Notas de Aula

Equações Diferenciais Parciais de Segunda Ordem:

Método das Características

DF-UFPR
Métodos Matemáticos 1
Prof. Giovani L. Vasconcelos
Email: giovani.vasconcelos@ufpr.br
 Second-Order Partial Differential Equation
• Consider a partial di↵erential equation (in two dimensions) of the form

@u2 @2u @2u @u @u

a 2 + 2b +c 2 +d +e + f u = F (x, y)
@x @x@y @y @x @y

where the function F (x, y) is called the ‘source term’.

• This equation can be written more compactly in operator notation as

Lu = F

where L is a second-order di↵erential operator of the form:

@2 @2 @2 @ @
L = a 2 + 2b +c 2 +d +e +f
@x @x@y @y @x @y

• The coefficients a, ..., f are in general functions of (x, y).

 Second-Order Partial Differential Equation
• The type and general properties of the PDE are determined by the
coefficients of the second-order terms.
• This is called the principal part of the operator and is denoted by L0 :

@2 @2 @2
L0 = a 2 + 2b +c 2
@x @x@y @y

• To emphasize the second-order terms we rewrite our general PDE as

@u2 @2u @2u @u @u

a 2 + 2b + c 2 = F (x, y) d e fu
@x @x@y @y @x @y
or more compactly

@u2 @2u @u2

a 2 + 2b + c 2 = G(x, y, u, ux , uy )
@x @x@y @y
where we now view the first-order terms as part of the ‘source term’.
• In operator notation we have

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L0 u = G
 Second-Order Partial Differential Equation
• As already mentioned, the general properties of a 2nd-order PDE are
determined by its principal part:

@2 @2 @2
L0 = a 2 + 2b +c 2
@x @x@y @y

a b
• Consider then the matriz of coefficients .
b c
• The discriminant of the operator L0 is defined as

a b
(L0 ) = det = b2 ac
b c

• The type and hence the general properties of a PDE are determined
by the sign of discriminant (L0 ).
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 Classi cation of 2nd-Order PDEs
• We have the following classification of second order PDEs:
1. Hyperbolic equations if = b2 ac > 0.
• Example: the wave equation

1 @2u @2u
=0
c2 @t2 @x 2

2. Parabolic equations if = b2 ac = 0.
• Example: the heat equation

@u @2u
D 2 =0
@t @x

3. Elliptic equations if = b2 ac < 0.

• Example: Laplace equation

@2u @2u
2
+ 2 =0
@x @y

• The reason for this terminology will be seen later.

fi
 Boundary Conditions

• Boundary conditions: in order to obtain a unique solution of a given

PDE, we need to prescribe some boundary conditions for the function
and/or its partial derivatives.
• Some example of boundary conditions are described next.

• Cauchy data: The value of the function u and its normal derivative
@u/@n are specified on a curve .

@u(x, y)
u(x, y)| = f (x, y), = g(x, y)
@n

where f (x, y) and g(x, y) are given.

• For example, if the curve is the x axis, i.e., y = 0, we have a sort of
‘initial condition’:

u(x, 0) = f (x), uy (x, 0) = g(x)

 Boundary Conditions
• Dirichlet boundary conditions: the function u(x, y) is prescribed on
a given closed surface :

u(x, y)| = f (x, y)

where f (x, y) is given.

@u(x,y)
• Neumann boundary conditions: the normal derivative @n is pre-
scribed on a given closed surface :

u(x, y)| = g(x, y)

where g(x, y) is given.

 Boundary Conditions

• In summary, the three general types of boundary conditions are:

1. Cauchy data: The value of the function u and its normal derivative
@u/@n are specified on a curve .
2. Dirichlet boundary conditions. The value of the function u is
specified on the boundary @D of the domain D of interest.
3. Neumann boundary conditions. The normal derivative @u/@n
is specified on the boundary @D.
 Characteristics of 2nd-Order PDEs
• Consider a general second-order partial di↵erential equation of the form:

