1 Introduction

1.1 Notation and Basic Definitions

If u is a function of variables (x1 , x2 , . . . , xn ), then its partial derivative with
respect to xi is denoted by
∂u
∂xi u or or ux i .
∂xi
To denote higher-order derivatives we use of a notion of a multi-index. A
multi-index α = (α1 , . . . , αn ) is an ordered n-tuple of nonnegative numbers.
The order of the multi-index α is defined as |α| = α1 + . . . + αn . If α =
(α1 , . . . , αn ) is a multi-index α, then we set
∂ |α| u
Dα u = = ∂xα11 · · · ∂xαnn u.
∂xα1 1 · ∂xαnn
For example, if u is a function of three-variables (x, y, z) and α = (1, 1, 2),
then the order of α is equal to 4 and Dα u = ∂x ∂y ∂z2 u. Given a nonnegative
number k we set Dk u = {Dα u| |α| = k} which is the set of all partial
derivatives of u of order k. For example, D 1 u = Du = {uxi | i = 1, . . . , k}.
If U is an open subset in Rn , then by C k (U ) we denote the space of all
functions defined on U whose partial derivatives of order less or equal to k
exit and are continuous on U . If u belongs to C k (U ) we say that u is of
class C k . A function u : U → R is said to be smooth on U if all it possesses
derivatives of any order, that is, if u belongs to every C k (U ).
A partial differential equation (PDE) is an equation involving a function
u of several variables and its partial derivatives. The order of the PDE is
the order of the highest-order derivatives that appears in the equation. A
k-th order PDE is an equation which can be written in the form,
F (x, u, Du, D2 u, . . . , Dk u) = 0
for some function F .
Example 1.1.
• ut + ux = 0 (transport equation, first order). The variable t is the
distinguished time coordinate and x is the spatial coordinate. The
equation describes transport phenomena.
• ut = cuxx (heat equation, second order). Here t is distinguished time
coordinate and the remaining variable x is the spatial variable. The
heat equation models heat and diffusion processes.

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 • utt = c2 uxx (wave equation, second order). The wave equation models
waves and oscillation phenomena.

• uxx + uyy = 0 (Laplace equation, second order)

• |∇u|2 = u2x + u2y = 1 (eikonal equation of geometric optics, first order)

If the PDE consists only of a linear combination of an unknown function
u and its partial derivatives we speak of linear equation. Formally, a k-th
order PDE is called linear if it can be written as
X
L(u) := aα (x)D α u = f (x).
|α|≤k

Otherwise, the PDE is nonlinear. If f ≡ 0, then the PDE is homogeneous

and if f 6= 0, then the PDE is nonhomogeneous.
Example 1.2.
• ut + ux = 0 is homogeneous linear.

• uxx + uyy = 0 is homogeneous linear.

• uxx + uyy = x2 is nonhomogeneous linear.

• ut + x2 ux = 0 is homogeneous linear.

• ut + uxxx + uux = 0 is nonlinear.

• |∇u|2 = u2x + u2y = 1 is nonlinear

An important property of linear PDE’s is so called superposition prop-
erty. If u and v satisfy a linear PDE,

L(u) = f and L(v) = g,

then
L(u + v) = f + g.
Indeed, since L is linear L(u + v) = L(u) + L(v) = f + g.
Important subclasses of nonlinear PDE’s are:
• Quasilinear equations. These are equations which contain highest-order
derivatives of u linearly. They can be written in the following form:
X
aα (x, u, . . . , Dk−1 u)D α u + a0 (x, u, D2 u, . . . , Dk−1 u) = f (x).
|α|=k

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 Example 1.3. • ut + uux = 0 is quasilinear.
• uxx + uyy = |∇u|2 u is quasilinear.
• u2x + u2y = 1 is not quasilinear.

• Semilinear equations.. These are quasilinear PDE’s in which the term

with the highest-order derivatives of u does not depend of u and its
lower-order derivatives. They can be written in the form:
X
aα (x)D α u + a0 (x, u, D2 u, . . . , Dk−1 u) = f (x).
|α|=k

Example 1.4. • ut + uxxx + uux = 0 is semilinear.

• uxx + uyy = u3 is semilinear.
• ut + xux = 0 is linear.
• ut + uux = 0 quasilinear butnot semilinear.

Finally, a PDE is fully nonlinear if the highest-order derivatives of u

appear nonlinearly in the equation.

Example 1.5. • u2x + u2y = 1 is fully nonlinear.

 
• div √ ∇u 2
= 0 is fully nonlinear.
1+|∇u|

1.2 Simple examples

Example 1.6. Consider the equation uxx = 0 for an unknown function u
of two variables x and y. The equation can be solve direct integration with
respect to x. Since we integrate with respect to x, the integration constant
can depend on y. It follows that ux (x, y) = A(y), and integrating further
we get
u(x, y) = A(y)x + B(y)
for some function A and B.

