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Chapter 6 Analytical Methods for Partial Dierential Equations


Partial dierential equations are statements of relationships among various distinct derivatives of a function of more than one variable. A PDE is linear if it contains no products or powers of the unknown function or its partial derivatives. It is quasi linear if no powers or products of the highest order derivative occur. A rst order linear PDE is, for instance x z z +y =z x y

A solution of this PDE is an expression of the form z = (x, y ), (or, alternatively z (x, y ) = F (x, y, z ) = 0). This is also called the integral surface of the problem. Recall that a general solution of a linear ordinary dierential equation of order n can be expressed as a linear combination of n independent functions each of them multiplied by one of n arbitrary constants. In contrast, a general solution of a PDE involves arbitrary functions of specic functions. For instance, the arbitrary function z = f (u) of the specic function u(x, y ) = x + 2y is the most general solution which satises the PDE 2 z z =0 x y

An important special case is the expression z = f (ax + by ) + g (cx + dy ) where a, b, c and d are constants such that ad = bc is the general solution of the linear PDE A 2z 2z 2z + C + B =0 x2 xy y 2

where A, B and C are constants depending on a, b, c and d. 1

In practice, rather than looking for general solutions of PDEs and then specializing them by introducing boundary conditions one determines particular solutions directly and tries to combine them to satisfy the prescribed conditions. However, it is useful to investigate some features of the general solutions.

First Order Quasi linear Equations

z z + Q(x, y, z ) = R(x, y, z ) x y

The most general quasi linear rst order PDE is P (x, y, z )

where z = (x, y ). If the integral surface here is z (x, y ) = u(x, y, z ) = c then (as long as u/z = 0) u/x z = x u/z and u/y z = y u/z Substituting back in the original PDE P u u u +Q +R = (P i + Qj + Rk) u = 0 x y z

Since u is normal to the surface u = c then the vector V = P i + Qj + Rk is tangent to it. Curves traced by the local directions of V are called characteristic curves of the PDE. The general solution of the original PDE is of the form u2 (x, y, z ) = f [u1 (x, y, z )] where u1 = c1 and u2 = c2 are solutions of any two independent ODEs associated with the relationships dy dz dx = = P Q R which result from the fact that the unit tangent vector along a characteristic has the same direction as V. Further, the intersection of any two of the surfaces u1 = c1 and u2 = c2 is a characteristic. For instance, for the PDE 2 z z =0 x y 2

one has dy dz dx = = 2 1 0 giving u1 = x + 2y = c1 and u2 = z = c2 so that the required solution is of the form z = f (x + 2y ) Further, since x + 2y = c1 and z = c2 are planes in 3D the characteristics of the original PDE are lines parallel to the xy plane where the two planes intersect. To generalize, for the linear rst order PDE a z z +b =0 x y

where a and b are constants, the general solution is of the form z = f (bx ay ) Consider now the linear rst order PDE P (x, y ) z z + Q(x, y ) = R1 (x, y )z + R2 (x, y ) x y

Here dy/dx = Q/P and dz/dx = R1 z + R2 and the required general solution of the original PDE has the form z = s1 (x, y )f [s2 (x, y )] + s3 (x, y ) where s1 , s2 and s3 are specic functions and f is an arbitrary function.

Second Order Equations

2z 2z 2z + c + b +F =0 x2 xy y 2

The general form of a quasi linear second order PDE is a

where a, b, c and F may depend on x, y, z, z/x and z/y . If a, b and c are independent of z, z/x and z/y and F is linear on those same quantities the PDE is linear in z , i.e. 2z 2z z 2z z a 2 +b +c 2 +d +e + fz = g x xy y x y where a, b, c, d and e depend only on x and y . 3

The discriminant is D = b2 4ac. In analogy with conics, the PDE is called hyperbolic if D > 0, elliptic if D < 0 and parabolic if D = 0. The most general solution of the linear PDE is the sum of any particular solution and the most general solution obtained by making g = 0 (called the complementary solution). Consider now the second order linear PDE of special form a 2z 2z 2z + c + b =0 x2 xy y 2

where a, b and c are constants. Assume a general solution of this is of the form z = f (y + mx) where m is a constant which must be determined. Dierentiation and substitution gives am2 + bm + c = 0 If D > 0 this has two real solutions and the problem corresponds to an hyperbolic PDE 2z 2z =0 x2 y 2 with general solution z = f (x + y ) + g (x y ) Alternatively, if D < 0, the roots are complex conjugate and the PDE is elliptic (Laplaces equation) 2z 2z + =0 x2 y 2 with general solution z = f (x + iy ) + g (x iy ) Finally, if D = 0 one has a perfect square and the PDE is parabolic 2z 2z 2z + 2 =0 x2 xy y 2 with general solution z = f (x + y ) + xg (x + y )

z z x =y x y

Consider the linear rst order PDE y The two associated equations are dy dx = y x with solution u1 = x2 + y 2 = c1 , and dz = dx with solution u2 = z x = c2 . The characteristic curves (or simply the characteristics) are then the ellipses formed by the intersection of the right circular cylinders x2 + y 2 = c1 with the planes z x = c2 . The cylinders x2 + y 2 = c1 are called characteristic cylinders while the circles x2 + y 2 = c1 on the xy plane are the characteristic base curves and are the projections of the characteristics onto the that plane. For the general linear second order PDE a 2z z 2z 2z z + c + e + fz = g + b + d x2 xy y 2 x y

the characteristic base curves (in the xy plane) satisfy a(dy )2 b(dx)(dy ) + c(dx)2 = 0 For the hyperbolic case D = b2 4ac > 0 and two distinct sets of such curves result. For the elliptic case D < 0 and no base curves exist. Finally for the parabolic case the two sets coincide.