@u2 @2u @u2

a 2 + 2b + c 2 = F (x, y, u, ux , uy )
@x @x@y @y
where we focused on the principal part of the the operator L; see before
• Furthermore, using that du = ux dx + uy dy, we have

d(ux ) = uxx dx + uxy dy

d(uy ) = uxy dx + uyy dy

• The set of three equations above can be written in matricial form as

0 10 1 0 1
a 2b c uxx F
@dx dy 0 A @uxy A = @d(ux )A
0 dx dy uyy d(uy )
 Characteristics of 2nd-Order PDEs
• This system of equations does not have solution if

a 2b c
dx dy 0 =0 =) a(dy)2 2b(dx)(dy) + c(dx)2 = 0
0 dx dy

• This defines the characteristics of the PDE:

✓ ◆2 ✓ ◆
dy dy
a 2b + c = 0 =) aµ2 2bµ + c = 0
dx dx

where µ = dy/dx.
• This means that on characteristics uxx , uxy and uyy are not unambiguously
specified by u, its first order derivatives and the di↵erential equation.
• So again, the problem may not have unique solution if we prescribe the
Cauchy data (u and its normal derivative) on characteristics.
 Characteristics of 2nd-Order PDEs
p
b± b2 ac
• The solutions of the quadratic polynomial are µ± = a

• We can classify 2nd-order PDEs in terms of the number of characteristics.

• Hyperbolic equations (b2 ac > 0): two families of characteristics
p p
dy b + b2 ac dy b b2 ac
= µ+ = , =µ =
dx a dx a

• Parabolic equations (b2 ac = 0): one family of characteristics

dy b
=µ=
dx a

• Elliptic equations (b2 ac < 0): no real characteristics or two families

of complex characteristics
p p
dy b + i ac b2 dy b i ac b2
=µ= , =µ=
dx a dx a
 Hyperbolic Equations
• Consider the case of hyperbolic equations (b2 ac > 0), where we have
two families of characteristics
p p
dy b + b2 ac dy b b2 ac
= µ+ = , =µ =
dx a dx a

• Integrating these equations gives

y = f (x) + ⇠, y = g(x) + ⌘

where f 0 (x) = µ+ , g 0 (x) = µ , and ⇠ and ⌘ are constants of integration.

• We now view ⇠ and ⌘ as the new coordinates.
• Our change of variables to the new coordinates is therefore given by

⇠(x, y) = y f (x), ⌘(x, y) = y g(x)

• In the new variables, the principal part, L0 , of the operator L simplifies,

as we shall see next.
 Characteristics and Change of Variables
• The constant of integration ⇠ and ⌘ are fixed by specifying a point (x0 , y0 )
through which we want each characteristic curve to pass.
• In other words, we can label the characteristic curves by the variables ⇠
and ⌘, respectively.

• We thus have (in the case of hyperbolic equations) two sets C⇠ and C⌘ of
characteristic curves:

C⇠ = {(x, y) | y = f (x) + ⇠}

C⌘ = {(x, y) | y = g(x) + ⌘}

• Note that we can think of (x, y) 3! (⇠, ⌘) as a change of variables from the
ODUCTION TO THE METHOD OF CHARACTERISTICS.
cartesian coordinates (x, y) to curvilinear coordinates (⇠, ⌘).
y

(a(x,y),b(x,y)) (a(x,y),b(x,y))

• Figure: set of characteristic curves.

s constant
(In our notation s ! ⇠ and t ! ⌘.)

x
x
t constant
 Characteristics and Change of Variables
• In the case of parabolic equations, we only have one family C⇠ of
characteristic curves:

C⇠ = {(x, y) | y = f (x) + ⇠}

• We are then free to introduce a second variable ⌘ = ⌘(x, y), with the
only requirement that the resulting change of variables have a nonzero
Jacobian:
@⇠ @⇠
@x @y
|J(x, y)| = @⌘ @⌘ 6= 0
@x @y

so that the transformation is invertible.

