Chapter 11
Introduction to Partial Differential Equations
11.1
Basic concepts and Definitions
11.2
Classification of Partial Differential equations
11.2.1 Initial and Boundary Value Problems
11.2.2 Classification of second order Partial Differential Equations
11.3
Solutions of Partial Differential Equations of First Order
11.3.1. Solutions of Partial Differential Equations of First order with
constant coefficients.
11.3.2. Lagrange's Method for Partial Differential Equations of Firstorder with Variable coefficients.
11.3.3. Charpit's Method for solving nonlinear Partial Differential
Equations of firstorder.
11.3.4. Solutions of Special type of Partial Differential Equations of first
order.
11.3.5. Geometric concepts Related to Partial Differential Equations of
firstorder.
11.4
Solutions of Linear Partial Differential Equations of Second order with
constant coefficients.
11.4.1 Homogeneous Equations
11.4.2 Nonhomogeneous Equations
107
11.5
Monge's Method for a special class of nonlinear Equations (Quasi
linear Equations) of the second order.
11.6
Exercises.
Partial differential equations are central theme to scientific and
technological studies besides occupying pivotal position in pure and applied
mathematics. Under appropriate conditions they represent real world systems
and for proper understanding of these problems, solutions of partial
differential equations must be understood. In this chapter we introduce basic
properties of partial differential equations and their solutions.
In the next chapter we present some well known partial differential
equations representing important problems of science and engineering.
11.1 Basic concepts and definitions
An equation containing the dependent and independent variables and
one or more partial derivatives of the dependent variable is called a partial
differential equation. In general it may be written in the form
F (x,y,.....,u,ux, uy,......,uxx, uyy,......)=0
(11.1)
involving several independent variables x,y,.....,an unknown function u
of these variables and the partial derivatives u x, uy,......,uxx, uxy, uyy ........of the
function. (11.1) is considered in a suitable subset D of R n. For the sake of
convenience we confine our discussion for n=2. However extension of
properties discussed here to higher values of n is possible.
Here as in the case of ordinary differential equations, we define the
order of a partial differential equation to be the order of the derivative of
108
highest order occurring in the equation. The power of the highest order
derivative in a differential equation is called the degree of the partial
differential equation.
Example 11.1 (a) x
u
u
+ y y =0 is a firstorder equation in two variables
x
with variable coefficients.
(b)
u
u
+ b y =c; where x,y are independent variables, a and b are
x
constants; is partial differential equation of firstorder with constant
coefficients.
(c)
(d)
u
u
+ y (x+y) u=0 is a partial differential equation of firstorder.
x
2u
+2b(x)
x 2
a(x)
2u
+c(x)
xy
u
2u
u
+ y
2 =x+y+u+
y
x
is a partial
differential equation of secondorder.
(e)
a(x)
2u
u u
2u
2u
+2b(x)
+c(x)
,
)
2 = f(x,y,u,
2
xy
y
x y
x
where a(x), b(x) and c(x) are functions of x and f(..,..,.,.,.) is a function of
x,y,u,
u
u
and y , is a partial differential equation of second order.
x
u
2u
+
=y is a partial differential equation of secondorder.
xy
x
(f)
(g)
u
2u
2u
+
2y
+ 3x
= 4 sin x is a partial differential equation of
2
xy
y 2
x
2
secondorder and degree one.
109
(h)
u
2u
=
is a partial differential of secondorder.
y 2
x 2
(i)
+
y
= 1 is a partial differential equation of firstorder and
second degree.
By a solution of a partial differential equation of the type
F (x,y,u, ux,uy,uxx,uyy, uxy) =0
(11.2)
we understand functions u=(x,y) which satisfy (11.2) identically in D, that is, if
we put values of quantities on the left hand side we get right hand side.
Example 11.2.
(i)
Show that sin n(x+y), cosn(x+y) and e x+y are solutions of the partial
differential equation
u
u
=0

x
y
(ii)
Show that u(x,y)=(x+y) 3 and u(x,y)=sin (xy) are solutions of the partial
differential equation
u
2u
=0
2
y 2
x
2
Solution (i)
u
= n cos n (x+y)
x
u
= n cos n (x+y)
y
L.H.S. of the equation is
if u(x,y) = sin n(x+y)
if u(x,y) = sin n(x+y)
u u
= ncos n(x+y) n cos n(x+y) =0=R.H.S.
x y
u
= nsin n(x+y) if u(x,y) = cos n(x+y)
x
u
= nsin n(x+y) if u(x,y) = cos n(x+y)
y
110
L.H.S. = [nsin n(x+y)][n sin n(x+y)]=0=R.H.S.
u
= ex+y
x
if u(x,y) ex+y
u
= ex+y if u(x,y) = ex+y
y
L.H.S. = ex+y ex+y =0 = R.H.S.
(ii)
u
2u
=3(x+y)2,
=6 (x+y)
x
x 2
For u(x,y) = (x+y) 3,
2u
For u(x,y)=(x+y) 3, y =3(x+y)2,
= 6(x+y)
y 2
This implies that L.H.S. of the given partial differential is
u
2u
= 6(x+y)6(x+y)=0=R.H.S.
2
y 2
x
2
For u(x,y)=sin (xy),
u
2u
=cos (xy),
=  sin (xy)
x
x 2
u
2u
=
cos
(xy),
=  sin (xy)
y
y 2
L.H.S. of the partial differential equation is
y
2u
=  cos (xy) + cos (xy) = 0 = R.H.S.
2
y 2
x
2
Therefore (x+y) 3 and sin (xy) are solutions of
u
2u
= 0.