Partial Dierential Equations commonly encountered in Applications

2 +h + 2 t t

Partial dierential equations encountered in applications are special cases of 2 = where = f (x, y, z, t). 5

Important examples are: Laplaces equation 2 = 0 This equation is a mathematical representation of the potential function in steady incompressible irrotational ows, the gravitational potential in free space, the electrostatic potential in steady electric current ows and the steady state temperature in heat conducting solids. The non homogenous counterpart to Laplaces equation is Poissons equation 2 = h describing for example steady incompressible irrotational ows with sources and/or sinks, steady state temperature in heat conduction with internal energy generation and the stress function in torsion of prismatic bars. The wave equation 2 = 1 2 c2 t2

describing the propagation of waves with velocity c as the electric and magnetic vector elds in electromagnetics, components of displacement in elastic vibrations and the velocity potential in the theory of sound. The heat equation 2 = 1 t

describing the transport of thermal energy in solids and the diusion of solutes. Solutions to all the above problems must be found under prescribed boundary and initial conditions. Moreover, solutions must be single valued and bounded. The approach to solving problems involving PDEs consists of rst determining a suitable set of particular solutions satisfying some of the specied conditions using, for instance, the method of separation of variables, and then combining sets of the found solutions so as to satisfy all the prescribed conditions. Various analytical methods of solution can be employed to solve linear problems involving partial dierential equations. Descriptions are included below of the methods of separation of variables, decomposition, Duhamel, Fourier and Laplace transforms and variation of parameters as applied to the solution of selected elliptic, parabolic and hyperbolic problems in partial dierential equations.

A Physical Illustration: Energy Balance and the Steady State Heat Equation

In heat conduction theory, the amount of thermal energy crossing a unit boundary area of material in unit time is f = K (T ) n where T is the temperature and K is the thermal conductivity. The rate of accumulation of thermal energy per unit volume of material per unit time is e = C T t

where is the density and C the specic heat. Considering now a region of size V and total boundary area S , where the thermal properties are constant, an energy balance gives K (T ) nd = K 2 T d = C

T d t

But this must be valid regardless the size of V so that in the limit 2 T = 1 T t

where = K/C is the thermal diusivity. So, heat conduction problems consist of determining T as a function of position and time. At steady state T /t = 0 so that the temperature satises Laplaces equation 2 T = 0

Steady State or Elliptic Problems

Steady state problem encountered in applications are represented by Laplaces equation. Problems involving functions that satisfy Laplaces equations as well as suitable boundary conditions are called elliptic problems. Solutions to Laplaces equation are called harmonic functions. A harmonic function of two variables u(x, y ) possesses the following characteristic properties: From Greens theorem, it is required that u d = 0 n which means that the boundary ux of u cannot be chosen arbitrarily but must average zero over the entire surface. 7

Also, from Greens theorem, if u1 and u2 are two solutions whose values coincide at the boundary [(u2 u1 )]2 d = 0

so that u2 u1 = constant. The constant is zero when the problem involves only prescribed values of u at the boundary (Dirichlet problem) and can be nonzero when the uxes u/n are specied (Neumann problem).


The One-Dimensional Limit of Laplaces Equation

In a three-dimensional rectangular Cartesian system of coordinates (x, y, z ) for the function u(x, y, z ), Laplaces equation is 2 u = 2u 2u 2u + + 2 =0 x2 y 2 z

For a one-dimensional system x [0, L] the above yields d2 u =0 dx2 which is readily solved to give u(x) = Ax + B where the values of the constants A and B must be determined by specifying boundary conditions at x = 0 and x = L. If u(0) = u0 and u(L) = uL , the solution becomes u(x) = uL u0 x + u0 L

The method of separation of variables is a powerful approach designed to obtain solutions of initial and boundary value problems for partial dierential equations. The key assumption made is that the desired solution, being a function of multiple independent variables, can be represented as a product of simpler functions each of which may depend only on a single independent variable. As this assumption is introduced into the original partial dierential equation, systems of initial and/or boundary value problems for ordinary dierential equations result. These can in turn be readily solved using methods learned earlier and the results nally substituted back into the original product function to produce the nal solution. The implementation of the method will be illustrated by solving a few selected elliptic problems.


Laplaces Equation in a Plate

Consider as a rst example the problem of steady state heat conduction in a thin rectangular plate of width l and height d. The edges x = 0, x = l and y = 0 are maintained at u = 0 while at the edge y = d, u(x, d) = f (x). No heat ow along the z direction perpendicular to the plane of the plate. The required temperature u(x, y ) satises 2u 2u + =0 x2 y 2 The goal is to determine the function u(x, y ) that satises the above equation as well as all the boundary conditions. To nd u(x, y ) by separation of variables we assume the a particular solution can be represented as a product of two functions each depending on a single coordinate, i.e. up (x, y ) = X (x)Y (y ) substituting this into Laplaces equation gives 1 d2 Y 1 d2 X = = k2 X dx2 Y dy 2

where k 2 is a constant called the separation constant. The above must be true since the LHS is a function of x alone while the RHS a function of y alone. The constant is selected as k 2 in order to obtain a proper Sturm-Liouville problem for X (with real eigenvalues). A clue about the appropriate choice of the placement of the minus sign above is derived on physical grounds. Note that for a xed value of y , the solution must be zero at x = 0, go through a maximum at x = l/2 and become zero again for x = l. Therefore, a particular solution in terms of simple trigonometric functions can be expected along the x-direction. On the other hand, along the y -direction, at constant x, a monotonically increasing/decreasing function is expected as y changes from zero to d. With the above the original PDE problem has been transformed into a system of two ODEs subject to their own boundary conditions, i.e. X + k2X = 0 subject to X (0) = X (l) = 0 and Y k2Y = 0 subject to Y (0) = 0. The solution for X (x) is readily obtained as the solution of a Sturm-Liouville, eigenvalue problem and is X = Xn = An sin( 9 nx ) l

with eigenvalues kn = n l

for n = 1, 2, 3, .... The solution for Y (y ) is also readily obtained. Yn = Bn sinh( ny ) l

