PARTIAL DIFFERENTIAL EQUATIONS

I Introduction
An equation containing partial derivatives of a function of two or more independent
variables is called a partial dierential equation (PDE).
e.g. y
2
u
x
+
u
y
= u where u(x, y) is the unknown function.
For convenience we denote
u
x
=
u
x
, u
xx
=

2
u
x
2
, u
xy
=

2
u
xy
, etc.
so that the above PDE can be written y
2
u
x
+ u
y
= u. The order of the PDE is the
order of the highest partial derivative. A PDE whose unknown function and its
partial derivatives appear linearly in the equation is said to be linear. For example,
A(x, y)u
xx
+B(x, y)u
xy
+C(x, y)u
yy
+D(x, y)u
x
+E(x, y)u
y
+F(x, y)u = G(x, y)
which is the general formof second-order linear PDE. If each termin the PDE contains
either the dependent variable or one of its derivatives, i.e., G(x, y) = 0, then it is said
to be homogeneous, otherwise it is nonhomogeneous.
2
Examples
1. u
t
= c
2
u
xx
1 dimensional heat conduction equation
2. u
tt
= c
2
u
xx
1 dimensional wave equation
3. u
xx
+u
yy
= 0 2 dimensional Laplace equation
4. u
xx
+u
yy
= f(x, y) 2 dimensional Poisson equation
5. u
xx
+u
yy
=
1
c
2
u
tt

2
u 2 dimensional Klein-Gordon equation
6. u
tt
= c
2
(u
xx
+u
yy
+u
zz
) 3 dimensional wave equation
In general, the solution of PDE presents a much more dicult problem than
the solution of ODE and except for certain special types of linear PDE, no general
method of solution is available. It is remarkable and fortunate that a large number
of the important equations in practice are not only linear, but also of second order,
for which solutions are relatively easy to nd.
A solution of a PDE in some region R of the space of the independent variables
is a function that has all the partial derivatives appearing in the equation in some
domain containing R, and satises the equation everywhere in R.
In general, the totality of solutions of a PDE is very large.
Example. The functions
(i) u = x
3
3xy
2
(ii) u = sin xcoshy
(iii) u = ln(x
2
+y
2
) (iv) u = tan
1

y
x

are all solutions of the 2 dimensional Laplace equation u

xx
+ u
yy
= 0, altough they
are entirely dierent from each other.
The Heat Equation (Diusion equation) 3
Theorem
(i) If u
1
and u
2
are two solutions of a linear homogeneous PDE in some region,
then u = k
1
u
1
+k
2
u
2
is also a solution of the PDE in that region, where k
1
and
k
2
are constants.
(ii) u 0 is always a solution of a linear homogeneous PDE.
Proof Trivial.
II The Heat Equation (Diusion equation)
Consider a thin metal rod with cross-section area A. Assume that the lateral surface
is wrapped with insulation such that heat conducts along the x-direction only.
x
0
x
L
x
Figure 1
Let u(x, t) denote the temperature at position x, at time t.
Newtons law of cooling (Fouriers law) =the quantity of heat (ux) owing across
x
0
per unit time is proportional to the temperature gradient at x
0
.
Therefore Q
x
0
= kAu
x
(x
0
, t) where k is the thermal conductivity of the metal.
The quantity of heat loss along a small segment [x
0
, x
0
+ 4x] per unit time is given
by
H = Q
x
0
Q
x
0
+4x
= kA[u
x
(x
0
+ 4x, t) u
x
(x
0
, t)] .
4
The average change in temperature 4u in the time interval 4t is proportional to the
amount of heat loss and inversely proportional to the mass 4m of the element.
Therefore 4u =
H4t
s4m
, where s is the specic heat of the metal. This gives
4u
4t
=
kA[u
x
(x
0
+ 4x, t) u
x
(x
0
, t)]
sA4x
=
k
s
[u
x
(x
0
+ 4x, t) u
x
(x
0
, t)]
4x

k
s
u
xx
(x
0
, t) as 4x 0.
On the other hand, 4x 0 =4t 0 =
4u
4t
u
t
(x
0
, t), therefore
u
t
(x, t) =
k
s
u
xx
(x
0
, t) = u
t
= c
2
u
xx
where c
2
=
k
s
is called the thermal diusivity of the material (note that k, s, are
all properties of the material and are all positive).
Note If heat is added or removed from the rod, then the equation becomes u
t
=
c
2
u
xx
+f(x, t) which is nonhomogeneous and f(x, t) is the heat source or sink density.
Suppose that the ends x = 0 and x = L of the rod are kept at temperatures T
0
and
T
1
, and the initial temperature distribution of the rod is f(x), then the boundary
conditions (B.C.) are u(0, t) = T
0
and u(L, t) = T
1
, while the initial condition (I.C.)
is u(x, 0) = f(x).
The problem becomes an initial boundary value problem (IBVP):
u
t
= c
2
u
xx
; 0 < x < L, 0 < t < ,
B.C.
_

