,

Section 1 :
TonDucThang University
Preliminary Faculty of Applied Mathematics and Statistics
Differential
equations and
partial differential
equations
Fourier Series

Section 2 :
Laplace’s
equation
Section 2 :
maximum principle
Section 2 : explicit
Subject : Introduction to Partial Differential
solution using
Fourier Series Equations
Section 3 :
Heat equation
Section 3 :
maximum principle
Section 3 : explicit
solution of Heat
Lecturer : Nguyen Duc Vinh, PhD.
equation using
Fourier Series email : nguyenducvinh@tdtu.edu.vn

1/84
 About the slides.
,

Section 1 :
Preliminary
Differential
equations and
partial differential
equations
Fourier Series This contains the slides are designed for students who first
Section 2 :
Laplace’s
encounter the notions of pdes. Therefore, the slides are made
equation
Section 2 :
extremely simple and move step by step. As a result, it is quite
maximum principle
Section 2 : explicit
long and does not seem suitable for a standard pde course.
solution using
Fourier Series

Section 3 :
Heat equation
Section 3 :
maximum principle
Section 3 : explicit
solution of Heat
equation using
Fourier Series

2/84
 References.
,

Section 1 :
Preliminary 1. M. Braun, [1993], Differential Equations and Their
Differential
equations and
partial differential
Applications, 4th-edition, Springer, New York.
equations
Fourier Series 2. L.C Evans, [2006], Partial Differential Equations, 2nd edition,
Section 2 : Graduates studies in Mathematics, Volume 19.
Laplace’s
equation 3. D. Gilbarg, N. S. Trudinger, Elliptic Partial Differential
Section 2 :
maximum principle Equations of second order, reprint of the 1998th edition.
Section 2 : explicit
solution using
Fourier Series
Exams
Section 3 : 40% Middle Exam : hand in exercises every week.
Heat equation
Section 3 :
maximum principle
60% Final Exam : do a test in class.
Section 3 : explicit
solution of Heat
equation using
Fourier Series

3/84
 First definitions.
,

Section 1 :
Definition (of differential equation and pdes )
Preliminary
Differential
equations and
partial differential
A differential equation is a relationship between a function
equations
Fourier Series
of time and its derivatives.
Section 2 :
Laplace’s
equation
A partial differential equation is a relationship among its
Section 2 :
maximum principle
partial derivatives.
Section 2 : explicit
solution using
Fourier Series

Section 3 : Example about a differential equation

Heat equation
Section 3 :
maximum principle
dy d 2y dy
Section 3 : explicit
solution of Heat
+ a(t)y = b(t), 2 + a(t) + b(t)y = c(t). (1)
equation using
Fourier Series
dt dt dt

4/84
 Derivatives of multivariable functions
,

Section 1 :
Preliminary
Differential
equations and Let Ω be an open subset of R2 and u is differentiable in Ω
partial differential
equations
Fourier Series
For (x0 , y0 ) ∈ Ω, we denote
Section 2 :
Laplace’s ∂f f (x, y0 ) − f (x0 , y0 )
equation fx (x0 , y0 ) = (x0 , y0 ) = limx→x0 .
Section 2 : ∂x x − x0
maximum principle
Section 2 : explicit ∂2f ∂2f
solution using
Fourier Series fxx = (fx )x = , f xy = (f )
x y =
∂x 2 ∂y ∂x
Section 3 :
Heat equation
Section 3 :
maximum principle
Section 3 : explicit
solution of Heat
equation using
Fourier Series

5/84
 Some important examples about partial differential
,
equations in this course.
Laplace’s equation

∂2u ∂2u
(
Section 1 :
Preliminary ∂x 2
+ ∂y 2
= 0, (x, y ) ∈ Ω ⊂ R2 ,
Differential
equations and
partial differential u(x, y ) = φ(x, y ), (x, y ) ∈ ∂Ω.
equations
Fourier Series
Heat equation
Section 2 :
Laplace’s
equation ( 2
∂u
Section 2 :
maximum principle ∂t = k ∂∂xu2 , t > 0, x ∈ [a, b], k > 0
Section 2 : explicit
solution using
Fourier Series u(x, 0) = f (x), u(a, t) = g (t), u(b, t) = h(t), t > 0, x ∈ [a, b],
Section 3 :
Heat equation
Wave equation
Section 3 :
maximum principle

∂2u 2
Section 3 : explicit

solution of Heat
equation using

 ∂t 2
= k ∂∂xu2 , t > 0, x ∈ [a, b], k > 0
Fourier Series

 u(x, 0) = f (x), ut (x, 0) = α(x),

u(a, t) = g (t), u(b, t) = h(t), t > 0, x ∈ [a, b],

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 Solving homogeneous second order differential
,
equations with constant coefficients

We now solve
Section 1 :
Preliminary
Differential
(LEC)ay 00 + by 0 + cy = 0
equations and
partial differential
equations
Fourier Series Method :
Section 2 : Writing the characteristic equation of (LEC)
Laplace’s
equation
Section 2 :
maximum principle
(Cha Equa)ar 2 + br + c = 0
Section 2 : explicit
solution using
Fourier Series
It has two roots given by the formula :
Section 3 :
Heat equation
Section 3 :
maximum principle √ √
Section 3 : explicit −b + b 2 − 4ac −b − b 2 − 4ac
solution of Heat
equation using (root Cha)r1 = , r2 =
Fourier Series 2a 2a

7/84
 Solving Linear equations with constant coefficients
,
Case 1 b 2 − 4ac > 0

Section 1 :
Preliminary
Differential
equations and
partial differential
equations
Fourier Series
If b 2 − 4ac is positive, then r1 and r2 are real and distinct.
Section 2 :
Laplace’s In this case, y1 (t) = e r1 t and y2 (t) = e r2 t are two distinct
equation
Section 2 :
solutions of (LEC). In this case, the general solution is
maximum principle
Section 2 : explicit
y (t) = c1 e r1 t + c2 e r2 t .
solution using
Fourier Series

Section 3 :
Heat equation
Section 3 :
maximum principle
Section 3 : explicit
solution of Heat
equation using
Fourier Series

8/84
 Solving Linear equations with constant coefficients
,
Case 2 b 2 − 4ac < 0

Section 1 :
Preliminary
Differential
equations and
partial differential
equations
Fourier Series √
4ac−b 2
Section 2 : If b 2 − 4ac < 0, set β = 2a
Laplace’s
equation −bt
Section 2 :
y (t) = e 2a (c1 cos(βt) + c2 sin(βt)
maximum principle
Section 2 : explicit
solution using
Fourier Series

Section 3 :
Heat equation
Section 3 :
maximum principle
Section 3 : explicit
solution of Heat
equation using
Fourier Series

9/84
 Solving Linear equations with constant coefficients
,
Case 2 b 2 − 4ac = 0

Section 1 :
Preliminary
Differential
equations and
partial differential
equations
Fourier Series If b 2 − 4ac = 0, then the the characteristic equation
Section 2 :
Laplace’s
ar 2 + br + c = 0 has real equal roots r1 = r2 = −b
2a .
equation The general solution of (LEC) in this case is
Section 2 : −bt
maximum principle
Section 2 : explicit
y (t) = e 2a (c1 + c2 t)
solution using
Fourier Series

Section 3 :
Heat equation
Section 3 :
maximum principle
Section 3 : explicit
solution of Heat
equation using
Fourier Series

10/84
 Summing up the method to solve Linear equations
,
with constant coefficients

Writing the characteristic equation of (LEC)

Section 1 :
Preliminary (Cha Equa)ar 2 + br + c = 0
Differential
equations and
partial differential
equations
Fourier Series If b 2 − 4ac is positive, the general solution is
Section 2 : y (t) = c1 e r1 t + c2 e r2 t . With
Laplace’s
equation √ √
Section 2 :
maximum principle
−b + b 2 − 4ac −b − b 2 − 4ac
Section 2 : explicit
r1 = , r2 =
solution using
Fourier Series
2a 2a
√
Section 3 : 4ac−b 2
Heat equation If b 2 − 4ac < 0, set β = 2a
Section 3 : −bt
maximum principle
Section 3 : explicit
y (t) = e 2a (c1 cos(βt) + c2 sin(βt)
solution of Heat
equation using
Fourier Series
If b 2 − 4ac = 0, then the general solution of (LEC) in this
−bt
case is y (t) = e 2a (c1 + c2 t)
11/84
 Exercises
,

Exercise 1. Find the general solution of the equation

Section 1 :
Preliminary y 00 + 5y 0 + 4y = 0.
Differential
equations and Exercise 2. Find the solution y(t) of the initial-value problem
partial differential
equations
Fourier Series
y 00 + 4y 0 − 2y = 0, y (0) = 1, y 0 (0) = 2.
Section 2 :
Laplace’s
equation
Section 2 :
Exercise 3. Solve the equation
maximum principle
Section 2 : explicit
solution using
Fourier Series y 00 + 4y = 0.
Section 3 :
Heat equation
Section 3 :
Exercise 4. Solve the equation
maximum principle
Section 3 : explicit
solution of Heat
equation using y 00 + 4y 0 + 4y = 0.
Fourier Series