• Often we then choose the simplest change of variables that meets this
requirement, such as, ⌘ = y or ⌘ = x or a combination of these.
• In the case of elliptic equations, we have no real characteristics, since
the roots µ± are complex numbers. In this case, we can still introduce a
new set of variables, but they are now complex variables, in terms of
which the PDE takes a simple (canonical) form, as we will see shortly.
 Boundary Conditions
• In general, the curves where we prescribe the boundary conditions can-
not coincide with, or intercept more than once, one of the characteristics,
because in this case we are not guaranteed to get a unique solution.
• Recall that that determinant vanishes on characteristics, hence we cannot
invert the system of equations to obtain uxx , uxy , and uyy , from u and its
derivatives ux and uy .
• Thus, the curve has to intercept each characteristics only once!
TION TO THE METHOD OF CHARACTERISTICS. 3

y
We cannot specify the Cauchy
x,y)) (a(x,y),b(x,y))
data on curves that intercept the
characteristics more than once
s constant

Possible curves where we can

specify the Cauchy data

x
x
t constant
he vector field (a, b) (left) and new curvilinear coordinates such
=const. are tangential to (a, b).
), the crossing of two lines in the left graph of figure 1, there
 Second-Order Partial Differential Equation
• The characteristics allow us to introduce new variables, in terms of which
we hope we can solve the equation (just as we did for 1st-order PDEs).
• To see how to do that, let us consider a general a change of variables:

⇠ = ⇠(x, y), ⌘ = ⌘(x, y)

• Our goal is to bring the operator L0 to a simpler (canonical) form.

• We require that the Jacobian of the transformation is nonzero, i.e,
@⇠ @⇠
@x @y
|J(x, y)| = @⌘ @⌘ 6= 0
@x @y

so that the transformation is invertible at all points (x, y) 2 D of the

domain D of interest.

• The idea is to find a change of variables so as to cancel some of the terms

containing second-order derivatives
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 Second-Order Partial Differential Equation

• Exercise: using the chain rule show that

ux = u⇠ ⇠x + u⌘ ⌘x
uy = u⇠ ⇠y + u⌘ ⌘y
uxx = u⇠⇠ (⇠x )2 + 2u⇠⌘ ⇠x ⌘x + u⌘⌘ (⌘x )2 + u⇠ ⇠xx + u⌘ ⌘xx
uyy = u⇠⇠ (⇠y )2 + 2u⇠⌘ ⇠y ⌘y + u⌘⌘ (⌘y )2 + u⇠ ⇠yy + u⌘ ⌘yy
uxy = u⇠⇠ ⇠x ⇠y + u⇠⌘ (⇠x ⌘y + ⌘x ⇠y ) + u⌘⌘ ⌘x ⌘y + u⇠ ⇠xy + u⌘ ⌘xy

where the subindex notation denotes partial derivatives.

 Second-Order Partial Differential Equation
• One can then show that the operator L0 in the new variables (⇠, ⌘) is of
the form
@2 @2 @2 @ @
L0 = A 2 + 2B +C 2 +D +E
@⇠ @⇠@⌘ @⌘ @⇠ @⌘
where
✓ ◆2 ✓ ◆✓ ◆ ✓ ◆2
@⇠ @⇠ @⇠ @⇠
A=a + 2b +c
@x @x @y @y
✓ ◆✓ ◆ ✓ ◆ ✓ ◆ ✓ ◆ ✓ ◆ ✓ ◆✓ ◆
@⇠ @⌘ @⇠ @⌘ @⇠ @⌘ @⇠ @⌘
B=a +b + +c
@x @x @x @y @y @x @y @y
✓ ◆2 ✓ ◆✓ ◆ ✓ ◆2
@⌘ @⌘ @⌘ @⌘
C=a + 2b +c
@x @x @y @y
@2⇠ @2⇠ @2⇠
D = a 2 + 2b +c 2
@x @x@y @y
@2⌘ @2⌘ @2⌘
E = a 2 + 2b +c 2
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@x @x@y @y
 Second-Order Partial Differential Equation

• The principal part of the original L0 (x, y) in the new variables is then
given by
@2 @2 @2
L0 (⇠, ⌘) = A 2 + 2B +C 2
@⇠ @⇠@⌘ @⌘
• Let us now investigate how this operator can be simplified.
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 Second-Order Partial Differential Equation