_
u(0, t) = T
0
,
u(L, t) = T
1
,
0 < t < ,
I.C. u(x, 0) = f(x), 0 < x < L.
The Heat Equation (Diusion equation) 5
Separation of Variables
As the heat equation is linear and homogeneous, the approach is to seek solu-
tions of the dierential equation and boundary conditions and then superposing them
to satisfy the initial conditions. First we solve the PDE u
t
= c
2
u
xx
by a method
known as seperation of variables. Assume u(x, t) = X(x)T(t). Then
u
t
= XT
0
and u
xx
= X
00
T,
hence u
t
= c
2
u
xx
= XT
0
= c
2
X
00
T =
T
0
c
2
T
=
X
00
X
.
As the L.H.S. is a function of t only and the R.H.S. is a function of x only,
T
0
c
2
T
=
X
00
X
= , where is some constant.
Hence
_

_
T
0
+c
2
T = 0 = T = e
c
2
t
X
00
+X = 0
and there are three cases for the solution of X:
(i) = 0 =X
00
= 0 =X = +x.
(ii) < 0 (let = k
2
) =X
00
k
2
X = 0 =X = e
kx
+e
kx
.
(iii) > 0 (let = k
2
) =X
00
+k
2
X = 0 =X = cos kx + sin kx.
Therefore,
u =
_

_
+x if = 0,
e
k
2
c
2
t
(e
kx
+e
kx
) if = k
2
< 0,
e
k
2
c
2
t
(cos kx + sin kx) if = k
2
> 0.
6
Note that , and (or k) are arbitrary in the above solution, whose values
will be determined by the boundary and initial conditions, which depend on the type
of such conditions. Consider the following homogeneous boundary conditions:
B.C.
_

_
a
1
u(0, t) +a
2
u
x
(0, t) = 0, (a
1
, a
2
) 6= (0, 0)
a
3
u(L, t) +a
4
u
x
(L, t) = 0, (a
3
, a
4
) 6= (0, 0)
; t > 0,
and the initial condition: I.C. u(x, 0) = f(x), 0 x L.
A PDE together with the initial and boundary conditions is called an IBV P
(Initial Boundary Value Problem).
We now discuss how to nd the solution to the IBVP for the heat equation
with dierent cases of (a
1
, a
2
, a
3
, a
4
).
Case I u
t
= c
2
u
xx
; 0 < x < L, 0 < t < .
B.C.
_

_
u(0, t) = 0,
u(L, t) = 0,
0 < t < ,
_
_
_
_
i.e.,
(a
1
, a
2
) = (1, 0)
(a
3
, a
4
) = (1, 0)
_
_
_
_
I.C. u(x, 0) = f(x), 0 < x < L.
(i) = 0 =u = +x
u(0, t) = u(L, t) = 0 = = = 0 =u 0 (trivial solution).
(ii) < 0 =u = e
k
2
c
2
t
(e
kx
+e
kx
) ( = k
2
),
u(0, t) = 0 = + = 0, u(L, t) = 0 =e
kx
+e
kx
= 0.
Therefore = = 0 =u 0 (trivial solution)
(iii) > 0 =u = e
k
2
c
2
t
(cos kx + sin kx) ( = k
2
),
u(0, t) = 0 = = 0, u(L, t) = 0 = sin kL = 0.
The Heat Equation (Diusion equation) 7
To get non-trivial solution, we must keep 6= 0, hence sinkL = 0 = k =
n
L
=
= k
2
=

n
L

2
, n = 1, 2, . Thus for each n = 1, 2, ,
u
n
=
n
e
(n/L)
2
c
2
t
sin
nx
L
is a solution of the PDE which satises the B.C.
Note.
n
=

n
L

2
are called the eigenvalues and the corresponding u
n
the
eigenfunctions of the IBVP problem. Hence an eigenfunction is a solution to the
PDE which satises the boundary conditions, but not the initial condition in general.
In order to satisfy the initial condition, we add all u
n
together (known as the
principle of superposition):
u(x, t) =

X
n=1
u
n
=

X
n=1

n
e
(n/L)
2
c
2
t
sin
nx
L
and then determine
n
so that the initial condition is satised.
I.C. u(x, 0) = f(x) =
f(x) =

X
n=1

n
sin
nx
L
, 0 < x < L.
Using Fourier sine series expansion, we get
n
=
2
L
L
Z
0
f(x) sin
nx
L
dx.
Therefore the solution to the IBVP is given by
u(x, t) =

X
n=1

n
e
(n/L)
2
c
2
t
sin
nx
L
with
n
=
2
L
L
Z
0
f(x) sin
nx
L
dx.
(Note : lim
t
u(x, t) = 0 when B.C. are u(0, t) = u(L, t) = 0.)
8
Case II u
t
= c
2
u
xx
; 0 < x < L, 0 < t < .
B.C.
_

