(Mathematics Research Development) Michael v. Klibanov, Jingzhi Li - Partial Differential Equations - Theory, Numerical Methods and Ill-Posed Problems-Nova Science Publishers (2022)

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Michael V. Klibanov and Jingzhi Li
Partial Differential Equations

Theory, Numerical Methods and Ill-Posed Problems
Copyright © 2022 by Nova Science Publishers, Inc.
https://doi.org/10.52305/TTIO3667
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Contents
Preface xi
Acknowledgments xiii
1 Introduction 1
1.1 Terminology and Notation . . . . . . . . . . . . . . . . . 2
1.2 Examples of Linear PDEs . . . . . . . . . . . . . . . . . . 6
1.2.1. Scalar PDEs . . . . . . . . . . . . . . . . . . . . 7
1.2.2. System of PDEs . . . . . . . . . . . . . . . . . . 9
1.3 Strategies for Studying PDEs . . . . . . . . . . . . . . . . 10
1.3.1. Well Posed Problems: Classical Solutions . . . . . 10
1.3.2. Weak Solutions and Regularity . . . . . . . . . . . 11
1.3.3. Typical Difficulties . . . . . . . . . . . . . . . . . 12
1.4 Generalized Functions . . . . . . . . . . . . . . . . . . . 13
2 Analytic Approaches to Linear PDEs 17

2.1 Transport Equation with Constant Coefficients . . . . . . . 17
2.1.1. Initial Value Problem . . . . . . . . . . . . . . . . 18
2.1.2. Non-Homogeneous Problem . . . . . . . . . . . . 19
2.1.3. Initial Boundary Value Problem . . . . . . . . . . 20
2.2 Laplace’s Equation . . . . . . . . . . . . . . . . . . . . . 21
2.2.1. Fundamental Solution . . . . . . . . . . . . . . . 21
2.2.2. Mean Value Property . . . . . . . . . . . . . . . . 26
2.2.3. Applications . . . . . . . . . . . . . . . . . . . . 27
2.2.4. Green’s Function for Laplace’s Equation . . . . . 33
2.2.5. Energy Methods . . . . . . . . . . . . . . . . . . 42
2.3 Heat Equation . . . . . . . . . . . . . . . . . . . . . . . . 43
vi Contents
2.3.1. Fundamental Solution: Duhamel Principle . . . . . 44

2.3.2. The Mean Value Property . . . . . . . . . . . . . 50
2.3.3. Applications . . . . . . . . . . . . . . . . . . . . 54
2.4 Wave Equation . . . . . . . . . . . . . . . . . . . . . . . 63
2.4.1. Solution by Spherical Means . . . . . . . . . . . . 64
2.4.2. Solution of Non-Homogeneous Wave Equation:
Duhamel Principle . . . . . . . . . . . . . . . . . 79
2.4.3. Energy Methods . . . . . . . . . . . . . . . . . . 81
3 Transformation Approaches to Certain PDEs 85

3.1 Separation of Variables . . . . . . . . . . . . . . . . . . . 85
3.2 Similarity Solutions . . . . . . . . . . . . . . . . . . . . . 88
3.2.1. Travelling and plane Waves, Solutions . . . . . . . 88
3.3 Fourier and Laplace Transforms . . . . . . . . . . . . . . 93
3.3.1. Fourier Transform . . . . . . . . . . . . . . . . . 93
3.3.2. Laplace Transform . . . . . . . . . . . . . . . . . 97
4 Function Spaces 101

4.1 Spaces of Continuous and Continuously

Differentiable Functions, C Q and Ck Q . . . . . . . . 101
4.1.1. The Space C Q . . . . . . . . . . . . . . . . . . 101
4.1.2. The Space Ck Q . . . . . . . . . . . . . . . . . . 103
4.2 The Space L1 (Q) . . . . . . . . . . . . . . . . . . . . . . 105
4.3 The Space L2 (Q) . . . . . . . . . . . . . . . . . . . . . . 107
4.4 The Space C Q is Dense in L1 (Q) and L2 (Q) . Spaces
L1 (Q) and L2 (Q) Are Separable. Continuity in the Mean
of Functions from L1 (Q) and L2 (Q) . . . . . . . . . . . . 109
4.5 Averaging of Functions of L1 (Q) and L2 (Q) . . . . . . . . 113
4.6 Linear Spaces L1,loc and L2,loc . . . . . . . . . . . . . . . 116
4.7 Generalized Derivatives . . . . . . . . . . . . . . . . . . . 116
4.8 Sobolev Spaces H k (Q) . . . . . . . . . . . . . . . . . . . 119
4.9 Traces of Functions From H k (Q) . . . . . . . . . . . . . . 121
4.10 Equivalent Norms in Spaces H 1 (Q)
and H01 (Q) . . . . . . . . . . . . . . . . . . . . . . . . . 124
4.10.1. Integration by Parts for Functions in H 1 (Q) . . . . 124
4.10.2. Equivalent Norms . . . . . . . . . . . . . . . . . 125
4.10.3. Representation of Functions via Integrals . . . . . 128
Contents vii
4.11 Sobolev Embedding Theorem . . . . . . . . . . . . . . . 136
5 Elliptic PDEs 139

5.1 Weak Solution of a Boundary Value Problem for an Elliptic
Equation in the Simplest Case . . . . . . . . . . . . . . . 139
5.1.1. The Riesz Representation Theorem . . . . . . . . 139
5.1.2. Weak Solution . . . . . . . . . . . . . . . . . . . 139
5.2 Dirichlet Boundary Value Problem for a
General Elliptic Equation . . . . . . . . . . . . . . . . . . 142
5.2.1. Equation with a Compact Operator . . . . . . . . . 142
5.2.2. Fredholm’s Theorems . . . . . . . . . . . . . . . 146
5.3 Volterra Integral Equation and Gronwall’s
Inequalities . . . . . . . . . . . . . . . . . . . . . . . . . 150
5.3.1. Volterra Integral Equation of the Second Kind . . . 150
5.3.2. Gronwall’s Inequalities . . . . . . . . . . . . . . . 152
6 Hyperbolic PDEs 155

6.1 Wave Equation: Energy Estimate and Domain of Influence 155
6.2 Energy Estimate for the Initial Boundary Value Problem
for a General Hyperbolic Equation . . . . . . . . . . . . . 159
7 Parabolic PDEs 167

7.1 Parabolic Equations . . . . . . . . . . . . . . . . . . . . . 167
7.1.1. Heat Equation . . . . . . . . . . . . . . . . . . . . 167
7.1.2. The Maximum Principle in the General Case . . . 170
7.1.3. A General Uniqueness Theorem . . . . . . . . . . 172
7.2 Construction of the Weak Solution of Problem (7.1.1)-(7.1.3)173
7.2.1. Weak Solution: Definition . . . . . . . . . . . . . 175
7.2.2. Existence of the Weak Solution . . . . . . . . . . 175
7.2.3. Continuation of the Proof of Theorem 7.2.1 . . . . 181
8 Introduction to Ill-Posed Problems 183

8.1 Some Definitions . . . . . . . . . . . . . . . . . . . . . . 183
8.2 Some Examples of Ill-Posed Problems . . . . . . . . . . . 185
8.3 The Foundational Theorem of A. N. Tikhonov [8] . . . . . 190
8.4 Classical Correctness and Conditional
Correctness . . . . . . . . . . . . . . . . . . . . . . . . . 192
8.5 Quasi-Solution . . . . . . . . . . . . . . . . . . . . . . . 195
viii Contents
8.6 Regularization . . . . . . . . . . . . . . . . . . . . . . . . 198

8.7 The Tikhonov Regularization Functional . . . . . . . . . . 202
8.7.1. The Tikhonov Functional . . . . . . . . . . . . . . 202
8.7.2. Approximating the Exact Solution x∗ . . . . . . . 204
8.7.3. Regularized Solution and Accuracy Estimate in a
Finite Dimensional Space . . . . . . . . . . . . . 207
9 Finite Difference Method 211

9.1 Finite Difference (FD) Methods for
One-Dimensional Problems . . . . . . . . . . . . . . . . . 211
9.1.1. A Simple Example of a FD Method . . . . . . . . 211
9.1.2. Fundamentals of FD Methods . . . . . . . . . . . 213
9.1.3. Deriving FD Formulas Using the Method
of Undetermined Coefficients . . . . . . . . . . . 215
9.1.4. Consistency, Stability, Convergence and Error
Estimates of FD Methods . . . . . . . . . . . . . 217
9.1.5. FD Methods for Elliptic Equations . . . . . . . . . 222
9.1.6. The Ghost Point Method for Boundary Conditions
Involving Derivatives . . . . . . . . . . . . . . . . 225
9.1.7. The Grid Refinement Analysis Technique . . . . . 226
9.2 Finite Difference Methods for 2D Elliptic PDEs . . . . . . 228
9.2.1. Boundary and Compatibility Conditions . . . . . . 229
9.2.2. The Central FD Method for Poisson Equations . . 230
9.2.3. The Maximum Principle and Error Analysis . . . . 234
9.2.4. Finite Difference Methods for General 2nd Order
Elliptic PDEs . . . . . . . . . . . . . . . . . . . . 238
9.2.5. Solving the Resulting Linear System of Algebraic
Equations . . . . . . . . . . . . . . . . . . . . . . 240
9.2.6. A Fourth-Order Compact FD Scheme for
Poisson Equations . . . . . . . . . . . . . . . . . 244
9.3 Finite Difference Methods for Linear Parabolic PDEs . . . 246
9.3.1. The Euler Methods . . . . . . . . . . . . . . . . . 248
9.3.2. The Method of Lines (MOL) . . . . . . . . . . . . 250
9.3.3. The Crank-Nicolson Scheme . . . . . . . . . . . . 251
9.3.4. Stability Analysis for Time-Dependent Problems . 253
9.3.5. FD Methods and Analysis for 2D
Parabolic Equations . . . . . . . . . . . . . . . . 260
Contents ix
9.3.6. The Alternating Directional Implicit (ADI) Method 262

9.3.7. An Implicit-Explicit Method for Diffusion
and Advection Equations . . . . . . . . . . . . . . 265
9.4 Finite Difference Methods for Linear
Hyperbolic PDEs . . . . . . . . . . . . . . . . . . . . . . 265
9.4.1. FD Methods . . . . . . . . . . . . . . . . . . . . 267
9.4.2. Modified PDEs and Numerical Diffusion/Dispersion 270
9.4.3. The Lax-Wendroff Scheme . . . . . . . . . . . . . 271
9.4.4. Numerical Boundary Conditions (NBC) . . . . . . 273
9.4.5. FD Methods for Second Order Linear Hyperbolic
PDEs . . . . . . . . . . . . . . . . . . . . . . . . 273
9.4.6. Some Commonly Used FD Methods for a Linear
System of Hyperbolic PDE . . . . . . . . . . . . . 278
10 Finite Element Method 279

10.1 Finite Element Methods for 1D Elliptic
Problems . . . . . . . . . . . . . . . . . . . . . . . . . . 279
10.1.1. An Example of the Finite Element for a Model
Problem . . . . . . . . . . . . . . . . . . . . . . . 279
10.1.2. Finite Element Methods for One Dimensional
Elliptic Equations . . . . . . . . . . . . . . . . . . 282
10.1.3. Finite Element Method for the 1D Model Problem:
Method and Programming . . . . . . . . . . . . . 286
10.1.4. FEM Programming for 1D Problem . . . . . . . . 289
10.2 Theoretical Foundations of the Finite Element Method . . 294
10.2.1. FE Analysis for the 1D Model Problem . . . . . . 294
10.2.2. Error Analysis for the FE Method . . . . . . . . . 299
10.3 Issues of the Finite Element Method in 1D . . . . . . . . . 304
10.3.1. Boundary Conditions . . . . . . . . . . . . . . . . 304
10.3.2. The FE Method for Sturm-Liouville Problems . . . 308
10.3.3. High Order Elements . . . . . . . . . . . . . . . . 310
10.3.4. The Lax-Milgram Lemma and the Existence
of FE Solutions . . . . . . . . . . . . . . . . . . . 313
10.4 Finite Element Methods for 2D Problems . . . . . . . . . 321
10.4.1. The Second Green’s Theorem and Integration by
Parts in 2D . . . . . . . . . . . . . . . . . . . . . 321
10.4.2. Triangulation and Basis Functions . . . . . . . . . 325
x Contents
10.4.3. Transforms, Shape Functions and Quadrature

Formulas . . . . . . . . . . . . . . . . . . . . . . 334
10.4.4. Quadrature Formulas . . . . . . . . . . . . . . . . 335
10.4.5. Simplification of the FE Method for Poisson
Equations . . . . . . . . . . . . . . . . . . . . . . 335
11 Conclusion 339
References 341
Author Contact Information 343
Index 345
Preface
The laws of nature are written in the language of partial differential equa-
tions. Therefore, these equations arise as models in virtually all branches
of science and technology. Our goal in this book is to help you to under-
stand with this vast subject is about. The book is an introduction to the
field suitable for senior undergraduate and junior graduate students.
Introductory courses in partial differential equations (PDEs) are given
all over the world in various forms. The traditional approach to the sub-
ject is to introduce a number of analytical techniques, enabling the stu-
dent to derive exact solutions of some simplified problems. Students who
learn about computational techniques on other courses subsequently real-
ize scope of partial differential equations beyond paper and pencil.
Our book is significantly different from the existing ones. We introduce
both analytical theory, including the theory of classical solutions and that
of weak solutions, and an introductory techniques of the ill-posed problems
with reference to weak solutions. Besides, since computational techniques
are commonly available and are currently used in all practical applications
of partial differential equations, we incorporate classical finite difference
methods and finite element methods in our book.
The following four topics are discussed in this textbook:
1. Part 1: For important PDEs whose solutions have explicit formulas

in certain circumstances, we generally introduce the theory of the
explicit formulas for certain linear PDEs.
2. Part 2: Instead of searching for explicit functions, the theory of

existence of weak solutions for PDEs based on functional analysis
and energy estimates in Sobolev space is presented in detail.
xii Michael V. Klibanov and Jingzhi Li
3. Part 3: The third part is concerned with the introduction of the the-
ory of ill-posed problems,
4. Part 4: The final part is devoted to the two commonly used numer-
ical methods for PDEs, namely the finite difference method and the
finite element method.
Acknowledgments
Michael Victor Klibanov was supported by two US Army Research Lab-

oratory and US Army Research Office grants W911NF-15-1-0233 and
W911NF-19-1-0044. M. V. Klibanov heartly appreciates the support and
understanding of Doctor Joseph D. Myers, a Program Manager of The US
Army Research Office.
Jingzhi Li was supported by the NSF of China No. 11971221,
Shenzhen Sci-Tech Fund No. RCJC20200714114556020,
JCYJ20200109115422828 and JCYJ20190809150413261, Guangdong
NSF Major Fund No. 2021ZDZX1001.
Chapter 1
Introduction
Different from other textbooks which have either the theory of classical
solutions or the theory of weak solutions, this PDE textbook has both. We
should say with reference to weak solutions that we give only introductory
courses of weak solutions and ill-posed problems.
Now, other textbooks rarely have finite difference methods (FDM) and
finite element methods (FEM), that is, the PDE theory is not combined in
them with FEM and FEM. But both FDM and FEM are very important
for computations. Finally, other textbooks do not combine the PDE theory
with an introductory course in the theory of ill-posed problems.
We now list three main parts of this textbook.
Part I: Representation formulas for solutions

Here we identify those important PDEs for which in certain circum-
stances explicit or fairly explicit formulas can be obtained for the solution.
The general drift of the theory is here from quite explicit formulas for cer-
tain linear PDEs to far less explicit formulas for nonlinear PDEs.
Part II: Weak/generalized solutions of PDEs with variable coefficients

Next we abandon the search for explicit functions and instead rely
on functional analysis and relatively easy “energy estimates” in Sobolev
spaces to prove the existence of weak solutions to various kinds of linear
PDEs. We investigate also the regularity of solutions, and deduce various
other properties. Some mathematicians label these “weak solutions” and
some others label them as “generalized solutions”.
2 Michael V. Klibanov and Jingzhi Li
Part III. Beginning of the theory of ill-posed problems

This part is close to the research interests of both authors, who study
coefficient inverse problems for PDEs [4]. We take this part from the book
[1]. An interested reader might also read the book [10] of the founder of
the theory of ill-posed problems Andrey N. Tikhonov with coauthors.
Part IV. FDM/FEM for PDEs

The final part is devoted to the introduction of two numerical methods
for PDEs, namely the finite difference method (FDM) and the finite ele-
ment method (FEM). We explain in detail the recipes and procedures of the
FDM/FEM for the implementation and solution of the elliptic, parabolic
and hyperbolic PDEs, respectively, in one- and two-dimensions.
This textbook can be considered as an introduction to a rich and well

developed theory of Partial Differential Equations. Interested readers can
also read more complicated books [1, 2, 3, 4, 5, 6, 9] on this subject.
1.1 Terminology and Notation

Definition. A partial differential equation (PDE) is an equation involving
an unknown function of two or more variables and certain of its partial
derivatives.
Topological Notation
(i) Rn = n dimensional real Euclidean space, R = R1 .
(ii) ei = (0, · · · , 0, 1, · · · , 0) = ith standard coordinate vector.
(iii) A typical point x ∈ Rn is written

n
x = (x1 , · · · , xn ) = ∑ xi ei .
i=1
(iv) A typical point in Rn+1 will often be written as (x,t) = (x1 , · · · , xn ,t),
where (t = xn+1 = time).
(v) Q denotes an open subset of Rn .

Introduction 3
(vi) ∂Q = boundary of Q.
(vii) Q = Q ∪ ∂Q = closure of Q.
(viii) Q(x, r) = {y ∈ Rn ||x − y| < r} = open ball in Rn with center x and

radius r > 0.
(ix) B(x, r) = Q(x, r) = closed ball with center x, radius r.
πn/2
(x) a(n) = volume of unit ball in Rn = .
Γ( n2 + 1)
(xi) na(n) = surface area of unit sphere ∂B(0, 1) in Rn .
Functional Notation
(i) If u : Q → R, we write
u(x) = u(x1 , · · · , xn ) (x ∈ Q).
(ii) If u : Q → Rm , we write
u(x) = (u1 (x), · · · , um(x)) = (u1 (x1 , · · · , xn ), · · · , um(x1 , · · · , xn )) (x ∈ Q).
The function uk is called the kth component of u.

R
(iii) −E u dµ = average of u over the set E with respect to the measure µ
1
Z Z
− u dµ = u dµ (µ(E) 6= 0).
E µ(E) E
Thus, in particular,
1
Z Z
− f dy = f dy
B(x,r) a(n)rn B(x,r)
and
1
Z Z
− f dS = f dS .
∂B(x,r) na(n)rn−1 ∂B(x,r)
Differential Notation
Assume u : Q → R, x ∈ Q.
∂u u(x + hei ) − u(x)

(i) (x) = lim , provided this limit exists.
∂xi h→0 h
∂u
(ii) We usually write ux1 for .
∂x1
∂2 u(x) 3
(iii) Similarly, = uxix j (x), ∂x∂i ∂xu(x)
j ∂xk
= uxi x j xk (x), etc.
∂xi ∂x j
(iv) Multi-index notation.
(a) A vector of the form α = (α1 , · · · , αn ), where each com-
ponent αi is a non-negative integer, is called a multi-index, of
order
|α| = α1 + · · · + αn .
(b) Given a multi-index α, define
∂|α| u(x)
Dα u(x) = .
∂xα1 1 , · · · , ∂xαn n
(c) If k is a non-negative integer,
Dk u(x) = {Dαu(x)||α| = k} = collection of all partial derivatives of order k.

1/2
k α 2
(d) |D u| = ∑|α|=k |D u| .
(e) Special cases.
If k = 1, we regard the elements of Du(x) as being ar-
ranged in a vector:
∂u ∂u
Du = ,··· , = gradient vector .
∂x1 ∂xn
Introduction 5
If k = 2, we regard the elements of D2 u(x) as being ar-

ranged in a matrix:
 2 
∂ u ∂2 u
 ∂x ∂x · · · ∂x ∂x 
 1 1 1 n
D u=
2 
·
= Hessian matrix .
··
 
 ∂2 u ∂ u 
2
···
∂xn ∂x1 ∂xn ∂xn n×n
For m > 1 and k = 1, we write

 
∂u1 ∂u1
 ∂x ···
 1 ∂xn 

Du =   = gradient matrix .
·

··
 ∂u m
∂u 
m
···
∂x1 ∂xn m×n
Remarks.
(i) We always assume that the function u has the property that the vari-
ous mixed partial derivatives at x are equal; thus uxix j = ux j xi , etc.
n
scalarvalued functions u, there are consequently dk = dk =
(ii) For
k+n−1 (k + n − 1)!
= different partial derivatives of order k.
n−1 k!(n − 1)!
Using the notation above we can now write out symbolically a typical
PDE. Fix an integer k ≥ 1.
Definition. A PDE of the form
F(Dk u(x), Dk−1u(x), · · · , Du(x), u(x), x) = 0 (x ∈ Q)
is called a kth order (scalar) PDE, where
F : Rdk × Rdk−1 × · · · × Rn × R × Q → R (1.1.1)
is given, and
u:Q→R
is the unknown.
We say we solve the PDE (1.1.1) if we find all functions u satisfying
(1.1.1), possibly only among those functions satisfying certain auxiliary
boundary conditions on some portion Γ of ∂Q. By finding the solution
we mean, ideally, obtaining simple, explicit formulas for the solutions, or,
failing that, deducing various properties of the solutions.
Definition.
(i) The PDE (1.1.1) is called linear if it has the form
∑ aα (x)Dαu = f (x) (1.1.2)

|α|≤k
for certain functions aα(|α| ≤ k) and f .
(ii) The PDE (1.1.1) is semilinear if it has the form
∑ aα (x)Dαu = f (Dk−1u, · · · , Du, u, x) . (1.1.3)

|α|=k
(iii) The PDE (1.1.1) is quasilinear if it has the form
∑ aα (Dk−1u, · · · , Du, u, x)Dαu = f (Dk−1u, · · · , Du, u, x) . (1.1.4)

|α|=k
(iv) The PDE (1.1.1) is fully nonlinear if it is not quasilinear.
1.2 Examples of Linear PDEs

There is no general theory concerning the solvability of all PDEs: indeed,
such is extremely unlikely existing, given the rich variety of physical, ge-
ometric, probabilistic phenomena, etc., which can be modeled by PDEs.
Instead research has focused on various specific types of PDEs which are
important for applications inside and outside of mathematics, with the hope
that insight from the origin of these PDEs can give clues to their solutions.
Following is a list of many specific PDEs of interest in current research.
Throughout x ∈ Q ⊂ Rn , t ≥ 0, Du = (ux1 , · · · , uxn ).
Introduction 7
1.2.1. Scalar PDEs

1. Linear Transport Equation
n
ut (x,t) + ∑ bi (x,t)uxi (x,t) = 0 .
i=1
Abbreviation:
ut + b · Du = 0 .
Here and afterwards in this section b = (b1 , · · · , bn ) : Q × [0, ∞) → Rn is a

given, possibly time dependent, vector field.
2. Liouville’s Equation
n
ut (x,t) − ∑ (bi(x,t)u(x,t))xi = 0 .
i=1
Abbreviation:
ut − div(bu) = 0 .
3. Laplace’s Equation
n
∑ ux x (x) = 0 .
i i
i=1
Abbreviation:
∆u = 0 .
4. Helmholtz’s Equation
∆u + λu = 0 .
5. Heat (or Diffusion) Equation
n
ut (x,t) − ∑ uxixi (x,t) = 0 .
i=1
Abbreviation:
ut − ∆u = 0 .
6. Kolmogorov’s Equation
n n
ut (x,t) − ∑ ai j (x,t)uxix j (x,t) + ∑ bi (x,t)uxi (x,t) = 0 .
i, j=1 i=1
Abbreviation:
ut − tr(AD2 u) + b · Du = 0 .
Here A = A(x,t) = [[ai j (x,t)]]n×n.

7. Fokker-Planck Equation
n n
ut (x,t) − ∑ (ai j(x,t)u(x,t))x x i j − ∑ (bi (x,t)u(x,t))xi = 0 .
i, j=1 i=1
Abbreviation:
ut − D2 (Au) − div(bu) = 0 .
8. Wave Equation
n
utt (x,t) − ∑ uxi xi (x,t) = 0 .
i=1
Abbreviation:
utt − ∆u = 0 .
Introduction 9
9. Wave Equation with Variable Coefficients
n n
utt (x,t) − ∑ ai j (x,t)uxix j (x,t) + ∑ bi (x,t)uxi (x,t) = 0 .
i, j=1 i=1
Abbreviation:
utt − tr(AD2 u) + b · Du = 0 .
10. Telegrapher Equation
utt + ut − uxx = 0 .
11. Biharmonic Equation
n
∆(∆u(x)) = ∑ ux x x x (x) = 0 .
i i j j
i, j=1
Abbreviation:
∆2 u = 0 .
12. Beam Equation
utt + uxxxx = 0 .
1.2.2. System of PDEs

1. Schrödinger Equation
iϕt = ∆ϕ .
This is a system if we consider the real and imaginary parts separately.

2. Maxwell’s Equations


 ∂E

 = curlB ,

 ∂t

 ∂B
= −curlE ,

 ∂t

 divB = 0 ,




divE = 0 .
3. Equilibrium Equations of Linear Elasticity
3
µ∆ui + (λ + µ) ∑ uxji x j = 0 (i = 1, 2, 3) .
j=1
4. Evolution Equations of Linear Elasticity
3
utti = µ∆ui + (λ + µ) ∑ uxji x j (i = 1, 2, 3) .
i=1
1.3 Strategies for Studying PDEs

As explained in Section 1.1 our goal is the discovery of ways to solve
PDEs of various sorts, but-as should now be clear in view of the many
diverse examples set forth in Section 1.2 - this is not an easy task. And
indeed the very question of what it means to “solve” a given PDE can be
subtle, depending in large part on the particular structure of the problem at
hand.
1.3.1. Well Posed Problems: Classical Solutions

The informal notion of a well posed problem captures many of the basic
ideas of what it means to solve a PDE. We say a PDE is well posed if
(a) it has a solution;
(b) this solution is unique; and

Introduction 11
(c) the solution depends continuously on the data given in the problem.
The last condition is particularly important for problems arising for

physics: we would like it if our (unique) solution changes only a little
when the conditions specifying the problem change a little.
Now clearly it would be desirable to “solve” PDE’s in such a way that
(a)-(c) hold. But notice that we still haven’t carefully defined what we
mean by a “solution”. Should we ask, for example, that a “solution” u
must be real analytic or at least infinitely differentiable? This would be
quite desirable, but perhaps we are asking too much. Maybe it would be
wiser to require a solution of a PDE of order k to be at least k times contin-
uously differentiable. Then at least all the derivatives which appear in the
statement of the PDE will exist and be continuous, although maybe certain
higher derivatives will not exist. Let us informally call a solution with this
much smoothness a classical solution of the PDE: this is certainly the most
obvious notion of solution.
And so by solving a PDE in a classical sense we mean if possible to
write down a formula for a classical solution satisfying (a)-(c) above or,
failing that, at least to show a solution exists and to deduce various of its
properties.
1.3.2. Weak Solutions and Regularity

But can we do this? The answer is that certain specific PDE (e.g. Laplace’s
equation) can be solved in the classical sense, but many, if not most, others
cannot. Consider for instance the scalar conservation law
ut + F(ux) = 0 . (1.3.1)
We will see in the following that this PDE governs various one-dimensional
phenomena involving fluid dynamics, and in particular models the forma-
tion and propagation of shock waves. Now by definition a shock wave is a
line of discontinuity of the solution u of (1.3.1); and so if we wish to study
conservation laws and recover the underlying physics we must allow for
solutions u which are not continuously differentiable or even continuous.
In general, as we will see, (1.3.1) has no classical solutions, but is well
posed if we allow for properly defined weak solutions.
This is all to say that we are forced by the structure of the particular
PDE to abandon the search for smooth, classical solutions; we must in-
stead, while still hoping to achieve the well posedness condition (a)-(c),
investigate a wider class of candidates for solutions. And in fact, even for
those PDEs which turn out to be classically solvable, it is often quite expe-
dient initially to search for some appropriate kind of weak solutions. The
point is this: if we from the outset demand that our “solutions” be very
smooth, say k-times continuously differentiable, then we are often going
to have a hard time finding them, as our proofs must then necessarily in-
clude possibly intricate demonstrations that the solutions we are building
are in fact smooth enough. A far more reasonable strategy is to consider
as separate the existence and the smoothness (or regularity) problems. The
idea is to define for a given PDE a reasonable wide notion of a weak so-
lution, in the anticipation that since we are not asking too much by way
of smoothness of this weak solution, it may be easier to establish its exis-
tence, uniqueness, and continuous dependence on the given data. Thus it
is often wise to aim at proving well posedness in some appropriate class of
weak solutions.
Now, as noted above, for various PDEs, for example, conservation
laws, this is the best that can be done. For other equations we can hope that
our weak solution may turn out after all to be smooth enough to qualify as
classical solutions; this is the question of regularity of weak solutions. As
we will see, it is often the case that the existence of weak solutions depends
upon often simple estimates plus ideas of functional analysis, whereas the
regularity of the weak solutions, when true, usually rests upon lots of intri-
cate calculus-type estimates.
1.3.3. Typical Difficulties

Following are some vague but general principles which may useful:
(1) Nonlinear PDEs are more difficult than linear PDEs; and, indeed,
the more the nonlinearity affects the higher derivatives, the more
difficult the PDE is.
The principal advantages of linearity are that
(a) complicated solutions can be built from the superposition of sim-
pler solutions, and
Introduction 13
(b) transform methods are available for constant coefficient linear

PDEs, which turn them into simple algebraic problems.
(2) Higher order PDEs are more difficult than lower order PDEs.
(3) Systems are harder than single equations.
(4) PDEs entailing many independent variable are harder than PDEs en-
tailing few independent variables.
(5) For most PDEs it is not possible to write out an explicit formula for
the solution.
None of these assertion is without important exceptions.
1.4 Generalized Functions

A generalized function is a generalization of the classical concept of a func-
tion. This generalization, on one hand, allows us to express in mathemati-
cal form idealized concepts such as, for instance, the density of a material
point, the strength of a point charge or dipole, the density of a simple or
double layer, the strength of an instantaneous point source, the intensity of
a force applied at a point, and so on. On the other hand, we find in the
concept of a generalized function a reflection of the fact that it is really
impossible, for instance, to measure the density of a material at a point; we
can only measure its average density in a sufficiently small neighborhood
of this point and call this the density at a given point. Roughly speaking, a
generalized function is defined by its “average values” in the neighborhood
of each point. The material of this section is taken from [11].
To clarify what has just been said, we shall examine in more detail
the question of the density created by a material point of mass 1. We shall
consider that this point coincides with the origin of the coordinates. We
shall denote this density by δ(x).
To define the density we shall distribute (or, as it is said, spread) the
unit mass uniformly inside the sphere Uε . As a result we shall obtain the
average density (
3
3 |x| < ε ,
f ε (x) = 4πε
0 |x| > ε .
We shall first take as the density δ(x) the point limit of the sequence of
average densities f ε (x), that is,

+∞ if x = 0 ,
δ(x) = lim f ε (x) = (1.4.1)
ε→0 0 if x = 6 0.
It is naturally required that the integral of the density δ over any volume
G should give the mass of this volume, that is,
(
1, if 0 ∈ G ,
Z
δ(x) dx =
G 0, if 0 ∈ G .
But, by virtue of (1.4.1), the left-hand side of this equation is always equal
to zero if the integral is taken to be improper. The contradiction here shows
that the point limit of the sequence f ε (x) as ε → 0 cannot be taken as the
density δ(x).
We shall now calculate the weak limit of the sequence of functions
f ε (x) as ε → 0, that is, for any continuous function ϕ we shall find the limit
of the numerical sequence f ε ϕ dx when ε → 0.
R
We show that Z
lim f ε (x)ϕ(x) dx = ϕ(0) .
ε→0
In fact, on account of the continuity of function ϕ(x) for any η > 0 there is
a ε0 > 0 such that |ϕ(x) − ϕ(0)| < η whenever |x| < ε0 . From this, for all
ε ≤ ε0 , we obtain
Z Z

f ε (x)ϕ(x) dx − ϕ(0) = 3
4πε3 |x|<ε [ϕ(x) − ϕ(0)] dx
3
Z
≤ |ϕ(x) − ϕ(0)| dx
4πε3 |x|<ε
3
Z
<η dx = η ,
4πε3 |x|<ε
as was to be shown.
In this way, the weak limit of the sequence of functions f ε (x) as ε → 0 is
the functional ϕ(0), assigning to each continuous function ϕ(x) the number
ϕ(0)-its value at the point x = 0. It is this functional which is taken as the
definition of the density δ(x), and this is the well-known Dirac δ function.
Introduction 15
So f ε (x) → δ(x) as ε → 0, in the sense that for any continuous function

