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Original Title: Lecture 2 Linear First-Order PDEs.pdf

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where a, b, c, and d are given functions of x and y. These functions are assumed to be

continuously dierentiable. Rewriting (1) as

is (essentially) a directional derivative of z(x, y) in the direction of the vector (a, b), where

(a, b) is dened and nonzero. When a and b are constants, the vector (a, b) had a xed

direction and magnitude, but now the vector can change as its base point (x, y) varies.

Thus, (a, b) is a vector eld on the plane.

The equations

dx dy

= a(x, y), = b(x, y), (3)

dt dt

dy

determine a family of curves x = x(t), y = y(t) whose tangent vector ( dx

dt , dt ) coincides

with the direction of the vector (a, b). Therefore, the derivative of z(x, y) along these

curves becomes

dz d z dx z dy

= z{(x(t), y(t))} = +

dt dt x dt y dt

= zx (x(t), y(t))a(x(t), y(t)) + zy (x(t), y(t))b(x(t), y(t))

= c(x(t), y(t))z(x(t), y(t)) + d(x(t), y(t))

= c(t)z(t) + d(t),

where we have used the chain rule and (1). Thus, along these curves, z(t) = z(x(t), y(t))

satises the ODE

z (t) + c(t)z(t) = d(t). (4)

[ ]

t

Let (t) = exp 0 c( )d be an integrating factor for (4). Then, the solution is given by

[ t ]

1

z(t) = ( )d( )d + z(0) . (5)

(t) 0

MODULE 2: FIRST-ORDER PARTIAL DIFFERENTIAL EQUATIONS 10

The approach described above to solve (1) by using the solutions of (3)-(4) is called the

method of characteristics. It is based on the geometric interpretation of the partial

dierential equation (1).

NOTE: (i) The ODEs (3) is known as the characteristics equation for the PDE (1). The

solution curves of the characteristic equation are the characteristics curves for (1).

(ii) Observe that (t) and d(t) depend only on the values of c(x, y) and d(x, y) along

the characteristics curve x = x(t), y = y(t). Thus, equation (5) shows that the values z(t)

of the solution z along the entire characteristics curve are completely determined, once

the value z(0) = z(x(0), y(0)) is prescribed.

(iii) Assuming certain smoothness conditions on the functions a, b, c, and d, the exis-

tence and uniqueness theory for ODEs guarantees a unique solution curve (x(t), y(t), z(t))

of (3)-(4) (i.e., a characteristic curve) passes through a given point (x0 , y0 , z0 ) in (x, y, z)-

space.

In practice we are not interested in determining a general solution of the partial dierential

equation (1) but rather a specic solution z = z(x, y) that passes through or contains a

given curve C. This problem is known as the initial value problem for (1). The method

of characteristics for solving the initial value problem for (1) proceeds as follows.

for a given range of values of the parameter s. The curve may be of nite or innite extent

and is required to have a continuous tangent vector at each point.

Every value of s xes a point on C through which a unique characteristic curve passes

(see, Fig. 2.1). The family of characteristic curves determined by the points of C may be

parameterized as

x = x(s, t), y = y(s, t), z = z(s, t)

MODULE 2: FIRST-ORDER PARTIAL DIFFERENTIAL EQUATIONS 11

The functions x(s, t) and y(s, t) are the solutions of the characteristics

system (for each xed s)

d d

x(s, t) = a(x(s, t), y(s, t)), y(s, t) = b(x(s, t), y(s, t)) (7)

dt dt

with given initial values x(s, 0) and y(s, 0).