_
u
x
(0, t) = 0,
u
x
(L, t) = 0,
0 < t < ,
_
_
_
_
i.e.,
(a
1
, a
2
) = (0, 1)
(a
3
, a
4
) = (0, 1)
_
_
_
_
I.C. u(x, 0) = f(x), 0 x L.
Note that as u = XT = u
x
= X
0
T, the B.C. become X
0
(0)T(t) = 0 and
X
0
(L)T(t) = 0, t > 0, which lead to X
0
(0) = X
0
(L) = 0 if we want nontrivial
solutions. Now again,
= 0 =u = +x. Hence
u
x
(0, t) = 0 =X
0
(0) = 0 = = 0 =u .
< 0 =X = e
kx
+e
kx
and so X
0
(x) = ke
kx
ke
kx
.
Thus u = e
k
2
c
2
t
(e
kx
+e
kx
) and
X
0
(0) = X
0
(L) = 0 = = = 0 =X(x) = 0 =u 0.
> 0 =X = cos kx + sinkx and X
0
= k sin kx +k cos kx =
u = e
k
2
c
2
t
(cos kx + sin kx).
Hence X
0
(0) = 0 = k = 0 = = 0 = X
0
(L) = LsinkL = 0. To
get nontrivial solutions we must take k =
n
L
, n = 1, 2, . Therefore X =
cos
nx
L
, n = 1, 2, . It follows that
u
0
(x, t)
0
, u
n
(x, t) =
n
cos
nx
L
e
(n/L)
2
c
2
t
, n = 1, 2, .
Applying the principle of superposition,
u(x, t) =

X
n=0
u
n
=
0
+

X
n=1

n
e
(n/L)
2
c
2
t
cos
nx
L
.
The Heat Equation (Diusion equation) 9
The initial condition u(x, 0) = f(x) then yields
u(x, 0) = f(x) =
0
+

X
n=1

n
cos
nx
L
, 0 x L,
and so by half-range cosine series we obtain

0
=
1
L
L
Z
0
f(x)dx,
n
=
2
L
L
Z
0
f(x) cos
nx
L
dx n = 1, 2, .
Thus the solution to the IBVP is
u(x, t) =
0
+

X
n=1

n
e
(n/L)
2
c
2
t
cos
nx
L
.
with above
0
and
n
.
Note : lim
t
u(x, t) =
0
=
1
L
L
Z
0
f(x)dx which is the average initial temperature.
Case III u
t
= c
2
u
xx
; 0 < x < 1, 0 < t < .
B.C.
_

_
u(0, t) = 0,
u(1, t) +u
x
(1, t) = 0;
0 < t < ,
_
_
_
_
(a
1
, a
2
) = (1, 0)
(a
3
, a
4
) = (1, 1)
_
_
_
_
I.C. u(x, 0) = f(x), 0 x 1.
u = X(x)T(t), u(0, t) = 0 =X(0) = 0,
u
x
= X
0
(x)T(t), u(1, t) +u
x
(1, t) = 0 =X(1) +X
0
(1) = 0.
= 0 =X = +x
X(0) = 0 = = 0 =X(x) = x =X
0
(x) =
X(1) +X
0
(1) = 0 = + = 0 = = 0
= X 0 =u 0 (trivial solution).
10
< 0 = X = e
kx
+e
kx
=X
0
= ke
kx
ke
kx
X(0) = 0 = + = 0 = = .
X(1) +X
0
(1) = 0
=(e
k
+e
k
) +k(e
k
e
k
) = ((1 +k)e
k
+ (1 k)e
k
) = 0
= = 0, = = 0 =X = 0 =u 0 (trivial solution).
> 0 =X = cos kx + sinkx and u = e
k
2
c
2
t
(cos kx + sinkx).
Hence X(0) = 0 = = 0 =X = sinkx = X
0
= k cos kx,
X(1) +X
0
(1) = 0 = sin k +k cos k = 0 =k = tan k (if 6= 0).
It can be shown that tan k = k has innitely many roots 0 < k
1
< k
2
< < ,
hence X(x) = sin kx =u
n
=
n
e
k
2
n
c
2
t
sink
n
x, n = 1, .2, . It follows that
u(x, t) =

X
n=1

n
e
k
2
n
c
2
t
sink
n
x
u(x, 0) = f(x) =f(x) =

X
n=1

n
sink
n
x, 0 < x < 1.
To nd
n
, use the fact that
1
Z
0
sink
n
xsin k
m
xdx = 0, m 6= n, to obtain
1
Z
0
f(x) sin k
m
xdx =
1
Z
0

