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LECTURE NOTES FOR MTL 603 (PDE)

PROSENJIT ROY

A partial differential equation (PDE) describes a relation between an unknown function and its
partial derivatives.
General form : The general form of a PDE is given by
(0.1) F (x1 , xn , u(x), ux1 (x), , uxn (x), ux1 x1 (x), ) = 0.
Here x = (x1 , , xn ) is the independent variables while the rest are dependent variables.
Examples :
u2x1 + u2x2 = ux2 + 1
ux + uyyy + uz = sin(x)
ux1 ux2 = 9
4u := ux1 x1 + ux2 x2 = 1.
Reader should think of more example on their own.

Order of a PDE : It the order of highest order derivative involved in the PDE.
Examples :
u2x1 + u2x2 = ux2 + 1 (1st order)
ux + ux2 x2 x2 + uz = sin(x) (3rd order)
ux1 ux2 = 9 ( 1st Order)
4u := ux1 x1 + ux2 x2 = 1. (2nd Order)

Some Application of Partial Differential Equations

In the are of Biology, Chemistry, Physics, Computer science (particularly in relation to image
processing and graphics) and in economics (finance). Also there are several other application. Each
advancement in mathematical theory led to an important development in Physics. For example,
(1) Method of Characteristics for solving first order PDEs (by Hadamard) lead to development
in Optics and Analytic Mechanics.
(2) Invention of Fourier Methods lead to the development in the theory of Heat Transfer
and Wave Propagation.
(3) Greens Method lead to the theory of Electro Magnetism.

For more information about applications of PDEs, we refer to the books (1) An Introduction to
Partial Differential Equations by Yehuda Pinchover and Jacod Rubinstein. (2) The two references
that are added at the end of the notes.

The following example shows that the vibration of a string follows a second order PDE called
Wave Equation. This example also serves the motivation of studying the theory of Wave Equation
(that we will do later).

Date: JULY 29, 2017.


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Modeling the Equation of Vibration of Stretched String

Let ` be the length of a string, fixed at two ends. Let and T denotes the linear mass density
and T of the string. Both the quantities is assumed to be uniformly distributed through out the
string, and hence they are real constants.
Let u(x, t) denotes the height of the string (or position ) at a given distance x from origin and at
a given time t.
Then balancing all the forces (using Hookes Law) acting on the element of the string lying in the
interval x1 to x2 and in the time interval t1 to t2 , one obtains
Z x2 Z t2
(ut (, t2 ) ut (, t1 )) d = T0 (ux (x2 , s) ux (x1 , s)) ds.
x1 t1

If u is assumed to be differentiable twice and the second derivative to be continuous then by appli-
cation of Mean value theorem and Intermediate value theorem one obtains :

(t2 t1 )(x2 x1 )utt ( , t ) = T0 (t2 t1 )(x2 x1 )uxx (x , t ),


where x1 x , x2 , t1 t , t t2 .
Letting x2 x1 , t2 t1 , one obtains
T0
utt = uxx in [0, `] [0, ). WAVE EQUATION

In general this equation may have many solutions. Under some natural condition (initial and bound-
ary), we expect to get unique solution to this equation.
Initial Conditions : We may give a certain shape to the string at time t = 0, that is
u(x, 0) = g(x).
Also if we provide some velocity to the string at time t = 0, then
ut (x, 0) = h(x).
Boundary Conditions : Some the string is assumed to be tied at the two ends, one has for all time

u(0, t) = u(0, `) = 0.

Classifications of PDEs

PDEs are classified in to two parts : Linear and Non linear PDEs.
Linear PDE: A PDE is said to be linear if the function F (in (0.1)) is linear in u and its all
possible derivatives.
Examples
x7 ux + exy uy = sin(x2 )u + x3 .
4u = 1
Note that the first example contains non linear term of independent variable like x7 , sin(x2 ) and
others, but that does not matter because u, ux , uy appears in linear form.
Non Linear PDEs: A PDE is non linear if it is not linear.
Nonlinear PDEs are further classified in to following classes:
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Semilinear PDEs: A nonlinear PDE is called Semilinear if,


1. If it is linear in its highest order derivatives, and
2. The coefficients involved in the highest order derivatives depends only on the independent
variables.