ϕ(x) the limiting result
Z
f ε (x)ϕ(x) dx → (δ, ϕ), ε→0
is valid, where the symbol (δ, ϕ) denotes the number ϕ(0)-the value of the
functional δ acting on function ϕ.
To recover the complete mass, it is necessary to act with the functional
(density) δ(x) on the function ϕ(x) = 1, (δ, 1) = 1.
If the mass m is concentrated at the point x = 0, the corresponding
density must be considered equal to mδ(x). If mass m is concentrated at
the point x0 , its density is naturally considered equal to mδ (x − x0 ), where
(mδ(x −x0 ), ϕ) = mϕ (x0 ) . In general, if masses mk are concentrated at
different points xk , k = 1, 2, . . ., N, the corresponding density is equal to
N
∑ mk δ (x − xk ) ..
k=1
Chapter 2
Analytic Approaches to
Linear PDEs
2.1 Transport Equation with Constant Coefficients

Probably the simplest, but not completely trivial, PDE is the transport equa-
tion with constant coefficients. This is the PDE
ut (x,t) + b · Du(x,t) = 0 , (2.1.1)
where b is a fixed vector in Rn , b = (b1 , · · · , bn ). Here x = (x1 , · · · , xn ) ∈ Rn ,

t ∈ R.
Which functions u solve (2.1.1)? Let us suppose we are given is some
(sufficiently smooth) solution u and try to compute it. So fix any point
(x,t) ∈ Rn+1 and define
u(s) = u(x + sb,t + s), (s ∈ R) .
We compute

d
u̇(s) = Du(x + sb,t + s) · b + ut (x + sb,t + s) = 0, ˙=
ds
according to (2.1.1). Thus u(s) is a constant function of s and so for each
fixed point (x,t), u is constant on the line L through (x,t) with the direction
(b, 1) ∈ Rn+1. Hence if we know the value of u at some point on each such
line we know its value everywhere in Rn+1 .
2.1.1. Initial Value Problem

For definiteness, therefore, let us consider the initial value problem
(
ut + b · Du = 0 in Rn × (0, ∞)
(2.1.2)
u=g on Rn × {t = 0}.
Here g and b are known, and the problem is to compute u. Given (x,t) as
above, with t > 0, the line L through (x,t) with direction (b, 1) is repre-
sented parametrically by the equation
l(s) = (x + sb,t + s) (s ∈ R) .
This line hits the plane Γ = Rn × {t = 0} when s = −t, at the point (x −

tb, 0). Since u is the constant on L and u(x − tb, 0) = g(x − tb), we find
u(x,t) = g(x − tb) . (2.1.3)
So, if (2.1.2) has a sufficiently smooth solution, it is given by (2.1.3). And,

conversely, it is easy to check directly that if g is C1 , then u defined by
(2.1.3) is a solution of (2.1.2).
Remark 2.1.1. (i) Observe that our solution is just as good for times
t ≤ 0. The solution at time t is merely the solution at time 0 shifted
by an amount −tb.
(ii) If g is not C1 , then there is obviously no C1 solution of (2.1.2). But

even in this case formula (2.1.3) certainly provides a strong, and in
Analytic Approaches to Linear PDEs 19
fact the only reasonable, candidate for a solution of (2.1.2). We can

in fact define
u(x,t) = g(x − tb) (x ∈ Rn , t ≥ 0)
to be a weak solution of (2.1.2), even if g is not C1 . Note that this

makes sense even if g and thus u are discontinuous.
2.1.2. Non-Homogeneous Problem

Next let us consider the associated non-homogeneous problem
(
ut + b · Du = f in Rn × (0, ∞)
(2.1.4)
u=g on Rn × {t = 0}.
As before fix (x,t) ∈ Rn+1 and set u(s) = u(x + sb,t + s) for s ∈ R. Then
u̇(s) = Du(x + sb,t + s) · b + ut (x + sb,t + s)

= f (x + sb,t + s) .
Consequently
u(x,t) − g(x − bt) = u(0) − u(−t)

Z 0
= u̇(s) ds
−t
Z 0
= f (x + sb,t + s) ds
−t
Z t
= f (x + (s − t)b, s) ds ;
0
and so
Z t
u(x,t) = g(x − bt) + f (x + (s − t)b, s) ds
0
solves (2.1.4).
2.1.3. Initial Boundary Value Problem

Now let us consider an initial boundary value problem (IBVP). Let U ∈ Rn
denote a bounded open set, fix T > 0, and write
UT = U × (0, T ] .
Assume also that g : ∂UT → R is some given smooth function. We try
now to solve
(
ut + b · Du = 0 in UT
(2.1.5)
u=g on ∂UT .
However, we have seen that any sufficiently smooth solution of (2.1.5)
must be constant on the line L through (x,t) with parametric equation
l(s) = (x + sb,t + s) (s ∈ R) .
If (x,t) ∈ UT , the line L will hit ∂UT in at least 2 points, call them (x1 ,t1 ),
(x2 ,t2 ). Since u is constant on L, we must have g(x1 ,t1 ) = g(x2 ,t2 ). If g
does not satisfy this compatibility condition for all point (x,t) ∈ UT , the
PDE (2.1.5) will not have a solution in any reasonable sense.
Let us try to modify problem (2.1.5) so that it does have a solution for
any g. To do so we drop the requirement that we specify g on all of ∂UT
and instead just specify it on some part ΓT of ∂UT . For this, note that for
each point (x,t) ∈ UT , there exists a smallest time s < t at which the line L
through (x,t) hits ∂UT , at the point (y, s). Set
ΓT = {(y, s)| (x,t) ∈ UT } .
We can then specify g arbitrarily on ΓT and then define a correspond-
ing, possible weak, solution of ut +b·Du = 0 inside UT . Hence the problem
(
ut + b · Du = 0 in UT
(2.1.6)
u=g on ΓT .
has a unique solution in UT for all g.
Remark 2.1.2. Even if g is smooth, our solution of (2.1.6) need not neces-
sarily be continuous. The reason is that given two close points (x,t), (x,t)
in UT , the lines L, L through them may not intersect ΓT at nearby points
(y, s), (y, s).
2.2 Laplace’s Equation

The most important PDEs of all are undoubtedly Laplace’s equation
∆u(x) = 0 , (2.2.1)
and the related non-homogeneous Poisson’s equation
−∆u(x) = f (x). (2.2.2)
In both (2.2.1) and (2.2.2) x ∈ Q, the unknown is u : Q → R, where Q ⊂ Rn

is given; in (2.2.2) f : Q → R is also given. A C2 function u satisfying
(2.2.1) is called harmonic.
2.2.1. Fundamental Solution

One strategy for investigating any PDE is first to try to identify some ex-
plicit solutions and then, especially if the PDE is linear, to try to assemble
more complicated solutions out of the specific ones previously spotted.
Let us therefore try to find a solution u of (2.2.1) in Q = Rn of the form
u(x) = v(r) , (2.2.3)
where
r = |x| = (x21 + · · · + x2n )1/2
and v is to be selected (if possible) so that (2.2.1) is satisfied. First note

that for 1 ≤ i ≤ n
∂r 1 −1/2 xi
= x21 + · · · + x2n 2xi = (x 6= 0) . (2.2.4)
∂xi 2 r
we thus have
xi
uxi = v0 (r) ,
r
00 x2i 0 1 x2i
uxi xi = v (r) 2 + v (r) − 3 ,
r r r
and so
n
n−1
∆u = ∑ uxi xi = v00 (r) + v0 (r) .
i=1 r
Hence ∆u = 0 if and only if

n−1 0
v00 + v = 0. (2.2.5)
r
Set w = v0 . Then (2.2.5) becomes
1−n
w0 (r) = w(r) ,
r
which we solve by noting
1−n
[logw(r)]0 = ,
r
logw(r) = (1 − n) logr + a ,
and thus
b
w(r) = ,
rn−1
for appropriate constants a and b. Consequently if r 6= 0, we have

 c logr + d (n = 2)
v(r) = c
 +d (n > 2) ,
rn−2
where c and d are constants. These considerations motive the following.
Definition 2.2.1. The function



 1
 − log|x| (n = 2)
2π
Φ(x) = Φ(|x|) = 1 1 (2.2.6)


 (n ≥ 3) ,
n(n − 2)α(n) |x|n−2
defined for x 6= 0, is the fundamental solution of Laplace’s equation.

The reason for these particular choice of the constants c, d will be

apparent in a moment.
Remark 2.2.1. Note that

C
|DΦ(x)| ≤ (x 6= 0) (2.2.7)
|x|n−1
and
C
|D2 Φ(x)| ≤ (x 6= 0) (2.2.8)
|x|n
for appropriate constants C.
We observe from above that the function Φ(x) is harmonic for x 6= 0. If

we shift the origin to a point y, the PDE (2.2.1) is unchanged; and so Φ(x −
y) is also harmonic as a function of x. We now consider Laplace’s equation
(2.2.1) and note that by the above the mapping x → Φ(x − y) f (y) (x 6= y)
is harmonic for each y ∈ Rn , and thus so is the sum of finitely many such
functions build for different points y. Thus it suggests that the function
Z
u(x) = Φ(x − y) f (y) dy (x ∈ Rn ) (2.2.9)
Rn
will solve (2.2.1). This, however, is wrong: we cannot just compute

Z
∆u(x) = ∆x Φ(x − y) f (y) dy = 0 .
Rn
Indeed, as indicated by estimate (2.2.8), D2 Φ(x − y) is not integrable near

x = y, and so the differentiation under the integral sign above is unjustified
(and incorrect). We must proceed more carefully in calculating ∆u.
Let us for simplicity assume f ∈ C2 (Rn ).
Theorem 2.2.1. The function u defined by (2.2.9) belongs to C2 (Rn ) and

solves Poisson’s equation
−∆u = f in Rn .
Proof. 1. We have
Z Z
u(x) = Φ(x − y) f (y) dy = Φ(y) f (x − y) dy ;
Rn Rn
hence

u(x + hei ) − u(x) f (x + hei − y) − f (x − y)
Z
= Φ(y) dy .
h Rn h
But
f (x + hei − y) − f (x − y) ∂f
→ (x − y)
h ∂xi
uniformly on Rn , and thus
∂u ∂f
Z
(x) = Φ(y) (x − y) dy (i = 1, · · · , n) .
∂xi Rn ∂x
Similarly
∂2 u ∂2 f
Z
(x) = Φ(y) (x − y) dy (i, j = 1, · · · , n) . (2.2.10)
∂xi ∂x j Rn ∂xi ∂x j
As the expression on the right hand side of (2.2.10) is continuous in the
variable x, we see that u ∈ C2 (Rn ).
2. Fix ε > 0. Then
Z Z
∆u(x) = Φ(y)∆x f (x − y) dy + Φ(y)∆x f (x − y) dy
B(0,ε) Rn −B(0,ε)
= Iε + Jε . (2.2.11)
Now
(
2
Z Cε2 | logε| (n = 2)
|Iε | ≤ C||D f ||L∞ (Rn ) Φ(y) dy ≤ (2.2.12)
B(0,ε) Cε2 (n ≥ 3) ;
whereas an integration by parts yields
Z
Jε = Φ(y)∆y f (x − y) dy
Rn −B(0,ε)
∂f
Z Z
=− DΦ(y) · D f (x − y) dy + Φ(y) (x − y) ds
Rn −B(0,ε) ∂B(0,ε) ∂ν
(2.2.13)
= Kε + Lε ,
where ν denotes the inward pointing unit normal along ∂B(0, ε). We easily
check that
(
Cε| logε| (n = 2)
Z
|Lε | ≤ ||D f ||L∞(Rn ) Φ(y) ds ≤ (2.2.14)
∂B(0,ε) Cε (n ≥ 3) ;
We continue by integrating by parts once again in the term Kε to dis-

cover
∂Φ
Z Z
Kε = ∆Φ(y) f (x − y) dy − (y) f (x − y) ds
Rn −B(0,ε) ∂B(0,ε) ∂ν
∂Φ
Z
=− (y) f (x − y) ds .
∂B(0,ε) ∂ν
Now
−1 y
DΦ(y) =
nα(n) |y|n
−y
and ν = |y| = − yε on ∂B(0, ε). Consequently
∂Φ(y) 1
= ν · DΦ(y) =
∂ν nα(n)εn−1
on ∂B(0, ε). Thus

1
Z
Kε = − f (x − y) ds
nα(n)εn−1 ∂B(0,ε)
Z
= −− f (y) ds → − f (x) as ε → 0 . (2.2.15)
∂B(x,ε)
Combining now (2.2.11)-(2.2.15) and letting ε → 0, we find
−∆u(x) = f (x),
as desired.
Remark 2.2.2. We have actually assumed too much smoothness on f : The-

orem 2.2.1 holds if f is only Hölder continuous, but, interestingly, not if f
is not continuous.
Interpretation of fundamental solution. We sometimes write
−∆Φ = δ0 in Rn .
Here δ0 denoting the Dirac measure on Rn giving unit mass at the origin.
Adopting this notation, we may formally compute
Z
−∆u(x) = −∆x Φ(x − y) f (y) dy
n
ZR
= δx f (y) dy = f (x) (x ∈ Rn ) ,
Rn
in accordance with Theorem 2.2.1.
2.2.2. Mean Value Property

Assume Q ⊂ Rn is open.
Theorem 2.2.2. (Mean-value property for Laplace’s equation). If u ∈
C2 (Q) is harmonic, then
Z Z
u(x) = − u ds = − u dy (2.2.16)
∂B(x,r) B(x,r)
for each ball B(x, r) ⊂ Q.

Proof. 1. Set
Z Z
φ(r) = − u(y) ds(y) = − u(x + rz) ds(z) .
∂B(x,r) ∂B(0,1)
Then
Z
φ0 (r) = − Du(x + rz) · z ds(z) ,
∂B(0,1)
and consequently
y−x
Z
0
φ (r) = − Du(y) · ds(y)
∂B(x,r) r
∂u
Z
=− ds(y)
∂B(x,r) ∂ν
r
Z
= − ∆u(y) dy = 0 .
n B(x,r)
Hence φ is constant, and so

Z Z
− u ds = lim − u ds = u(x) .
∂B(x,r) s→0 ∂B(x,s)
2. Observe next that

Z Z r Z
u dy = u ds ds
B(x,r) 0 ∂B(x,s)
Z r
= u(x) nα(n)sn−1 ds = α(n)rnu(x) .
0
Theorem 2.2.3. (Converse to mean-value property). If u ∈ C2 (Q) satisfies

Z
u(x) = − u ds
∂B(x,r)
for each ball B(x, r) ⊂ Q, then u is harmonic.
Proof. If ∆u 6= 0, then there exists some ball B(x, r) ⊂ Q such that, say,
∆u > 0 on B(x, r). But then, for φ as above,
r
Z
0 = φ0 (r) = − ∆u(y) du > 0 ,
n B(x,r)
a contradiction.
2.2.3. Applications
Assume Q ⊂ Rn is open and bounded.
a. Strong Maximum Principle; Uniqueness

Theorem 2.2.4. (Strong maximum principle for Laplace’s equation).
Assume u ∈ C2 (Q) ∩C(Q) is harmonic in Q. Then
(i)
max u = max u .
Q ∂Q
Furthermore,
(ii) if Q is connected and there exists a point x0 ∈ Q such that
u(x0 ) = max u ,
Q
then u is constant on Q.
Remark 2.2.3. Replacing u by −u, we have also a similar assertion with

“min” replacing “max”.
Proof. Suppose there exists a point x0 ∈ Q, with
u(x0 ) = M = max u .
Q
Then for 0 < r < dist(x0 , ∂Q)

Z
M = u(x0 ) = − u dy ≤ M .
B(x0 ,r)
As equality holds only if u = M on B(x0 , r), we see that
u(y) = M for all y ∈ B(x, r) .
Hence the set {x ∈ Q| u(x) = M} is both open and relatively closed in

Q, and thus equals Q if Q is connected. This proves (ii), from which (i)
follows.
Theorem 2.2.5. (Uniqueness) Let g ∈ C(∂Q), f ∈ C(Q). Then there exists

at most one solution u ∈ C2 (Q) ∩C(Q) of the boundary value problem
(
−∆u = f in Q
(2.2.17)
u=g on ∂Q .
Proof. If u and v both satisfy (2.2.17), apply Theorem 2.2.4 to the har-
monic function ±(u − v).
b. Regularity
Theorem 2.2.6. If u ∈ C(Q) and satisfies the mean value property (2.2.16)
for each ball B(x, r), then
u ∈ C∞ (Q) .
Remark 2.2.4. In particular, if u ∈ C2 (Q) is harmonic, then u ∈ C∞ (Q).

Thus harmonic functions are infinitely differentiable.
Proof. Let η be a standard mollifier, and set
uε = η ε ∗ u
in Qε = {x ∈ Q| dist(x, ∂Q) ≥ ε}. It can be shown, uε ∈ Cε (Qε ).

But if x ∈ Qε , then
Z
uε (x) = ηε (x − y)u(y) dy
Q

1 |x − y|
Z
= n η u(y) dy
ε B(x,ε) ε

1 ε r
Z Z
= n η u ds dr
ε 0 ε ∂B(x,r)
Z ε
1 r
= n u(x) η nα(n)rn−1 dr
ε 0 ε
Z
= u(x) ηε dy = u(x) .
B(0,ε)
Thus uε = u in Qε , and so u ∈ C∞ (Qε ) for each ε > 0.
c. Estimates for Harmonic Functions

Theorem 2.2.7. There exists, for each integer k = 0, 1, · · ·, a constant Ck
such that
Ck
max |Dk u| ≤ ||u||L1(B(x,r)) (2.2.18)
B(x,r/2) rk+n
for all balls B(x, r/2) ⊂ B(x, r) ⊂ Q, and all harmonic functions u in Q.
Proof. 1. Let y ∈ B(x, r/2). Then

Z
u(y) = − u dz ,
B(y,r/4)
and so
C0
Z
max |u| ≤ |u| dz . (2.2.19)
B(x,r/2) rn B(x,r)
This is (2.2.18) for k = 0.

2. Assume, by induction, that (2.2.18) holds for a given integer k, all
harmonic functions u, and all balls as above. Choose a multi-index α, with
|α| = k + 1. Since ∆u = 0,
∆(Dαu) = 0 in Q .
We can write Dα u = (Dβ u)xi for some i ∈ {1, · · · , n}, |β| = k.

Thus if y ∈ B(x, r/2)
Z
α
D u(y) = − Dα u dy
B(y,r/4)
C
Z
= (Dβ u)yi dy
rn B(y,r/4)
C
Z
= − Dβ uνi ds .
r ∂B(y,r/4)
Now if z ∈ ∂B(y, r/4), then B(z, r/4) ⊂ B(x, r), and
C
|Dβ u(z)| ≤ ||u||L1(B(x,r)) ,
rk+n
by (2.2.18) for k. Thus
C
max |Dα u| ≤ ||u||L1 (B(x,r)) .
B(x,r/2) rk+1+n
This proves (2.2.18) for k + 1.

d. Liouville’s Theorem
Theorem 2.2.8. Suppose u : Rn → R is harmonic and bounded. Then u is
constant.
Proof. Fix x ∈ Rn , r > 0, and apply Theorem 2.2.7 on B(x, r):
C1
|Du(x)| ≤ ||u||L1(B(x,r))
rn+1
C
≤ ||u||L∞(Rn ) → 0 as r → ∞.
r
Thus Du = 0.
Corollary 2.2.1. Let f ∈ C2 (Rn ). Then any bounded solution of

−∆u = f in Rn
Rn Φ(x − y) f (y) dy +C
R
has the form u(x) = for some constant C.
e. Harnack’s Inequality
Theorem 2.2.9. For each connected open set V ⊂⊂ Q there exists a posi-
tive constant β, depending only on V , such that
β sup u ≤ inf u ,
V V
for all non-negative harmonic functions u in Q.

Proof. Let r = 41 dist(V, ∂Q). Choose x, y ∈ V , |x − y| ≤ r. Then
1
Z Z
u(x) = − u dz ≥ nrn
u dz
B(x,3r) α(n)3 B(y,r)
1 1
Z
= n− u dz = n u(y) .
3 B(y,r) 3
Thus sn u(y) ≥ u(x) ≥ 31n u(y) if x, y ∈ V , |x − y| ≤ r.
Since V is connected and V is compact, we can cover V by finitely
many balls {Bi }Ni=1 , each of which has radius r and has nonempty intersec-
tion with the union of the other balls. Then
1
u(x) ≥ nN u(y) = βu(y)
3
for all x, y ∈ V .
f. A Probabilistic Representation Formula for Harmonic Functions

We now outline how to obtain a probabilistic representation formula for a
solution of
(
∆u = 0 in Q
(2.2.20)
u=g on ∂Q .
We will use the n-dimensional Weiner process (or Brownian motion)

Wt (t ≥ 0) as the basic tool. We recall from probability theory that Wt (t ≥ 0)
is a stochastic process such that
(i) W0 = 0,
(ii) t → Wt is continuous a.s.,
(iii) Wt has independent increments.
Given a smooth, bounded domain Q ⊂ Rn and x ∈ Q, define the exit

time from Q:
τx = inf{t ≥ 0| x +Wt ∈ ∂Q} .
Note that this is a random variable. Now write
u(x) = E(g(x +Wτx )) . (2.2.21)

We claim u is a (and therefore the) solution of (2.2.20). First, if x ∈ ∂Q,

τx = 0; and so
u(x) = E(g(x)) = g(x) (x = ∂Q) . (2.2.22)
Now fix any r > 0 such that B(x, r) ⊂ Q. It is reasonable to expect
u(x) = E(u(x +Wθx )) , (2.2.23)
where
θx = inf{t ≥ 0| x +Wt ∈ ∂B(x, r)}
is the exit time from B(x, r). But since Wt is isotropic,

Z
E(g(x +Wτx )) = − u ds .
∂B(x,r)
Thus (2.2.23) says that u satisfies the mean-value property; whence, as-
suming u is continuous, Theorems 2.2.5 and 2.2.6 imply u is harmonic in
Q. This fact and (2.2.22) solves (2.2.20).
It turns out that the above argument can be made rigorous provided ∂Q
satisfies some very mild smoothness assumptions and g ∈ C(∂Q).
2.2.4. Green’s Function for Laplace’s Equation

a. Green’s Function for General Domain
Suppose that u ∈ C2 (Q) ∩ C1 (Q). Fix x ∈ Q, choose ε > 0 so small that
B(x, ε) ⊂ Q, and apply Green’s identity on the region Q0 = Q − B(x, ε) to
u(y) and Φ(x − y). We find
Z
u(y)∆Φ(x − y) − Φ(x − y)∆u(y) dy (2.2.24)
Q0
∂Φ ∂u
Z
= u(y) (x − y) − Φ(x − y) (y) ds(y) .
∂Q0 ∂ν ∂ν
Recall first that ∆Φ(x − y) = 0 for x 6= y. We observe also that

Z
∂u
n−1
∂B(x,ε) Φ(x − y) ∂ν (y) ds ≤ Cε ∂B(0,ε)
max Φ = O(1)
as ε → 0, whereas the calculations in the proof of Theorem 2.2.1 show

∂Φ ∂Φ
Z Z
u(y) (x − y) ds = u(x − y) (y) ds
∂B(x,ε) ∂ν ∂B(0,ε) ∂ν
Z
= −− u(x − y) ds → −u(x) as ε → 0.
∂B(0,ε)
Hence our sending ε → 0 in (2.2.24) yields Green’s representation for-

mula
∂u ∂Φ
Z Z
u(x) = Φ(x − y) (y) − u(y) (x − y) ds − Φ(x − y)∆u(y) dy .
∂Q ∂ν ∂ν Q
(2.2.25)
Observe that this expression is valid for any point x ∈ Q and any func-
tion u ∈ C2 (Q) ∩C1 (Q) (not necessarily the solution of a PDE).
Now suppose for the given point x ∈ Q, that the function φx (y) ∈
C2 (Q) ∩C1 (Q) solves the PDE
(
∆φx (y) = 0 (y ∈ Q) ,
x (2.2.26)
φ (y) = Φ(x − y) (y ∈ ∂Q) .
We apply Green’s identity once more to compute
∂φx ∂u
Z Z
− φx (y)∆u(y) dy = (y) − φx (y) (y) ds
u(y) (2.2.27)
Q ∂Q ∂ν ∂ν
∂φx ∂u
Z
= u(y) (y) − Φ(x − y) (y) ds .
∂Q ∂ν ∂ν
Define Green’s function for Q (with pole x) to be
G(x, y) = Φ(x − y) − φ x(y) (x, y ∈ Q, x 6= y) .
Then adding (2.2.27) to (2.2.25) we find
∂G
Z Z
u(x) = − u(y) (x, y) ds − G(x, y)∆u(y) dy (x ∈ Q) . (2.2.28)
∂Q ∂ν Q
This is another representation formula for a given function u ∈ C2 (Q) ∩

C1 (Q), although now information concerning ∂u∂ν on ∂Q is not required.
In order that formula (2.2.28) be useful we must acquire information
about Green’s function G(x, y). We start with the assertion that G is sym-
metric in the variables x and y.
Theorem 2.2.10. G(y, x) = G(x, y) for all x, y ∈ Q, x 6= y.

Proof. Fix x, y ∈ Q, x 6= y. Write
V (z) = G(x, z), W (z) = G(y, z) (z ∈ Q) .
Then ∆V (z) = 0 (z 6= x), ∆W (z) = 0 (z 6= y) and W = V = 0 on

∂Q. Thus our applying Green’s identity on Q0 = Q − [B(x, ε) ∪ B(y, ε)] for
sufficiently small ε > 0 yields
∂V ∂W ∂W ∂V
Z Z
W− V ds = V − W ds , (2.2.29)
∂B(x,ε) ∂ν ∂ν ∂B(y,ε) ∂ν ∂ν
ν denoting the inward pointing unit vector field on ∂B(x, ε) ∪ ∂B(y, ε). Now
W is smooth near x; whence
Z
∂W
n−1
sup |V | = O(1) as ε → 0 .
∂B(x,ε) V ∂ν ds ≤ Cε (2.2.30)
∂B(x,ε)
On the other hand, V (z) = Φ(x − z) − φx (z), where φx is smooth in Q. Thus

∂V ∂Φ
Z Z
lim W ds = lim (x − z)W (z) ds = −W (x) ,
ε→0 ∂B(x,ε) ∂ν ε→0 ∂B(x,ε) ∂ν
by calculations as in the proof of Theorem 2.2.1. Thus the left hand side of
(2.2.29) converges to −W (x) as ε → 0. Likewise the right hand converge
to −V (y). Consequently
G(y, x) = W (x) = V (y) = G(x, y) .
Suppose now that u ∈ C2 (Q) ∩C1 (Q) solves the boundary value prob-
lem
(
−∆u = f in Q
(2.2.31)
u = g on ∂Q .
Plugging into (2.2.28) we obtain this representation formula for the solu-
tion:
∂G
Z Z
u(x) = − g(y) (x, y) ds + f (y)G(x, y) dy .
∂Q ∂ν Q
Hence we have a formula for the solution of (2.2.31) provided we can

construct Green’s formula G for a given domain Q. This is in general a
fairly difficult matter, and is explicitly possible only when Q has simple
geometry. The next two subsections identify some special cases where an
explicit calculation of G is possible.
b. Green’s Function for the Unit Ball

We first introduce the Kelvin transform.
Definition 2.2.2. If x ∈ Rn − {0}, the point

x
x̃ =
|x|2
is called the point dual to x (or the inversion of x) with respect to ∂B(0, 1).
Remark 2.2.5. •
(i) Observe that x and x̃ are on the same line through the origin, |x||x̃| =
x · x̃ = 1, x̃ = x if |x| = 1.
(ii) We sometimes set 0̃ = ∞.
Definition 2.2.3. If u : Q → R, the Kelvin transform of u is the function

n−2 1 x
ũ(x) = |x̃| u(x̃) = n−2 u (x̃ ∈ Q) .
|x| |x|2
Theorem 2.2.11. If u is harmonic, so is its Kelvin transform ũ.
Proof. Note first that if f , g : Q → R, ∆( f g) = (∆ f )g + 2D f · Dg + f (∆g).

Thus

1 1 1
∆ũ = ∆ u( x̃) + 2D · D(u(x̃)) + n−2 ∆(u(x̃)) .
|x|n−2 |x|n−2 |x|
(2.2.32)
Now

1
∆ =0 (2.2.33)
|x|n−2
for x 6= 0, by the results in the above section. We further calculate that

1 xi
= (2 − n) n ; (2.2.34)
|x|n−2 xi |x|
n
x x xj
u
|x|2
= ∑ ux j
|x|2 |x|2
(2.2.35)
xi j=1 xi
n
x δi j 2xi x j
= ∑ ux j
|x|2 |x|2
−
|x|4
;
j=1
and
n n
x x δi j 2xix j x δi j 2xix j
u
|x|2
= ∑ ux j |x|2 2
−
|x|4
+ ∑ ux j
|x|2 |x|2
−
|x|4 xi
xi xi j=1 xi |x| j=1
n
x δik 2xixk δi j 2xix j
= ∑ u x j xk 2 2
− 4 2
− (2.2.36)
j,k=1 |x| |x| |x| |x| |x|4

n x −2δi j xi 2x j 2xi δi j 8x2i x j
+ ∑ ux j − 4− + .
j=1 |x|2 |x|4 |x| |x|4 |x|6
Plug (2.2.33) - (2.2.36) into (2.2.32). The term involving D2 u is

n
1 2xi xk 2xi x j
∑ ux j xk δik − |x|2 δi j − |x|2
|x|n+2 i, j,k=1
n
1 n
xi x j n
xk x j x2i
= n+2 ∑ uxixi − 4 ∑ uxix j 2 + 4 ∑ ux j xk
|x| i=1 i, j=1 |x| i, j,k=1 |x|4
1
= ∆u = 0 ,
|x|n+2
since u is harmonic. The term involving Du is

1 n 2xix j n 8x2 x j
∑ 2(2 − n)xiux j δi j − + ∑ ux j − 4δi j xi − 2x j + i 2 = 0.
|x|n+2 i, j=1 |x|2 i, j=1 |x|
We next employ the Kelvin transform to compute Green’s function for

Q = B(0, 1). Fix x ∈ Q. We must find a function φx (y) solving
(
∆φx (y) = 0 in Q
x (2.2.37)
φ (y) = Φ(x − y) on ∂Q ;
then
G(x, y) = Φ(x − y) − φx (y) . (2.2.38)
Now the mapping y → Φ(x − y) is harmonic for y 6= x. Thus its Kelvin
transform
1
y → n−2 Φ(x − ỹ)
|y|
is harmonic for y 6= x̃, y 6= 0. Furthermore if n ≥ 3,
1
lim Φ(x − ỹ) = lim |z|n−2Φ(x − z)
y→0 |y|n−2 z→∞
1
= = Φ(1) ;
n(n − 2)α(n)
and so
(
Φ(|y|(x − ỹ)) (y 6= 0)
φx (y) = (2.2.39)
Φ(1) (y = 0)
is harmonic in B(0, 1). Furthermore,
lim ỹ = y ;
|y|→1
consequently
φx (y) = Φ(x − y) (y ∈ ∂B(0, 1)) , (2.2.40)
as required.
For n = 2, the function y → Φ(x − ỹ) is harmonic in B(0, 1) − {0} and
therefore so is the mapping
−1
y → Φ(x − ỹ) − Φ(y) = log(|y|(x − ỹ)) = Φ(|y|(x − ỹ)) .
2π
In addition
y
lim log(|y|(x − ỹ)) = lim log(||y|x − |) = 0 = Φ(1) ;
y→0 y→0 |y|
so that formulas (2.2.39), (2.2.40) are valid for the case n = 2 as well.
Thus Green’s function for the unit ball B(0, 1) is
(
Φ(x − y) − Φ(|y|(x − ỹ)) y 6= 0
G(x, y) = (2.2.41)
Φ(x) − Φ(1) y = 0.
c. A Representation Formula for Harmonic Function on Balls:

Poisson’s Integral
Assume now u ∈ C2 (Q) ∩C(Q), for Q = B(0, 1), and u solves
(
∆u = 0 in B(0, 1)
(2.2.42)
u=g on ∂B(0, 1) .
Then by the results in Section 2.2.4.

