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Mathematics-III

MTH-203

T. Muthukumar
tmk@iitk.ac.in
I Semester, 2011-12
Contents

Contents
1 Lecture-23
1.1 Eigenvalue Problem . .
1.2 Sturm-Liouville Problem
1.3 Orthogonality . . . . . .
1.4 Singular Problems . . .

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2
2
4
5
6

2 Lecture-24
2.1 Periodic Functions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
2.2 Fourier Series . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
2.3 Piecewise Smooth . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

7
7
8
10

3 Lecture-25
3.1 Orthogonality . . . . . . .
3.2 Odd-Even Functions . . .
3.3 Fourier Sine-Cosine Series
3.4 Fourier Integral . . . . . .

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11
11
12
12
13

4 Lecture-26
4.1 PDE-Introduction . .
4.2 Gradient and Hessian
4.3 PDE . . . . . . . . . .
4.4 Types of PDE . . . . .
4.5 PDE-Solution . . . . .
4.6 Well Posedness . . . .

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14
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16

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5 Lecture - 27
17
5.1 First order PDE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17
5.2 Solving First Order PDE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17
6 Lecture - 28
18
6.1 Transport Equation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18
6.2 Cauchy Problem . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19

7 Lecture - 29
21
7.1 Second Order PDE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21
7.2 Classification . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21
7.3 Standard Forms . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23
8 Lecture - 30
24
8.1 Three Basic Linear PDE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24
8.2 Laplace Equation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25
9 Lecture - 31
25
9.1 Dirichlet Problem . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25
9.2 DP On Rectangle . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25
10 Lecture - 32
28
10.1 Laplace Equation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28
10.2 Laplacian on a 2D-Disk . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28
11 Lecture - 33
30
11.1 Laplace Equation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30
11.2 Laplacian on a 3D-Sphere . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 31
12 Lecture-34
12.1 Eigenvalues of Laplacian
12.2 Computing Eigenvalues
12.3 In Rectangle . . . . . .
12.4 In Disk . . . . . . . . .
12.5 Bessels Function . . . .

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35

13 Lecture - 35
36
13.1 1D Heat Equation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 36
13.2 Solving for Circular Wire . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 38
14 Lecture - 36
39
14.1 1D Wave Equation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 39
15 Lecture - 37
41
15.1 Duhamels Principle . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 41
16 Lecture - 38
44
16.1 dAlemberts Formula . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 44

Lecture-23

1.1

Eigenvalue Problem

Motivation
Consider the problem,
y 00 (x) + y(x) = 0 x (a, b).
For a given R, we know the general solution, depending on whether < 0, = 0 or > 0.
What if is unknown too?
Note that y 0 is a trivial solution, for all R.
2

Eigenvalue problem
Definition 1.1. For a differential operator L, we say
Ly(x) = y(x)
to be the eigenvalue problem (EVP) corresponding to the differential operator L, where both and y are
unknown.
In an EVP we need to find all R for which the given ODE (equation) is solvable.
Does EVP ring any bell? Any similarity with diagonalisation of matrices from Linear Algebra? Think
about it!
Eigenvalues and Eigen Functions
Example 1.1. For instance, if L =

d2
dx2

then its corresponding eigenvalue problem is


y 00 = y.

Definition 1.2. A R, for which the EVP corresponding to L admits a non-trivial solution y is called
an eigenvalue of the operator L and y is said to be an eigen function corresponding to .
Explicit Computation
Consider the boundary value problem,


y 00 + y = 0 x (0, a)
y(0) = y(a) = 0.

This is a second order ODE with constant coeffcients.


Its characteristic equation is m2 + = 0.

Solving for m, we get m = .


Note that the can be either zero, positive or negative.
If = 0, then y 00 = 0 and the general solution is y(x) = x + , for some constants and .
Since y(0) = y(a) = 0 and a 6= 0, we get = = 0. Thus, we have no non-trivial solution corresponding
to = 0.
< 0, Negative
If < 0, then = > 0.

Hence y(x) = e

+ e

Using the boundary condition y(0) = y(a) = 0, we get = = 0 and hence we have no non-trivial
solution corresponding to negative s.

> 0, Positive

If > 0, then m = i and y(x) = cos( x) + sin( x).

Using the boundary condition y(0) = 0, we get = 0 and y(x) = sin( x).

Using y(a) = 0 (and = 0 yields trivial solution), we assume sin( a) = 0.


Thus, = (k/a)2 for each non-zero k N (since > 0).
Hence, for each k N, there is a solution (yk , k ) with


kx
yk (x) = sin
,
a
and k = (k/a)2 .
Properties of Eigenvalues
Notice the following properties of the eigenvalues and eigen functions.
We have discrete set of s such that 0 < 1 < 2 < 3 < . . . and n .
The eigen functions y corresponding to form a subspace of dimension one (Assignment!), i.e.,
if y is an eigen function corresponding to , then y , for all R, is also an eigen function
corresponding to .
All the operators L (in one dimension) to which these properties can be generalised are classified as SturmLiouville operators.

1.2

Sturm-Liouville Problem

Sturm-Liouville Operator
We say an operator L is Sturm-Liouville operator (S-L) if


1 d
d
L=
p(x)
q(x) dx
dx
where p, q : [a, b] R is a continuous functions
such that p(x) > 0 and q(x) > 0
and p is continuously differentiable in (a, b).
If p q 1, we get the operator

d2
.
dx2

Sturm-Liouville Problem
Consider the Sturm-Liouville (S-L) problem,
(


dy
d
p(x)
x (a, b)
dx
dx + q(x)y = 0
y(a) = y(b) = 0.
Note that, for all R, zero is a trivial solution of S-L problem.
Thus, we are interested in s for which S-L problem has non-trivial solutions.
4

Solution Space and Eigen Space


Let V0 be the real vector space of all y : [a, b] R such that y(a) = y(b) = 0.
If is an eigenvalue for S-L operator, we define the subspace of V0 as
W = {y V0 | y solves S-L problem}.
Existence
Theorem 1.3. Under the hypotheses on p and q, there exists an increasing sequence of eigenvalues
0 < 1 < 2 < 3 < . . . < n < . . . with n
and Wn = Wn is one-dimensional.
Conversely, any solution y of the S-L problem is in Wn , for some n.

1.3

Orthogonality

Inner Product
We define the following inner product in the solution space V0 ,
b

Z
hf, gi :=

q(x)f (x)g(x) dx.


a

Definition 1.4. We say two functions f and g are perpendicular or orthogonal with weight q
if hf, gi = 0.
we say f is of unit length if its norm kf k =

p
hf, f i = 1.

Orthogonality of Eigenfunctions
Theorem 1.5. With respect to the inner product defined above in V0 , the eigen functions corresponding to
distinct eigenvalues of the S-L problem are orthogonal.
Proof
Proof. Let yi and yj are eigen functions corresponding to distinct eigenvalues i and j . We need to show
that hyi , yj i = 0. Recall that L is the S-L operator and hence Lyk = k yk , for k = i, j.Consider
Z
i hyi , yj i =

hLyi , yj i =

qLyi yj dx
a


Z b
dyi
dyi dyj (x)
yj (x) =
p(x)
dx
dx
dx dx
a
a


Z b
d
dyj

yi (x)
p(x)
= hyi , Lyj i = j hyi , yj i.
dx
dx
a
Z

=
=

d
dx

p(x)

Thus (i j )hyi , yj i = 0. But i j 6= 0, hence hyi , yj i = 0.

1.4

Singular Problems

Singular Problems
What we have seen is the Regular S-L problems.
It is regular because the interval under consideration (a, b) was finite and the functions p(x) and q(x)
were positive and continuous on the whole interval.
We say a problem is Singular,
if the interval is infinite or
interval is finite, but p or q vanish at one (or both) endpoints or
interval is finite, but p or q is discontinuous at one (or both) endpoints.
Legendre Equation
The Legendre equation
(1 x2 )y 00 2xy 0 + y = 0

for x [1, 1].

is an example of a singular S-L problem.


This is easily seen by rewriting the Legendre equation as


d
2 dy
(1 x )
+ y = 0 for x [1, 1].
dx
dx
q 1 and p(x) = 1 x2 vanish at the endpoints x = 1.
Solving Legendre Equation
The end points x = 1 are regular singular point.
The coefficients P (x) =
convergence R = 1.

2x
1x2

and Q(x) =

1x2

We look for power series form of solutions y(x) =


a2 =

a0
2 ,

a3 =

(2)a1
6

and for k 2, ak+2 =

are analytic at x = 0, the origin with radius of


P

k=0

ak xk .

