Mathematical classification of PDEs

The classification of PDEs is based on the mathematical concept of characteristics that are lines (in 2D) or
surfaces (in 3D) along which certain properties remain constant or certain derivatives may be
discontinuous. It is instructive to develop classification concepts through consideration of the following
general second-order PDE:
( , )
xx xy yy x y
a b c d e f g x y       + + + + + = (1)
where a, b, c, d, e and f are functions of (x,y), i.e., we consider a linear equation (It may be noted that
most of the governing equations in fluid dynamics are second-order PDEs). The classification of a
second-order PDE depends only on the second-derivative terms of the equation, so we may rearrange the
previous equation as
( )
xx xy yy x y
a b c d e f g H       + + = ÷ + + ÷ = (2)
The characteristics, if they exist and are real curves within the solution domain, represent the locus of
points along which the second derivatives may not be continuous. For the general second-order PDE
under consideration, the initial and boundary conditions are specified in terms of the function φ and first
derivatives of φ. Assuming that φ and first derivatives of φ are continuous, we inquire if there may be any
locations where this information would not uniquely determine the solution. In other words, may there be
locations where the second derivatives are discontinuous? To assure the continuity of the first derivatives
of , and
x y
   , we write:
x xx xy
y xy yy
d dx dy
d dx dy
  
  
= +
= +
(3)
Equations (2) and (3) can be written in the matrix form as:
0
0
xx
xy x
y
yy
a b c H
dx dy d
dx dy d

 


| |
| |
| |
|
|
|
=
|
|
|
| |
|
\ .
\ .
\ .
Since it is possible to have discontinuities in the second-order derivatives of the dependent variable along
the characteristics, these derivatives are indeterminate. This happens when the determinant of the
coefficient matrix is equal to zero.
0 0
0
a b c
dx dy
dx dy
= ,
which yields
2
0
dy dy
a b c
dx dx
| |
÷ + =
|
\ .
.
Solving for this quadratic equation yields the equation of the characteristics in physical space,
2
4
2
dy b b ac
dx a
± ÷
=
The second order PDE is classified according to the sign of the expression b
2
– 4ac.
(a) Elliptic if b
2
– 4ac < 0
In this case the characteristics do not exist
(b) Parabolic if b
2
– 4ac = 0
In this case, one set of characteristics exists
(c) Hyperbolic if b
2
– 4ac > 0
In this case, two sets of characteristics exist
Systems of equations:
0
t x y
c c c
+ + + =
c c c
u u u
A B r is said to be hyperbolic at a point in (x,t) if eigenvalues of A are all real and
distinct. Similarly the equation is hyperbolic at a point in (y,t) if eigenvalues of B are all real and distinct
[Zachmanogolu and Thoe]. According to Richtmyer and Morton (1967), at (x,t) the equation is hyperbolic
if eigenvalues of A are all real and it can be written as TΛT
-1
, where T is the matrix of right eigen vectors
and Λ is a diagonal matrix whose elements are the eigenvalues of A. Similarly the equation is hyperbolic
at a point in (y,t) if B has all real eigenvalues and is diagonalizable. [It easily follows that the equation
0 (for and real) is hyperbolic].
u u u
a b a b
t x y
c c c
+ + =
c c c
Wave equation:
2 2
2
2 2
u u
c
t x
c c
=
c c
Let
u
v
t
c
=
c
and
u
w c
x
c
=
c
Then we may write
v w
c
t x
w v
c
t x
c c
=
c c
c c
=
c c
This point can be illustrated by writing the equation as
0
t x
c c
+ =
c c
u u
A
where
0
,
0
v c
w c
÷ | | | |
= =
| |
÷
\ . \ .
u A . The eigenvalues of the matrix A are found from 0  ÷ = A I .
Then 0
c
c


