## ' (? *':)* x+ y\dx

0y)

o'
y)2 1x+

=1.!r*!)_ ,
G+d"
or

(x+y)((+4)r"

, ? . _ , r l 4 x y + z (+ y 2 ) l xz

## ) z * 1 u y4 ( ' + Y ) -4 ( x + v= s = G +q)" (6+d'

Hencecondition(i) of Eq. (1.52) is satisfied. Also, on y=7.

= A#*'

+ 2t122x(( - 11)2(41 + +

FUNDAMENTAL CONCEPTS

73

## (( + *1,=,=dipq2 +zx +'D z(qt

2v/(x+ y) at y =r7 is given by 2v2 x+y x+q =
I

(t.s7)

ffirr*r*n

-Do-d+z6q)
(l.s8)

## and (1.58), get we Eqs.(1.57) 0- 2 - : v= - Y dx x+ y at V=n

(ii) property in Eq. (1.52)hasbeenverified.Similarly, property(iii) can also be verified. atx=1, v = q '
F+n G v= -2-+124n +G _ tD' +26ry1= + i l G + D 2 \q+nr G + ril3

(iv) in Eq. (1.52) has also beenverified. (1.50) and (1.51), have we

)

## d \ a d 0 = - (l0-u - l - - (l r =a v l\+ - (l 2 v u \ l + = -( 2 v u \ | ! : ldy\ dx) dx\ dy) dx\x+y) dy\x+y)

( = -dl - - zvu - u-dx\x+y AM =-+dx dN dy dv) 0 ( 2vu l+ ^ l-+v:dy) dy\x+y du\ | dx.)

## M=2* -uaru, N= 2'" *u7u

x+y dy x+y dx -.ing Green's theorem, we have
tr c - uL* (v\l dxdy --JaRW dy- N d') = r.O (M dy- N dx\ )) lvL(u\ J; IR

( l .5e)

74

## (see Fig. 1.3) on QP, y = C. Hence, dy = 0; on PR, x = C. Therefore, dx = 0

= |

J R| 1 Ltr+/

p l l z u v- u - ^ vl ld y.ldyl'

\-

| 2 u ,+ v -a ^l d . f =- x
lr+y dr)

.l

## d" . r [ Iz 0 _ tr P l1 _ u u _ _ _ ]f1d Y + a|l1 :2 u , l l d y, ] 1 . t +v l l _rj

J? Lt;+/ dx)) J PL t - r + / dYt.t
However, p cP iv au\ . rP 2uv ((Zuv . J?\x+v '*)*=Jn fi,x*t*''n-ln' ^aNow, using the conditionu=0 on y=x, Eq. (1.59) becomes

## - qu = !! t uut uL* d'dv I:( (x*+ ) , -,*)* - .11x*+ . y -,'i"l* J/ ,n | dy) dx t \ \ R

-l' 2u'
rQx+y

dt-(ur\o+(uvrn-l' r\a,
" JQ dx

.l',#*-tl("#,)*
(iiF(iv) of Eq. (1.52), above Also,usingconditions the equation simplifies to

(u)p=(uv)q-Ji"**
Now using the given condition,viz. *=3t2 we obtain on nQ

=-+-l'st
\+ryr"E

*,3q41a,

## -\$*lenrn, =-s^tl *-r lir,

= ffi,4/ * 62 + rta 3qrt * rl, r72 1 1t, )) +
= G - , i e z- 6 n + z n 2 )

FUNDAMENTAL CONCEPTS

75

'--erefore,

u(x, y) = (x - y) (2x2- xy + 2y21 :ce the result. .+VPLE 1.15 Showthat the Green'sfunctionfor the equation
d-u -;;+a=0 ox oy

## v(x,y|,D = J0 Bessel's functionof the first kind of order zero. J0 denotes

Solution Comparing with the standardcanonical hyperbolic equation (1.24), we have a=b=0. c=l