X
n=1

n
sin k
n
x
!
sin k
m
xdx
=

X
n=1

n
1
Z
0
sin k
n
xsink
m
xdx =
m
1
Z
0
sin
2
k
m
xdx.
Hence
m
=
1
R
0
f(x) sin k
m
xdx
1
R
0
sin
2
k
m
xdx
, m = 1, 2, .
Other cases for (a
1
, a
2
, a
3
, a
4
) can be dealt with in the similar way.
The Heat Equation (Diusion equation) 11
Summary: Heat conduction equation u
t
= c
2
u
xx
; 0 < x < L, 0 < t < with
B.C.
_

_
a
1
u(0, t) +a
2
u
x
(0, t) = 0, (a
1
, a
2
) 6= (0, 0)
a
3
u(L, t) +a
4
u
x
(L, t) = 0, (a
3
, a
4
) 6= (0, 0)
; t > 0,
I.C. u(x, 0) = f(x), 0 < x < L.
By means of separation of variables, i.e. let u(x, t) = X(x)T(t), we get
T
0
(t) +c
2
T(t) = 0 (*)
and X
00
(x)+X(x) = 0 with
_

_
a
1
X(0) +a
2
X
0
(0) = 0,
a
3
X(L) +a
4
X
0
(L) = 0.
(**)
(**) is referred to as the Sturm-Liouville Problem (S-L) associated with the PDE
and B.C. To solve the S-L problem, those which gives non-trivial solution of X are
called the eigenvalues and the corresponding solutions X(x) are the eigenfunctions
of the S-L problem. The solution to the IBVP has the form
u(x, t) =

X
n=1

n
e

n
c
2
t
X
n
(x)
where
n
and X
n
are the eigenvalues and eigenfunctions of the S-L problem.
The following theorem about the eigenfunctions of the S-L problem is useful:
Sturm-Liouville Theorem (simplied)
If
1
(x) and
2
(x) are two eigenfunctions of the Sturm-Liouville problem
y
00
+y = 0, 0 < x < L, with
_

_
a
1
y(0) +a
2
y
0
(0) = 0
a
3
y(L) +a
4
y
0
(L) = 0
corresponding to eigenvalues
1
and
2
respectively and if
1
6=
2
, then
1
(x) and

2
(x) are orthogonal in the sense that
L
Z
0

1
(x)
2
(x)dx = 0.
12
III Non-homogeneous boundary Conditions
1. u
t
= c
2
u
xx
; 0 < x < L, 0 < t < with
B.C. u(0, t) = T
1
, u(L, t) = T
2
, 0 < t < , (T
1
, T
2
are constant)
I.C. u(x, 0) = f(x), 0 < x < L.
As the boundary conditions are not homogeneous, the method of separation
of variables cannot be used. Let u(x, t) = v(x) + w(x, t) where v(x) is time-
independent representing the steady state solution and w(x, t) represents the
transient solution. Then
u
t
= w
t
and u
xx
= v
xx
+w
xx
.
PDE becomes w
t
= c
2
(v
xx
+w
xx
).
B.C. becomes
u(0, t) = v(0) +w(0, t) = T
1
u(L, t) = v(L) +w(L, t) = T
2
_

_
t > 0,
I.C. becomes u(x, 0) = v(x) +w(x, 0) = f(x), 0 < x < L.
Take v(x) =
x
L
(T
2
T
1
) +T
1
. Then
v
xx
= 0 with v(0) = T
1
and v(L) = T
2
.
The problem then becomes
w
t
= c
2
w
xx
; 0 < x < L, 0 < t < .
B.C. w(0, t) = 0, w(L, t) = 0, 0 < t < ,
I.C. w(x, 0) = f(x) v(x), 0 < x < L.
which has homogeneous boundary conditions and so can be solved as before.
Non-homogeneous boundary Conditions 13
2. u
t
= c
2
u
xx
; 0 < x < L, 0 < t < with
B.C. u(0, t) = T
1
(t), u(L, t) = T
2
(t), 0 < t < ,
I.C. u(x, 0) = f(x), 0 < x < L.
Here T
1
(t) and T
2
(t) are functions of t. Hence we consider
u(x, t) = v(x, t) +w(x, t).
Then u
t
= v
t
+w
t
and u
xx
= v
xx
+w
xx
.
PDE becomes (v
t
+w
t
) = c
2
(v
xx
+w
xx
).
B.C. becomes
u(0, t) = v(0, t) +w(0, t) = T
1
(t)
u(L, t) = v(L, t) +w(L, t) = T
2
(t)
_

