Lecture-02: Classification of general second order PDEs and Canonical forms of PDEs

Classifications of a Second order PDE: A second order linear PDE in two independent
variables x and y in its general form is given by

Au xx  Bu xy  Cu yy  Du x  Eu y  Fu  G

where A, B, C, D, E, F and G are constants or functions of the variables x and y. A second order
PDE (1) is usually classified into three basic classes of equations, namely Parabolic, Hyperbolic
and Elliptic.

Parabolic: Parabolic equation is an equation that satisfies the property B 2  4 AC  0

Hyperbolic: Hyperbolic equation is an equation that satisfies the property B 2  4 AC  0

Elliptic: Elliptic equation is an equation that satisfies the property B 2  4 AC  0

Example 1: Classify the following second order PDEs as parabolic, hyperbolic or elliptic:

i. u t  4u xx

ii. u tt  4u xx

iii. u xx  u yy  0

Solution:

i. Here A=4, B=C=0. This means that B 2  4 AC  0 . Hence the equation in u t  4u xx is

parabolic.

ii. Here A=4, B=0 and C=-1. This means that B 2  4 AC  16  0 . Hence the equation in
u tt  4u xx is hyperbolic.

iii. Here A=1, B=0 and C=1. This means that B 2  4 AC  4  0 . Hence the equation in
u xx  u yy  0 is elliptic.

Example 2: Classify the following second order PDEs as parabolic, hyperbolic or elliptic:
 i. u tt  u xx  u t

ii. u t  u xx  u x

iii. u xx  xu yy  0

Classification of general second order PDEs:

 2u  2u  2u u u
A( x, y )  B ( x , y )  C ( x , y )  D ( x, y, u , , )  0
x 2
xy y 2
x y

Above equation is called

i. Elliptic if B 2  4 AC  0
ii. Parabolic if B 2  4 AC  0
iii. Hyperbolic if B 2  4 AC  0
 2u  2u  2u
Classify PDE:   2 0
x 2 xy y 2

Here A  1 , B  1 and C  2 B 2  4 AC  1  4 * 1 * (2)  9  0

The PDE is hyperbolic.

 2u  2u
Classify PDE: x  y 0
x 2 y 2

Here A  x , B  0 and C  y B 2  4 AC  0  4 * x * ( y )  4 xy

Case-01: x  0 y  0 B 2  4 AC  4 xy  4  0

The PDE is Elliptic.

Case-02: x  0 y  0 B 2  4 AC  4 xy  4  0

The PDE is Hyperbolic.

Case-03: x  0 y  0 B 2  4 AC  4 xy  4  0

The PDE is Elliptic.

Case-04: x  0 y  0 B 2  4 AC  4 xy  0

The PDE is Parabolic.

Canonical forms of a Second order linear PDE

Canonical/Normal forms: The second order linear PDE is given by

Au xx  Bu xy  Cu yy  Du x  Eu y  Fu  G

is converted into canonical/normal form, so that it acquires a simple form and then solving it
becomes easier.

Hyperbolic PDE: The second order linear PDE is given by

Au xx  Bu xy  Cu yy  Du x  Eu y  Fu  G (1)

with

B 2  4 AC  0

Step-01: Form the Characteristic equation:

A 2  B  C  0

Since the Discriminant= B 2  4 AC  0 , so the above equation has two real and distinct roots by
1 and  2 .

