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Chapter 7
Chapter 7
Heat Equation
Partial differential equation for temperature u(x, t ) in a heat conducting insulated rod
along the x-axis is given by the Heat equation:
ut = k ux x , x ∈ R, t > 0 (7.1)
Here k is a constant and represents the conductivity coefficient of the material used to
make the rod. Since we assumed k to be constant, it also means that material properties
are constant and do not depend on the location in the rod. It means we are considering a
homogeneous material.
Note that rod is a three dimensional object and we considered x ∈ R in the above
model. It means that we are assuming that material properties of the rod vary only in the
x-direction and are constant w.r.t. y, z directions; and thereby also expecting temperature
distribution to respect these symmetries.
In a more realistic model we have to consider that conductivity coefficient will vary
from point to point in the rod and thus k has to be a function of the variables (x, y, z) and
thus we have to look at the following model:
u t = k(x, y, z) u x x + uyy + u z z , x ∈ R3 , t > 0 (7.2)
In Section 7.1 we introduce fundamental solution associated to heat equation, and de-
rive formulae for solutions of Cauchy problems for homogeneous and nonhomogeneous
heat equation posed for x ∈ R. We deal the case of heat equation posed on bounded x-
intervals and corresponding initial-boundary value problems (IBVP) in Section 7.2. We
obtain a formal solution to IBVP using method of separation of variables, and uniqueness
is proved using energy method. Maximum principle for solutions to heat equation will
be discussed in Section 7.3, and as an application we prove that formal solution to IBVP
derived in Section 7.2 is indeed a solution (under some conditions on the data), and also
prove uniqueness of solutions to IBVP.
187
188 Chapter 7. Heat Equation
d 2v z d v
+ = 0. (7.3)
d z2 2 d z
Such transformations which convert a PDE into an ODE are called similarity transfor-
mations. The equation (7.3) can be solved explicitly , and its general solution is given
by
∫z 2
s
v(z) = C1 exp − d s + C2 , (7.4)
0 4
where C1 , C2 are arbitrary constants. Since the constant term C2 plays no role in deter-
mining a fundamental solution to heat equation, we take C2 = 0. Thus u is given by
∫ px 2
t s
u(x, t ) = C1 exp − d s. (7.5)
0 4
Note that
p
− π if x < 0,
u(x, 0) = p (7.6)
π if x > 0,
uniformly for x ∈ R.
Proof. Step 1: proof of (i), (ii), (iii): Properties (i), (ii), and (iii) follow from the definition
of K1 as given by (7.9).
y−x
Step 2: proof of (iv): Setting z = p ,
2 t
we have
∫ ∫
1
K1 (x, y, t ) d y = p exp −z 2 d z = 1. (7.11)
R π R
∫ p
Since R
exp −z 2
d z = π, we have
∫
lim exp −z 2 d z = 0. (7.13)
t →0 δ
|z|> 2p t
u t − u x x = 0, x ∈ R, t > 0, (7.14a)
u(x, 0) = φ(x), for x ∈R (7.14b)
can be expressed using fundamental solution, and is the content of the following result.
Then
(i) u ∈ C ∞ (R × (0, ∞)).
(ii) u is a solution of heat equation u t = k u x x for t > 0.
(iii) If we extend the function to R × [0, ∞) by setting u(x, 0) = φ(x), then u ∈ C (R ×
[0, ∞)).
Proof. Step 1: proof of (i), (ii): Assertions (i) and (ii) follow from Lemma 7.2.