A B
• Consider the matriz of new coefficients
B C
• Note that
    
A B ⇠x ⇠y a b ⇠x ⇠y a b
= = J(x, y) · · J(x, y)
B C ⌘x ⌘y b c ⌘x ⌘y b c

• Since the determinant of a product of matrices is the product of the de-

terminants, we have
 
A B a b
det = det |J(x, y)|2 =) (L)(⇠,⌘) = (L)(x,y) |J(x, y)|2
B C b c

• This shows that the discriminant does not change sign under a change
of variables, i.e., sign[ ] is invariant under a change of variables.
• We can then classify second-order partial di↵erential equations according
to the sign of !
 Second-Order Partial Differential Equation
• Suppose we want to make both A = C = 0. We then have
✓ ◆2 ✓ ◆✓ ◆ ✓ ◆2
@⇠ @⇠ @⇠ @⇠
A=a + 2b +c =0
@x @x @y @y
✓ ◆2 ✓ ◆✓ ◆ ✓ ◆2
@⌘ @⌘ @⌘ @⌘
C=a + 2b +c =0
@x @x @y @y
.
@⇠ @⇠
• If we define = @x @y . From A = 0 we have

2
a + 2b + c = 0
⇣ ⌘
@⇠
@x dy
= ⇣ ⌘ = (⇠, ⌘)
@⇠ dx
@y

.
@⌘ @⌘
• The same equation is obtained for C = 0 but where = @x @y .

• The two solutions to the quadratic equation are

p
b ± b2 ac
± =
a

• (⇠, ⌘) can be seen as the derivative dy/dx expressed in terms of (⇠, ⌘).
 Hyperbolic Equations
• Then if = b2 ac > 0, we have two solutions ± of the quadratic
equation. One can be used to find ⇠(x, y) and the other to obtain ⌘(x, y):

@⇠ @⇠ @⌘ @⌘
+ = , =
@x @y @x @y

• In this case, the canonical form of operator L is simply

@2
L = 2B + first-order terms
@⇠@⌘

• This is the canonical form of hyperbolic equations.

• The coefficient B above is given by

✓ ◆✓ ◆ ✓ ◆ ✓ ◆ ✓ ◆ ✓ ◆ ✓ ◆✓ ◆
@⇠ @⌘ @⇠ @⌘ @⇠ @⌘ @⇠ @⌘
B=a +b + +c
@x @x @x @y @y @x @y @y

which can be written as

✓ ◆✓ ◆
@⇠ @⌘
B= {a + + b[ + + ] + c}
@y @y
 Hyperbolic Equations
• The parameters ± are roots of the quadratic equation
2
a + 2b + c = 0

which are given by p

b± b2 ac
± =
a
• It then follows that
c 2b
+ = , + + =
a a

• We then get
✓ ◆✓ ◆✓ 2
◆ ✓ ◆✓ ◆
@⇠ @⌘ b @⇠ @⌘ 2
B= 2c 2 = ac b2
@y @y a @y @y a
or ✓ ◆✓ ◆
@⇠ @⌘ 2
B=
@y @y a
 Parabolic Equations
• Now if = b2 ac = 0, we can set to zero only one of the coefficients,
either A = 0 or C = 0, but not both.
• Say we choose A = 0. This implies in turn that B = 0.
• To see this note that (L(x, y)) = 0 implies (L(⇠, ⌘)) = 0. Then

0= = B2 AC = B 2 =) B=0

• The change of variables is then defined by A = 0 which gives

@⇠ @⇠ @⇠ @⇠
= = b/a =) a +b =0
@x @y @x @y

• Function ⌘(x, y) can be arbitrarily chosen so long C 6= 0 and |J(x, y)| =

6 0.
• Thus the highest derivative in the variable ⇠ is of first-order.
• In this case, the operator L reduces to

@2 @
L=C 2 +D + first-order terms in ⌘
@⌘ @⇠

• This is the canonical form of parabolic equations.

 Ellyptic Equations
• Now if = b2 ac < 0, there is no real solution to the quadratic equation,
so we cannot eliminate neither A nor C.
• We can however find a change of variables to make B = 0, so that there
is no cross derivative @ 2 /@⇠@⌘ in the equation.

• Furthermore, we can choose this change of variables in such a way that

A = C.
• This is possible because we have two equations, B = 0 and A = C, for
two unknowns, ⇠ and ⌘.
• Thus, the operator L reduces to
✓ 2 2
◆
@ @
L=A 2
+ 2 + first-order terms
@⇠ @⌘

• This is the canonical form of elliptic equations.

 Classi cation: Terminology
• Hyperbolic equations if b2 ac > 0.
• Parabolic equations if b2 ac = 0.
• Elliptic equations if b2 ac < 0.