The Characteristic equation

dy dy
 1 and  2
dx dx

Step-02: Integrate the characteristic equation

dy
 1
dx

 dy    dx
1

( x, y )  C1 (2)

and
 dy
 2
dx

 dy    dx2

 ( x, y )  C 2 (3)

Let    ( x, y ) and    ( x, y )

Step-03: Change the independent variables x and y in to  and 

u  u ( x, y ) into u  u ( , )

u  u ( , )

u  u 
ux  
 x  x

u x  u   x  u x (4)

u  u ( , )

u  u 
uy  
 y  y

u x  u   y  u y (5)

Now

u x  u   x  u x


u xx  (u  x  u x )
x

 (u  x )  (u x )
u xx  
x x

u u
u xx  u  x x   x  u x x   x for u  u ( , ) and u  u ( , )
x x

u   u  u  u 

u xx  u  x x   x (  )  u x x   x (  )
 x  x  x  x
u xx  u  x x   x (u  x  u  x )  u x x   x (u  x  u x )

u xx  u  x x  u  x  u   x x  u x x  u  x x  u x

2 2

u xx  u  x x  u  x  2u  x x  u x x  u x

2 2

u xx  u  x  2u  x x  u x  u   x x  u x x (6)

2 2

Similarly,

u yy  u  y  2u  x y  u y  u  yy  u yy (7)

2 2

u xy  u  x  y  u x y  u  xy  u xy  u  ( x y   y x ) (8)

Step-04: Put u x u y u xx u yy u xy in equation (1).

The resulting expression is

 2u
  ( , , u , u  , u ) (9)


u   ( , , u , u , u )

Above equation is the canonical form of equation (1). Equation (9) is an partial differential equation
(PDE) with independent variables  ,

Question-01: Reduce the following PDE into canonical form is given by

u xx  x 2 u yy (1)

Hyperbolic PDE: Compare the equation (1) with the second order linear PDE

Au xx  Bu xy  Cu yy  Du x  Eu y  Fu  G

So, A  1 , B  0 and C   x 2

B 2  4 AC  0 2  4 * 1 * ( x 2 )  4 x 2  4  0 if x  1

Step-01: Form the Characteristic equation:

A 2  B  C  0

1 * 2  0 *   ( x 2 )  0
 2  x 2  0

  x

The Characteristic equations are

dy dy
 x and  x
dx dx

Step-02: Integrate the characteristic equation

dy
x
dx

 dy   xdx
x2
y  C1
2

x2
y  C1 (2)
2

and

dy
 x
dx

 dy    xdx
x2
y  C1
2

x2
y  C1 (3)
2

x2 x2
Let   y  and   y 
2 2

 x   x ,  xx  1 ,  y  1 and  yy  0

 x  x ,  xx  1 ,  y  1 and  yy  0

Step-03: Change the independent variables x and y in to  and 

u xx  x 2 u yy

Calculate u xx and u yy

u  u ( x, y ) into u  u ( , )

u  u ( , )

u  u 
ux  
 x  x

u x  u   x  u x (4)

u  u ( , )

u  u 
uy  
 y  y

u x  u   y  u y (5)

Now

u x  u   x  u x


u xx  (u  x  u x )
x

 (u  x )  (u x )
u xx  
x x

u u
u xx  u  x x   x  u x x   x for u  u ( , ) and u  u ( , )
x x

u   u  u  u 

u xx  u  x x   x (  )  u x x   x (  )
 x  x  x  x

u xx  u  x x   x (u  x  u  x )  u x x   x (u  x  u x )

u xx  u  x x  u  x  u   x x  u x x  u  x x  u x

2 2

u xx  u  x x  u  x  2u  x x  u x x  u x

2 2
u xx  u  x  2u  x x  u x  u   x x  u x x
2 2

 u * ( x) 2  2u * ( x) * ( x)  u * ( x) 2  u * (1)  u * (1)

 x 2 u  2 x 2 u  x 2 u  u  u (6)

Similarly,

u yy  u  y  2u  x y  u y  u  yy  u yy (7)

2 2

 u * (1) 2  2u * (1) * (1)  u * (1) 2  u * (0)  u * (0)

 u   2u  u (8)

Step-04: Put u xx u yy in equation (1).

x 2 u  2 x 2 u  x 2 u  u  u  x 2 * (u  2u  u )

x 2 u  2 x 2 u  x 2 u  u  u  x 2 u  2 x 2 u  x 2 u

 u  u  2 x 2 u  2 x 2 u

 u  u  4 x 2 u

4 x 2 u  u  u

x2 x2
Now   y  and   y  , so
2 2

x2    

The resulting expression is

4(   )u   u   u (9)

u  u
u 
4(   )