(k(k+1))ak
(k+2)(k+1) .

y(x) = a0 y1 +a1 y2 , where y1 , y2 are infinite series containing only even and odd powers of x, respectively.
In particular, y1 and y2 are solutions to the Legendre equations, by choosing a0 = 1, a1 = 0 and
viceversa.
Legendre Polynomial
Note that, for k 2,
ak+2 =

(k(k + 1) )ak
.
(k + 2)(k + 1)

Hence, for any n 2, if = n(n + 1), then an+2 = 0 and hence every successive (even or odd) term is
zero.
Also, if = 1(1 + 1) = 2, then a3 = 0.
If = 0(0 + 1) = 0, then a2 = 0.
Thus, for each n N {0}, we have n = n(n + 1) and a polynmial Pn of degree n which is a solution
to the Legendre equation.
6

Lecture-24

2.1

Periodic Functions

Periodic Functions
Definition 2.1. A function f : R R is said to be periodic of period T , if T > 0 is the smallest number
such that
f (t + T ) = f (t) t R.
Such functions are also called T -periodic functions.
Example 2.1.

sin t and cos t are 2-periodic functions.

sin 2t and cos 2t are -periodic functions.


Constructing T -periodic Functions
Given a L-periodic function g, one can always construct a T -periodic as: f (t) = g(Lt/T ).

is a T -periodic function.
For instance, f (t) = sin 2t
T






2(t + T )
2t
2t
sin
= sin
+ 2 = sin
.
T
T
T
In fact, for any positive integer k, sin

2kt
T

and cos

2kt
T

are T -periodic functions.

Periodic Sturm-Liouville Problem


Consider the boundary value problem,
00
y + y = 0
y() = y()
0
y () = y 0 ().

in (, )

Its characteristic equation is m2 + = 0.

Solving for m, we get m = .


Note that the can be either zero, positive or negative.
If = 0, then y 00 = 0 and the general solution is y(x) = x + , for some constants and .
Since y() = y(), we get = 0. Thus, for = 0, y a constant is the only non-trivial solution.
< 0, Negative
If < 0, then = > 0.

Hence y(x) = e

+ e

Using the boundary condition y() = y(), we get = and using the other boundary condition,
we get = = 0.
Hence we have no non-trivial solution corresponding to negative s.

> 0, Positive

If > 0, then m = i and y(x) = cos( x) + sin( x).


Using the boundary condition, we get

cos( ) + sin( ) = cos( ) + sin( )


and

sin( ) + cos( ) = sin( ) + cos( ).

Thus, sin( ) = sin( ) = 0.

For a non-trivial solution, we must have sin( ) = 0.


Thus, = k 2 for each non-zero k N (since > 0).
Hence, for each k N, there is a solution (yk , k ) with
yk (x) = k cos kx + k sin kx,
and k = k 2 and for 0 , we have y0 = 0 .
Consider the series (eigen function expansion)
y(x)

ak yk = a0 0 +

k=0

2.2

ak (k cos kx + k sin kx) .

k=1

Fourier Series

Fourier Series
Let f : R R be a T -periodic function. We also know that, for any positive integer k, sin

are T -periodic functions.
cos 2kt
T
Can we find sequences {ak } and {bk } in R, and a0 R such that the infinite series
a0 +


X


ak cos

k=1

2kt
T


+ bk sin

2kt
T

2kt
T

and



converges to f (t) for some or all t R?


Computing Fourier coefficients
To simplify notations, let us consider a 2-periodic function f , however, same ideas will work for a
T -periodic function. Let f be a function such that the infinite series
a0 +

(ak cos kt + bk sin kt)

k=1

converges uniformly to f . Thus,


f (t) = a0 +

(ak cos kt + bk sin kt).

k=1

(1)

Formulae for a0 , ak s and bk s


By integrating both sides of (1) from to ,
Z

a0 +

f (t) dt =

!
(ak cos kt + bk sin kt)

k=1

Z
a0 (2) +

dt

k=1

!
(ak cos kt + bk sin kt)

dt

Since the series converges uniformly to f , then we can interchange integral and series. Thus,
Z

f (t) dt = a0 (2) +

But we know that

Z
X

sin kt dt =


(ak cos kt + bk sin kt) dt

k=1

k N.(Exercise!)

cos kt dt = 0,

Hence,
a0 =

1
2

f (t) dt.

To find the coefficients ak , for each fixed k, we multiply both sides of (1) by cos kt and integrate from
to . Consequently, we get
Z
Z
f (t) cos kt dt = a0
cos kt dt

+
Z

Z
X

j=1

(aj cos jt cos kt + bj sin jt cos kt) dt

ak cos kt cos kt dt = ak .

Similar argument after multiplying by sin kt gives the formula for bk s. Thus, we derived, for all k N,
Z
1
f (t) cos kt dt
ak =

Z
1
f (t) sin kt dt
bk =

Z
1
f (t) dt.
a0 =
2

Exercises
For any m 0 and n positive integer

cos nt cos mt dt =

Hence,

cos
kt

is of unit length.

, for m = n
0, for m 6= n.

sin nt sin mt dt =

Hence,

sin
kt

, for m = n
0, for m 6= n.

is of unit length.

sin nt cos mt dt = 0.

Fourier Series and Coeffcients


Definition 2.2. For any T -periodic function f : R R,
a0 , ak and bk , for all k N, as defined previously are called the Fourier coefficients of f .
Further, the infinite series





X
2kt
2kt
a0 +
ak cos
+ bk sin
,
T
T

(2)

k=1

is called the Fourier series of f .


Some Questions
Given a 2-periodic function f : R R and we know how to find the Fourier coefficients of f
Will the Fourier series of f
a0 +

(ak cos kt + bk sin kt)

k=1

converge?
If it converges, will it converge to f ?
If so, is the convergence point-wise or uniform etc
are questions one can ask and will not be dealt with in this course.
An Answer
Answering our question, in all generality, is rather difficult at this stage. However, we shall answer it in
a simple version which will suffice our purposes:
Theorem 2.3. If f : R R is a continuously differentiable (derivative f 0 exists and is continuous) T periodic function, then the Fourier series of f converges to f (t), for every t R.

2.3

Piecewise Smooth

Piecewise Smooth
Is continuity necessary for a function to admit Fourier expansion?
Definition 2.4. A function f : [a, b] R is said to be piecewise continuously differentiable if it has a
continuous derivative f 0 in (a, b), except at finitely many points in the interval [a, b] and at each these finite
points, the right-hand and left-hand limit for both f and f 0 exist.

10

Example
Consider f : [1, 1] R defined as f (t) = |t| is continuous. It is not differentiable at 0, but it is
piecewise continuously differentiable.
Consider the function f : [1, 1] R defined as

1, for 1 < t < 0,


f (t) = 1,
for 0 < t < 1,

0,
for t = 0, 1, 1.
It is not continuous, but is piecewise continuous. It is also piecewise continuously differentiable.
Theorem 2.5. If f is a T -periodic piecewise continuously differentiable function,
then the Fourier series of f converges to f (t), for every t at which f is smooth.
At a non-smooth point t0 , the Fourier series of f will converge to the average of the right and left limits
of f at t0 .

Lecture-25

3.1

Orthogonality

Orthogonality
Let V be the real vector space of all 2-periodic real valued continuous function on R.
We introduce an inner product in V . For any two elements f, g V , we define:
Z
hf, gi :=
f (t)g(t) dt.

The inner product generalises to V the properties of scalar product in Rn (Exercise!).


Recall the definition
Definition 3.1. We say two functions f and g are perpendicular or orthogonal
if hf, gi = 0.
we say f is of unit length if its norm kf k =
Set, for k N,

1
e0 (t) = ,
2

p
hf, f i = 1.

cos kt
sin kt
ek (t) =
and fk (t) = .

Example 3.1. e0 , ek and fk are all of unit length. he0 , ek i = 0 and he0 , fk i = 0. Also, hem , en i = 0 and
hfm , fn i = 0, for m 6= n. Further, hem , fn i = 0 for all m, n.
In this new formulation, we can rewrite the formulae for the Fourier coefficients as:
1
a0 = hf, e0 i,
2

1
1
ak = hf, ek i and bk = hf, fk i.

and the Fourier series of f has the form,

1
1 X
f (t) = hf, e0 i +
(hf, ek i cos kt + hf, fk i sin kt) .

2
k=1

11

3.2

Odd-Even Functions

Odd and Even functions


Definition 3.2. We say a function f : R R is odd if f (t) = f (t) and even if f (t) = f (t).
Example 3.2. All constant functions are even functions. For all k N, sin kt are odd functions and cos kt
are even functions.
Any odd function is always orthogonal to an even function (Exercise!).
The Fourier series of an odd or even functions will contain only sine or cosine parts, respectively.
Because, if f is odd
hf, 1i = 0 and

hf, cos kti = 0

and hence a0 = 0 and ak = 0.


If f is even
hf, sin kti = 0
and bk = 0.

3.3

Fourier Sine-Cosine Series

Fourier Sine-Cosine Series


Let f : [0, T ] R be a piecewise smooth function such that f (0) = f (T ) = 0.
Then we claim that f has a Fourier series consisting only of sine terms or only of cosine terms.
To compute the Fourier Sine series of f , we extend f to [T, T ] as
(
f (t),
for t [0, T ]

f (t) =
f (t) , for t [T, 0].