Suppose that

z(x(s, 0), y(s, 0)) = g(s), (8)

where g(s) is a given function. We obtain z(x(s, t), y(s, t)) as follows: Let

z(s, t) = z(x(s, t), y(s, t)), c(s, t) = c(x(s, t), y(s, t)), d(s, t) = d(x(s, t), y(s, t)) (9)

and [ t ]

(s, t) = exp c(s, t)dt . (10)

0

[ t ]

1

z(s, t) = (s, t)d(s, t)dt + g(s) . (11)

(s, t) 0

z(s, t) is the value of z at the point (x(s, t), y(s, t)). Thus, as s and t vary, the point

(x, y, z), in xyz-space, given by

MODULE 2: FIRST-ORDER PARTIAL DIFFERENTIAL EQUATIONS 12

traces out the surface of the graph of the solution z of the PDE (1) which meets the

initial curve (8). The equations (12) constitute the parametric form of the solution of (1)

satisfying the initial condition (8) [i.e., a surface in (x, y, z)-space that contains the initial

curve ]

y = y(s, t) can be inverted to give s and t as (smooth) functions of x and y i.e., s = s(x, y)

and t = t(x, y). The resulting function z = z(x, y) = z(s(x, y), t(x, y)) satises the PDE

(1) in a neighborhood of the curve C (in view of (4) and the initial condition (6)) and is

the unique solution of the IVP.

EXAMPLE 1. Determine the solution the following IVP:

z z

+c = 0, z(x, 0) = f (x),

y x

Solution. A step by step procedure for the nding solution is given below.

follows:

x = s, y = 0, z = f (s). (13)

The family of characteristics curves x((s, t), y(s, t)) are determined by solving the ODEs

d d

x(s, t) = c, y(s, t) = 1

dt dt

Using the initial conditions

x(s, 0) = s, y(s, 0) = 0.

we nd that

c1 (s) = s, c2 (s) = 0,

and hence

x(s, t) = ct + s and y(s, t) = t.

MODULE 2: FIRST-ORDER PARTIAL DIFFERENTIAL EQUATIONS 13

Comparing with (1), we have c(x, y) = 0 and d(x, y) = 0. Therefore, using (10) and (11),

we nd that

d(s, t) = 0, (s, t) = 1.

Since z(x(s, 0), y(s, 0)) = z(s, 0) = g(s) = f (s), we obtain z(s, t) = f (s). Thus, the

parametric form of the solution of the problem is given by

Step 4. (Expressing z(s, t) in terms of z(x, y)) Expressing s and t as s = s(x, y) and

t = t(x, y), we have

s = x cy, t = y.

Clearly, if f (x) is dierentiable, the solution z(x, y) = f (x cy) satises given PDE as

well as the initial condition.

sider the initial function z(x, 0) = f (x) to represent a waveform, the solution z(x, y) =

f (x cy) shows that a point x for which x cy = constant, will always occupy the same

position on the wave form. If c > 0, the entire initial wave form f (x) moves to the right

without changing its shape with speed c (if c < 0, the direction of motion is reversed).

EXAMPLE 2. Find the parametric form of the solution of the problem

yzx + xzy = 0

z(s, s2 ) = s3 , (s > 0).

The family of characteristics curves (x(s, t), y(s, t)) are determined by solving

d d

x(s, t) = y(s, t), y(s, t) = x(s, t)

dt dt

with initial conditions

x(s, 0) = s, y(s, 0) = s2 .

MODULE 2: FIRST-ORDER PARTIAL DIFFERENTIAL EQUATIONS 14

x(s, t) = c1 (s) cos(t) + c2 (s) sin(t) and y(s, t) = c1 (s) sin(t) c2 (s) cos(t).

c1 (s) = s, c2 (s) = s2 ,

and hence

Comparing with (1), we note that c(x, y) = 0 and d(x, y) = 0. Therefore, using (10)

and (11), it follows that

d(s, t) = 0, (s, t) = 1.

1 [ ]3/2

z(x, y) = 1 + 1 + 4(x2 + y 2 ) .

8

Practice Problems

1. Find the general solution of the following PDE in the indicated domain.

(B) yzx 4xzy = 2xy, for all (x, y)

(C) xzx xyzy = z, for all (x, y)

2. Find a particular solution of the following PDEs satisfying the given side conditions.

MODULE 2: FIRST-ORDER PARTIAL DIFFERENTIAL EQUATIONS 15

(B) xzx xyzy = z, z(x, x) = x2 ex , for all (x, y)

(B) (y + x)zx + (y x)zy = z, z(cos(s), sin(s)) = 1, for 0 s 2

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