2
y 2
x
2
A partial differential equation is said to be linear if the unknown
function u(.,.) and all its partial derivatives appear in an algebraically linear
form, 'that is, of the first degree. For example the equation
A uxx+2Buxy+Cuyy+Dux+Euy+Fu = f
111
(11.3)
where the coefficients A,B,C,D.E and F and the function f are functions of x
and y, is a secondorder linear partial differential equation in the unknown
u(x,y).
Left hand side of (11.3) can be abbreviated by Lu, where u has
continuous partial derivatives of upto second order.
If u is a function having continuous partial derivatives of appropriate
order, say n then a partial derivative can be written as Lu=f where L is a
differential operator, that is, L carries u to the sum of scalar multiplications of
its partial derivatives of different order. An operator L is called linear
differential operator if L (u+v)= Lu+v where and are scalars and u
and v are any functions with continuous partial derivatives of appropriate
order. A partial differential equation is called homogeneous if Lu=0, that is, f
on the right hand side of a partial differential equation is zero, say f=0 in 11.3.
The partial differential equation is called nonhomogeneous if f0.
(x+2y) ux +x2uy = sin (x2+y2) is a nonhomogeneous partial differential
equation of firstorder.
(x+2y) ux+x2uy=0 is a homogeneous linear partial differential equation of
firstorder.
xuxx +yuxy+uyy=0 is a homogeneous linear partial differential equation of
secondorder.
xuxx+y uxy+uyy=sin x is a nonhomogeneous linear partial differential
equation of secondorder.
112
The general solution of a linear partial differential equation is a linear
combination of all linearly independent solutions of the equation with as many
arbitrary functions as the order of the equation; a partial differential equation
of order 2 has 2 arbitrary functions. A particular solution of a differential
equation is one that does not contain arbitrary functions or constants.
Homogeneous linear partial differential equation has an interesting property
that if u is its solution then a scalar multiple of u, that is, cu, where c is a
constant, is also its solution. Any equation of the type F(x,y,u,c 1,c2)=0, where
c1 and c2 are arbitrary constants, which is a solution of a partial differential
equation of firstorder is called a complete solution or a complete integral
of that equation. An equation F(,)=0 involving arbitrary function. F
connecting two known functions and of x, y and u, and providing a
solution of a first order differential equation is called a general solution or
general integral of that equation. It is clear that in some sense general
solution provides a much broader set of solutions than a complete solution.
However a general solution may be derived once a complete solution is
known.
Very often ux =
uxy =
u
u
2u
, uy = y ,uxx = 2
x
x
2u
2u
and uyy =
are respectively denoted by p, q,r, s and t.
xy
y 2
In this notation the general form of partial differential equation of firstorder is
113
F(x,y,u,p,q)=0
(11.4)
The general secondorder partial differential equation is of the form
F(x,y,u,p,q,r,s,t)=0
(11.5)
A partial differential equation is said to be quasilinear if it is linear in all
the highestorder derivatives of the dependent variable. The most general
form of a quasi linear second order equation is
A(x,y,u,p,q) uxx + B(x,y,u,p,q) uxy + C(x,y,u,p,q) uyy +f(x,y,u,p,q)=0
(11.6)
A partial differential equation of firstorder is called semilinear if it is
linear in the principal part, namely the terms involving first derivatives: thus,
for A
u
u
+ B y = C, these equations are defined to be such that the left
x
hand side, which contains all derivatives is linear in u in that A,B depend on x
and y alone; however C may depend non linearly on u. A semi linear partial
differential equation of secondorder is of the form
2u
u u
2u
2u
A 2 + 2B
+C
,
)
2 = f(x,y,u,
xy
y
x y
x
(11.7)
where A,B,C are functions of x and y.
11.2. Classification of Partial Differential Equations
We have seen the classification of Partial Differential equations into
linear, quasilinear, semi linear, homogeneous and nonhomogeneous
categories in Section 11.1. In this section we mainly focus on the classification
of second order equations into elliptic, hyperbolic and parabolic types. Notion
114
of Cauchy data (initial and boundary conditions) and characteristic for partial
differential equations are introduced.
11.2.1
Initial and Boundary Value Problems
A partial differential equation subject to certain conditions in the form of
initial or boundary condition is known as an initialvalue or a boundary value
problem. The initial conditions, also known as Cauchy conditions, are the
values of the unknown function u(.,.) and an appropriate number of its
derivatives at the initial point.
Let us consider a secondorder partial differential equation for the
function u(.,.) in the independent variables x and y, and suppose that this
equation can be solved explicitly for u yy, and hence can be represented in the
form
uyy = F(x,y,u,ux,uy,uxx,uxy)
(11.8)
For some value y=y0, we prescribe the initial values of the unknown
function u and of the derivative with respect to y
u(x,y0)=f(x)
(11.9)
uy(x,y0)=g(x)
(11.10)
The problem of determining the solution of (11.8) satisfying initial
conditions (11.9)(11.10) is known as the initialvalue problem. Here initialvalue usually refer to the data assigned at y=y 0. If initial values are prescribed
along some curve in the (x,y) plane, that is, finding solution of equation
(11.8) subject to prescribed value of y on some curve is called the Cauchy
115
problem. These conditions are called Cauchy data. Actually two names are
synonymous.
Example 11.3 (a) ut = uxx 0<x<1, t>0
u(x,0)= cos x
0 x l
is an initialvalue problem.
(b)
Suppose that is a curve in the (x,y) plane; we define Cauchy data to
be the prescription of u on . It is convenient to write this boundary
condition in the parametric form
x=x0(s), y=y0(s), u=u0(s), for s1 s s2.
A(x,y,u)
u
u
+B (x,y,u) y =C
x
(11.10)
subject to (11.10) is a Cauchy problem
(c)
Let us consider the equation
A(x,y) uxx + B(x,y) uxy + C uyy = F(x,y,u,ux,uy).