Fourier Sine Series


f is a 2T -periodic function and we extend it to all of R as a 2T -periodic function.
By our construction f is an odd function.
Since f is odd, the cosine coefficients ak and the constant term a0 vanishes in Fourier series of f.
The restriction of the Fourier series of f to f in the interval [0, T ] gives the Fourier sine series of f .
Fourier Sine Series
f (t) =


bk sin

k=1

bk

1
T

1
T

1
T

2
T

kt
T


where



Z
1 T
kt
=
f (t) sin
dt
T T
T
"Z



 #
Z T
0
kt
kt
f (t) sin
dt +
f (t) sin
dt
T
T
T
0
"Z



 #
Z T
0
kt
kt
f (t) sin
dt +
f (t) sin
dt
T
T
T
0


Z T
kt
f (t) sin
dt.
T
0


f, sin

kt
T



12

(3)

Fourier Cosine Series


Similarly, we could have extended f to f as,
(
f (t), for t [0, T ]

f (t) =
f (t) , for t [T, 0].
f is, now, an even function which can be extended as a 2T -periodic function to all of R. The Fourier series
of f has no sine coefficients, bk = 0. The restriction of the Fourier series of f to f in the interval [0, T ] gives
the Fourier cosine series of f .
Fourier Cosine Series

f (t) = a0 +


ak cos

kt
T

k=1

where
2
ak =
T

f (t) cos
0

and
1
a0 =
T

3.4

kt
T


(4)

dt

f (t) dt.
0

Fourier Integral

Non-periodic functions
We know that the Fourier series of a 2-periodic function f is given as
f (t) = a0 +

(ak cos kt + bk sin kt)

k=1

where a0 , ak and bk can be computed from f .


Can we generalise the notion of Fourier series of f , for a non-periodic function f ?
Yes! How?
Note that the periodicity of f is captured by the integer k appearing with sin and cos.
To generalise for non-periodic functions, we shall replace k with a real number .
Fourier Integral
Note that when we replace k with , the sequences ak , bk become functions of and the series is replaced
with integral over R.
Definition 3.3. If f : R R is a piecewise continuous function which vanishes outside a finite interval,
then its Fourier integral is defined as
Z
f (t) =
(a() cos t + b() sin t) d,
0

13

where

a()

b()

Z
1
f (t) cos t dt

Z
1
f (t) sin t dt.

Lecture-26

4.1

PDE-Introduction

Partial Derivatives
Let u : R2 R be a two variable function,then its partial derivative (if limit exists) with respect to x is
given as,
u
u(x + h, y) u(x, y)
ux =
(x, y) := lim
.
h0
x
h
Similarly, one can consider partial derivative w.r.t y-variable and higher order derivatives, as well.
Multi-index Notation
Let = (1 , . . . , n ) be an n-tuple of non-negative integers.Let || = 1 + . . . + n . Consider the
derivative of || order
n
||
1
.
.
.
=
= D .
x1 1
xn n
x1 1 . . . xn n
If = (1, 2) then || = 3 and D =

3
xy 2 .

If = (2, 1) then || = 3 and D =

3
x2 y .

If = (1, 1) then || = 2 and D =

2
xy

4.2

2
yx .

Gradient and Hessian

Gradient and Hessian Matrix


Let a n-variable function u admits partial derivatives, then


u
u
Du = u :=
,...
= (ux1 , . . . , uxn )
x1
xn
is called the gradient vector of u. If u admits second order partial derivatives, then we arrange them in a
n n matrix (called the Hessian matrix),

D u=

2u
x21
2u
x2 x1
2u
xn x1

...
...
..
.
...

2u
x1 xn
2u
x2 xn
2u
x2n

nn

14

ux1 x1
ux1 x2

ux1 xn

...
...
..
.
...

uxn x1
uxn x2

uxn xn nn

Example
Example 4.1. Let u(x, y) : R2 R be u(x, y) = ax2 + by 2 . Then
u = (ux , uy ) = (2ax, 2by).

 

uxx uyx )
2a 0
2
D u=
=
uxy uyy
0 2b
2

Note that, for convenience, we can view u : R2 R2 and D2 u : R2 R2 = R2 , by assigning some


ordering to the partial derivatives .

4.3

PDE

Definition
Definition 4.1. Let be an open subset of Rn . A k-th order PDE F is a given map
k

F : Rn Rn

k1

. . . Rn R R

having the form



F Dk u(x), Dk1 u(x), . . . Du(x), u(x), x = 0,

(5)

for each x and u : R is the unknown.


Example
Example 4.2. A first order PDE of a two variable function u(x, y) will be of the form
F (ux , uy , u, x, y) = 0.
If u(x, y, z) is a three variable function, then
F (ux , uy , uz , u, x, y, z) = 0.

4.4

Types of PDE

Linear PDE
Definition 4.2. We say F is linear if (5) has the form
X
a (x)D u(x) = f (x)

for x ,

||k

for some given function f and a (1 || k). If f 0, we say F is homogeneous, else F is inhomogeneous
or non-homogeneous.
Example
Example 4.3.

1.
a1 (x)uxx + a2 (x)uxy + a3 (x)uyy + a4 (x)ux + a5 (x)uy = a6 (x)u.

2.
xuy yux = u.

15

Semilinear PDE
Definition 4.3. F is said to be semilinear, if it is linear in the highest order, i.e., F has the form
X
a (x)D u(x) + a0 (Dk1 u, . . . , Du, u, x) = 0.
||=k

Example 4.4.
ux + uy u2 .
Quasi and Non-linear
Definition 4.4. We say F is quasilinear if it has the form
X
a (Dk1 u(x), . . . , Du(x), u(x), x)D u
||=k

+a0 (Dk1 u, . . . , Du, u, x) = 0.


Finally, we say F is fully nonlinear if F is neither of the earlier form.
Example 4.5. ux + uuy u2 is quasilinear and ux uy u is nonlinear.

4.5

PDE-Solution

Notion of Solution
Definition 4.5. We say u : R is a solution to the k-th order PDE (5),
if u is k-times differentiable with the k-th derivative being continuous
and u satisfies the equation (5).
Henceforth, whenever we refer to a function as smooth, we mean that we are given as much differentiability
and continuity as we need.

4.6

Well Posedness

BVP, IVP and Well-posedness


A problem involving a PDE could be a boundary-value problem (we look for a solution with prescribed
boundary value).
or a initial value problem (a solution whose value at initial time is known).
A BVP or IVP is said to be well-posed, in the sense of Hadamard, if
(a) has a solution (existence)
(b) the solution is unique (uniqueness)
(c) the solution depends continuously on the data given (stability).

16

Lecture - 27

5.1

First order PDE

First Order PDE: Origin


Let A R2 be an open subset. Consider
u : R2 A R
a two parameter family of smooth surfaces in R3 , u(x, y, a, b), where (a, b) A. For instance, u(x, y, a, b) =
(x a)2 + (y b)2 is a family of circles with centre at (a, b). Differentiate w.r.t x and y, we get ux (x, y, a, b)
and uy (x, y, a, b), respectively. Eliminating a and b from the two equations, we get a first order PDE
F (ux , uy , u, x, y) = 0
whose solutions are the given surfaces u.
Example
Consider the family of circles
u(x, y, a, b) = (x a)2 + (y b)2 .
Thus, ux = 2(x a) and uy = 2(y b) and eliminating a and b, we get
u2x + u2y 4u = 0
is a first order PDE. Do the assignments for more examples.

5.2

Solving First Order PDE

Method of Characteristics
We restrict ourselves to a function of two variables to fix ideas (and to visualize geometrically), however,
the ideas can be carried forward to functions of several variable.
Method of characteristics is a technique to reduce a given first order PDE to a system of ODE and
then solve the ODE using known methods to obtain the solution of the first order PDE.
Linear First Order PDE
Consider first order linear equation of two variable:
a(x, y)ux + b(x, y)uy = c(x, y).

(6)

We need to find u(x, y) that solves above equation.


This is equivalent to finding the graph (surface) S {(x, y, u(x, y))} of the function u in R3 .
Integral Surface
If u is a solution of (6), at each (x, y) in the domain of u,
a(x, y)ux + b(x, y)uy

c(x, y)

a(x, y)ux + b(x, y)uy c(x, y)

(a(x, y), b(x, y), c(x, y)) (ux , uy , 1)

(a(x, y), b(x, y), c(x, y)) (u(x, y), 1)

0.

But (u(x, y), 1) is normal to S at the point (x, y).