Examples
a(x)uxx + b(x, y)uyyy = 5.
4u = u2
Quasilinear PDEs: A nonlinear PDE is called Quasilinear if,
1. If it is linear in its highest order derivatives, and
2. The coefficients involved in the highest order derivatives does not contain derivative of highest
order.

Examples
a(x, u, ux )uxx + b(x, y, uyy )uyyy = 5.
u2x uxx = (log x)uyy .
Fully Nonlinear PDEs: A nonlinear PDE is called fully nonlinear if, the function F (in (0.1)) is
a non linear function of its highest derivatives. (or in simple words if the PDE is not quasilinear it
is fully nonlinear)
Examples
u2x + u2y = 2
uyy uxx = 1.
A small remark : Consider the two PDEs
ux = u2
and
ux
= 1.
u2

Following our classification above the first PDE is semilinear while the second is quasilinear. One
may tend to think that there is some kind of discrepancy in our definition above, as the above two
PDEs are the same. This is not correct, as the above two PDEs are not the same, as one can easily
see that 0 is a solution to the first PDE but not for the second one.

First Order PDEs

A first order PDE is an expression of the form:


F (x, u(x), u(x)) = 0 in x Rn ,
where F : Rn R Rn R and u : Rn R is the unknown function.
The classification of first PDEs can be written down in more compact format (than the higher
order PDEs) which is as follows:
Linear :
n
X
a0 (x)u + ai (x)uxi = f (x).
i=1
Semilinear :
n
X
ai (x)uxi = f (x, u).
i=1
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Quasilinear :
n
X
ai (x, u)uxi = f (x, u).
i=1
Fully Nonlinear : If it is not Quasilinear.

Some well studied examples of First Order PDEs : Here are some examples of first order PDEs
that has been of research interest.
Pn
Transport Equation: ut + i=1 i uxi = 0, (t, x) R Rn .
Burgers Equation: ut + uux = 0 (t, x) (0, ) R.
Scalar Conservation Laws: ut + (f (u))x = 0 (t, x) (0, ) R.
Hamilton Jacobi Equations: ut + H(x, u) = 0 (t, x) (0, ) R.
For more examples of such type (that are of interest for modern day research) see the book of
Evans (pg 3).

In the next few lectures we will try to develop an existence result for general quasilinear first order
PDE. (* Note that the same theory will also work for semilinear and linear PDE, as quasilinear PDE
is the most general form). The theory of Fully nonlinear PDEs will be developed later.

Theory of Quasilinear PDEs. For simplicity, and to make the notations less cumbersome,
we will consider PDEs (for the time being) on an open subset of R2 .
Consider the following Quasilinear PDE:

a(x, y, u)ux (x, y) + b(x, y, u)uy (x, y) = c(x, y, u) in
(0.2)
u = g on ,

where is a prescribed 1- dimensional (or given) curve in or . The second condition in


the above equation is called the Initial Conditions.

SOME NATURAL QUESTIONS AT THIS POINT (A):

1. Is the above problem always solvable?


2. If solvable, is it unique?

The following toy problems will provide the required answer.

Toy Problem-1 : Take a = 0, b = 1, c = 0, = R2 and = x-axis in (0.6), that is

uy (x, y) = 0 in R2 ,

u(x, 0) = g(x).
Solution: Let (x0 , y0 ) be any arbitrary point in R2 at which we want to evaluate our solution. We
have uy (x0 , y) = 0 for all y R says us that u is constant on the line x = x0 (notice x = x0 is the
equation of a line parallel to y axis). Therefore

u(x0 , y0 ) = u(x0 , 0) = g(x0 ).


The second inequality holds because of the given initial conditions. Since the point (x0 , y0 ) is
arbitrarily chosen, our solution is the following:

u(x,y) = g(x).
Uniqueness of the solution from the construction itself.
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*Remark* : Notice that if the initial curve g is not differentiable, the ux derivative of the solution
do not exist.

Toy Problem-2 : Take a = 0, b = 1, c = 0, = R2 and = y-axis in (0.6), that is

uy (x, y) = 0 in R2 ,

u(y, 0) = g(y).
Show that the problem has infinitely many solutions if g is a constant function, else (g is not a
constant map) the problem has no solution.

