Introduction and Basic Definitions

First-Order Partial Differential Equations

MA 201: Partial Differential Equations

Lecture - 1

MA201(2016):PDE
 Introduction and Basic Definitions
First-Order Partial Differential Equations

What is a differential equation?

Recall n-th order ordinary differential equation (ODE):

F (x, y (x), y 0 (x), y 00 (x), · · · , y (n) (x)) = 0, (1)

dy d 2y dny
where y 0 (x) = dx , y 00 (x) = dx 2 , · · · , y (n) (x) = dx n .
Facts:
• In an ODE, there is only one independent variable (Here x) so that
all the derivatives appearing in the equation are ordinary derivatives
of the unknown function y (x).
• The order of an ODE is the order of the highest derivative that
occurs in the equation.
• Equation (1) is linear if F is linear in y , y 0 , y 00 , . . . , y (n) , with the
coefficients depending on the independent variable x.

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 Introduction and Basic Definitions
First-Order Partial Differential Equations

Example

• y 00 (x) + 3y 0 (x) + xy (x) = 0 (second-order, linear)

• y 00 (x) + 3y (x)y 0 (x) + xy (x) = 0 (second-order, nonlinear)
• y 00 (x) + 3y 0 (x) + xy 2 (x) = 0 (second-order, nonlinear)
• y 000 (x) + 5xy 0 (x) + sin(x)y (x) = 0 (third-order, linear)

Theorem (Picard’s Theorem)

Let R : |x − x0 | < a, |y − y0 | < b be a rectangle. Let f (x, y ) be
continuous and bounded in R, i.e., there exists a number K such that

|f (x, y )| ≤ K ∀(x, y ) ∈ R.

Further, let f satisfy the Lipschitz condition with respect to y in R, i.e.,

there exists a number M such that

|f (x, y2 ) − f (x, y1 )| ≤ M|y2 − y1 | ∀(x, y1 ), (x, y2 ) ∈ R. (2)

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 Introduction and Basic Definitions
First-Order Partial Differential Equations

Then, the IVP

y 0 (x) = f (x, y ), y (x0 ) = y0 (3)
has a unique solution y (x). This solution is defined for all x in the
interval
b
|x − x0 | < α, where α = min{a, }.
K
Let’s consider its generalization to a system of n first-order ODEs in n
unknowns

dyi (x)
= fi (x, y1 , . . . , yn ), i = 1, . . . , n, (4)
dx
satisfying the initial conditions

y1 (x0 ) = y10 , . . . , yn (x0 ) = yn0 , (5)

where y10 , . . . , yn0 are the given initial values.

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 Introduction and Basic Definitions
First-Order Partial Differential Equations

Theorem (Existence and uniqueness results)

Let Q be a box in Rn+1 defined by

Q : |x − x0 | < a, |y1 − y10 | < b1 , . . . , |yn − yn0 | < bn .

Let each of the functions f1 , . . . , fn be continuous and bounded in Q, and

satisfy the following Lipschitz condition with respect to the variables
y1 , y2 , . . . , yn , i.e., there exists constants L1 , . . . , Ln such that

|f (x, y11 , . . . , yn1 ) − f (x, y12 , . . . , yn2 )| ≤ L1 |y11 − y12 | + · · · + Ln |yn1 − yn2 |

for all pairs of points (x, y11 , . . . , yn1 ), (x, y12 , . . . , yn2 ) ∈ Q.
Then there exists a unique set of functions y1 (x), . . . , yn (x) defined for x
in some interval |x − x0 | < h, 0 < h < a such that y1 (x), . . . , yn (x) solve
(4)-(5).

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 Introduction and Basic Definitions
First-Order Partial Differential Equations

Definition
A partial differential equation (PDE) for a function u(x1 , x2 , . . . , xn )
(n ≥ 2) is a relation of the form

F (x1 , x2 , . . . , xn , u, ux1 , ux2 , . . . , ux1 x1 , ux1 x2 , . . . , ) = 0, (6)

where F is a given function of the independent variables x1 , x2 , . . . , xn ; of

the unknown function u and of a finite number of its partial derivatives.
The order of an equation:The order of a PDE is the order of the
highest derivative appearing in the equation. If the highest derivative is
of order m, then the equation is said to be of order m.

ut − uxx = f (x, t) (second-order equation)

ut + uxxx + uxxxx = 0 (fourth-order equation)

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 Introduction and Basic Definitions
First-Order Partial Differential Equations

Definition (Classification)
• A PDE is said to be linear if F is linear in the unknown function u
and its partial derivatives, with coefficients depending on the
independent variables x1 , x2 , . . . , xn .
• A PDE of order m is said to be quasi-linear if it is linear in the
derivatives of order m with coefficients that depend on x1 , x2 , . . . , xn
and the derivatives of order < m.
• A quasi-linear PDE of order m, where the coefficients of derivatives
of order m are functions of the independent variables x1 , . . . , xn
alone is called a semi-linear PDE.
• A PDE of order m is called fully nonlinear if it is not linear in the
derivatives of order m.