12/84
 Recall about Maximum and Minimum for single
,
variable functions

Section 1 :
Preliminary
Differential
equations and
Let f : (−1, 1) → R be differentiable. Then
partial differential
equations
Fourier Series
if f 0 (0) = 0 and f 00 (0) < 0 then 0 is a local maximum
Section 2 : point of f .
Laplace’s
equation
Section 2 : f 0 (0) = 0 and f 00 (0) > 0 then 0 is a local minimum point
maximum principle
Section 2 : explicit
solution using
of f .
Question : If f has 2 variables, i.e., f (x, y ), (x, y ) ∈ Ω ⊂ R2 .
Fourier Series

Section 3 :
Heat equation How can we extend the above properties ?
Section 3 :
maximum principle
Section 3 : explicit
solution of Heat
equation using
Fourier Series

13/84
 Maximum and Minimum of multivariable functions
,

Theorem 1 : Let Ω be an open subset of R2 and u is

differentiable in Ω
Section 1 : For (x0 , y0 ) ∈ Ω, we denote
Preliminary
Differential
equations and ∂f f (x, y0 ) − f (x0 , y0 )
partial differential
fx (x0 , y0 ) = (x0 , y0 ) = limx→x0 .
equations
Fourier Series
∂x x − x0
Section 2 : ∂2f ∂2f
Laplace’s fxx = (fx )x = , f xy = (f x ) y =
equation ∂x 2 ∂y ∂x
Section 2 :
maximum principle
Section 2 : explicit We recall Schwarz’s theorem
solution using
Fourier Series
If fxy and fyx is continuous in a domain Ω then
Section 3 :
Heat equation
Section 3 :
fxy = fyx .
maximum principle
Section 3 : explicit
solution of Heat
equation using
Fourier Series We say (x0 , y0 ) ∈ Ω is a stationary point of f if
fx (x0 , y0 ) = fy (x0 , y0 ) = 0 . (x0 , y0 ) is a critical point if it is
either a local maximum point or a local minimum point of f .
14/84
 Maximum and Minimum of multivariable functions
,

Let f be continuously twice differentiable in Ω, and (x0 , y0 ) be

Section 1 : a stationary point of f , Set A = fxx (x0 , y0 ), B = fxy (x0 , y0 ) and
Preliminary
Differential C = fyy (x0 , y0 ). Assume that
equations and

AC − B 2 > 0 and A > 0 then (x0 , y0 ) is a local minimum

partial differential
equations
Fourier Series

Section 2 :
point of f .
Laplace’s
equation
Section 2 :
AC − B 2 > 0 and A < 0 then (x0 , y0 ) is a local maximum
maximum principle
Section 2 : explicit
point of f .
solution using
Fourier Series

Section 3 : AC − B 2 < 0, then (x0 , y0 ) is not a critical point.

Heat equation
Section 3 :
maximum principle
Section 3 : explicit
AC − B 2 = 0, no conclusion.
solution of Heat
equation using
Fourier Series
Exercise 1*. Find explicit examples of f to prove the claim in
the case AC − B 2 = 0.

15/84
 Exercises
,

Exercise 5. Determine the critical points (if exist) of

Section 1 :
Preliminary
f (x, y ) = x 2 + y 2 + 4x − 2y .
Differential
equations and
partial differential
equations
Exercise 6. Determine the critical points (if exist) of
Fourier Series

Section 2 :
Laplace’s
f (x, y ) = x 3 + y 3 − 3xy .
equation
Section 2 :
maximum principle Exercise 7. Determine the critical points (if exist) of
Section 2 : explicit
solution using

f (x, y ) = 3x 2 y + y 3 − 3x 2 − 3y 2 .
Fourier Series

Section 3 :
Heat equation
Section 3 :
maximum principle Exercise 8. Determine the critical points (if exist) of
Section 3 : explicit
solution of Heat
equation using
Fourier Series 50 20
f (x, y ) = xy + + , x > 0, y > 0.
x y
16/84
 Some inequalities
,

For two symmetric matrices A, B ∈ Mn (R). We say that

Section 1 :
Preliminary
A≥B if xAx T ≥ xBx T ∀x ∈ Rn .
Differential
equations and
partial differential
equations
Exercise 2*. For two symmetric matrices A, B ∈ Mn (R) with
Fourier Series
A ≥ B. Prove that
Section 2 :
Laplace’s
equation Aii ≥ Bii ∀i = 1, . . . , n.
Section 2 :
maximum principle
Section 2 : explicit
solution using
Fourier Series
Exercise 3*. Let f be continuously twice differentiable in Ω, and
Section 3 : (x0 , y0 ) be a local maximum point of f . Prove that
Heat equation
Section 3 : (
maximum principle
Section 3 : explicit
fx (x0 , y0 ) = fy (x0 , y0 ) = 0
solution of Heat
equation using
Fourier Series fxx (x0 , y0 ) ≤ 0, fyy (x0 , y0 ) ≤ 0,

Homework for Lecture 1 : Ex1* : 2pts, Ex2* : 4pts, Ex3* : 4pts.

17/84
 Definition
,

Section 1 :
Preliminary
Let F (x) an arbitrary function defined in [−l, l]. The infinite
Differential
equations and
trigonometric series
partial differential
equations
Fourier Series ∞
a0 X nπx nπx
Section 2 : S(F )(x) = + [an cos( ) + bn sin( )]
Laplace’s 2 l l
equation n=1
Section 2 :
maximum principle
Section 2 : explicit
solution using
is called the Fourier series of F if
Fourier Series

1 l 1 l
Z Z
Section 3 : nπx nπx
Heat equation an = F (x)cos( )dx, bn = F (x)sin( )dx
Section 3 :
maximum principle
l −l l l −l l
Section 3 : explicit
solution of Heat
equation using
Fourier Series

18/84
 Theorem about the convergence of Fourier Series
,

Define
(
Section 1 : F (x) = F (x), −l ≤ x ≤ l
Preliminary
Differential
equations and
partial differential
F (x + 2l) = F (x).
equations
Fourier Series

Section 2 :
Theorem 2 : Convergence of Fourier Series :
Laplace’s
equation
If F is continuous except finite points. Then we have
Section 2 :
maximum principle
Section 2 : explicit limx→x − F (x) + limx→x + F (x)
0 0
solution using
Fourier Series S(F )(x0 ) =
2
Section 3 :
Heat equation
Section 3 :
maximum principle
Trivially if F is continuous at x0 , then
Section 3 : explicit
solution of Heat
equation using
Fourier Series S(F )(x0 ) = F (x0 ).

19/84
 Exercises on Fourier series
,

Exercise 4*. Find the Fourier series of the following functions

defined on the prescribed interval
Section 1 :
Preliminary
Differential
equations and (
partial differential
equations 0, −π ≤ x < 0
Fourier Series F (x) =
Section 2 : 1, −0 ≤ x ≤ π.
Laplace’s
equation
Section 2 :
maximum principle
Deduce the sum 1 − 31 + 15 − 17 + 19 + . . .
Section 2 : explicit
solution using Exercise 5*. Find the Fourier series of the following functions
Fourier Series

Section 3 :
defined on the prescribed interval
Heat equation (
Section 3 :
maximum principle |x|, −1 ≤ x ≤ 1
Section 3 : explicit
solution of Heat
F (x) =
equation using
Fourier Series
F (x + 2) = F (x), ∀x.

For which value of x, S(F )(x) = F (x).