∂G
Z
u(x) = − g(y) (x, y) ds(y) . (2.2.43)
∂B(0,1) ∂ν
According to formula (2.2.41),
∂G ∂Φ ∂
(x, y) = (|x − y|) − Φ(|y||x − ỹ|) .
∂yi ∂yi ∂yi
Now
∂Φ −1 yi − xi
(|x − y|) = ,
∂yi nα(n) |x − y|n
and furthermore

∂Φ −1 1 ∂ y
(|y||x − ỹ|) = |y|x −
∂yi nα(n) (|y||x − ỹ|)n−1 ∂yi |y|

1 ∂ 2 2
1/2
= |y| |x| − 2x · y + 1
(|y||x − ỹ|)n−1 ∂yi
−1 yi |x|2 − xi
= .
nα(n) |y||x − ỹ| n
Now if y ∈ ∂B(0, 1), ỹ = y, |y| = 1; and so

n
∂G ∂G
(x, y) = ∑ yi (x, y)
∂ν i=1 ∂yi
−1 1 n
= n ∑ yi (yi − xi ) − yi |x|2 + xi
nα(n) |x − y| i=1
−1 1 − |x|2
= .
nα(n) |x − y|n
Hence formula (2.2.43) yields the representation formula
1 − |x|2 g(y)
Z
u(x) = ds(y) .
nα(n) ∂B(0,1) |x − y|n
R
Notice that if x = 0, u(0) = −∂B(0,1) g ds, in agreement with the mean value
property.
Suppose now that instead of (2.2.42) u solves
(
∆u = 0 in B(0, r)
(2.2.44)
u=g on ∂B(0, r) .
Then u0 (x) = u(rx) solves (2.2.42), with g0 (x) = g(rx) replacing g. Hence
1 − |x|2 g(ry)
Z
u(rx) = ds(y) .
nα(n) ∂B(0,1) |x − y|n
We change variables to find

2
x
1 − Z
r g(y) ds(y)
u(x) = ,
nα(n) ∂B(0,r) x y n rn−1

r − r
and thereby obtain Poisson’s integral formula
r2 − |x|2 g(y)
Z
u(x) = n
ds(y) . (2.2.45)
nα(n)r ∂B(0,r) |x − y|
r2 − |x|2 1
K(x, y) = (x ∈ B(0, r), y ∈ ∂B(0, r))
nα(n)r |x − y|n
is called Poisson’s kernel for the ball B(0, r).
We have established the representation formula (2.2.45) under the as-

sumption that a solution of (2.2.44) exists. We next show the formula in
fact gives a solution.
Theorem 2.2.12. Assume g : ∂B(0, r) → R is continuous. Then
r2 − |x|2 g(y)
Z
(i) u(x) = n
ds(y) (x ∈ B(0, r))
nα(n)r ∂B(0,r) |x − y|
belongs to C∞ (B(0, r)),
(ii) ∆u = 0 in B(0, r) ,
and
(iii) lim u(x) = g(x0 ) for each x0 ∈ ∂B(0, r), x ∈ B(0, r) .

x→x0
Proof. 1. For each fixed y ∈ ∂B(0, r), the mappings x → G(x, y), and thus
x → ∂G
∂ν (x, y), are harmonic for x ∈ B(0, r). Hence
∂G
Z
u(x) = − g(y) (x, y) ds(y)
∂B(0,1) ∂ν
is harmonic in B(0, r).

2. Applying (2.2.45) with u = g = 1, we see that
Z
K(x, y) ds(y) = 1 for all x ∈ B(0, r) . (2.2.46)
∂B(0,r)
Fix x0 ∈ ∂B(0, r), ε > 0. Choose δ > 0 so small that
|g(y) − g(x0 )| < ε if |y − x0 | < δ, y ∈ ∂B(0, r) .
Then if |x − x0 | < δ/2, x ∈ B(0, r), we have

Z

|u(x) − g(x0)| = K(x, y)[g(y) − g(x0)] ds(y)
∂B(0,r)
Z
≤ K(x, y)|g(y) − g(x0)| ds(y)
∂B(0,r)∩{|y−x0 |<δ}
Z
+ K(x, y)|g(y) − g(x0)| ds(y)
∂B(0,r)∩{|y−x0 |≥δ}
r 2 − |x|2 1
Z Z
≤ε K(x, y) ds(y) + 2||g||L∞ ds(y) .
∂B(0,r) nα(n)r ∂B(0,r)∩|y−x0 |≥δ |x − y|n
Now if |x − x0 | < δ/2 and |y − x0 | ≥ δ,
δ ≤ |x − y| + |x − x0 | ≤ |x − y| + δ/2 ;
and so
n
1 2
≤ .
|x − y|n δ
Thus
n
r2 − |x|2 2
|u(x) − g(x0 )| ≤ ε +C rn−1 ;
r δ
and the last term is less than or equal to ε if |x − x0 | is small enough.
2.2.5. Energy Methods

Most of our analysis of harmonic functions thus far has depended upon
fairly explicit representation formulas entailing the fundamental solution,
Green’s functions, etc. In this concluding section we illustrate some “en-
ergy” methods, which is to say techniques involving the L2 -norms of vari-
ous expressions.
a. Uniqueness
Consider first the boundary-value problem
(
−∆u = f in Q
(2.2.47)
u=g on ∂Q .
We have already employed the maximum principle in Section 2.2.3. to

show uniqueness, but now set forth a simple alternative proof. Assume
Q is open, bounded, and ∂Q is C1 .
Theorem 2.2.13. (Uniqueness). There exists at most one solution u ∈
C2 (Q̄) of (2.2.47).
Proof. Assume ũ is another solution and set w := u − ũ. Then ∆w = 0 in
Q, and so an integration by parts shows
Z Z
0=− w∆w dx = |Dw|2 dx .
Q Q
Thus Dw ≡ 0 in Q, and, since w = 0 on ∂Q, we deduce w = u − ũ ≡ 0 in

Q.
b. Dirichlet’s Principle
Next let us demonstrate that a solution of the boundary-value problem
(2.2.47) for Poisson’s equation can be characterized as the minimizer of
an appropriate functional. For this, we define the energy functional
1
Z
I[w] = |Dw|2 − w f dx ,
Q 2
where w belonging to the admissible set

A = w ∈ C2 (Q̄) | w = g on ∂Q .
Theorem 2.2.14. (Dirichlet’s principle). Assume u ∈ C2 (Ū) solves
(2.2.47). Then
I[u] = min I[w] . (2.2.48)

w∈A
Conversely, if u ∈ A satisfies (2.2.48), then u solves the boundary-value

problem (2.2.47).
In other words if u ∈ A , the PDE −∆u = f is equivalent to the statement
that u minimizes the energy I[·].
The proof for this theorem can be found in Evans’ book [2].
2.3 Heat Equation

In this section we study the heat equation
ut (x,t) − ∆u(x,t) = 0 , (2.3.1)
and the non-homogeneous heat equation
ut (x,t) − ∆u(x,t) = f (x,t) , (2.3.2)
subject to appropriate initial and boundary conditions. Here x ∈ Q ⊂ Rn ,

t > 0.
A basic principle is that “any assertion about harmonic functions yields
an analogous (but more complicated) assertion about solutions of the heat
equation”. Accordingly our development will largely parallel to the corre-
sponding theory for Laplace’s equation.
2.3.1. Fundamental Solution: Duhamel Principle

As noted in Section 2.2.1. an important first step studying any PDE is often
to find some specific solutions. We observe that the heat equation involves
one t-derivative, but two derivatives with respect to the xi (i = 1, · · · , n).
Consequently we see that if u solves (2.3.1), then so does
v(x,t) = u(λx, λ2 t) (λ ∈ R) .
2
This indicates that the ratio rt is important for the heat equation and sug-
gests that we search for a solution of (2.3.1) of the form
2 2
r |x|
u(x,t) = v =v (t > 0, x ∈ Rn ) ,
t t
for some function v as yet undetermined. It turns that although this ap-
proach eventually leads to what we want, it is quicker to try a slightly more
complicated form initially, say
2 2
r |x|
u(x,t) = w(t)v = w(t)v (t > 0, x ∈ Rn ) , (2.3.3)
t t
for certain functions v and w to be determined. We then compute

2 2 2
0 r 0 r r
ut = w (t)v − w(t)v ,
t t t2
r2 2xi
uxi = w(t)v0( ) ,
t t
and
2
00 r2 4x2i 0 r 2
uxi xi = w(t)v 2
+ w(t)v (i = 1, · · · , n) .
t t t t
Thus
2 2 2 2 2 2
r r r 00 r 4r 0 r 2n
ut − ∆u = w0 (t)v − w(t)v0 2
− w(t)v 2
− w(t)v ;
t t t t t t t
(2.3.4)
so that u solves (2.3.1) if we can choose v and w satisfying

2 2 2 2
r w(t) 00 r2 4r2 r r r
w0 (t)v − v + v0 + v0 2n = 0 .
t t t t t t t
(2.3.5)
Let us select
z
v(z) = e− 4 . (2.3.6)
Then 4v00 (z) + v0(z) = 0, and the first two terms inside the square brackets
in (2.3.5) cancel. Consequently (2.3.5) reduces to
w(t) n
w0 (t) + = 0,
t 2
a solution of which is
w(t) = t −n/2 . (2.3.7)
Combining (2.3.3), (2.3.6) and (2.3.7) we find that
1 |x|2
n/2
e− 4t
t
and, more generally,
a |x|2
n/2
e− 4t +b
t
are solutions of (2.3.1) for arbitrary constants a, b.


 1 − |x|4t
2
e (x ∈ Rn , t > 0)
Φ(x,t) = (4πt)n/2

0 (x ∈ Rn , t ≤ 0)
is called the fundamental solution of the heat equation.

1
Why did we choose the constants a = (4π)n/2
, b=0?
Proposition 2.3.1. For each t > 0,

Z
Φ(x,t) dx = 1 .
Rn
Proof.
1 2
Z Z
− |x|4t
Φ(x,t) dx = e dx
Rn (4πt)n/2 Rn
1
Z
2
= n/2 e−|z| dz
π R n
Z ∞
1 n 2
= n/2 Πi=1 e−zi dzi = 1 .
π −∞
We now employ Φ to get a representation formula for a solution to the

initial value (or Cauchy) problem
(
ut − ∆u = 0 in Rn × (0, ∞)
(2.3.8)
u=g in Rn × {t = 0} .
To find a solution we note that Φ(x,t) solves the heat equation and thus
so does Φ(x − y,t) for each fixed y ∈ Rn . This suggests that
Z
u(x,t) = Φ(x − y,t)g(y) dy (2.3.9)
Rn
may also be a solution.
Theorem 2.3.2. Assume g is bounded and continuous. Then
(i) the function u defined by (2.3.9) belongs to
C∞ (Rn × (0, ∞)) ∩C(Rn × [0, ∞))
(ii) ut (x,t) − ∆u(x,t) = 0 (x ∈ Rn , t > 0)
(iii) u(x, 0) = g(x) (x ∈ Rn ).

|x|
1 − 4t
Proof. 1. Since the function t n/2 e is C∞ , with uniformly bounded
n
derivatives of all orders on R × [δ, ∞) for each δ > 0, we see that u ∈
C∞ (Rn × (0, ∞)). Furthermore,
Z
ut (x,t) − ∆u(x,t) = (Φt − ∆x Φ)(x − y,t)g(y) dy = 0 (x ∈ Rn , t > 0) .
Rn
(2.3.10)
2. Fix x ∈ Rn , ε > 0. Choose δ > 0 such that
|x − y| < 2δ implies |g(x) − g(y)| < ε . (2.3.11)
Then if |z − x| < δ, we have, using Proposition 2.3.1,

Z

|u(z,t) − g(x)| = Φ(z − y,t)[g(y) − g(x)] dy
Rn
Z
≤ Φ(z − y,t)|g(y) − g(x)| dy
B(z,δ)
Z
+ Φ(z − y,t)|g(y) − g(x)| dy
Rn −B(z,δ)
= I +J .
Now
Z Z
I≤ Φ(z − y,t)|g(y) − g(x)| dy ≤ ε Φ(z − y,t) dy = ε
B(x,2δ) Rn
by (2.3.11) and Proposition 2.3.1; whereas
C |z−y|2
Z Z
J ≤ 2||g||L∞ Φ(z − y,t) dy ≤ e− 4t dy
Rn −B(z,δ) t n/2 Rn −B(z,δ)
Z ∞
C r2
≤ e− 4t rn−1 dr → 0 as t → 0+ .
t n/2 δ
Thus if |z − y| < δ and t > 0 is small enough
|u(z,t) − g(x)| < 2ε .
Hence u ∈ C(Rn × [0, ∞)) and u(x, 0) = g(x).

Now let us consider the non-homogeneous initial value problem

(
ut − ∆u = f in Rn × (0, ∞)
(2.3.12)
u=0 on Rn × {t = 0} .
How can we find a representation formula for the solution? If we recall

the motivation leading up to (2.3.9), we should note that not only Φ(x −
y,t), but also Φ(x − y,t − s) are solutions of the heat equation (for y ∈
Rn , 0 < s < t). Now for fixed s,
Z
u(x,t; s) = Φ(x − y,t − s) f (y, s) dy
Rn
solves
(
ut (x,t; s) − ∆u(x,t; s) = 0 (x ∈ Rn , t > s) ,
(2.3.13)
u(x, s; s) = f (x, s) (x ∈ R) ,
which is just a problem of the form (2.3.8) with the initial time t = 0 re-
placed by t = s. This is certainly not a solution of (2.3.13).
However Duhamel principle says that we can build a solution of
(2.3.12) out of solutions of (2.3.13) by integrating with respect to s; that is,
we should try
Z t Z tZ
u(x,t) = u(x,t; s) ds = Φ(x − y,t − s) f (y, s) dy ds . (2.3.14)
0 0 Rn
Theorem 2.3.3. Assume f ∈ C2,1 (Rn × [0, ∞)). Then
(i) the function u defined by (2.3.14) belongs to
C∞ (Rn × (0, ∞)) with D2 u, ut ∈ C(Rn × [0, ∞))
(ii) ut (x,t) − ∆u(x,t) = f (x,t) (x ∈ Rn , t > 0), and
(iii) u(x, 0) = 0 (x ∈ Rn ).
Proof. Since Φ(x,t) has a singularity at x = 0, t = 0, we cannot directly

justify differentiating under the integral sign. We instead proceed as in the
proof of Theorem 2.2.1 in Section 2.2.1..
First we change variables to write

Z tZ
u(x,t) = Φ(y, s) f (x − y,t − s) dy ds .
0 Rn
As f ∈ C2 (Rn × [0, ∞)) is smooth near s = t, we compute

Z tZ Z
ut (x,t) = Φ(y, s) ft (x − y,t − s) dy ds + Φ(y,t) f (x − y, 0) dy
0 Rn Rn
and
Z tZ
D2 u(x,t) = Φ(y, s)D2x f (x − y,t − s) dy ds .
0 Rn
Thus ut , D2 u ∈ C(Rn × (0, ∞)), and we can calculate

Z tZ
∂
ut (x,t) − ∆u(x,t) = Φ(y, s) − ∆x f (x − y,t − s) dy ds
0 Rn ∂t
Z
+ Φ(y,t) f (x − y, 0) dy
Rn
Z tZ
∂
= Φ(y, s) − ∆y f (x − y,t − s) dy ds (2.3.15)
ε Rn ∂s
Z εZ
∂
+ Φ(y, s) − ∆y f (x − y,t − s) dy ds
0 Rn ∂s
Z
+ Φ(y,t) f (x − y, 0) dy
Rn
= Iε + Jε + K .
Now by Proposition 2.3.1, we have
2
Z ε Z
|Jε | ≤ || ft ||L∞ + ||D f ||L∞ Φ(y, s) dy ds ≤ εC . (2.3.16)
0 Rn
Integrating by parts, we also find

Z tZ
∂
Iε = − ∆y Φ(y, s) f (x − y,t − s) dy ds
ε Rn ∂s
Z Z
+ Φ(y, ε) f (x − y,t − ε) dy − Φ(y,t) f (x − y, 0) dy (2.3.17)
Rn Rn
Z
= Φ(y, ε) f (x − y,t − ε) dy − K ,
Rn
since Φ solves the heat equation. Combining (2.3.15)-(2.3.17) we see that

Z
ut (x,t) − ∆u(x,t) = lim Φ(y, ε) f (x − y,t − ε) dy = f (x,t) (x ∈ Rn , t > 0) ,
ε→0 Rn
the limit as ε → 0 being computed as in the proof of Theorem 2.3.2. Finally

note that
|u(x,t)| ≤ || f ||L∞
uniformly as t → 0+.
Remark 2.3.1. We can of course combine Theorems 2.3.2 and 2.3.3 to

discover that
Z Z tZ
u(x,t) = Φ(x − y,t)g(y) dy + Φ(x − y,t − s) f (y, s) dy ds
Rn 0 Rn
(2.3.18)
is, under the hypotheses on g and f as above, a solution of
(
ut − ∆u = f in Rn × (0, ∞) ,
(2.3.19)
u=g on Rn × {t = 0} .
Interpretation of fundamental solution. In view of Theorem 2.3.3 we

sometimes write
(
Φt − ∆Φ = 0 in Rn × (0, ∞)
Φ = δ0 on Rn × {t = 0} ,
where δ0 denoting the Dirac measure on Rn giving unit mass to the point
0.
2.3.2. The Mean Value Property

We next want to discuss an analogue of the mean-value property for har-
monic functions discussed in Section 2.2.2.. There is generally no such
simple formula. However let us note that, for fixed x, the boundaries of
the balls B(x, r) are level sets of the fundamental solution Φ(x − y) for
Laplace’s equation. This suggests that perhaps that, for fixed (x,t), the
level sets of fundamental solution Φ(x − y,t − s) may be relevant.
Definition 2.3.2. Fix x ∈ Rn , t ∈ R, r > 0. We define

1
E(x,t; r) = (y, s) ∈ Rn+1 | Φ(x − y,t − s) ≥ .
(4π)n/2 rn
Remark 2.3.2. If s ≤ t, then
1 (x−y)2 1
− 4(t−s)
Φ(x − y,t − s) = e ≥ ,
(4π(t − s)) n/2 (4πr2 )n/2
provided
2
n/2
− (x−y) (t − s)
e 4(t−s) ≥ ;
r2
in which case

|x − y|2 n t −s
− ≥ log ,
4(t − s) 2 r2

2 t −s
|x − y| ≤ −2n(t − s) log .
r2
Thus
E(x,t; r) = {(y, s)| t − r2 < s < t, |x − y| ≤ Rr (s)} (2.3.20)
for
1/2
t −s
Rr (s) = − 2n(t − s) log (t − r2 < s < t) . (2.3.21)
r2
Note that Rr (s) is the radius of the spherical cross section of E(x,t; r)
at t − r2 < s < t.
Theorem 2.3.4. (Mean-value property for heat equation) Let u ∈ C2 (QT )

solve the heat equation. Then
1 |x − y|2
ZZ
u(x,t) = n+2 n/2 n u(y, s) dy ds (2.3.22)
2 π r E(x,t;r) (t − s)2
for all E(x,t; r) ⊂ QT .

|x − y|2
ZZ
Remark 2.3.3. Let us write u(x,t) = u(y, s) dy ds as an
E(x,t;r) (t − s)2
abbreviation of (2.3.22).
Proof. We may as well assume x = 0, t = 0, and write E(r) = E(0, 0; r).

Set
1 |y|2
ZZ
φ(r) = u(y, s) dy ds
rn E(r) s2
1 |y|2
ZZ
= n u(y, s) 2 dy ds
r E(r) s
Z 0 Z
1 |y|2
= n u(y, s) 2 dy ds .
r −r2 B(0,Rr (s)) s
Then
n |y|2
ZZ
0
φ (r) = − u(y, s) dy ds
rn+1 E(r) s2
Z
1 0 |y|2 ∂Rr (s)
Z
+ n u(y, s) 2 ds ds .
r −r2 ∂B(0,Rr (s)) s ∂r
1/2
−s
Now by (2.3.21) we see that Rr (s) = 2ns log ; hence
r2
∂Rr (s) −2ns

= (−r2 < s < 0) .
∂r rRr (s)
Thus
n
n |y|2 2n 0 1
ZZ Z Z
0
φ (r) = − n+1
r
u 2 dy ds − n+1
E(r) s r ∑
−r 2 s B(0,Rr (s)) i=1
(uyi)yi dy ds
n
1 n|y|2 2n2 2n
ZZ
= − n+1 u 2
+ + ∑ uyi yi dy ds .
r E(r) s s i=1 s
Furthermore
1 2
yi = − Rr (s) − |y|2 y (i = 1, · · · , n) .
2 i
Consequently, since u solves the heat equation, we have

2
1 n|y|2 2n2 Rr (s) − |y|2
ZZ
0
φ (r) = − u + + ∆un dy ds
n + 1 E(r) s2 s s
2
1 n|y|2 2n2 Rr (s) − |y|2
ZZ
= − n+1 u + + ut n dy ds
r E(r) s2 s s
2
1 n|y|2 2n2 2n n|y|2
ZZ
= − n+1 u + −u + 2 dy ds = 0 .
r E(r) s2 s s s
Thus φ(r) is constant and so

1 |y|2
ZZ
φ(r) = lim φ(t) = u(0, 0) lim n 2
dy ds .
t→0 t→0 t E(t) s
Furthermore,
1 |y|2 |y|2
ZZ ZZ
2
dy ds = 2
dy ds = 2n+2 πn/2 ,
tn E(t) s E(1) s
by Lemma 2.3.1 below.
Lemma 2.3.1.
|y|2
ZZ
2
dy ds = 2n+2 πn/2 .
E(1) s
1/2
Proof. Recall that R1 (s) = 2ns log(−s) . Thus
Z
|y|2
Z 0
1
ZZ
2
2
dy ds = |y| dy ds
E(1) s s2
−1 B(0,R1 (s))
R1 (s)n+2
Z 0
nα(n)
= ds
n + 2 −1 s2
n+2 Z 0 n+2
nα(n)(2n) 2 (s log−s) 2
= ds .
n+2 −1 s2
2t
Substitute −s = e− n in the integral to compute:
n+2
− 2tn 2t 2
n+2 Z e
|y|2 nα(n)(2n) 2 ∞ n 2 − 2t
ZZ
2
dy ds = 4t e n dt
E(1) s n+2 0 e− n n
α(n)2n+3 ∞ −t n+2
Z
= e t 2 dt
n+2 0

α(n)2n+3 n
= Γ +2
n+2 2

2n+3 πn/2 n
= Γ +2 .
n+2 n 2
Γ +1
2
Recalling that Γ(r) = (r − 1)Γ(r − 1) we find

|y|2 2n+3 n/2 n
ZZ
2
dy ds = π +1
E(1) s n+2 2
= 2n+2 πn/2 .
2.3.3. Applications
a. Strong Maximum Principle; Uniqueness
Assume Q ⊂ Rn is open and bounded, and set
QT = Q × (0, T ) (T > 0) .
Definition 2.3.3. We define the parabolic boundary of QT to be
ΓT = (Q × {t = 0}) ∪ (∂Q × [0, T ]) .
Theorem 2.3.5. (Strong maximum principle for heat equation) Assume

u ∈ C2,1 (QT ) ∩C(QT ). Then
(i) maxQT u = maxΓT u;
(ii) if Q is connected and there exists a point (x0 ,t0 ) ∈ QT − ΓT such that
u(x0 ,t0 ) = max u ,

QT
then u is constant on Qt0 .
Proof. Suppose there exists a point (x0 ,t0) ∈ QT − ΓT , with
u(x0 ,t0) = M = max u .

QT
Then for all sufficiently small r > 0, E(x0 ,t0 ; r) ⊂ QT ; and we have
|x0 − y|2
ZZ
M = u(x0 ,t0 ) = u(y, s) dy ds ≤ M .
E(x0 ,t0 ;r) (t0 − s)2
As equality holds only if u = M in E(x0 ,t0 ; r), we see that
u(y, s) = M for all (y, s) ∈ E(x0 ,t0; r) .
Draw any line segment L in QT connecting (x0 ,t0 ) with some point
(y0 , s0 ) ∈ ΓT , with s0 < t0 . Consider
r0 = inf{s ≥ s0 | u(x,t) = M for all points (x,t) ∈ L, s ≤ t ≤ t0 } .
Since u is continuous, the infimum is attained. Assume r0 > s0 . Then

u(z0 , r0 ) = M for some point (z0 , r0 ) on L ∩ QT and so u = M on E(z0 , r0 ; r)
for all sufficiently small r > 0. Since E(z0 , r0 ; r) contains L ∩ {r0 − σ ≤ t ≤
r0 } for some σ > 0, we have a contradiction. Thus u = M on L. This is
true for all such lines L, and so
u=M on Qt0 .
Theorem 2.3.6. (Uniqueness on bounded domains) Let g ∈ C(ΓT ), f ∈

C(QT ). Then there exists at most one solution u ∈ C2,1 (QT ) ∩C(QT ) of the
initial boundary value problem
(
uT − ∆u = f in QT
(2.3.23)
u=g on ΓT .
Proof. If u and v are two solutions of (2.3.23), apply Theorem 2.3.5 to the
solution of the heat equation ±(u − v).
Theorem 2.3.7. (Maximum principle for Cauchy problem) Suppose u ∈

C2,1 (Rn × (0, T )) ∩C(Rn × [0, T )) solves
(
ut (x,t) − ∆u(x,t) = 0 (x ∈ Rn , 0 < t < T )
(2.3.24)
u(x, 0) = g(x) (x ∈ Rn ) ,
and satisfies the growth estimate

2
|u(x,t)| ≤ Aea|x| (x ∈ Rn , 0 ≤ t ≤ T ) (2.3.25)
for constants a, A. Then
sup u = sup g .
Rn ×[0,T ] Rn
Proof. 1. First assume
4aT < 1 ; (2.3.26)
in which case
4a(T + ε) < 1 (2.3.27)
for some ε > 0. Fix y ∈ Rn , µ > 0, and define

µ |x−y|2
v(x,t) = u(x,t) − e 4(T +ε−t) .
(T + ε − t)n/2
A direct calculation shows
vt − ∆v = 0 in Rn × (0, T ) .
Fix r > 0 and set Q = Q(y, r), QT = Q(y, r) × (0, T ). Then by Theorem
2.3.5,
max v = max v . (2.3.28)

QT ΓT
Now
µ |x−y|2
v(x, 0) = u(x, 0) − e 4(T +ε) (2.3.29)
(T + ε)n/2
≤ u(x, 0) = g(x) ;
and if |x − y| = r, 0 ≤ r ≤ T , then
µ r2
v(x,t) = u(x,t) − e 4(T +ε−t)
(T + ε − t)n/2
2 µ r2
≤ Aea|x| − e 4(T +ε−t)
(T + ε − t)n/2
2 µ r2
≤ Aea(|y|+r) − e 4(T +ε−t) .
(T + ε − t)n/2
Now according to (2.3.27),

1
= a+γ
4(T + ε)
for some γ > 0. Thus we may continue the calculation above to find that if
|x − y| = r, 0 ≤ t ≤ T , then
2 µ 2
v(x,t) ≤ Aea(|y|+r) − n/2
e(a+γ)r ≤ 0, for r sufficiently large .
(T + ε)
(2.3.30)
Thus (2.3.28)-(2.3.30) imply for y ∈ Rn , 0 ≤ t ≤ T that
v(y,t) ≤ sup g
Rn
for all y ∈ Rn , 0 ≤ t ≤ T , provided (2.3.26) is valid.

2. In the general case that (2.3.26) fails, we repeatedly apply the result
above on the time intervals [0, T1 ], [T1 , 2T1 ], etc. for
1
T1 = .
8a
Theorem 2.3.8. (Uniqueness for Cauchy problem) Let g ∈ C(Rn × (0, T )).
Then there exists at most one solution u ∈ C2,1 (Rn × (0, T )) ∩ C(Rn ×
[0, T )) of the Cauchy problem
(
ut − ∆u = f in Rn × (0, T )
(2.3.31)
u=g on Rn × {t = 0}
satisfying the growth estimate

2
|u(x,t)| ≤ Aea|x| (x ∈ Rn , 0 ≤ t ≤ T ) (2.3.32)
for constants A, a > 0.
Proof. If u and v both satisfy (2.3.31), (2.3.32), we apply Theorem 2.3.7

to ±(u − v).
Remark 2.3.4. There are in general infinitely many solutions of

(
ut − ∆u = 0 in Rn × (0, T )
u=0 on Rn × {t = 0} ;
Each of the solutions besides u = 0 grows more rapidly then exponentially

as |x| → ∞ for 0 < t < T .
b. Regularity
Definition 2.3.4.
C(x,t; r) = {(y, s)| |x − y| ≤ r, t − r2 ≤ s ≤ t}

= closed circular cylinder of radius r, height r2 , and top center point (x,t) .
Theorem 2.3.9. Suppose u ∈ C2,1 (QT ) solves the heat equation in QT .

Then
u ∈ C∞ (QT ) .
Proof. 1. Fix (x0 ,t0 ) ∈ QT and choose r > 0 so small that
C = C(x0 ,t0 ; r) ⊂ QT .
Set
3 1
C0 = C(x0 ,t0 ; r) , C00 = C(x0 ,t0 ; r) .
4 2
Choose a smooth cut-off function ζ(x,t) such that


0 ≤ ζ ≤ 1

ζ = 1 on C0


ζ = 0 near the parabolic boundary of C .
Extend ζ = 0 in Qt0 −C.

2. Assume temporarily u ∈ C∞ (QT ) and set
v(x,t) = ζ(x,t)u(x,t) (x ∈ Rn , 0 ≤ t ≤ t0 ) . (2.3.33)
Then
vt = ζut + ζt u
and
∆v = ζ∆u + 2Dζ · Du + u∆ζ .
Consequently
v=0 on Rn × {t = 0} , (2.3.34)
and
vt − ∆v = ζ(ut − ∆u) + ζt u − 2Dζ · Du − u∆ζ = f in Rn × (0,t0 ) .

(2.3.35)
Now set
Z tZ
ṽ(x,t) = Φ(x − y,t − s) f (y, s) dy ds .
0 Rn
According to Theorem 2.3.3

(
ṽt − ∆ṽ = f in Rn × (0,t0) ,
(2.3.36)
ṽ = 0 on Rn × {t = 0} .
Then Theorem 2.3.8 implies v = ṽ; that is

Z tZ
v(x,t) = Φ(x − y,t − s) f (y, s) dy ds . (2.3.37)
0 Rn
Now suppose (x,t) ∈ C00 . As ζ = 1 on C00 and ζ = 0 off C, (2.3.35) and

(2.3.37) imply
ZZ
u(x, t) = Φ(x − y, t − s) (ζt (y, s) − ∆ζ(y, s))u(y, s) − 2Dζ(y, s) · Du(y, s) dy ds .
C
Integrate the last term by parts:

ZZ
u(x,t) = Φ(x − y,t − s)(ζt (y, s) − ∆ζ(y, s)) + 2DyΦ(x − y,t − s) · Dζ(y, s) u(y, s) dy ds . (2.3.38)
C
We have proved this formula assuming u ∈ C∞. If u satisfies only the

hypotheses of the Theorem, one can again derive (2.3.38) with uε = ηε u
replacing u and let ε → 0.
3. Formula (2.3.38) has the form

ZZ
u(x,t) = K(x,t, y, s)u(y, s)dy ds (x,t) ∈ C00 , (2.3.39)
C
where
K(x,t, y, s) = 0 for (y, s) ∈ C0 .
Note also that K is smooth in C −C0 .

In view of expression (2.3.39) we see that u is C∞ in C = C(x0 ,t0 ; r).
c. Estimates for Solutions of Heat Equation

Theorem 2.3.10. There exists for each pair of integer k, l = 0, 1 · · · a con-
stant Ckl such that
Ckl
max |Dkx Dtl u| ≤ k+2l+n+2
||u||L1(C(x,t;r))
C(x,t;r/2) r
for all cylinders C(x,t; r/2) ⊂ C(x,t; r) ⊂ QT 0 and all solutions u of the
heat equation in QT .
Proof. 1. Fix some point in QT ; we may as well assume the point is (0, 0).
2. Suppose first that the cylinder
C(1) = C(0, 0; 1)
lies in QT . Let C(1/2) = C(0, 0; 1/2). Then as in the proof of Theorem

2.3.9
ZZ
u(x,t) = K(x,t, y, s)u(y, s)dy ds ((x,t) ∈ C(1/2))
C(1)
for some smooth function K. Consequently

ZZ
|Dkx Dtl u(x,t)| ≤ |Dkx Dtl u(x,t)u(y, s)| dy ds ≤ Ckl ||u||L1(C(1)) . (2.3.40)
C(1)
3. Now suppose the cylinder
C(r) = C(0, 0; r)
lies in QT . Let C(r/2) = C(0, 0; r/2). Define
v(x,t) = u(rx, r2t) .
Then vt − ∆v = 0 in the cylinder C(1). According to (2.3.40),
|DkxDtl u(x,t)| ≤ Ckl ||u||L1(C(1)) ((x,t) ∈ C(1/2)) .
But

Dkx Dtl v(x,t) = r2l+k Dkx Dtl u (rx, r2t)
and
1
||v||L1 (C(1)) = ||u||L1(C(1)) .
rn+2
Consequently
Ckl
max |DkxDtl u(x,t)| ≤ k+2l+n+2
||u||L1(C(r)) .
C(r/2) r
2.4 Wave Equation

In this section we investigate the wave equation
utt (x,t) − ∆u(x,t) = 0 , (2.4.1)
and the non-homogeneous wave equation
utt (x,t) − ∆u(x,t) = f (x,t) , (2.4.2)
subject to appropriate initial and boundary conditions. Here x ∈ Rn , t > 0.