÷
=
÷
;
2 2
0 c  ÷ = ;
1 2
and c c   = + = ÷ ; this means
1
dx
c
dt
| |
= +
|
\ .
and
2
dx
c
dt
| |
= ÷
|
\ .
are
the equations of the two characteristics. The equation is thus hyperbolic.
Elliptic equation:
and
u v u v
x y y x
c c c c
= + = ÷
c c c c
(These are famous Cauchy-Riemann equations). Taking
1 2
these two equations can be written 0 where
0 1
= and the eigenvalues of are and
1 0
u
v x y
i i  
| | c c
= + =
|
c c
\ .
÷ | |
= + = ÷
|
\ .
w w
w A
A A
Hence the Cauchy-Riemann equations are elliptic.
By a coordinate transformation equation of each class can be reduced to a canonical or characteristic
coordinate form.
Two characteristic coordinate forms exist for a hyperbolic PDE:
( )
( )
( )
( )
( )
1
2
3
4
5
, , , ,
, , , ,
The canonical form of a parabolic PDE is either
, , , ,
or , , , ,
For elliptic PDEs the canonical form is
, , , ,
f
f
f
f
f
   
  
  
  
   
      
     
     
     
      
÷ =
=
=
=
+ =
In a coordinate transformation of the form ( , ) ( , ), x y   ÷ we are assured of a nonsingular mapping if
( , )
is nonzero.
( , )
x y y x
J
x y
 
   
c
= = ÷
c
In order to apply this transformation to the general second-order PDE, each derivative is replaced by
repeated application of the chain rule. For example
( ) ( )
( )
( )
2
2
2 2
2
2 2
2
,
,
x x
x x x x
x x x x x xx
x x x x x
x
x x x x x
x x
x x
  
 
 
    
   
   
    
     
     
    
     
     
c c c
= +
c c c
| | | | c c c c c c c c c
= + + +
| |
c c c c c c c c c
\ . \ .
( | | c c c c c c c
= + =
| (
c c c c c c c c
\ . ¸ ¸
( | | c c c c c c c
= + =
| (
c c c c c c c c
\ . ¸ ¸
2 2 2 2
2 2
2 2 2
2
xx
x x x x xx xx
x
     
     
     
c c c c c c
= + + + +
c c c c c c c
The last equation, in abbreviated notations, can be written
2 2
2
xx x x x x xx xx     
            = + + + +
Similarly, we may write
2 2
2
( )
y y y
yy y y y y yy yy
xy x y x y y x x y xy xy
 
    
    
    
           
               
= +
= + + + +
= + + + + + +
Substitution into the general second-order PDE yields
2 2
2 2
... ( , )
where
2 2
x x y y
x x x y y x y y
x x y y
A B C g
A a b c
B a b b c
C a b c
  
    
   
       
   
+ + + =
= + +
= + + +
= + +
The discriminant of the transformed equation becomes
( )
2
2 2
4 ( 4 )
x y y x
B AC b ac     ÷ = ÷ ÷ , where
x y y x
J     ÷ = is nonzero. Thus any real nonsingular transformation does not change the type of PDE.
Now consider a system of two first-order PDEs in two independent variables of the form
1 1 1 1 1
2 2 2 2 2
(i)
(ii)
u v u v
a b c d f
x x y y
u v u v
a b c d f
x x y y
c c c c
+ + + =
c c c c
c c c c
+ + + =
c c c c
In matrix form we may write
1 1 1 1 1
2 2 2 2 2

where , , and .
x y
f a b c d u
a b c d v f
c c
+ =
c c
| | | | | | | |
= = = =
| | | |
\ . \ . \ . \ .
w w
A C F
w F A C
To assure continuity of u and v we write
(iii)
(iv)
x y
x y
du u dx u dy
dv v dx v dy
= +
= +
Now equations (i), (ii), (iii) and (iv) can be written in matrix form as
1 1 1 1 1
2 2 2 2 2