Hence, the coefficients (a(x, y), b(x, y), c(x, y)) are perpendicular to the normal.
Thus, the coefficients (a(x, y), b(x, y), c(x, y)) lie on the tangent plane to S at (x, y, u(x, y)).
17

Characteristic Equations
Solving the given first order linear PDEF is finding the surface S for which (a(x, y), b(x, y), c(x, y)) lie
on the tangent plane to S at (x, y, z).
The surface is the union of curves which satisfy the property of S.
Thus, for any curve S such that at each point of , the vector V (x, y) = (a(x, y), b(x, y), c(x, y) is
tangent to the curve.
Parametrizing the curve by the variable s, we see that we are looking for the curve = {x(s), y(s), z(s)}
R3 such that
dy
dx
= a(x(s), y(s)),
= b(x(s), y(s)),
ds
ds
dz
and
= c(x(s), y(s)).
ds
Example-Transport Equation
The three ODEs obtained are called characteristic equations. The union of these characteristic (integral)
curves give us the integral surface.
Example: Consider the linear transport equation, for a given constant a,
ut + aux = 0,

x R and t (0, ).

Thus, the vector field V (x, t) = (a, 1, 0). The characteristic equations are
dx
= a,
ds

dt
dz
= 1, and
= 0.
ds
ds

Solving Transport Equation


Solving the 3 ODEs, we get
x(s) = as + c1 ,

t(s) = s + c2 , and z(s) = c3 .

Eliminating the parameter s, we get the curves (lines) x at = a constant and z = a constant.
z = u(x, t) is constant along the lines x at = a constant.
That is, z is a function of x at, it changes value only when you switch between the lines. x at. Thus,
for any function g (smooth enough)
u(x, t) = g(x at)
is a general solution of the transport equation. Because,
ut + aux = g 0 (x at)(a) + ag 0 (x at) = 0.
Also, u(x, 0) = g(x).

6
6.1

Lecture - 28
Transport Equation

Inhomogeneous Transport Equation


Given a constant a R and a function f (x, t) , we wish to solve the inhomogeneous linear transport
equation,
ut (x, t) + aux (x, t) = f (x, t), x R and t (0, ).
18

As before, the first two ODE will give the projection of characteristic curve in the xt plane, x at =
a constant, and the third ODE becomes
dz(s)
= f (x(s), t(s)).
ds
Lets say we need to find the value of u at the point (x0 , t0 ). The line passing through (x0 , t0 ) with slope
1/a is given by the equation x at = , where = x0 at0 .
If z has to be on the integral curve, then z(s) = u( + as, s).
Hence set z(s) := u( + as, s) and let (s) = + as be the line joining (, 0) and (x0 , t0 ) as s varies from
0 to t0 .
The third ODE becomes,
dz(s)
= f ((s), s) = f ( + as, s).
ds
Integrating both sides from 0 to t0 , we get
Z t0
f (x0 a(t0 s), s) ds = z(t0 ) z(0)
0

= u(x0 , t0 ) u(x0 at0 , 0).


Thus,
Z
u(x, t) = u(x at, 0) +

f (x a(t s), s) ds.


0

6.2

Cauchy Problem

Cauchy Problem
Recall that the general solution of the transport equation depends on the value of u at time t = 0, i.e.,
the value of u on the curve (x, 0) in the xt-plane.
Thus, the problem of finding a function u satisfying the first order PDE
a(x, y)ux + b(x, y)uy = c(x, y).
such that u is known on a curve in the xt-plane is called the Cauchy problem.
The question that arises at this moment is that: Does the knowledge of u on any curve lead to
solving the first order PDE.
The answer is: No.
Non-Characteristic Boundary Data
Suppose, in the transport problem, we choose the curve = {(x, t) | x at = 0}, then we had no
information to conclude u off the line x at = 0.
The characteristic curves should emanate from to determine u.
Thus, only those curves are allowed which are not characteristic curves, i.e., (a, b) is nowhere tangent
to the curve.

19

Definition 6.1. We say = {1 (r), 2 (r)} R2 is noncharacteristic for the Cauchy problem

a(x, y)ux + b(x, y)uy = c(x, y) (x, y) R2
u =
on
if is nowhere tangent to (a(1 , 2 ), b(1 , 2 )), i.e.,
(a(1 , 2 ), b(1 , 2 )) (20 , 10 ) 6= 0.
If is not noncharacteristic, then the Cauchy problem is not well-posed.
Transport Equation: IVP
For any given (smooth enough) function : R R,

ut + aux = 0
x R and t (0, )
u(x, 0) = (x) x R.
We know that the general solution of the transport equation is u(x, t) = g(x at) for some g. In the IVP,
in addition, we want the initial condition u(x, 0) to be satisfied. Thus,
u(x, 0) = g(x) = (x).
Thus, by choosing g = , we get the precise solution of the IVP.
Let be the (boundary) curve where the initial value is given, i.e., {(x, 0)}, the x-axis of xt-plane.
We have been given the value of u on . Thus, (, ) = {(x, 0, (x))} is the known curve on the solution
surface of u.
We parametrize the curve with r-variable, i.e., = {1 (r), 2 (r)} = {(r, 0)}.
is non-characteristic, because (a, 1) (0, 1) = 1 6= 0.
Thus, in this setup the ODEs are:
dt(r, s)
dz(r, s)
= 1, and
=0
ds
ds

dx(r, s)
= a,
ds
with initial conditions,
x(r, 0) = r,

t(r, 0) = 0, and z(r, s) = (r).

Solving the ODEs, we get


x(r, s) = as + c1 (r),

t(r, s) = s + c2 (r)

and z(r, s) = c3 (r) with initial conditions


x(r, 0) = c1 (r) = r
t(r, 0) = c2 (r) = 0, and z(r, 0) = c3 (r) = (r).
Therefore,
x(r, s) = as + r,

t(r, s) = s, and z(r, s) = (r).

We solve for r, s in terms of x, t and set u(x, t) = z(r(x, t), s(x, t)).
r(x, t) = x at and s(x, t) = t.
Therefore, u(x, t) = z(r, s) = (r) = (x at).

20

Lecture - 29

7.1

Second Order PDE

Second Order PDE


A general second order PDE of a n-variable function u is of the form,
F (D2 u, Du, u, x) = 0 x Rn .
Before we attempt to solve second order PDE, we shall classify the second order linear PDE.
We shall restrict ourselves to a function of two variables to fix ideas, however, the ideas can be carried
forward to functions of several variable.

7.2

Classification

Classification of II order PDE


Consider the second order linear PDE in two variables (x, y) R2 ,
A(x, y)uxx + 2B(x, y)uxy + C(x, y)uyy = D(x, y, u, ux , uy )

(7)

where u, ux , uy appear linearly in the function D.


One of the coefficients A, B or C is identically non-zero (to make the PDE second order).
The classification of PDE is founded on the observation that the representation of a PDE depends on
the choice of the coordinate system (origin).
Change of Variable
Our first aim is to rewrite the given II order PDE in different coordinate system.
Let w(x, y), z(x, y) be a new pair of independent variable such that w, z are both continuous and twice
differentiable w.r.t (x, y).
We also assume that the Jacobian J,

w
J = x
zx


wy
6 0,
=
zy

because a nonvanishing Jacobian ensures the existence of a one-to-one transformation between (x, y)
and (w, z).
We get
ux

uw wx + uz zx ,

uy

uw wy + uz zy ,

uxx

uww wx2 + 2uwz wx zx + uzz zx2 + uw wxx + uz zxx

uyy

uww wy2 + 2uwz wy zy + uzz zy2 + uw wyy + uz zyy

uxy

uww wx wy + uwz (wx zy + wy zx ) + uzz zx zy + uw wxy


+ uz zxy

Substituting above equations in (7), we get


a(w, z)uww + 2b(w, z)uwz + c(w, z)uzz = d(w, z, u, uw , uz ).
21

where D transforms in to d and


a(w, z)

Awx2 + 2Bwx wy + Cwy2

b(w, z)

Awx zx + B(wx zy + wy zx ) + Cwy zy

c(w, z)

Azx2 + 2Bzx zy + Czy2 .

The coefficients in the new coordinate system satisfy


b2 ac = (B 2 AC)J 2 .
Since J 6= 0, we observe that the sign of the discriminant, b2 ac and B 2 AC, of the PDE is invariant
under change of variable.
We classify a second order linear PDE based on the sign of its discriminant d = B 2 AC.
We say a PDE is of
hyperbolic type if d > 0,
parabolic type if d = 0 and
elliptic type if d < 0.
The motivation for these names are no indication of the geometry of the solution of the PDE, but just a
correspondence with the corresponding second degree algebraic equation
Ax2 + Bxy + Cy 2 + Dx + Ey + F = 0.
Let d = B 2 AC be the discriminant of the algebraic equation and the curve represented by the equation
is a
hyperbola if d > 0,
parabola if d = 0 and
ellipse if d < 0.
The classification of PDE is dependent on its coefficients, which may vary from region to region.
For constant coefficients, the type of PDE remains unchanged throughout the region.
However, for variable coefficients, the PDE may change its classification from region to region.
Example 7.1. Tricomi equation
uxx + xuyy = 0.
The discriminant of the Tricomi equation is d = x.
It is hyperbolic when x < 0 and elliptic when x > 0. But on the y-axis (x = 0), the equation degenerates
to uxx = 0 and it is a line. PDEs are not defined on a line, then they degenerate to ODEs. We say it is
degenerately parabolic when x = 0, i.e., on y-axis.