∫
Step 2: proof of (iii): For δ > 0 (to be chosen later), in view of R K1 (x, y, t ) d y = 1,
we have
∫
|u(x, t ) − φ(ξ )| = K1 (x, y, t ) (φ(y) − φ(ξ )) d y
∫R ∫
≤ K1 (x, y, t ) |φ(y) − φ(ξ )| d y + K1 (x, y, t ) |φ(y) − φ(ξ )| d y
|y−x|<δ |y−x|>δ
In the last inequality, there are two integrals: the first integral can be made small using
continuity of φ, and the second integral goes to zero as t → 0 by Lemma 7.2. We will
ε
choose δ > 0 so that |φ(y) − φ(ξ )| < 2 whenever |y − ξ | < 2δ. Thus we have
∫ ∫
K1 (x, y, t ) |φ(y) − φ(ξ )| d y ≤ K1 (x, y, t ) |φ(y) − φ(ξ )| d y
|y−x|<δ |y−ξ |<2δ
∫
ε
< K1 (x, y, t ) d y
2 |y−ξ |<2δ
∫
ε
< K (x, y, t ) d y
2 R 1
ε
< . (7.16)
2
By (7.10), there exists t0 so that for 0 < t < t0 , we have
∫
ε
K1 (x, y, t ) |φ(y) − φ(ξ )| d y < . (7.17)
|y−x|>δ 2
Combining the inequalities (7.16) and (7.17), we get for (x, t ) ∈ R × (0, ∞) such that
|x − y| < δ and t < t0 , the following inequality
ε ε
|u(x, t ) − φ(ξ )| < + = ε,
2 2
thus proving that u is continuous at points of x-axis, and that u(x, 0) = φ(x) for each
x ∈ R.
Remark 7.4. The Cauchy data φ need not be a bounded function for the formula (7.15)
to represent a solution to Cauchy problem. If there exists M , a such that φ satisfies for
every x ∈ R
2
|φ(x)| ≤ M e a x ,
1
then the formula (7.15) represents a solution to Cauchy problem for 0 < t < 4a
, and
1
u ∈ C ∞ (R × (0, 4a ).
Remark 7.5 (infinite speed of propagation). (i) The solution having the form (7.15)
has the following domain of dependence property. Solution at any point (x, t ) ∈
R × (0, ∞) depends on the values of initial data φ(x) at all x ∈ R, and thus domain
of dependence of solution at any point (x, t ) for t > 0 is the entire real line. The
domain of influence of any point on x-axis is R × (0, ∞). This shows that informa-
tion from Cauchy data reaches all points instantly. This suggests that heat equation
may not be suitable to study physical phenomenon.
(ii) In addition to the hypotheses of Theorem 7.3 assume that the Cauchy data φ ̸= 0
is such that φ(x) ≥ 0 for all x ∈ R. It immediately follows from the formula (7.15)
that u(x, t ) > 0 for all x ∈ R and t > 0. This is another instance illustrating infinite
speed of propagation property of heat equation.
Note that Theorem 7.3 asserts only the existence of a solution. In general uniqueness
is not expected for Cauchy problem for heat equation, posed for x ∈ R. However we can
prove that Cauchy problem admits only one solution when we are looking for solutions
belonging to special classes of functions, like solutions having a controlled growth of the
2
type |u(x, t )| ≤ M e ax [20].
The following example of Tychonoff illustrates non-uniqueness of solutions.
converges and is a solution to homogeneous heat equation, and u(x, 0) = 0. For further
details, see [20, 23]. However v(x, t ) ≡ 0 is also a solution to the same Cauchy problem.
Thus a Cauchy problem may have more than one solution.
u t − u x x = 0, x ∈ R, t > 0,
u(x, 0) = φ(x) for x ∈ R.
Taking cue from (4.76), we expect the following formula to yield a solution of the
Cauchy problem (7.18)
∫t
u(x, t ) = (S(t )φ) (x) + (S(t − τ) fτ ) (x) d τ, (7.19)
0
∂ ∂2
(S(t − τ) fτ ) = (S(t − τ) fτ ) .
∂t ∂ x2
Thus we get
∫ t
∂ ∂2
− (S(t − τ) fτ ) (x) d τ = f (x, t ).
∂ t ∂ x2 0
Using the definition of the operator S(t ) in the formula (7.19) for the solution of Cauchy
problem for nonhomogeneous heat equation, we get the following expression for solu-
tion.