_
t > 0,
I.C. becomes u(x, 0) = v(x, 0) +w(x, 0) = f(x), 0 < x < L.
Therefore w(0, t) = T
1
(t) v(0, t), w(L, t) = T
2
(t) v(L, t),
w(x, 0) = f(x) v(x, 0).
Again, in order to obtain homogeneous boundary condition, put v
xx
= 0 such
that v(0, t) = T
1
(t) and v(L, t) = T
2
(t), giving
v(x, t) = T
1
(t) +
x
L
(T
2
(t) T
1
(t))
and v
t
(x, t) = T
0
1
(t) +
x
L
(T
0
2
(t) T
0
1
(t)).
Hence, w
t
= c
2
w
xx
v
t
= c
2
w
xx

h
T
0
1
(t) +
x
L
(T
0
2
(t) T
0
1
(t))
i
with B.C. w(0, t) = 0, w(L, t) = 0, 0 < t < ,
I.C. w(x, 0) = f(x) v(x, 0), 0 < x < L,
where the boundary conditions are homogeneous, but the equation is now non-
homogeneous.
14
IV Non-homogeneous Heat Equation (Eigenfunction expansion)
u
t
= c
2
u
xx
+g(x, t); 0 < x < L, 0 < t < .
B.C.
_

_
a
1
u(0, t) +a
2
u
x
(0, t) = 0
a
3
u(L, t) +a
4
u
x
(L, t) = 0
; t > 0,
I.C. u(x, 0) = f(x), 0 < x < L.
Consider the corresponding homogeneous problem u
t
= c
2
u
xx
with the same
B.C. and I.C. as above. Its solution is of the form

P
n=1

n
e

n
c
2
t
X
n
(x), where
n
and
X
n
(x) are eigenvalues and eigenfunctions of the associated S-L problem respectively.
We now seek a solution of the form u(x, t) =

P
n=1
T
n
(t)X
n
(x) for the non-homogeneous
equation by choosing appropriate T
n
(t) (note that T
n
(t) =
n
e
nc
2
t
when g = 0, but
it has to be adjusted when g 6= 0).
Let g(x, t) =

P
n=1
g
n
(t)X
n
(x) and substitute u(x, t) =

P
n=1
T
n
(t)X
n
(x) into the
non-homogeneous equation we get

X
n=1
T
0
n
(t)X
n
(x) = c
2

X
n=1
T
n
(t)X
00
n
(x) +

X
n=1
g
n
(t)X
n
(x).
which is satised if
T
0
n
(t)X
n
(x) = c
2
T
n
(t)X
00
n
(x) +g
n
(t)X
n
(x), n = 1, 2, .
However, since X
n
satises the S-L problem, i.e. X
00
n
(x) + X
n
(x) = 0, the above
equations become
T
0
n
(t)X
n
(x) = c
2

n
T
n
(t)X
n
(x) +g
n
(t)X
n
(x)
= T
0
n
(t) +c
2

n
T
n
(t) = g
n
(t).
Non-homogeneous Heat Equation (Eigenfunction expansion) 15
The last equation is a rst-order linear ODE and its solution is given by
T
n
(t) = e
nc
2
t
_
_
_
T
n
(0) +
t
Z
0
g
n
(p)e
nc
2
p
dp
_
_
_
.
It remains to determine T
n
(0) and g
n
(t), and to satisfy the I.C. To do so,
note that X
m
(x) and X
n
(x) are orthogonal for m 6= n (i.e.,
L
R
0
X
m
(x)X
n
(x)dx = 0) by
the Sturm-Liouville theorem as they are solutions of the S-L problem. Hence
L
Z
0
g(x, t)X
m
(x)dx =
L
Z
0
"

X
n=1
g
n
(t)X
n
(x)
#
X
m
(x)dx
=

X
n=1
g
n
(t)
L
Z
0
X
m
(x)X
n
(x)dx = g
m
(x)
L
Z
0
X
2
m
(x)dx.
Therefore.
g
n
(t) =
L
R
0
g(x, t)X
n
(x)dx
L
R
0
X
2
n
(x)dx
.
Furthermore, the I.C. =
u(x, 0) =

X
n=1
T
n
(0)X
n
(x) = f(x).
By similar manipulation as above we obtain
T
n
(0) =
L
R
0
f(x)X
n
(x)dx
L
R
0
X
2
n
(x)dx
.
Finally, the solution of the original non-homogeneous PDE is given by
u(x, t) =

X
n=1
T
n
(t)X
n
(x).
16
Example: PDE : u
t
= c
2
u
xx
+ sin 3x, 0 < x < 1, t > 0.
B.C. u(0, t) = u(1, t) = 0, t > 0,
I.C. u(x, 0) = sin x, 0 < x < 1.
First we look for
n
and X
n
(x), which are the eigenvalues and eigenfunctions
of the homogeneous equation
u
t
= c
2
u
xx
, 0 < x < 1, t > 0 with B.C. u(0, t) = u(1, t) = 0, t > 0.
Hence
n
= n
2

2
and X
n
(x) = sinnx, n = 1, 2, 3, .
Next, calculate
g
n
(t) =
L
R
0
g(x, t)X
n
(x)dx
L
R
0
X
2
n
(x)dx
=
1
R
0
sin 3xsinnxdx
1
R
0
sin
2
nxdx
=
_

_
1, n = 3
0, n 6= 3
and
T
n
(0) =
L
R
0
f(x)X
n
(x)dx
L
R
0
X
2
n
(x)dx
=
1
R
0
sinxsin nxdx
1
R
0
sin
2
nxdx
=
_