20/84
 Lecture 2 : Fourier series
,

Section 1 :
Preliminary Answer of Exercise 4*,
Differential
equations and
partial differential ∞
equations 1 X 2sin((2k + 1)x)
Fourier Series S(F )(x) = + .
Section 2 :
2 (2k + 1)π
k=0
Laplace’s
equation
Section 2 :
maximum principle
Answer of Exercise 5*,
Section 2 : explicit
solution using
∞
Fourier Series
1 X 4cos((2k + 1)πx)
Section 3 : S(F )(x) = − .
Heat equation 2 (2k + 1)2 π 2
Section 3 :
k=0
maximum principle
Section 3 : explicit
solution of Heat
equation using
Fourier Series

21/84
 Basel’s problem asked by Mengoli 1650
,

Section 1 :
Preliminary
Differential
equations and
partial differential
equations
Bernoulli asked his student Euler to compute
Fourier Series

Section 2 : 1 1 1 1
Laplace’s S =1+ 2
+ 2 + 2 + 2 + ....
equation 2 3 4 5
Section 2 :
maximum principle
Section 2 : explicit
solution using
In 1734, Euler answered this question and many more
Fourier Series
interesting sums.
Section 3 :
Heat equation
Section 3 :
maximum principle
Section 3 : explicit
solution of Heat
equation using
Fourier Series

22/84
 Basel’s problem asked by Mengoli 1650
,

Section 1 :
Preliminary
Differential
equations and
partial differential
Find the Fourier series of the following functions defined on the
equations
Fourier Series prescribed interval
Section 2 :
Laplace’s
equation
x 2 , −1 ≤ x ≤ 1
(
Section 2 :
maximum principle
Section 2 : explicit
F (x) =
solution using
Fourier Series
F (x + 2) = F (x).
Section 3 :
Heat equation
Section 3 :
maximum principle
Section 3 : explicit
solution of Heat
equation using
Fourier Series

23/84
 Basel’s problem asked by Mengoli 1650
,

Show that
∞
1 X 4cos(nπx)
Section 1 : S(F )(x) = + (−1)n .
Preliminary 3 n2 π 2
Differential k=1
equations and
partial differential
equations
Fourier Series
this implies
Section 2 :
Laplace’s 1 1 1 1 π2
equation 1+ + + + + · · · = .
Section 2 : 22 32 42 52 6
maximum principle
Section 2 : explicit
solution using
Question : Deduce
Fourier Series

Section 3 : 1 1 1
Heat equation 1+ 2
+ 2 + 2 + ....
Section 3 : 3 5 7
maximum principle
Section 3 : explicit
solution of Heat Euler was able to compute
equation using
Fourier Series
1 1 1 1 1315862
1+ 26
+ 26 + 26 + 26 + · · · = π 26 .
2 3 4 5 11094481976030578125
24/84
 Parseval’s equality
,

Section 1 :
Preliminary Let F (x) be an arbitrary function defined in [−L, L], we write
Differential
equations and
partial differential ∞
equations
a0 X nπx nπx
Fourier Series
F (x) = + [an cos( ) + bn sin( )]
Section 2 : 2 L L
Laplace’s
n=1
equation
Section 2 :
maximum principle
Theorem 3 : Parseval’s equality claims that
Section 2 : explicit
solution using
L ∞
a2 X 2
Z
Fourier Series
1 2
Section 3 : |F (x)| dx = 0 + [an + bn2 ]
Heat equation L −L 2
Section 3 : n=1
maximum principle
Section 3 : explicit
solution of Heat
equation using
Fourier Series

25/84
 A nice application
,

Section 1 :
Preliminary
Differential
equations and
partial differential
equations Calculate the sum 1 + 214 + 1
34
+ 1
44
+ 1
54
+ ....
Fourier Series
Hint : Recall that we have
Section 2 :
Laplace’s ∞
equation 1 X 4cos(nπx)
Section 2 : x2 = + (−1)n .
maximum principle
3 n2 π 2
Section 2 : explicit
solution using
k=1
Fourier Series

Section 3 :
Heat equation
Section 3 :
maximum principle
Section 3 : explicit
solution of Heat
equation using
Fourier Series

26/84
 a nice application
,

Section 1 :
Preliminary
Differential
equations and
partial differential
equations
Fourier Series

Section 2 : Hence a0 = 23 , an = (−1)n n24π2 , bn = 0.

Laplace’s 4
equation Answer : π90
Section 2 :
maximum principle
Section 2 : explicit
solution using
Fourier Series

Section 3 :
Heat equation
Section 3 :
maximum principle
Section 3 : explicit
solution of Heat
equation using
Fourier Series

27/84
 Homework
,

Section 1 :
Preliminary
Differential
Exercise 6* : Try to calculate the sum
1 + 216 + 316 + 416 + 516 + . . . .
equations and
partial differential
equations
Fourier Series Hint possibly work ? : Find the Fourier series of the following
Section 2 :
Laplace’s
function defined on the prescribed interval
equation
Section 2 :
maximum principle

x 3 , −1 ≤ x ≤ 1
Section 2 : explicit
(
solution using
Fourier Series
F (x) =
Section 3 :
Heat equation
F (x + 2) = F (x).
Section 3 :
maximum principle
Section 3 : explicit
solution of Heat
equation using
Fourier Series

28/84
 Some important Fourier series
,

Section 1 :
Preliminary
Differential
equations and
partial differential
equations Exercise 6** : Consider
Fourier Series

Section 2 :
Laplace’s f (x) = u0 , 0 ≤ x ≤ L.
equation
Section 2 :
maximum principle
Section 2 : explicit
Question 1 : Find the sine series for f .
solution using
Fourier Series Question 2 : Find the cosine series for f .
Section 3 :
Heat equation
Section 3 :
maximum principle
Section 3 : explicit
solution of Heat
equation using
Fourier Series

29/84
 sine series for f .
,

Since sine is an odd function, we produce an odd function with

Section 1 :
Preliminary period 2L
Differential
equations and 
partial differential
equations u ,0 ≤ x ≤ L
 0


Fourier Series

Section 2 : F (x) = −u0 , −L ≤ x ≤ 0

Laplace’s 
equation 
F (x + 2L) = F (x).

Section 2 :
maximum principle
Section 2 : explicit
solution using
Fourier Series Ans
Section 3 :
Heat equation ∞
X 2u0 nπx
Section 3 :
maximum principle SF (x) = (1 − (−1)n )sin( ), ∀x ∈ [−L, L]
Section 3 : explicit nπ L
solution of Heat n=1
equation using
Fourier Series

30/84
 cosine series for f
,

Section 1 :
Preliminary
Differential
equations and
partial differential
equations
Fourier Series

Section 2 : Since cosine is an even function, we need to produce an even

Laplace’s
equation function with period 2L ?
Section 2 :
maximum principle
Section 2 : explicit
solution using
Fourier Series

Section 3 :
Heat equation
Section 3 :
maximum principle
Section 3 : explicit
solution of Heat
equation using
Fourier Series

31/84
 sine series for f defined on [0, L]
,

Section 1 :
Preliminary
Differential
equations and
partial differential
equations
Fourier Series

Section 2 : ∞
2 L
Z
Laplace’s X nπx nπx
equation SF (x) = [ f (x)sin( )dx]sin( )
Section 2 : L 0 L L
maximum principle n=1
Section 2 : explicit
solution using
Fourier Series

Section 3 :
Heat equation
Section 3 :
maximum principle
Section 3 : explicit
solution of Heat
equation using
Fourier Series

32/84
 Harmonic function
,

Let Ω be an open subset of RN .

Section 1 : • u is harmonic in Ω if u is twice continuously differentiable in
Preliminary
Differential Ω and
equations and
partial differential
equations
N
Fourier Series X ∂2u
∆u(x) = (x) = 0, ∀x ∈ Ω.
Section 2 :
Laplace’s ∂xi2
i=1
equation
Section 2 :
maximum principle
Section 2 : explicit • u is harmonic in Ω if u is harmonic in Ω, and continuous in Ω.
solution using
Fourier Series
We concentrate on 2-dimensional setting, i.e, functions
Section 3 :
Heat equation
satisfy
Section 3 :
maximum principle
Section 3 : explicit ∂2u ∂2u
solution of Heat
(x, y ) + (x, y ) = 0, ∀(x, y ) ∈ Ω.
equation using
Fourier Series ∂x 2 ∂y 2

33/84
 Examples about Harmonic function
,

Section 1 :
Preliminary
Example 1 :
Differential
equations and
partial differential
equations
u(x, y ) = x 2 − y 2 ,
Fourier Series

Section 2 :
Laplace’s
is harmonic in any open set of R2 .
equation Exercise 7* : Prove that
Section 2 :
maximum principle
Section 2 : explicit
u(x, y ) = Re(x + iy )n , v (x, y ) = Im(x + iy )n , n ≥ 1, n ∈ Z are
solution using
Fourier Series Harmonic in any open set of R2 . Check the result at least with
Section 3 : n = 3, 4.
Heat equation
Section 3 :
maximum principle
Homework for Lecture 2 : Ex6* : 4pts, Ex6** : 2pts, Ex7* :
Section 3 : explicit
solution of Heat
4pts.
equation using
Fourier Series

34/84
 A Weak maximum principle
,

Section 1 : Theorem 4 :
Preliminary
Differential Let Ω be an open bounded subset of R2 . If u ∈ C (Ω) is twice
equations and
partial differential
equations
continuously differentiable in Ω and
Fourier Series

Section 2 :
Laplace’s
equation ∂2u ∂2u
(x, y ) + (x, y )≥0, ∀(x, y ) ∈ Ω.
∂x 2 ∂y 2
Section 2 :
maximum principle
Section 2 : explicit
solution using
Fourier Series
Then
Section 3 :
Heat equation
Section 3 :
maximum principle
max(x,y )∈Ω u(x, y ) = max(x,y )∈∂Ω u(x, y ).
Section 3 : explicit
solution of Heat
equation using
Fourier Series