Example 1.7. Consider the equation uxy + ux = 0 for an unknown function

u of two variables x and y. This equation can be transform into ODE by
setting v = ux so that v satisfies vy + v = 0. Treating x as a parameter,
this equations has a solution of the form v(x, y) = A(x)e−y . So, ux (x, y) =
A(x)e−y . Integrating with respect to x, one obtains u(x, y) = B(x)e−y +
C(y).

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Example 1.8. Consider the equation uyy +u = 0 for an unknown function u
d2
of two variables x and y. Recall that the ODE of the form dt 2 v +v = 0 for an
unknown function v of one-variable t has the general solution v(t) = A cos t+
B sin t with arbitrary constants A, B ∈ R. Treating uyy + u = 0 as ODE in
in y with x being a parameter we obtain u(x, y) = A(x) cos y + B(x) sin y
for some functions A and B.

Example 1.9. Consider the equation uxy = 0 for an unknown function u of

two variables x and y. Integrating the equation with respect to y, we obtain
ux = A(x) where A is a function depending only on x. Integrating the
equation ux = A(x) with respect to x, we find that u(x, y) = B(x) + C(y)
where B ′ (x) = A(x).

Example 1.10. Find the solution u of two variables t and x of the wave
equation utt − uxx = cos t + x2 . Since the operator L(u) = utt − uxx is linear,
we may use the superposition principle and split the solution u as u = v + w
where v and w are solutions of

vtt − 4vxx = cos t and wtt − 4wxx = x2 .

The solutions are given by

1 4
v(t, x) = − cos t and w(t, x) = − x .
48
1 4
Then u(t, x) = − cos t− 48 x solves the original equation. This is not the only
solution. If f is an arbitrary twice-differentiable function of one-variable,
then U (t, x) = u(t, x) + f (x − 2t) is also a solution of the original equation.

1.3 Initial/Boundary Value Problems

As above example illustrate a single PDE does not provide sufficient in-
formation to enable to determine its solution uniquely. In order to obtain
unique solution one needs to supply additional information. In the case of
stationary equations (equation which do not depend on time), we usually
impose boundary conditions which together with the equation form a bound-
ary value problem. For example, let U = B1 (0) = {(x, y) ∈ R2 |x2 + y 2 < 1}
be the open unit disc in R2 of radius 1 and center at (0, 0) and let ∂U be
the boundary of U ,. i.e., ∂U = {(x, y)| x2 + y 2 = 1}. Then

uxx + uyy = 0, (x, y) ∈ U

u|∂U = 0

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is a homogeneous Dirichlet boundary value problem for the Laplace equa-
tion. Solving of this boundary value problem consists of finding a function
u defined on the closed disc U satisfying the Laplace equation uxx + uyy = 0
at points (x, y) ∈ U which is equal to 0 along the boundary ∂U . In gen-
eral, if U is a bounded domain in Rn , we distinguish the following types of
boundary conditions.
• The Dirichlet boundary condition:
u(x) = g(x) for all x ∈ ∂U
where g : ∂U → R is a given function.
• The Neumann boundary condition:
∂n u(x) = g(x), for all x ∈ ∂U
where ∂n u(x) is the derivative of u with respect to the outward normal
n to the boundary ∂U .
• The Robin boundary condition:
A∂ν u(x) + Bu(x) = g(x), for all x ∈ ∂U
where ∂ν u(x) is the derivative of u with respect to the outward normal
ν to the boundary ∂U and A and B are nonzero constants.
If on various parts of the boundary of U different types of boundary
conditions are given, then one speaks about a problem with mixed boundary
conditions. If g ≡ 0, then the boundary conditions are called homogeneous,
otherwise they are nonhomogeneous.
In the case of evolution equations (equations depending on time) be-
sides the boundary conditions one usually considers an initial condition
(also called Cauchy condition) which together with the equation and the
boundary conditions form an initial boundary value problem. For example,
utt − uxx = 0, t ∈ (0, ∞), x ∈ (0, 1)
u(0, t) = u(1, t) = 0
u(x, 0) = A(x), ut (x, 0) = B(x)
is an initial boundary value problem for the 1-dimensional wave equations.
The unknown function u(x, t) should satisfy the boundary condition u(0, t) =
u(1, t) = 0 and the initial condition u(x, 0) = A(x), ut (x, 0) = B(x) when
t = 0.
A problem described by a PDE together with initial condition and /or
boundary condition is called well-posed if the following are satisfied:

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 (1) (Existence) The problem has a solution.

(2) (Uniqueness) This solution is unique.

(3) (Stability) The solution depends continuously on the data given in the
problem. In other wards, a small change in the given data produces a
small change in the solution.

The last condition concerns especially models in physical problems since

the given data can never be measured with accuracy. In general, a “small
change” in the definition of stability depends on the problem.