• Note that the equation that determines the type of the PDE is
✓ ◆2 ✓ ◆✓ ◆ ✓ ◆2
@⇠ @⇠ @⇠ @⇠
a + 2b +c =0
@x @x @y @y

• If we replace the derivative by the variables x and y only we have

ax2 + 2bxy + cy 2 = 0

which is the equation of a conic.

• The three possible cases are: i) hyperbole for b2 ac > 0; ii) parabola
for b2 ac = 0; and iii) ellipsis for b2 ac < 0.
• This is the reason for using this terminology in the classification of PDEs.
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fi
 Characteristics and Change of Variables
• The characteristics are intimately connected with the change of variables
(x, y) ! (⇠, ⌘) that simplifies the operator L.
• First recall that the equation that defines the change of variable is
p
b ± b 2 ac
2
a + 2b + c = 0 =) ± =
a
where
⇠x ⌘x dy
= +, = =) = ±
⇠y ⌘y dx

• Now, the equation that defines the characteristics is

p
b ± b 2 ac dy
2
aµ 2bµ + c = 0 =) µ± = , = µ±
a dx
 Characteristics and Change of Variables
• So these two equations are essentially the same! The only di↵erence is the
change of sign in the term 2b. In fact, one has ± = µ⌥ .
• This means that the characteristics define precisely the change of variable
that simplifies the PDE.

• Note furthermore that the parameter can be seen as the derivative dy/dx
expressed in terms of (⇠, ⌘):
⇣ ⌘
@⇠
@x dy
= ⇣ ⌘ = (⇠, ⌘)
@⇠ dx
@y

• It then shows that the parameters and µ are essentially the same!
• Hence the new variables obtained from the method of characteristics can
be used to simplify the PDE and put it into its canonical form.
 Example 1: Wave Equation
• Consider the wave equation

1 @2u @2u
=0
v 2 @t2 @x 2

• In this case, a = 1/v 2 , b = 0 and c = 1.

• The two families of characteristics are
p • The curves in the xt plane
dx b ± b2 ac x − ct = const.
= µ± = = ±v =) x = vt + ⇠, x= vt + ⌘
dt a x + ct = const.
are called the characteristics of the wave equation.
• Note that the characteristics are ‘rays’ with speed v.
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t
x−ct=const.

x+ct=const.
 Example 1: Wave Equation

• The two new variables ⇠(x, y) and ⌘(x, y) are

⇠=x vt, ⌘ = x + vt

• The equation in the new variables is simply

@2u @2u
2B =0 =) =0
@⇠@⌘ @⇠@⌘

• We then conclude that the general solution is of the form

u(⇠, ⌘) = f (⇠) + g(⌘)

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where f (x) and g(x) are arbitrary functions.
 Example 1: Wave Equation

• In the original variables we have

u(x, t) = f (x vt) + g(x + vt)

which is the same solution as obtained before.

• The general solution is a superposition of a wave propagating to the right

plus a wave propagating to the left, both propagating with speed v.
• The functions f (x) and g(x) are determined by the initial conditions.
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 Example 2: Another Hyperbolic Equation
• Consider now the equation

@u2 @2u @u2

2 2 3 + 2 =y
@x @x@y @y

• Here a = 2, b = 3/2, and c = 1. The discriminant is

= b2 ac = ( 3/2)2 2 · 1 = 1/4 > 0

so the equation is hyperbolic!

• The characteristics are
p p
dy b ± b2 ac 3/2 ± 1/4 3/2 ± 1/2
= = =
dx a 2 2
or
dy 1 x x
= =) y= +⇠ =) ⇠=y+
dx 2 2 2
dy
= 1 =) y= x+⌘ =) ⌘ =y+x
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dx
 Example 2: Another Hyperbolic Equation
• The equation becomes
@2u
2B =y
@⇠@⌘
• We now need to write y in terms of the new variables.
• Eliminating x from the previous two equations that define ⇠ and ⌘ we have

y = 2⇠ ⌘

• Now we recall that ✓ ◆✓ ◆

@⇠ @⌘ 2
B=
@y @y a

• In this case we have

@⇠ @⌘ 1
= = 1, a = 2, =
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@y @y 4
 Example 2: Another Hyperbolic Equation
• The coefficient B is
21 1
B= 1· =
24 4
• The equation for u then becomes

@2u 1 @2u @2u

2B =y =) = 2⇠ ⌘ =) = 2(2⇠ ⌘)
@⇠@⌘ 2 @⇠@⌘ @⇠@⌘

• Alternatively we have

@ @u
= 2(2⇠ ⌘)
@⇠ @⌘

• Integrating with respect to ⇠ we obtain

@u
= 2(⇠ 2 ⇠⌘) + h(⌘)
@⌘

where h(⌘) is an arbitrary function of ⌘.