(11.11)
Let (x0,y0) denote points on a smooth curve in the (x,y) plane. Also let
the parametric equations of this curve be
x=x0 (), y0=y0 ()
where is a parameter.
We suppose that two functions f() and g() are prescribed along the
curve . The Cauchy problem is now one of determining the solution u(x,y) of
Equation (11.11) in the neighbourhood of the curve satisfying the Cauchy
conditions
116
u=f(),
u
=g()
n
on the curve . n is the direction of the normal to which lies to the left of in
the counter clockwise direction of increasing arc length. The functions f() and
g(() are the Cauchy data.
The solution of the Cauchy problem is a surface, called an integral
surface, in the (x,y,u) space passing through a curve having as its
projection in the (x,y) plane and satisfying
u
=g() which represents a
n
tangent plane to the integral surface along .
Types of Boundary Conditions
The boundary conditions on partial differential equation (11.6) fall into
the following three categories:
(i)
Dirichlet boundary conditions (also known as boundary conditions of
the first kind), when the values of the unknown function u are prescribed
at each point of the boundary of a given domain on which (11.6) is
defined.
(ii)
Neumann boundary conditions (also known as boundary conditions of
the second kind), when the values of the normal derivatives of the
unknown function u are prescribed at each point of the boundary .
(iii) Robin boundary conditions (also known as boundary conditions of the
third kind, or mixed boundary conditions), when the values of a linear
117
combination of the unknown function u and its normal derivative are
prescribed at each point of the boundary .
Example 11.4 (i)
u
2u
= k 2 , 0<x<l,t>0
t
x
u(x,o)=f(x)
u
(x,o)=g(x), 0<x<l
t
u(0,t) =T1(t)
u(l,t)=T2(t), t>0
It is a Dirichlet boundary value problem.
(ii)
u
2u
=k
, 0<x< l, t>o
t
x 2
u(x,o)=f(x),
u
(x,o)=g(x), 0<x< l
t
u
u
(0,t) =T3(t),
(l,t)=T4(t), t>0
n
n
It is an example of Neumann boundary value problem.
(iii)
u
2u
= k 2 , 0<x< l, t>0
t
x
u(x,o)=f(x),
u
(x,o)=g(x), 0<x< l,
t
(0, t) 0,
n
t 0.
u
u(l, t) (l, t ) 0
x
u(0, t)
It is an example of Robin boundary problem.
118
It may be observed, a major part of scientific and technological studies
are devoted to initial and boundary value problems. Solutions of few important
initial and boundary value problems will be discussed in the next chapter.
11.2.2
Classification of Secondorder partial differential Equations
For f=0 in Equation (11.3), the most general form of a secondorder homogeneous equation
A uxx + 2B uxy+C uyy + D ux+E uy +Fu=0
(11.12)
For a correspondence of this equation with an algebraic quadratic
equation, we replace ux by , uy by , uxx by 2, uxy by , and uyy by 2. The
left hand side of Equation (11.12) reduces to a second degree polynomial in
and :
P( ,)=A2+2B+C2+D+E+F=0
(11.13)
It is known from analytical geometry and algebra that the polynomial
equation P (,)=0 represents a hyperbola, parabola, or ellipse according as
its discriminant. B2AC is positive, zero, or negative. Thus, the partial
differential equation (11.12) is classified as hyperbolic, parabolic, or elliptic
according as the quantity
B2AC>0, B2AC=0, or B2AC<0.
The equation
A u2x+2B uxy + C u2y = 0
(14.14)
is called the characteristic equation of the partial differential equation
(11.13). Solutions of (11.14) are called the characteristics
119
Example 11.5
Examine whether the following partial differential equations
are hyperbolic, parabolic, or elliptic.
(i)
u
2u
+x
+4=0
2
y 2
x
(ii)
u
2u
+y
=0
2
y 2
x
(iii)
y2
2u u
=0
y 2
x 2
2
(iv) uxx + x2 uyy = 0
(v)
x uxx + 2x uxy + y uyy = 0
Solution (i) A = 1, C = x, B = 0
B2AC = 0 x <0 for x>0
Thus the equation is elliptic if x > 0, is hyperbolic if x < 0 and it is
parabolic if x = 0.
(ii)
A=1, B=0, C=y
B2AC=0y >0 if y<0 and so the equation is hyperbolic if y<0. It is
parabolic if y=0 and it is elliptic if y>0.
(iii)
A=y2, B=0, C = 1.
B2AC=y2>0 for all y. Therefore the equation is hyperbolic.
(iv)
A=1, B=0, C=x2
B2AC=0x2<0 for all x. The equation is elliptic
(v)
A=x, B=x, C=y
B2AC=x2xy=x(xy)>0 for x>0 x>y
120
In this case the equation is hyperbolic B 2AC=o if x=y. For this the
equation is parabolic. B2AC <0 if x>y and x<0 or if x<y and x>0
In this case the equation is elliptic.
11.3 Solutions of Partial Differential Equations of Firstorder
11.3.1 Solution of Partial Differential Equations of firstorder with
constant coefficients.
The most general form of linear partial differential equations of first
order with constant coefficients is
Aux+Buy+Ku=f(x,y)
(11.15)
where A,B and K are constants
Let u(x,y) be a solution of (11.15) then
du=uxdx+uydy
(11.16)
From (11.15) and (11.16) we get the auxiliary system of equations
(comparing coefficients of ux, uy and remaining terms).
du
dx
dy
=
=
f
(
x
,
y
) Ku
A
B
The solution of the left pair is BxAy=c or y=
(11.17)
Bx c
, where c is an
A
arbitrary constant of integration
dx dy
A B
or BdxAdy=0 or BxAy=c by integrating both sides of
the previous equation .