We shall see that solutions of the wave equation act quite differently
from solutions of Laplace’s equation or the heat equation; for example,
solutions of (2.4.1) are generally not C∞, and exhibit finite speed of propa-
gation, etc.
2.4.1. Solution by Spherical Means

We begin Section 2.2.1. and 2.3.1. by searching for solutions of
Laplace’s
2 equation and the heat equation of the respective forms v(r) and
r
v , (r = |x|). A similar approach works for the wave equation, where
t
scalingconsiderations
suggest that we look for a solution of (2.4.1) of the
r
form v .
t
We will not follow this procedure, which is fairly complicated for large
n, and will instead present the (reasonably) elegant method of solving
(2.4.1) first for n = 1 directly and then for n ≥ 2 by the method of spherical
means.
a. Solution for n = 1; d’Alembert Formula

We first focus our attention on the one-dimensional wave equation in all of
R:
utt (x,t) − uxx(x,t) = 0 (x ∈ R, t > 0) , (2.4.3)
with the initial conditions

(
u(x, 0) = g(x) (x ∈ R) ,
(2.4.4)
ut (x, 0) = h(x) (x ∈ R) .
Let us first note that (2.4.3) can be factored to read

∂ ∂ ∂ ∂
+ − u = utt − uxx = 0 . (2.4.5)
∂t ∂x ∂t ∂x
Write

∂ ∂
v(x,t) = − u(x,t) . (2.4.6)
∂t ∂x
Then (2.4.5) says
vt (x,t) + vx (x,t) = 0 (x ∈ R, t > 0) .

This is an example of a constant coefficient transport equation. Applying

therefore the formula form Section 2.1.1. (with n = 1, b = 1) we find
v(x,t) = η(x − t) in R × (0, ∞) (2.4.7)
for η(x) = v(x, 0). Combining now (2.4.5)-(2.4.7) we obtain
ut (x,t) − ux (x,t) = η(x − t) in R × (0, ∞) . (2.4.8)
This is a non-homogeneous transport equation; whence the formula from

Section 2.1.2. (with n = 1, b = −1, f (x,t) = η(x − t)) gives
Z t
u(x,t) = η(x + (t − s) − s) ds + l(x + t)
0
Z x+t
1
= η(y) dy + l(x + t) ,
2 x−t
for l(x) = u(x, 0). Next we employ the initial conditions (2.4.4) to compute
l and η. Equations (2.4.7) and (2.4.4) imply
l(x) = g(x) ;
whereas (2.4.6) and (2.4.4) give
η(y) = v(y, 0) = ut (y, 0) − ux(y, 0) = h(y) − g0 (y) .
Our substituting into (2.4.7) now yields

Z x+t
1
u(x,t) = [h(y) − g0 (y)] dy + g(x + t) .
2 x−t
Hence
Z x+t
1 1
u(x,t) = [g(x + t) + g(x − t)] + h(y) dy . (2.4.9)
2 2 x−t
This is d’Alembert formula for the solution of (2.4.3), (2.4.4).

We have derived formula (2.4.9) assuming u is a (sufficiently smooth)
solution of (2.4.3). Conversely, it is easy to check that if g ∈ C2 (R) and
h ∈ C1 (R), the function u defined by (2.4.9) is C2 solves (2.4.3), (2.4.4).
Remark 2.4.1.
(i) From (2.4.9) we see that u is of the form
u(x,t) = F(x + t) + G(x − t) (2.4.10)
for appropriate function F and G. Conversely any function of this form
solves (2.4.3). Hence the general solution of utt − uxx = 0 is a sum of the
general solution of ut − ux = 0 and the general solution of ut + ux = 0; this
is a consequence of the factorization (2.4.5). This fact, unfortunately, does
not generalize to n ≥ 2.
(ii) In view of the representation (2.4.10) we see for any ξ, η ∈ R,
u(x + ξ,t + ξ) = F(x + t + 2ξ) + G(x − t)
u(x − η,t + η) = F(x + t) + G(x − t − 2η)
u(x + ξ − η,t + ξ + η) = F(x + t + 2ξ) + G(x − t − 2η) ;
so that
u(x,t) − u(x + ξ,t + ξ) − u(x − η,t + η) + u(x + ξ − η,t + ξ + η) = 0 .
Geometrically this means that
u(A) + u(C) = u(B) + u(D) ,
where A, B,C, D are the vertices of the indicated rectangle:
(iii) We see from (2.4.10) that if g ∈ Ck and h ∈ Ck−1 , then u ∈ Ck , but is not
in general smoother. Thus the wave equation does not display “instanta-
neous smoothing” of the initial data, as does the heat equation.
b. Spherical Means
Now suppose u ∈ C2 (Rn × [0, ∞)) solves

 utt − ∆u = 0
 in Rn × (0, ∞) ,
u=g (2.4.11)


ut = h on Rn × {t = 0} .
Definition 2.4.1. •
(i) Let x ∈ Rn , t > 0, r > 0. Define
Z
u
M (x; r,t) = − u(y,t) ds(y) ,
∂B(x,r)
the mean or average value of u(·,t) over ∂B(x, r).

(ii) Similarly,
Z
g
M (x; r) = − g(y) ds(y)
∂B(x,r)
Z
M h (x; r) = − h(y) ds(y) .
∂B(x,r)
(iii) We define M u , M g , M h for r ≤ 0 by setting M u (x; 0,t) = u(x,t);

M u (x; r,t) = M u (x; −r,t) for r < 0, etc.
For fixed x, we hereafter regard M u as a function of r and t.
Theorem 2.4.1. Fix x ∈ Rn . Then
n−1 u
Mttu = Mrr
u
+ Mr on R × (0, ∞) , (2.4.12)
r
M u = M g , Mtu = M h on Rn {t = 0} . (2.4.13)
The PDE (2.4.12) is the Euler-Poisson-Darboux equation.
Proof. As in the proof of Theorem 2.2.2 in Section 2.2.2. we compute for
r > 0 that
r
Z
u
Mr (x; r,t) = − ∆u(y,t) dy
n B(x,r)
r
Z
= − utt (y,t) dy
n B(x,r)
Z r Z
1 1
= utt (y,t) ds ds .
nα(n) rn−1 0 ∂B(x,s)
Thus
Z r Z
n−1 1
r Mru = utt ds ds ,
nα(n) 0 ∂B(x,s)
and so
n−1
1
Z
r Mru γ = utt ds
nα(n) ∂B(x,r)
Z
= rn−1 − utt ds
∂B(x,r)
n−1 u
= r Mtt .
This equality is (2.4.12) for r > 0, from which the same equality follows
for all r ∈ R. The initial conditions (2.4.13) are obvious.
c. Solution for Odd n

We next wish to solve the PDE (2.4.12), (2.4.13) for each fixed x ∈ Rn .
We will then be able to recover the solution of (2.4.11), since u(x,t) =
limr→0 M u (x; r,t). The point is that (2.4.12) is fairly similar to the one-
dimensional wave equation (2.4.3), and, as we will see, can in fact for odd
n be transformed into (2.4.3).
Lemma 2.4.1. Let φ : R → R be Ck+1 . Then for k = 1, 2, · · ·

d2 1 d k−1 2k−1 1 d k 2k dφ
(i) r φ(r) = r (r) ;
dr2 r dr r dr dr
k−1 k−1
1 d d jφ
(ii) r 2k−1
φ(r) = ∑ βkj r j+1 j (r) where the constants
r dr j=0 dr
βkj ( j = 0, · · · , k − 1) are independent of φ;
(iii) βk0 = 1 · 3 · 5 · · · · · (2k − 1).
Proof. 1. We check (i) for k = 1:
d2
(rφ) = rφ00 + 2φ0 ,
dr2
whereas

1 d 1
(r2 φ0 ) = (r2 φ00 + 2rφ0 ) = rφ00 + 2φ0 .
r dr r
2. Assume now (i) is valid for k and all smooth functions φ. Then
k 2
d2 1 d d 1 d k−1 1 2k+1 0
r2k+1 φ = [r φ + (2k + 1)r2k φ]
dr2 r dr dr2 r dr r
2
d 1 d k−1 2k−1 0
= [r (rφ )]
dr2 r dr
2
d 1 d k−1
+ [(2k + 1)r2k−1 φ]
dr2 r dr

1 d k 2k 0 0
= [r (rφ ) + (2k + 1)r2k φ0 ]
r dr

1 d k
= [(2k + 2)r2k φ0 + r2k+1 φ00 ]
r dr

1 d k 1 d
= [r2k+2φ0 ] .
r dr r dr
This proves (i) for k + 1.
3. Assertion (ii) is clearly valid for k = 1. Assuming now it is holds for
k and all smooth function φ, we compute:
k k−1
1 d 2k+2 1 d 1 d
(r φ) = [r2k−1(r2 φ)]
r dr r dr r dr
k−1 j

1 d k j+1 d 2
=
r dr ∑ β j r dr j (r φ)
j=0
k−1 k−1
dj 2 k j d
j+1
= ∑ βkj ( j + 1)r j−1 dr j
(r φ) + ∑ j dr j+1 (r2φ) ;
β r
j=0 j=0
k+1 j+1 d j
and this is of the required form ∑k−1
j=0 β j r dr j
for appropriate constants
βk+1
j ( j = 0, · · · , k). This proves (ii) for k + 1.
4. Set φ = 1 in assertion (ii). Then

1 d k−1 2k−1
γ · βk0 = (r ) (k = 1, · · ·) ,
r dr
and the stated formula follows by induction.
Now assume n ≥ 3 is an odd integer and write

n = 2k + 1 (k ≥ 1) .
Note that let us write
k−1
1 d
U(r,t) = [r2k−1M u (x; r,t)] ,
r dr


 1 d k−1 2k−1 g

 G(r) = r dr [r M (x; r)] ,
(2.4.14)

 1 d k−1 2k−1 h

 H(r) = [r M (x; r)] .
r dr
Then
(
U(r, 0) = G(r) ,
(2.4.15)
Ut (r, 0) = H(r).
Theorem 2.4.2. Utt = Urr for t > 0, r ∈ R.

Proof. If r ≥ 0,
k−1
d2 1 d
Urr = (r2k−1M u )
dr2 r dr
k
1 d
= (r2kMru )
r dr
k−1
1 d
= (r2k−1Mrr
u
+ 2kr2k−2Mru )
r dr
k−1
1 d 2k−1 u n−1 u
= r Mrr + Mr
r dr r
k−1
1 d
= (r2k−1Mttu )
r dr
= Utt .
A similar formula holds for r ≤ 0.
In view of Theorem 2.4.2, (2.4.15), and d’Alembert formula, we have

Z r+t
1 1
U(r,t) = [G(r + t) + G(r − t)] + H(y) dy (2.4.16)
2 2 r−t
for all r ∈ R, t ≥ 0. But recall now that
u(x,t) = lim M u (x; r,t) .

r→0
On the other hand, Lemma 2.4.1 (ii) implies

1 d k−1 2k−1 u
U(r,t) = [r M (x; r,t)]
r dr
k−1
dj u
= ∑ βkj r j+1 dr j
M (x; r,t) ;
j=1
and so
U(r,t)
lim = lim M u (x; r,t) = u(x,t) .
r→0 βk0 r r→0
Thus (2.4.16) implies

Z t+r Z t
1 G(t + r) − G(t − r) 1 1
u(x, t) = k lim + H(y) dy + H(y) dy
β0 r→0 2r 2r r 2r r−t
1
= k [G0 (t) + H(t)] .
β0
Finally then, since n = 2k + 1, (2.4.14) and Lemma 2.4.1, (iii) yield this
representation formula for odd n:
n−3
1 d 1 d 2
Z
n−2
u(x,t) = t − g ds
γn dt t dt ∂B(x,t)
n−3
1 d 2
Z
n−2
+ t − h ds , (2.4.17)
t dt ∂B(x,t)
where n is odd and γn = 1 · 3 · 5 · · · · · (n − 2).

The simplest case is n = 3. We then have γ3 = 1, and so
Z Z
d
u(x,t) = t− g ds + t− h ds . (2.4.18)
dt ∂B(x,t) ∂B(x,t)
But Z Z
− g(y) ds(y) = − g(x + tz) ds(z) ;
∂B(x,t) ∂B(0,1)
where
Z Z
d
− g ds(y) = − Dg(x + tz) · z ds(z)
dt ∂B(x,t) ∂B(0,1)
y−x
Z
=− Dg(y) · ds(y) .
∂B(x,t) t
In view of this calculation and (2.4.18) we obtain Kirchhoff’s formula

Z
u(x,t) = − h(y) + g(y) + Dg(y) · (y − x) ds(y) (2.4.19)
∂B(x,t)
for the solution of the wave equation (2.4.11) when n = 3.
Remark 2.4.2. (i) Observe that to compute u(x,t) we need only have
information on u = g, ut = h and Du = Dg on the boundary of B(x,t).
A similar remark is valid in Rn for all odd n.
(ii) Comparing Kirchoff’s formula (2.4.19) (n=3) with d’Alembert for-

mula (2.4.9) (n=1), we observe that the latter does not involve the
derivatives of g. This suggests that for n > 1, a solution of the wave
equation (2.4.11) need not for t > 0 be as smooth as its initial value
g: “irregularities” in g may “focus” at times t > 0 onto a “smaller
set”, thereby causing u to be less smooth than g. (We will see later in
Section 2.4.3. that the “energy norm” of u does not deteriorate for
t > 0).
(iii) Once again we see the phenomenon of “finite propagation speed” of

the initial data.
It remains to check that formula (2.4.18) really gives a solution of

(2.4.11).
Theorem 2.4.3. Assume n is an odd integer, n ≥ 3, and suppose also g ∈

n+3 n+1
C 2 (Rn ), h ∈ C 2 (Rn ). Define u by (2.4.17). Then u ∈ C2 (Rn × [0, ∞)),
and u solves (2.4.11).
n+3 n+1
Proof. 1. Since we have assumed g ∈ C 2 (Rn ), h ∈ C 2 (Rn ), we see
from (2.4.17) that u ∈ C2 (Rn × [0, ∞)).
2. Now
Z Z
∆ − g ds = ∆ − g(x + tz) ds
∂B(x,t) ∂B(0,1)
Z
=− ∆g(x + tz) ds
∂B(0,1)
Z
=− ∆g ds
∂B(x,t)
Z
1 d
= ∆g dy
nα(n)t n−1 dt B(x,t)
Z
1 d ∂g
= ds (2.4.20)
nα(n)t n−1 dt ∂B(x,t) ∂ν

1 d n−1
Z
= t − Dg(x + tz) · z ds
t n−1 dt ∂B(0,1)
Z
1 d n−1 d
= t − g(x + tz) ds
t n−1 dt dt ∂B(0,1)
Z
1 d n−1 d
= t − g ds .
t n−1 dt dt ∂B(x,t)
Thus
n−3 n−3
1 d 1 d 1
2
Z 2
Z
∆ t n−2 − g ds = ∆ t n−1 − g ds
t dt ∂B(x,t) t dt t ∂B(x,t)
n−3 Z
1 d 2 1 d n−1 d
= t − g ds
t dt t dt dt ∂B(x,t)
k Z
1 d d
= t 2k − g ds
t dt dt ∂B(x,t)
2
d 1 d k−1 2k−1
Z
= t − g ds
dt 2 t dt ∂B(x,t)
2 n−3
d 1 d 2
Z
n−2
= t − g ds .
dt 2 t dt ∂B(x,t)
Hence
n−3
1 d 2
Z
n−2
t − g ds ,
t dt ∂B(x,t)
and so also
n−3
d 1 d 2
Z
t n−2 − g ds ,
dt t dt ∂B(x,t)
solve the wave equation. Similarly
n−3
1 d 2
Z
n−2
t − h ds
t dt ∂B(x,t)
solves the wave equation. In consequence, we see from (2.4.20) that u
solves the wave equation.
3. We must check that u satisfies the proper initial conditions. But from
(2.4.17) and Lemma 2.4.1, (iii) we see that if n = 2k + 1,
k−1
1 d 1 d 1 d k−1 2k−1
Z Z
u(x,t) = g t 2k−1 −
ds + t − h ds
βk0 dt t dt
∂B(x,t) t dt ∂B(x,t)
k−1 j Z k−1 j Z
1 d k j+1 d k j+1 d
= k ∑ j dt j ∂B(x,t)
β0 dt j=0
β t − g ds + ∑ j dt j ∂B(x,t)
β t − h ds
j=0
Z
=− g ds + O(t) as t → 0 .
∂B(x,t)
Thus
u(x, 0) = g(x) (x ∈ Rn ) .
Similarly
k−1
Z
1 d2dj
ut (x,t) = k ∑ − βkj t j+1
g ds
β0 j=0 dt 2
dt j ∂B(x,t)
Z
d k−1 k j+1 d j
+ ∑ β jt dt j −∂B(x,t) h ds
dt j=0
Z Z
d
= − g ds + − h ds + O(t)
dt ∂B(x,t) ∂B(x,t)
t
Z Z
= − ∆g dy + − h ds + O(t)
n B(x,t) ∂B(x,t)
Z
=− h ds + O(t) as t → 0 .
∂B(x,t)
Hence
ut (x, 0) = h(x) (x ∈ Rn ) .
d. Solution for Even n; Method of Descent; Huygens Phenomenon

Assume now n is an even positive integer. Suppose u is a C2 solution of
(2.4.11). We desire a representation formula like (2.4.17) for u. The trick
is to note that
u(x1 , · · · , xn+1 ,t) = u(x1 , · · · , xn ,t) (2.4.21)
solves the wave equation in Rn+1 × (0, ∞), with the initial condition
(
u=g
ut = h
on Rn+1 × {t = 0}, where

(
g(x1 , · · ·xn+1 ) = g(x1 , · · ·xn )
(2.4.22)
h(x1 , · · ·xn+1 ) = h(x1 , · · ·xn ) .
As n + 1 is odd, we may employ (2.4.17) (with n + 1 replacing n) to

get a representation formula for u in terms of g, h. But then (2.4.21) and
(2.4.22) yield at once a representation formula for u in terms of g, h. This
is the method of descent.
To carry out the details let us fix x ∈ Rn , t > 0, and define
x = (x1 , · · · , xn , 0) ∈ Rn+1 .
Then (2.4.17), with n + 1 replacing n, gives

n−2
1 d 1 d 2
Z
n−1
u(x,t) = t − gds
γn+1 dt t dt ∂B(x,t)
n−2
1 d 2
Z
n−1
+ t − h ds , (2.4.23)
t dt ∂B(x,t)
where B(x,t) denoting the ball with center x and radius t in Rn+1 and ds
surface measure on ∂B(x,t). Now
1
Z Z
− g ds = g ds . (2.4.24)
∂B(x,t) (n + 1)α(n + 1)t n ∂B(x,t)
Furthermore, ∂B(x,t) ∩ (yn+1 ≥ 0) is the graph of the function
γ(y) = (t 2 − |y − x|2 )1/2 for y ∈ B(x,t) ⊂ Rn .
Similarly ∂B(x,t) ∩ (yn+1 ≤ 0) is the graph of −γ.

Thus (2.4.24) implies
2
Z Z
− g ds = g(y)(1 + |Dγ(y)|2)1/2 dy , (2.4.25)
∂B(x,t) (n + 1)α(n + 1)t n B(x,t)
the factor “2” entering because ∂B(x,t) consists of the two hemispheres,
above and below the plane (yn+1 = 0). Now
1 xi − yi
γyi (y) = (t 2 − |y − x|2 )−1/22(xi − yi ) = 2 ;
2 (t − |y − x|2 )1/2
and so
t
(1 + |Dγ(y)|2 )1/2 = .
(t 2 − |y − x|2 )1/2
Our substituting into (2.4.25) yields
2 g(y)
Z Z
− g ds = n−1
dy
∂B(x,t) (n + 1)α(n + 1)t B(x,t) (t − |y − x|2 )1/2
2
2tα(n) g(y)
Z
= − dy .
(n + 1)α(n + 1) B(x,t) (t 2 − |y − x|2 )1/2
We insert this equality and the similar one with h in place of g into
(2.4.23) to find
n−2 Z
1 2α(n) d 1 d 2
n g(y)
u(x, t) = t − dy
γn+1 (n + 1)α(n + 1) dt t dt B(x,t) (t 2 − |y − x|2 )1/2
n−2 Z
1 d 2
n h(y)
+ t − dy .
t dt B(x,t) (t 2 − |y − x|2 )1/2
Since γn+1 = 1 · 3 · 5 · · ·(n − 1) and
πn/2
α(n) = ,
Γ n+2
2
we compute

n+3
Γ
2α(n) 2 1 2
=
γn+1 (n + 1)α(n + 1) 1 · 3 ··· (n + 1) π1/2 n+2
Γ
2
2 1 (n + 1) · (n − 1) ···3 · 1π1/2 1
= n ·
1 · 3 ··· (n + 1) π1/2 22 +1 n
!
2
1 1
= n/2
2 n n−2 n−4 4 2
···
2 2 2 2 2
1
= .
2 · 4 ··· (n − 2) · n
Hence the resulting representation formula for even n is:

n−2 Z
1 d 1 d 2 g(y)
u(x,t) = t n− dy
γn dt t dt B(x,t) (t 2 − |y − x|2 )1/2
n−2
1 d 2 h(y)
Z
n
+ t − dy , (2.4.26)
t dt B(x,t) (t 2 − |y − x|2 )1/2
where n is the even and
γn = 2 · 4 · · · ·(n − 2) · n .
Remark 2.4.3. In view of Theorem 2.4.3 above, formula (2.4.26) is valid

n+4 n+2
for g ∈ C 2 (Rn ), h ∈ C 2 (Rn ).
Consider now the simplest case n = 2. We then have γ2 = 2, and so

n−2 Z
1 d 1 d 2 n g(y)
u(x,t) = t − dy
2 dt t dt B(x,t) (t 2 − |y − x|2 )1/2
n−2 Z
1 d 2 n h(y)
+ t − dy . (2.4.27)
t dt B(x,t) (t 2 − |y − x|2 )1/2
Now
g(y) g(x + tz)
Z Z
t 2− 1/2
dy = t− 1/2
dz ;
B(x,t) (t 2 − |y − x|2 ) B(0,1) (1 − |z|2 )
and so
Z Z
d 2 g(y) g(x + tz)
t − 2 2 1/2
dy = − dz
dt B(x,t) (t − |y − x| ) B(0,1) (1 − |z|2 )1/2
Dg(x + tz) · z
Z
+ t− dz
B(0,1) (1 − |z|2 )1/2
g(y)
Z
= t− dy
B(x,t) (t − |y − x|2 )1/2
2
Dg(y) · (y − x)
Z
+ t− dy .
B(x,t) 2 − |y − x|2 )1/2
(t
Hence (2.4.27) yields Poisson’s formula
1 tg(y) + t 2 h(y) + tDg(y) · (y − x)
Z
u(x,t) = − dy (2.4.28)
2 B(x,t) (t 2 − |y − x|2 )1/2
for the solution of the wave (2.4.11) when n = 2.
Remark 2.4.4. Observe, in contrast to Kirchhoff’s formula (2.4.19), that
to compute u(x,t) we need information on u = g, ut = h and Du = Dg on
all of B(x,t). A similar remark is valid in Rn for all even n.
Remark 2.4.5. Comparing (2.4.17) and (2.4.26) we observe that if n is
odd and n ≥ 3, the data g and h at a given point x ∈ Rn affect the solution
u only on the boundary {(y,t)| t > 0, |x−y| = t} of the cone C = {(y,t)| t >
0, |x − y| < t}.
On the other hand if n is even, the data g and h affect u on all of C.

In other words, a “disturbance” originating at x propagates along a
sharp wave front in odd dimensions, but in even dimensions continues to
have effects even after the leading edge of the wave front passes. This is
Huygens phenomenon.
2.4.2. Solution of Non-Homogeneous Wave Equation:

Duhamel Principle
We next investigate the non-homogeneous wave equation
(
utt − ∆u = f in Rn × (0, ∞)
(2.4.29)
u = g, ut = h on Rn × {t = 0} .
Motivated by Duhamel principle (as applied to the heat equation in Section
2.3.1.) we define u(x,t; s) to be the solution of

 utt (x,t; s) − ∆u(x,t; s) = 0

u(x, s; s) = 0 (x ∈ Rn , t > s) (2.4.30)


ut (x, s; s) = f (x, s) .
According to the representation formulas (2.4.9), (2.4.17) and (2.4.26) we
have
 1 Z x+t−s

 f (y, s) dy (n = 1)

 2 x−t+s



 1 1

d
n−3
2
Z
u(x,t; s) = (t − s)n−2 − f (y, s) ds (n ≥ 3, odd)
 γn t − s
 dt ∂B(x,t−s)



 n−3

 1 1 d 2
Z
f (y, s)
 (t − s)n − dy (n ≥ 2, even) .
γn t − s dt ∂B(x,t−s) ((t − s)2 − |y − x|2)1/2
(2.4.31)
Now set
Z t
u(x,t) = u(x,t; s) ds . (2.4.32)
0
Duhamel principles suggests that this is a solution of
(
utt − ∆u = f in Rn × (0, ∞)
(2.4.33)
u = 0, ut = 0 on Rn × {t = 0} .
Theorem 2.4.4. Assume n ≥ 2 and f ∈ C[n/2]+1 (Rn × [0, ∞)). Define u by

(2.4.32). Then u ∈ C2 (Rn × [0, ∞)), and solves (2.4.33).

n n+3
Proof. 1. If n is odd, +1 = . According to Theorem 2.4.1 in
2 2
2 2
C (R × [0, ∞)) for each s ≥ 0, and so u ∈
Section 2.4.1., then, u(·, ·; s) ∈
n n+2
C2 (R2 × [0, ∞)). If n is even, +1 = . Hence u ∈ C2 (Rn × [0, ∞)),
2 2
according to the Remark 2.4.3 after formula (2.4.26).
2. We then compute
Zt Z t
ut (x,t) = u(x,t;t) + ut (x,t; s) ds = ut (x,t; s) ds ,
0 0
Z t Z t
utt (x,t) = ut (x,t;t) + utt (x,t; s) ds = f (x,t) + utt (x,t; s) ds .
0 0
Furthermore,
Z t Z t
∆u(x,t) = ∆u(x,t; s) ds = utt (x,t; s) ds .
0 0
Thus
utt (x,t) − ∆u(x,t) = f (x,t) (x ∈ Rn , t > 0) .
3. Clearly
u(x, 0) = 0
and
ut (x, 0) = u(x, 0; 0) = 0 .
Let us work out explicitly the solution of (2.4.33) for n = 1. In this

case d’Alembert formula (2.4.9) gives
Z x+t−s
1
u(x,t; s) = f (y, s) dy ;
2 x−t+s
and so
Z t Z x+t−s Z t Z x+s
1 1
u(x,t) = f (y, s) dy ds = f (y,t − s) dy ds .
2 0 x−t+s 2 0 x−s
For n = 3, Kirchoff’s formula (2.4.19) implies

Z
u(x,t; s) = (t − s)− f (y, s) ds ;
∂B(x,t−s)
so that
Z t Z
u(x,t) = (t − s) − f (y, s) ds ds
0 ∂B(x,t−s)
1 t f (y, s)
Z Z
= ds ds
4π 0 ∂B(x,t−s) (t − s)
1 t f (y,t − r)
Z Z
= ds dr .
4π 0 ∂B(x,r) r
Therefore
1 f (y,t − |y − x|)
Z
u(x,t) = dy
4π B(x,t) |y − x|
solves (2.4.33) for n = 3. The integrand on the right is called a retarded
potential.
2.4.3. Energy Methods

The explicit formulas (2.4.17) and (2.4.26) seem to indicate the necessity of
making greater and greater smoothness assumptions on the data g and h in
order to ensure the existence of a C2 solution of the wave equation for larger
and larger n. This suggests that perhaps some other way of measuring the
size and smoothness of functions may be more appropriate for the wave
equation. And indeed, we will see in this section that the wave equation is
nicely behaved (for all n) with respect to certain integral “energy” norms.
a. Uniqueness
Let Q ⊂ Rn be a bounded, open set with a smooth boundary ∂Q; set Qt =
Q × (0, T ), and recall
ΓT = (Q × {t = 0}) ∪ (∂Q × (0, T )) .
We are interested in the initial-boundary value problem


 utt − ∆u = f
 in QT ,
u=g on ΓT , (2.4.34)


ut = h on Q × {t = 0} .
Theorem 2.4.5. (Uniqueness for wave equation). There exists at most one
function u ∈ C2 (QT ) solving (2.4.34).
Proof. If v is another such solution, solves


 w = u−v


 w − ∆w = 0 in QT ,
tt

 w=0 on ΓT ,


wt = 0 on Q × {t = 0} .
Define the “energy”

1
Z
E(t) = wt2 (x,t) + |Dw(x,t)|2 dx (0 ≤ t ≤ T ) .
2 Q
We compute
Z Z
E 0 (t) = wt wtt + Dw · Dwt dx = wt (wtt − ∆w) dx = 0;
Q Q
notice that
∂w
Z
wt ds = 0,
∂Q ∂ν
since w and thus wt = 0 on ∂Q. Thus for all 0 ≤ t ≤ T , E(t) = E(0) = 0,

and so
wt , Dw = 0 in QT .
Since w = 0 on Q × {t = 0}, w = 0 in QT ; and so u = v.

b. Domain of Dependence
As another example of energy methods, let us examine again the domain
of dependence of solutions to the wave equation in all of spaces. For this,
suppose u ∈ C2 solves
utt − ∆u = 0 in Rn × (0, ∞) .
Fix x0 ∈ Rn , t0 > 0 and consider the truncated cone
C = C(x0 ,t0 ) = {(x,t)| 0 ≤ t ≤ t0 , |x − x0 | ≤ t0 − t} .
Remark 2.4.6. We already know this from the representation formulas

(2.4.17) and (2.4.26), at least assuming g = u and h = ut on Rn × {t = 0}
are sufficiently smooth. The point is that energy methods provide a much
simpler proof.
Proof. Define
1
Z
E(t) = ut2 (x,t) + |Du(x,t)|2 dx .
2 B(x0 ,t0 −t)
Then
Z
1
Z
E 0 (t) = (ut utt + Du · Dut ) dx − ut2 + |Du|2 ds
B(x0 ,t0 −t) 2 ∂B(x0 ,t0 −t)
(2.4.35)
∂u
Z Z
= ut (utt − ∆u) dx + ut ds
B(x0 ,t0 −t) ∂B(x0 ,t0 −t) ∂ν
1
Z
− ut2 + |Du|2 ds (2.4.36)
2 ∂B(x0 ,t0 −t)

∂u 1 1
Z
= ut − ut2 − |Du|2 ds . (2.4.37)
∂B(x0 ,t0 −t) ∂ν 2 2
Now

∂u
ut ≤ |ut ||Du| ≤ 1 ut2 + 1 |Du|2 , (2.4.38)
∂ν 2 2
by Schwarz’s and Cauchy’s inequalities. Inserting (2.4.38) into (2.4.35) we

find
E 0 (t) ≤ 0 ;
and so
E(t) ≤ E(0) = 0
for all 0 ≤ t ≤ t0 . Thus ut , Du = 0, and consequently u = 0, in C.

Chapter 3
Transformation Approaches
to Certain PDEs
This chapter collects together a variety of techniques which are sometimes

useful in finding certain explicit solutions of various PDEs.
3.1 Separation of Variables

The method of separation of variables attempts to find a solution u of a
given PDE as some sort of combination of functions of fewer variables. In
other words, the idea is to guess that u can be written as, say, a sum or
product of as yet undetermined simpler function, to plug this guess into
the PDE, and finally to choose the simpler functions so that u really is a
solution. This technique is best understood in a series of examples.
Let Q ⊂ Rn be bounded, open and as usual set
QT = Q × (0, T )
for some T > 0. We consider the initial-boundary value problem for the
heat equation

 ut − ∆u = 0
 on QT ,
u=0 on ∂Q × [0, T ] , (3.1.1)


u=g on Q × {t = 0} ,
where g : Q → R is a given smooth function.