: 3 self-adjoint equation and, therefore, the Green's function v can be obtained from d-v ;--;- +Y =U
ox t7v

d = - "v-^ u
dx

o nY = q o nx = 1 a tx = 6 , y = 7 t

-0v U ;-=

oy

0 k= a ( x - i l \ - n )
dv dx 0v d( dQ 0x

kQHl=oo-,1)
dx

1=io"rty-nl oxK

76 Thus,

## 0v dv a .t-r. ;-=-;;;Q"'\y-4) ax dgE

.t d'v ^T^ dldva.t-L

## 'v-il)I a,ay= ayLaie'

ag-] =110"* ?ua0,..-, , rr-r,. -,a'1, 2+rr-nto-kQ v-nt k dQ a
L ay\Y-ry)*e N ay)
However,

fr=io"-<'-a
Therefore,

## )2un''' I +=Ap'o!*1r-r16-k(,-q)o-n)ld'o**d'' ' k' ap '--u-ntfii0'-rtx-tt] dxdykL do

Hence,

gives

ffi*"=o
a1*{11_e14 zlo! 6ro-r, ' ' d 0*r,r -Lf*,=o ' kLk' dO' k aO)

or

## o-( d2: * rr* 4 l* u= o ,r-r d0) k'\ d0"

OT

^ t2 Q ' v "+ Q v ' + L Q K v = 0 Let k=2, a=4. Then the above equation reducesto Q2v"+ (v, +Q2v=0=v,,+lv,+v

(Bessel,s equation)

## = u= Jo@) JoQJG g U - rt)

which is the desiredGreen'sfunction.

lr

FTJNDAMENTAL CONCEPTS

EXERCISES I' Find the regionin the xy-prane which the following equation hyperbolic: in is - lluo + 2u, +f(x - y)2 _tlu, =g l(x- y)2 2. Find the familiesof characteristics the pDE of (l- x2)uo- u, =o in the elliptic and hyperbolic cases. 3. Reduce following PDE to a canonical the form =0 uB + t"yurry {. Classifrand reducethe following equations a canonical to form: (a) y2uo-x2uo=0, (b) uo +2u, +\0 =0. (c) e'uo*eYuo=u. (d) x2uo t2ryu, + y2u, = 0. (e) 4uo+5u, +\ry +ux +uy =2. 5. Reduce following equation a canonical the to form and hencesolve it: 3uo+l\ur+3u)ry=O 6. lf L(u)=c2yo-ur, then show that its adjoint operator given by is L* = c2vo -vx -. Determine the adjoint operator corresponding ,* to L(u) = Ayo I pu, +Curry Du, * Eu, t Fu + whercA, B, C, D, E and F are functions of .r and y only. i. Find the solutionof the following Cauchy problem u, = F(x, y) glven r>0, y>0.

u=f (x),

## using Riemann's method which is of the form

I t yi u(xo, = @o> +t<yr)]+ " v ^ sele - F@, dx y) dy ilf J) iJ,

## INTRODUCTION PARTIAL TO DIFFERENTIAL EOUATIONS

where IR is the triangular region in the xy-plane boundedby the line y = I and the lines x = x6, ! = lo through (-16, y6). 9. The characteristicsof the partial differential equation , a d2" -;-= -. ^ d 2 t + csszvj1 2 " all a - + 3! - = 0 ,;-i ox oy dx dy dx' dvwhen it is of hyperbolictype are... and... (CATE-Maths,1997) = x + y as one of the transformationvariable, obtain the canonical form of 10. Using ry
-d-z-u ; - ^-0-2 u= u. d 2 u : ; z - f .=.

dx'

ox oy

## dy' (GATE-Maths, 1998)

Choosethe correct answer in the following qustions: 11. The PDE y3uo - (r2 -1)u, =O is (A) parabolic {(x,y):x<0} in in @) hyperbolic {(x, y) : y > 0} (C) ellipticin IR2 (D) parabolic {(r, y):x > 0}. in 12. The equation x21y-l1zo - x7y2-t)rry+y(yz -l)zo+ z,=0

(GATE-Maths, 1998)

is hyperbolic the entirex/-planeexceptalong in (A) x-axis @) y-axis (C) A line parallelto y-axis (D) A line parallelto r-axis. (GATE-Maths, 2000) 13. The characteristic curvesof the equation ,2uo - Y2,o = ,2Y2+r, (A) rectangular hyperbola (C) circle x>0 are (B) parabola (D) straight line. (GATE-Maths, 2000) 14. Pickthe regionin whichthe following PDE is.hyperbolic:
yuo+2xyar+xu)ry=ux+uy