35/84
 Proof of Theorem 4 with strict sign
,

Section 1 : Theorem 4 strict :

Preliminary
Differential Let Ω be an open bounded subset of R2 . If u ∈ C (Ω) is twice
equations and
partial differential
equations
continuously differentiable in Ω and
Fourier Series

Section 2 :
Laplace’s
equation ∂2u ∂2u
(x, y ) + (x, y )>0, ∀(x, y ) ∈ Ω.
∂x 2 ∂y 2
Section 2 :
maximum principle
Section 2 : explicit
solution using
Fourier Series
Then
Section 3 :
Heat equation
Section 3 :
maximum principle
max(x,y )∈Ω u(x, y ) = max(x,y )∈∂Ω u(x, y ).
Section 3 : explicit
solution of Heat
equation using
Fourier Series

36/84
 Proof of Theorem 4 with strict sign
,

Step 1 : If the theorem is wrong, then

Section 1 :
Preliminary
Differential
max(x,y )∈Ω u(x, y ) > max(x,y )∈∂Ω u(x, y ).
equations and
partial differential
equations
Fourier Series Hence there exists (x0 , y0 ) ∈ Ω such that
Section 2 : max(x,y )∈Ω u(x, y ) = u(x0 , y0 ).
Laplace’s
equation Step 2 : So we have
Section 2 :
maximum principle
Section 2 : explicit
solution using uxx (x0 , y0 ) ≤ 0, uyy (x0 , y0 ) ≤ 0.
Fourier Series

Section 3 :
Heat equation It yields the existence of (x0 , y0 ) ∈ Ω such that
Section 3 :
maximum principle
Section 3 : explicit
solution of Heat uxx (x0 , y0 ) + uyy (x0 , y0 ) ≤ 0.
equation using
Fourier Series

This is a contradiction, so the theorem is true.

37/84
 A parallel version of Theorem 4 with strict sign
,

Section 1 :
Preliminary
Exercise 8* :
Differential
equations and
Let Ω be an open bounded subset of R2 . If u ∈ C (Ω) is twice
partial differential
equations continuously differentiable in Ω and
Fourier Series

Section 2 :
Laplace’s
equation
Section 2 :
uxx (x, y ) + uyy (x, y )<0, ∀(x, y ) ∈ Ω.
maximum principle
Section 2 : explicit
solution using
Fourier Series Then
Section 3 :
Heat equation
Section 3 :
min(x,y )∈Ω u(x, y ) = min(x,y )∈∂Ω u(x, y ).
maximum principle
Section 3 : explicit
solution of Heat
equation using
Fourier Series

38/84
 Proof of Theorem 4
,

Step 1 : We define

Section 1 : uε (x, y ) = u(x, y ) + εe x , (x, y ) ∈ Ω, ε > 0.

Preliminary
Differential
equations and
partial differential
So
equations
Fourier Series
(uε )xx (x, y ) = uxx (x, y ) + εe x , (uε )yy (x, y ) = uyy (x, y )
Section 2 :
Laplace’s
equation
.(uε )xx (x, y ) + (uε )yy (x, y ) > 0, (x, y ) ∈ Ω
Section 2 :
maximum principle
Section 2 : explicit Step 2 : Of course uε ∈ C (Ω). Applying theorem 4 strict, we
solution using
Fourier Series
have
Section 3 :
Heat equation
Section 3 : max(x,y )∈Ω uε (x, y ) = max(x,y )∈∂Ω uε (x, y ).
maximum principle
Section 3 : explicit
solution of Heat
equation using Recall that our goal is to prove that
Fourier Series

max(x,y )∈Ω u(x, y ) = max(x,y )∈∂Ω u(x, y ).

39/84
 Proof of Theorem 4
,

uε (x, y ) = u(x, y ) + εe x , (x, y ) ∈ Ω.

Section 1 :
Preliminary
Differential
equations and
We have
partial differential
equations
Fourier Series
max(x,y )∈Ω uε (x, y ) = max(x,y )∈∂Ω uε (x, y ).
Section 2 :
Laplace’s Recall that our goal is to prove that
equation
Section 2 :
maximum principle max(x,y )∈Ω u(x, y ) = max(x,y )∈∂Ω u(x, y ).
Section 2 : explicit
solution using
Fourier Series
We only need to let ε → 0 ! ! !
Section 3 :
Heat equation
Recall the strategy of proof :
Section 3 :
maximum principle
• 1. Proving directly Theorem 4 is hard.
Section 3 : explicit
solution of Heat • 2. Proving directly Theorem 4 strict is easy.
equation using
Fourier Series
• 3. We use the change of function
uε (x, y ) = u(x, y ) + εe x , ε is very small.
• 4. If u satisfies Theorem 4, uε satisfies Theorem 4 strict.
40/84
 A Weak maximum principle
,

Section 1 : Exercise 9* : Proving Theorem 5 :

Preliminary
Differential Let Ω be an open bounded subset of R2 . If u ∈ C (Ω) is twice
equations and
partial differential
equations
continuously differentiable in Ω and
Fourier Series

Section 2 :
Laplace’s
equation ∂2u ∂2u
(x, y ) + (x, y )≤0, ∀(x, y ) ∈ Ω.
∂x 2 ∂y 2
Section 2 :
maximum principle
Section 2 : explicit
solution using
Fourier Series
Then
Section 3 :
Heat equation
Section 3 :
maximum principle
min(x,y )∈Ω u(x, y ) = min(x,y )∈∂Ω u(x, y ).
Section 3 : explicit
solution of Heat
equation using
Fourier Series

41/84
 A Weak maximum principle
,

Theorem 6 :
Section 1 :
Preliminary Let Ω be an open bounded connected subset of R2 . If
Differential
equations and
partial differential
u ∈ C (Ω) is twice continuously differentiable in Ω and
equations
Fourier Series

Section 2 :
Laplace’s ∂2u ∂2u
equation (x, y ) + (x, y )=0, ∀(x, y ) ∈ Ω.
Section 2 : ∂x 2 ∂y 2
maximum principle
Section 2 : explicit
solution using
Fourier Series Then
Section 3 :
Heat equation
Section 3 :
min(x,y )∈Ω u(x, y ) = min(x,y )∈∂Ω u(x, y ).
maximum principle
Section 3 : explicit
solution of Heat
max(x,y )∈Ω u(x, y ) = max(x,y )∈∂Ω u(x, y )
equation using
Fourier Series

42/84
 A more general Weak maximum principle than
,
Theorem 4

Exercise 10* : Proving Theorem 7 :

Section 1 :
Preliminary Let Ω be an open bounded connected subset of R2 . If u ∈ C (Ω)
Differential
equations and
partial differential
is twice continuously differentiable in Ω, f , g ∈ C (Ω) and
equations
Fourier Series

Section 2 :
Laplace’s ∂2u ∂2u
equation (x, y ) + (x, y ) + f (x, y )ux (x, y ) + g (x, y )uy (x, y )≥0
Section 2 : ∂x 2 ∂y 2
maximum principle
Section 2 : explicit
solution using
∀(x, y ) ∈ Ω.
Fourier Series

Section 3 :
Heat equation
Then
Section 3 :
maximum principle
Section 3 : explicit
solution of Heat
max(x,y )∈Ω u(x, y ) = max(x,y )∈∂Ω u(x, y ).
equation using
Fourier Series

43/84
 Examples to complete Theorem 4
,

Exercise 11* : Let B(0, 1) be the ball centered at 0, with radius

Section 1 :
Preliminary 1 of R2 . Assume that u ∈ C (B(0, 1)) and is twice continuously
Differential
equations and
partial differential
differentiable in B(0, 1).
equations
Fourier Series
If
Section 2 :
Laplace’s
equation
uxx + uyy ≥ −4, ∀x, y ∈ B(0, 1)
Section 2 :
maximum principle u(x, y ) ≤ −1, if x 2 + y 2 = 1
Section 2 : explicit
solution using
Fourier Series
Prove that
Section 3 :
Heat equation
Section 3 :
maximum principle u(x, y ) ≤ −x 2 − y 2 , ∀x, y ∈ B(0, 1)
Section 3 : explicit
solution of Heat
equation using
Fourier Series Home work for Week 3. 10* (3 pts), 11* (7 pts)

44/84
 Uniqueness of solution for Laplace’s equation
,

Here is the most important consequence of the theorems

Section 1 : we established in previous slides.
Preliminary
Differential
equations and
Theorem 8 : Let Ω be an open bounded subset of R2 . If
partial differential
equations u, v ∈ C (Ω) is twice continuously differentiable in Ω satisfying
Fourier Series
( 2
Section 2 : ∂ u ∂2u 2
Laplace’s ∂x 2
+ ∂y 2 = 0, (x, y ) ∈ Ω ⊂ R ,
equation
Section 2 :
maximum principle
u(x, y ) = φ(x, y ), (x, y ) ∈ ∂Ω.
Section 2 : explicit
solution using
Fourier Series

∂2v ∂2v
Section 3 :
(
Heat equation ∂x 2
+ ∂y 2
= 0, (x, y ) ∈ Ω ⊂ R2 ,
Section 3 :
maximum principle
Section 3 : explicit
v (x, y ) = φ(x, y ), (x, y ) ∈ ∂Ω.
solution of Heat
equation using
Fourier Series

Then u(x, y ) = v (x, y ) for all (x, y ) ∈ Ω.