Note that only one boundary condition is employed. Note also that,as a consequence of the eigenvalue structure of the associated ODE problem, for each value of n one can then write up (x, y ) = Xn (x)Yn (x). The most general solution is simply obtained using the principle of superposition, i.e. by a linear combination of individual solutions with dierent values of n, i.e.

u(x, y ) =

Xn (x)Yn (x) =


an sin(

ny nx ) sinh( ) l l

Finally, the coecients an s must now be determined by making the above satisfy the non homogeneous condition at y = d, i.e.

f (x) =


[an sinh(

nx nd )] sin( ) l l

which is a Fourier sine series representation of f (x) with coecients cn = an sinh( so that the nal solution is

2 nd )= l l

l 0

f (x) sin(

nx )dx l

u(x, y ) =

cn sin(

) nx sinh( ny l ) nd l sinh( l )

Therefore, as long as f (x) is representable in terms of Fourier series, the obtained solution converges to the desired solution. Note also that the presence of homogeneous conditions at x = 0, x = l made feasible the determination of the required eigenvalues.


Laplaces Equation in a Cylinder

Consider the problem of determining the electrical potential inside a vertical solid cylinder (radius a, height L) which is maintained at ground potential (u = 0) over its side and


bottom surfaces and is subjected to a potential u = 1) at its upper surface. The problem thus requires determination of the function u(r, z ) satisfying 2 u 1 u 2 u + 2 =0 + r2 r r z subject to u(a, z ) = u(r, 0) = 0 and u(r, L) = 1 Moreover, the resulting function must be nite along the cylinder centerline (r = 0). Separation of variables starts by assuming that the desired solution has the form u(r, z ) = R(r)Z (z ) Substituting into the dierential equation and rearranging yields the following equivalent system of ODEs d dR (r ) + k 2 rR = 0 dr dr d2 Z k2Z = 0 dz 2 where k 2 is the separation constant. Solving the above and incorporating all the homogeneous boundary conditions and the boundedness condition yields

u(r, z ) =

cn J0 (kn r) sinh(kn z )

where the kn s (n = 1, 2, 3, ...) are the positive roots of J0 (kn a) = 0 Finally, the Fourier coecients cn are determined by imposing the remaining boundary condition at z = L, i.e.



[cn sinh(kn L)]J0 (kn r)

which is the Fourier-Bessel series representation of the number 1. Orthogonality of the characteristic functions yields cn = rJ0 (kn r)dr 2 sinh(kn L)a2 J1 (kn a) 11
a 0


Laplaces Equation in a Brick

Consider now Laplaces equation for the function u(x, y, z ) inside a rectangular parallelepiped (length l1 , width l2 , height d) subject to u = 0 on all ve faces except that at z = d which is maintained at u(x, y, d) = f (x, y ). Laplaces equation in this case is 2u 2u 2u + + 2 =0 x2 y 2 z Assume a particular solution is of the form up (x, y, z ) = X (x)Y (y )Z (z ) With the above one has d2 X 2u = Y Z = Y ZX x2 dx2 d2 Y 2u = XZ 2 = XZY y 2 dy and d2 Z 2u = XY = XY Z z 2 dz 2 Substituting into the original PDE yields, after division by XY Z , 1 1 1 X + Y + Z =0 X Y Z which can be rearranged to 1 1 1 Y + Z = X Y Z X But the left hand side is a function of y and z only while the right hand side is a function of x only, therefore, necessarily 1 1 1 2 Y + Z = X = k1 Y Z X Now, rearrangement of the term on the left hand side yields 1 1 2 Z k1 = Y Z Y 12

but the term on the left hand side is a function of z only while the one on the right hand side is a function of y only, thus, necessarily 1 1 2 2 Z k1 = Y = k2 Z Y Two separation constants are needed in this case giving
2 X + k1 X=0

2 Y + k2 Y =0

2 2 Z (k1 + k2 )Z = 0

Note that homogeneous conditions occur at both boundaries in both the x and y directions leading to Xm = Am sin(k1 x) = Am sin( mx ) l1

Yn = Bn sin(k2 y ) = Bn sin( and

ny ) l2

Zmn = Cmn sinh(kmn z )

2 2 2 where kmn = k1 + k2 . The desired solution then becomes

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

Xm (x)Yn (x)Zmn (x) =

m=1 n=1

amn sin(

mx ny ) sin( ) sinh(kmn z ) l1 l2

where the coecients amn must be determined by incorporating the non homogeneous condition. Proceeding as before, this leads to a double Fourier series representation and the coecients amn = 1 4 sinh(kmn d) l1 l2
l1 0 0 l2

f (x, y ) sin(

mx ny ) sin( )dydx l1 l2



Non homogeneous Problems

The procedure for non homogeneous problems will be illustrated with an example from steady state heat conduction theory. Energy is generated internally inside a rectangular plate of conductivity K and dimensions a b at an rate of Q units of energy per unit time per unit volume. Two of the plates edges are insulated while the other two are maintained at zero temperature. The goal is to determine the temperature u(x, y ) inside the plate. The mathematical formulation of the problem consists of the statement of Poissons equation Q 2u 2u + 2 = 2 x y K The (homogeneous) boundary conditions are, at x = 0 for all y u(0, y ) =0 x at y = 0 for all x u(x, 0) =0 y at x = a for all y u(a, y ) = 0 and at y = b for all x u(x, b) = 0 Here we assume a particular solution exists with the following special form u(x, y ) = (x, y ) + (x) such that the original problem can be reformulated as a superposition of two simpler problems; the one-dimensional, non homogeneous problem given by d2 Q =0 + dx2 K subject to d(0) =0 dx and (a) = 0 14