_
1, n = 1,
0, n 6= 1.
From these we obtain
T
n
(t) = e

n
c
2
t
_
_
_
T
n
(0) +
t
Z
0
g
n
(p)e

n
c
2
p
dp
_
_
_
as follows:
n = 1, g
1
(t) = 0, T
1
(0) = 1 =T
1
(t) = e

1
c
2
t
= e

2
c
2
t
,
n = 2, g
2
(t) = 0, T
2
(0) = 0 =T
2
(t) = 0,
n = 3, g
3
(t) = 1, T
3
(0) = 0 =
T
3
(t) = e

3
c
2
t
t
Z
0
e

3
c
2
p
dp = e
9
2
c
2
t
t
Z
0
e
9
2
c
2
p
dp = e
9
2
c
2
t
"
e
9
2
c
2
p
9
2
c
2
#
t
0
=
e
9
2
c
2
t
(e
9
2
c
2
t
1)
9
2
c
2
=
1
9
2
c
2
(1 e
9
2
c
2
t
),
n 4 =g
n
(t) = T
n
(0) = 0 =T
n
(t) = 0.
More Heat Conduction Equations 17
Finally, we obtain the solution as
u(x, t) = T
1
(t)X
1
(x) +T
3
(t)X
3
(x)
= e

2
c
2
t
sin x +
1
9
2
c
2
(1 e
9
2
c
2
t
) sin 3x.
V More Heat Conduction Equations
u
t
= c
2
u
xx
u; 0 < x < 1, 0 < t < .
B.C. u(0, t) = u(1, t) = 0; t > 0,
I.C. u(x, 0) = f(x), 0 x 1,
where u represents heat ow across the lateral boundary.
As diusion along the x direction is represented by c
2
u
xx
, the termu would
aect the solution in t only.
Let u(x, t) = (t)w(x, t). Then
u
t
= w
t
+
t
w and u
xx
= w
xx
.
Therefore PDE =w
t
+
t
w = c
2
w
xx
w
=w
t
= c
2
w
xx

+

t

w.
Let
t
/ = . Then
t
+ = 0 = = e
t
and the PDE becomes
w
t
= c
2
w
xx
with B.C. w(0, t) = w(1, t) = 0
I.C. w(x, 0) = f(x).
Thus w(x, t) may be obtained as previously and u(x, t) = e
t
w(x, t).
18
VI The Wave Equation
Consider a perfectly exible string of uniform density stretched to a uniform tension
T between two end points x = 0 and x = L.
Suppose that the string is distorted and then at a certain instant, t = 0 say,
it is released and allowed to vibrate, the problem is to determine the vibration of the
string or to nd its deection u(x, t) at any point x and at each instant time t > 0.
u
x
x x x +
0 0
T
2
T
1
A
B
L
O

Figure 2
Assumptions : (i) the string oers no resistance to bending so that the tension
is tangential to the string at each point.
(ii) gravitational force on the string is negligible compared to the
tension on the string.
(iii) the motion of the string is only in a vertical plane.
Let T
1
and T
2
be the tensions at the points A and B respectively. As there is
no motion in the horizontal direction, the horizontal components of the tension must
be constant, i.e. T
1
cos = T
2
cos = T
0
(constant). Vertically, the resultant of these
The Wave Equation 19
forces leads to the vertical vibration of the string and
Newtons 2nd law = T
2
sin T
1
sin = xu
tt
(x is the mass of the string between A and B).
It follows that
tan tan =
T
2
sin
T
2
cos

T
1
sin
T
1
cos
=
x
T
0
u
tt
.
As tan = u
x
(B, t) = u
x
(x +x, t) and tan = u
x
(A, t) = u
x
(x, t), we get
1
x
[u
x
(x +x, t) u
x
(x, t)] =

T
0
u
tt
.
Letting x 0 = u
xx
=

T
0
u
tt
= u
tt
= c
2
u
xx
(c
2
= T
0
/), which is called
the wave equation.
IBVP for Wave equation
PDE: u
tt
= c
2
u
xx
; 0 < x < L, t > 0.
B.C. u(0, t) = u(L, t) = 0, t > 0,
I.C.
_

_
u(x, 0) = f(x)
u
t
(x, 0) = g(x)
, 0 < x < L.
By the method of separation of variables, take u(x, t) = X(x)T(t). Then
u
tt
= c
2
u
xx
= X(x)T
00
(t) = c
2
X
00
(x)T(t) =
T
00
(t)
c
2
T(t)
=
X
00
(x)
X(x)
= (constant) =
(i)
X
00
(x) +X(x) = 0
X(0) = X(L) = 0
_

_
associated Sturm-Liouville problem
(ii) T
00
(t) +c
2
T(t) = 0.
20
(i) =
n
=
n
2