45/84
 Laplace’s equation posed in a rectangular
,

Section 1 :
Preliminary
Differential
General form :
equations and
partial differential

equations
u + uyy = 0, 0 < x < K , 0 < y < L,
 xx
Fourier Series


Section 2 :
Laplace’s
u(x, 0) = f1 (x), u(x, L) = f2 (x), 0 ≤ x ≤ K , BC 1
equation


u(0, y ) = g1 (y ), u(K , y ) = g2 (y ), 0 ≤ y ≤ L. BC 2.

Section 2 :
maximum principle
Section 2 : explicit
solution using
Fourier Series Problem : given f1 , f2 , g1 , g2 , find u ! !
Section 3 :
Heat equation
We will consider on some particular forms of the above
Section 3 :
maximum principle
equation.
Section 3 : explicit
solution of Heat
equation using
Fourier Series

46/84
 Recall the sine series for f defined on [0, L]
,

Section 1 :
Preliminary
Differential
equations and
partial differential
equations
Fourier Series

Section 2 : ∞
2 L
Z
Laplace’s X nπx nπx
equation SF (x) = [ f (x)sin( )dx]sin( )
Section 2 : L 0 L L
maximum principle n=1
Section 2 : explicit
solution using
Fourier Series

Section 3 :
Heat equation
Section 3 :
maximum principle
Section 3 : explicit
solution of Heat
equation using
Fourier Series

47/84
 Separation of variables Method for finding explicit
,
solution in rectangular

Type 1 :
Section 1 :
Preliminary 
Differential
u + uyy = 0, 0 < x < l, 0 < y < l,
 xx
equations and


partial differential
equations
Fourier Series u(x, 0) = 0, u(x, l) = f (x), 0 ≤ x ≤ l, BC 1

Section 2 : 
u(0, y ) = 0, u(l, y ) = 0, 0 ≤ y ≤ l. BC 2.

Laplace’s
equation
Section 2 :
maximum principle
Section 2 : explicit
Separation of variables Method We search for
solution using
Fourier Series u(x, y ) = X (x)Y (y ) satisfying type equation. Of course we
Section 3 : cannot hope u verifying both BC 1 and BC 2. Unless it is indeed
Heat equation
Section 3 :
maximum principle
a solution.
Section 3 : explicit
solution of Heat
Hence, first of all, we only search functions satisfying
equation using
Fourier Series homogeneous conditions (=0).

48/84
 Summing up the main steps
,

Section 1 :
Preliminary
Differential
equations and
partial differential
equations Step 1 We search for un (x, y ) = an Xn (x)Yn (y ) satisfying
Fourier Series
homogeneous conditions (=0).
Section 2 :
Laplace’s StepP2 We search for P
u= ∞ ∞
equation
Section 2 : n=1 un (x, y ) = n=1 an Xn (x)Yn (y ). We have to
maximum principle
Section 2 : explicit determine an .
solution using
Fourier Series
Step 3 Use non-homogeneous conditions to determine an .
Section 3 :
Heat equation
Section 3 :
maximum principle
Section 3 : explicit
solution of Heat
equation using
Fourier Series

49/84
 Separation of variables 2
,

Step 1 : We search for u(x, y ) = X (x)Y (y ). Then

Section 1 :

X 00 (x)Y (y ) + X (x)Y 00 (y ) = 0, ∀x, y

Preliminary
Differential
equations and
partial differential
equations
Fourier Series hence
Section 2 :
Laplace’s X 00 (x) −Y 00 (y )
equation = , ∀x, y
Section 2 :
maximum principle
X (x) Y (y )
Section 2 : explicit
solution using
Fourier Series this implies
Section 3 :
Heat equation
X 00 (x) Y 00 (y )
Section 3 :
maximum principle = λ, = −λ, where λ is a constant, ∀x, y
Section 3 : explicit
solution of Heat
X (x) Y (y )
equation using
Fourier Series
Step 2 : We determine the sign of λ.

50/84
 Separation of variables 3
,


u + uyy = 0, 0 < x < l, 0 < y < l,
 xx
Section 1 :


Preliminary
Differential
equations and
u(x, 0) = 0, u(x, l) = f (x), 0 ≤ x ≤ l, BC 1
partial differential


equations
u(0, y ) = 0, u(l, y ) = 0, 0 ≤ y ≤ l. BC 2.

Fourier Series

Section 2 :
Laplace’s Case 1 : λ = 0 : not possible.
equation
Section 2 :
maximum principle
Hint : u should be periodic in x, not in y . This implies
Section 2 : explicit
solution using
λ < 0. We verify it now.
Fourier Series
Case 2 : λ > 0, set λ = α2 . We then have
Section 3 :
Heat equation
Section 3 :
maximum principle
X (x) = Ae αx + Be −αx
Section 3 : explicit
solution of Heat
equation using
Y (y ) = Ccos(αy ) + Dsin(αy ).
Fourier Series

From BC 2, we have X (0)Y (y ) = X (l)Y (y ) = 0, ∀y

This implies X (0) = X (l) = 0. Not possible ! ! !
51/84
 Separation of variables 4
,


u + uyy = 0, 0 < x < l, 0 < y < l,
 xx


Section 1 :
Preliminary u(x, 0) = 0, u(x, l) = f (x), 0 ≤ x ≤ l, BC 1
Differential 
equations and 
partial differential
u(0, y ) = 0, u(l, y ) = 0, 0 ≤ y ≤ l. BC 2.

equations
Fourier Series

Section 2 : Case 3 : λ < 0, set λ = −α2 .

Laplace’s
equation
Section 2 :
maximum principle
Section 2 : explicit
X (x) = Acos(αx) + Bsin(αx)
solution using
Fourier Series
Y (y ) = Ce αy + De −αy .
Section 3 :
Heat equation
Section 3 :
Hence u(x, y ) = (Acos(αx) + Bsin(αx))(Ce αy + De −αy ). From
maximum principle
Section 3 : explicit
BC 1 and BC 2
solution of Heat
equation using
Fourier Series u(x, 0) = 0 = (Acos(αx) + Bsin(αx))(C + D)
u(0, y ) = 0 = A(Ce αy + De −αy ) ⇒ A = 0
52/84 u(l, y ) = 0 = Bsin(αl)(Ce αy + De −αy )
 Separation of variables 5
,

Hence

Section 1 :
Preliminary
C +D =0 (1)
Differential
equations and A=0 (2)
partial differential
equations nπ
Fourier Series sin(αl) = 0 =⇒ α = , n ∈ Z+ (3)
Section 2 :
l
Laplace’s
equation From (1) and (2)
Section 2 :
maximum principle

u(x, y ) = Bsin(αx)C (e αy − e −αy ) = Esin(αx)sinh(αy ).

Section 2 : explicit
solution using
Fourier Series

Section 3 :
Heat equation (3) has not been used ! ! ! !
Section 3 :
maximum principle
Section 3 : explicit
We recall that
solution of Heat

e x + e −x e x − e −x
equation using
Fourier Series

cosh(x) = , sinh(x) = .
2 2
53/84
 Separation of variables 6
,

nπ
Section 1 : sin(αl) = 0 =⇒ α = , n ∈ Z+ (3)
Preliminary l
Differential

Using (3), we get a fundamental solution for each n ∈ Z+

equations and
partial differential
equations
Fourier Series

Section 2 :
Laplace’s nπ nπ
equation un (x, y ) = En sin( x)sinh( y ).
Section 2 :
maximum principle
l l
Section 2 : explicit
solution using
Fourier Series
Recall the Laplace equation under consideration
Section 3 : 
Heat equation u + uyy = 0, 0 < x < l, 0 < y < l,
 xx

Section 3 :

maximum principle
Section 3 : explicit
solution of Heat
u(x, 0) = 0, u(x, l) = f (x), 0 ≤ x ≤ l, BC 1
equation using 

Fourier Series
u(0, y ) = 0, u(l, y ) = 0, 0 ≤ y ≤ l. BC 2.


Have we used all boundary conditions ?

54/84
 Separation of variables 7
,

Recall the Laplace equation under consideration


u + uyy = 0, 0 < x < l, 0 < y < l,
 xx
Section 1 :


Preliminary
Differential
equations and
u(x, 0) = 0, u(x, l) = f (x), 0 ≤ x ≤ l, BC 1
partial differential


equations
u(0, y ) = 0, u(l, y ) = 0, 0 ≤ y ≤ l. BC 2.