∫
1 |x − y|2
u(x, t ) = p exp − φ(y) d y
4πt R 4t
∫t ∫
1 |x − y|2
+ p exp − f (y, τ) d y d τ. (7.20)
0 4π(t − τ) R 4(t − τ)
Remark 7.7. Note that w(x, t ; τ) := S(t − τ) fτ solves the following problem
w t − w x x = 0, x ∈ R, t > τ (7.21a)
where k > 0.
Definition 7.8 (solution to IBVP). Let R be the the rectangle (0, π)×(0, T ). Let CH denote
the collection of all functions φ : R → R such that the functions φ, φ x , φ x x , φ t belong to the
space C (R). A function v ∈ CH is said to be a solution of the IBVP (7.22) if v satisfies all the
equations (7.22a) - (7.22d)
Since the equation (7.22a) is linear and homogeneous, principle of superposition holds
for its solutions. Thus a solution to the IBVP (7.22) may be obtained by a superposition
of three solutions of IBVP, where each one of these solves IBVP with exactly one of the
functions g1 , g2 , g3 being non-zero.
We illustrate how to obtain a solution of the IBVP (7.22) where g1 = g3 = 0, and other
two cases are left as an exercise. Thus, we consider the Initial Boundary Value Problem
for heat equation given by
where k > 0.
We show the existence of solutions to the IBVP (7.23) using the method of separation
of variables. Substituting
u(x, t ) = X (x)T (t )
X ′′ (x) T ′ (t )
= (7.24)
X (x) kT (t )
Since the LHS and RHS of the equation (7.24) are functions of the variables x and t re-
spectively, each of them must be a constant function. Thus we have, for some constant
λ,
X ′′ (x) T ′ (t )
= =λ (7.25)
X (x) kT (t )
Since we are interested in finding a non-trivial solution, the boundary conditions (7.23b)-
(7.23c) give rise to the following conditions on the function X :
The ODE (7.26a) has non-trivial solutions satisfying the boundary conditions (7.27)
if and only if λ = −n 2 for some n ∈ N. Thus λn = −n 2 are eigenvalues and the corre-
sponding eigenfunctions are given by Xn (x) = sin nx.
The coefficients bn in the formula (7.28) will be determined using the condition (7.23d).
Thus we get
∑
∞
f (x) = bn sin nx. (7.29)
n=1
∑∞ ∫
2 π
f (s ) sin n s d s e −n k t sin n x.
2
u(x, t ) ≈ (7.31)
n=1 π 0
Multiplying the equation (7.23a) with u and integrating over the interval [0, π] gives
∫ π ∫ π
u ut d x = k u u x x d x. (7.32)
0 0
1 ∫π π
Thus the energy integral E(t ) = 2 0
u 2 (x, t ) d x is non-increasing if k u u x 0 ≤ 0. For
d
example if u satisfies u(0, t ) = 0 and u x (π, t ) = 0, we get dt
E(t ) ≤ 0. As a consequence,
we get E(t ) ≤ E(0) for t > 0.
Using energy method, we can establish that solutions to an IBVP for heat equation
are unique. Consider the IBVP
Theorem 7.9. Let u and v be solutions to the IBVP (7.33) on the strip S := (0, π) × (0, ∞).
Then u = v on S .
Proof. Define w := u − v. Then w solves homogeneous heat equation with zero initial-
boundary conditions on the strip S . Note that E(t ) is a non-increasing function, and
thus E(t ) ≤ E(0). But E(0) = 0. Thus E(t ) = 0 and hence w(x, t ) = 0 on S .
Definition 7.10 (Parabolic Boundary). Let R be the rectangle (0, π) × (0, T ). The bound-
ary ∂ R of the rectangle is the union of lines Li (i = 1, 2, 3, 4) where
L1 = {(0, t ) : 0 ≤ t ≤ T } ,
L2 = {(x, 0) : 0 ≤ x ≤ π} ,
L3 = {(π, t ) : 0 ≤ t ≤ T } ,
L4 = {(x, T ) : 0 ≤ x ≤ π} .
∂P R = L1 ∪ L2 ∪ L3 .
Theorem 7.11. Let u ∈ CH be a solution of the heat equation. Then the maximum value of
u on R is achieved on the parabolic boundary ∂P R.