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 Introduction and Basic Definitions
First-Order Partial Differential Equations

Example (Some well-known PDEs)

• The Laplace’s equation in n dimensions:
n
X ∂ 2u
∆u := = 0 (second-order, linear, homogeneous)
∂xi2
i =1

• The Poisson equation:

∆u = f (second-order, linear, nonhomogeneous)

• The heat equation:

∂u
−k∆u = 0 (k = const. > 0) (second-order, linear, homogeneous)
∂t
• The wave equation:

∂2u 2
−c ∆u = 0 (c = const. > 0) (second-order, linear, homogeneous)
∂t 2

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 Introduction and Basic Definitions
First-Order Partial Differential Equations

• The Transport equation:

∂u ∂u
+ = 0 (first-order, linear, homogeneous)
∂t ∂x
• The Burger’s equation:

∂u ∂u
+u = 0 (first-order, quasilinear, homogeneous)
∂t ∂x
• Semi-linear equation

xuux + yuuy = x 2 + y 2 , x > 0, y > 0.

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 Introduction and Basic Definitions
First-Order Partial Differential Equations

First-order PDEs: A first order PDE in two independent variables x, y

and the dependent variable u can be written in the form
∂u ∂u
F (x, y , u, , ) = 0. (7)
∂x ∂y
For convenience, set
∂u ∂u
p= , q= .
∂x ∂y
Equation (7) then takes the form

F (x, y , u, p, q) = 0. (8)

First-order PDEs arise in many applications, such as

• Transport of material in a fluid flow.
• Propagation of wave-fronts in optics.

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 Introduction and Basic Definitions
First-Order Partial Differential Equations

• Classification of first-order PDEs

• If (7) is of the form

∂u ∂u
a(x, y ) + b(x, y ) = c(x, y )u + d(x, y )
∂x ∂y
then it is called linear first-order PDE.
• If (7) has the form

∂u ∂u
a(x, y ) + b(x, y ) = c(x, y , u)
∂x ∂y
then it is called semilinear because it is linear in the leading
(highest-order) terms ∂u∂x
and ∂u
∂y
. However, it need not be linear in u.
• If (7) has the form

∂u ∂u
a(x, y , u) + b(x, y , u) = c(x, y , u)
∂x ∂y
then it is called quasi-linear PDE. Here the function F is linear in
∂u ∂u
the derivatives ∂x and ∂y with the coefficients a, b and c depending
on the independent variables x and y as well as on the unknown u.
∂u
• If F is not linear in the derivatives ∂x and ∂u∂y
, then (7) is said to be
nonlinear.
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 Introduction and Basic Definitions
First-Order Partial Differential Equations

Linear PDE $ Semi-linear PDE $ Quasi-linear PDE $ PDE

Example

• xux + yuy = u (linear)

• xux + yuy = u 2 (semi-linear)

• ux + (x + y )uy = xy (linear)

• uux + uy = 0 (quasi-linear)

• xux2 + yuy2 = 2 (nonlinear)

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 Introduction and Basic Definitions
First-Order Partial Differential Equations

How first-order PDEs occur?

• The applications of conservation principles often yield first-order
PDEs.
• Two-parameter family of surfaces: Let

f (x, y , u, a, b) = 0 (9)
represent a two-parameter family of surfaces in R3 , where a and b
are arbitrary constants. Differentiating (9) with respect to x and y
yields the relations
∂f ∂f
+p = 0, (10)
∂x ∂u
∂f ∂f
+q = 0. (11)
∂y ∂u
Eliminating a and b from (9), (10) and (11), we get a relation of the
form
F (x, y , u, p, q) = 0, (12)
which is a first-order PDE for the unknown function u of two
independent variables.
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 Introduction and Basic Definitions
First-Order Partial Differential Equations

Example
The equation
x 2 + y 2 + (u − c)2 = a2 , (13)
where a and c are arbitrary constants, represents the set of all spheres
whose centers lie on the u-axis. Differentiating (13) with respect to x, we
obtain  
∂u
x + (u − c) = 0. (14)
∂x
Differentiating (13) with respect to y to have

∂u
y + (u − c) = 0. (15)
∂y

Eliminating the arbitrary constant c from (14) and (15), we obtain the
first-order PDE
∂u ∂u
y −x = 0. (16)
∂x ∂y

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 Introduction and Basic Definitions
First-Order Partial Differential Equations

• Unknown function of known functions

• Unknown function of a single known function
Let
u = f (g ), (17)
where f is an unknown function and g is a known function of two
independent variables x and y .
Differentiating (17) with respect to x and y yields the equations

ux = f 0 (g )gx (18)

and
uy = f 0 (g )gy , (19)
0
respectively. Eliminating f (g ) from (18) and (19), we obtain

gy ux − gx uy = 0,

which is a first-order PDE for u.

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 Introduction and Basic Definitions
First-Order Partial Differential Equations

Example
The surfaces described by an equation of the form

u = f (x 2 + y 2 ), (20)

where f is an arbitrary function of a known function g (x, y ) = x 2 + y 2 .

Differentiating (20) with respect to x and y , it follows that

ux = 2xf 0 (g ); uy = 2yf 0 (g ),
df
where f 0 (g ) = dg . Eliminating f 0 (g ) from the above two equations, we
obtain a first-order PDE
yux − xuy = 0.

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 Introduction and Basic Definitions
First-Order Partial Differential Equations

• Unknown functions of two known functions

Let
u = f (x − ay ) + g (x + ay ), (21)
where a > 0 is a constant. With v (x, y ) = x − ay and
w (x, y ) = x + ay , we write (21) as

u = f (v ) + g (w ). (22)

Differentiating (22) w. r. t. x and y yields

p = ux = f 0 (x − ay ) + g 0 (x + ay ),
q = uy = −af 0 (x − ay ) + ag 0 (x + ay )

Eliminating f 0 (v ) and g 0 (w ), we get

qy = a 2 px .

In terms of u, the above first-order PDE is the well-known wave

equation
uyy = a2 uxx .
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