Fourier Series

Section 2 :
Laplace’s Still one more boundary condition has not been used ! ! !
equation
Section 2 :
Idea : :
maximum principle
Section 2 : explicit ∞
solution using
X nπ nπ
Fourier Series
u(x, y ) = En sin( x)sinh( y ).
Section 3 : l l
Heat equation
n=1
Section 3 :
maximum principle From the boundary condition, we have
Section 3 : explicit
solution of Heat
equation using ∞
Fourier Series X nπ
u(x, l) = f (x) = En sin( x)sinh(nπ).
l
n=1
55/84
 continue
,

Section 1 :
Preliminary
Differential
this implies
equations and
partial differential
equations Z l
Fourier Series 1 2 nπx
En = f (x)sin( )dx
Section 2 :
Laplace’s
sinh(nπ) l 0 l
equation
Section 2 :
maximum principle
and hence
Section 2 : explicit
solution using
Fourier Series

Section 3 :
u(x, y )
Heat equation
Section 3 :
maximum principle
!!!
Section 3 : explicit
solution of Heat
equation using
Fourier Series

56/84
 Test 1, double homework
,

Section 1 : Ex 1 : (3 pts) Let λ > 0. SOlve

Preliminary
Differential
equations and
partial differential X 00 (x) Y 00 (y )
equations = λ, = −λ, where λ is a constant, ∀x, y ∈ (0, L)
Fourier Series X (x) Y (y )
Section 2 :
Laplace’s
equation Ex 2 : (7 pts) Solve the following Laplace equation
Section 2 :
maximum principle 
Section 2 : explicit
u + uyy = 0, 0 < x < l, 0 < y < l,
 xx
solution using


Fourier Series

Section 3 : u(x, 0) = x 2 , u(x, l) = 0, 0 ≤ x ≤ l, BC 1

Heat equation 

Section 3 :
u(0, y ) = 0, u(l, y ) = 0, 0 ≤ y ≤ l. BC 2.

maximum principle
Section 3 : explicit
solution of Heat
equation using
Fourier Series

57/84
 Examples
,

Use the separation of variables to solve the Laplace equation in

Section 1 :
the following cases :
Preliminary Ex 11 :
Differential
equations and 
partial differential
equations
Fourier Series
 uxx + uyy = 0, 0 < x < π, 0 < y < π,


Section 2 : u(x, 0) = 0, u(x, π) = 0, 0 ≤ x ≤ π, BC 1
Laplace’s 
equation

u(0, y ) = 0, u(π, y ) = sin(y )cos(y ), 0 ≤ y ≤ π. BC 2.

Section 2 :
maximum principle
Section 2 : explicit
solution using
Fourier Series Ex 12 :
Section 3 : 
Heat equation
Section 3 :
 uxx + uyy = 0, 0 < x < π, 0 < y < 1,


maximum principle
Section 3 : explicit
solution of Heat
u(x, 0) = 0, u(x, 1) = sin(x), 0 ≤ x ≤ π, BC 1
equation using


Fourier Series
u(0, y ) = 0, u(π, y ) = 0, 0 ≤ y ≤ 1. BC 2.


58/84
 Similar forms
,

Exercise 12* :

u + uyy = 0, 0 < x < l, 0 < y < l,
 xx


Section 1 :
Preliminary u(x, 0) = f (x), u(x, l) = 0, 0 ≤ x ≤ l, BC 1
Differential 
equations and 
partial differential
u(0, y ) = 0, u(l, y ) = 0, 0 ≤ y ≤ l. BC 2.

equations
Fourier Series

Section 2 : Exercise 13* :

Laplace’s

u + uyy = 0, 0 < x < l, 0 < y < l,
 xx
equation 

Section 2 :
maximum principle
Section 2 : explicit u(x, 0) = 0, u(x, l) = 0, 0 ≤ x ≤ l, BC 1
solution using 
Fourier Series 
u(0, y ) = g (y ), u(l, y ) = 0, 0 ≤ y ≤ l. BC 2.

Section 3 :
Heat equation
Section 3 : Exercise 14* :
maximum principle 
Section 3 : explicit
u + uyy = 0, 0 < x < l, 0 < y < l,
 xx
solution of Heat


equation using
Fourier Series
u(x, 0) = 0, u(x, l) = 0, 0 ≤ x ≤ l, BC 1


u(0, y ) = 0, u(l, y ) = g (y ), , 0 ≤ y ≤ l. BC 2.

59/84
 Homework
,

Ex 11,12,13*,14* (each worth 1.5 points). And the following

Section 1 :
Preliminary simple problems
Differential
equations and
partial differential
Problem 1 : 2 point Let λ be a constant. Solve the equation
equations

y 0 (t) = λy (t), t > 0

Fourier Series

Section 2 :
Laplace’s
equation y (0) = y0 ,
Section 2 :
maximum principle
Section 2 : explicit
solution using
Problem 2 : 2 point Let f : (0, 2) → R be differentiable.
Fourier Series
Assume that
Section 3 :
Heat equation
Section 3 :
maximum principle f (1) = maxx∈(0,1] f (x).
Section 3 : explicit
solution of Heat

Determine the sign of f 0 (1)

equation using
Fourier Series

60/84
 Separation of variables Method for finding explicit
,
solution in rectangular

Type 2 :
Section 1 :
Preliminary 
Differential
u + uyy = 0, 0 < x < K , 0 < y < L,
 xx
equations and


partial differential
equations
Fourier Series u(x, 0) = 0, u(x, L) = 0, 0 ≤ x ≤ K , BC 1

Section 2 : 
u(0, y ) = g1 (y ), u(K , y ) = g2 (y ), 0 ≤ y ≤ L. BC 2.

Laplace’s
equation
Section 2 :
maximum principle
Section 2 : explicit
Separation of variables Method We search for
solution using
Fourier Series u(x, y ) = X (x)Y (y ) satisfying type equation. Of course we
Section 3 : cannot hope u verifying both BC 1 and BC 2. Unless it is indeed
Heat equation
Section 3 :
maximum principle
a solution.
Section 3 : explicit
solution of Heat
Hence, first of all, we only search functions satisfying
equation using
Fourier Series homogeneous conditions (=0).

61/84
 Separation of variables 2
,

Step 1 : We search for u(x, y ) = X (x)Y (y ). Then

Section 1 :

X 00 (x)Y (y ) + X (x)Y 00 (y ) = 0, ∀x, y

Preliminary
Differential
equations and
partial differential
equations
Fourier Series hence
Section 2 :
Laplace’s X 00 (x) −Y 00 (y )
equation = , ∀x, y
Section 2 :
maximum principle
X (x) Y (y )
Section 2 : explicit
solution using
Fourier Series this implies
Section 3 :
Heat equation
X 00 (x) Y 00 (y )
Section 3 :
maximum principle = λ, = −λ, where λ is a constant, ∀x, y
Section 3 : explicit
solution of Heat
X (x) Y (y )
equation using
Fourier Series
Step 2 : We determine the sign of λ.

62/84
 Separation of variables 3
,


u + uyy = 0, 0 < x < K , 0 < y < L,
 xx
Section 1 :


Preliminary
Differential u(x, 0) = 0, u(x, L) = 0, 0 ≤ x ≤ K , BC 1
equations and 
partial differential 
equations
u(0, y ) = g1 (y ), u(K , y ) = g2 (y ), 0 ≤ y ≤ L. BC 2.

Fourier Series

Section 2 :
Laplace’s We search for u(x, y ) = X (x)Y (y ).
equation
Section 2 :
maximum principle
Case 1 : λ = 0 : not possible.
Section 2 : explicit
solution using
Case 2 : λ < 0, set λ = −α2 .
Fourier Series

Section 3 :
Heat equation
Section 3 :
maximum principle
X (x) = Acos(αx) + Bsin(αx)
Y (y ) = Ce αy + De −αy .
Section 3 : explicit
solution of Heat
equation using
Fourier Series

From BC 1, we have X (x)Y (0) = 0, X (x)Y (L) = 0, ∀y . This

implies Y (0) = Y (L) = 0 impossible ! ! !
63/84
 Separation of variables 4
,

Section 1 : Case 3 : λ > 0, set λ = α2 . We then have

Preliminary
Differential
equations and
partial differential
equations
X (x) = Ae αx + Be −αx
Fourier Series
Y (y ) = Ccos(αy ) + Dsin(αy ).
Section 2 :
Laplace’s
equation
Section 2 :
From BC 1, we have X (x)Y (0) = 0, X (x)Y (L) = 0, ∀y
maximum principle
Section 2 : explicit
This implies Y (0) = Y (L) = 0. Hence
solution using
Fourier Series

Section 3 : C =0
Heat equation nπ
Section 3 : 0 = Dsin(αL) ⇒ α = , n ∈ Z+
maximum principle
Section 3 : explicit
L
solution of Heat
equation using
Fourier Series

64/84
 Separation of variables 5
,

Section 1 :
Preliminary
Differential
This shows that
equations and
partial differential
nπ
equations
u(x, y ) = (Ae αx + Be −αx )sin(αy ), α = , n ∈ Z+ .
Fourier Series
L
Section 2 :
Laplace’s
equation We get a fundamental solution for each n ∈ Z+
Section 2 :
maximum principle
Section 2 : explicit
solution using
Fourier Series nπ nπ nπ nπ
un (x, y ) = An cosh( x)sin( y ) + Bn sinh( x)sin( y ).
Section 3 :
Heat equation
L L L L
Section 3 :
maximum principle
Section 3 : explicit
solution of Heat
equation using
Fourier Series

65/84
 Separation of variables 6
,


u + uyy = 0, 0 < x < K , 0 < y < L,
 xx
Section 1 :


Preliminary
Differential
equations and
u(x, 0) = 0, u(x, L) = 0, 0 ≤ x ≤ K , BC 1
partial differential


equations
u(0, y ) = g1 (y ), u(K , y ) = g2 (y ), 0 ≤ y ≤ L. BC 2.