Above equation is the canonical form of equation (1). The canonical form of u xx  x 2 u yy is
 u  u
u 
4(   )

Parabolic PDE: The second order linear PDE is given by

Au xx  Bu xy  Cu yy  Du x  Eu y  Fu  G (1)

with

B 2  4 AC  0

Step-01: Form the Characteristic equation: Consider the auxiliary equation

A 2  B  C  0

Since the Discriminant= B 2  4 AC  0 , so the above equation has two real and coincident roots
dy
by  and  . For the parabolic PDE the characteristic equation is 
dx

Step-02: Integrate the characteristic equation

dy

dx

 dy   dx
( x, y )  C1 (2)

Let    ( x, y )

Let    ( x, y )  y . Now choose  , a function of x and y such that the jacobian of  and  is
non-zero, i.e.,

x y
 ( x, y )  0
x y

Step-03: Change the independent variables x and y in to  and 

u  u ( x, y ) into u  u ( , )

u  u ( , )

u  u 
ux  
 x  x
u x  u   x  u x (4)

u  u ( , )

u  u 
uy  
 y  y

u x  u   y  u y (5)

Now

u x  u   x  u x


u xx  (u  x  u x )
x

 (u  x )  (u x )
u xx  
x x

u u
u xx  u  x x   x  u x x   x for u  u ( , ) and u  u ( , )
x x

u   u  u  u 

u xx  u  x x   x (  )  u x x   x (  )
 x  x  x  x

u xx  u  x x   x (u  x  u  x )  u x x   x (u  x  u x )

u xx  u  x x  u  x  u   x x  u x x  u  x x  u x

2 2

u xx  u  x x  u  x  2u  x x  u x x  u x

2 2

u xx  u  x  2u  x x  u x  u   x x  u x x (6)

2 2

Similarly,

u yy  u  y  2u  x y  u y  u  yy  u yy (7)

2 2

u xy  u  x  y  u x y  u  xy  u xy  u  ( x y   y x ) (8)

Step-04: Put u x u y u xx u yy u xy in equation (1).

The resulting expression is

 2u
 ( , , u , u , u ) (9)
 2

 2u
  ( , , u , u , u )
 2

Above equation is the canonical form of equation (1). Equation (9) is an partial differential equation
(PDE) with independent variables  ,

Question-01: Reduce the following PDE into canonical form is given by

x 2 u xx  2 xyu xy  y 2 u yy  0 (1)

Hyperbolic PDE: Compare the equation (1) with the second order linear PDE

Au xx  Bu xy  Cu yy  Du x  Eu y  Fu  G

So, A  x 2 , B  2 xy and C  y 2 D  E  F  G  0

Calculate

B 2  4 AC  (2 xy ) 2  4 * x 2 * ( y 2 )  4 x 2 y 2  4 x 2 y 2  0

This given equation in(1) is parabolic PDE.

Step-01: Form the Characteristic equation:

A 2  B  C  0

x 2 * 2  2 xy *   ( y 2 )  0

( x  y ) 2  0

y y
 ,
x x

The Characteristic equations are

dy y

dx x

Step-02: Integrate the characteristic equation

 dy y

dx x

1 1
 y dy   x dx
ln y  ln x  ln C1

ln y  ln x  ln C1

y
ln( )  ln C1
x

y
 C1 (2)
x

y
Let  
x

y 2y 1
x  2
,  xx  3 ,  y  and  yy  0
x x x

and

Let   y

Calculate the jacobian of  and 

x y y 1
y
 ( x, y )   x2 x  2  0 for y  0
x  y 0 1 x

 x  0 ,  xx  0 ,  y  1 and  yy  0

Step-03: Change the independent variables x and y in to  and 

x 2 u xx  2 xyu xy  y 2 u yy  0

Calculate u xx u xy and u yy

u  u ( x, y ) into u  u ( , )
u  u ( , )

u  u 
ux  
 x  x

u x  u   x  u x (4)

u  u ( , )

u  u 
uy  
 y  y

u x  u   y  u y (5)