 Example 2: Another Hyperbolic Equation
• Integrating now with respect to ⌘ we obtain
Z
2 1 2 2 1 2
u(⇠, ⌘) = 2(⇠ ⌘ ⇠⌘ )+ h(⌘)d⌘+f (⇠) = 2(⇠ ⌘ ⇠⌘ )+f (⇠)+g(⌘)
2 2

where f (x) and g(x) are arbitrary functions.

• Simplifying the solution we get

u(⇠, ⌘) = ⇠⌘(2⇠ ⌘) + f (⇠) + g(⌘)

• Returning to the original variables we obtain

u(x, y) = (y + x/2)(y + x)(2y + x y x) + f (y + x/2) + g(y + x)

which can be written as

1
u(x, y) = y(2y + x)(y + x) + f (2y + x) + g(y + x)
2
 Example 3: Hyperbolic Equation + Boundary Conditions
• Consider the following EDP:

@2u @2u @2u

8 2 6 + 2 = 4
@x @x@y @y

• Now we also impose the following boundary conditions:

@u
u(x, 0) = cosh x, and = 2 sinh x
@y y=0

• In this case, a = 8, b = 3 e c = 1, hence = b2 ac = 9 8 = 1 > 0,

which implies that the equation is hyperbolic.
• The characteristics are
p ⇢
dy b± 3±1 1
= = = 4
1
dx a 8 2

which yields
⇢ 1
⇢
y= 4x + ⇠ ⇠ = y + 14 x = 14 (4y + x)
1 =)
y= 2x + ⌘ ⌘ = y + 12 x = 12 (2y + x)
Example 3: Hyperbolic Equation + Boundary Conditions
• In the new coordinates the equation becomes

@2u
2B = 4
@⇠@⌘
where
2 2 2 2 1
B = (ac b )= = ·1=
a a 8 4
hence
@2u
=8
@⇠@⌘
whose generic solution is

u(⇠, ⌘) = 8⇠⌘ + f (⇠) + g(⌘)

• Returning to the original variables we have

1 1
u(x, y) = 8 · (4y + x) · (2y + x) + f (4y + x) + g(2y + x)
4 2
= (4y + x)(2y + x) + f (4y + x) + g(2y + x)
= 8y 2 + 6xy + x2 + f (4y + x) + g(2y + x)
 Example 3: Hyperbolic Equation + Boundary Conditions
• Let us now consider the boundary conditions.
• First compute the derivative with respect to y:
@u
uy (x, y) = = 16y + 6x + 4f 0 (4y + x) + 2g 0 (2y + x)
@y

• Now applying the two boundary conditions above we obtain

u(x, 0) = x2 + f (x) + g(x) = cosh x =) f (x) + g(x) = cosh x x2

uy (x, 0) = 6x+4f 0 (x)+2g 0 (x) = 2 sinh x =) 2f 0 (x)+g 0 (x) = sinh x 3x

• Di↵erentiating the first equation above

0 0 0 0
f (x) + g (x) = sinh x 2x =) g (x) = sinh x 2x f (x)

and substituting into the second one we get

0 0 1 2
f (x)+sinh x 2x = sinh x 3x =) f (x) = x =) f (x) = x
2
 Example 3: Hyperbolic Equation + Boundary Conditions
• Now inserting this back into the first equation we find
1 2 2 1 2
x + g(x) = cosh x x =) g(x) = cosh x x
2 2

• Inserting the expressions for f (x) and g(x) into the general solution we
obtain