Fourier Series

Section 2 :
Laplace’s The following fundamental solution
equation
Section 2 :
maximum principle nπ nπ nπ nπ
Section 2 : explicit un (x, y ) = An cosh( x)sin( y ) + Bn sinh( x)sin( y ).
solution using
Fourier Series
L L L L
Section 3 :
Heat equation satisfies all homogeneous conditions.
Section 3 :
maximum principle
To fulfill BC 2, the Idea is :
Section 3 : explicit
solution of Heat
∞
equation using
Fourier Series
X nπ nπ nπ nπ
u(x, y ) = [An cosh( x)sin( y ) + Bn sinh( x)sin( y )].
L L L L
n=1
66/84
 Separation of variables 7
,


u + uyy = 0, 0 < x < K , 0 < y < L,
 xx
Section 1 :


Preliminary
Differential
equations and
u(x, 0) = 0, u(x, L) = 0, 0 ≤ x ≤ K , BC 1
partial differential


equations
u(0, y ) = g1 (y ), u(K , y ) = g2 (y ), 0 ≤ y ≤ L. BC 2.

Fourier Series

Section 2 :
Laplace’s To fulfill BC 2, the Idea is :
equation
Section 2 :
∞
maximum principle X nπ nπ nπ nπ
Section 2 : explicit
solution using u(x, y ) = [An cosh( x)sin( y ) + Bn sinh( x)sin( y )].
Fourier Series
L L L L
n=1
Section 3 :
Heat equation
Section 3 :
maximum principle
From the boundary condition u(0, y ) = g1 (y ), u(K , y ) = g2 (y ),
Section 3 : explicit
solution of Heat
∞
equation using
Fourier Series
X nπ
g1 (y ) = u(0, y ) = [An sin( y )].
L
n=1
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 Separation of variables 8
,

Recall the sine series for f defined on [0, L]

∞
Section 1 :
2 L
Z
Preliminary
X nπy πy
SF (y ) = [ f (y )sin( )dy ]sin( )
Differential
equations and L 0 L L
partial differential n=1
equations
Fourier Series

Section 2 :
Hence from
Laplace’s
equation ∞
X nπ
Section 2 :
maximum principle g1 (y ) = u(0, y ) = [An sin( y )].
Section 2 : explicit L
solution using n=1
Fourier Series

Section 3 :
Heat equation We have
Section 3 :
maximum principle Z L
Section 3 : explicit 2 nπy
solution of Heat An = g1 (y )sin( )dy .
equation using
Fourier Series L 0 L

We use the condition g2 (y ) = u(K , y ) for determining Bn

68/84
 Separation of variables 9
,

We use the condition g2 (y ) = u(K , y ) for determining Bn .

Section 1 :
Preliminary
∞
Differential
equations and
X nπ nπ nπ nπ
partial differential u(x, y ) = [An cosh( x)sin( y ) + Bn sinh( x)sin( y )].
equations
L L L L
Fourier Series
n=1
Section 2 :
Laplace’s
equation
∞
Section 2 :
maximum principle
X nπK nπ nπK nπ
Section 2 : explicit u(K , y ) = [An cosh( )sin( y ) + Bn sinh( )sin( y )].
solution using L L L L
Fourier Series
n=1
Section 3 :
Heat equation
Section 3 :
Hence
maximum principle
Section 3 : explicit
Z L
solution of Heat nπK nπK 2 nπy
equation using
Fourier Series
An cosh( ) + Bn sinh( )= g2 (y )sin( )dy .
L L L 0 L

69/84
 Separation of variables 10
,

Section 1 :
Preliminary
Differential
equations and
partial differential
equations Recall
Fourier Series

Section 2 :
Z L
Laplace’s nπK nπK 2 nπy
equation An cosh( ) + Bn sinh( )= g2 (y )sin( )dy .
Section 2 :
L L L 0 L
maximum principle
Section 2 : explicit
solution using
Fourier Series
This implies Bn
Section 3 :
Heat equation
Section 3 :
maximum principle
Section 3 : explicit
solution of Heat
equation using
Fourier Series

70/84
 Recall Exercise 3*
,

Section 1 :
Preliminary
Differential
equations and
partial differential
Exercise 3*. Let f be continuously twice differentiable in Ω, and
equations
Fourier Series (x0 , y0 ) be a local maximum point of f . Prove that
Section 2 : (
Laplace’s
equation
fx (x0 , y0 ) = fy (x0 , y0 ) = 0
Section 2 :
maximum principle
Section 2 : explicit
fxx (x0 , y0 ) ≤ 0, fyy (x0 , y0 ) ≤ 0,
solution using
Fourier Series

Section 3 : Denote ∆f (x, y ) = fxx (x, y ) + fyy (x, y ).

Heat equation
Section 3 :
maximum principle
Section 3 : explicit
solution of Heat
equation using
Fourier Series

71/84
 A Weak maximum principle
,

Let Ω be an open bounded

S subset of R2 . Set ΩT = (0, T ) × Ω,
Section 1 :
Preliminary ∂ΩT = [0, T ] × ∂Ω ({0} × Ω), ΩT = [0, T ] × Ω.
Differential
equations and Theorem 10 :
partial differential
equations If u(t, x, y ) ∈ C (ΩT ) is twice continuously differentiable in
Fourier Series

Section 2 :
(x, y ) ∈ Ω, continuously differentiable in t ∈ (0, T ) and
Laplace’s
equation
Section 2 :
maximum principle
∂u
Section 2 : explicit
− ∆u≤0, ∀(t, x, y ) ∈ ΩT .
solution using
Fourier Series ∂t
Section 3 :
Heat equation Then
Section 3 :
maximum principle
Section 3 : explicit
solution of Heat
equation using
max(t,x,y )∈ΩT u(t, x, y ) = max(t,x,y )∈∂ΩT u(t, x, y ).
Fourier Series

72/84
 Proof of Theorem 10
,

Idea 1 Define
uε (t, x, y ) = u(t, x, y ) − εt.
Section 1 :
Preliminary
Differential Then
equations and
partial differential
equations ∂uε
Fourier Series − ∆uε < 0, ∀(t, x, y ) ∈ ΩT .
∂t
Section 2 :
Laplace’s
equation
We prove that there cannot exists (t, x, y ) ∈ (0, T ] × Ω
Section 2 :
maximum principle
such that uε has local max at this point.
Section 2 : explicit
solution using
Idea 2 If (t, x, y ) ∈ ΩT is a local max of uε , then
Fourier Series
( ∂u
∂t (t0 , x0 , y0 ) = 0
ε
Section 3 :
Heat equation
Section 3 :
maximum principle ∆uε (t0 , x0 , y0 ) ≤ 0,
Section 3 : explicit
solution of Heat
equation using
Fourier Series
Hence
∂uε
(t0 , x0 , y0 ) − ∆uε (t0 , x0 , y0 ) ≥ 0, a contradiction ! ! !
∂t
73/84
 Proof of Theorem 10
,