2
L
2
; X
n
(x) = sin
nx
L
, n = 1, 2,
(ii) = T
n
(t) =
n
cos
nc
L
t +
n
sin
nc
L
t.
Therefore the solution is given by
u(x, t) =

P
n=1

n
cos
nc
L
t +
n
sin
nc
L
t

sin
nx
L
,
u(x, 0) = f(x) =
n
=
2
L
L
Z
0
f(x) sin
nx
L
dx,
u
t
(x, 0) = g(x) =
n
=
2
nc
L
Z
0
g(x) sin
nx
L
dx.
Note that
n
cos
nc
L
t+
n
sin
nc
L
t =
n
cos
h
nc
L
(t +
n
)
i
(where
n
=
p

2
n
+
2
n
and
n
=
L
nc
arctan

n

n
). Hence the solution may also be expressed as
u(x, t) =

X
n=1

n
cos
h
nc
L
(t +
n
)
i
sin
nx
L
.
VII Classication of 2nd order linear PDE in 2 independent variables
Consider the 2nd order linear PDE
A(x, y)u
xx
+B(x, y)u
xy
+C(x, y)u
yy
+D(x, y)u
x
+E(x, y)u
x
+F(x, y)u = G(x, y) ()
If B
2
4AC > 0 for (x, y) R
2
, () is said to be hyperbolic in .
If B
2
4AC < 0 for (x, y) R
2
, () is said to be elliptic in .
If B
2
4AC = 0 for (x, y) R
2
, () is said to be parabolic in .
Example u
tt
= c
2
u
xx
= c
2
u
xx
u
tt
= 0. Let y = t. Then A = c
2
, B = 0,
C = 1. Hence B
2
4AC = 4c
2
> 0. Thus the wave equation is hyperbolic.
For u
t
= c
2
u
xx
, A = c
2
, B = C = 0, so B
2
4AC = 0. Hence the heat equation is
parabolic.
Laplace Equations 21
For u
xx
+ u
yy
= 0, A = 1, B = 0, C = 1, so B
2
4AC = 4 < 0. Hence the
Laplace equation is elliptic.
VIII Laplace Equations
Consider
2
u = u
xx
+u
yy
= 0.
Note that solutions of Laplace equation are called harmonic functions. Particular
solutions are :
(i) u(x, y) = a +bx +cy, (ii) u(x, y) = xy,
(iii) u(x, y) = x
2
y
2
, (iv) u(x, y) = e
x
cos y,
(v) u(x, y) =
x
x
2
+y
2
.
2-dimensional polar coordinates: x = r cos , y = r sin =

2
u = u
rr
+
1
r
u
r
+
1
r
2
u

= 0.
3-dimensional cylindrical coordinates: x = cos , y = sin , z = z =

2
u = u
xx
+u
yy
+u
zz
= u

+
1
r
u

+
1

2
u

+u
zz
= 0.
3-dimensional spherical coordinates:
x = r sin cos , y = r sin sin , z = r cos =

2
u = u
rr
+
2
r
u
r
+
1
r
2
u

+
cot
r
2
u

+
1
r
2
sin
2

= 0.
Simple solutions of Laplace equation
1. Consider the 2-D Laplace equation with cylindrical symmetry (e.g. steady state
temperature distribution in a innitely long homogeneous cylindrical metal
pipe).
22

2
u = u
rr
+
1
r
u
r
+
1
r
2
u

= 0.
Cylindrical symmetry =u

= 0 so that u

= 0. Therefore

2
u =
d
2
u
dr
2
+
1
r
du
dr
= 0 = r
d
2
u
dr
2
+
du
dr
= 0 =
d
dr

r
du
dr

= 0
= r
du
dr
= k (constant) = du = k
dr
r
= u = Alnr +B, r 6= 0.
This gives the solution to
2
u = 0 with cylindrical symmetry.
2. Consider the 3-D Laplace equation with spherical symmetry, i.e. u

= u

= 0.

2
u = 0 =
d
2
u
dr
2
+
2
r
du
dr
= 0 = r
2
d
2
u
dr
2
+ 2r
du
dr
= 0
=
d
dr

r
2
du
dr

= 0 = r
2
du
dr
= k (constant)
= u =
A
r
+B, r 6= 0.
Laplace equation in a rectangle region

2
u = 0 in = {(x, y) : 0 < x < a, 0 < y < b}
u(0, y) = u(a, y) = 0; 0 < y < b,
u(x, 0) = 0
u(x, b) = f(x)
_