with the solution (x) = x Qa2 [1 ( )2 ] 2K a

And the two-dimensional homogeneous problem given by 2 2 + 2 =0 x2 y subject to (0, y ) =0 x at y = 0 for all x (x, 0) =0 y at x = a for all y (a, y ) = 0 and at y = b for all x (x, b) = (x) which can readily by solved by separation of variables assuming a particular solution of the form (x, y ) = X (x)Y (y ) to give (x, y ) = 2Q aK (1)n cos(n x) cosh(n y ) 3 cosh(n b) n=0 n

where the eigenvalues n are given by n = (2n + 1) 2a

with n = 0, 1, 2, ... Therefore the required solution of the original problem is nally u(x, y ) = Qa2 x 2 {[1 ( )2 ] 3 K a a (1)n cos(n x) cosh(n y ) } 3 cosh(n b) n=0 n 15

Time Dependent Problems

While problems involving PDEs of elliptic type must be solved under prescribed boundary conditions. Initial conditions must be specied in order to solve Hyperbolic PDEs. Parabolic PDEs require specication of both boundary and initial conditions. For elliptic problems (b2 < 4ac) the solution is determined everywhere inside a domain as long as the value of on the boundary of the domain is prescribed. If instead of the value of , that of /n, or more generally that of c1 + c2 /n = c3 is given, the solution is determined within an arbitrary constant. Furthermore, requirements of single-valuedness, boundedness or periodicity may be used in place of boundary values. One thus associates elliptic equations with boundary value problems. In contrast, hyperbolic PDEs (b2 > 4ac) subject to prescribed boundary conditions may have innitely many solutions. However, if say, the values of (x, 0) = f (x) and (x, 0)/y = g (x) are prescribed, a well dened solution exists even for not very well behaved functions f (x) and g (x). The deection of an innitely long vibrating string is governed by the wave equation subject to appropriate initial conditions. However, if the string is nite, boundary conditions appear to be also required but this is not really the case; the problem is a purely initial value problem. One thus associates hyperbolic equations with initial value problems. Parabolic equations (b2 = 4ac) are of an intermediate nature and require specication of both initial and well as boundary conditions. While for < x < , Txx = Tt the prescribed initial distribution of T (x, 0) determines all subsequent values of T (x, t), if 0 < x < L, values of T , T /x or combinations of these are required at x = 0 and x = L.

Parabolic Problems

Here we investigate selected solution methods used to determine the function u(x, t) that satises the linear homogeneous parabolic partial dierential equation 1 u 2 u = t subject to appropriate initial and boundary conditions. As mentioned before, this equation constitutes a mathematical model of the process of diusional transport of atoms in materials and the conduction of thermal energy in solids. It is commonly called the heat equation. The parameter is the thermal diusivity in the case of heat conduction and the diusion coecient in the case of diusional mass transport.


Fundamental Solutions of the Heat Equation

An important set of solutions of the heat equation are associated with the instantaneous release of a xed amount of thermal energy at time t = 0 and a point inside an innite medium and its subsequent dissipation by conduction into the medium. 16

Let a xed amount of energy QCp be released at time t = 0 at the origin of the three dimensional solid of innite extent, initially at u = 0 everywhere. The goal is to determine the function u(r, t). The heat equation is 2u 2u 2u 1 u = + + 2 t x2 y 2 z and this must be solved subject to the initial condition u(x, y, z, 0) = 0 for all x, y, z . No boundary conditions are required in this special case because the medium is assumed to be of innite extent. By dierentiation, one can show that the solution of this problem is u(x, y, z, t) =
2 y 2 +z 2 Q x + 4t e (4t)3/2

This is called a fundamental solution of the heat equation. The solution is useful in the study of thermal explosions where a buried explosive load located at r = 0 is suddenly released at t = 0 and the subsequent distribution of temperature at various distances from the explosion is measured as a function of time. A slight modication of the solution produced by the method of reexion constitutes an approximation to the problem of surface heating of bulk samples by short duration pulses of high energy beams. Similarly, if the heat is released instantaneously at t = 0 but along the z axis, the corresponding fundamental solution is u(x, y, t) = Q x2 +y2 e 4t 4t

where QCp is now the amount of heat released per unit length. Finally, if the heat is instantaneously released at t = 0 but on the entire the y z plane at x = 0 the corresponding fundamental solution is u(x, t) =
x2 Q 4 t e (4t)1/2

where QCp is now the amount of heat released per unit area.


Parabolic Problem in a Rod

The side surface of a thin homogeneous rod of length L is perfectly insulated. Initially, the rod temperature is f (x) but then the temperatures at x = 0 and x = L are xed to 17

new constant values u1 and u2 , respectively. The goal is to determine the function u(x, t) representing the time dependent temperature along the rod. The heat equation for this problem is 2u 1 u = 2 x t subject to u(x, 0) = f (x) u(0, t) = u1 u(L, t) = u2 Since the boundary conditions are inhomogeneous one must apply a decomposition method rst. The key is to represent the desired solution as a simple linear combinations of the solutions to two, simpler problems: a steady state problem subject to non-homogeneous boundary conditions and a transient problem subject to homogeneous boundary conditions, i.e. u(x, t) = uS (x) + uT (x, t) where uS (x) = u1 + (u2 u1 ) and uT (x, t) must satisfy uT (0, t) = uT (L, t) = 0 and be such that uT (x, t) 0 as t . The related transient problem with homogeneous boundary conditions is then 2 uT 1 uT = 2 x t subject to uT (0, t) = 0 uT (L, t) = 0 and an unspecied initial condition. 18 x L

