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PDEs. The ﬁrst one is the method of characteristics, which is particularly useful when solving ﬁrst order equations. 1 . C lassiﬁcation of ﬁrst-order equations. The general form of ﬁrst-order PDE ( in R2 ) : F( x , y , u , ux , u y) = 0 , or in R3 : ( x , y ) ∈ D ⊂ R2 . (1) ( 2) ( 3) ( 4)

F( x , y , z , u , ux , u y , uz ) = 0 . Often the following notation is used in 2D: p = ux , q = u y thus the equation can be written as F ( x , y , u , p, q ) = 0 . The linear equations can be classiﬁced into the following cases, from easier to more diﬃcult: 1 . Linear: 2. Semi-linear: 3. Quasi-linear: 4. General case. F ( x , y , u , u x , u y ) = a ( x , y ) u x + b ( x , y ) u y + c( x , y ) u − d( x , y ) . F ( x , y , u , u x , u y ) = a ( x , y ) u x + b ( x , y ) u y − c( x , y , u ) . F ( x , y , u , u x , u y ) = a ( x , y , u ) u x + b ( x , y , u ) u y − c( x , y , u ) .

( 5) ( 6) ( 7)

2. Method of characteristics. We try to ﬁnd a method to solve the general ﬁrst-order quasi-linear equation a ( x , y , u ) u x + b ( x , y , u ) u y = c( x , y , u ) . ( 8)

Let’ s start by thinking geometrically. Consider the 3 dimensional space with coordinates ( x , y , u ) . Assume that u = u ( x , y ) is a solution to the equation, it is clear that it represents a surface in the ( x , y, u ) space. Now we explore the geometrical meaning of the equation. Observe that the equation can be written in the form of an inner product a( x , y , u) a( x , y , u) ux ux b ( x , y , u ) ⊥ u y . b( x , y , u) · u y = 0 ( 9) c( x , y , u ) −1 c( x , y , u ) −1

**Therefore all we need to do is to understand the relation between the vector First introduce a new function Ψ : R
**

3

¡

R through

ux uy − 1

and the solution. ( 1 0)

Φ ( x , y , u) = u − u( x , y) .

Note that in the RHS of the above, the ﬁrst u is a variable, the second u is a function. For example, suppose u ( x , y ) = x 2 + y 2 , then the corresponding Φ ( x , y, u ) = u − x 2 + y 2 . Now we easily see that Φx ux uy = − Φ y = − ∇Φ . (11) Φu −1

Equations with constant coeﬃcients. a b c On the other hand. 1 . where a . u ) u x + b ( x . And each F gives a solution to the original equation. any surface “woven” by such integral curves is a solution surface. u) c( x . the main technique in getting φ and ψ is a c = b d a±c a c = = . The above understanding leads to the following “method of characteristics” due to Lagrange. Solving linear ﬁrst-order equations. Y . Remark 4. a ( x . Example 5. y ) . quasi. We start with the simplest case. b . we will show how to apply this method. φ . u ) . c Now we summarize. ψ) = 0 . ∇ Φ ( and also − ∇ Φ ) is a normal vector of the surface Φ = 0 . ψ are obtained through solving the characteristic equations. ( 1 6) where F is an arb itrary function of φ ( x . u ) and ψ ( x . y . 8. As a consequence. y . y . 3. b are constant . from the equation we know that a b c is perpendicular to the vector must be tangent to the surface u = u ( x . u ) u y = c( x . Theorem 1 . As we will see. y . Conversely.linear PDE a ( x . y ) . As a consequence is perpendicular to the solution surface u = u ( x . U ) ( 1 3) ds dU = c( X . 3( b) ) Find the general solution of the equation a u x + b u y = 0. y . The curves mentioned above are called the families of characteristic curves of the equation. b±d b d ( 1 8) In the following. u) b( x . As we will see soon. The general solution of a ﬁrst.Recall ux uy − 1 means that geometrically. a b c ( 1 7) ( 1 5) Remark 2. Solution. and any intersection of the level sets of φ and ψ is a solution of the characteristic equations dx d y du = = . c and d are just constants. U ) ( 1 4) ds must be contained in one of the solution surfaces. We start from the simplest case. y ) . y . y . u) ux uy − 1 which that the vector curve a of b . Remark 3. ( § 2. u ) satisﬁes F( φ .order. 3. b 0 a ( 20) a . Y . The characteristic equations are dx d y du = = . ( 1 9) . U ) ( 1 2) ds dY = b( X . y. any integral satisfying dX = a( X . Y . We have shown that the equation is equivalent to the geometrical requirement that is any X( s) Y( s) U( s) is tangent to the solution surface u = u ( x .