22

7.3

Standard Forms

Standard or Canonical Form


The advantage of above classification is that
it helps us in reducing a given PDE into simple forms.How?
Given a PDE, compute the sign of the discriminant B 2 AC
and depending on its classification we can choose a coordinate transformation (w, z) such that
a = c = 0 for hyperbolic,
a = b = 0 or c = b = 0 for parabolic and
a = c and b = 0 for elliptic type.
If the given second order PDE (7) is such that A = C = 0, then (7) is of hyperbolic type and a division
by 2B (since B 6= 0) gives

uxy = D(x,
y, u, ux , uy )
= D/2B. The above form is the first standard form of second order hyperbolic equation.
where D
If we introduce the linear change of variable X = x + y and Y = x y in the first standard form, we
get the second standard form of hyperbolic PDE

uXX uY Y = D(X,
Y, u, uX , uY ).
If the given second order PDE (7) is such that A = B = 0, then (7) is of parabolic type and a division
by C (since C 6= 0) gives

uyy = D(x,
y, u, ux , uy )
= D/C. The above form is the standard form of second order parabolic equation.
where D
If the given second order PDE (7) is such that A = C and B = 0, then (7) is of elliptic type and a
division by A (since A 6= 0) gives

uxx + uyy = D(x,


y, u, ux , uy )
= D/A. The above form is the standard form of second order elliptic equation.
where D
Note that the standard forms (except hyperbolic of first kind) of a second order linear PDE are
expressions with no mixed derivatives.
These classification idea can be generalised to a n variable quasilinear second order PDE, since D
played no crucial role here.
How to reduce to standard form?
Consider a second order PDE not in standard form.
We look for transformation w = w(x, y) and z = z(x, y), with non-vanishing Jacobian, such that the
reduced form is the standard form. Recall that,
a(w, z)

Awx2 + 2Bwx wy + Cwy2

b(w, z)

Awx zx + B(wx zy + wy zx ) + Cwy zy

c(w, z)

Azx2 + 2Bzx zy + Czy2 .

23

Hyperbolic
If B 2 AC > 0, then to make a = c = 0, we need that wx /wy and zx /zy are roots of the quadratic
equation A 2 + 2B + C = 0.

B B 2 AC
.
=
A
Thus,

B + B 2 AC
zx
B B 2 AC
wx
=
and
=
.
wy
A
zy
A
Along the curve such that w = a constant, we have
0=

dw
dy
= wy
+ wx
dx
dx

dy
dy
dy
zx
x
= w
and hence dx
wy . Similarly, dx = zy . The characteristic curve is given by dx = .
In the parabolic case, B 2 AC = 0 and we have = B/A. Thus, we solve along the curve w = a
constant,
dy
=
dx
and choose z such that the Jacobian J 6= 0.
In the elliptic case, B 2 AC < 0. Thus, has a real and imaginary part. We solve

dy
=
dx
and choose the real part of the solution to be w and imaginary part to be the z.

Lecture - 30

8.1

Three Basic Linear PDE

Three Basic Second Order Linear PDE


For any x Rn ,
The Laplace equation, u(x) = 0 where :=
equation, u(x) = f (x).

2
i=1 x2i

Pn

is the trace of the Hessian matrix. The Poisson

The heat equation for a homogeneous material is ut (x, t) c2 u(x, t) = 0, for t 0 and c is a non-zero
constant.
The wave equation with normalised constants is
utt (x, t) c2 u(x, t) = 0
for t 0.
Superposition Principle
The three basic II order PDE are linear and satisfies the superposition principle: If u1 , u2 are solutions
of these equations, then
1 u1 + 2 u2
is also a solution, for all constants 1 , 2 R.

24

8.2

Laplace Equation

u = 0
A one dimensional Laplace equation is a ODE and is solvable with solutions u(x) = ax + b for some
constants a and b.
But in higher dimensions solving Laplace equation is not so simple. For instance, a two dimensional
Laplace equation
uxx + uyy = 0
has the trivial solution as all one degree polynomials of two variables.
In addition, xy, x2 y 2 , ex sin y and ex cos y are all solutions to Laplace equation.
Harmonic Functions
Definition 8.1. A n-variable function u whose second order derivatives exist and are continuous is said to
be harmonic if u(x) = 0 in the domain of x.
Studying harmonic functions is beyond the scope of this course, we shall just state one important property
of harmonic functions.
Maximum Principle
Theorem 8.2 (Maximum Principle). Let be a bounded open subset of Rn . Let u : R be a continuous
function which is twice continuously differentiable in , such that u is harmonic in . Then
max u = max u.

Lecture - 31

9.1

Dirichlet Problem

Dirichlet Problem (DP)- BVP


Let Rn be a bounded open subset with a boundary . Let g : R be a continuous function.
Then the Dirichlet problem is to find a harmonic function u : R such that

u(x) = 0
x
(8)
u(x)
= g(x) x .

9.2

DP On Rectangle

Dirichet Problem on a Rectangle-2D


Let
= {(x, y) R2 | 0 x a and 0 y b}
be a rectangle of sides a, b.
Let g : R which vanishes on three sides of the rectangle, i.e.,
g(0, y) = g(x, 0) = g(a, y) = 0
and g(x, b) = h(x) where h is a continuous function h(0) = h(a) = 0.
We want to solve DP (8) on this rectangle with given boundary value g.
25

Separation of Variable
We begin by looking for solution u(x, y) whose variables are separated, i.e., u(x, y) = v(x)w(y).
Substituting this form of u in the Laplace equation, we get
v 00 (x)w(y) + v(x)w00 (y) = 0.
Hence

v 00 (x)
w00 (y)
=
.
v(x)
w(y)

Since LHS is function of x and RHS is function y, they must equal a constant, say . Thus,
w00 (y)
v 00 (x)
=
= .
v(x)
w(y)
Solving for v
Using the boundary condition on u, u(0, y) = g(0, y) = g(a, y) = u(a, y) = 0, we get v(0)w(y) =
v(a)w(y) = 0.
If w 0, then u 0 which is not a solution to (8). Hence, w 6 0 and v(0) = v(a) = 0. Thus, we need
to solve,
 00
v (x) = v(x), x (0, a)
v(0)
= v(a)
= 0,
the eigen value problem for the second order differential operator.
Solving Eigen Value Problem
Note that the can be either zero, positive or negative.
If = 0, then v 00 = 0 and the general solution is v(x) = x + , for some constants and .
Since v(0) = 0, we get = 0, and v(a) = 0 and a 6= 0 implies that = 0.
Thus, v 0 and hence u 0.
But, this can not be a solution to (8).
> 0, Positive

If > 0, then v(x) = e


Equivalently,

+ e

v(x) = c1 cosh( x) + c2 sinh( x)

such that = (c1 + c2 )/2 and = (c1 c2 )/2.


Using the boundary condition v(0) = 0, we get c1 = 0 and hence

v(x) = c2 sinh( x).


Now using v(a) = 0, we have c2 sinh

a = 0.

Thus, c2 = 0 and v(x) = 0. We have seen this cannot be a solution.


26

< 0, Negative
If < 0, then set =

We need to solve

v 00 (x) + 2 v(x)
v(0)

=0
x (0, a)
= v(a) = 0.

The general solution is


v(x) = cos(x) + sin(x).
Using the boundary condition v(0) = 0, we get = 0 and hence v(x) = sin(x).
Now using v(a) = 0, we have sin a = 0.
Thus, either = 0 or sin a = 0. But = 0 does not yield a solution.
Hence a = k or = k/a, for all non-zero k Z.
Hence, for each k N, there is a solution (vk , k ) for (8), with


kx
vk (x) = k sin
,
a
for some constant bk and k = (k/a)2 .
We have solved for v. it now remains to solve w for these k .
For each k N, we solve for wk in the ODE

2
wk (y),
wk00 (y) = k
a
w(0)
= 0.

y (0, b)

Thus, wk (y) = ck sinh(ky/a).


General Solution to DP
For each k N,


uk = k sin

kx
a


sinh

ky
a

is a solution to (8).
The general solution is of the form (principle of superposition) (convergence?)





X
kx
ky
sinh
.
k sin
u(x, y) =
a
a
k=1

Final Solution to DP on Rectangle


We shall now use the condition u(x, b) = h(x) to find the solution to the Dirichlet problem (8).

h(x) = u(x, b) =


k sinh

k=1

kb
a


sin

kx
a

Since h(0) = h(a) = 0, we know that h admits a Fourier Sine series.



Thus k sinh kb
is the k-th Fourier sine coefficient of h, i.e.,
a


1 Z a


kb
2
kx
k = sinh
h(x) sin
.
a
a 0
a
27

10
10.1

Lecture - 32
Laplace Equation

Laplacian in Polar Coordinates


Now that we have solved the Dirichlet problem in a 2D rectangular domain, we intend to solve the
Dirichlet problem in a 2D disk.
The Laplace operator in polar coordinates (2 dimensions),



1 2
1
r
+ 2 2
:=
r r
r
r
where r is the magnitude component and is the direction component.