The other pair
dx
du
A
f ( x, y )  Ku
121
is reduced to an ordinary differential equation with u as the dependent
variable and x as the independent variable, namely
du f ( x, y )  Ku
dx
A
or
du Ku f ( x, y )
dx
A
A
f ( x,
Bx  c
)
A
A
of this differential equation is e Kx/A. Making
The integrating factor
change of variable by v=ueKx/A (11.15) takes the form
Avx+Bvy = f(x,y)e
kx
A
=g(x,y)
The substitution v=ueKy/B in (11.15) leads to Avx+Bvy=f(x,y) eKy/B. Thus,
we need to consider only the formal reduced form
Aux+Buy=f(x,y)
(11.18)
The auxiliary system of equations for (11.18) is
dx dy
du
A
B
f ( x, y )
The solution of
(11.19)
dx dy
is
A
B
BxAy=c, which gives
x=
Ay c
B
Substituting this value in
dy
du
we get
B
f ( x, y )
dy
du
Ay c
f(
, y)
B
122
or du=F(y,c) dy where F(y,c)=
f(
Ay c
, y)
B
B
Solution of this equation is
u=G(y,c)+c1, where Gy (y,c)= F(y,c).
Thus, the general solution is obtained by replacing c 1 by (c) and c by
BxAy, thereby yielding
u(x,y)=G(y, BxAy)+ ( BxAy), and the solution of equation (11.15) is
u(x,y)=[G(y, BxAy)+ ( BxAy)]eKx/A
(11.20)
Equations (11.17) are called the equations of the Characteristics.
These equations contain two independent equations, with two solutions of the
form F(x,y,u)=c1 and G(x,y,u)=c2. Each of these represents a family of
surfaces. The curves of intersection of these two families of surfaces are
known as the characteristics of the partial differential equation. The
projections of these curves in the (x,y)plane are called the base
characteristics. The general solution represents a family of surfaces, and
these surfaces are called integral surfaces.
Thus, the equation BxAy=c represents a family of planes. The
intersection of any one of these planes with an integral surface is a curve
whose projection in the (x,y)plane is again given by BxAy=c, but this time
this equation represents a straight line and is the base characteristic.
Therefore, the
solution u on a base characteristic BxAy=c is given by
u=G(y,c)+c1, and the general solution is the same as above.
123
Example 11.6
Find the general solution of the firstorder linear partial
differential equation with the constant coefficients:
4ux+uy=x2y
Solution: The auxiliary system of equations is
dx dy
du
2
4
1
x y
From here we get
dx dy
or dx4dy=0. Integrating both sides
4
1
dx
du
we get x4y=c. Also 4 x 2 y or x2y dx=4du
or x2 (
xc
) dx =4du
4
or
1
(x3 cx2) dx = du
16
Integrating both sides we get
u=c1+
= f(c)+
3 x 4  4cx 3
192
3 x 4  4cx 3
192
After replacing c by x4y, we get the general solution
u=f(x4y)+
=f(x4y)
3 x 4  4( x  4 y )x 3
192
x4
x3y
192 12
11.3.2. Lagrange's Method
124
The general form of firstorder linear partial differential equations with
variable coefficients is
P(x,y)ux+Q(x,y)uy+f(x,y)u=R(x,y)
(11.21)
We can eliminate the term in u from (11.21) by substituting u=ve (x,y),
where (x,y) satisfies the equation
P(x,y) x(x,y)+ Q (x,y) y(x,y)=f(x,y)
Hence, Eq (11.21) is reduced to
P(x,y)ux+Q (x,y) uy =R(x,y)
(11.22)
where P,Q,R in (11.22) are not the same as in (11.21). The following theorem
provides a method for solving (11.22) often called Lagrange's Method.
Theorem 11.1 The general solution of the linear partial differential equation of
first order
Pp+Qq=R;
u
(11.23)
u
where p= x , q y , P, Q and R are functions of x y and u
is F(, ) = 0
(11.24)
where F is an arbitrary function and (x,y,u) =c1 and (x,y,u)=c2 form a
solution of the auxiliary system of equations
dx dy
du
P
Q
R
(11.25)
Proof: Let (x,y,u)=c1 and (x,y,u)=c2 satisfy (11.25), then equations
xdx+y dy +udu=0
125
and
dx dy
du
P
Q
R
must be compatible, that is, we must have P x+Qy+Ru=0
Similarly we must have
Px+Qy+Ru=0
Solving these equations for P,Q, and R, we have
P
Q
R
(, ) / ( y, u) (, ) / (u, x ) (, ) / ( x, y )
(11.26)
where (,)/(y,u)= yu yu0 denotes the Jacobian.
Let F(,)=0. By differentiating this equation with respect to x and y,
respectively, we obtain the equations
F
F
p 0
x u
x
u
F
F
q 0
y u
y
u
F
and if we now eliminate and from these equations, we obtain
the equation p
( , )
( , )
( , )
+q
=
(
u
,
x
)
( y, u)
( x, y )
(11.27)
Substituting from equations (11.26) into equation (11.27), we see that
F(,)=0 is a general solution of (11.23). The solution can also be written as
=g() or =h(),
126
Example 11.7 Find the general solution of the partial differential equation
y2up + x2uq = y2x
Solution: The auxiliary system of equations is
dx
dy
du
2
2
y u
x u
xy 2
(11.28)
Taking the first two members we have x 2dx = y2dy which on integration
given x3y3 = c1. Again taking the first and third members,
we have x dx = u du
which on integration given x2u2 = c2
Hence, the general solution is
F(x3y3,x2u2) = 0
11.3.3 Charpit's Method for solving nonlinear Partial Differential
Equation of FirstOrder
We present here a general method for solving nonlinear partial
differential equations. This is known as Charpit's method.