ψ = ea − 1 cx u − c− 1 d ( 31 ) ( 32) ( 33) F( φ . one may be tempted to conclude d u − C e− a −1 − 1 cx =0 ( 34) and try to use u − C e − a c x as ψ . u ) and ψ ( x . This means for an arbitrary function f . 8. a b d− cu We have dx d y = d( b x − a y ) = 0 . ( C auchy problem. notice that thus we can take d( a y − b x ) = a d y − b d x = 0 . d are not 0 ? The method still works. 2 2x−3y . This is obviously wrong as d somehow disappeared. d ψ = 0 along the characteristics. solve 3 ux + 2 u y = 0. In the above. ψ) = 0 u = c− 1 d + e − a − 1 cx f ( b x − a y) . Remark 8. Now substituting this into the initial condition. Some times people use the following “method of characteristics”: . F( a y − b x . ( c. d 0 ) What happens when the c. 5( a) ) Oftentimes. u) = 0 u = f ( a y − b x) . we obtain f ( 2 x ) = sin x ( 26) Therefore x f ( x ) = sin . For example. ( 25) Solution.What we need are two functions φ ( x . 0) = sin x. the value of the solution along some speciﬁc curve in the plane is prescribed. Obviously we can take φ = u . We write the characteristic equations dx d y du = = . ( 21 ) ( 22) ( 23) ( 24) As a consequence. § 2. u ) such that d φ = 0 . y ) = sin As a consequence and gives Example 7. 2 ( 27) u ( x . Example 6. For ψ . From the above example we know that the general solution takes the form u = f ( 2 x − 3 y) . ψ = a y − b x. u ( x . a b −1 −1 dx du du = = a− 1 d − a− 1 c u u = C e − a c x + c− 1 d d e a c x u − c− 1 d = 0 a d− cu dx down ( 28) ( 29) ( 30) φ = b x − a y. y . It is their values that are arbitrary constants. y . Example 9. the solution satisﬁes for any function F . One should keep in mind that neither φ or ψ can involve arbitrary constants.

5( c) ) Find the solution of the following Cauchy problem: x ux + y u y = 2 x y . One may wonder. The characteristic equations consists of three equations. with u = 2 on y = x 2 . If you can ﬁnd general solutions. 8. Pick any two of them. u − log y ) = 0 u = log y + f ( x y ) . ( 47) Solution. y and obtain the solution. 8. F ( x y . t ) . ( 37) dx d y du = = . We need to ﬁrst ﬁnd the general solution. −x y 1 dy dx = y −x y dx + x d y = 0 ( 38) ( 39) d( x y ) = 0 . But this fails when any coeﬃcient involves all other variables. ( § 2. Example 1 1 . how to ﬁnd out φ and ψ eﬃciently? Unfortunately there may not be any short-cut. On the other hand. ( § 2. 2.First solve then solve dx = a. Example 1 2. 3( h) ) Find the general solution of Solution. then using the value on y = x 2 to determine the arbitrary function involved. The characteristic equations are Using we obtain Thus φ = x y. Anyone who does not believe this should try using this method to the following examples with non-constant coeﬃcients. t by x . from we obtain d u = d log y y u y − x ux = 1 . This is equivalent to our method but considerably more complicated to use. Equations with non-constant coeﬃcients. 3. x y 2xy dx d y = y x ( 48) ( 49) . Remark 1 0. As a consequence we can take Putting these together we obtain which gives ψ = u − log y. − Find the general solution The characteristic equations are Using dx d y du = = . One way to systematically ﬁnd φ and ψ is the following. then you have φ and ψ . Finally represent s . ds dy =b ds ( 35) ( 36) us + c u = d to obtain the solution u in the form u = u ( s . ( 40) ( 41 ) ( 42) ( 43) ( 44) ( 45) ( 46) d y du = 1 y d( u − log y ) = 0 .