10.2

Laplacian on a 2D-Disk

Dirichet Problem on a Disk-2D


Consider the unit disk in R2 ,
= {(x, y) R2 | x2 + y 2 < 1}
and is the circle of radius one.
The DP is to find u(r, ) : R which is well-behaved near r = 0, such that

1 2u
1r r
r u
=0
in
r + r 2 2
u(r, + 2) = u(r, ) in

u(1, ) = g()
on

(9)

where g is a 2 periodic function.


Separation of Variable
We will look for solution u(r, ) whose variables can be separated, i.e., u(r, ) = v(r)w() with both v
and w non-zero.
Substituting it in the polar form of Laplacian, we get


dv
v d2 w
w d
r
+ 2 2 =0
r dr
dr
r d
and hence

r d
v dr





dv
1 d2 w
r
=
.
dr
w d2

Since LHS is a function of r and RHS is a function of , they must equal a constant, say .

28

Solving for w
We need to solve the eigen value problem,
 00
w () w() = 0
R
w( + 2)
= w() .
Note that the can be either zero, positive or negative.
If = 0, then w00 = 0 and the general solution is w() = + , for some constants and . Using
the periodicity of w,
+ = w() = w( + 2) = + 2 +
implies that = 0. Thus, the pair = 0 and w() = is a solution.
> 0, Positive
If > 0, then

w() = e

+ e

If either of and is non-zero, then w() as , which contradicts the periodicity of w.


Thus, = = 0 and w 0, which cannot be a solution.
< 0, Negative
If < 0, then set =

and the equation becomes


 00
w () + 2 w() = 0
R
w( + 2)
= w()

Its general solution is


w() = cos() + sin().
Using the periodicity of w, we get = k where k is an integer.
For each k N, we have the solution (wk , k ) where
k = k 2

and wk () = k cos(k) + k sin(k).

Solving for v
For the k s, we solve for vk , for each k = 0, 1, 2, . . .,


d
dvk
r
r
= k 2 vk .
dr
dr
For k = 0, we get v0 (r) = log r + . But log r blows up as r 0 and we wanted a u well behaved
near origin.
Thus, we must have the = 0. Hence v0 .

29

Cauchy-Euler Equation
For k N, we need to solve for vk in
d
r
dr

dvk
r
dr

= k 2 vk .

ds
= 1 and
Use the change of variable r = es . Then es dr

d
dr

d ds
ds dr

1 d
es ds .

d
Hence r dr
=

d
ds .

vk (es ) = eks + eks .


vk (r) = rk + rk .
Since rk blows up as r 0, we must have = 0.
Thus, vk = rk . Therefore, for each k = 0, 1, 2, . . .,
uk (r, ) = ak rk cos(k) + bk rk sin(k).
Final Solution for DP on Disk
The general solution is
u(r, ) =


a0 X
+
ak rk cos(k) + bk rk sin(k) .
2
k=1

To find the constants, we use u(1, ) = g(), hence

a0 X
g() =
+
[ak cos(k) + bk sin(k)] .
2
k=1

Since g is 2-periodic it admits a Fourier series expansion and hence


Z
1
ak =
g() cos(k) d,

Z
1
bk =
g() sin(k) d.

11
11.1

Lecture - 33
Laplace Equation

Laplacian in Spherical Coordinates


Now that we have solved the Dirichlet problem in a 2D disk, we intend to solve the Dirichlet problem
in a 3D sphere.
The Laplace operator in spherical coordinates (3 dimensions),




1
1

1
2
2
:= 2
r
+ 2
sin
+ 2 2
.
r r
r
r sin

r sin 2
where r is the magnitude component, is the inclination (elevation) in the vertical plane and is the
azimuth angle (in the direction in horizontal plane.
30

11.2

Laplacian on a 3D-Sphere

Laplacian on a Sphere-3D
Consider the unit sphere in R3 ,
= {(x, y, z) R3 | x2 + y 2 + z 2 < 1}
and is the boundary of sphere of radius one.
The DP is to find u(r, , ) : R which is well-behaved

1 2 u 
1

r 2 r r r + r 2 sin sin

1
u
+ r2 sin
2 2

u(r, + 2, + 2)

u(1, , )

near r = 0, such that

=0
= u(r, , )
= g(, )

in
in
on

(10)

where g is a 2 periodic function in both variables.


Separation of Variable
We will look for solution u(r, , ) whose variables can be separated, i.e., u(r, , ) = v(r)w()z() with
v, w and z non-zero.
Substituting it in the spherical form of Laplacian, we get




vz
d
dw
vw d2 z
wz d
2 dv
r
+
sin

+ 2 2
=0
2
2
r dr
dr
r sin d
d
r sin d2
and hence
1 d
v dr

r2

dv
dr


=

1 d
w sin d


sin

dw
d

1
d2 z
2 d2 .
z sin

Since LHS is a function of r and RHS is a function of (, ), they must equal a constant, say .
Azimuthal Symmetry
If Azimuthal symmetry is present then z() is constant and hence
We need to solve for w,


dz
d

= 0.

R
sin w00 () + cos w0 () + sin w() = 0
w( + 2) = w() .

Set x = cos .
Then

dx
d

= sin

w0 () = sin

dw
d2 w
dw
and w00 () = sin2 2 cos
dx
dx
dx

31

Legendre Equation
In the new variable x, we get the Legendre equation
(1 x2 )w00 (x) 2xw0 (x) + w(x) = 0 x [1, 1].
We have already seen that this is a singular problem (while studying S-L problems). For each k
N {0}, we have the solution (wk , k ) where
k = k(k + 1)

and wk () = Pk (cos ).

Solving for v
For the k s, we solve for vk , for each k = 0, 1, 2, . . .,


dvk
d
r2
= k(k + 1)vk .
dr
dr
For k = 0, we get v0 (r) = /r + . But 1/r blows up as r 0 and we wanted a u well behaved near
origin.
Thus, we must have the = 0. Hence v0 .
Cauchy-Euler Equation
For k N, we need to solve for vk in
d
dr


r

2 dvk

= k(k + 1)vk .

dr

ds
Use the change of variable r = es . Then es dr
= 1 and

d
dr

d ds
ds dr

solving for m in the quadratic equation m2 + m = k(k + 1).


m1 = k and m2 = k 1.
vk (es ) = eks + e(k1)s .
vk (r) = rk + rk1 .
Since rk1 blows up as r 0, we must have = 0.
Thus, vk = rk . Therefore, for each k = 0, 1, 2, . . .,
uk (r, , ) = ak rk Pk (cos ).
Final Solution for Laplacian on Sphere
The general solution is
u(r, , ) =

ak rk Pk (cos ).

k=0

Since we have azimuthal symmetry, g(, ) = g().


To find the constants, we use u(1, , ) = g(), hence
g() =

ak Pk (cos ).

k=0

Using the orthogonality of Pk , we have


2k + 1
ak =
2

g()Pk (cos ) d.

32

1 d
es ds .

d
Hence r dr
=

d
ds .

12
12.1

Lecture-34
Eigenvalues of Laplacian

Eigenvalue Problem of Laplacian


Recall that we did the eigenvalue problem for the Sturm-Liouville operator, which was one-dimensional.
A similar result is true for Laplacian in all dimensions. However, we shall just state in two dimensions.
For a given open bounded subset R2 , the Dirichlet eigenvalue problem,

u(x, y) = u(x, y) (x, y)
u(x, y) = 0
(x, y) .
Eigenvalue and Eigen function
Note that, for all R, zero is a trivial solution of the Laplacian.
Thus, we are interested in non-zero s for which the Laplacian has non-trivial solutions. Such an is
called the eigenvalue and corresponding solution u is called the eigen function.
Note that if u is an eigen function corresponding to , then u , for all R, is also an eigen
function corresponding to .
Existence
Let W be the real vector space of all u : R continuous (smooth, as required) functions such that
u(x, y) = 0 on .
For each eigenvalue of the Laplacian, we define the subspace of W as
W = {u W | u solves Dirichlet EVP for given }.
Theorem 12.1. There exists an increasing sequence of positive numbers 0 < 1 < 2 < 3 < . . . < n < . . .
with n which are eigenvalues of the Laplacian and Wn = Wn is finite dimensional. Conversely, any
solution u of the Laplacian is in Wn , for some n.

12.2

Computing Eigenvalues

Specific Domains
Though the theorem assures the existence of eigenvalues for Laplacian, it is usually difficult to compute
them for a given .
In this course, we shall compute the eigenvalues when is a 2D-rectangle and a 2D-disk.

12.3

In Rectangle

Eigenvalues of Laplacian in Rectangle


Let the rectangle be = {(x, y) R2 | 0 < x < a, 0 < y < b}.
we wish to solve the Dirichlet EVP in the rectangle

u(x, y) = u(x, y)
u(x, y) = 0

(x, y)
(x, y) .