Let
F(x,y,u, p.q)=0
(11.29)
be a general non linear partial differential equation of firstorder. Since
u depends on x and y, we have
du=uxdx+uydy = pdx+qdy
where p=ux=
(11.30)
u
u
, q = uy= y
x
If we can find another relation between x,y,u,p,q such that
f(x,y,u,p,q)=0
(11.31)
127
then we can solve (11.28) and (11.30) for p and q and substitute them in
equation (11.29). This will give the solution provided (11.29) is integrable.
To determine f, differentiate (11.28) and (11.30) w.r.t. x and y so that
F F
F p F q
0
x
u
p x
q x
(11.32)
f
f
f p f q
0
x u
p x q x
(11.33)
F F
F p F q
0
y
u
p y
q y
(11.34)
f
f
f p f q
0
y u
p y q y
(11.35)
Eliminating
q
p
from, equations (11.31) and (11.32), and y from
x
equations (11.33) and (11.34) we obtain
F f f F
F f f F
F f f F q
0
x p x p
u p u p
q p q p dx
F f f F
F f f F
F f f F p
0
u q u q
p q p q dy
y q y q
Adding these two equations and using
q
2u
p
x
xy
y
and rearranging the terms, we get
F f
F f
F
F f
F f
F
 p
q
p x q y
p
q u x
u p
(11.36)
F
f f
q
0
y
u q
Following arguments in the proof of Theorem 11.1 we get the auxiliary
system of equations
128
dx
dy
du
dp
dq
df
 F
 F
F
F
F
F
F
F
0
p
q
p
q
p
q
p
q
x
u
y
u
(11.37)
An Integral of these equations, involving. p or q or both, can be taken
as the required equation (11.30). p and q determined from (11.28) and (11.30)
will make (11.29) integerable.
Example 11.8 Find the general solution of the partial differential equation.
u
x
y
Solution: Let p =
yu 0
(11.38)
u
u
, q = y
x
The auxiliary system of equations is
dx
dy
du
dp
dq
2
2
2
2px 2qy 2(p x q y ) p  p
q  q2
(11.39)
which we obtain from (11.36) by putting values of
F
F
F
F
F
2px ,
2qy,
p2,
 1,
q2
p
q
x
u
y
and multiplying by 1 throughout the auxiliary system. From first and 4 th
expression in (11.38) we get
dx =
dy=
p 2 dx 2pxdp
. From second and 5th expression
py
q 2 dy 2qydq
qy
Using these values of dx and dy in (11.38) we get
129
p 2 dx 2pxdp
q 2 dy 2qydq
=
p2 x
q2 y
dx
dy
2dq
or x p dp y q
Taking integral of all terms we get
lnx + 2lnp = lny+2lnq+lnc
or lnxp2 = lnyq2c
or p2x=cq2y, where c is an arbitrary constant.
(11.40)
Solving (11.37) and (11.39) for p and q we get cq2y+q2y u=0
(c+1)q2y=u
(
c
1
)
y
q=
p=
cu
(c 1)x
1
2
1
2
(11.29) takes the following form in this case
du= cu
(c 1)x
or
1 c
1
2
1
2
u
dx
(c 1)y
c
du
1
2
dx
1
2
dy
1
2
dy
By integrating this equation we obtain
This is a complete solution.
11.3.4 Solutions of special type of partial differential equations
(i) Equations containing p and q only
Let us consider a partial differential equation of the type
130
((1 c )u) 2 (cx ) 2 ( y ) 2 c 1
F(p,q)=0
(11.41)
The auxiliary system of equations of Charpit's method (Equation
(11.36)) takes the form
dx
dy
du
dp
dq
Fp
Fq
pFp qFq
0
0
It is clear that p=c is a solution of these equations. Putting value of p in
(11.40) we have
F(c,q)=0
(11.42)
So that q=G(c) where c is a constant
Then observing that
du=cdx+G(c) dy
we get the solution u=cx +G(c) y+c1,
where c1 is another constant.
Example 11.9 Solve p2+q2=1
Solution: The auxiliary system of equation is
dx
dy
du
dp
dq
  2p 2q  2p 2  2q 2 0 0
or
dx dy
du
dp dq
2
p
q p q
0
0
Using dp =0, we get p=c and q= 1  c 2 , and these two combined with
du =pdx+qdy yield
u=cx+y 1  c 2 + c1 which is a complete solution.
Using
dx
dx
= p , we get du =
where p= c
du
c
131
Integrating the equation we get u =
dy
Also du = q , where q =
or du =
dy
1 c
1 p 2
x
+ c1
c
1 c 2
. Integrating this equation we get u =
This cu = x+cc1 and u 1  c 2 = y + c2
Replacing cc1 and c2
1 c 2
1
1 c 2
y +c2
1 c 2
by  and  respectively, and eliminating
c, we get
u2 = (x)2 + (y)2
This is another complete solution.
This is another complete solution.
(ii) Clairaut equations
An equation of the form
u=px+qy+f(p,q)
or
F=px+qy+f(p,q)u=0
(11.43)
is known as Clairaut equation.
The auxiliary system of equations for Clairaut equation takes the form
dx
dy
du
dp
dq
=
=
x fp
y fq
px qy pfp qf q = 0 = 0
From here we find that
dp=0, dq=o implying
p=c1, q=c2
132
If we put these values of p and q in Eq. (11.42), we get
u = c1 x +c2y +f (c1, c2)
Therefore, F(x,y,u,c1,c2) = c1x + c2y + f (c1,c2) u=0 is a complete
solution of (11.42).