A particular solution for uT (x, t) is readily obtained by separation of variables as follows. Assume uT (x, t) = X (x)(t). Taking derivatives and substituting into the PDE yields the system of ODEs 1 d2 X = 2 X dx2 subject to X (0) = X (L) = 0 and 1 d = 2 dt Where, again, the sign has been selected as indicated since trigonometric type solutions are expected with respect to x and the temperature must be bounded for any value of time. The corresponding solution to the Sturm-Liouville problem for X is Xn (x) = B sin(n x) with the eigenvalues n = n/L for n = 1, 2, ... The appropriate solution for is in turn
2 t) n (t) = C exp(n

Linear combination of the products of the above solutions yields the required solution for the homogeneous problem as

uT (x, t) =


Xn (x)n (t) =


an exp(

n2 2 t nx ) ) sin( 2 L L

The desired solution for the original problem has then the form u(x, t) = uS (x) + uT (x, t) = u1 + (u2 u1 )
x n2 2 t nx + ) an exp( ) sin( L n=1 L2 L

and the remaining coecients an must be determined from the given initial condition, i.e.
x nx ) an sin( u(x, 0) = f (x) = uS (x) + uT (x, 0) = u1 + (u2 u1 ) + L n=1 L

or equivalently
x nx ) f (x) [u1 + (u2 u1 ) ] = an sin( L L n=1

which is readily recognized as the Fourier sine series representation of the function f (x) x [u1 + (u2 u1 ) L ] with the Fourier coecients given by an = nx x )dx = (f (x) [u1 + (u2 u1 ) ]) sin( L L 0 2 L 2 nx = )dx + (u2 cos(n ) u1 ) f (x) sin( L 0 L n 2 L 19


Duhamels Superposition Integral

The boundary conditions in all problems above were independent of time. However, time dependent boundary conditions are often encountered in practice. The Duhamel superposition integral method can be used to solve such problems. To develop the method, consider rst the heat conduction in a thin rod, initially at u(x, 0) = 0, with its surface x = 0 maintained at u(0, t) = 0 and that at x = L subjected to u(L, t) = 1. The solution of this problem is readily obtained by separation of variables and is A(x, t) = 2 x + L nx n2 t/ (1)n sin( )e n L n=1

where = L2 / 2 = CL2 / 2 K . Now, if the boundary temperature is still maintained at u(L, t) = 1 but not beginning at t = 0 but instead from t = 1 > 0, then, necessarily u(x, t) = 0 for t < 1 and u(x, t) = A(x, t 1 ) when t > 1 . Next we consider surface temperature variations consisting of sequences of step changes. The surface temperature at x = L is suddenly raised to F (0) at t = 0. Then at t = 1 there is another sudden rise of magnitude F1 = F (1 ) F (0) that brings the surface temperature to the value F (1 ). Then, at t = 2 , the value is increased again and becomes F (2 ). The process is repeated until the temperature becomes F (n ) at t = n . The temperature eld inside the rod resulting from the sequence of step changes is then simply given by u(x, t) = F (0)A(x, t) + F1 A(x, t 1 ) + F2 A(x, t 2 ) + ... + Fn A(x, t n ) =

= F (0)A(x, t) +

A(x, t k+1 )(

Fk )k k

Finally, assuming that the function F ( ) is dierentiable and that the number of jumps n the solution becomes u(x, t) = F (0)A(x, t) + A d = t 0 0 t t x 2 (1)n A nx 2 2 d = F (t) + [F (0) + ) F ( ) F ( )en / d ]en t/ sin( t L n=1 n L 0 0 A(x, t )F ( )d = A(x, 0)F (t) + F ( )
t t

This is called Duhamels superposition integral.



Fourier Integral Methods

When looking for solutions of parabolic equations in semi innite domains the Fourier Integral Method is often useful. Consider the problem of determining the function u(x, t) for x [0, +] which satises 1 u 2u = 2 x t subject to u(x, 0) = f (x) and u(0, t) = 0 In direct analogy with the situation in a nite domain it is easy to show that a bounded solution of the above has the form up (x, t) = Aev
2 t


where v is an arbitrary constant and A = A(v ). The quantity v is analogous to the eigenvalues that result is nite domain problems except that in this case it assumes continuous rather than discrete values. One can now superimpose solutions of the above form to produce a more general solution. However, an integral rather than a sum is required in this case, i.e. u(x, t) =

A(v )ev

2 t


Since the initial condition must also be satised this requires that f (x) =

A(v ) sin(vx)du

But this is precisely the Fourier sine integral representation of f (x) with Fourier coecients given by A(v ) = 2

f ( ) sin(v )d

Therefore the resulting solution becomes u(x, t) = 2

0 0


2 t

f ( ) sin(v ) sin(ux)ddu


However, since 1 sin(v ) sin(vx) = [cos(v ( x)) cos(v ( + x))] 2 and


a2 x2

cos(bx)dx =

b2 /4a2 e 2a

the required solution can be expressed as 1 u(x, t) = 2 t


f ( )[e(x)

2 /4t


2 /4t


Specically, if f (x) = const = u0 , the solution becomes 2u0 u(x, t) = where 2 erf (z ) = is the error function.
z 0 x/2 t 0

x 2 ev dv = u0 erf ( ) 2 t

ev dv


Laplace Transform Methods

The Laplace transform method is based on reducing the complexity of the original PDE problem for the original variable u(x, t) by converting it into an ODE problem for the transformed variable u (x, s). The simpler problem is then solved and the solution inverse transformed to recover the required temperature distribution. 9.5.1 Review of Basic Formulae