Now

u x  u   x  u x


u xx  (u  x  u x )
x

 (u  x )  (u x )
u xx  
x x

u u
u xx  u  x x   x  u x x   x for u  u ( , ) and u  u ( , )
x x

u   u  u  u 

u xx  u  x x   x (  )  u x x   x (  )
 x  x  x  x

u xx  u  x x   x (u  x  u  x )  u x x   x (u  x  u x )

u xx  u  x x  u  x  u   x x  u x x  u  x x  u x

2 2

u xx  u  x x  u  x  2u  x x  u x x  u x

2 2

u xx  u  x  2u  x x  u x  u   x x  u x x

2 2

y 2 y 2y
 u * ( 2
)  2u * ( 2 ) * (0)  u * (0) 2  u * ( 3 )  u * (0)
x x x
 y2 2y
 u  3 u (6)
4 
x x

Similarly,

u yy  u  y  2u  x y  u y  u  yy  u yy (7)

2 2

 u * (1) 2  2u * (1) * (1)  u * (1) 2  u * (0)  u * (0)

1 2
 u  u  u (8)
2 
x x

y 1 y
u xy  3
u  2 u  3 u 
x x x

Step-04: Put u xx u xy u yy in equation (1).

x 2 u xx  2 xyu xy  y 2 u yy  0

y2 2y y 1 y 1 2
x2 ( 4
u  3 u )  2 xy ( 3 u  2 u  3 u  )  y 2 ( 2 u   u  u )  0
x x x x x x x

y 2 u  0

u  0

Above equation is the canonical form of equation (1). The canonical form of
x 2 u xx  2 xyu xy  y 2 u yy  0 is

u  0

Elliptic PDE: The second order linear PDE is given by

Au xx  Bu xy  Cu yy  Du x  Eu y  Fu  G (1)

with

B 2  4 AC  0

Step-01: Form the Characteristic equation:

A 2  B  C  0
Since the Discriminant= B 2  4 AC  0 , so the above equation has two imaginary roots by
1  i 2 and 1  i 2 .

For the elliptic PDE, The Characteristic equations are

dy dy
 1  i 2 and  1  i 2
dx dx

Step-02: Integrate the characteristic equation

dy
 1  i 2
dx

 dy   ( 1  i 2 )dx

f 1 ( x, y )  if 2 ( x, y )  C1 (2)

Let   f 1 ( x, y )  if 2 ( x, y )

and

dy
 1  i 2
dx

 dy   ( 1  i 2 )dx

f 1 ( x, y )  if 2 ( x, y )  C 2 (3)

Let   f 1 ( x, y )  if 2 ( x, y )

1 1
Let   (   )  [ f 1 ( x, y )  if 2 ( x, y )  f 1 ( x, y )  if 2 ( x, y )]  f1 ( x, y )
2 2

and

1 1
 (   )  [ f 1 ( x, y )  if 2 ( x, y )  f1 ( x, y )  if 2 ( x, y )]  f 2 ( x, y )
2i 2i

Step-03: Change the independent variables x and y in to  and 

u  u ( x, y ) into u  u ( ,  )

u  u ( ,  )
 u  u 
ux  
 x  x

u x  u   x  u x (4)

u  u ( , )

u  u 
uy  
 y  y

u x  u   y  u y (5)