Idea 3 If (T , x, y ) is a local max of uε with (x, y ) ∈ Ω, then

( ∂u
∂t (T , x0 , y0 ) ≥ 0
ε
Section 1 :
Preliminary
Differential
equations and
∆uε (T , x0 , y0 ) ≤ 0,
partial differential
equations
Fourier Series
Hence
Section 2 :
Laplace’s ∂uε
equation (T , x0 , y0 ) − ∆uε (T , x0 , y0 ) ≥ 0, a contradiction ! ! !
Section 2 :
maximum principle
∂t
Section 2 : explicit
solution using
Fourier Series Hence,
Section 3 :
Heat equation
Section 3 :
max(t,x,y )∈ΩT uε (t, x, y ) = max(t,x,y )∈∂ΩT uε (t, x, y ).
maximum principle
Section 3 : explicit
solution of Heat
equation using
Let ε → 0, we have
Fourier Series

max(t,x,y )∈ΩT u(t, x, y ) = max(t,x,y )∈∂ΩT u(t, x, y ).QED

74/84
 A parallel version of Theorem 10
,

Let Ω be an open bounded

S subset of R2 . Set ΩT = (0, T ) × Ω,
Section 1 :
Preliminary ∂ΩT = [0, T ] × ∂Ω ({0} × Ω), ΩT = [0, T ] × Ω.
Differential
equations and Theorem 11 :
partial differential
equations If u(t, x, y ) ∈ C (ΩT ) is twice continuously differentiable in
Fourier Series

Section 2 :
(x, y ) ∈ Ω, continuously differentiable in t ∈ (0, T ) and
Laplace’s
equation
Section 2 :
maximum principle
∂u
Section 2 : explicit
− ∆u≥0, ∀(t, x, y ) ∈ ΩT .
solution using
Fourier Series ∂t
Section 3 :
Heat equation Then
Section 3 :
maximum principle
Section 3 : explicit
solution of Heat
equation using
min(t,x,y )∈ΩT u(t, x, y ) = min(t,x,y )∈∂ΩT u(t, x, y ).
Fourier Series

75/84
 A Weak maximum principle
,

Let Ω be an open bounded

S subset of R2 . Set ΩT = (0, T ) × Ω,
Section 1 : ∂ΩT = [0, T ] × ∂Ω ({0} × Ω), ΩT = [0, T ] × Ω.
Preliminary
Differential
Theorem 12 :
equations and
partial differential
equations
If u(t, x, y ) ∈ C (ΩT ) is twice continuously differentiable in
Fourier Series (x, y ) ∈ Ω, continuously differentiable in t ∈ (0, T ) and
Section 2 :
Laplace’s
equation
Section 2 : ∂u
maximum principle
− ∆u=0, ∀(t, x, y ) ∈ ΩT .
Section 2 : explicit
solution using
∂t
Fourier Series

Section 3 : Then
Heat equation
Section 3 :
maximum principle
Section 3 : explicit
max(t,x,y )∈ΩT u(t, x, y ) = max(t,x,y )∈∂ΩT u(t, x, y ).
solution of Heat
equation using
Fourier Series min(t,x,y )∈ΩT u(t, x, y ) = min(t,x,y )∈∂ΩT u(t, x, y ).

76/84
 Uniqueness of solution for Heat equation
,

Here is the most important consequence of the theorems

we established in previous slides.
Theorem 13 : Let Ω be an open bounded 2
S subset of R . Set
Section 1 :
Preliminary
Differential
equations and
ΩT = (0, T ) × Ω, ∂ΩT = [0, T ] × ∂Ω ({0} × Ω),
partial differential
equations ΩT = [0, T ] × Ω. If u(t, x, y ), v (t, x, y ) ∈ C (ΩT ) is twice
Fourier Series
continuously differentiable in (x, y ) ∈ Ω, continuously
Section 2 :
Laplace’s differentiable in t ∈ (0, T ) and
equation
Section 2 :
maximum principle
∂u
(
Section 2 : explicit
solution using
∂t − ∆u=0, (t, x, y ) ∈ ΩT ,
Fourier Series

Section 3 : u(t, x, y ) = φ(t, x, y ), (t, x, y ) ∈ ∂ΩT .

Heat equation
Section 3 :
maximum principle
∂v
(
Section 3 : explicit
solution of Heat ∂t − ∆v =0, (t, x, y ) ∈ ΩT ,
equation using
Fourier Series
v (t, x, y ) = φ(t, x, y ), (t, x, y ) ∈ ∂ΩT .
Then u(t, x, y ) = v (t, x, y ) for all (t, x, y ) ∈ ΩT .
77/84
 explicit solution
,

Section 1 :
Preliminary
Differential
equations and
partial differential
equations
Fourier Series

Section 2 :
Laplace’s
equation
Section 2 :
maximum principle
Section 2 : explicit
solution using
Fourier Series

Section 3 :
Heat equation
Section 3 :
maximum principle
Section 3 : explicit
solution of Heat
equation using
Fourier Series

78/84
 Recall the sine series for f defined on [0, L]
,

Section 1 :
Preliminary
Differential
equations and
partial differential
equations
Fourier Series

Section 2 : ∞
2 L
Z
Laplace’s X nπx nπx
equation SF (x) = [ f (x)sin( )dx]sin( )
Section 2 : L 0 L L
maximum principle n=1
Section 2 : explicit
solution using
Fourier Series

Section 3 :
Heat equation
Section 3 :
maximum principle
Section 3 : explicit
solution of Heat
equation using
Fourier Series

79/84
 Separation of variables Method for finding explicit
,
solution in rectangular

Section 1 :
Type 1 :
Preliminary

 ut = kuxx , 0 < x < L,
Differential
equations and 
partial differential
equations
Fourier Series
 u(x, 0) = f (x), IC
Section 2 :
u(0, t) = u(L, t) = 0. BC .

Laplace’s
equation
Section 2 :
maximum principle Separation of variables Method We search for
Section 2 : explicit
solution using
Fourier Series
u(x, t) = X (x)Y (t) satisfying type equation. Of course we
Section 3 : cannot hope u verifying both IC and BC . Unless it is indeed a
Heat equation
Section 3 :
solution.
maximum principle
Section 3 : explicit
Hence, first of all, we only search functions satisfying
solution of Heat
equation using
Fourier Series
homogeneous conditions (=0).

80/84
 Summing up the main steps
,

Section 1 :
Preliminary
Differential
equations and
partial differential
equations Step 1 We search for un (x, t) = an Xn (x)Yn (t) satisfying
Fourier Series
homogeneous conditions (=0).
Section 2 :
Laplace’s StepP2 We search forP
u= ∞ ∞
equation
Section 2 : n=1 un (x, t) = n=1 an Xn (x)Yn (t). We have to
maximum principle
Section 2 : explicit determine an .
solution using
Fourier Series
Step 3 Use non-homogeneous conditions to determine an .
Section 3 :
Heat equation
Section 3 :
maximum principle
Section 3 : explicit
solution of Heat
equation using
Fourier Series

81/84
 Separation of variables 2
,

Step 1 : We search for u(x, y ) = X (x)Y (t). Then

Section 1 :
Preliminary X (x)Y 0 (t) = kX 00 (x)Y (t), ∀x, t
Differential
equations and
partial differential
equations
Fourier Series
hence
Section 2 :
Laplace’s kX 00 (x) Y 0 (t)
equation = , ∀x, t
Section 2 :
X (x) Y (t)
maximum principle
Section 2 : explicit
solution using
Fourier Series
this implies
Section 3 :
Heat equation λ
Section 3 : X 00 (x) = X (x), Y 0 (t) = λY (t), where λ is a constant, ∀x, t
maximum principle
Section 3 : explicit
k
solution of Heat
equation using
Fourier Series Step 2 : We determine the sign of λ. Since u is periodic in x,
hence so X (x) is, it yields λ < 0

82/84
 Separation of variables 3
,


Section 1 :
Preliminary  ut = kuxx , 0 < x < L,

Differential
equations and
partial differential  u(x, 0) = f (x), IC
equations
u(0, t) = u(L, t) = 0. BC .

Fourier Series

Section 2 :
λ
Laplace’s
equation
Set k = −α2 , α > 0 We then have
Section 2 :
maximum principle
Section 2 : explicit
solution using
X (x) = Acos(αx) + Bsin(αx)
Fourier Series 2
Section 3 :
Y (t) = Ce −kα t .
Heat equation
Section 3 :
maximum principle From BC 2, we have X (0)Y (t) = X (L)Y (t) = 0, ∀t
Section 3 : explicit
solution of Heat
equation using
This implies X (0) = X (L) = 0.
Fourier Series
X (0) = 0 implies A = 0.
X (L) = 0 implies sin(αL) = 0 ⇒ α = nπ
L ,n ∈ Z
+

83/84
 Separation of variables 4
,

Hence

Section 1 :
nπx −k n2 π2 2 t
Preliminary un (x, t) = An sin( )e L .
Differential
L
equations and
partial differential
equations We search
Fourier Series

Section 2 : ∞
Laplace’s
X nπx −k n2 π2 2 t
equation u(x, t) = An sin( )e L .
Section 2 :
L
maximum principle n=1
Section 2 : explicit
solution using
Fourier Series To finish, we only need to determine An .
Section 3 :
Heat equation
We have
Section 3 :
maximum principle ∞
Section 3 : explicit
X nπx
solution of Heat f (x) = u(x, 0) = An sin( ).
equation using
Fourier Series L
n=1

This implies An and we finish ! ! ! !

84/84