We guess that there exists a solution which has the form
u(x,t) = v(t)w(x) ; (3.1.2)
that is, we look for a solution of (3.1.1) with the variables x = (x1 , · · · , xn )
“separated” from the variable t.
Will this work? To find out, we compute
ut (x,t) = v0 (t)w(x) , ∆u(x,t) = v(t)∆w(x) ;
so that
0 = ut (x,t) − ∆u(x,t) = v0 (t)w(x) − v(t)∆w(x)
if and only if
v0 (t) ∆w(x)
= (3.1.3)
v(t) w(x)
for all x ∈ Q and 0 < t ≤ T such that w(t), v(x) 6= 0. Now observe that the
left hand side of (3.1.3) depends only on t and the right hand side depends
only on x. This is impossible unless each is constant, say
v0 (t) ∆w(x)
=λ= (0 < t ≤ T, x ∈ Q) .
v(t) w(x)
Then
v0 (t) = λv(t) (0 ≤ t ≤ T ) (3.1.4)

∆w(x) = λw(x) (x ∈ Q) . (3.1.5)
Can we solve these equations for the unknowns w(t), v(x) and λ? No-
tice that if λ is known, the solution of (3.1.4) is
v(t) = ceλt
for an arbitrary constant c. Consequently we need only investigate equation

(3.1.5).
Transformation Approaches to Certain PDEs 87
We say that σ is an eigenvalue of the Laplacian ∆ on Q (subject to

zero boundary conditions) provided there exists a function w not identically
equal to zero solving
(
−∆w = σw in Q
w=0 on ∂Q .
The function w is a corresponding eigenfunction.

Hence if σ is an eigenvalue and w is a related eigenfunction, we set
λ = −σ above to find
u(x,t) = ce−σt w(x) (x ∈ Q, 0 ≤ t ≤ T ) (3.1.6)
solves
(
ut − ∆u = 0 in QT
(3.1.7)
u=0 on ∂Q × [0, T ]
with the initial condition
u(x, 0) = cw(x) (x ∈ Q) .
Thus (3.1.6) solves (3.1.1) if g(x) = cw(x).

More generally if σ1 , · · · , σm are eigenvalues, w1 , · · · , wm correspond-
ing eigenfunctions, and c1 , · · · , cm are constants, then
m
u(x,t) = ∑ ci e−σit wi (x) (3.1.8)
i=1
solves (3.1), with the initial condition

m
u(x, 0) = ∑ ci wi (x) (x ∈ Q) .
i=1
If we can find m, σ1 , · · · , σm , etc. such that

m
∑ ci wi(x) = g(x) (x ∈ Q) .
i=1
We are done. We can hope to generalize further by trying to find a count-

able sequence c1 , c2 , c3 , · · · of the eigenvalues with corresponding eigen-
functions w1 , w2 , w3 , · · · so that
m
∑ ci wi(x) = g(x) (x ∈ Q) , (3.1.9)
i=1
for appropriate constants ci ’s. Then presumably

∞
u(x,t) = ∑ ci e−σit wi (x) (3.1.10)
i=1
will be our solution of (3.1.1).

This is an attractive representation formula for the solution, but de-
pends upon (a) our being able to find eigenvalues, eigenfunctions and con-
stants satisfying (3.1.9), and (b) our verifying that the series in (3.1.10)
converges in some appropriate sense.
Remark 3.1.1. Note that our solution (3.1.6) was determined by sepa-
ration of variables; the more complicated forms (3.1.8) and (3.1.10) de-
pended on the linearity of the heat equation.
3.2 Similarity Solutions

For nonlinear PDEs it is often profitable to look for very specific solution
u the form of which reflects various “symmetries” in the structure of the
PDE. We have already seen this idea in our derivation of the fundamental
solutions for Laplace’s and the heat equation in Section 2.2.1. and 2.3.1..
Following are some other applications of this idea.
3.2.1. Travelling and plane Waves, Solutions

Consider a PDE involving the two variables x ∈ R, t > 0. Then a solution
u of the form
u(x,t) = v(x − αt) (x ∈ R, t > 0) (3.2.1)
is called a travelling wave (with velocity α). More generally a solution u of
a PDE in the n + 1 variables x = (x1 , · · · , xn ) ∈ Rn , t > 0, having the form
u(x,t) = v(k · x − αt) (x ∈ Rn , t > 0) (3.2.2)
α
is called a plane wave (with wavefront normal to k and velocity |k| ).
It is particularly enlightening when studying linear PDEs to consider
complex-valued plane waves of the form
u(x,t) = ei(k·x+ωt) , (3.2.3)
where ω ∈ C is the frequency and k = (k1 , · · · , kn ) ∈ Rn the wave num-

bers. We will substitute trial solutions of the form (3.2.3) into various
linear PDEs, paying particular attention to the relationship k and ω which
is forced by the structure of the equation.
a. Exponential Solutions
(i) Heat Equation
If u has the form (3.2.3), we compute
ut − ∆u = (iω + |k|2 )u = 0
provided
ω = i|k|2 .
Hence
2
u(x,t) = eik·x−|k| t
solves the heat equation for each k ∈ Rn . Taking real and imaginary parts,
we discover further that
2 2
e−|k| t cos(k · x) and e−|k| t sin(k · x)
are solutions.
Notice in this example that since ω is purely imaginary, it leads to a real
2
exponential term e−|k| t in the formulas, which corresponds to dissipation.
(ii) Wave equation
Upon our substituting (3.2.3) into the wave equation we find
utt − ∆u = (−ω2 + |k|2 )u = 0

provided
ω = ±|k| .
Consequently
u(x,t) = ei(k·±|k|t)
solves the wave equation, as do
cos(k · x ± |k|t) and sin(k · x ± |k|t) .
Since ω is real, there are no dissipation effects in these solutions.

(iii) Dispersion Equation
We now let n = 1 and substitute
u(x,t) = ei(kx+ωt)
into the dispersion equation
ut + uxxx = 0 , (3.2.4)
which is the Korteweg-de Vries equation without the nonlinear term. We

calculate
ut + uxxx = i(ω − k3 )u = 0 ,
whenever
ω = k3 .
Thus
2
u(x,t) = eik(x+k t)
solves the dispersion equation (3.2.4), and once again, since ω is real,
there is no dissipation. Notice however that the velocity of propagation
is k2 , which depends nonlinearly upon the frequency of the initial value
eikx . Thus waves of different frequencies propagate at different velocities:
the PDE creates dispersion.
b. Solitons
We consider next the Korteweg-de Veries (KdV) equation in the form
ut + 6uux + uxxx = 0 in Rn × (0, ∞) , (3.2.5)
and seek a travelling wave solution of the form
u(x,t) = v(x − αt) . (3.2.6)
Then
ut = −αv0 (x − αt) ,
ux = v0 (x − αt) ,
uxxx = v000 (x − αt) ;
and consequently u solves (3.2.5) provided v satisfies for ODE
−αv0 + 6vv0 + v000 = 0 . (3.2.7)
We integrate (3.2.7) by noting
(v2 )0 = 2vv0 ;
so that (3.2.7) implies
−αv + 3v2 + v00 = a
for some constant a. Multiply this equation by v0 to obtain
−αvv0 + 3v2 v0 + v00 v0 = av0 .

0
(v02 )
Next observe that (v3 )0 = 3v2 v0 , v00 v0 = 2 , to find
(v02 ) α
= −v3 + v2 + av + b , (3.2.8)
2 2
where b is another arbitrary constant.
We investigate (3.2.8) by looking now only for solutions v which satisfy
v, v0 , v00 → 0 as x → ±∞. (In this case the solution u of the form (3.2.6) is
called a solitary wave). Then (3.2.6) implies a = b = 0; where upon the

equation simplifies to read

(v02 ) 2 α
= v −v+ ,
2 2
so that
√
v01/2 = ±v α − 2v . (3.2.9)
We for computational convenience take the plus sign above and obtain
from (3.2.9) this implicit formula for v:
Z v(y)
dz
y= +c, (3.2.10)
0 z(α − 2z)
for some constant c which we take to be positive. Now substitute
α
z= sech2 θ .
2
Then
dz
= αsech2 θtanhθ
dθ
and
α √
z(α − 2z)1/2 = sech2 θ αtanhθ .
2
Hence (3.2.10) becomes
2
y = √ θ+d (3.2.11)
c
for some constant d, where θ is implicitly given by
α
sech2 θ = v(y) . (3.2.12)
2
We at last combine (3.2.11) and (3.2.12) to compute
√
α 2 α
v(y) = sech (y − d) .
2 2
Conversely, it is routine to check that v so defined solves the ODE (3.2.7).

The upshot is that
√
α 2 α
u(x,t) = sech (x − αt − d)
2 2
is a solution of the KdV equation for each d ∈ R, α > 0. A solution of this
form is called a soliton.
3.3 Fourier and Laplace Transforms

In this section we develop some of the theory of Fourier and Laplace trans-
forms, which provides extremely powerful tools for converting certain lin-
ear partial differential equations into either algebraic equations or else dif-
ferential equations involving fewer variables. The material of this section
is taken from [2].
3.3.1. Fourier Transform

In this section all functions are complex-valued, and ¯· denotes the complex
conjugate.
Definition 3.3.1. Fourier transform on L1 . If u ∈ L1 (Rn ), we define its
Fourier transform
1
Z
û(y) := e−ix·y u(x) dx (y ∈ Rn ) (3.3.1)
(2π)n/2 Rn
and its inverse Fourier transform

1
Z
ǔ(y) := eix·y u(x) dx (y ∈ Rn ) . (3.3.2)
(2π)n/2 Rn

Since e±ix·y = 1 and u ∈ L1 (Rn ), these integrals converge for each y ∈ Rn .
We intend now to extend definitions (3.3.1), (3.3.2) to functions u ∈

L2 (Rn ).
Theorem 3.3.1. (Plancherel’s Theorem). Assume u ∈ L1 (Rn ) ∩ L2 (Rn ).
Then û, ǔ ∈ L2 (Rn ) and
kûkL2 (Rn ) = kũkL2 (Rn ) = kukL2 (Rn ) . (3.3.3)
Proof. 1. First we note that if v, w ∈ L1 (Rn ), then v̂, ŵ ∈ L∞ (Rn ). Also

Z Z
v(x)ŵ(x) dx = v̂(y)w(y) dy (3.3.4)
Rn Rn
1
e−ix·y v(x)w(y) dx dy.
R R
since both expressions equal (2π)n/2 Rn Rn
Further-
more,
Z
2
π n/2 |y|2
eix·y−t|x| dx = e− 4t (t > 0) .
Rn t
|y|2
−ε|x|2 e− 4ε
Consequently if ε > 0 and vε (x) := e , we have v̂ε (y) = (2ε)n/2
. Thus
(3.3.4) implies for each ε > 0 that
1 |x|2
Z Z
2
ŵ(y)e−ε|y| dy = w(x)e− 4ε dx . (3.3.5)
Rn (2ε)n/2 Rn
2. Now take u ∈ L1 (Rn ) ∩ L2 (Rn ) and set v(x) := ū(−x). Let w :=

u ∗ v ∈ L1 (Rn ) ∩C (Rn ) and check (cf. Theorem below ) that
ŵ = (2π)n/2 ûv̂ ∈ L∞ (Rn ) .
But
1
Z
v̂(y) = e−ix·y ū(−x) dx = û(y)
(2π)n/2 Rn
and so ŵ = (2π)n/2|û|2 . Now w is continuous and thus

1 |x|2
Z
lim w(x)e− 4ε dx = (2π)n/2w(0) .
ε→0 (2ε)n/2 Rn
Since ŵ = (2π)n/2|û|2 ≥ 0, we deduce upon sending ε → 0+ in (5) that ŵ is

summable, with Z
ŵ(y) dy = (2π)n/2 w(0) .
Rn
Hence
Z Z Z
2
|û| dy = w(0) = u(x)v(−x) dx = |u|2 dx .
Rn Rn Rn
The proof for ǔ is similar.
Definition 3.3.2. Fourier transform on L2 . In view of the equality (3.3.3)

we can define the Fourier transforms of a function u ∈ L2 (Rn ) as follows.
Choose a sequence {uk }∞ 1 n 2 n
k=1 ⊂ L (R ) ∩ L (R ) with
uk → u in L2 (Rn ) .

According to (3.3.3), ûk − û j L2 (Rn ) = u\ k − u j = uk − u j L2 (Rn ) ,
L2 (Rn )
and thus {ûk }∞ 2 n
k=1 is a Cauchy sequence in L (R ) . This sequence conse-
quently converges to a limit, which we define to be û :
ûk → û in L2 (Rn ) .
The definition of û does not depend upon the choice of approximating se-
quence {ûk }∞
k=1. We similarly define ǔ.
Next we record some useful formulas.

Theorem 3.3.2. (Properties of Fourier transform). Assume u, v ∈ L2 (Rn ).
Then Z Z
(i) uv̄ dx = ûv̄ dy
Rn Rn
d
(ii) D α u = (iy)α û for each multi-index α such that Dα u ∈ L2 (Rn )
\
(iii) (u n/2
∗ v) = (2π) ûv̂
(iv) u = (û).
Proof. 1. Let u, v ∈ L2 (Rn ) and α ∈ C. Then
ku + αvk2L2 (Rn ) = kû + α

cvk2L2 (Rn ) .
Expanding Rthe equation above, we deduce Rn |u|2 + |αv|2 + ū(αv) +

R
u(ᾱv̄) dx = Rn |û|2 + |α
cv|2 + û(αcv) + û(ᾱv̂) dy and so according to The-
orem 3.3.1, Z Z
αūv + ᾱuv̄ dx = αûv̂ + ᾱûv̂ dy .
Rn Rn
Take α = 1 and i, respectively, and combine the resulting equalities to de-

duce Z Z
uv̄ dx = ûv̄ dy .
Rn Rn
This proves (i).
2. If u is smooth and has compact support, we calculate
1
Z
d
D α u(y) = e−ix·y Dα u(x) dx
(2π)n/2 Rn
(−1)|α|
Z
= n/2
Dαx e−ix·y u(x) dx
(2π) Rn
1
Z
= n/2
e−ix·y (iy)αu(x) dx = (iy)αû(y) .
(2π) R n
By approximation the same formula is true if Dα u ∈ L2 (Rn ).

3. We compute for u, v ∈ L1 (Rn ) ∩ L2 (Rn ) and y ∈ Rn that
1
Z Z
(ud
∗ v)(y) = e−ix·y u(z)v(x − z) dz dx
(2π)n/2 Rn Rn
Z
1
Z
−iz·y −i(x−z)·y
= e u(z) e v(x − z) dx dz
(2π)n/2 Rn Rn
Z
= e−iz·y u(z) dzv̂(y) = (2π)n/2 û(y)v̂(y) .
Rn
2
4. Fix z ∈ Rn , ε > 0 and write vε (x) := eix·z−ε|x| . Then
1 1 |x−z|2
Z
2
v̂ε (y) = e−ix·(y−z)−ε|x| dx = e− 4ε ,
(2π)n/2 Rn (2ε) n/2
where we followed computations from the proof of Theorem 3.3.1. Utiliz-

ing formula (3.3.4), we deduce for u ∈ L1 (Rn ) ∩ L2 (Rn ) that
1 |x−z|2
Z Z
iz·y−ε|y|2
û(y)e dy = u(x)e− 4ε dz .
Rn (2ε)n/2 Rn
The expression on the right converges to (2π)n/2u(z) as ε → 0+ , for each

Lebesgue point of u. Thus (2π)1 n/2 Rn û(y)eiz·y dy = u(z) for a.e. z.
R
This proves (iv).

3.3.2. Laplace Transform

Remember that we write R+ = (0, ∞).
Definition 3.3.3. If u ∈ L1 (R+ ), we define its Laplace transform to be
Z ∞
u# (s) := e−st u(t) dt (s ≥ 0) . (3.3.6)
0
Whereas the Fourier transform is most appropriate for functions

defined on all of R (or Rn ), the Laplace transform is useful for functions
defined only on R+ . In practice this means that for a partial differential
equation involving time, it may be useful to perform a Laplace transform
in t, holding the space variables x fixed.
Example 1 (Resolvents and Laplace transform). Consider again the heat

equation (
vt − ∆v = 0 in U × (0, ∞) ,
(3.3.7)
v = f on U × {t = 0} ,
and perform a Laplace transform with respect to time:
Z ∞
#
v (x, s) = e−st v(x,t) dt (s > 0) .
0
What PDE does v# satisfy? We compute

Z ∞ Z ∞
−st
#
∆v (x, s) = e ∆v(x,t) dt = e−st vt (x,t) dt
0 0
Z ∞ t=∞
=s e−st v(x,t) dt + e−st vt=0 = sv# (x, s) − f (x) .
0
Think now of s > 0 being fixed, and write u(x) := v# (x, s). Then
−∆u + su = f in U . (3.3.8)
Thus the solution of the resolvent equation (3.3.8) with right hand side f
is the Laplace transform of the solution of the heat equation (3.3.7) with
initial data f .
Example 2 (Wave equation from the heat equation). Next we employ
some Laplace transform ideas to provide a new derivation of the solution
for the wave equation, based-surprisingly-upon the heat equation.
Suppose u is a bounded, smooth solution of the initial-value problem:

utt − ∆u = 0 in Rn × (0, ∞) ,
(3.3.9)
u = g, ut = 0 on Rn × {t = 0} ,
where n is odd and g is smooth, with compact support. We extend u to

negative times by writing
u(x,t) = u(x, −t) if x ∈ Rn ,t < 0 . (3.3.10)
Then
utt − ∆u = 0 in Rn × R .
Next define
Z ∞
1 2 /4t
v(x,t) := e−s u(x, s) ds (x ∈ Rn ,t > 0) . (3.3.11)
(4πt)1/2 −∞
Hence
lim v = g uniformly on Rn .
t→0
In addition
1 ∞ Z
2
∆v(x,t) = 1/2
e−s /4t ∆u(x, s) ds
(4πt) −∞
Z ∞
1 2
= e−s /4t uss (x, s) ds
(4πt)1/2 −∞
Z ∞
1 s −s2 /4t
= 1/2
e us (x, s) ds
(4πt) −∞ 2t
Z ∞ 2
1 s 1 2
= 1/2 2
− e−s /4t u(x, s) ds = vt (x,t) .
(4πt) −∞ 4t 2t
Consequently v solves this initial-value problem for the heat equation:

(
vt − ∆v = 0 in Rn × (0, ∞) ,
v = g on Rn × {t = 0} .
As v is bounded, we have that
1 |x−y|2
Z
v(x,t) = e− 4t g(y) dy . (3.3.12)
(4πt)n/2 Rn
We equate (3.3.11) with (3.3.12), recall (3.3.10), and set λ = 4t1 , thereby
obtaining the identity
Z ∞ n−1
1 λ 2
Z
−λs2 2
u(x, s)e ds = e−λ|x−y| g(y) dy .
0 2 π R n
Thus
Z ∞ n−1 Z ∞
−λs2 nα(n) λ 2 2
u(x, s)e ds = e−λr rn−1 G(x; r) dr (3.3.13)
0 2 π 0
for all λ > 0, where
G(x; r) = f ∂B(x,r) g(y) dS(y) . (3.3.14)
We will solve (3.3.13),

(3.3.14) for u. To do so, we write n = 2k + 1 and
1 d −λr 2 −λr 2
note − 2r dr e = λe . Hence
Z ∞ Z ∞
n−1 2 2
λ 2 e−λr rn−1 G(x; r) dr = λk e−λr r2k G(x; r) dr
0 0
" k #
(−1)k ∞
Z
1 d
−λr 2
= e r2k G(x; r) dr
2k 0 r dr
" k #
1 ∞
Z
1 ∂ 2
= k r r 2k−1
G(x; r) e−λr dr ,
2 0 r ∂r
where we integrated by parts k times for the last equality.

Owing to (3.3.13) (with r replacing s in the expression on the left), we
deduce
Z ∞
" k #
Z ∞
nα(n) 1 ∂
−λr 2 2
u(x, r)e dr = n−1 r r 2k−1
G(x; r) e−λr dr .
0 π 2 2k+1 0 r ∂r
(3.3.15)
Upon substituting τ = r2 we see that each side above, taken as a function
of λ, is a Laplace transform. As two Laplace transforms agree only if the
original functions were identical, we deduce
k
nα(n) 1∂
u(x,t) = k k+1 t t 2k−1G(x,t) . (3.3.16)
π2 t ∂t
1
πn/2 πk+ 2 1
Now n = 2k + 1 and α(n) = n
= n
. Since Γ = π1/2
Γ 2 +1 Γ 2 +1 2
and Γ(x + 1) = xΓ(x) for x > 0, we can compute
nα(n) nπ1/2 1 1
k k+1
= n
= = .
π2 k+1
2 Γ 2 +1 (n − 2)(n − 4) · · ·5 · 3 γn
We insert this deduction into (3.3.16) and simplify:

n−3
1 ∂ 1∂ 2
u(x,t) = t n−2 f ∂B(x,t) g dS (x ∈ Rn ,t > 0) . (3.3.17)
γn ∂t t ∂t
This is formula (3.3.8).

Chapter 4
Function Spaces
The major part of the material of this chapter is taken from the textbook
[6].
4.1 Spaces of Continuous and Continuously

Differentiable Functions, C Q and C k Q
The very foundation of the entire advanced theory of PDEs is formed by
some special spaces of functions. Therefore, these spaces form the starting
point of the study of PDEs. Below Q ⊂ Rn is a bounded set.

4.1.1. The Space C Q

Denote C Q the normed linear space of all functions f (x) which are con-
tinuous in Q, and with the norm
k f kC(Q) = max | f (x)| .

Q
Recall the definition of the Banach space. Let B be a normed linear space
with the norm k·kB . A sequence {xn }∞ n=1 ⊂ B satisfies the Cauchy con-
vergence criterion if for an ε > 0 there exists an integer N = N (ε) such
that
kxn − xm kB < ε, ∀n, m ≥ N . (4.1.1)
This sequence is called “Cauchy sequence”.
Definition 4.1.1. A linear space B with a norm k·kB is called Banach

space, if it is complete. In other words, for any sequence {xn }∞ n=1 ⊂ B sat-
isfying the Cauchy convergence criterion, namely Cauchy sequence, there
exists a limit limn→∞ xn = x and this limit belongs to B, i.e. x ∈ B.

Theorem 4.1.1. The normed linear space C Q is a Banach space.

Proof. Let { f n (x)}∞
n=1 ⊂ C Q be a Cauchy sequence. It is well known
from the Analysis course that for any x ∈ Q the sequence { f n (x)}∞ n=1 con-
verges. Denote its limit as
lim f n (x) = f (x) . (4.1.2)

n→∞
Thus, f (x) is a pointwise limit of the sequence { f n (x)}∞

n=1 . We now need
to show that this is actually uniform limit. Choose an ε > 0. And choose
an integer N (ε) > 1 such that
| f n (x) − f m (x)| < ε/3, ∀x ∈ Q, ∀n, m > N (ε) , (4.1.3)
see (4.1.1). Using (4.1.2) and taking in (4.1.3) the limit as m → ∞, we

obtain
| f n (x) − f (x)| < ε/3, ∀x ∈ Q, ∀n > N (ε) . (4.1.4)
Hence, (4.1.2) is the uniform limit.
Let x, y ∈ Q be two arbitrary points. Fix n > N (ε) . By (4.1.4) and the
triangle inequality
| f (x) − f (y)| ≤ | f (x) − f n (x)| + | f n (y) − f (y)| + | f n (x) − f n (y)|
2
< ε + | f n (x) − f n (y)| . (4.1.5)
3
For this fixed number n and fixed x choose a number δ = δ (ε) > 0 such
that
ε
| f n (x) − f n (y)| < , ∀y ∈ {|x − y| < δ} ∩ Q .
3
Then (4.1.5) implies that
| f (x) − f (y)| < ε,

∀y ∈ {|x − y| < δ} ∩ Q .

Hence, the function f (x) is continuous in Q, i.e. f ∈ C Q .
Function Spaces 103

4.1.2. The Space Ck Q
Let α = (α1 , ..., αn ) be a multi-index with integer coordinates αi ≥ 0. De-
note
n
|α| = ∑ αi .
i=1
Introduce the differential α
operator D as
∂|α| u
Dα u = .
∂αxnn ...∂αx11
For example,
∂2 u
D(1,1)u = .
∂x2 ∂x1

Let k ≥ 1 be an integer. Consider the normed linear space Ck Q of k times
continuously differentiable in Q functions f (x) with the norm
k f kCk (Q) = ∑ max |Dα f | .

|α|≤k Q

Theorem 4.1.2. Ck Q is a Banach space.
Proof. It is sufficient to prove that if
lim k f n − f kC(Q) = 0 ,
n→∞
kDα f n − gα kC(Q) = 0 ,
then gα = Dα f .
It suffices to give the sketch of the proof by showing you an idea of it
on a simplified example. Consider, for example the case of two variables,
f = f (x, y) .
Zx
f n (x, y) = f nx (s, y) ds + f n (a, y) .
a
We have
k f n (x, y) − f (x, y)kC(Q) → 0, n → ∞ .
Hence,
max | f n (a, y) − f (a, y)| → 0, n → ∞ .
(a,y)∈Q

Next, since the
space C Q is complete (Theorem 4.1.1), then the function
g(1,0) ∈ C Q , where

g(1,0) = lim f nx in the norm of C Q .
n→∞
Hence,

Zx x
Z

f nx (s, y) − g(1,0) (s, y) ds ≤ f nx (s, y) − g(1,0) (s, y) ds .

a a
Let ε > 0 be a sufficiently small number. Then there exists a number N =

N (ε) > 1 such that

max f nx (x, y) − g(1,0) (x, y) < ε .
Q
Hence,
Zx

f nx (s, y) − g(1,0) (s, y) ds < Cε ,

a
where the constant C > 0 depends only on the domain Q.
This proves that

Zx Zx

max f nx (s, y) ds − g(1,0) (s, y) ds → 0, n → ∞ .
Q
a a
Hence,
Zx
f (x, y) = g(1,0) (s, y) ds + f (a, y) .
a
Hence,
f x (x, y) = g(1,0) (s, y) .
Function Spaces 105
4.2 The Space L1 (Q)

L1 (Q) is the normed linear space of functions with the norm
Z
k f kL1 (Q) = | f (x)| dx . (4.2.1)
Q
Exercise. Show that L1 (Q) is a linear normed space. In particular, show

that (4.2.1) satisfies the definition of the norm.
Theorem 4.2.1. L1 (Q) is a Banach space.
Proof. Let the sequence { f n }∞
n=1 satisfies Cauchy criterion in terms of the
norm (4.2.1). Then we can choose the sequence of integers {Nk }∞ k=1 such
that Nk < Nk+1 and
k f Nk − f m kL1 (Q) < 2−k, ∀m ≥ Nk .
Hence the following sequence converges:

∞
∑ fN k
− f Nk+1 L
1 (Q)
. (4.2.2)
k=1
Consider the series

∞
∑ fN (x) − fN
k k+1
(x) , x ∈ Q. (4.2.3)
k=1
And consider the sequence associated with the series (4.2.3),

n
Sn (x) = ∑ fN (x) − fN
k k+1
(x) .
k=1
Then the sequence {Sn (x)} is monotonically increasing, Sn (x) ≤ Sn+1 (x) .
Next, integrals of this sequence are bounded from the above
Z n Z
Sn (x) dx = ∑ f N (x) − f N (x) dx
k k+1
Q k=1 Q
∞ Z ∞
≤ ∑ f N (x) − f N (x) dx ≤ ∑ 2−k .
k k+1
k=1 Q k=1
Levy’s Theorem. If there is a sequence of functions { gn (x)}∞ n=1 with

kgn kL1 (Q) < ∞ such that gn (x) ≤ gn+1 (x) almost everywhere (a.e.), then
this sequence converges a.e. to a function g ∈ L1 (Q) and
Z Z
lim gn (x) dx = g (x) dx .
n→∞
Q Q
By this theorem the sequence Sn (x) converges a.e. But this also means that
the series
∞
∑ fNk (x) − fNk+1 (x)
k=1
converges a.e. to a function f (x) . We have
S
∑ f Nk (x) − f Nk+1 (x) = (4.2.4)
k=1
= f N1 (x) − f N2 (x) + f N2 (x) − f N3 (x) + ... + f NS−1 (x) − f NS (x)

= f N1 (x) − f NS (x) .
Since the limit of the sequence (4.2.4) exists a.e., then there exists a limit
lim f NS (x) = f (x) a.e. . (4.2.5)

S→∞
We now show that
lim k f Nk − f kL1 (Q) = 0 . (4.2.6)

k→∞
Fatou’s Lemma. Consider a sequence of functions { gn (x)}∞ n=1 such that

kgn kL1 (Q) < ∞ and gn (x) ≥ 0 a.e. Suppose that there exists a function g (x)
such that
lim gn (x) = g (x) a.e.
n→∞
and
kgn kL1 (Q) ≤ A, ∀n = 1, 2, ...
for a certain number A > 0. Then the function g ∈ L1 (Q) and kgkL1 (Q) ≤ A.
Consider an arbitrary integer k. Then for m ≥ Nr and r ≥ k by the
triangle inequality
k f m − f Nk kL1 (Q) ≤ k f m − f Nr kL1 (Q) + k f Nr − f Nk kL1 (Q) ≤ 2 · 2−r .

Function Spaces 107
Hence,
k f m − f Nk kL1 (Q) ≤ 21−r . (4.2.7)
Fix m and consider the sequence {( f m − f Nk ) (x)}∞ k=1 . By (4.2.5) this se-
quence converges a.e. to the function ( f m − f ) (x) . Hence, it follows from
(4.2.7) that we can apply Fatou’s Lemma. Hence,
k f m − f kL1 (Q) ≤ 21−r , ∀m ≥ Nr .
Hence,
lim k f m − f kL1 (Q) = 0 .
m≥Nr ,r→∞
This means that the Cauchy sequence { f n }∞ n=1 ⊂ L1 (Q) converges to the
function f ∈ L1 (Q) in terms of the norm of L1 (Q) . This proves that the
space L1 (Q) is a complete space, i.e. it is a Banach space.
4.3 The Space L2 (Q)

This is the set of all functions f (x) such that
 1/2
Z
k f kL2 (Q) = f 2 (x) dx < ∞.
Q
This is indeed a linear space. Indeed, if f 1 , f 2 ∈ L2 (Q) , then for every two
numbers c1 , c2 ∈ R
Z Z Z Z
2
(c1 f 1 + c2 f 2 ) dx = c21 f 12 dx + c22 f 22 dx + 2c1 c2 f 1 f 2 dx .
Q Q Q Q
We have:
2ab ≤ a2 + b2 , ∀a, b ∈ R .
Hence,
Z Z Z
(c1 f 1 + c2 f 2 )2 dx ≤ 2c21 f 12 dx + 2c22 f 22 dx
Q Q Q
= 2c21 k f 1 k2L2 (Q) + 2c22 k f 2 k2L2 (Q) .

Hence, if f 1 , f 2 ∈ L2 (Q), then c1 f 1 + c2 f 2 ∈ L2 (Q) . Hence, L2 (Q) is a
normed space.
Lemma 4.3.1. If the function f ∈ L2 (Q) , then f ∈ L1 (Q).
Proof. By Cauchy-Schwarz inequality, we have:

 1/2  1/2
Z Z Z Z p
| f | dx = | f | · 1 dx ≤  f 2 dx  1 dx = k f kL2 (Q) |Q| ,
Q Q Q Q
(4.3.1)
where Z
|Q| = 1 dx .
Q
Now, if f 1 , f 2 ∈ L2 (Q) , then by the Cauchy-Schwarz inequality

 1/2  1/2
Z Z Z
| f 1 f 2 | dx ≤  f 12 dx  f 22 dx = k f 1 kL2 (Q) k f 2 kL2 (Q) < ∞ .
Q Q Q
Hence, if f 1 , f 2 ∈ L2 (Q) , then their product f 1 f 2 ∈ L1 (Q).