Solution: Like in the previous problem (as uy = 0), any u which is a solution to our problem
has to take constant values on each line parallel to y-axis. In particular, u has to take constant value
on y-axis. Therefore if the initial data g is not constant on y axis, then there is no solution.
Let g(y, 0) = c, where c is any real number. In this case

u(x,y) = f(x)

for any f , such that f (0) = c is a solution. Clearly there are infinitely many choices of such f , which
leads to existence of infinitely many solutions.

Notice in the previous examples uy = 0 told us on lines parallel to y- axis, solutions are constant.
And by varying the initial curves and initial values we obtained uniqueness, non-existence and
existence of infinitely many solutions. This suggests that position of certain curves and the initial
curve has to satisfy some compatibility conditions in order to get uniqueness results, when we
look at the problem (0.6) in future. We will try to introduce this difficulties by introducing different
sample problems. Then we will finally address the existence-uniqueness result for quasilinear PDEs.

Therefore Toy Problem 2 suggests us that in general there is no chance of having a global existence
and uniqueness result for (0.6). Therefore we are forced to look at only local (near a point on the
curve ) results. This is the best result that we can hope to prove.

Toy Problem-3 :(Transport Equation) Find solutions by taking a = 1, b = k( constant), c =


0, = R2 and = x-axis in (0.6), that is
ux (x, y) + kuy (x, y) = 0 in R2 ,


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

Solution: Assume that total derivative of u exists in R2 . Then the above problem is equivalent
to the following problem: Let = (1, k),
 u
(x, y) = 0 in R2 ,
(0.3)
u(x, 0) = g(x),
after using the formula u 2
= u . Let (x0 , y0 ) be any arbitrary point in R at which we want
to find the value of u. From the first equation , immediately, our knowledge in calculus says that
u has to be constant on the entire line that passes through the point (x0 , y0 ) and with gradient k.
Equation of such a line is given by y = kx + (y0 kx0 ). The line intersect the x-axis at the point
x0 yk0 . Therefore
y0 y0
u(x0 , y0 ) = u(x0 ) = g(x0 ).
k k
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Remark: (1) Note that in all the examples above the solutions u is constant on lines.
(2) Note, from (0.3), that the initial data is transported( constant) along the line, this is the reason
the equation is called Transport equation.

Problem 4: Non Homogeneous version of Transport Equation :

in R2 ,

ux (x, y) + kuy (x, y) = f (x, y)
(0.4)
u(x, 0) = g(x).

The equation is called non-homogeneous as the right hand side of the first equation contains a
non zero function.
Solution by Method of Characteristics: Motivated by our previous two examples where
straight lines played an important role in finding out the solution of the problem. We suspect for
this problem, there are some curves in R2 where the solution should behave in a special way.
Let (x, y) be an arbitrary poin in R2 where we want to evaluate our solution u. Let : R R2
given by
(t) := (x(t), y(t))
be a parametrized curve in R2 . Let at a general time t, the curve reaches the point (x, y), that is

(x(t), y(t)) = (x, y).

Also let this curve intersects the x- axis at the point (x0 , 0) at time t = 0, that is

(x(0), y(0)) = (x0 , 0)

Now let us introduce the most important quantity for this problem. Let z : R R be defined as

z(t) := u((t)) = u(x(t), y(t)) = u(x, y).

That is the function z calculates the value of u on the curve . Differentiating z with respect to t,
we get

z 0 (t) = ux ((x(t), y(t)))x0 (t) + uy ((x(t), y(t)))y 0 (t) = ux (x, y) x0 (t) + uy (x, y) y 0 (t).

Equating the coefficients of the above equation with that of (0.9). We obtain the following system
of ODE, which is called Characteristics Equations:

x0 (t) = 1, y 0 (t) = k, z 0 (t) = f (x(t), y(t))



(0.5)
x(0) = x0 , y(0) = 0, z(0) = u(x0 , 0) = g(x0 ).

