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PDE notes as taught in the course MTH203 in IIT Kanpur (by T Muthukumar)

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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

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4

5

6

2 Lecture-24

2.1 Periodic Functions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

2.2 Fourier Series . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

2.3 Piecewise Smooth . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

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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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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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33

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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

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.

Its characteristic equation is m2 + = 0.

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

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

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

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 :=

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)

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

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

a2 =

a0

2 ,

a3 =

(2)a1

6

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.

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

Consider the boundary value problem,

00

y + y = 0

y() = y()

0

y () = y 0 ().

in (, )

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

Using the boundary condition, we get

and

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

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

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 +

k=1

f (t) = a0 +

k=1

(1)

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) +

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

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.

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

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 +

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

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.

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.

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

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

If f is even

hf, sin kti = 0

and bk = 0.

3.3

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].

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)

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 +

k=1

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 .

3

x2 y .

2

xy

4.2

2

yx .

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

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

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

(5)

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

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

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

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

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)

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)

0.

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 the 3 ODEs, we get

x(s) = as + c1 ,

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

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

Thus,

Z

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

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,

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

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

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,

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

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

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)

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

uyy

uxy

+ uz zxy

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

21

a(w, z)

b(w, z)

c(w, z)

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

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

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)

b(w, z)

c(w, z)

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

For any x Rn ,

The Laplace equation, u(x) = 0 where :=

equation, u(x) = f (x).

2

i=1 x2i

Pn

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

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

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

Equivalently,

+ e

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

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

a = 0.

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.

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)

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

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

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

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

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)

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

Thus, = = 0 and w 0, which cannot be a solution.

< 0, Negative

If < 0, then set =

00

w () + 2 w() = 0

R

w( + 2)

= w()

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

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 (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

a0 X

g() =

+

[ak cos(k) + bk sin(k)] .

2

k=1

Z

1

ak =

g() cos(k) d,

Z

1

bk =

g() sin(k) d.

11

11.1

Lecture - 33

Laplace Equation

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, , )

=0

= u(r, , )

= g(, )

in

in

on

(10)

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

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

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

g() =

ak Pk (cos ).

k=0

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

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

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) .

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)

Solving for v

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

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

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

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.

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

= k 2 and

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

a0

2

Solving for v

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

d

dv

r

r

+ (r2 k 2 )v = 0.

dr

dr

r

d

d

=x .

dr

dx

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

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

Bessels equation.

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

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, )

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

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 .

ln wk (t) = k c2 t + ln

2

Hence,

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

kx

L

e(kc/L) t ,

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 .

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

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)

=0

= u(, t)

= g()

in R (0, )

in R (0, )

on R {t = 0}.

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

General Solution

For k = 0

u0 (, t) = a0 /2

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

2 2

c t

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

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

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

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

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)

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)

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

Hence, the general solution is

u(x, t) =

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

k=1

kx

L

1 c

c

=

=

2 L

2L

T /

2L

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

40

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

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)

in (0, )

in (0, )

in .

= f (x, t)

=0

=0

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)

in (s, )

in (s, )

on .

=0

=0

= f (x, t)

in (0, )

in (0, )

on .

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

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

=

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).

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

u(x, t)

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

is u(x, t) =

Rt

0

= f (x, t)

=0

=0

in (0, )

in (0, )

in .

w(x, t s) ds

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

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

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

in (0, ) (0, )

in (0, )

in (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, ).

We know that the general solution of w is

w(x, t) =

k=1

43

Hence

w(x, 0) =

ak sin(kx) = 0.

k=1

Also,

wt (x, 0) =

k=1

Thus,

w(x, t) =

1

sin(3ct) sin(3x).

3c

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

Consider the IVP

u(x, 0) = g(x)

ut (x, 0) = h(x)

in R (0, )

in R {t = 0}

in R {t = 0},

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, ).

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

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) +

=

=

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

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