The boundary condition amounts to saying


u(x, 0) = u(a, y) = u(x, b) = u(0, y) = 0.
33

Separation Of Variable
We look for solutions of the form u(x, y) = v(x)w(y) (variable separated).
Substituting u in separated form in the equation, we get
v 00 (x)w(y) v(x)w00 (y) = v(x)w(y).
Hence

w00 (y)
v 00 (x)
=+
.
v(x)
w(y)

Since LHS is function of x and RHS is function y and are equal they must be some constant, say .
We need to solve the EVPs
v 00 (x) = v(x)

and w00 (y) = ( )w(y)

under the boundary conditions v(0) = v(a) = 0 and w(0) = w(b) = 0.


Solving for v
As seen before, while solving for v, we have trivial solutions for 0.

If > 0, then v(x) = c1 cos( x) + c2 sin( x).


Using the boundary condition v(0) = 0, we get c1 = 0. Now using v(a) = 0, we have c2 sin

Thus, either c2 = 0 or sin a = 0.

We have non-trivial solution, if c2 6= 0, then a = k or = k/a, for k Z.


For each k N, we have vk (x) = sin(kx/a) and k = (k/a)2 .
Solving for w
We solve for w for each k .
For each k, l N, we have wkl (y) = sin(ly/b) and kl = (k/a)2 + (l/b)2 .
For each k, l N, we have
ukl (x, y) = sin(kx/a) sin(ly/b)
and kl = (k/a)2 + (l/b)2 .

12.4

In Disk

Eigenvalues of Laplacian in Disk


Let the disk of radius a be = {(x, y) R2 | x2 + y 2 < a2 }.
We wish to solve the Dirichlet EVP in the disk

u
1 2u
1
= u(r, )
(r, )
r r r r r 2 2
u() = u( + 2) R

u(a, ) = 0
R.
We look for solutions of the form u(r, ) = v(r)w() (variable separated).
34

a = 0.

Substituting u in separated form in the equation, we get




w d
dv
v
r
2 w00 () = v(r)w().

r dr
dr
r
Hence dividing by vw and multiplying by r2 , we get


r d
dv
1

r
w00 () = r2 .
v dr
dr
w

r d
v dr


r

dv
dr

+ r2 =

1 00
w () = .
w

Solving for non-trivial w, using the periodicity of w, we get for = 0, w() =


= k 2 and
w() = ak cos k + bk sin k.

a0
2

and for each k N,

Solving for v
For each k N {0}, we have the equation,


d
dv
r
r
+ (r2 k 2 )v = 0.
dr
dr

Introduce change of variable x = r and x2 = r2 . Then


r

d
d
=x .
dr
dx

rewriting the equation in new variable y(x)) = v(r)




d
dy(x)
x
x
+ (x2 k 2 )y(x) = 0.
dx
dx
Note that this none other than the Bessels equation.

12.5

Bessels Function

Zeroes of Bessels Function


We already know that for each k N {0}, we have the Bessels function Jk as a solution to the
Bessels equation.

Recall the boundary condition on v, v(a) = 0. Thus. y( a) = 0.

Hence a should be a zero of the Bessels function.


Theorem 12.2. For each non-negative integer k, Jk has infinitely many positive zeroes.
For each k N {0}, let zkl be the l-th zero of Jk .

2
/a2 and y(x) = Jk (x).
Hence a = zkl and so kl = zkl
Therefore, v(r) = Jk (zkl r/a).
For each k, l N {0}, we have
ukl (r, ) = Jk (zkl r/a) sin(k) or Jk (zkl r/a) cos(k)
and kl =

2
zkl
/a2 .

35

13
13.1

Lecture - 35
1D Heat Equation

One dimensional Heat Equation


The equation governing heat propogation in a bar of length L is


1

u
u
=
(x)
t
(x)(x) x
x
where (x) is the alertspecific heat at x, (x) is density of bar at x and (x) is the thermal conductivity
of the bar at x.
If the bar is homogeneous, i.e, its properties are same at every point, then
2u
u
=
t
x2
with , , being constants.
IVP for Heat Equation
Let L be the length of a homogeneous rod insulated along sides and its ends are kept at zero temperature.
Then the temperature u(x, t) at every point of the rod, 0 x L and time t 0 is given by the
equation
u
2u
= c2 2
t
x
where c is a constant.
The temperature zero at the end points is given by the Dirichlet boundary condition
u(0, t) = u(L, t) = 0.
Also, given is the initial temperature of the rod at time t = 0, u(x, 0) = g(x), where g is given (or
known) such that g(0) = g(L) = 0.
Dirichlet Problem for Heat Equation
Given g : [0, L] R such that g(0) = g(L) = 0, we look for all the solutions of the Dirichlet problem

in (0, L) (0, )
ut (x, t) c2 uxx (x, t) = 0
u(0, t) = u(L, t) = 0
in (0, )

u(x, 0) = g(x) on [0, L].


We look for u(x, t) = v(x)w(t) (variable separated).
Substituting u in separated form in the equation, we get
v(x)w0 (t) = c2 v 00 (x)w(t)

v 00 (x)
w0 (t)
=
.
c2 w(t)
v(x)
36

Dirichlet Problem for Heat Equation


Since LHS is function of t and RHS is function x and are equal they must be some constant, say .
Thus,
v 00 (x)
w0 (t)
=
= .
c2 w(t)
v(x)
Thus we need to solve two ODE to get v and w,
w0 (t) = c2 w(t)
and
v 00 (x) = v(x).
But we already know how to solve the eigenvalue problem involving v.
Solving for v and w
2
2
For each k N, we have
 the pair (k , vk ) as solutions to the EVP involving v, where k = (k) /L
kx
and vk (x) = sin L some constants bk .

For each k N, we solve for wk to get


ln wk (t) = k c2 t + ln
2

where is integration constant. Thus, wk (t) = e(kc/L) t .


Hence,

uk (x, t) = vk (x)wk (t) = k sin

kx
L

e(kc/L) t ,

for some constants k , is a solution to the heat equation.


By superposition principle, the general solution is
u(x, t) =

X
k=1

uk (x, t) =


k sin

k=1

kx
L

e(kc/L) t .

Particular Solution of Heat Equation


We now use the initial temperature of the rod, given as g : [0, L] R to find the particular solution of
the heat equation.
We are given u(x, 0) = g(x). Thus,
g(x) = u(x, 0) =

X
k=1


k sin

kx
L

Since g(0) = g(L) = 0, we know that g admits a Fourier Sine expansion and hence its coefficients k
are given as


Z
kx
2 L
k =
g(x) sin
.
L 0
L

37

13.2

Solving for Circular Wire

Heat Equation of a Circular Wire


We intend solve the heat equation in a circle (circular wire) of radius one which is insulated along its
sides.
Then the temperature u(, t) at every point of the circle, R and time t 0 is given by the equation
u
2u
= c2 2
t

where c is a constant.
We note that now u(, t) is 2-periodic in the variable . Thus,
u( + 2, t) = u(, t) R, t 0.
Let the initial temperature of the wire at time t = 0, be u(, 0) = g(), where g is a given 2-periodic
function.
IVP
Given a 2-periodic function g : R R, we look

ut (, t) c2 u (, t)
u( + 2, t)

u(, 0)

for all solutions of


=0
= u(, t)
= g()

in R (0, )
in R (0, )
on R {t = 0}.

We look for u(, t) = v()w(t) with varibales separated


substituting for u in the equation, we get
w0 (t)
v 00 ()
=
= .
2
c w(t)
v()
Solving for v and w
For each k N {0}, the pair (k , vk ) is a solution to the EVP where k = k 2 and
vk () = ak cos(k) + bk sin(k).
2

For each k N {0}, we get wk (t) = e(kc) t .


General Solution
For k = 0
u0 (, t) = a0 /2

(To maintain consistency with Fourier series)

and for each k N, we have


uk (, t) = [ak cos(k) + bk sin(k)] ek

2 2

c t

Therefore, the general solution is

u(, t) =

2 2
a0 X
+
[ak cos(k) + bk sin(k)] ek c t .
2

k=1

38

Particular Solution
We now use the initial temperature on the circle to find the particular solution. We are given u(, 0) =
g().
Thus,

g() = u(, 0) =

a0 X
+
[ak cos(k) + bk sin(k)]
2
k=1

Since g is 2-periodic it admits a Fourier series expansion and hence


Z
1
ak =
g() cos(k) d,

Z
1
bk =
g() sin(k) d.

Note that as t the temperature of the wire approaches a constant a0 /2.
Exercises!
Solve the heat equation for
2D Rectangle.
2D Disk.