Hence, we define the scalar product of two functions f 1 , f 2 ∈ L2 (Q) as
Z
( f 1 , f 2 )L2 (Q) = f 1 f 2 dx .
Q
In particular,
( f , f )L2 (Q) = k f k2L2 (Q) ,

( f 1 , f 2 )L2 (Q) ≤ k f 1 kL2 (Q) k f 2 kL2 (Q) .
Theorem 4.3.1. L2 (Q) is a Hilbert space.
Proof. Recall that Hilbert space is a Banach space with the scalar product.
Therefore, it is sufficient to prove that the space L2 (Q) is complete.
Let { f n }∞
n=1 ⊂ L2 (Q) be a Cauchy sequence. Similarly with the proof
of Theorem 4.2.1, we can find a sequence N1 ≤ N2 ≤ ... ≤ Nk ≤ .... such
that
k f m − f Nk kL2 (Q) ≤ 2−k , ∀m ≥ f Nk .
Function Spaces 109
In particular,
fN − fN ≤ 2−k .
k k+1 L 2 (Q)
Hence,
p p
fN − fN ≤ |Q| f Nk − f Nk+1 L1 (Q) ≤ |Q|2−k .
k k+1 L1 (Q)
Hence, as in the proof of Theorem 4.2.1, the sequence { f Nk } converges a.e.

to a function f (x) . Hence, | f Nk |2 → f 2 a.e. In addition, by the triangle
inequality
k f Nk kL2 (Q) = k f Nk − f N1 + f N1 kL2 (Q) ≤ k f Nk − f N1 kL2 (Q) + k f N1 kL2 (Q)
≤ 1 + k f N1 kL2 (Q) .
Hence, by Fatou’s Lemma f 2 ∈ L1 (Q) , which means that f ∈ L2 (Q) .

We now need to prove that k f m − f kL2 (Q) → 0 as m → ∞.
For m ≥ Nr and k ≥ r we obtain, using the triangle inequality
k f m − f Nk kL2 (Q) ≤ k f m − f Nr kL2 (Q) + k f Nr − f Nk kL2 (Q) ≤ 21−r .
Setting here k → ∞, we obtain using again Fatou’s Lemma
k f m − f kL2 (Q) ≤ 21−r , ∀m ≥ Nr .
Hence, indeed k f m − f kL2 (Q) → 0.

4.4 The Space C Q is Dense in L1 (Q) and L2 (Q) .
Spaces L1 (Q) and L2 (Q) Are Separable. Conti-
nuity in the Mean of Functions from L1 (Q) and
L2 (Q)

Theorem 4.4.1. The space C Q is dense in L1 (Q) and L2 (Q).
Proof. First, let the function f ∈ L1 (Q) . Without loss of generality, we

regard that f ≥ 0. Indeed, otherwise, we can represent
f = f+− f−,
where f + , f − ≥ 0, and apply the rest of the proof to each of these functions
separately.
Since f ≥ 0, then by the definition of an integrable function, there ex-
ists a sequence of functions f k ∈ C Q such that it converges pointwise to
f a.e. from the below:
fk % f ,
and also Z Z
f k dx → f dx . (4.4.1)
Q Q
Next, since f − f k ≥ 0, then

Z Z
| f − f k | dx = ( f − f k ) dx . (4.4.2)
Q Q
It follows from (4.4.1) and (4.4.2) that
lim k f − f k kL1 (Q) = 0 .

k→∞

Thus, the density of C Q in L1 (Q) is proven.
Now let f ∈ L2 (Q) . Again, assume that f ≥ 0. Since L2 (Q) ⊂ L1 (Q) as
f ∈ L1 (Q) . Hence, there exists again a sequence of functions
a subset, then
f k ∈ C Q such that it converges pointwise to f a.e. from the below:
fk % f . (4.4.3)
We can assume that f k ≥ 0. Indeed, otherwise, we can replace f k with f k+ .

But then (4.4.3) f k2 % f 2 . Furthermore, by the definition of the integral
Z Z
f k2 dx → f 2 dx . (4.4.4)
Q Q
Lebesque Theorem. If a sequence of measurable functions gn converges

a.e. to a function g and if there exists a function p ∈ L1 (Q) such that
|gn | ≤ p, then
Z Z
gn dx → g dx .
Q Q
Function Spaces 111
In our case f k f ≤ f 2 and f k f → f 2 . Hence, by the Lebesque Theorem

Z Z
f k f dx → f 2 dx . (4.4.5)
Q Q
Next, using (4.4.3)

Z Z Z Z
2 2
( f − f k ) dx = f dx − 2 f k f dx + f k2 dx
Q Q Q Q
Z Z Z
→ f 2 dx − 2 f 2 dx + f 2 dx = 0 .
Q Q Q
Theorem 4.4.2. Spaces L1 (Q) and L2 (Q) are separable.

Proof. Recall that a normed linear space is called “separable” if there ex-
ists in it a countable dense set.
By Weierstrass’ theorem, polynomials are dense in C Q . Next, poly-
nomials with rational coefficients are dense in the set of polynomials and
form a countable set.
Definition 4.4.1. A function f ∈ L1 (Q) is called “continuous in the mean”,

if for any ε > 0 one can choose such δ = δ (ε) that
k f (x + z) − f (x)kL1 (Q) < ε , for all z such that |z| < δ .
The same definition holds for f ∈ L2 (Q) .

Theorem 4.4.3. Every function f ∈ L2 (Q) is continuous in the mean. The
same is true for f ∈ L1 (Q) .
Proof. We prove for f ∈ L2 (Q) only. The case f ∈ L1 (Q) is similar.
Let Ba ={|x| < a}. There exists a sufficiently large number a > 0 such
that Q b Ba .
Let the function F (x) be such that
(
f (x) , x ∈ Q ,
F (x) = (4.4.6)
0, x ∈ B2a Q .
Hence, F ∈ L2 (B2a ).
Consider a sufficiently
small number ε > 0. By Theorem 4.4.1, there
exists a G ∈ C B2a such that
ε
kF − GkL2 (B2a ) < . (4.4.7)
3
e
function χ (x) such that χG = G = 0
We can find an appropriate cut-off
e e
outside of Ba and still G ∈ C B2a , G = G in Ba . Consider the function
e (x + z)
F (x + z) − G for |z| < a .
Then
Z h i2 Z
y=x+z
e (x + z)
F (x + z) − G dx == [F (y) − G (y)]2 dy
B2a |y|<a
= kF (y) − G (y)k2L2 (Ba ) .

Thus, by (4.4.7)
ε
e (x + z)
F (x + z) − G < , |z| < a . (4.4.8)
L2 (B2a ) 3
e is uniformly continuous in B2a , then there exists a δ > 0 such that

Since G
ε
e e
G (x + z) − G (x) < , |z| < δ . (4.4.9)
L2 (B2a ) 3
Therefore, by the triangle inequality, (4.4.6)-(4.4.9) for |z| < δ
k f (x + z) − f (x)kL2 (Q) = kF (x + z) − F (x)kL2 (B2a )

e (x + z) e e (x)
≤ F (x + z) − G + G (x + z) − G
L2 (B2a ) L2 (B2a )
+ kG (x) − F (x)kL2 (B2a )

ε ε ε
= + + = ε.
3 3 3
Function Spaces 113
4.5 Averaging of Functions of L1 (Q) and L2 (Q)

Definition 4.5.1. Let the number h > 0. The function ωh (|x|) is called
“averaging kernel” if:
1. ωh (z) is defined for z ≥ 0 and ωh (z) ≥ 0, ∀z ≥ 0.
2. ωh (z) = 0 for z ≥ h.
3. ωh (|x|) ∈ C∞ (Rn ) .
Z
4. ωh (|x|) dx = 1.
|x|<h
5. |Dα ωh (|x|)| ≤ C/ |h|n+|α| .
Exercise. Give at least one example of the function ωh (|x|) . Hint: use the
function 
 1
exp 2 , z ∈ (0, a) ,
z − a2

0, z > a .
Let f ∈ L1 (Q) or f ∈ L2 (Q). The averaging function f is
Z
f h (x) = f (y) ωh (|x − y|) dy .
Q
Obviously,

f h (x) = 0 for x ∈ Qh = x : dist x, Q > h ,
where dist is the Hausdorf distance,

dist x, Q = inf |x − y| .
y∈Q
Theorem 4.5.1.
lim k f − f h kL2 (Q) = 0, ∀ f ∈ L2 (Q) (4.5.1)

h→0
and the same holds true for f ∈ L1 (Q) .

Proof. We prove only for f ∈ L2 (Q).
Z Z
| f h (x) − f (x)| = f (y) ωh (|x − y|) dy − f (x) ωh (|x − y|) dy
|x−y|<h |x−y|<h
Z
= ωh (|x − y|)( f (y) − f (x)) dy
|x−y|<h
 1/2  1/2
Z Z
≤ ω2h (|x − y|) dy  ( f (y) − f (x))2 dy
|x−y|<h |x−y|<h
 1/2
hn/2
Z
≤C  ( f (x + z) − f (x))2 dz
hn
|z|<h
 1/2
C 
Z
= n/2 ( f (x + z) − f (x))2 dz .
h
|z|<h
Thus, we have proven that with a constant C > 0 independent on h and x

 1/2
C
Z
| f h (x) − f (x)| ≤ n/2  ( f (x + z) − f (x))2 dz .
h
|z|<h
Hence,
C
Z Z Z
2
| f h (x) − f (x)| dx ≤ n ( f (x + z) − f (x))2 dz dx
h
Q Q |z|<h
 
C
Z Z
=  ( f (x + z) − f (x))2 dx dz .
hn
|z|<h Q
Choose an ε > 0. By Theorem 4.4.3 there exists h0 = h0 (ε) > 0 such that
Z
( f (x + z) − f (x))2 dx < ε, ∀z ∈ {|z| < h, ∀h ∈ (0, h0 )} .
Q
Hence,
C
Z Z
2
| f h (x) − f (x)| dx ≤ n ε dz ≤ Cε .
h
Q |z|<h
Function Spaces 115

Definition 4.5.2. The set C0∞ (Q) is the set of all functions f ∈ C∞ Q such
that f = 0 at the boundary ∂Q together with all its derivatives.
Theorem 4.5.2. The set C0∞ (Q) is dense in both L2 (Q) and L1 (Q) .
Proof. We prove only for L2 (Q) . Denote
Qδ = {x ∈ Q : dist (x, ∂Q) > δ} .
Consider a sufficiently small ε > 0. By one of Lebesque’s theorems, there

exists δ (ε) > 0 such that
ε2
Z
f 2 dx < . (4.5.2)
4
QQδ
Let
f (x) , x ∈ Qδ ,
F (x) =
0, x ∈ QQδ .
By (4.5.2)
ε
k f − FkL2 (Q) <
. (4.5.3)
2
Next, by Theorem 4.5.1 there exists a number h0 > 0 such that
ε
kFh − F kL2 (Q) < , ∀h ∈ (0, h0 ) . (4.5.4)
2
Now, since F (x) = 0 for x ∈ QQδ , then the averaging function Fh (x) = 0
together with all its derivatives at x ∈ ∂Q as soon as h ∈ (0, δ) . In other
words, Fh ∈ C0∞ (Q) .
Next, by (4.5.3), (4.5.4) and the triangle inequality,
k f − Fh kL2 (Q) = k( f − F) + (F − Fh )kL2 (Q)
ε ε
≤ k f − F kL2 (Q) + kF − Fh kL2 (Q) < + = ε.
2 2
4.6 Linear Spaces L1,loc and L2,loc

The set of functions belonging to L1 (Q0 ) for any subdomain Q0 of the do-
main Q such that dist (∂Q0 , ∂Q) > 0 we denote L1,loc (Q) . And similarly for
L2,loc (Q) . Obviously,
L1 (Q) ⊂ L1,loc (Q) ,
L2 (Q) ⊂ L2,loc (Q) .
Example. Let Q = {|x| < 1} . Then the function

1 ∈ L1,loc (Q) ,
f (x) =
1 − |x| ∈
/ L1 (Q) .
4.7 Generalized Derivatives

Another term for generalized derivatives is “weak derivatives”. The inven-
tion of weak derivatives was done by Sergey L. Sobolev and it is a truly
revolutionary one!
If a function f ∈ C1 Q , then we have an identity
Z Z
f gxi dx = − f xi g dx, ∀g ∈ C01 (Q) .
Q Q

Furthermore,
one can prove that if f ∈ C Q and if there exists a function
hi ∈ C Q such that
Z Z
f gxi dx = − hi g dx, ∀g ∈ C01 (Q) ,
Q Q
then the function f has a continuous derivative f xi = hi in Q.
Definition 4.7.1. The function f α ∈ L2,loc (Q) is called the generalized

derivative Dα f in the domain Q of the function f ∈ L2,loc (Q) if the fol-
lowing identity holds
Z Z
α |α| |α|
f D g dx = (−1) f α g dx, ∀g ∈ C0 (Q) . (4.7.1)
Q Q
Function Spaces 117
Lemma 4.7.1. If a generalized derivative exists, then it is unique.

Proof. Suppose that for the same function f ∈ L2,loc (Q) , we have two
functions f 1α , f 2α ∈ L2,loc (Q) . Then subtraction leads to
Z
|α|
( f 1α − f 2α ) g dx = 0, ∀g ∈ C0 Q0 ,
Q0
for any subdomain Q0 ⊂ Q with dist (∂Q0 , ∂Q) > 0 : we can extend g by
|α|
zero outside of Q0 . By Theorem 4.5.2 the set C0 (Q0 ) is dense in L2 (Q0 ).
Hence, f 1α − f 2α = 0 in Q0 . Since Q0 is an arbitrary subdomain, then f 1α −
f 2α = 0 in Q.

Let the function f ∈ C|α| Q . Then certainly the identity (4.7.1) is
α
valid for
|α|
f and its conventional derivative αD f . Hence, any function f ∈
C Q has the generalized derivative D f and, by Lemma 4.7.1, they
coincide.
In particular, if f = const. a.e., then Dα f = 0 for all α with |α| > 0.
Since derivatives are independent on the order of the differentiation for
smooth functions, then the generalized derivatives are also independent on
the order of the differentiation: this can be easily derived from (4.7.1).
Example.
f (x) = |x1 | , Q = {|x| < 1} .
Let g ∈ C01 (Q),
Z Z Z
|x1 |gx1 dx = x1 gx1 dx − x1 gx1 dx
Q Q∩{x1 >0} Q∩{x1 <0}
Z Z
=− x1 g dx − x1 g dx
Q∩{x1 =0} Q∩{x1 =0}
Z Z
− g dx + g dx
Q∩{x1 >0} Q∩{x1 <0}
Z
= − sign (x) g dx ,
Q

1,z > 0,
sign (z) =
−1 , z < 0 .
Thus,
(|x1 |)x1 = sign (x1 ) .
Note that the function |x1 | is NOT differentiable in the conventional sense.
Next, for i 6= 1
Z Z Z
|x1 | gxi dx = x1 gxi dx − x1 gxi dx
Q Q∩{x1 >0} Q∩{x1 <0}
Z Z
=− x1 g dx − x1 g dx
Q∩{x1 =0} Q∩{x1 =0}
Z Z
− (x1 )xi g dx + (x1 )xi g dx = 0 .
Q∩{x1 >0} Q∩{x1 <0}
Thus,
(|x1 |)xi = 0 , i 6= 1 .
We now prove that the function sign (x1 ) does not have generalized deriva-
tive with respect to x1 . Indeed, suppose it does have this derivative,
(sign (x1 ))x1 = w .
Then for g ∈ C01 (Q)

Z Z
wg dx = − sign (x1 ) g dx
Q Q
Z Z
=− g dx + g dx
Q∩{x1 >0} Q∩{x1 <0}
Z
=2 g dx . (4.7.2)
Q∩{x1 =0}
Function Spaces 119
Consider now an arbitrary function g ∈ C01 (Q) such that g = 0 in Q ∩

{x1 < 0} . Then g = 0 in Q ∩ {x1 = 0} . Hence,
Z Z
wg dx = g dx = 0 .
Q Q∩{x1 >0}
Hence, w = 0 in Q ∩ {x1 > 0} . Similarly, w = 0 in Q ∩ {x1 < 0} . Hence,

Z
wg dx = 0, ∀g ∈ C01 (Q) .
Q
Hence, by (4.7.2)
Z
g dx = 0, ∀g ∈ C01 (Q) .
Q∩{x1 =0}
The latter is not true of course.
4.8 Sobolev Spaces H k (Q)

H k (Q) is the most popular Sobolev space since it is based on L2 (Q) . The
symbol H is used because this is a Hilbert space. The original notation of
Sobolev is Wpk (Q). “p” is used since this space is based on L p (Q). So, in
this sense H k (Q) = W2k (Q) .
Here k ≥ 0 is an integer. If k = 0, then H 0 (Q) = L2 (Q).
Below k ≥ 1. Define Hlock (Q) as the linear space of all functions f ∈
L2,loc (Q) , which have generalized derivatives Dα f ∈ L2,loc (Q) for all |α| ≤
k.
Now, H k (Q) ⊂ Hlock
(Q) is the set of all functions f ∈ L2 (Q) which
have generalized derivatives Dα f ∈ L2 (Q) for all |α| ≤ k.
Similarly with L2 (Q), we introduce the scalar product and norm in
H k (Q) as:
Z
( f , g)H k (Q) = ∑ Dα f Dα g dx ,
|α|≤k Q
 1/2
Z
k f kH k (Q) =  ∑ (Dα f )2 dx .
|α|≤k Q
Exercise. Prove that the scalar product and norm above satisfy the defini-
tion of the scalar product and that of the norm, respectively.
Theorem 4.8.1. H k (Q) is a Hilbert space.
Proof. We need to prove that the space H k (Q) is complete. Consider a
Cauchy sequence,
Z
2
k f n − f m k2H k (Q) = ∑ (Dα f n − Dα f m ) dx → 0 , n , m → ∞ .
|α|≤k Q
Hence,
kDα f n − Dα f m k2H k (Q) → 0; n, m → ∞, ∀α, |α| ≤ k .
Since the space L2 (Q) is complete, then for each α there exists a unique
function pα such that
2
kDα f n − pα kL2 (Q) → 0; n → ∞, ∀α, |α| ≤ k . (4.8.1)
And therefore,
k f n − p0 k2L2 (Q) → 0 ; n → ∞ . (4.8.2)
Denote p0 = f . We have for all g ∈ C01 (Q)
Z Z
f n Dα g dx = (−1)α Dα f n g dx .
Q Q
Setting here n → ∞ and using (4.8.1), and (4.8.2), we obtain

Z Z
f Dα g dx = (−1)α pα g dx .
Q Q
Hence, pα = Dα f .

Theorem 4.8.2. The sets C∞ Q ,Ck Q are dense in the space H k (Q).
Theorem 4.8.3. The space H k (Q) is separable.
We do not prove these theorems here, see [6] for proofs.
Exercise. Prove Theorem 4.8.2. Hint: see [6].

Function Spaces 121
4.9 Traces of Functions From H k (Q)

Trace is a very important notion in the PDE theory. Let S ⊂ Q be a suffi-
ciently smooth (n − 1) −dimensional surface. In particular, one can have
S = ∂Q : this is the most interesting case.
Assume first that the function f ∈ C Q . Then the trace of f on S is
defined easily: just values of f on S, f |S .
However, if f ∈ L2 (Q), then it is not clear how to define the trace of f
on S. This is because S has measure zero in Rn .
Nevertheless, the trace can be defined for functions f ∈ H k (Q). We
can do this below for H 1 (Q). Since H k (Q) ⊂ H 1 (Q) for k ≥ 2, then this
definition is valid of course for H k (Q) as well. But for H k (Q) one can also
define traces of derivatives Dα f for |α| ≤ k.
We can assume that at least a part S0 ⊂ S of the surface S can be
parametrized as

S0 = x : x1 = ϕ (x2 , ..., xn) , (x2 , ..., xn) ∈ G ⊂ Rn−1 ,
where G ⊂ Rn−1 is a certain finite domain in Rn−1 . Since we can assume

that S0 is sufficiently small, then we can assume that
S0 ⊂ {0 < x1 , ..., xn < a} ⊂ Q
for a certain number a > 0. So, G = {0 < x2 , ..., xn < a}. To simplify,
assume that
f (0, x2 , ..., xn) = 0 . (4.9.1)
Denote
x0 = (x2 , ..., xn) .

Hence, for f ∈ C1 Q
ϕ(x 0
Z )
0 0 ∂f
f |S0 = f ϕ x , x = ξ, x0 dξ .
∂ξ
0
Hence, by the Cauchy-Schwarz inequality,

ϕ(x ) 0
0
Z 2
2
( f |S0 ) ≤ ϕ x f ξ ξ, x0 dξ .
0
q
Multiply this by 1 + ϕ2x2 + ϕ2x3 + ... + ϕ2xn and integrate over G using
q
dS = 1 + ϕ2x2 + ϕ2x3 + ... + ϕ2xn dx0 .
We obtain
 1/2
Z
k f kL2 (S0) =  ( f |S0 )2 dx0  ≤ C k f kH 1 (Q) . (4.9.2)
G
Assume now that (4.9.2) is valid even without the assumption (4.9.1).
Let now f ∈ H 1 (Q). By theorem 4.8.2, there exists a sequence { f n }∞
n=1
⊂ C1 Q which converges to f in the norm of H 1 (Q).
By (4.9.2)
f p − fq 0 ≤ C f p − fq 1 . (4.9.3)
L (S ) 2 H (Q)
Hence,
f p − fq → 0; p,q → ∞.
L2 (S0 )
Since the space L2 (S0 ) is complete, then there exists a function f S0 ∈ L2 (S0 )
such that
k f p − f S0 kL2 (S0 ) → 0 ; p → ∞ .
Furthermore, it follows from (4.9.3) that
k f p − f S0 kL2 (S0 ) ≤ C k f p − f kH 1 (Q) . (4.9.4)

We now show that f S0 is independent on the sequence { f n }∞ 1
n=1 ⊂ C Q
which converges to the function f in the norm of H 1 (Q). Indeed, let
{pn }∞ 1
n=1 ⊂ C Q be another sequence such that
kpn − f kH 1 (Q) → 0 , n → ∞ .
Let pS0 be the limit of pn on S0 ,
kpn − pS0 kL2 (S0 ) → 0 , n → ∞ .
Then by the triangle inequality
kpS0 − f S0 kL2 (S0) ≤ kpS0 − pn kL2 (S0 ) + kpn − f S0 kL2 (S0 )

Function Spaces 123
≤ kpS0 − pn kL2 (S0) + kpn − f n kL2 (S0) + k f n − f S0 kL2 (S0 ) . (4.9.5)

As proven
kpn − f n kL2 (S0 ) ≤ C kpn − f n kH 1 (Q) .
Hence,
kpS0 − f S0 kL2 (S0 ) ≤ kpS0 − pn kL2 (S0 ) + k f n − f S0 kL2 (S0 ) +C kpn − f n kH 1 (Q) .
By definition
kpS0 − pn kL2 (S0 ) + k f n − f S0 kL2 (S0 ) → 0 , n → ∞ . (4.9.6)
Next, by the triangle inequality
kpn − f n kH 1 (Q) ≤ kpn − f kH 1 (Q) + k f n − f kH 1 (Q) . (4.9.7)
Since both terms in the right hand side of (4.9.7) tend to zero, then
kpn − f n kH 1 (Q) → 0 , n → ∞ .
Hence, (4.9.5)-(4.9.7) imply that pS0 = f S0 a.e. in S0 .
Next,
k f S kL2 (S0 ) ≤ C k f kH 1 (Q) . (4.9.8)
Indeed, by the triangle inequality
k f S kL2 (S0 ) ≤ k f S − f n kL2 (S) + k f n kL2 (S)
≤ k f S − f n kL2 (S) +C k f n kH 1 (Q) . (4.9.9)
We have

k f n − f kH 1 (Q) ≥ k f n kH 1 (Q) − k f kH 1 (Q) . (4.9.10)
Hence, k f n kH 1 (Q) → k f kH 1 (Q) . Hence, setting in (4.9.9) n → ∞, we obtain
(4.9.8).
Finally, we can cover the surface S by a finite number of subsurfaces
like S0 . Therefore, the above is valid if S0 is replaced by S.
Thus, we have proven.
Theorem 4.9.1. For each function f ∈ H 1 (Q) there exists uniquely de-
fined trace f |S ∈ L2 (S). Furthermore,
k f |S kL2 (S) ≤ C k f kH 1 (Q) .
where the constant C > 0 depends only on S and Q.
Exercise. Prove (4.9.10).
4.10 Equivalent Norms in Spaces H 1 (Q)

and H01 (Q)
See Theorem 4.10.1 and Theorem 4.10.1 of the book:
Theorem 4.10.1. Let M ⊂ H 1 (Q) be a bounded set. Then M is a compact
set in L2 (Q) . In other words, for any sequence { f n } ⊂ M there exists a
subsequence { f n,k } ⊂ { f n } which converges in L2 (Q) .
Theorem 4.10.2. Let M ⊂ H 1 (Q) be a bounded set. Then the set of traces
of functions f ∈ M on a smooth surface S ⊂ Q is compact in L2 (S) .
We do not prove these theorems here. Interested readers may refer to
the book [6] for proofs.
In this section we always assume ∂Q ∈ C1 .
Definition 4.10.1. H01 (Q) ⊂ H 1 (Q) is the subspace of H 1 (Q) consisting
of all functions whose traces on ∂Q equal zero.
4.10.1. Integration by Parts for Functions in H 1 (Q)

While integration by parts is well known for functions from C1 Q , it is
not immediately clear how does this work for functions from H 1 (Q) .
Theorem 4.10.3. Let ∂Q ∈ C1 . Suppose that functions f , g ∈ H 1 (Q) . Then
Z Z Z
f xi g dx = f g cos(n, xi ) dS − f gxi dx , (4.10.1)
Q ∂Q Q
where n is the outward normal vector on ∂Q and f |∂Q , g |∂Q are traces of
these functions on ∂Q.

Proof. Since C1 Q is dense in H 1 (Q) , consider the sequences
{ f k }, {gk } ⊂ C1 Q converging to functions f and g respectively in the
norm of H 1 (Q). For these sequences formula (4.10.1) is valid,
Z Z Z
f kxi gk dx = f k gk cos (n, xi ) dS − f k gkxi dx . (4.10.2)
Q ∂Q Q
Set k → ∞ in (4.10.2). And also use the definition of the trace via limits.
Then we obtain (4.10.1).
Function Spaces 125
4.10.2. Equivalent Norms

Let A (x) = (ai j (x))ni, j=1 , ai j (x) ∈ C Q be a symmetric positively definite
matrix, i.e.
ai j (x) = a ji (x) , (4.10.3)
n n
∑ ai j (x) ξi ξ j ≥ γ ∑ ξ2i , ∀ξ = (ξ1 , ..., ξn ) ∈ Rn , γ = const. > 0 .
i, j=1 i=1
(4.10.4)
Let functions

q ∈C Q , r ∈ C (∂Q) , q (x) ≥ 0, r (x) ≥ 0 . (4.10.5)
As we know, the scalar product in H 1 (Q) is

Z q
( f , g)1 = (O f Og + f g) dx, k f kH 1 (Q) = ( f , f )1 . (4.10.6)
Q
For functions f , g ∈ H 1 (Q) introduce a bilinear form

Z n Z Z
W ( f , g) = ∑ ai j (x) f xi gx j dx+ q (x) f (x) g (x) dx+ r (x) f (x) g (x) dS .
i, j=1
Q Q ∂Q
(4.10.7)
Our goal is to show that W ( f , g) generates the scalar product which is
equivalent to (4.10.6). “Equivalent” in terms of the equivalence of corre-
sponding norms. In other words, we want to show that with certain con-
stants C1 ,C2 > 0
W ( f , f ) ≤ C1 ( f , f )1 , ∀ f ∈ H 1 (Q) , (4.10.8)
( f , f )1 ≤ C2W ( f , f ), ∀ f ∈ H 1 (Q) . (4.10.9)
Theorem 4.10.4. Assume that conditions (4.10.3)-(4.10.5) are satisfied.

Then (4.10.8) holds. Suppose that:
1. either q (x) 6= 0 identically
2. or r (x) 6= 0 identically.
Then (4.10.9) holds.
Proof. The proof of (4.10.8) is trivial. So, We focus on (4.10.9).

Assume that the constant C2 does not exist. Then for every m > 0 there
exists such a function f m ∈ H 1 (Q) that
( f m , f m)1 > mW ( f m , f m) . (4.10.10)
Let
fm fm
gm = p = .
( f m , f m)1 k f mkH 1 (Q)
Hence,
kgm kH 1 (Q) = 1 . (4.10.11)
Also, dividing both sides of (4.10.10) by m k f m k2H 1 (Q) , we obtain
1
W (gm, gm ) < . (4.10.12)
m
By (4.10.7), (4.10.12) implies:
n
1
Z
∑ ai j (x) gmx gmx i j dx <
m
, (4.10.13)
i, j=1
Q
1
Z
q (x) g2m (x) dx < , (4.10.14)
m
Q
1
Z
r (x) g2m (x) dS < . (4.10.15)
m
∂Q
(4.10.4) and (4.10.13) imply
1
Z
(Ogm )2 dx < . (4.10.16)
γm
Q
Since by (4.10.11) the sequence {gm } is bounded in H 1 (Q) , then The-

orem 4.10.1 implies that this sequence belongs to a compact set in L2 (Q).
Hence, we can assume that {gm } is the Cauchy sequence in L2 (Q) . Hence,
by (4.10.16)
kgm − gk k2H 1 (Q) = kgm − gk k2L2 (Q) + kOgm − Ogk k2L2 (Q)
Function Spaces 127
≤ kgm − gk k2L2 (Q) + 2 kOgm k2L2 (Q) + 2 kOgk k2L2 (Q)

2 2
< kgm − gk k2L2 (Q) + + .
γm γk
Hence, {gm } is the Cauchy sequence not only in L2 (Q) but in H 1 (Q) as
well.
Thus, there exists a function g ∈ H 1 (Q) such that
lim kgm − gkH 1 (Q) = 0 .

m→∞
By (4.10.11), (4.10.14)-(4.10.17):
1. kgkH 1 (Q) = 1,
Z
2. (Og)2 dx = 0,
Q
Z
3. q (x) g2 (x) dx = 0,
Q
Z
4. r (x) g2 (x) dS = 0.
∂Q
It follows from 2 that g (x) ≡ const. Next, by 1
1
Z
g (x) ≡ p , |Q| = dx . (4.10.17)
|Q|
Q
Suppose first that q (x) 6= 0 identically. Since by (4.10.5) q (x) ≥ 0, then 3

and (4.10.17) imply contradiction.
Assume now that r (x) 6= 0 identically. Since by (4.10.5) r (x) ≥ 0, then
4 and (4.10.17) imply contradiction.
Therefore, (4.10.9) holds.
Therefore, the following theorem is true.
Theorem 4.10.5. Suppose that conditions of Theorem 4.10.4 are satis-

fied. Then the bilinear form (4.10.7) generates the scalar product in H 1 (Q)
which is equivalent to the standard scalar product (4.10.6).
Consider now the subspace H01 (Q) and introduce in this subspace the
scalar product without the boundary term,
Z n Z
W1 ( f , g) = ∑ ai j (x) f xi gx j dx + q (x) f (x) g (x) dx .
i, j=1
Q Q

Theorem 4.10.6. Let the function q (x) ≥ 0, q (x) ∈ C Q . Then the bilin-
ear form W1 ( f , g) generates a scalar product in H01 (Q) which is equivalent
to (4.10.6).
Proof. We can take in Theorem 4.10.4 r (x) ≡ 1. And still values of

W ( f , g) = W1 ( f , g) will be the same since f |∂Q = g |∂Q = 0, ∀ f , g ∈ H01 (Q).
Hence, Theorem 4.10.4 implies that Theorem 4.10.6 is true.
Theorem 4.10.6 immediately implies Theorem 4.10.7.
Theorem 4.10.7. The bilinear form

Z
W2 ( f , g) = O f · Og dx
Q
defines a scalar product in H01 (Q) which is equivalent to (4.10.6).
Theorem 4.10.8. (Poincaré’s or Steklov’s inequality). There exists a con-

stant C > 0 such that
Z
k f k2L2 (Q) ≤ C (O f )2 dx, ∀ f ∈ H01 (Q) .
Q
Proof. By Theorem 4.10.7 and (4.10.6)

Z Z Z
C (O f )2 dx ≥ (O f )2 + f 2 dx ≥ f 2 dx .
Q Q Q
4.10.3. Representation of Functions via Integrals

We need this material to study embedding theorems.
Function Spaces 129
a. Convergence of an Improper Integral

Theorem
4.10.9. Let Q ⊂ Rn be a bounded domain and the function g ∈
C Q . Then the integral
g (ξ)
Z
Ik (x) = dξ, x∈Q
|x − ξ|k
Q
converges for k < n.
Proof. Fix x ∈ Q. Let BR (x) = {ξ : |x − ξ| < R} ⊂ Q. It is sufficient to

prove that the integral
g (ξ)
Z
Jk (x, R) = dξ (4.10.18)
|x − ξ|k
BR (x)
converges if k < n. Consider for simplicity the case n = 3. Change variables

in the integral (4.10.18) via transforming to spherical coordinates:
ξ1 = x1 + r cos ϕ sinθ ,
ξ2 = x2 + r sin ϕ sinθ ,
ξ1 = x3 + r cos θ,
r ∈ (0, R) , ϕ ∈ (0, 2π) , θ ∈ (0, π) .
Then
Zπ Z2πZR
Jk (x, R) = sinθ g (ξ) r2−k dr dϕdθ .
0 0 0
Hence,
ZR
|Jk (x, R)| ≤ 4π kgkC(BR (x)) r2−k dr .
0
Let ε > 0 be a small number. Consider

ZR
2−k R3−k ε3−k
lim r dr = lim − . (4.10.19)
ε→0 ε→0 3 − k 3−k
ε
Case 1. k < 3. Then

ε3−k
lim = 0.
ε→0 3 − k
Thus, the limit exists.

