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Review of Differential Calculus

(1) Basic Definitions for Partial Differential Equations (PDEs ). The definitions are used
to classify PDEs. PDEs in one class all have the same solution form (or lack thereof ),
and similar properties.

o 2u o
A (x, y )- 2 +2B (x , y )-
2
u o
2
u OU OU
+C (x,y )- ') +D (x , y )- +E (x,y )- +F(x , y )u = G(x , y )
0x 0x0y 0 y· 0x 0y

(a ) The independent variables are x and y , the dependent variable is u. A, B , C, D , E , F,

and G are coefficients. Any constants in the coefficients are parameters.
(b ) The order of a PDE is equal to the order of the highest derivative appearing
in the equation.
(c) A linear PDE contains no powers of the dependent variable or its derivatives
greater than the first power, and no products of u with its derivatives , i. e. ,
the coefficients are independent of u. In other words a linear PDE is linear in
the dependent variable.
(d) A PDE is homogeneous if G = 0.
(e) Second order PD Es have the following classification:

B2 - AC < O elliptic PDE

B2 - AC= 0 parabolic PDE
B2 - AC> 0 hyperbolic PDE

(f) T he solution domain is a region on the area of x and y , or values that t he

independent variables take ( e.g. , a square, a circle, an infinite half plane).
(g) The boundary of a solution domain is closed if it completely surrounds the
domain and boundary conditions are specified everywhere on the boundary.
The boundary is called open.if one of the independent variables (usually time)
goes to infinity.
(h ) Types of boundary conditions:
• Dirichlet (D ): specification of the dependent variable on the boundary ( e.g ..
u (O,y) =l ).
• von Neumann (N ): specification of the normal derivative of the dependen t
variable on the boundary ( e.g., 88 u j = 0).
:r :r=O
• Robin or Mixed (M ): specification of the relationship between the value of
u and its normal derivative on the boundary ( e.g .. ~~ + /3 u = 0 at x = 0).
• Cauchy :( C) specification of both the value of u and its normal deri vati ve
on t he boundary {e .g., ~~ = 0 and u = 1 at x = 0 ) .

. .·
 (i) In order to have unique solutions, second order PD Es require the following
boundary conditions:
• Parabolic: D or N BCs on the open boundary, and D, N or M BCs on the
closed boundary.
• Elliptic: D,N, or M BCs on closed boundaries.
•Hyperbolic: CBC on open boundary and D,N, or M BCs on closed boundary.

(2) Solutions for Special Ordinary Differential Equations (ODEs). An ODE is a special
case of a PDE when there is only a single independent variable x.

(a) Separable: If the ODE can be written in the form

du P (x )
dx = Q(u )

where P and Q are arbitrary functions , then it has solution given by:

j Q(u)du = j P (x )dx + C
where C is a constant.
(b) Linear, First-Order: is of the type

du
dx + P (x)u = Q(x )
and has solution
_ J Q(x) µ (x )dx + C
( )
u x - µ(x)
where
µ (x ) :=exp[/ P(x )dx]

(c) Homogeneous , Second Order:

d2 u du
dx 2 +a dx +bu= 0, a, b real

has characteristic roots defined by >i 2 +a>i+b = 0, which has the two solutions:

There are three distinct cases:

• Both lambdas are real and distinct :

.)
 • Both lambdas are real and A+ = )._ =>. :
u( x ) = c1 exp ( >.x ) + xc2 exp (>. x )

• Both lambdas are imaginary: A± = p ±qi, p = -a/ 2, q = J b - a 2 /4:

u(x ) = exp (px )[c 1 cos(qx ) + c2 sin(qx )]

(d) Euler or Cauchy Equation:

2 d2u du
x dx 2 + ax dx + bu = 0, a, b real

Let x := exp (t ), then

d2u du
-dt 2 + (a - 1)-
dt
+ bu = 0
which may be solved as above for u(t ), then u(t =log x ).
(e) N onhomogeneous, Second Order :

d2u du
dx 2 +a dx +bu= R (x ), a, b real

The general solution is the sum of the homogeneus solutions found above, plus
the particular solutions up (x ) given below
• Both lambdas are real and distinct:

exp(>.+x )
up (x ) = >.+ _ )._
j exp(->.+x )R (x )dx - exp(>._x )
>-+ _ )._
j exp (->._ x) R (x) dx
• Both lambdas are real and >-+ = )._ = >.:
up( x ) = xexp(>.x) j exp(->.x )R(x)dx - exp(>.x ) j xexp(- >.x )R(x )dx
• Bo th lambdas are imaginary: A± = p ±qi, p = -a / 2, q = Jb - a 2 / 4:

u p( x ) =
exp(px ) sin ( qx )
q
j exp(-px ) cos (qx )R (x )dx-
exp(px ) cos (qx )
q
j exp (-px ) sin (qx )R (x )dx
(f) Equidimensional linear ODEs: These can be written in the form

where the an are constants. If Q(x) = 0, then these can often be solved by
assuming a polynomial of the form

n=-oo

Inserting the polynomial into the ODE leads to a characteristic equation,

whose roots tell us which coefficients An are nonzero. Double roots of r 1
indicate logarithmic solutions of the form