14
14.1

Lecture - 36
1D Wave Equation

One dimensional Wave Equation


Let us consider a string of length L, stretched along the x-axis, with one end fixed at x = 0 and the
other end being x = L.
We assume that the string is free to move only in the vertical direction.
The vertical displacement u(x, t) of the string at the point x and time t is governed by the equation
2u
T 2u
=
2
t
x2
where T is the tension and is the density of the string.
Equivalently,
2u
2u
= c2 2
2
t
x
where c2 = T /.
IVP for Wave Equation
The fact that endpoints are fixed is given by the Dirichlet boundary condition
u(0, t) = u(L, t) = 0.
Also, given is the initial position u(x, 0) = g(x) (at time t = 0)
Initial velocity of the string at time t = 0, ut (x, 0) = h(x).
39

Dirichlet Problem for Wave Equation


Given g, h : [0, L] R such that g(0) = g(L) = 0, we need

utt (x, t) c uxx (x, t) = 0

u(0, t) = u(L, t) = 0
u(x, 0) = g(x)

ut (x, 0) = h(x)

to solve
in
in
in
in

(0, L) (0, )
[0, )
[0, L]
(0, L)

We seek u(x, t) = v(x)w(t) (variable separated).


Substituting u in separated form in the equation, we get
v(x)w00 (t) = c2 v 00 (x)w(t)
Hence

v 00 (x)
w00 (t)
=
= .
2
c w(t)
v(x)

Solving for v and w


For each k N, we obtain the non-trivial solutions (k , vk ), where


kx
vk (x) = sin
L
and k = (k/L)2 .
For each k N, we solve for wk in
wk00 (t) + (k/L)2 c2 wk (t) = 0.
Hence
wk (t) = ak cos(kct/L) + bk sin(kct/L).
General Solution of Wave Equation
For each k N, we have

uk (x, t) = [ak cos(kct/L) + bk sin(kct/L)] sin

kx
L

for some constants ak and bk .


Hence, the general solution is
u(x, t) =


[ak cos(kct/L) + bk sin(kct/L)] sin

k=1

kx
L

Frequency of the fundamental mode is


1 c
c
=
=
2 L
2L

T /
2L

and the frequency of higher modes are integer multiples of the this frequency.
40

Particular Solution of Wave Equation


We now use the initial position g and initial velocity h of the string to find the particular solution of
the wave equation. We are given u(x, 0) = g(x) and ut (x, 0) = h(x).
Thus,
g(x) = u(x, 0) =


ak sin

k=1

kx
L

Since g(0) = g(L) = 0, we know that g admits a Fourier Sine expansion and hence its coefficients ak
are given as


Z
kx
2 L
g(x) sin
ak =
.
L 0
L
Differentiating u w.r.t t, we get
ut (x, t) =


(kc/L) [bk cos(kct/L) ak sin(kct/L)] sin

k=1

Thus,
h(x) = ut (x, 0) =

X
bk kc
k=1

and
bk =

2
kc


h(x) sin


sin

kx
L

kx
L

kx
L


.


.

Exercises!
Solve the wave equation for
2D Rectangle.
2D Disk.

15
15.1

Lecture - 37
Duhamels Principle

Duhamels Principle
Recall that we have studied the homogeneous IVP for heat and wave equation with non-zero initial
condition.
Duhamelss principle states that one can obtain a solution of the inhomogeneous IVP for heat and
wave from its homogeneous IVP.

41

Duhamels for Heat Equation


Let us illustrate the principle for heat equation.
Let u(x, t) be the solution of the inhomogeneous

ut (x, t) c2 u(x, t)
u(x, t)

u(x, 0)

heat equation, for a given f


in (0, )
in (0, )
in .

= f (x, t)
=0
=0

Consider, for each s (0, ), w(x, t; s) as the solution of the


s
wt (x, t) c2 ws (x, t) = 0
ws (x, t) = 0

ws (x, s) = f (x, s)
Since t (s, ), introducing a change of variable

wt (x, r) c2 w(x, r)
w(x, r)

w(x, 0)

homogeneous problem (auxiliary)


in (s, )
in (s, )
on .

r = t s, we have ws (x, t) = w(x, t s) which solves


=0
=0
= f (x, t)

in (0, )
in (0, )
on .

Duhamels principle states that


Z
u(x, t) =

ws (x, t) ds =

w(x, t s) ds
0

Proof
Let us prove that u defined as
Z

w(x, t s) ds

u(x, t) =
0

solves the inhomogenous heat equation.


Assuming w is C 2 , we get
Z t

w(x, t s) ds
ut (x, t) =
t 0
Z t
d(t)
=
wt (x, t s) ds + w(x, t t)
dt
0
d(0)
w(x, t 0)
dt
Z t
=
wt (x, t s) ds + w(x, 0).
0

Z
ut (x, t)

wt (x, t s) ds + w(x, 0)

=
0

wt (x, t s) ds + f (x, t).

=
0

42

Similarly,
Z

w(x, t s) ds.

u(x, t) =
0

Thus,
ut c2 u =

Z
f (x, t) +


wt (x, t s) c2 w(x, t s) ds

f (x, t).

Duhamels for Wave Equation (Exercise!)


The principle states that the solution u(x, t) of

utt (x, t) u(x, t)


u(x, t)

u(x, 0) = ut (x, 0)
is u(x, t) =

Rt
0

the inhomogeneous wave equation, for a given f


= f (x, t)
=0
=0

in (0, )
in (0, )
in .

w(x, t s) ds

where w(x, t s) is the solution of the homogeneous equation

wtt (x, t s) w(x, t s) = 0


in (0, )

w(x, t s) = 0
in (0, )
w(x,
0)
=
0
on

wt (x, 0) = f (x, t) on .

Example
Consider the wave equation

utt (x, t) c2 uxx (x, t) = sin 3x


u(0, t) = u(, t) = 0

u(x, 0) = ut (x, 0) = 0

in (0, ) (0, )
in (0, )
in (0, ).

We look for the solution of the homogeneous wave equation

wtt (x, t) c2 wxx (x, t) = 0

w(0, t) = w(, t) = 0
w(x, 0) = 0

wt (x, 0) = sin 3x

in
in
in
in

(0, ) (0, )
(0, )
(0, )
(0, ).

Solving Homogeneous Equation


We know that the general solution of w is
w(x, t) =

[ak cos(kct) + bk sin(kct)] sin(kx)

k=1

43

Hence
w(x, 0) =

ak sin(kx) = 0.

k=1

Thus, ak = 0, for all k.


Also,
wt (x, 0) =

bk ck sin(kx) = sin 3x.

k=1

Hence, bk s are all zeroes except k = 3 and b3 = 1/3c.


Thus,
w(x, t) =

1
sin(3ct) sin(3x).
3c

Solving Inhomogeneous Equation


Z
u(x, t)

w(x, t s) ds
Z t
1
sin(3c(t s)) sin 3x ds
3c 0
Z
sin 3x t
sin(3c(t s)) ds
3c
0
sin 3x cos(3c(t s)) t
|0
3c
sin 3x
(1 cos 3ct) .
9c2
0

=
=
=
=

16
16.1

Lecture - 38
dAlemberts Formula

dAlemberts Formula: 1D Wave Equation


Consider the IVP

utt (x, t) = c2 uxx (x, t)


u(x, 0) = g(x)

ut (x, 0) = h(x)

in R (0, )
in R {t = 0}
in R {t = 0},

where g, h : R R are given functions.


Note that the PDE can be factored as




+c
c
u = utt c2 uxx = 0.
t
x
t
x
We set v(x, t) =

c x
u(x, t) and hence
vt (x, t) + cvx (x, t) = 0

44

in R (0, ).

Solve Two Transport Equations


Notice that the first order PDE obtained is in the form of homogeneous transport equation, which we
know to solve.
Hence, for some smooth function f ,
v(x, t) = f (x ct)
and f (x) := v(x, 0).
Using v in the original equation, we get the inhomogeneous transport equation,
ut (x, t) cux (x, t) = f (x ct).
Recall the formula for inhomogenoeus TE
t

f (x a(t s), s) ds.

u(x, t) = g(x at) +


0

Since u(x, 0) = g(x) and a = c, in our case the solution reduces to,
Z
u(x, t)

f (x + c(t s) cs) ds

g(x + ct) +
0

Z
=

f (x + ct 2cs) ds
Z
1 xct
f (y) dy
g(x + ct) +
2c x+ct
Z x+ct
1
g(x + ct) +
f (y) dy.
2c xct
g(x + ct) +

=
=

But f (x) = v(x, 0) = ut (x, 0) cux (x, 0) = h(x) cg 0 (x)


and substituting this in the formula for u, we get
u(x, t)

=
=

Z x+ct
1
(h(y) cg 0 (y)) dy
g(x + ct) +
2c xct
1
g(x + ct) + (g(x ct) g(x + ct))
2
Z x+ct
1
+
h(y) dy
2c xct
Z x+ct
1
1
(g(x ct) + g(x + ct)) +
h(y) dy
2
2c xct

If c = 1, we have
1
1
u(x, t) = (g(x t) + g(x + t)) +
2
2
This is called the dAlemberts formula.

45

x+t

h(y) dy.
xt