Case 2. k = 3. Then the denominator 3 − k = 0. Nonsense.
Case 3. k > 3. Then
ε3−k
lim = ∞.
ε→0 3 − k
Nonsense again.
Hence, our conclusion is that the integral Jk (x, R) converges only if

k < 3. In the n−d case we should have k < n.
b. The First Representation Formula

3
4.10.10. Let the bounded domain Q ⊂ R . Let the function f ∈
Theorem
1
C Q and f |∂Q = 0. Denote
f (ξ)
Z
u (x) = dξ . (4.10.20)
4π |x − ξ|
Q

Then u ∈ C2 Q and
∆u = − f (x) , x ∈ Q.
Proof. We have:
∂ 1 ξ − xi
= i , (4.10.21)
∂ξi |x − ξ| |x − ξ|3

ξ −x 1
i i
≤ , (4.10.22)
|x − ξ| |x − ξ|2
3
Hence, the integral

1 ξi − xi
Z
f (ξ) dξ
4π |x − ξ|3
|ξ|<1
converges.
Function Spaces 131
However,

∂2 1 1 (ξi − xi )2
= −3 . (4.10.23)
∂2 ξi |x − ξ| |x − ξ|3 |x − ξ|5
By (4.10.21)-(4.10.23) and Theorem 4.10.9, we can differentiate under the

integral sign in (4.10.20). But we can differentiate only once, not two
times. Hence, using f |∂Q = 0, we obtain

∂ 1 ∂ 1
Z Z
uxi = f (ξ) dξ = − f (ξ) dξ
∂xi 4π |x − ξ| ∂ξi 4π |x − ξ|
Q Q
1 1
Z Z
=− f (ξ) dS + f ξi (ξ) dξ
4π |x − ξ| ξ 4π|x − ξ|
∂Q Q
1
Z
= f ξi (ξ) dξ .
4π |x − ξ|
Q
By (4.10.21) and (4.10.22) we can differentiate under the integral sign in

the last integral

∂ 1
Z
uxi xi = − f ξi (ξ) dξ . (4.10.24)
∂ξi 4π |x − ξ|
Q
Denote
Qε = {ξ ∈ Q : |x − ξ| > ε} . (4.10.25)
Consider the integral Ii,ε (x) ,

∂ 1
Z
Ii,ε (x) = − f ξi (ξ) dξ (4.10.26)
∂ξi 4π|x − ξ|
Qε

Z
∂ 1 Z
∂ 1
=− f (ξ) cos nξ , ξi dSξ − f (ξ) dSξ
∂ξi 4π |x − ξ| ∂ξi 4π |x − ξ|
∂Q |x−ξ|=ε

∂2 1
Z
+ f (ξ) dξ (4.10.27)
∂ξ2i 4π |x − ξ|
Qε

∂ 1 ∂2 1
Z Z
=− f (ξ) dSξ + f (ξ) 2 dξ .
∂ξi 4π |x − ξ| ∂ξi 4π |x − ξ|
|x−ξ|=ε Qε
Indeed, we can differentiate twice the integral over Qε since singularities

do not occur. Hence,
3
Iε (x) = ∑ Ii,ε (x)
i=1
3 3
∂ 1 ∂2 1
Z Z
= −∑ f (ξ) dSξ + ∑ f (ξ) dξ
i=1 ∂ξi 4π |x − ξ| i=1 ∂ξ2i 4π |x − ξ|
|x−ξ|=ε Qε
3
Z
∂ 1 Z
1
=−∑ f (ξ) cos nξ , ξi dSξ + f (ξ)∆ξ dξ
i=1 ∂ξi 4π |x − ξ| 4π |x − ξ|
|x−ξ|=ε Qε

3 Z
∂ 1
= −∑ f (ξ) cos nξ , ξi dSξ .
i=1 ∂ξi 4π |x − ξ|
|x−ξ|=ε
We have

3 Z
∂ 1
−∑ f (ξ) cos nξ , ξi dSξ
i=1 ∂ξi 4π |x − ξ|
|x−ξ|=ε

∂ 1
Z
=− f (ξ) dSξ .
∂nξ 4π |x − ξ|
|x−ξ|=ε
Thus,

∂ 1
Z
Iε (x) = − f (ξ) dSξ . (4.10.28)
∂nξ 4π |x − ξ|
|x−ξ|=ε
The normal vector nξ on the sphere |x − ξ| = ε looks towards the center

of this sphere, i.e. towards the point x. This is because the domain Qε is
exterior to the ball {|x − ξ| < ε} . Also, the normal vector nξ is antiparallel
to the radius r of this ball. Hence,

∂ 1 ∂ 1 1
=− |r=ε = .
∂nξ 4π |x − ξ| ∂r 4πr 4πε2
Function Spaces 133
Hence, by (4.10.28)

∂ 1 1
Z Z
Iε (x) = − f (ξ) dSξ = − f (ξ) dSξ .
∂nξ 4π |x − ξ| 4πε2
|x−ξ|=ε |x−ξ|=ε
By the mean value theorem there exists a point ξε ∈ {|x − ξ| = ε} such that
1 f (ξε ) f (ξε )
Z Z
− f (ξ) dSξ = − dSξ = − · 4πε2
4πε2 4πε2 4πε2
= − f (ξε ) .

Since the function f ∈ C Q , then
lim (− f (ξε )) = − f (x) .

ε→0
Hence, by (4.10.28)
lim Iε (x) = − f (x) .
ε→0
On the other hand,

∆u = lim Iε (x) = − f (x) .
ε→0
c. The Second Representation Formula

Let
2πn/2
Z
σn = dS =
Γ (n/2)
|x|=1
be the area of the (n − 1) −dimensional unit sphere in Rn . Here Γ (x) is the

gamma function of Euler. Let
1
U (x) = − if n > 2 ,
(n − 2) σn |x|n=2

1 1
U (x) = − ln if n = 2 .
2π |x|

Theorem 4.10.11. Let the function f (x) ∈ C2 Q and let n ≥ 2. Then f (x)
can be represented as:
Z
∂U (x − ξ) ∂ f (ξ)
Z
f (x) = U (x − ξ) ∆ f (ξ) dξ + f (ξ) − U (x − ξ) dSξ .
∂nξ ∂nξ
Q ∂Q
(4.10.29)
Proof. First of all, by Theorem 4.10.9, all integrals in (4.10.29) converge.

We prove this theorem only for the case n = 3. Then
1
U (x) = − ,
4π |x|

1
∆ − =0 for x 6= 0 . (4.10.30)
4π |x|
Hence, (4.10.29) becomes
1
Z
f (x) = − ∆ f (ξ) dξ
4π |x − ξ|
Q
Z
∂ f (ξ) 1 ∂ 1
+ · − f (ξ) dSξ . (4.10.31)
∂nξ 4π |x − ξ| ∂nξ 4π |x − ξ|
∂Q
Fix a point x ∈ R3 . Let ε > 0 be so small that {|x − ξ| < ε} ⊂ Q. Let
Qε = {x ∈ Q : |x − ξ| > ε} .
By Theorem 4.10.9
 
1 1
Z Z
lim − ∆ f (ξ) dξ = − ∆ f (ξ) dξ . (4.10.32)
ε→0 4π |x − ξ| 4π |x − ξ|
Qε Q
Now,
1 ∂ f (ξ) 1 1 ∂ f (ξ)
Z Z Z
− ∆ f (ξ) dξ = − · dSξ − dSξ
4π |x − ξ| ∂nξ 4π |x − ξ| 4πε ∂nξ
Qε ∂Q |x−ξ|=ε

1
Z
+ O f (ξ) Oξ dξ . (4.10.33)
4π |x − ξ|
Qε
Function Spaces 135
Note that

1 Z ∂ f (ξ) k f kC1 Q Z
( )
dSξ ≤ dSξ = ε k f kC1 (Q) .
4πε ∂nξ 4πε
Hence,
1 ∂ f (ξ)
Z
dSξ = O (ε) . (4.10.34)
4πε ∂nξ
|x−ξ|=ε
Next,

1 ∂ 1
Z Z
O f (ξ) Oξ dξ = f (ξ) dSξ
4π |x − ξ| ∂nξ 4π|x − ξ|
Qε ∂Q

∂ 1 1
Z Z
+ f (ξ) dSξ − f (ξ) ∆ξ dξ .
∂nξ 4π |x − ξ| 4π |x − ξ|
|x−ξ|=ε Qε
(4.10.35)
By (4.10.30)
1
∆ξ =0 for ξ ∈ Qε . (4.10.36)
4π|x − ξ|
Hence, (4.10.33)-(4.10.36) imply

1 ∂ f (ξ) 1 ∂ 1
Z Z Z
− ∆ f (ξ) dξ = − · dS + f (ξ) dSξ
4π|x − ξ| ∂nξ 4π|x − ξ| ξ ∂nξ 4π |x − ξ|
Qε ∂Q ∂Q

∂ 1
Z
+ f (ξ) dSξ + O (ε) , (4.10.37)
∂nξ 4π |x − ξ|
|x−ξ|=ε
as ε → 0.
Now,

∂ 1 ∂ 1
=− , r = |x − ξ| , ξ ∈ {|x − ξ| = ε} .
∂nξ 4π |x − ξ| ∂r 4πr
Hence, applying the mean value theorem, we obtain

∂ 1 f (ξε )
Z Z
f (ξ) dSξ = dSξ = f (ξε ) ,
∂nξ 4π |x − ξ| 4πε2
where ξε is a certain point on the sphere {|x − ξ| = ε}.

Hence,

∂ 1
Z
lim f (ξ) dSξ = f (x) .
ε→0 ∂nξ 4π |x − ξ|
|x−ξ|=ε
Hence, setting in (4.10.37) ε → 0, we obtain

1
Z
− ∆ f (ξ) dξ
4π |x − ξ|
Q
Z
∂ 1 ∂ f (ξ) 1
= f (ξ) − · dSξ + f (x) .
∂nξ 4π |x − ξ| ∂nξ 4π |x − ξ|
∂Q
This implies that

1
Z
f (x) = − ∆ f (ξ) dξ
4π |x − ξ|
Q
Z
∂ f (ξ) 1 ∂ 1
+ · − f (ξ) dSξ ,
∂nξ 4π |x − ξ| ∂nξ 4π |x − ξ|
Q
which is exactly (4.10.31).
4.11 Sobolev Embedding Theorem

For any number s > 0 define

s , if s is an integer ,
[s] =
the closest integer s0 < s , if s is not an integer .
One of the most general embedding theorems can be found as Theorem
6 on page 270 of the book [2]. We now reformulate this theorem for our
case.
Theorem 4.11.1. (Embedding theorem for a Sobolev space). Let the
bounded domain Q ⊂ Rn and let its boundary ∂Q ∈ C1 . Let k, m > 0 be
two integers and let hni
k> +m. (4.11.1)
2
Function Spaces 137
Then
H k (Ω) ⊂ Cm Q . (4.11.2)
In other words, each function f ∈ H k (Ω) can be changed on a set with

the measure zero in such a way that the obtained function e
f ∈ Cm Q .
Furthermore, the following inequality holds:
k f kCm (Q) ≤ C k f kH k (Q) , ∀ f ∈ H k (Q) , (4.11.3)
where the constant C > 0 depends only on n, m, k and the domain Q.
Proof. We prove this theorem only for the case n = 3 and only for the space
H0k (Q) , which is the closure of the set C0∞ (Q) in the norm of H k (Q). We
also assume that ∂Q ∈ Cm . Recall that C0∞ (Q) is the set of functions from
C∞ (Q), each of which equals zero in a small neighborhood of the boundary
∂Q.
Let the function f ∈ C0∞ (Q) . Then by (4.10.29)
∆ f (ξ)
Z
f (x) = − dξ .
4π|x − ξ|
Q
Hence,
 1/2  1/2
1  1
Z Z
| f (x)| ≤ 2
dξ  (∆ f (ξ))2 dξ
4π |x − ξ|
Q Q
 1/2
1
Z
≤ C dξ k f kH 2 (Q) .
|x − ξ|2
Q
Obviously,
 1/2
1
Z
max  dξ ≤ C.
x∈Q |x − ξ|2
Q
Hence, with a different constant C,
max | f (x)| ≤ C k f kH 2 (Q) .

x∈Q
Or
k f kC(Q) ≤ C k f kH 2 (Q) , ∀ f ∈ C0∞ (Q) . (4.11.4)
Let now α = (α1 , α2 , α3 ) be a multi-index with non-negative integer

coordinates and
|α| = α1 + α2 + α3 = l .
Recall that Dα = ∂αx33 ∂αx22 ∂αx11 . Hence, by (4.11.4)
kDα f kC(Q) ≤ C kDα f kH 2 (Q) ≤ C k f kH 2+l (Q) .
Hence,
k f kCl (Q) ≤ C k f kH 2+l (Q) , ∀ f ∈ C0∞ (Q) . (4.11.5)
If we denote k = 2 + l, then k > [3/2] + l = 1 + l, which is as in (4.11.1).

Now, let an integer m > 2 + l. Then obviously H m (Q) ⊂ H 2+l (Q). Hence,
(4.11.5) implies
k f kCl (Q) ≤ C k f kH m (Q) , ∀ f ∈ C0∞ (Q) , ∀m > [3/2] + l , (4.11.6)
where m is an integer.
Now we prove (4.11.6) for f ∈ H0m (Q).
Let the function f ∈ H0m (Q) . Then there exists a sequence { f s } ⊂
∞
C0 (Q) such that
lim k f s − f kH m (Q) = 0 . (4.11.7)
s→∞
Hence, by (4.11.6)
lim f p − f q Cl (Q) = 0 .
p,q→∞
In other
words, the sequence { f s} converges in both spaces: H m (Q) and
Cl Q . This means that function f indicated in the limit (4.11.7) belongs
to the space Cl Q .
Furthermore, since by (4.11.6)
k f s kCl (Q) ≤ C k f skH m (Q) ,
then we obtain in the limit
k f kCl (Q) ≤ C k f kH m (Q) , ∀ f ∈ H0m (Q) .

Chapter 5
Elliptic PDEs
5.1 Weak Solution of a Boundary Value Problem for

an Elliptic Equation in the Simplest Case
5.1.1. The Riesz Representation Theorem
Theorem 5.1.1. (Riesz). Let H be the Hilbert space of real valued func-
tions. Consider a linear bounded functional on H,
l (v) : H → R
with the norm klk . Then there exists a unique element u ∈ H such that
l (v) = (u, v) , ∀v ∈ H .
Furthermore, klk = kuk.
This is one of most fundamental theorems of Functional Analysis.
5.1.2. Weak Solution

Consider the matrix A in (4.10.3) with the property (4.10.4). Let functions

b j (x) , c (x) ∈ C Q , (5.1.1)
f (x) ∈ L2 (Q) . (5.1.2)

The operator
n n
Lu = ∑ ai, j (x) uxi x j + ∑ b j (x) ux j + c (x) u (5.1.3)
i, j=1 j=1
is called elliptic operator in the domain Q. The simplest case is the Laplace
operator:
1, if i = j ,
ai, j (x) =
0, if i 6= j .
Then
n
Lu = ∆u = ∑ uxi xi .
i=1
The equation
Lu = f , x∈Q
is called the elliptic equation in Q.
We consider a simplified elliptic equation
n
∑ (ai j (x) ux )x i j
− c (x) u = f in Q . (5.1.4)
i, j=1
For this equation, we consider the so-called “first” boundary value prob-
lem. This is also called “Dirichlet” boundary value problem. This problem
consists in finding the function u (x) in Q satisfying equation (5.1.4) and
the first order or Dirichlet boundary condition
u |∂Q = ϕ (x) . (5.1.5)

If the function u ∈ C2 (Q) ∩ C Q , then it is clear what conditions
(5.1.4), (5.1.5) mean. This is the so-called “classical” solution of problem
(5.1.4), (5.1.5). However, we cannot yet investigate the problem (5.1.4),
(5.1.5) for this kind of functions. Although results for this kind of func-
tions are known, but they are obtained by a technique, which is more
sophisticated than the one we use here, see, e.g. [3].
Thus, we investigate the problem (5.1.4), (5.1.5) for a different type of
functions u.
Assume for a moment that we found such a function g ∈ H 2 (Q) that
g |∂Q = ϕ (x) .
Elliptic PDEs 141
Consider the difference v = u − g and substitute v in (5.1.4). In doing so,

we re-denote v as u again and keep the same notations as in (5.1.4) for the
resulting right hand side. We obtain
n
− ∑ (ai j (x) uxi )x j + c (x) u = f in Q , (5.1.6)
i, j=1
u |∂Q = 0 . (5.1.7)
So, (5.1.6), (5.1.7) is the Dirichlet boundary value problem for the elliptic
equation (5.1.6) with the zero Dirichlet boundary condition (5.1.7).
Suppose that u ∈ C2 (Q) ∩ H01 (Q) and v ∈ H01 (Q). Multiply both sides
of (5.1.6) by v and integrate over Q. Use integration by parts (see Theorem
4.10.8). We obtain
!
Z n Z Z
∑ ai j (x) uxi vx j dx + c (x) u (x)v (x) dx = f (x)v (x) dx, ∀v ∈ H01 (Q) .
Q i, j=1 Q Q
(5.1.8)
Since (5.1.8) is satisfied for all functions v ∈ H01 (Q), then (5.1.8) is called
integral identity.
The solution of (5.1.6), (5.1.7) such that u ∈ C2 (Q) ∩ H01 (Q) is called
classical solution of the problem (5.1.6), (5.1.7).
Thus, any classical solution satisfies the integral identity (5.1.8). But
we now are after those functions u which are not necessary classical solu-
tions.
Definition 5.1.1. The function u ∈ H01 (Q) satisfying the integral identity
(5.1.8) is called weak (or generalized) solution of the problem (5.1.6),
(5.1.7).
Thus, the weak solution is a more general entity than the classical one.
QUESTION: Under which conditions the weak solution becomes the clas-
sical solution?
ANSWER. This question is addressed in referenced book [3], but this topic
is outside of the current book.
Theorem 5.1.2. Let conditions (4.10.3), (4.10.4), (5.1.1), (5.1.2) be sat-

isfied and also let c (x) ≥ 0. Then there exists unique weak solution u of
the problem (5.1.6), (5.1.7). Furthermore, there exists a constant C > 0 de-
pending only on the operator L and the domain Q such that the following
stability estimate holds:
kukH 1 (Q) ≤ C k f kL2 (Q) .
Proof. By Theorem 4.10.6 the left hand side of (5.1.8) generates a new
scalar product [, ] in H01 (Q) whose corresponding norm is equivalent to
the norm in H 1 (Q) . Hence, (5.1.8) can be rewritten as
[u, v] = ( f , v) , (5.1.9)
where (, ) is the scalar product in L2 (Q) . Next,
|( f , v)| ≤ k f kL2 (Q) kvkL2 (Q) ≤ C k f kL2 (Q) [v]H 1 (Q) ,
where [v]H 1 (Q) is the norm in H 1 (Q) generated by the scalar product [, ] in
H01 (Q) .
Hence, l ( f ) = ( f , v) is a linear functional with respect to v, l ( f ) :
H01 (Q) → R. And this functional is bounded. Hence, by the Riesz theo-
rem, there exists a unique F ∈ H01 (Q)
( f , v) = [F, v] , ∀v ∈ H01 (Q) ,
[F] ≤ C k f kL2 (Q) .
Hence, by (5.1.9)
[u, v] = [F, v] , ∀v ∈ H01 (Q) .
Therefore,
u = F and kukH 1 (Q) ≤ C k f kL2 (Q) .
5.2 Dirichlet Boundary Value Problem for a

General Elliptic Equation
5.2.1. Equation with a Compact Operator
Let functions

ai j (x) , b j (x) ∈ C1 Q , c (x) ∈ C Q . (5.2.1)
Elliptic PDEs 143
ai j (x) = a ji (x) , (5.2.2)

n n
∑ ai j (x) ξi ξ j ≥ γ ∑ ξ2i , ∀ξ = (ξ1 , ..., ξn ) ∈ Rn , γ = const. > 0 . (5.2.3)
i, j=1 i=1
Consider the Dirichlet boundary value problem for the elliptic equation
which, by analogy (5.1.3) and (5.1.6), with we write as:
n n
− ∑ (ai j (x) ux )x i j
− ∑ b j (x) ux j + c (x) u = f in Q ,
i, j=1 j=1
u |∂Q = 0 .
It is convenient to rewrite these as
!
n n n
− ∑ (ai j (x) uxi )x j − ∑ (b j (x) u)x j + ∑ b jx j (x) + c (x) u= f in Q ,
i, j=1 j=1 j=1
(5.2.4)
u |∂Q = 0 . (5.2.5)

The problem of finding the function u (x) ∈ C2 (Q) ∩C Q from conditions
(5.2.4) and (5.2.5) is called “first” boundary value problem for equation
(5.2.4) or “Dirichlet problem” for this equation. The boundary condition
(5.2.5) is called “first” boundary condition or “Dirichlet” boundary con-
dition. The function u (x) ∈ C2 (Q) ∩ C Q satisfying conditions (5.2.4),
(5.2.5) is called “classical” solution of problem (5.2.4), (5.2.5).
Let an arbitrary function v ∈ H01 (Q). Multiply both sides of equation
(5.2.4) by v and integrate over the domain Q using the integration by parts.
We obtain the following integral identity which is similar with (5.1.8):
! ! !
Z n Z n n
∑ ai j (x) uxi vx j dx + ∑ b j (x) vx j + ∑ b jx j (x) + c (x) v u dx
i, j=1 j=1 j=1
Q Q
Z
= f v dx, ∀v ∈ H01 (Q) . (5.2.6)
Q
Definition 5.2.1. The function u ∈ H01 (Q) satisfying the integral identity
(5.2.6) is called weak (or generalized) solution of the problem (5.2.4),
(5.2.5).
By Theorem 4.10.6 the bilinear form

!
Z n
W1 (u, v) = ∑ ai j (x) uxi vx j dx
i, j=1
Q
is actually a new scalar product [, ] in the space H01 (Q). Hence, we rewrite
the integral identity (5.2.6) as:
! !!
n n
[u, v] + u, ∑ b j (x) vx j + ∑ b jx j (x) + c (x) v = ( f , v)L2 (Q) .
j=1 j=1 L2 (Q)
(5.2.7)
Lemma 5.2.1. There exists a bounded linear operator A (u) : L2 (Q) →
H01 (Q) such that
! !!
n n
u, ∑ b j (x) vx j + ∑ b jx j (x) + c (x) v = [Au, v] ,
j=1 j=1 L2 (Q)
∀u ∈ L2 (Q), ∀v ∈ H01 (Q) .

Recall that H01 (Q) ⊂ L2 (Q) as a subset (not space!). So, if we consider
the operator A as one acting from H01 (Q) in H01 (Q) , then A is a compact
operator.
Proof. Consider the functional l (v) : H01 (Q) → R,
! !!
n n
l (v) = u, ∑ b j (x) vx j + ∑ b jx j (x) + c (x) v .
j=1 j=1 L2 (Q)
Then
|l (v)| ≤ C kukL2 (Q) kvkH 1 (Q) .
0
Hence, l (v) is a bounded linear functional and
klk ≤ C kukL2 (Q) . (5.2.8)
Hence, by the Riesz theorem for each u ∈ L2 (Q) there exists a unique
function U (u) ∈ H01 (Q) such that
l (v) = [U, v] .
Elliptic PDEs 145
By (5.2.8)
kUkH 1 (Q) ≤ C kukL2 (Q) .
0
Hence, A (u) = U and A : L2 (Q) → H01 (Q) is a bounded operator,
kAukH 1 (Q) ≤ C kukL2 (Q) . (5.2.9)

0
We now prove that if we consider A as acting from H01 (Q) in H01 (Q),
then A is a compact operator. Consider any bounded sequence {un } ⊂
H01 (Q) and also consider the sequence {Aun } ⊂ H01 (Q) . Since {un } is
bounded in H01 (Q), then it belongs to a compact set in L2 (Q) . Therefore,
one can extract a convergingsubsequence {unk }∞k=1 in L2 (Q). But this and
(5.2.8) imply that the sequence {Aunk } converges in H01 (Q) .
Next, the functional m (v) : H01 (Q) → R is bounded,
m (v) = ( f , v)L2 (Q) , |m (v)| ≤ C k f kL2 (Q) kvkH 1 (Q) ,

0
kmk ≤ C k f kL2 (Q) .
Hence, by the Riesz theorem there exists a unique element F ∈ H01 (Q) with
kFkH 1 (Q) ≤ C k f kL2 (Q) such that
0
( f , v)L2 (Q) = [F, v] , ∀v ∈ H01 (Q) . (5.2.10)
By Lemma 5.2.1 and (5.2.10) identity (5.2.7) is equivalent to the fol-

lowing equation with the compact operator A : H01 (Q) → H01 (Q) :
u + Au = F, u ∈ H01 (Q) . (5.2.11)
Lemma 5.2.2. If
n
1
2 ∑ b jx (x) + c (x) ≥ 0 ,
j (5.2.12)
j=1
then homogeneous equation (5.2.11) has only the zero solution.
Proof. Let in (5.2.11) F = 0. Then
[u, u] + [Au, u] = 0 .
By Lemma 5.2.1 and (5.2.12)

! !
Z n n
[Au, u] = u ∑ b j (x) ux j + ∑ b jx j (x) + c (x) u dx
j=1 j=1
Q
n n
1
Z Z Z
2 2
=− ∑ b jx j (x) u dx + ∑ b jx j (x) u dx + c (x) u2 dx
2 j=1 j=1
Q Q Q
!
n
1
Z
= ∑ b jx j (x) + c (x) u2 dx ≥ 0 .
2 j=1
Q
5.2.2. Fredholm’s Theorems

a. Preliminaries
Definition 5.2.2. Let H be a Hilbert space of complex valued functions
with the scalar product (, ). Let A : H → H be a bounded linear operator.
The operator A∗ is called adjoint operator to A if
(Ax, y) = (x, A∗ y) , ∀x, y ∈ H .
Definition 5.2.3. In terms of Definition 5.2.2, the operator A is called self-

adjoint if A = A∗ .

Example. Integral Operator. Let the function K (x, y) ∈ C G × G . Con-
sider the operator
Z
(Au) (x) = K (x, s) u (s) ds, x ∈ G.
G
Then A : L2 (G) → L2 (G).

 
Z Z
(Au, v) =  K (x, s)u (s) ds v (x) dx
G G
Elliptic PDEs 147
 
Z Z
= u (s)  K (x, s)v (x) dx ds = (u, A∗ v) ,
G G
Z
(A∗ v) (s) = K (x, s) v (x) dx .
G
∗
If K (x, s) = K (s, x) , then A = A , i.e. the operator A is self-adjoint.
Theorem 5.2.1. (Banach). Let B1 and B2 be two Banach spaces. Let
A : B1 → B2 be a bounded linear operator. Assume that:
1. A is one-to-one.
2. A maps B1 onto B2 .
Then there exists a linear inverse operator A−1 : B2 → B1 . Furthermore,
the operator A−1 is bounded,
−1
A y ≤ A−1 kyk , ∀y ∈ B2 .
B1 B2
b. Fredholm’s Theorems
Let H be a Hilbert space of complex valued functions with the scalar
product (, ). Let A : H → H be a bounded linear compact operator. Let
A∗ : H → H be the adjoint operator. Then A∗ is a compact operator.
Consider two Fredholm equations
u + Au = f , f ∈ H , (5.2.13)
v + A∗ v = f ∗ , f ∗ ∈ H . (5.2.14)
Equation (5.2.14) is called “adjoint” to equation (5.2.13).
The First Fredholm Theorem.

1. If one of equations (5.2.13), (5.2.14) has a solution for every right
hand side, then another one also has a unique solution for every right hand
side.
2. If one of homogeneous equations (5.2.13), (5.2.14) has only a triv-
ial solution, then another homogeneous equation also has only a trivial
solution.
3. If one of homogeneous equations (5.2.13), (5.2.14) has only a trivial
solution, then each of non-homogeneous equations (5.2.13), (5.2.14) has a
unique solution.
Corollary 5.2.1. If one of homogeneous equations (5.2.13), (5.2.14) has

only a trivial solution, then for each right hand sides f , f ∗ the following
estimate is valid:
kukH ≤ C1 k f kH , (5.2.15)
kvkH ≤ C2 k f ∗ kH , (5.2.16)
where C1 ,C2 are two positive constants. Estimates (5.2.15), (5.2.16) are
called “stability estimates” for solutions of equations (5.2.13), (5.2.14).
Proof. By the First Fredholm Theorem both operators
(I + A) : H → H ,
(I + A∗ ) : H → H
are one-to-one and map H onto H. Hence, Banach theorem implies

(5.2.15) and (5.2.16).
The Second Fredholm Theorem. The homogeneous equation (5.2.13),

i.e. with f = 0, has at most a finite number k of linearly independent
k
solutions u j j=1 , where k ≥ 0. The adjoint equation (5.2.14) has the
k
same number k linearly independent solutions v j j=1 . The case k = 0
corresponds to item 1 of the first theorem as well as to Corollary 5.2.1.
The Third Fredholm Theorem. Equation (5.2.13) with f 6= 0 has a so-

lution if and only if f is orthogonal to all solutions of the homogeneous
equation (5.2.14). In particular, if the homogeneous equation (5.2.14) has
only the trivial solution, then equation (5.2.13) has a unique solution for
every f ∈ H.
Among all possible solutions of equation (5.2.13), there exists a unique
solution U orthogonal to all solutions of the homogeneous equation
(5.2.14). Every other solution ue of equation (5.2.13) can be represented
as
k
ue = U + ∑ α j u j ,
j=1
k
where u j j=1 are taken from the second theorem and α j are some num-
bers.
Elliptic PDEs 149
c. Consequences for Elliptic Equations

Having the Dirichlet boundary value problem (5.2.4), (5.2.5) for the clas-
sical solution, we have derived the integral identity (5.2.6) for the weak
solution u ∈ H01 (Q) . Next, we derived from (5.2.6) equation (5.2.11) with
the compact operator A:H01 (Q) → H01 (Q) ,
u + Au = F, u ∈ H01 (Q) , (5.2.17)
kFkH 1 (Q) ≤ C k f kL2 (Q) . (5.2.18)

Along with (5.2.17), we also consider adjoint equation
v + A∗ v = F ∗ , v ∈ H01 (Q) . (5.2.19)
Theorem 5.2.2. Assume that inequality (5.2.12) holds,

n
1
2 ∑ b jx j (x) + c (x) ≥ 0 in Q . (5.2.20)
j=1
Then for every function f ∈ L2 (Q) there exists a unique weak solution
u ∈ H01 (Q) of problem (5.2.4), (5.2.5) and the following stability estimate
holds:
kukH 1 (Q) ≤ C k f kL2 (Q) . (5.2.21)
Proof. The problem (5.2.4), (5.2.5) was reduced to equation (5.2.17).
Next, it was proven in Lemma 5.2.2 that, given (5.2.20), equation (5.2.17)
with F = 0 has only trivial solution. The rest follows Corollary 5.2.1 and
12.18.
Theorem 5.2.3. Assume that the inequality (5.2.20) is invalid. Then there
are at most finite number k ≥ 0 of linearly independent weak solutions
k
u j j=1 of the homogeneous identity (5.2.6) with f ≡ 0. For f 6= 0, each
weak solution u can be represented as
k
u = U + ∑ α ju j ,
j=1
where U is one of weak solutions of problem (5.2.4), (5.2.5) and α j are

certain numbers.
Proof. Apply Second and Third Fredholm Theorems.
5.3 Volterra Integral Equation and Gronwall’s

Inequalities
5.3.1. Volterra Integral Equation of the Second Kind
Let the functions
f (t) ∈ C [0, a], K (t, s) ∈ C ([0, a] × [0, a]) .
a. Equation of the First Kind

Volterra integral equation of the first kind is:
Zt
K (t, s)y (s) ds = f (t) , t ∈ (0, a) . (5.3.1)
0
The problem of solution of this equation is ill-posed and we do not study it

here. An example:
Zt
y (s) ds = f (t) , t ∈ (0, a) .
0
Then y (t) = f 0 (t). However, the problem of the differentiation is unstable.