(iii) Equations not containing x and y
Consider a partial differential equation of the type
F(u,p,q) = 0
(11.44)
The auxiliary system of equations take the form
dx
dy
du
dp
dq
=
=
=
=
Fp
Fq
pFq qFq
 pFu
 qFu
dp
dq
The last two terms yield p = q
i.e. p = a2q where a2 is an arbitrary constant
This equation together with 11.43 can be solved for p and q and we
proceed as in previous cases.
Example 11.10 Solve u2+pq 4 = 0
Solution. The auxiliary system of equations is
dx
dy
du
dp
dq
=
=
=
=
q
p
2pq
 2up
 2uq
The last two equations yield p = a2q.
Substituting in u2+pq 4 = 0 gives
q=
1
4  u 2 and p = + a
a
4  u2
Then du = pdx+qdy yields
133
4  u2 adx dy
a
du = +
or
du
4u
1
a
= + adx dy
1
u
= + adx y c
a
2
Integrating we get sin1
1
a
or u = + 2 sin ax y c
which is the required complete solution.
(iv)
Equations of the type
f(x,p) = g(y,q)
Then each of these functions must be constant, that is
f(x, p) = g(y, q) = C
Solving for p and q, and using du=pdx+qdy we can obtain the solution
Example 11.11 Solve p2(1x2)q2(4y2) = 0
Solution Let p2(1x2) = q2 (4y2) = a2
a
This gives p =
1 x 2
and q =
a
4  y2
(neglecting the negative sign).
Substituting in du = pdx + q dy we have
du =
a
1 x 2
dx +
a
4  y2
dy
y
2
Integration gives u = a sin' x sin' + c.
which is the required complete solution.
134
11.3.5. Geometric concepts related to Partial Differential Equations of
First order
We have discussed geometrical interpretation of a first order ordinary
differential equation in chapter. .........
The situation for a partial differential equation is some what
complicated. In this case the values of p=
u
u
, q= y are not unique at a
x
point (x,y,u). If an integral surface is g(x,y,u)=0, then p and q represent the
slopes of the curves of intersection of the surface with the planes y=constant
and x=constant, respectively. Moreover, p,q,1 represent the direction ratios of
the normals to the surface at the point (x,y,u). The derivatives p and q are
constrained by F(x,y,u,p,q)=0. Obviously, at a fixed point, p and q can be
represented by a single parameter. Hence, there are infinitely many possible
normals and consequently infinitely many integral surfaces passing through
any fixed point. So, unlike the case of ordinary differential equations, we
cannot determine a unique integral surface by making it pass through a point.
Cauchy established that a unique integral surface can be obtained by
making it pass through a continuous twisted space curve, also known as an
initial curve, except when the curve is a characteristic of the differential
equation.
The infinity of normals passing through a fixed point generates a cone
known as the normal cone. The corresponding tangent planes to the integral
surfaces envelope a cone known as the Monge cone. In the case of a linear
135
or a quasi linear equation, the normal cone degenerates into a plane since
each normal is perpendicular to a fixed line. Consider the equation ap+bq=c,
where a,b, and c are functions x,y, and u. Then the direction p,q,1 is
perpendicular to the direction ratios a,b,c. This direction is fixed at a fixed
point. The Monge cone then degenerates into a coaxial set of planes known
as the Monge pencil. The common axis of the planes is the line through the
fixed point with direction ratios a,b,c. This line is known as the Monge axis.
11.4 Solutions of Linear Partial Differential Equation of Second Order
with Constant Coefficients
11.4.1 Homogeneous Equations
Let Dx=
i
i
i
, Dy
,D ix
,
D
,
y
x
y
x i
y i
We are looking for solving equations of the type
2u
2u
2u
k
0
1
2
xy
x 2
y 2
(11.45)
where k1 and k2 are constants.
(11.44) can be written as
2
x
k 1D x D y k 2D 2y u 0
or F(Dx, Dy) u=0
(11.46)
The auxiliary equation of (11.45) (compare with Section 5.5) is
D 2x k 1D x D y k 2D 2y 0
Dy then equation (11.45) can be written as
Let the roots of this equation be m1 and m2, that is, Dx=m1Dy, Dx=m2Dy
136
(Dxm1Dy) (Dxm2Dy)u=0
(11.47)
This implies
(Dxm2Dy) u=0 or pm2q=0
The auxiliary system of equations for pm2q=0 is of the type
dx
dy
du
1
 m2
0
This gives us m2dx=dy
or y+m2x=c
and u=c1= (c)
Thus, u=(y+m2x) is a solution of (11.44).
From (11.46) we also have (Dxm1Dy) u=0
or
pm1q=0
Its auxiliary system of equations is
dx
dy
du
1
 m1
0
This gives m1dx=dy or m1x+y=c1 and u=c2 and so u=(y+m1x) is a
solution of (11.44).
Therefore u= (y+m2x) + (y+m1x) is the complete solution of (11.44)
If the roots are equal (m1 = m2) then Equation 11.44 is equivalent to
(Dxm1Dy)2 u = 0
Putting (Dxm1Dy) u = z, we get
(Dxm1Dy) z=0 which gives
z= (y+m1x)
137
Substituting z in (Dxm1Dy) u=z gives
(Dxm1Dy) u = (y+m1x)
or pm1q = (y+m1x)
Its auxiliary system of equations is
dx
dy
du
1
 m1
( y m1x )
which gives y+m1x = a & u + (a) x+b
The complete solution in this case is
u= x (y+m1x) + (y+m1x)
Example 11.12 Find the solution of the equation
2u 2u
=0
x 2 y 2
Solution: In the terminology introduced above this equation can be written as
(Dx2Dy2) u = 0.
or
(DxDy) (Dx+Dy)u=0
Its auxiliary equation is
(DxDy)(Dx+Dy)=0,
that is, Dx  Dy =0
or Dx= Dy. that is,
p=q or p =  q
pq = 0 or p+q=0
Auxiliary system of equations for pq=0 is
138
dx
dy
du
1
1
0
This gives x+y = c.