(s) is dened as Consider a real function F (t). The Laplace transform of F (t), L[F (t)] = F (s ) = L[F (t)] = F
t =0

est F (t )dt

The inverse transform (to recover F (t) from L[F (t)]) is the contour integral in the complex plane given by F (t) = 1 2i
+i s= i

(s)ds est F


(s) lie to the left of the imaginary axis. where is large enough that all the singularities of F For the transform and inverse to exist, F (t) must be at least piecewise continuous, of exponential order and tn F (t) must be bounded as t 0+ . Laplace transforms have the following properties: Linearity. (s ) + c 2 G (s ) L[c1 F (t) + c2 G(t)] = c1 F Transforms of Derivatives. (s) F (0) L[F (t)] = sF (s) sF (0) F (0) L[F (t)] = s2 F (s) s2 F (0) sF (0) F (0) L[F (t)] = s3 F (s) sn1 F (0) sn2 F (1) (0) sn3 F (2) (0) ... F L[F (n) (t)] = sn F Transforms of Integrals. Let g (t) = 0t F ( )d (i.e. g (t) = F (t)). L[
t 0 0 n 0 2 t 0 (n1)


1 (s ) F ( )] = F s 1 F (s ) s2 1 F (s ) sn

t 0

F (1 )d1 d2 ] =



F (1 )d1 ...dn ] =

Scale change. Let a > 0 be a real number. 1 s ( ) L[F (at)] = F a a 1 (as) L[F ( t)] = aF a Shift. 23

(s a) L[eat F (t)] = F Transform of translated functions. The translated function is U (t a)F (t a) = where U (t a) = 1 0 t>a t<a F (t a) t > a 0 t<a

The Laplace transform of the translated function is (s ) L[U (t a)F (t a)] = eas F Also L[U (t a)] = eas Transform of the function. L[ (t)] = 1 Transform of convolution. The convolution of two functions f (t) and g (t) is f g = The Laplace transform is (s) L[f g ] = f g (s) Derivatives. (s) is the Laplace transform of F (t) then If F dF (s) = L[(t)F (t)] =F ds dn F (s) = L[(t)n F (t)] =F dsn 24
t 0

1 s

f (t )g ( )d = g f


(s )ds = L[ F (t) ] F t

Functions of More than One Variable Let f (x, t) be a function of the two independent variables x and t. The Laplace transform (x, s) is dened as of f (x, t), L[f (x, t)] = f (x, s) = f

est f (x, t)dt

With this, the following useful formulae are obtained L[ (x, s) f (x, t) df ]= x dx


(x, s) 2 f (x, t) d2 f ] = x2 dx2


f (x, t) (x, s) f (x, 0) ] = sf t

L[ 9.5.2

2 f (x, t) (x, s) sf (x, 0) f (x, 0) ] = s2 f 2 t t

Inversion of Laplace Transforms

The inverse Laplace transform of L[F (t)] is F (t) = 1 2i

+i s= i

(s)ds est F

The integration must be carried out in the complex domain and requires a basic understanding of analytic functions of a complex variable and residue calculus. Fortunately, inversion formulae for many transforms have been computed and are readily available in tabular form. A short table of useful transforms is included below.


(s) F
1 s 1 s2 1 sn as

F (t) 1 t F (t a); t a 0; t < a

k k 4t e 3 2 t k erf c( 2 ) t ak a2 t

ek s 1 k s e s s aek s(a+ s) J0 (ix s) sJ0 (ia s)

(s) F

tn1 (n1)!

e e 12

k )+ s t 2 2 en t/a J0 (n x/a) ; n=1 n J1 (n )

erf c(a t +

k erf c( 2 ) t

n roots of J0 (n ) = 0


Application of Laplace Transform Method to a Parabolic Problem

Consider the problem of determining the bounded function u(x, t) in the semi innite domain x 0 which satises 1 u 2u = 2 x t subject to the initial condition u(x, 0) = 0 and the boundary condition u(0, t) = u0 where u0 is constant. Taking Laplace transforms of the PDE yields s 1 (x, s) d2 u [ s u ( x, s ) u ( x, 0)] = u (x, s) = dx2 with general solution u (x, s) = Aex s/ + Bex s/ But since u(x, t) must be bounded, so is u (x, s) and A = 0. Now taking the Laplace transform of the boundary condition gives u (0, s) = 26 u0 s

Combining the above thus yields u (x, s) = Finally, inverting the transform gives x u(x, t) = u0 erf c( ) 2 t where the complementary error function erf c(z ) = 1 erf (z ) is given by 2 erf c(z ) =

u0 (x/)s e s

exp(z 2 )dz


Method of Variation of Parameters

Note that success with the separation of variables method requires homogeneity in all the boundary conditions or time independence since this reduces the original problem to a set of characteristic value problems and the desired solution can be obtained by superposition. When inhomogeneities are not easily removed alternative methods must be used. In the method of variation of parameters existing inhomogeneities are rst assumed nonexistent and the solution to this problem is expressed as a linear combination of characteristic functions. Next the unknown coecients are replaced by functions of the independent variable which is missing in the eigenfunction solution. Finally, from the above one deduces (ordinary) dierential equations for these functions whose solutions are then used to obtain the desired solution. Consider the non homogeneous heat conduction problem in a rod subject to u(0, t) = u(L, t) = 0 and u(x, 0) = f (x) If h = 0 the solution, obtained by separation of variables, is

2 u T = h(x, t) x2 t

u(x, t) =

an en

2 2 t/L2


nx ) L

where the an s are the Fourier coecients determined by requiring the solution to satisfy the prescribed initial condition. 27