Conjugate imaginary pairs r ± = a ± ib tells us that there is a solution of the

form
u(x) = xa [c1 cos(blogx) + c2 sin(blogx)]
More generally, equidimensional linear equations can be converted to a linear
equation with constant coefficients by introduction of a new variable z:

:: :=log x, x = exp(z)

(g) Bessel's Equation:

2 <Pu du ( 2 2 2
x - 2
dx
+ xdx
-+ a x - n )u =.0, n is a positive integer

has solution
u(x) = c1Jn(ax) + c2Yn(ax)
where ln is the Bessel function of the first kind, order n, and Yn is the Bessel
function of the second kind , order n. These are tabulated in Abramowitz and
Stegun, for example, and are available in many standard software packages
and symbollic manipulators. These have differentiation formulae and many
recursion formulae given below.
(h) Modified Bessel's Equation:

., dzu du 2 2 2
x - -2
- dx
+ xdx- - (a x - n )u = 0.· n is a positive inte 0uer

has solution
 0.5

Function
Value
0

-0 .5

-1
0 2 4 6 8 10 12 14
x
Figure 1: Functional dependence of the first two Bessel functions of the first kind ln and of the
second kind}~ . Higher order functions can be related to these two through the recurrence relations.

where In is the modified Bessel function of the first kind , order n , and Kn
is the modified Bessel function of the second kind , order n". These are also
tabulated.
• Differentiation Formulae:

• Recursion Formulae:
2n
Zn - i (ax ) = -Zn (ax ) - Zn+1 (ax ),
ax
for Z =J, Y
d n
-d [Zn ( ax )] = -Zn (ax ) ± Zn+1 (ax ),
x ax
- for Z = J, Y, ]{ and + for Z = I
2n
Zn-1 (ax ) = ±-Zn(ax ) + Zn+l (ax ),
ax -
+ for Z =I and - for Z = f{

(3) Chain Rule for Partial Differentiation:

Consider a function J of three independent variables x , y , = : f = f (x, y , .::- ). We are
interested in transforming to a new set of independent variables: a = a(x , y , =), b =
b(x , y, .: - ), c = c(x , y , .::- ). These relations can be inverted: x = x (a. b, c), y = y (z. b, c), :: =
z( x , y, z), so that the function can be written in terms of the new independent vari-
ables: f ( a , b~ c) = f (x (a.b , c), y(a.b , c), z (a, b, c)). The chain rule of partial differentia-
tion states:

:)
Similar relations hold for the other derivatives, and the expression is easily generalized
to a different number of independent variables.

(4) Integral Relations:

(a) Leibnitz 's Rule for Differentiating an Integral:

d rb rb a f ab 8a
dt la f(x , t)dx =la Ftdx + atf(b, t) - 8t J (a, t )
(b) Generalization of Leibnitz ,.s Rule for Differentiating an Integral to Multiple
Dimensions: The integral is taken over the entire volume V (i.e., J actually
represents more than one integral), and s(r, t) is a scalar field that is in general
a function of position r and time t.,

! iv s(r, t)dV =iv~: dV +ls s(r, t)(vs · n)dS

where S represents the whole surface of the volume, vs is the velocity of the
infinitesimal surface element dS, and n is the unit outward normal vector
of the surface element dS. Since the same equation can be written for each
component of a vector, the above relation also holds for s being generalized
to a vector or tensor field .
(c) GaufJ-Ostrogradskii Divergence Theorem: An equivalence between the volume
integral of a vector field u , and a surface integral exists.

iv \J · u(r, t)dV =ls n · u(r, t)dS

where S represents the whole surface of the volume, V is the enclosed volume,
n is the unit outward normal vector of the surface element dS , and the gradient
operator is defined
3 a
\J := 2::>5i-
i=l axi
6; is the unit vector in the x; direction (x 1 = x,x 2 = y,x 3 = z) .