The auxiliary system for p+q = 0 is
dx
dy
du
1
1
0
This gives xy =c1
The complete solution is
u=(x+y)+ (xy) where and are arbitrary functions.
Nonhomogeneous Partial Differential Equations of the secondorder
Equations of the type
2u
2u
2u
k1
k2
=f(x,y)
2
xy
x
y 2
(11.48)
are called nonhomogeneous partial differential equations of the
secondorder with constant coefficients.
Let uc be the general solution of
2u
2u
2u
k
=0
1
2
xy
x 2
y 2
(11.49)
and let up be a particular solution of (11.47)
Then uc+up is the solution of (11.47)
We have discussed the method for finding the general solution
(complementary function) of (11.48). In Section 5.6 we described the method
of undetermined coefficients for ordinary differential equations. That method is
applicable in finding particular solution of partial differential equations of the
139
type (11.47) Let f(Dx,Dy) be a linear partial differential operator with constant
coefficients, then the corresponding inverse operator is defined
1
as f (D ,D )
x
y
The following results hold
1
( x, y ) ( x, y )
f (D x ,D y )
f(Dx,Dy)
(11.50)
1
1
1
( x, y )
( x, y )
f1 (D x ,D y )f 2 (D x ,D y )
f1 (D x , D y ) f 2 D x , D y )
(11.51)
1
= f (D ,D )
2
x
y
1
( x, y )
f1 (D x ,D y )
1
1( x, y ) 2 ( x, y )
(D x ,D y )
(11.52)
1
1 ( x, y )
f (D x ,D y )
1
2 ( x, y )
f (D x ,D y )
(11.53)
1
1
e ax by
e ax by , f (a, b) 0
f (D x ,D y )
f (a, b)
(11.54)
f(Dx,Dy) (x,y) eax+by=eax+by f(Dx+a, Dy+b) (x,y)
1
1
( x, y )e ax by e ax by
( x, y )
f (D x ,D y )
f (D x a,D y b)
(11.55)
1
ax
by
by
ax
= e f (D a,D ) e ( x, y ) e f (D ,D b) e ( x, y )
x
y
x
y
140
(11.56)
2
2
f (D x , D y ) cos (ax+by) = f(a2,b2) cos (ax+by)
1
1
cos (ax by )
cos (ax by )
2
2
f (D , D y )
f ( a ,  b 2 )
2
x
(11.57)
2
2
f (D x , D y ) sin (ax+by) = f(a2,b2) sin (ax+by)
1
1
sin (ax by )
sin (ax by )
f (D 2x , D 2y )
f ( a 2 ,  b 2 )
(11.58)
1
When (x,y) is any function of x and y, we resolve f (D , D ) into
x
y
partial fractions treating f(Dx, Dy) as a function of Dx alone and operate each
partial fraction on (x,y), remembering that
1
D x m D y (x,y) =
( x, c mx )dx
where c is replaced by y+mx after integration.
Example 11.13
Find the particular solution of the following partial differential equations
(i)
2u
2 u u
4
e x 3 y
xy y
x 2
(ii)
2 u u
e x sin( x y )
2
y
x
Solution: (i) The equation can be written as
(3D 2x 4 D x D y  D y ) u = ex3y
up = 3D 2 4 D D  D ex3y
x
x
y
y
=
1
ex3y
3 4( 3)  ( 3)
by (11.53)
141
1 x3y
e
6
= (ii)
The equation can be written as
(3D2xDy)u=ex sin (x+y)
1
up = 3D 2  D ex sin (x+y)
x
y
1
= ex (3(D 1) 2  D ) sin (x+y)
x
y
1
= ex (3D 2 6 D 3 D ) sin(x+y)
x
x
y
1
= ex (3(1) 6D 3  D sin(x+y)
x
y
(6D x D y )
36D 2x  D 2 y
1
= ex
6Dx Dy
sin (x+y) = ex
= ex
7 cos ( x y )
 35
=
1 x
e cos(x+y).
5
sin(x+y)
Example 11.14 Solve the partial differential equation
2 u 2 2u
c
= exsin t
t 2
x 2
Solution: The equation can be written as
2
(D t c2Dx2) u = exsin t
The particular solution is
u p=
1
e x sin t
2 2
D  c Dx
2
t
142
= e
1
sin t e x
D  (c(D x  1)
2
t
1
sin t
 1 c 2
x
=  c 2 1 e sin t
By proceeding on the lines of the solution of Example 11.12 we get
uc = (xct)+ (x+ct)
u(x,t)= (xct)+ (x+ct) 
1
e x sin t
c 1
2
The solution uc is known as the d' Alembert's solution of the wave
equation
2 u 2 2u
c
=0.
t 2
x 2
11.5 Monge's Method for a special class of non linear Equations
(quasi linear Equations) of the Second order.