0 0
0 0
x
x
y
y
u
a b c d f
v
a b c d f
u
dx dy du
dx dy dv v
| |
| | | |
|
| |
|
| |
=
|
| |
|
| |
|
\ . \ .
\ .
The determinant of the 4 x 4 square matrix equals
1 1 1 1 1 1 1 1 2 2
2 2 2 2 2 2 2 2
( ) ( )
a b a d c b c d
dy dxdy dx
a b a d c b c d
| |
÷ + + ÷
|
\ .
or
2 2
( ) ( ) dy dxdy dx ÷ + ÷ A B C
If the first partial derivatives are not uniquely determined, then the determinant equals zero, i.e.,
2
2
0
Let us write 4
dy dy
dx dx
D
| |
÷ + =
|
\ .
= ÷
A B C
B A C
If D > 0 the equations are hyperbolic
If D = 0 the equations are parabolic
If D < 0 the equations are elliptic
System of second-order equations:
t xx
= U AU
is parabolic if A has all real eigenvalues.
The second-order 1D wave equation
2
0
For the pure initial value problem, we now prescribe the initial conditions
( , 0) ( )
( , 0) ( )
tt xx
t
u c u x t
u x f x
u x g x
= ÷ · < < +· < < ·
=
=

Recall that the slope of the characteristic curves for the generic second-order PDE
( , )
xx xy yy x y
a b c d e f g x y       + + + + + =
is given by
2
4
2
dy b b ac
dx a
± ÷
= .
In the context of the present problem
2
, , 1, 0 and y x x t a b c c = = = = = ÷ so that
dx
c
dt
= ± and the characteristics are given by
1 2
and
Integration yields ,
Let us use the characteristic curves as the transformed coordinates ( , ) and ( , ) so that
dx dx
c c
dt dt
x ct k x ct k
x t x t
x ct
x ct
 


= ÷ =
+ = ÷ =
= +
= ÷
( 1 and 1)
( ) ( and )
It follows that
( )( ) ( )( ) 2
( )( ( )) (
x x x x x
t t t t t
xx x x
tt t t
u u
u u u
u u
u c u u c c
u u u u u u u u
u c u u c
 
 
      
 
   
 
   
 
 
   
 
 
c c
= + = + = =
c c
c c
= + = ÷ = = ÷
c c
c c c c
= + + = + + = + +
c c c c
c c
= + ÷ =
c c


2
)( ( )) ( 2 ) c c u u c u u u
    
 
c c
÷ ÷ = ÷ +
c c
Substituting the expressions of u
tt
and u
xx
in the wave equation one gets
0 u

= (i)
The general solution of this equation is
1 2
( , ) ( ) ( ) u F F     = + (ii)
where
1 2
and F F are arbitrary differentiable functions. If we insist that u u
 
= there are no other
solutions. Consequently, substituting and x ct x ct   = + = ÷ into equation (ii) we get
1 2
( , ) ( ) ( ) u x t F x ct F x ct = + + ÷ (iii)
which is a solution to the wave equation if
1 2
and F F are twice differentiable but otherwise arbitrary. This
equation physically represents the sum of any two moving waves, each moving in opposite directions
with velocity c. The particular forms of F
1
and F
2
are determined from the initial data
1 2
1 2
( , 0) ( ) ( ) ( ) (iv)
( , 0) ( ) (v)
t
u x f x F x F x
u x g x cF cF
= = +
' ' = = ÷
Differentiating (iv) one obtains
1 2
1 2
( ) ( ) ( ) which, when multiplied by , yields
( ) ( ) ( ) (vi)
F x F x f x c
cF x cF x cf x
' ' ' + =
' ' ' + =
1
2
1
0
(vi) (v) 2 ( ) ( ) ( ) (vii)
(vi) - (v) 2 ( ) ( ) ( ) (viii)
(vii) upon integration yields
1
( ) ( ) ( ) (ix)
2
(viii) upon inte
x
cF x cf x g x
cF x cf x g x
F x cf x g d C
c
 
' ' + ¬ = +
' ' ¬ = ÷
(
= + +
(
¸ ¸
}
2
0
gration yields
1
( ) ( ) ( ) (x)
2
x
F x cf x g d D
c
 