The method of variation of parameters consists of replacing the an s by functions Cn (t) = an (t) exp(n2 2 t/L2 ) which must satisfy the non homogeneous heat equation as well as the initial condition, i.e.

u(x, t) =

Cn (t) sin(

nx ) L

with Cn (t) = 2 L
L 0

u(x, t) sin(

nx )dx L

Now, dierentiating, using the heat equation and integrating by parts yields 2 dCn (t) n2 + Cn (t) = dt L
L 0

h(x, t) sin(

nx )dx L

This is a rst order ODE where the constant of integration is determined from the initial condition giving Cn (t) = an en where an = Consider now the problem subject to u(0, t) = G(t) u(L, t) = F (t) and u(x, 0) = f (x) First, homogenize by subtracting from u the function (x, t) = (x/L)F (t) + (1 x/L)G(t) to obtain the new function v (x, t) satisfying 2 v v = h (x, t) = 2 x t x x h(x, t) + F (t) + (1 )G (t) L L 28 2 u u = h(x, t) x2 t 2 L
L 0
2 t/

2 L

t 0


2 (t )/

L 0

h(x, ) sin(

nx )dx]d L

f (x) sin(

nx )dx L

homogeneous boundary conditions and the initial condition v (x, 0) = f (x) = f (x) The solution for v (x, t) is

x x F (0) (1 )G(0) L L

v (x, t) =

Cn (t) sin(

nx ) L

If h = G = f = 0
x nx ) u(x, t) = F (t) + Cn (t) sin( L L n=1

Cn (t) = en
2 t/


2 L

t 0

2 /

L 0

nx x F ( ) sin( )dx]d } L L

with 2 an = F (0) L
L 0

nx x sin( )dx L L

If a suitable homogenizing function u cannot be determined one assumes instead that the solution is of the form u(x, t) = so that Kn (t) = From the above, necessarily 2n dKn (t) n2 2 + = [G(t) + (1)n+1 F (t)] dt L subject to the initial condition Kn (0) = 2 L
L 0 L 0

2 L

L 0

Kn (t) sin(

nx ) L

2 L

L 0

u(x, t) sin(

nx )dx L

h(x, t) sin(

nx dx L

f (x) sin(

nx )dx L

Substitution of the solution to this IVP into the expression for T above is the solution to the problem. 29


Hyperbolic Problems

Hyperbolic problems consist of determining functions satisfying an hyperbolic partial dierential equation together with suitable initial and boundary conditions. The standard second order hyperbolic linear homogeneous partial dierential equation is the so called wave equation. It describes the amplitude u(r, t) of a wave propagating with speed c, as a function of position and time 2 u = 1 2u c2 t2

Here we discuss a few selected solutions for this equation subject to appropriate conditions.


Vibration of a Taut Elastic String

Consider the case of a taut elastic string of length L = 1,which is held rmly at both ends, deected initially from its equilibrium position by an amount f (x) and released with zero velocity. The mathematical formulation of the problem requires determing the function u(x, t) that satises 1 2u 2u = x2 c2 t2 where c is the velocity of propagation of elastic waves in the string. Moreover, the applicable boundary and initial conditions in this case are u(0, t) = u(1, t) = 0 u(x, 0) = f (x) u |(x, 0) = 0 t Assuming that a solution exists of the form u(x, t) = X (x)T (t), substitution into the above yields X + k2X = 0 subject to X (0) = X (1) = 0, and T + k2T = 0 subject to T (0) = 0. Admissible solutions for X (x) and T (t) are, respectively Xn (x) = An sin(nx) 30

Tn (t) = Bn cos(nt) where n = 1, 2, .... The most general solution then has the form

u(x, t) =

an sin(nx) cos(nt)

The remaining initial condition requires that

u(x, 0) = f (x) =

an sin(nx)

which yields the Fourier coecients an =

1 0

f (x) sin(nx)
1 2 0 (sin(nx))


Vibration of a Circular Membrane

Consider a thin, tightly stretched and uniformly stressed elastic circular membrane subjected to the distributed normal load resulting from its own inertia after being released from rest at time t = 0 from an initial deection F (r, ). The equation governing the (small) deection u(r, ) perpendicular to the plane of the (undamped) membrane is the wave equation 2 u = 1 2u 2 u 1 u 1 2u + + = r2 r r r2 2 c2 t2

where c = T / and T is the tension in the membrane and is its density. If one assumes that a particular solution up of the form up (r, , t) = R(r)()T (t) exists then, necessarily T + 2 T = 0 + k2 = 0 r2 R + rR + ( 2 2 r k 2 )R = 0 c2

where 2 /c2 and k 2 are separation constants. 31

The signs in front of the separation constants have been chosen based on physical considerations. The solution is expected to be periodic not only with respect to the azimuthal direction but also with respect to time t. General solutions for these ODEs are T = E cos t + F sin t = C cos k + D sin k R = AJk ( r r ) + BYk ( ) c c

Single-valuedness requires that k = m = 1, 2, ...; boundedness requires that B = 0 and the boundary condition w(a, , t) = 0 requires that be the positive roots of Jm (a/c) = 0, mn . The resulting solution is then

u(r, , t) =
m=0 n=1

Jm (

mn r )[(amn cos m + bmn sin m) cos mn t + c +(cmn cos m + dmn sin m) sin mn t]

The constants must be determined so that the prescribed initial conditions are also satised. If the initial deection is radially symmetric (i.e. F (r, ) = F (r)) only the m = 0 terms remain and the solution becomes

u(r, t) =

An J0 (

n r ) cos n t c

where An = a2 [J 2 2 1 (n a/c)]
a 0

rF (r)J0 (

n r )dr c

The solution is clearly a superposition of deection modes with frequencies equal to n /2 where n are the positive roots of J0 ( n a )=0 c