Let u(x,y) be a function of two variables x and y
Let p =
u
u
2u
2u
2u
,q
,r
, s
, t
x
y
x
xy
y 2
Monge's method provides a technique for solving a special class of
partial differential equation of second order of the type
F(x,y,u,p,q,r,s,t)=0
(11.59)
Monge's method comprises in establishing one or two first integrals of
the form
= f()
(11.60)
143
where and are known function of x,y,u, p and q and the function f is
arbitrary; that is, in finding relations of the type (11.59) such that equation
(11.58) can be derived from equation (11.59). The following equations are
obtained from it by partial differentiation.
x+up+pr+qs=f'() {x+up+pr+qs}
(11.61)
y+uq+ps+qt=f'() {y+uq+ps+qt}
(11.62)
It may be noted that every equation of the type (11.58) does not have a
first integral of the type (11.59). By eliminating f'() from equations (11.60) and
(11.61), we find that any second order partial differential equation which
possesses a first integral of the type (11.59) must be expressible in the form
R1r+S1s+T1t+U1(rts2)=V1
(11.63)
where R1, S1,T1,U1 and V1 are functions of x,y,u, p and q defined by the
relations
R1 =
( , )
( , )
( , )
( , )
q
, T1
p
(p, y )
(p, u)
( x, q)
(u, q)
(11.64)
S1=
( , )
( , )
( , )
( , )
q
p
( q, y )
( q, u)
(p, x )
(p, u)
(11.65)
U1=
( , )
( , )
( , )
( , )
, V1 q
p
(p, q)
(u, x )
( y, u)
( y, x )
(11.66)
The equation (11.62) reduces to the form
144
R1r+S1s+T1t=V1
(11.67)
if and only if the Jacobian pp qp=0 identically. Equation (11.66) is a
nonlinear equation because the coefficients R 1, S1, T1, V1 are functions of p
and q as well as of x,y, and u. Infact it is a quasi linear equation. We explain
here the method of finding solution of the equation of the type (11.66), namely
Rr+Ss+Tt = V
(11.68)
for which a first integral of the form (11.59) exists. For any function u of
x and y we have the relations dp =rdx+sdy, dq=sdx+tdy
(11.69)
Eliminating r and t from this pair of equations and equation (11.67), we
see that any solution of (11.67) must satisfy the relation
Rdpdy+Tdqdx  Vdxdy=0
(11.70)
Rdy2 +Tdx2 Sdxdy=0
(11.71)
The method of finding solutions of (11.69) and (11.70) is explained
through the following example:
Example: 11.15
Solve the equation
2u
u
 2
x 2
x
u 2 u
u
y
x
2u
0
y 2
This equation is of the form (11.67) where
R=
,r
2u
u u
2u
u
,
S
2
,
s
,T
x y
xy
x 2
x
, and
2u
, V 0
y 2
Therefore (11.69) and (11.70) become respectively
q2dpdy + p2dq dx=0
(11.72)
145
(pdx+qdy)2 = 0
(11.73)
By the equation du=pdx+qdy and (11.72) we get du=0, which gives
integral u=c1. From (11.71) and (11.72) we have qdp =pdq, which has solution
p=c2q. Thus, the first integral is
p=q f(u)
(11.74)
where f(.) is arbitrary. We solve (11.73) by Lagrange's method. The
auxiliary system of equations (characteristic equations) are
dx
dy
du
1
 f (u)
0
with integral u=c1, y+x f(c1)=c2 leading to the general solution
y+x f(u)=g(u)
where the functions f and g are arbitrary.
146
11.6 Exercises
Write down the order and degree of partial differential equations in
problems 15.
1.
u
u2
y
2.
2u
u
2
t
x
3.
4.
u
u
100
0
t
x
5.
6.
Verify that the functions u(x,y)=x 2y2 and u(x,y) = ex sin y are
u
0
y
solutions of the equation
2u 2u
0
y
x 2
7. Let u=f(x,y), where f is an arbitrary differentiable function. Show that
u satisfies the equation
x ux y uy = 0
Examine whether cos (xy), exy and (xy)3 are solutions of this partial
differential equation.
Classify the partial differential equations as hyperbolic, parabolic, or
elliptic.
8. 4 uxx7 uxy + 3 uyy= 0
147
9.
4 uxx8 uxy + 4 uyy= 0
10. a2 uxx+2a uxy +uyy = 0, a0
11. 4
2u
2u
2u
12
9
0
xt
t 2
x 2
2u
2u
2u
2
3
0
12. 8
xy
x 2
y 2
For what values of x and y are the following partial differential
equations hyperbolic, parabolic, or elliptic?
13. uxx+2xuxy+(1y2) uyy=0
14. (1+y2) uxx+(1+x2) uyy=0
15. uxx + x2 uyy = 0
16. uxx 2 sin x uxy cos2x uy = 0
17. Find the general solution of 2 ux3 uy = cos x
18. Solve ux+exuy=y, u(0,y) = 1+y
Find the complete solutions of the equations in problem 1925
19. p=(u +qy)2
20. 2(u+xp+yq)=yp2
21. u2=pqxy
22. xp+3yq=2(ux2q2)
23. pq=1
24. p2y(1+x2)=qx2
25. u=p2q2
26. p2q2+x2y2=x2q2(x2y2)
148
27. Discuss the method for finding a complete solution of the equation
of the type
F(u,p,q)=0
Solve partial differential equations of problems 28 to 32.
28.
2u
u
12
20
2
x
x
29.
2u
2u
2u
16
15
0
x 2
y 2
y 2
30.
2u
2 u u
4
0
xy y
x 2
31.
2 u u
sin (ax+by)
x 2 y
32.
2u
u u
2u
2
5
3x+y+exy
2
x y
x
y 2
Solve equations in problems 3336 using Monge's method
33.
2u 2u
x 2 y 2
34.
u 2 u u 2 u
u
 x
2
y
x xy y x
35.
2u
2
x
36.
2
u u 2 u 2 u u
x q xy y 2 x
u 2 u
x
y 2
149
u 2 u u 2 u
2
x y
y xy