_
; 0 < x < a.
Solution By the method of separation of variables, let u(x, y) = X(x)Y (y)
=
X
00
(x)
X(x)
=
Y
00
(y)
Y (y)
= (constant)
Therefore X
00
(x) +X(x) = 0 (*)
and Y
00
(y) Y (y) = 0 (**)
Laplace Equations 23
Boundary conditions =X(0) = X(a) = 0 and Y (0) = 0.
(*) is the associated Sturm-Liouville problem with eigenvalues and eigenfunctions
as

n
=
n
2

2
a
2
, X
n
= sin

nx
a

, n = 1, 2,
(**) = Y
n
(y) =
n
sinh

ny
a

.
Therefore u
n
(x, y) = X
n
(x)Y
n
(y) =
n
sin

nx
a

sinh

ny
a

and so
u(x, y) =

X
n=1
u
n
(x, y) =

X
n=1

n
sin

nx
a

sinh

ny
a

.
It remains to nd
n
. Use the nonhomogeneous boundary condition on u we get
f(x) = u(x, b) =

X
n=1

n
sin

nx
a

sinh

nb
a

.
Therefore,
n
=
2
a sinh

nb
a

a
Z
0
f(x) sin
nx
a
dx
Theorem on the principle of superposition
The Dirichlet problem
2
u = 0 in = {(x, y) : 0 < x < a, 0 < y < b}
with boundary conditions
_

_
u(0, y) = f
1
(y); u(a, y) = f
2
(y); 0 < y < b
u(x, 0) = f
3
(x); u(x, b) = f
4
(x); 0 < x < a
has the solution u = u
1
+u
2
+u
3
+u
4
where u
1
, u
2
, u
3
, u
4
satisfy
2
u = 0 and
(i) u
1
(0, y) = f
1
(y), 0 < y < b; u
1
= 0 on other boundaries,
(ii) u
2
(a, y) = f
2
(y), 0 < y < b; u
2
= 0 on other boundaries,
(iii) u
3
(x, 0) = f
3
(x), 0 < x < a; u
3
= 0 on other boundaries,
(iv) u
4
(x, b) = f
4
(x), 0 < x < a; u
4
= 0 on other boundaries.
Proof Exercise.
24
Laplace equation in circular regions

2
u = 0 in = {(x, y) : x
2
+y
2
< A},
u(x, y) = f(x, y) on the of boundary of ..
In polar coordinates, the equation becomes
2
u = u
rr
+
1
r
u
r
+
1
r
2
u

= 0,
and the boundary condition becomes u(A, ) = f(), 0 < < 2.
Note that u(r, ) is periodic in of period 2 and is bounded as r 0.
Let u(r, ) = R(r)() and substitute it into the equation we obtain
R
00
+
1
r
R
0
+
1
r
2
R
00
= 0 = r
2
R
00
R
+r
R
0
R
=

00

= (constant)
which leads to (i)
00
+ = 0, () is periodic with period 2.
(ii) r
2
R
00
+rR
0
R = 0, lim
r0
R(r) < .
For (i), = 0 =() = + and () is periodic = = 0 =() = .
< 0 ( = k
2
) = = e
k
+e
k
and
() is periodic = = = 0 =() 0 (trivial solution).
> 0 ( = k
2
) = = cos k + sin k and
() is periodic with period 2 =k = n = 1, 2, .
Therefore we get a sequence of solutions for () as

0
() =
0
,
n
() =
n
cos n +
n
sinn; n = 1, 2, .
For (ii), = 0 =r
2
R
00
+rR
0
= 0 =rR
00
+R
0
= 0 =(rR
0
)
0
= 0
=rR
0
= c
1
=R = c
2
+c
1
ln r.
However, lim
r0
R(r) < =c
1
= 0 =R(r) = c
2
.
= k
2
= n
2
= r
2
R
00
+rR
0
n
2
R = 0 (Euler equation)
Let R = r
m
and by substitution into Euler equation we get m = n.
Thus R(r) = c
3
r
n
+c
4
r
n
and lim
r0
R(r) < =c
4
= 0 =R(r) = R
n
(r) = r
n
.
Laplace Equations 25
It follows that u
n
(r, ) =
n
()R
n
(r) = r
n
(
n
cos n +
n
sinn); n = 0, 1, 2, .
By the principle of superposition,
u(r, ) =
0
+

X
n=1
r
n
(
n
cos n +
n
sin n)
where
n
and
n
are determined from the boundary conditions
u(A, ) = f() =f() =
0
+

X
n=1
A
n
(
n
cos n +
n
sin n),
which leads to
0
=
1
2
Z
2
0
f()d,

n
=
1
A
n
Z
2
0
f() cos nd (n = 1, 2, ...),

n
=
1
A
n
Z
2
0
f() sin nd (n = 1, 2, ...).
*******************************
Reference Books:
Kreyszig E., Advanced Engineering Mathematics, Wiley International Edition.
Farlow S.J., Partial Dierential Equations for Scientists and Engineers, Wiley Inter-
national Edition.
Boyce W.E. and DiPrima R.C., Elementary Dierential Equations and Boundary
Value Problems, Wiley International Edition.
Derrick W.R. and Grossman S.I., Elementary Dierential Equations with Boundary
Value Problems, Addison Wesley.