Traveling Waves
u(x, t) = f (x ct) + g (x + ct) 32

Recall that the general solution u(x, t) of the wave equation uxx = (1/c2 )utt has the form

The solution f (x ct) can be visualized as a constant curve moving in the positive x-direction at speed c while g (x + ct) is another constant curve moving in the negative x-direction with speed c. These are called traveling waves. Consider a tightly stretched string which at time t = 0 is released from an initial deection f (x) with a velocity g (x) (Cauchy conditions). The lateral deection of the string satises the wave equation 1 2u 2u = 2 2 x2 c t subject to u(x, 0) = f (x) ut (x, 0) = g (x) It can be shown that a solution of the above is given by DAlemberts formula 1 x+ct 1 g ( )d u(x, t) = [f (x + ct) + f (x ct)] + 2 2c xct Further, time-periodic solutions to the wave equation have the form u(x, t) = F (x)eit so that the wave equation becomes F + leading to the general solution u(x, t) = c1 ei(x+ct)/c + c2 ei(xct)/c Which represents periodic plane waves moving along the x-axis. Time periodic spherical and cylindrical waves can be similarly dened starting from the one dimensional wave equation in the corresponding system of coordinates. In this case u(r, t) = F (r)eit For spherical waves the general solution is 1 u(r, t) = [f (r ct) + g (r + ct)] = F (r)eit = r ei(r+ct)/c ei(rct)/c + c2 = c1 r r representing inward and outward traveling waves. While for cylindrical coordinates the general solution is (1) r (2) r u(r, t) = c1 eit H0 ( ) + c2 eit H0 ( ) c c representing again inward and outward traveling waves. Here H0 functions of order zero of rst and second kinds, respectively. 33

2 F =0 c2

and H0 are the Hankel



Pulsating Cylinder

Consider a rigid cylinder pulsating with frequency (radial speed V0 cos t) inside an ideal compressible uid. The velocity potential satises the wave equation 1 2 2 1 = + r2 r r c2 t2 where /r = V is the radial velocity component. The solution, corresponding to outward traveling waves as r is the real part of c = F (r)eit = c2 eit H0 ( where c2 , from the boundary condition, is c2 = so that the velocity eld is V = And as r V V0 ra a cos[ (t )] r c
(2) it H1 (r/c) Re{V0 e } (2) H1 (a/c) (2)

r ) c

c V0 (2) H1 (r/c)


Application of Laplace Transform Method to the Wave Equation

Consider as a second example of the Laplace transform method the problem of nding the solution to the the wave equation in 0 x < 1 2u 2u = 2 2 x2 c t subject to u(0, t) = 0 u(x, 0) = 0 u(x, 0) =1 t 34

Taking Laplace transforms one obtains 1 s2 d2 u u = dx2 c2 c2 subject to u (0, s) = 0 The bounded solution of the above ODE is 1 1 u (x, s) = 2 2 esx/c s s and applying the inverse transform the desired solution becomes u(x, t) = 0; x ; c t x/c t x/c


z = A(x2 + y 2 ) z = B exp(x2 + y 2 ) z = C sin(x2 + y 2 )

1.- Consider the following functions z (x, y )

where A, B, C are constants and show they are all general solutions of the rst order partial dierential equation y z z x =0 x y

2.- Assume that the function (x, y, z ) satises the equation 2 = 0. Show then that the function (x, y, z ) = (ax + by + cz )(x, y, z ) where a, b, c are constants, satises the equation 4 = 0. 3.- Find a solution u(x, y ) to the following problem in x [0, 1], y [0, 1], 2u 2u + =0 x2 y 2 subject to u(0, y ) = u(1, y ) = u(x, 0) = 0 u(x, 1) = sin(x) 35

using the separation of variables method. 4.- Show that the solution u(x, y ) to the following problem in x [0, 1], y [0, ], 2u 2u + =0 x2 y 2 subject to u(0, y ) = u(1, y ) u(x, y ) 0 u(x, 0) = f (x) has the form

u(x, y ) =

cn sin(nx) exp(ny )

with cn = 2
1 0

f (x) sin(nx)dx

5.- Write down the expression for the transient, three dimensional heat equation in generalized orthogonal curvilinear coordinates. Then, introduce the appropriate scale factors and produce expressions for the heat equation in rectangular Cartesian, cylindrical polar and spherical coordinates. 6.- Find a solution u(x, t) to the following problem in x [0, 1], t > 0, 2 u u =0 x2 t subject to u(0, t) = u(1, t) = 0 u(x, 0) = 1 using the separation of variables method. 7.- Find a solution u(r, z ) to the following problem in r [0, a], z [0, Z ], 1 u 2u (r ) + 2 = 0 r r r z 36

subject to u(0, z ) = u(a, z ) = u(r, 0) = 0 r u(r, Z ) = cos( ) 2a using the separation of variables method. 8.- Find a solution u(x, t) to the following problem in x [0, 1], t > 0, 2 u u =0 x2 t subject to u(0, t) = u(x, 0) = 0 u(0, t) = t using Duhamels method. 9.- Use the Laplace transform method to determine the function u(x, t) satisfying 2u 2u = x2 t2 subject to u(0, t) = u(1, t) = 0 u(x, 0) = sin(x) 10.- Find a solution u(x, y ) to the following problem for x [0, 1], y [0, 1], 4u 4u 4u + + =1 x4 y 4 x2 y 2 subject to 2u |x=0 = x2 2u u(x, 0) = u(x, 1) = 2 |y=0 = y u(0, y ) = u(1, y ) = 2u |x=1 = 0 x2 2u |y=1 = 0 y 2