Clearly m ≤ M . The proof of the theorem will be complete if we prove that m < M is
not possible.
L4
(0, T ) (π, T )
L1 R L3
. x
(0, 0) L2 (π, 0)
Assume that m < M holds. Let (x1 , t1 ) ∈ R ∪ L∗4 be such that u(x1 , t1 ) = M .
Define the function v : R → R by
M −m
v(x, t ) = u(x, t ) + (x − x1 )2 (7.35)
4π2
For (x, t ) ∈ ∂P R, we have
M −m 2 M −m
v(x, t ) ≤ m + π =m+ <M (7.36)
4π 2 4
Further, v(x1 , t1 ) = u(x1 , t1 ) = M . Thus the function v assumes its maximum value,
namely M , on R ∪ L∗4 . Let (x2 , t2 ) ∈ R ∪ L∗4 be such that v(x2 , t2 ) = M . Note that
0 < x2 < π. Note that
(a) if (x2 , t2 ) ∈ R, then we must have v t (x2 , t2 ) = 0, and
(b) if (x2 , t2 ) ∈ L∗4 , then we must have v t (x2 , t2 ) ≥ 0.
Thus we have v t (x2 , t2 ) ≥ 0. In view of the relations
M −m
v t (x2 , t2 ) = u t (x2 , t2 ) = k u x x (x2 , t2 ) = k v x x (x2 , t2 ) − ,
2π2
we get
Remark 7.12. Note that the maximum principle proved here is the weak maximum prin-
ciple. A strong maximum principle which is similar to that of laplace equation also holds
for heat equation, and a proof may be found in [12].
Corollary 7.13. Let u ∈ CH be a solution of the heat equation. Then the minimum value of
u on R is achieved on the parabolic boundary ∂P R.
Proof. The assertion of the corollary follows by applying Theorem 7.11 to the function
v := −u.
Corollary 7.14 (uniqueness of solutions to IBVP). The initial boundary value problem
(7.22) for the heat equation has at most one solution.
Proof. Let u1 , u2 be solutions of the initial boundary value problem (7.22). We need to
show that u1 = u2 . Consider w defined by w := u1 − u2 . Then w satisfies the following
IBVP
wt = k wx x , 0 < x < π, 0 < t < T
w(0, t ) = 0, 0≤t ≤T
w(π, t ) = 0, 0≤t ≤T
w(x, 0) = 0, 0≤x ≤π
By Theorem 7.11, and Corollary 7.13, we conclude that w attains both its maximum and
minimum on the parabolic boundary, but w = 0 there. Hence w ≡ 0.
Theorem 7.15. Consider the IBVP (7.23), where f is such that the fourier series of f converges
uniformly to f . Then the formal solution given by (7.31) is indeed a solution of the IBVP (7.23).
Proof.
Let us now check the validity of the formal solution given by (7.31).
(i) The series in (7.31) converges uniformly for (x, t ) ∈ [0, π] × (0, T ], when f is inte-
grable on the interval [0, π]. For,
∫ ∫
2 π 2 π
|bn | ≤ | f (s)|| sin ns | d s ≤ | f (s)| d s ≤ c < ∞, (7.39)
π 0 π 0
|bn e −n sin nx| ≤ c e −n ≤ c e −n
2 2 2
kt kt k t0
(7.40)
∑∞
Since the series n=1 e −n k t0 is convergent (follows from ratio test), we conclude
2
that the series in (7.31) converges uniformly for (x, t ) ∈ [0, π] × [t0 , T ], and hence
u is a continuous function. Since t0 is arbitrary, we conclude that u is continuous
on [0, π] × (0, T ].
(ii) The derivatives u t , u x , u x x exist as continuous functions on [0, π] × (0, T ]. This
follows from the fact that the series in (7.31) can be differentiated term-by-term
once w.r.t. t and twice w.r.t. x. Since proofs of assertions regarding u x , u x x are on
similar lines, we present the proof for the case of u t . Note that the series
∑
∞
(−n 2 k)bn e −n
2
kt
sin nx (7.41)
n=1
is uniformly convergent for (x, t ) ∈ [0, π] × [t0 , T ], which follows from ratio test,
∑
the convergence of the series ∞ 2
n=1 n k e
−n 2 k t0
, and the inequalities
Thus it follows that u satisfies heat equation on the domain [0, π] × (0, T ]. It remains
to show that u satisfies the initial-boundary conditions (7.23b)-(7.23d).