Example 1 3. 8. F x2 + y2 . ( 61 ) Thus we take Now gives ψ = y ( u − y) . 5( g) ) Solve x ux + y u y = u + 1 Solution. y) = x y + 2 − 4. We have u = 2 along y = x 2 . x ( 53) d u = 2 x d y = 2 y d x = x d y + y d x = d( x y ) ψ = u − x y. x d( u − x y ) = 0 ( 50) ( 51 ) ( 52) y . 8. u− xy =0 x u=xy+ f Determine the solution. ( § 2. Using the formula for the general solution. The characteristic equations are ( 58) ( 59) ( 60) From we have On the other hand. d( u − y ) u− y =− y dy du u =− +2 dy y d( ( u − y ) y ) = 0 . x2 = 2. . Solving semi-linear ﬁrst-order equations.we obtain d On the other hand. dy du dx = = . 3( g) ) Find the general solution of the following equation: y2 ux − x y u y = x ( u − 2 y) . ( 62) ( 63) ( 64) Example 1 4. y x 3 ( 55) ( 56) u( x . ( § 2. we have therefore The general solution satisﬁes F − y =0 x can take φ = y . y ) = x 2 on y = x 2 . − x y x ( u − 2 y) y2 dy dx = y2 − xy d x2 + y2 = 0 ( 57) Solution. ( 65) . y ( u − y) = 0 u = y + y− 1 f x2 + y2 . The characteritic equations are dx d y du = = x y u+1 ( 66) with u ( x . that is u x . we have x3 + f ( x) = 2 ( 54) As a consequence f ( x) = 2 − x3. y . we have dy du = − x y x ( u − 2 y) φ = x2 + y2 .

x x f ( x) − 1 = u x . φ = x2 + ( y + u) 2 . y x− y y+u d( y + u ) dx = y+u x ( 72) Solution. ( 79) Solution. dy du dx = = . y ( 71 ) u=xf y − 1. Remark 1 6. u2 − ( x − y) 2 = 0 . The characteristic equations are ( 73) ( 74) ( 75) From this we have Thus we can take On the other hand. Note that. Example 1 5. x ψ= u+1 .which easily lead to φ= Thus Now the Cauchy data implies thus As a consequence u( x . the solution is given by F x 2 − ( y + u) 2 . x ( 67) ( 68) ( 69) ( 70) x2 − 1. 3( f) ) Find the general solution of ( y + u ) u x + y u y = x − y. 8. y y +x x x −1 − 1 = y+ 5. − u u2 + ( x + y) 2 u dx dy = u −u ( 80) ( 81 ) ( 82) d( x + y ) = 0 φ = x + y. d( x − y ) du = x− y u d u2 − ( x − y) 2 = 0. dy du = − u u2 + φ2 ψ = e2 y u2 + φ2 . The characteristic equation are We have Then we have dy du dx = = . . 5( h) ) solve u ux − u u y = u2 + ( x + y) 2 with u = 1 on y = 0 . ( § 2. in the above we can also use d y d( x + u ) = x+u y ( 77) d x+u y = const . Solving quasi-linear ﬁrst-order equations. y) = x y . ( 76) As a consequence. Example 1 7. we have d x2 − ( y + u) 2 = 0 . ( 78) Thus the formula may not be unique. 8. ( § 2. x2 = x2 f ( x) = x + x − 1 .

we observe dx dy = yz − xz ( 87) Solution. 8( d) ) Solve the following equation y z ux − x z u y + x y x2 + y2 uz = 0 . . Equations with more than two variables. ( 90) Therefore the solutions are obtained by setting F u . 8. 1 + φ2 ≡ 0. x2 + y2 . F( φ . The characteristic equations are ( 88) ( 89) The last invariant can be obtained through dy dz = − xz xyφ dx dy = y −x d x2 + y2 = 0 ψ = x2 + y2 . 1 ( 93) =0 ( 92) dy dz = − z yφ d z 2 + y2 φ = 0 η = z 2 + y 2 φ. The method of characteristics can be applied to higher dimensional problems with no diﬃculty in principle – it indeed becomes more diﬃcult in practice! Example 1 8.Now from the Cauchy data we have Therefore eﬀectively F has to be and the solution satisﬁes which leads to F φ . For the second invariant. let’ s denote them by φ . K eep in mind that this f will be determined once some C auchy data is given. z 2 + y2 x2 + y2 for arbitrary f. Clearly one can take φ = u. ψ and η . ( 91 ) 1 . ( 86) e − 2 y − ( x + y) 2 1 /2 6. dy dz du dx = = = . ( § 2. 0 y z − x z x y ( x2 + y2 ) This time we need three invariants. z 2 + y2 x2 + y2 which gives u = f x 2 + y2 . ψ ) = ψ − φ2 + 1 e2 y u2 + ( x + y) 2 − 1 + ( x + y) 2 = 0 u= ± 1 + ( x + y) 2 ( 83) ( 84) ( 85) .

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