Now

u x  u   x  u x


u xx  (u  x  u x )
x

 (u  x )  (u x )
u xx  
x x

u u
u xx  u  x x   x  u x x   x for u  u ( , ) and u  u ( , )
x x

u   u  u  u 

u xx  u  x x   x (  )  u x x   x (  )
 x  x  x  x

u xx  u  x x   x (u  x  u  x )  u x x   x (u  x  u x )

u xx  u  x x  u  x  u   x x  u x x  u  x x  u x

2 2

u xx  u  x x  u  x  2u  x x  u x x  u x

2 2

u xx  u  x  2u  x x  u x  u   x x  u x x (6)

2 2

Similarly,

u yy  u  y  2u  x y  u y  u  yy  u yy (7)

2 2

u xy  u  x  y  u x y  u  xy  u xy  u  ( x y   y x ) (8)

u xx  u  x  2u  x  x  u   x  u  x x  u   x x (6)
2 2

Similarly,

u yy  u  y  2u  y  y  u   y  u  yy  u   yy (7)

2 2

u xy  u  x y  u   x  y  u  xy  u   xy  u ( x  y   y  x ) (8)

Step-04: Put u x u y u xx u yy u xy in equation (1).

The resulting expression is

 2u  2u
   ( , , u , u , u ) (9)
 2  2

Above equation is the canonical form of equation (1). Equation (9) is an partial differential equation
(PDE) with independent variables  ,

Question-01: Reduce the following PDE into canonical form is given by

u xx  x 2 u yy  0 (1)

Hyperbolic PDE: Compare the equation (1) with the second order linear PDE

Au xx  Bu xy  Cu yy  Du x  Eu y  Fu  G

So, A  1 , B  0 and C  x 2

B 2  4 AC  0 2  4 * 1 * ( x 2 )  4 x 2  4  0 if x  0

Thus given equation in (1) is Elliptic PDE for x  0 .

Step-01: Form the Characteristic equation:

A 2  B  C  0

1 * 2  0 *   ( x 2 )  0

2  x 2  0

  ix  ix,  ix

The Characteristic equations are

 dy dy
 ix and  ix
dx dx

Step-02: Integrate the characteristic equation

dy
 ix
dx

 dy   ixdx
x2
yi  C1
2

x2
y i  C1
2

2 y  ix 2  2C1  C 2 (2)

Let   2 y  ix 2

and

dy
 ix
dx

 dy    ixdx
x2
y  i  C3
2

x2
yi  C3
2

2 y  ix 2  2C 3  C 4 (2)

Let   2 y  ix 2

1 1
Let   (   )  [ f 1 ( x, y )  if 2 ( x, y )  f 1 ( x, y )  if 2 ( x, y )]  f 1 ( x, y )
2 2

1 1
  (   )  [2 y  ix 2  2 y  ix 2 ]  2 y
2 2
and

1 1
 (   )  [ f 1 ( x, y )  if 2 ( x, y )  f1 ( x, y )  if 2 ( x, y )]  f 2 ( x, y )
2i 2i

1 1
  (   )  [2 y  ix 2  2 y  ix 2 ]  2 x 2
2 2

 x  0 ,  xx  0 ,  y  2 and  yy  0

 x  2 x ,  xx  2 ,  y  0 and  yy  0

Step-03: Change the independent variables x and y in to  and 

u xx  x 2 u yy  0

Calculate u xx and u yy

u  u ( x, y ) into u  u ( ,  )

u  u ( ,  )

u xx  u  x  2u  x  x  u   x  u  x x  u   x x
2 2

u xx  4 x 2 u   2 x x (6)

Similarly,

u yy  u  y  2u  y  y  u   y  u  yy  u   yy
2 2

u yy  4u (7)

Step-04: Put u xx u yy in equation (1).

u xx  x 2 u yy  0

4 x 2 u   2u   x 2 (4u )  0

4 x 2 (u   4u )  2u 

4(  )(u   4u )  2u 

 2u 
(u   4u ) 
4(   )
1
 u
2

The resulting expression is

1
(u   4u )   u  (9)
2

Above equation is the canonical form of equation (1). The canonical form of u xx  x 2 u yy  0 is

1
(u   4u )   u
2