In order to show that u is continuous on [0, π] × [0, T ], we show that the sequence
of partial sums of the series in (7.31) is uniformly Cauchy on [0, π] × [0, T ]. Let the N th
partial sum be denoted by SN (x, t ) which is given by
∑
N
bn e −n
2
kt
SN (x, t ) = sin nx. (7.43)
n=1
∑
m
bn e −n
2
kt
w l ,m (x, t ) = sin nx. (7.44)
n=l +1
∑
m
w l ,m (x, 0) = bn sin n x. (7.45)
n=l +1
Remark 7.16. Note from the above proof that the series (7.31) was proved to be differen-
tiable w.r.t. t by proving that series resulting from term-by-term differentiation of (7.31) is
uniformly convergent, which followed from the presence of exponentially decaying term
e −n k t . By a similar argument, it follows that the function defined by the series (7.31) is in-
2
finitely differentiable w.r.t. x and t . Thus a solution of heat equation belongs to the space
C ∞ (R), even when u(x, 0) = f is not. This is described as the regularizing (smoothing)
effect of heat equation.
Exercises
General
7.1. Show that the heat equation u t − u x x = 0 under the change of coordinates z = ax
and τ = a 2 t takes the form wτ − w z z = 0.
7.2. [23] Goal of this exercise is to prove Weierstrass’s approximation theorem using
formula (7.15). Let f ∈ C [a, b ].
(i) Extend the function to φ : R → R by
f (a) if x < a,
φ(x) = f (x) if a ≤ x ≤ b ,
f (b ) if x > b .
where b > 0 is a constant. (Hint: Try a solution having the form u(x, t ) =
e −b t v(x, t )).
7.4. [40] If u(x, t ) = f (x − at ) is a solution of homogeneous heat equation, then find
f and show that the speed a is arbitrary.
7.5. [40] Let u be a solution of 2u t = u x x . Let v be defined by
2
1 x x 1
v(x, t ) = p exp u , .
t 2t t t
IBVP
7.6. Solve the following initial boundary value problem:
ut = k ux x x > 0, t > 0,
u(0, t ) = 1 t ≥ 0,
u(x, 0) = 0 x ≥ 0.
7.7. [40] Consider heat equation posed for x ∈ (0, l ) with Robin boundary conditions
u x (0, t )−a0 u(0, t ) = 0 and u x (l , t )+a l u(l , t ) = 0, where a0 > 0 and a l > 0 are con-
stants. Use energy method to show that the endpoints contribute to the decrease
∫l
of 0 u 2 (x, t ) d x. These boundary conditions are called ‘radiating’, ‘dissipative’
boundary conditions as energy is lost at the boundary.
Maximum principles
7.8. [16] The initial boundary value problem for Heat equation is well-posed. Exis-
tence was proved by separation of variables method and uniqueness using maxi-
mum principle. Now prove the stability part of the well-posedness.
7.9. State and prove a maximum principle for solutions of an IBVP for u t = k∆u,
where ∆ is the laplacian in Rd .
7.10. Consider the following initial boundary value problem:
(a) Using maximum principle, show that the above initial boundary value prob-
lem has a unique solution.
(b) Using maximum principle, show that the solutions to IBVP are stable in
the sense that for each ε > 0, there exists a δ > 0 such that for functions
f1 , f2 , g1 , g2 , h1 , h2 satisfying
ut − ux x = 0 on R,
u(0, t ) = u(π, t ) = 0 for 0 ≤ t ≤ T ,
u(x, 0) = sin2 x for 0 ≤ x ≤ π.
Using maximum principle, show that 0 ≤ u(x, t ) ≤ e −t sin x holds for (x, t ) ∈ R.