Solving them we get x(t) = t + x0 , y(t) = kt and


Z t Z t
u(x, y) = z(t) = z(0) + f (x(s), y(s))ds = g(x0 ) + f (s + x0 , s)ds.
0 0
y
Finally eliminating t and x0 , using x k = x0 and y = t, we obtain
Z y
y k
u(x, y) = g(x ) + f (x y + s, s)ds.
k 0
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The curve t (x(t), y(t), z(t)) is called the Characteristics curve, while the curve (x(t), y(t))
is called the Projected Characteristics (PC). For the above problem note that PC are all
lines with gradient k that fills the entire R2 and the solution exist on entire R2 . This solution is
again unique by construction.

Remark: Notice that the solution is not constant on lines (as it was the case in the first 3
examples), but it is guided by an ODE on the curve .

METHOD OF CHARACTERISTICS FOR SOLVING QUASILINEAR PDEs

Now we present in a more general setting the method of characteristics. The only assumption
that we make is that the curve in (0.6) is x-axis. Consider the following Quasilinear PDE:


a(x, y, u)ux (x, y) + b(x, y, u)uy (x, y) = c(x, y, u) in
(0.6)
u(x, 0) = g(x, 0).

We always are trying to find C 1 solution u. Let (x, y) be an arbitrary poin in R2 where we want
to evaluate our solution u. Let : R R2 given by

(t) := (x(t), y(t))

be a parametrized curve in R2 . Let at a general time t, the curve reaches the point (x, y), that is

(x(t), y(t)) = (x, y).

Also let this curve intersects the x- axis at the point (x0 , 0) at time t = 0, that is

(x(0), y(0)) = (x0 , 0)

Now let us introduce the most important quantity for this problem. Let z : R R be defined as

z(t) := u((t)) = u(x(t), y(t)) = u(x, y).

That is the function z calculates the value of u on the curve . Differentiating z with respect to t,
we get

z 0 (t) = ux ((x(t), y(t)))x0 (t) + uy ((x(t), y(t)))y 0 (t) = ux (x, y) x0 (t) + uy (x, y) y 0 (t).

Equating the coefficients of the above equation with that of (0.9). We obtain the following system
of ODE, which is called Characteristics Equations:

0
x (t) = a(x(t), y(t), z(t)),
(0.7) y 0 (t) = b(x(t), y(t), z(t)),
0
z (t) = c(x(t), y(t), z(t))

subject to the initial conditions


(0.8) x(0) = x0 , y(0) = 0, z(0) = g(x0 ).

The curve t (x(t), y(t), z(t)) is called the Characteristics curve, while the curve (x(t), y(t))
is called the Projected Characteristics (PC).
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Questions : 1. Can two different Projected Characteristics (that is starting from two initial
values) intersect each other?
2. Does PC fills the entire ?
3. Does the Characteristics equation is solvable for all time?
4. Is we assume that there exist a solution by the method of Characteristics, then is this solution
always unique.

We will provide the answer to the above questions in few moment, but before that let us solve a
Semilinear PDE with Method of Characteristics.

An Example with Semilinear PDE

Problem 5 Solve the following problem: Take a = 1 = b, c = u2 , is still x-axis for us in (0.6).
That is

in R2 ,

ux (x, y) + kuy (x, y) = u
(0.9)
u(x, 0) = g(x).
Solution: Directly we now write down the characteristics equation to get:

x0 (t) = 1, y 0 (t) = k, z 0 (t) = z(t),


with the following initial conditions
x(0) = x0 , y(0) = 0, z(0) = g(x0 ).
Solving them we obtain,
x(t) = t + x0 , y(t) = kt, z(t) = g(x0 )et .
Eliminating t, from the first two equation, we get the equation of the projected characteristics
x ky = x0 . (notice by varying x0 over R, one can see that PC fills entire R2 , and they can never
intersect) From the third equation we have

u(x, t) = z(t) = g(x0 )et .


Eliminating t and x0 , we have
y y
u(x, y) = g(x )e k .
k
..................
Answers 1. For general quasilinear PDE two PC may intersect each other, but for semilinear
PDE they cannot intersect.
2. Not in general. 3. No not in general 4. 3. No not in general.
We will see this phenomenon soon, with some examples.

References
[1] Lawrence C Evans: Partial Differential Equations.
[2] Robert C McOwen: Partial Differential Equations.