(
= ÷ +
(
¸ ¸
}
1
0
2
0
1
(ix) can be rewritten ( ) ( ) ( ) (xi)
2
1
(x) can be rewritten ( ) ( ) ( ) (xii)
2
x ct
x ct
F x ct cf x ct g d C
c
F x ct cf x ct g d D
c
 
 
+
÷
(
+ = + + +
(
¸ ¸
(
÷ = ÷ ÷ +
(
¸ ¸
}
}
1 2
0 0
( ) ( ) 1
(xi) (xii) ( ) ( ) ( ) ( )
2 2
x ct x ct
f x ct f x ct
F x ct F x ct g d g d E
c
   
+ ÷
(
+ + ÷
+ ¬ + + ÷ = + ÷ +
(
¸ ¸
} }
( ) ( ) 1
( , ) ( ) (xiii)
2 2
x ct
x ct
f x ct f x ct
u x t g d E
c
 
+
÷
+ + ÷
= + +
}
However, ( , 0) ( ) ( ) so that 0. u x f x f x E E = = + = Consequently, the solution of the pure initial-value
problem defined by the equation
2
tt xx
u c u = and the initial conditions ( , 0) ( ) u x f x = and
( , 0) ( )
t
u x g x = is given by
( ) ( ) 1
( , ) ( )
2 2
x ct
x ct
f x ct f x ct
u x t g d
c
 
+
÷
+ + ÷
= +
}
(xiv)
From this equation some important observations can be made. The value of the solution at a point (x
o
,t
o
)
is
( ) ( ) 1
( , ) ( )
2 2
o o
o o
x ct
o o o o
o o
x ct
f x ct f x ct
u x t g d
c
 
+
÷
+ + ÷
= +
}
(see figure below)
t
x
(x
o
, t
o
)
x
o
+ ct
o
x
o
- ct
o
x
o
Interval of dependence
RRC (x - ct = x
o
- ct
o
,
Slope = 1/c)
LRC: Left-Running Characteristics
RRC: Right-Running Characteristics
LRC (x + ct = x
o
+ ct
o
,
Slope = -1/c)
Interval of dependence of (x
o
, t
o
)
The equations of the characteristic curves passing through the point (x
o
,t
o
) are
o o
x ct x ct ÷ = ÷ and
o o
x ct x ct + = + . These curves (straight lines here) intersect the x-axis at points
o o
x ct ÷ and
o o
x ct + respectively. The value of the solution at (x
o
,t
o
) depends only upon the initial data on the segment
(
o o o o
x ct x x ct ÷ s s + ) of the x-axis demarcated by these two points. This segment is called the interval
of dependence of the point (x
o
,t
o
). Again the set of points (x,t) at which the solution is influenced by the
initial data at a point (x
o
,0) on the x-axis is the region bounded by the lines
o
x ct x ÷ = and
o
x ct x + = , as
shown in the figure below.
This region is called the domain of influence of the point (x
o
,0). Thus we see that the characteristics
( x ct ± =constant of the equation
2
tt xx
u c u = ) play a basic role in developing solutions for hyperbolic
equations.
A distinctive property of hyperbolic PDEs is the limited domain of dependence exhibited by them. In the
above example we see that the domain of dependence is bounded by the characteristics that pass through
the point (x
o
,t
o
). Clearly the solution u(x
o
,t
o
) depends only upon information in the interval bounded by
these characteristics. A class of well-known hyperbolic problems, known as Cauchy problem, requires
that one obtain a solution u to a hyperbolic PDE with initial data specified along a curve C. The Cauchy-
Kowalewsky theorem asserts that if the initial data are analytic in the neighbourhood of (x
o
,t
o
) and the
function u
xx
(as in the wave equation) is analytic there, a unique analytic solution for u exists in the
neighbourhood of (x
o
,t
o
). At this point it is worthwhile to note that for a hyperbolic PDE (say the wave
equation) initial conditions are required on u and u
t
along some curve C, which must not coincide with a
characteristic of the differential equation. If it does, a unique solution cannot be obtained, resulting in
what is known as an `ill-posed’ problem.

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