2 2 1 1
u(x, y) = 8y + 6xy + x (4y + x)2 + cosh(2y + x) (2y + x)2
2 2

• After some simplification we get the final result:

u(x, y) = cosh(2y + x) 2y 2
 Example 4: Hyperbolic Equation + Boundary Conditions
• Consider the following EDP:

@2u @2u @2u

2
+ 2 2 =1
@x @x@y @y
with boundary conditions:
@u
u= =x for y=0
@y

1 9
• Here a = 1, b = 1/2, and c = 2, hence = b2 ac = 4 +2 = 4 >
0 =) hyperbolic equation.
• The characteristics are
p ⇢ ⇢
dy b± 1 3 2 y = 2x + ⇠
= = ± = =)
dx a 2 2 1 y = x+⌘

• The new variables are

⇠=y 2x, ⌘ =y+x

Example 4: Hyperbolic Equation + Boundary Conditions
• In the new variables our EDP reads
@2u
2B =1
@⇠@⌘
where
2 2 2 9 9
B = (ac b )= = 2· =
a a 4 2
• Thus,
@2u 1
=
@⇠@⌘ 9
whose generic solution is
1
u(⇠, ⌘) = ⇠⌘ + f (⇠) + g(⌘)
9

• In the original variables we obtain

1
u(x, y) = (y 2x)(y + x) + f (y 2x) + g(y + x)
9
y2 xy 2x2
= + + + f (y 2x) + g(y + x)
9 9 9
 Example 4: Hyperbolic Equation + Boundary Conditions
• The derivative with respect to y is
@u 2y x
uy (x, y) = = + + f 0 (y 2x) + g 0 (y + x)
@y 9 9

• Leu us now apply the boundary conditions:

2x2 2x2
u(x, 0) = + f ( 2x) + g(x) = x =) f ( 2x) + g(x) = x
9 9
x 8x
uy (x, 0) = + f 0 ( 2x) + g 0 (x) = x =) 0 0
f ( 2x) + g (x) =
9 9
• Di↵erentiating the first equation,

0 0 4x
2f ( 2x) + g (x) = 1
9
and substituting in the second we find

0 4x x 2x2
3g (x) = 1 + =) g(x) = +
3 3 9
 Example 4: Hyperbolic Equation + Boundary Conditions

• Inserting this back into the first equation we get

2x2 2x2 x 2x2 2x 4x2 x x2

f ( 2x) = x g(x) = x = =) f (x) =
9 9 3 9 3 9 3 9

• Inserting the expressões for f (x) and g(x) into the generic solution gives

y2 xy 2x2
u(x, y) = + + + f (y 2x) + g(y + x)
9 9 9
y2 xy 2x2 (y 2x) (y 2x)2 (y + x) 2(y + x)2
= + + + +
9 9 9 3 9 3 9
which after some simplification yields

u(x, y) = x + xy
 Example 5: Heat Equation
• Consider the heat equation

@u @2u
D 2 =0
@t @x

• In this case choose: a = D, b = c = 0. Then = b2 ac = 0.

• It is a parabolic equation, so we have only one family of characteristics.
• The equation for the characteristics is
dt b
= =0 =) t = constant =) t=⇠
dx a

• As for the second variable ⌘(x, y), we can choose any function so long as
the Jacobian is nonzero: ⇠x ⌘y ⇠y ⌘x 6= 0. It is convenient to choose, ⌘ = y.
• The new variables are identical to the old ones: ⇠ = t and ⌘ = y. This is
not surprising since the equation is already in canonical form.
 Example 6: Laplace Equation
• Consider now the Laplace equation

@2u @2u
2
+ 2 =0
@x @y

• In this case: a = c = 1 and b = 0. Then = b2 ac = 1 < 0.

• It is an elliptic equation, so we have no family of real characteristics.
• Alternatively, we have two families of complex characteristics:
p ⇢ ⇢
dy b ± b2 ac p y = ix + ⇠ ⇠ = y ix
= =± 1 = ±i =) =)
dx a y = ix + ⌘ ⌘ = y + ix

• The equation in the new variables becomes

@2u @2u
2B =0 =) =0
@⇠@⌘ @⇠@⌘
 Example 6: Laplace Equation
• We then conclude that the general solution is of the form

u(⇠, ⌘) = f (⇠) + g(⌘)

where f (x) and g(x) are arbitrary functions.

• In terms of the original variables we have

u(x, y) = f (y ix) + g(y + ix)

• It is more conveniente to write ⇠ = y ix = i(x + iy) = iz and

⌘ = y + ix = i(x iy) = iz̄, where z = x + iy and z̄ = x iy.

• Hence the new variables can be written as

⇠= iz, ⌘ = iz̄

• Laplace equation in terms of the complex variables z and z̄ then reads

@2u @2u
=0 =) =0
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@⇠@⌘ @z@ z̄
 Example 6: Laplace Equation
• So the general solution is of the form

u(x, y) = F (z) + G(z̄) = F (x + iy) + G(x iy)

• We have to choose F and G such that u(x, y) is real.

• The simplest option is to choose F (z) = f (z)/2, for some arbitrary ana-
lytic function f (z), and G(z̄) = F (z), so that

u(x, y) = F (z) + F (z) = 2Re[F (z)] = Re[f (z)]

• A similar result is obtained if we choose F (z) = f (z)/2i and G(z̄) = F (z),

so that u(x, y) = Im[f (z)].
• This shows that a harmonic function (i.e., that satisfies Laplace equation)
in 2D is either the real part or the imaginary part of an analytic function
f (z) of the complex variable z = x + iy.

• This result was obtained before from the Cauchy-Riemann equations.

 Boundary Conditions
• Let us now discuss the question of boundary conditions in connection with
the three types of PDE’s.
• Recall the three types of boundary conditions:
1. Cauchy data: The value of the function u and its normal derivative
@u/@n are specified on a curve .
2. Dirichlet boundary conditions. The value of the function u is
specified on the boundary @D of the domain D of interest.
3. Neumann boundary conditions. The normal derivative @u/@n
is specified on the boundary @D.
 Cauchy Boundary Conditions
• Cauchy data: The value of the function u and its normal derivative
@u/@n are specified on a curve , which can be open or closed.
• For hyperbolic equations, the Cauchy data in an open curve (that does
not coincide with characteristics) yields unique solutions. (A closed
curve is too restrictive as it intersects characteristics more than once.)

• For parabolic and elliptic equations, which have only one set of char-
acteristics or none, specifying the Cauchy data is in general too restrictive.
• For example, in electrostatics we have Laplace equation, r2 = 0, which
is an elliptic equation. The Cauchy data would mean specifying the po-
tential, (x, y), and the normal component of the electric field, En =
@ /@n, on a curve . If is closed, these two boundary conditions
are too restrictive and there is no solution satisfying both conditions in
general. If is open the Cauchy data may give unphysical results.
• For parabolic and elliptic equations one then usually provides Dirich-
let or Neumann contains; see table next.
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 Boundary Conditions
• Examples of possible boundary9.2 First-Order
conditions Differential
that Equations
yield unique 543are
solutions
shown
Table 9.1in the table below.
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Boundary Type of partial differential equation

conditions Elliptic Hyperbolic Parabolic

Laplace, Poisson Wave equation in Diffusion equation

in (x, y) (x, t) in (x, t)
Cauchy
Open surface Unphysical results Unique, stable Too restrictive
(instability) solution
Closed surface Too restrictive Too restrictive Too restrictive
Dirichlet
Open surface Insufficient Insufficient Unique, stable
solution in one
direction
Closed surface Unique, stable Solution not unique Too restrictive
solution
Neumann
Open surface Insufficient Insufficient Unique, stable
solution in one
direction
Closed surface Unique, stable Solution not unique Too restrictive
solution
 Summary
1 @2u @2u
• Hyperbolic equation: c2 @t2 @x2 =0

Data (to be prescribed for unique solution):

1. Boundary condition for all times: u(x, t)|x2@D = f (x, t)
2. Two initial conditions: i) u(x, 0) = g(x); and ii) ut (x, 0) = h(x)
@u @2u
• Parabolic equation: @t D @x2 =0
Data:
1. Boundary condition for all times: u(x, t)|x2@D = f (x, t)
2. One initial condition: i) u(x, 0) = g(x)
@2u @2u
• Elliptic equation: @x2 + @y 2 =0
Data:
1. Dirichlet boundary condition: u|@D = f (x)
or
2. Neumann boundary condition: (@u/@n)|@D = g(x)