Indeed, let
f (t) = f 0 (t) + ε sin(nt) ,
where f 0 (t) ∈ C1 [a, b], ε ∈ (0, 1) is sufficiently small and n >> 1. Denote
y0 (t) = f 00 (t) ,
y (t) = f 00 (t) + εn cos(nt) ,

and the function |εn cos(nt)| can attain large values when n → ∞. On the
other hand
| f (t) − f 0 (t)| < ε .
Therefore, we see that even though the difference between two right hand
sides of (5.3.1) might be small, the difference between corresponding two
solutions of (5.3.1) might be large. This is exactly what ill-posedness
means.
Elliptic PDEs 151
b. Equation of the Second Kind
Zt
y (t) = K (t, s)y (s) ds + f (t), t ∈ (0, a) . (5.3.2)
0
This equation can be solved via successive iterations:
y0 (t) = f (t) , (5.3.3)
Zt
yn (t) = K (t, s)yn−1 (s) ds, n = 1, ... (5.3.4)
0
∞
y (t) = ∑ yn (t) . (5.3.5)
n=0
We now estimate terms of series (5.3.5). Let
k f kC[a,b] ≤ C , (5.3.6)
kKkC([a,b]×[a,b]) ≤ M . (5.3.7)
Then
|y0 (t)| ≤ C ,
Zt
|y1 (t)| ≤ MCds ≤ MCt ,
0
Zt Zt
t2
|y2 (t)| ≤ M |y1 (s)| ds ≤ M 2Cs ds = M 2C ,
2
0 0
Zt Zt
1 M 3C 3 M 3C 3
|y3 (t)| ≤ M |y2 (s)| ds ≤ M 3Cs2 ds = t = t .
2 2·3 3!
0 0
Continuing and using the mathematical induction, we obtain

M nC n
|yn (t)| ≤ t . (5.3.8)
n!
Therefore, series (5.3.5) converges absolutely and uniformly on the interval

[a, b] and
|y (t)| ≤ CeMt .
We now prove that series (5.3.5) indeed represents solution of equation
(5.3.2). Indeed,
Zt ∞ ∞ Zt
K (t, s) ∑ yn (s) ds + f (t) = ∑ K (t, s)yn (s) ds + y0 (t)
n=0 n=0
0 0
∞ ∞ ∞
= ∑ yn+1 (t) + y0 (t) = ∑ yk (t) + y0 (t) = ∑ yn (t) = y (t) .
n=0 k=1 n=0
Hence, we have proven
Theorem 5.3.1. Let the functions f (t) ∈ C [0, a], K (t, s) ∈
C ([0, a] × [0, a]) . Then Volterra equation (5.3.2) has a unique solu-
tion y (t) ∈ C [0, a]. This solution can be estimated as
|y (t)| ≤ CeMt
and can be constructed by the iterative process (5.3.3)- (5.3.5), where terms
can be estimated as in (5.3.8).
5.3.2. Gronwall’s Inequalities

Let functions f (t), y (t) ∈ C [0, a] and let both these functions are non-
negative ones,
f (t) , y (t) ≥ 0 . (5.3.9)
Let C > 0 be a constant. Consider the inequality, which is an analog of the
Volterra equation of the first kind,
Zt
y (t) ≤ C y (s) ds + f (t) . (5.3.10)
0
Our goal is to estimate the function

Zt
y (t), y (s) ds
0
Elliptic PDEs 153
from the above. Let

f (t) ≤ M = const > 0 .
Denote
Zt
u (t) = y (s) ds .
0
Then
y (t) = u0 (t) .
By (5.3.10)
u0 −Cu ≤ f (t) .
Denote
u0 −Cu = v .
Considering this as a differential equation, we obtain
Zt
u (t) = v (s) exp (C (t − s)) ds ,
0
Zt
0
u (t) = v (t) +C v (s)exp (C (t − s)) ds .
0
Hence,
Zt
u (t) ≤ f (s) exp (C (t − s)) ds ,
0
Zt
0
u (t) ≤ f (t) +C f (s)(t − s) exp (C (t − s)) ds .
0
In other words,
Zt Zt
y (s) ds ≤ f (s)exp (C (t − s)) ds , (5.3.11)
0 0
Zt
y (t) ≤ f (t) +C f (s)(t − s) exp (C (t − s)) ds . (5.3.12)
0
Inequalities (5.3.11), (5.3.12) are called “Gronwall’s inequalities”.
Chapter 6
Hyperbolic PDEs
6.1 Wave Equation: Energy Estimate and Domain

of Influence
As always, x ∈ Rn ,t > 0. The wave equation is
utt = ∆u , x ∈ Rn , t ∈ (0, T ) . (6.1.1)
Consider first Cauchy problem for this equation. In this case equation
(6.1.1) is satisfied for all x ∈ Rn ,t ∈ (0, T ). u (x,t) is the amplitude of the
wave at the point x and at the moment of time t.
Cauchy Problem. Find the function u (x,t) satisfying equation (6.1.1) and
initial conditions:
u (x, 0) = ϕ (x) , ut (x, 0) = ψ (x) . (6.1.2)
Functions ϕ (x) , ψ (x) are called “initial conditions” or “Cauchy data”.

We derive first a very interesting energy estimate. Let x0 ∈ Rn be an
arbitrary point and t0 > 0 be an arbitrary number. Consider the cone
K = {x,t : 0 < t < t0 − |x − x0 |} . (6.1.3)
Then (x0 ,t0 ) is the vertex of K, the boundary ∂K is
∂K = {t − t0 + |x − x0 | = 0} ∪ {t = 0, |x − x0 | = t0 } . (6.1.4)
Also, for t1 ∈ (0,t0) consider the cross-section of K by the hyperplane

{t = t1 } ,
Kt1 = {x,t : 0 < t < min (t1 ,t0 − |x − x0 |)} . (6.1.5)
∂Kt1 = ∂1 Kt1 ∪ ∂2 Kt1 ∪ ∂3 Kt1 , (6.1.6)
∂1 Kt1 = {t = t1 , |x − x0 | < t0 − t1 } , (6.1.7)
∂2 Kt1 = {t = 0, |x − x0 | < t0 } , (6.1.8)
∂3 Kt1 = {t ∈ (0,t1 ) ,t − t0 + |x − x0 | = 0} . (6.1.9)
Hence, ∂3 Kt1 is the part of the surface of the cone K, which is located below
the hyperplane {t = t1 } .
Consider the outward looking unit normal vector n on ∂3 Kt1 . If we have
a hypersurface {x,t : p (x,t) = 0}, then the unit normal vector to it is
(pt , px1 , ..., pxn )
np = ± q .
pt2 + p2x1 + ... + p2xn
± correspond to two possible directions of this vector. It follows from

(6.1.9) that
1
cos (n,t) = √ , (6.1.10)
2
1 xi − x0i
cos (n, xi ) = √ · . (6.1.11)
2 |x − x0 |
Assume now that the function u ∈ H 2 (K) and obtain energy estimate.
Multiply both sides of (6.1.1) by 2ut . We obtain
n
(utt − ∆u) 2ut = ∂t ut2 − 2 ∑ uxi xi ut
i=1
n n
= ∂t ut2 + ∑ ∂xi (2uxi ut ) + ∑ 2uxi uxit
i=1 i=1
!
n n
= ∂t ut2 + ∑ u2xi + ∑ ∂xi (2uxi ut ) .
i=1 i=1
Thus, !
n n
(utt − ∆u) 2ut = ∂t ut2 + ∑ u2xi + ∑ ∂xi (2uxi ut ) .
i=1 i=1
Hyperbolic PDEs 157
Since the left hand side equals zero, then

!
n n
∂t ut2 + ∑ u2xi + ∑ ∂xi (2uxi ut ) = 0 .
i=1 i=1
Integrate this equality over Kt1 and use Gauss formula as well as (6.1.6)-
(6.1.9),
! !
Z Zn n
ut2 + ∑ u2xi (x,t1 ) dx − ut2 + ∑ u2xi (x, 0) dx
i=1 i=1
∂1 Kt1 ∂2 Kt1
!
Z n Z n
+ ut2 + ∑ u2xi (x,t)cos(n,t) dS + ∑ (2ux ut ) cos(n, xi) dS = 0 .
i
i=1 i=1
∂3 Kt1 ∂3 Kt1
Using initial conditions (6.1.2), we obtain

!
Z n Z
ut2 + ∑ u2xi (x, 0) dx = ψ2 (x) + (Oϕ (x))2 dx .
i=1
∂2 Kt1 ∂2 Kt1
Hence, !
Z n
ut2 + ∑ u2xi (x,t1 ) dx
i=1
∂1 Kt1
!
Z n Z n
+ ut2 + ∑ u2xi (x,t)cos(n,t) dS + ∑ (2ux ut )cos (n, xi) dS
i
i=1 i=1
∂3 Kt1 ∂3 Kt1
(6.1.12)
Z
= ψ2 (x) + (Oϕ (x))2 dx .
∂2 Kt1
Now we analyze the middle row of (6.1.12). By (6.1.10) and (6.1.11)

!
Z n Z n
ut2 + ∑ u2xi (x,t)cos (n,t) dS + ∑ (2ux ut ) cos(n, xi) dS
i
i=1 i=1
∂3 Kt1 ∂3 Kt1
!
n Z n
1 1 xi − x0i
Z
2 2
=√ ut + ∑ uxi (x,t) dS + √ ∑ (2uxi ut ) .
2 i=1 2 i=1 |x − x0 |
∂3 Kt1 ∂3 Kt1
(6.1.13)
We have
!2
n n
xi − x0i xi − x0i
∑ (2uxi ut ) |x − x0 | ≥ −ut2 − ∑ uxi |x − x0 | .
i=1 i=1
By Cauchy-Schwarz inequality,
!2 2
n n n
∑ uxi |x − x0 | ≤∑ u2xi ·∑
i=1 i=1 i=1 |x − x0 |
n
= ∑ u2xi .
i=1
Thus, !2
n n
∑ (2uxi ut ) |x − x0 | ≥ −ut2 − ∑ uxi |x − x0 |
i=1 i=1
n
≥ −ut2 − ∑ u2xi .
i=1
Hence, using (6.1.13), we obtain

!
Z n Z n
ut2 + ∑ u2xi (x,t)cos (n,t) dS + ∑ (2ux ut ) cos(n, xi) dS
i
i=1 i=1
∂3 Kt1 ∂3 Kt1
! !
n n
1 1
Z Z
≥√ ut2 + ∑ u2xi (x,t) dS − √ ut2 + ∑ u2xi (x,t) dS = 0 .
2 i=1 2 i=1
∂3 Kt1 ∂3 Kt1
Hence, (6.1.12) implies

! Z
Z n
ut2 + ∑ u2xi (x,t1 ) dx ≤ ψ2 (x) + (Oϕ (x))2 dx . (6.1.14)
i=1
∂1 Kt1 ∂2 Kt1
Hyperbolic PDEs 159
This is an energy estimate. In particular, (6.1.14) means that if
ϕ (x) = ψ (x) = 0 in the ball {t = 0, |x − x0 | < t0 } (6.1.15)
on the hyperplane {t = 0} with the center at x0 and the radius t0 , then

u (x,t) = 0 in the cone K. Furthermore, values of initial conditions ϕ (x)
and ψ (x) outside of this ball do not influence values of the function u (x,t)
inside of the cone K. Therefore, the cone K is called the “domain of influ-
ence” of the ball in (6.1.15).
Thus, the following uniqueness theorem follows from the energy esti-
mate (6.1.14):
Theorem 6.1.1. The Cauchy problem (6.1.1), (6.1.2) has at most one so-
lution u (x,t) ∈ H 2 (B × (0, T )) , where B is an arbitrary ball in Rn .
For the proof, it is sufficient to set ϕ (x) ≡ ψ (x) ≡ 0 and then apply
(6.1.14).
6.2 Energy Estimate for the Initial Boundary Value

Problem for a General Hyperbolic Equation
Let Q ∈ Rn be a bounded domain and the number T > 0. Denote
QT = Q × (0, T ) ,
ST = ∂Q × (0, T ) .
So, QT is the time cylinder and ST is the lateral side of this cylinder. Let
functions

ai, j (x,t) ∈ C1 QT ; b j (x,t), c (x,t) ∈ C QT , (6.2.1)
n
∑ ai, j (x,t)ξi ξ j ≥ µ |ξ|2 , ∀ (x,t) ∈ QT , ∀ξ ∈ Rn , (6.2.2)
i, j=1
ai, j (x,t) = a j,i (x,t) , (6.2.3)

where µ = const. > 0.
The hyperbolic equation with respect to the function u (x,t) in the

cylinder QT is:
n n
utt = ∑ ∂x j (ai, j (x, t)uxi ) + ∑ b j (x, t)ux j + c (x, t)u + f (x, t) , (x, t) ∈ QT .
i, j=1 j=1
(6.2.4)
We add initial data:
u (x, 0) = ϕ (x) , ut (x, 0) = ψ (x) , x ∈ Q. (6.2.5)
We also add boundary data, which we take zero for simplicity:
u |ST = 0 . (6.2.6)
The problem of recovery of the function u (x,t) from conditions (6.2.4)-

(6.2.6) is called “first initial boundary value problem for the hyperbolic
equation (6.2.4). In the case of the wave equation,

1 if i = j ,
ai, j (x,t) = b = c = 0.
0 if i 6= j , j
Then
n n
∑ ai, j (x,t)ux x i j = ∑ uxixi = ∆u .
i, j=1 i=1
2
We assume that u ∈ H (QT ), f ∈ L2 (QT ).
We now derive energy estimate for problem (6.2.4)-(6.2.6). Rewrite
(6.2.4) as
n n
utt − ∑ ∂x j (ai, j (x,t)uxi ) = ∑ b j (x,t)ux j + c (x,t)u + f (x,t) .
i, j=1 j=1
Multiply both sides of this equation by 2ut ,

!
n n
2 ∑ b j (x,t)ux j + c (x,t)u + f ut = 2ut utt − 2 ∑ ∂x j (ai, j (x,t) uxi ) ut .
j=1 i, j=1
(6.2.7)
Consider the right hand side of (6.2.7),
n n
2ut utt − 2 ∑ ∂x j (ai, j (x,t)uxi )ut = ∂t ut2 + ∑ (−2 (ai, j (x,t)ux )ut ) j i
i, j=1 i, j=1
(6.2.8)
Hyperbolic PDEs 161
n
+2 ∑ ai, j (x,t)ux ux t . i j
i, j=1
Next, by (6.2.3)
n n
2 ∑ ai, j (x, t)uxi ux jt = ∑ ai, j (x, t)uxi ux jt + a j,i (x, t)ux j uxit
i, j=1 i, j=1
n
= ∑ ai, j (x, t) uxi ux jt + a j,i (x, t)ux j uxit
i, j=1
n n n
= ∑ ai, j (x, t)∂t uxi ux j = ∑ ∂t ai, j (x, t)uxi ux j − ∑ ∂t (ai, j (x, t))uxi ux j .
i, j=1 i, j=1 i, j=1
Thus,
n n n
2 ∑ ai, j (x,t) ux ux t = ∑ ∂t i j ai, j (x,t)uxi ux j − ∑ ∂t (ai, j (x,t))uxi ux j .
i, j=1 i, j=1 i, j=1
Substituting this in (6.2.8), we obtain

!
n n
2ut utt − 2 ∑ ∂x j (ai, j (x,t)uxi )ut = ∂t ut2 + ∑ ai, j (x,t)uxi ux j
i, j=1 i, j=1
(6.2.9)
n n
− ∑ ∂t (ai, j (x,t)) ux ux i j + ∑ (−2 (ai, j (x,t)ux ) ut ) j . i
i, j=1 i, j=1
Let y ∈ (0, T ) be an arbitrary number. Integrate (6.2.9) over the time cylin-
der Qy , !
Z n
2ut utt − 2 ∑ ∂x j (ai, j (x,t) uxi ) ut dx dt
i, j=1
Qy
! !
Z n Z n
= ut2 + ∑ ai, j (x,t)ux ux i j (x, y)− ut2 + ∑ ai, j (x,t) ux ux i j (x, 0)
i, j=1 i, j=1
Q Q
Z n Z n
+ ∑ (−2 (ai, j (x,t)uxi ) ut )cos (n, x j ) dS− ∑ ∂t (ai, j (x,t))uxi ux j dx dt .
i, j=1 i, j=1
Sy Qy
Since by (6.2.6) u |Sy = 0, then ut |Sy = 0 as well. Hence,

Z n
∑ (−2 (ai, j (x,t)uxi ) ut ) cos(n, x j ) dS = 0 .
i, j=1
Sy
Hence, !
Z n
2ut utt − 2 ∑ ∂x j (ai, j (x, t)uxi )ut dx dt
i, j=1
Qy
! !
Z n Z n
= ut2 + ∑ ai, j (x, y)uxi ux j (x, y) − ut2 + ∑ ai, j (x, 0)uxi ux j (x, 0)
i, j=1 i, j=1
Q Q
(6.2.10)
Z n
− ∑ ∂t (ai, j (x, t))uxi ux j dx dt .
i, j=1
Qy
We now come back to (6.2.7), integrate it over Qy and use (6.2.10),

! !
Z n Z n
ut2 + ∑ ai, j (x, y) uxi ux j (x, y) dx = ut2 + ∑ ai, j (x, 0)uxi ux j (x, 0)
i, j=1 i, j=1
Q Q
Z n
− ∑ ∂t (ai, j (x, t))uxi ux j dx dt (6.2.11)
i, j=1
Qy
!
Z n
+ 2 ∑ b j (x,t)ux j + c (x,t)u + f ut dx dt =
j=1
Qy
!
Z n Z n
2
= ψ (x) + ∑ ai, j (x, 0) ϕxi ϕx j dx dt − ∑ ∂t (ai, j (x,t))uxi ux j dx dt
i, j=1 i, j=1
Q Qy
!
Z n
+ 2 ∑ b j (x,t)ux j + c (x,t)u + f ut dx dt .
j=1
Qy
By (6.2.2)
! Z
Z n
ut2 + ∑ ai, j (x, y) uxi ux j (x, y) dx ≥ ut2 + µ (Ou)2 (x, y) dx .
i, j=1
Q Q
(6.2.12)
Hyperbolic PDEs 163
Hence, using (6.2.2) and Cauchy-Schwarz inequality, we obtain

Z Z
ut2 + µ (Ou)2 (x, y) dx ≤ 2
ψ (x) +C (Oϕ (x)) 2
dx (6.2.13)
Q Q
Z Z
+C (Ou)2 + ut2 + u2 dx dt +C f 2 dx dt .
Qy Qy
Changing, if necessary, the constant C > 0, we obtain from (6.2.13)

Z Z Z
ut2 + (Ou)2 (x, y) dx ≤ C (Ou)2 + ut2 + u2 dx dt +C f 2 dx dt
Q Qy Qy
(6.2.14)
Z
+C ψ2 (x) + (Oϕ (x))2 dx .
Q
Now,
Zt
u (x,t) = ϕ (x) + ut (x, s) ds .
0
Hence, for t ∈ (0, y)

 
Zy
u2 (x,t) ≤ C ϕ2 (x) + ut2 (x, s) ds . (6.2.15)
0
Substitution of this in (6.2.14) gives

Z Z Z
ut2 + (Ou)2 (x, y) dx ≤ C (Ou) 2
+ ut2 dx dt +C f 2 dx dt
Q Qy Qy
(6.2.16)
+C kψk2L2 (Q) + kϕk2H 1 (Q) .
Now the turn of the Gronwall’s inequality came in. Denote

Z
2
p (t) = (Ou) + ut2 (x,t) dx , (6.2.17)
Q
Z
F (t) = C f 2 (x,t) dx +C kψk2L2 (Q) + kϕk2H 1 (Q) . (6.2.18)
Q
Since  
Z Zy Z
(...)(x,t) dx dt =  (...)(x,t) dx dt ,
Qy 0 Q
then (6.2.16) can be rewritten as:

Zy
p (y) ≤ C p (t) dt + F (t) .
0
Hence, by Gronwall’s inequalities (5.3.11) and (5.3.12) we have for all

y ∈ (0,t)
Zy Zy
p (t) dt ≤ F (s)exp (C (y − s)) ds , (6.2.19)
0 0
Zy
p (y) ≤ F (y) +C F (s) (y − s) exp (C (y − s)) ds . (6.2.20)
0
Substituting (6.2.17) and (6.2.18) in (6.2.19), recalling (6.2.15) and noting
that exp (C (y − s)) ≤ C1 , we obtain with a new constant C

kuk2H 1 (Qy ) ≤ C k f k2L2 (Qy ) + kψk2L2 (Q) + kϕk2H 1 (Q) , ∀y ∈ (0, T ) .
(6.2.21)
Next, substituting (6.2.17) and (6.2.18) in (6.2.20) and recalling (6.2.15),
we obtain for all y ∈ (0, T )

ku (x, y)k2H 1 (Q) ≤ C k f (x, y)k2L2 (Q) + k f k2L2 (Qy ) + kψk2L2 (Q) + kϕk2H 1 (Q) .
(6.2.22)
Inequalities (6.2.21) in (6.2.22) are called “energy estimates for prob-
lem (6.2.4)-(6.2.6).”
Impose now a little bit general boundary condition than (6.2.6):
u |ST = g (x,t) . (6.2.23)
Theorem 6.2.1. (uniqueness). Problem (6.2.4), (6.2.5), (6.2.23) has at

most one solution u ∈ H 2 (QT ).
Hyperbolic PDEs 165
Proof. Assume that there exist two solutions u1 and u2 . Consider their
difference ue = u1 − u2 . Then the function ue ∈ H 2 (QT ), satisfies equation
(6.2.4) with f ≡ 0 as well as zero initial conditions in (6.2.5) and zero
boundary condition (6.2.6). Hence, (6.2.21) implies that ue ≡ 0, i.e. u1 ≡
u2 .
Chapter 7
Parabolic PDEs
7.1 Parabolic Equations

In this section, coefficients of the parabolic operator satisfy the same con-
ditions (6.2.1)-(6.2.3) as ones in section 6.
The parabolic equation with respect to the function u (x,t) in the cylin-
der QT is:
n n
ut = ∑ ∂x j (ai, j (x,t)uxi )+ ∑ b j (x,t)ux j +c (x,t)u+ f (x,t) , (x,t) ∈ QT .
i, j=1 j=1
(7.1.1)
We add initial data:
u (x, 0) = ϕ (x) , x ∈ Q. (7.1.2)
Boundary data are also enforced. Although three types of boundary data
can be used, we use for simplicity only one type, Dirichlet boundary data:
u |ST = g (x,t) . (7.1.3)
So, the initial boundary

value problem consists in finding the function
2
u ∈ C (QT ) ∩C QT satisfying conditions (7.1.1)-(7.1.3).
7.1.1. Heat Equation
ut = ∆u + f (x,t), (x,t) ∈ QT , (7.1.4)

u (x, 0) = ϕ (x) , x ∈ Q, (7.1.5)

u |ST = g (x,t) . (7.1.6)
Equation (7.1.4) is the simplest form of equation (7.1.1).
In physics, u (x,t) is the temperature at the point x ∈ Q at the moment
of time t ∈ (0, T ) . f (x,t) is the heat source, ϕ (x) is the initial temperature
and g (x,t) is the temperature prescribed at the boundary of the domain
Ω. Diffusion processes are also described by equation (7.1.4), or, more
generally, by (7.1.1).
Denote
ω0 = (x,t) : x ∈ Q,t = 0 . (7.1.7)
Theorem 7.1.1. (The maximum principle). Suppose that in (7.1.4)

f (x,t) ≡ 0. Let the function u ∈ C2 (QT ) ∩ C QT be a solution of equa-
tion (7.1.4) and u (x,t) 6= const. Then the maximum/minimum of the func-
tion u (x,t) in the domain QT can be attained only at the boundary ST ∪ ω0 .
Proof. First of all, by Weierstrass’ Theorem the maximum/minimum of

the function u (x,t) is always achieved in QT , since u (x,t) is continuous in
QT .
Suppose that the positive maximal value of u (x,t) is achieved at an
interior point (x0 ,t0 ) ∈ QT (ST ∪ ω0 ) ,
M = max u (x,t) = u (x0 ,t0 ) .

QT
Let
m = max u (x,t) .
ST ∪ω0
Since u (x,t) 6= const., then

M > m. (7.1.8)
Consider the function
v (x,t) = u (x,t) − εt ,
where ε > 0 is sufficiently small. Then
max v (x,t) ≥ max u (x,t) − εT = M − εT .

QT QT
Parabolic PDEs 169
By (7.1.8)
M − εT > m ,
if ε is sufficiently small. On the other hand,
max v (x,t) ≤ m .
ST ∪ω0
Hence,
max v (x,t) ≥ M − εT > max v (x,t) .
QT ST ∪ω0
Hence, the function v (x,t) achieves its maximal value at an interior point
(x1 ,t1 ) of the set QT (ST ∪ ω0 ) . Hence,
vt (x1 ,t1 ) ≥ 0, ∆v (x1 ,t1 ) ≤ 0 .
Hence, we should have

vt (x1 ,t1 ) − ∆v (x1 ,t1 ) ≥ 0 .
However,
vt (x1 ,t1 ) − ∆v (x1 ,t1 ) = ut (x1 ,t1 ) − ∆u (x1 ,t1 ) − ε = −ε < 0 .
Contradiction. To consider the case of the minimum, it is sufficient to

consider w = −u.
Theorem 7.1.2. (uniqueness).

Problem (7.1.4)-(7.1.6) has at most one so-
2
lution u ∈ C (QT ) ∩C QT .
Proof. Suppose that it has two solutions u1 , u2 . Let v = u1 − u2 . Then
vt = ∆v in QT ,
v (x, 0) = 0 ,
v |ST = 0 .
Now, by Theorem 7.1.1
max v (x,t) = max v (x,t) = 0 ,

QT ST ∪ω0
min v (x,t) = min v (x,t) = 0 .

QT ST ∪ω0
Hence, v (x,t) ≡ 0. Hence, u1 ≡ u2 .

7.1.2. The Maximum Principle in the General Case

Theorem 7.1.3. Let in (7.1.1) f (x,t) ≡ 0 and
c (x,t) ≤ 0 . (7.1.9)

Let the function u ∈ C2 (QT ) ∩ C QT be a solution of equation (7.1.4)
and u (x,t) 6= const. Then the positive maximum of the function u (x,t) in
the domain QT can be attained only at the boundary ST ∪ ω0 . The same
is true for the negative minimum. If, however, c (x,t) ≡ 0, then the max-
imum/minimum of the function u (x,t) in the domain QT can be attained
only at the boundary ST ∪ ω0 .
Proof. Suppose that the maximal value of u (x,t) is achieved at an interior
point (x0 ,t0 ) ∈ QT (ST ∪ ω0 ) ,
M = max u (x,t) = u (x0 ,t0 ) > 0 .

QT
Let
m = max u (x,t) .
ST ∪ω0
Since u (x,t) 6= const., then

M > m. (7.1.10)
Consider the function
v (x,t) = u (x,t) − εeαt ,
where ε > 0 is sufficiently small and α > 0 is defined as
α = 2 max |c (x,t)| + 1 . (7.1.11)

QT
Then
max v (x,t) ≥ max u (x,t) − ε = M − εeαT .
QT QT
By (7.1.10) and (7.1.11) we can choose ε = ε (M, m, α, T ) > 0 so small that
M − εeαT > m .
On the other hand,

max v (x,t) ≤ m .
ST ∪ω0
Parabolic PDEs 171
Hence,
max v (x,t) ≥ M − εeαT > max v (x,t) .
QT ST ∪ω0
Hence, the function v (x,t) achieves its maximal value at an interior point
(x1 ,t1 ) of the set QT (ST ∪ ω0 ) . And also
max v (x,t) ≥ M − εeαT > 0 .

QT
Hence,
vt (x1 ,t1 ) ≥ 0, vx j (x1 ,t1 ) = 0 ,
n
− ∑ ai, j (x1 ,t1)vx x i j (x1 ,t1 ) ≥ 0 ,
i, j=1

−c (x1 ,t1) v (x1 ,t1 ) ≥ −c (x1 ,t1 ) M − εeαT ≥ 0 .
In the last line we have used (7.1.9). Hence,
!
n n
vt − ∑ ∂x j (ai, j vxi ) − ∑ b j vx j − cv (x1 ,t1 ) ≥ 0 . (7.1.12)
i, j=1 j=1
On the other hand,

!
n n
vt − ∑ ∂x j (ai, j vxi ) − ∑ b j vx j − cv (x1 ,t1)
i, j=1 j=1
!
n n
= ut − ∑ ∂x j (ai, j uxi ) − ∑ b j ux j − cu (x1 ,t1 ) − ε − c (x1 ,t1 ) εeαt1
i, j=1 j=1
(7.1.13)
αt1 αt1 αt1
= −εαe − c (x1 ,t1 ) εe = −εe (α + c (x1 ,t1 )) .
By (7.1.11)
α + c (x1 ,t1) = 2 max (|c (x,t)|) + 1 + c (x1 ,t1 ) ≥ 1 .

QT
Hence, in the last line of (7.1.13)
−εeαt1 (α + c (x1 ,t1 )) ≤ −εeαt1 < 0 .
We got a contradiction with (7.1.12). The case c (x,t) ≡ 0 can be handled

absolutely similarly with the proof of Theorem 7.1.1.
Theorem 7.1.4. (uniqueness). Suppose that (7.1.9) holds. Then

problem
(7.1.1)-(7.1.3) has at most one solution u ∈ C2 (QT ) ∩C QT .
Proof. Suppose that it has two solutions u1 , u2 . Let v = u1 − u2 . Then

n n
vt − ∑ ∂x j (ai, j vxi ) − ∑ b j vx j − cv = 0 in QT , (7.1.14)
i, j=1 j=1
v (x, 0) = 0 , (7.1.15)
v |ST = 0 . (7.1.16)
Suppose that there exists a point (x0 ,t0 ) ∈ QT such that v (x0 ,t0) 6=
0.Assume, for example that v (x0 ,t0 ) > 0. Then the function v (x,t) at-
tains a positive maximum in QT . However, this maximum cannot be at-
tained on ST ∪ ω0 , due to (7.1.15)-(7.1.16). Therefore, it is attained
in QT (ST ∪ ω0 ) . But this contradicts to Theorem 7.1.3. The same if
v (x0 ,t0 ) < 0, except that the negative minimum should be considered in-
stead of the positive maximum. Therefore, the only option left is v (x0 ,t0) =
0. Thus, v (x,t) ≡ 0.
7.1.3. A General Uniqueness Theorem

Theorem 7.1.4 is valid only if the function c (x,t) ≤ 0 as in (7.1.9). We
now prove a theorem which claims uniqueness without this assumption.
Theorem 7.1.5. Problem (7.1.1)-(7.1.3) has at most one solution u ∈

C2 (QT ) ∩C QT .
Proof. Assuming that there are two solutions, we obtain (7.1.14)-(7.1.16)

for their difference. And now a new idea: Introduce the function
w = veλt ,
where λ > 0 is a parameter which we will choose later. Then (7.1.14)-

(7.1.16) become:
n n
wt − ∑ ∂x j (ai, j wxi ) − ∑ b j wx j − (λ + c) w = 0 in QT , (7.1.17)
i, j=1 j=1
w (x, 0) = 0 , (7.1.18)
Parabolic PDEs 173
w |ST = 0 . (7.1.19)
Choose λ > 0 so large that λ + c (x,t) > 0 in QT . For example, one can
choose
λ = 2 max |c (x,t)| + 1 .
QT
Hence, by Theorem 7.1.4 w (x,t) ≡ 0 in QT .
7.2 Construction of the Weak Solution of Problem

(7.1.1)-(7.1.3)
In this section we follow the contents of [7].
It is convenient now to rewrite equation (7.1.1) as:
n n
ut − ∑ ∂x j (ai, j (x, t)uxi ) + ∑ b j (x, t)ux j + c (x, t)u = f (x, t) , (x, t) ∈ QT ,
i, j=1 j=1
(7.2.1)
where “−” is replaced with “+” in second and third terms on the left side
of (7.2.1). We use zero initial and boundary conditions:
u (x, 0) = 0 , (7.2.2)
u |ST = 0 . (7.2.3)
Define the Hilbert space H, an analog of H01 (QT ) as:
( )
n 2
H = u : u (x, 0) = u |S = 0, kuk2 = kuk2
T + ∑ ux
H L2 (QT ) j L2 (QT )
<∞ ,
j=0
where we define
ux0 = ut .
Hence, H is such a subspace of H 1 (QT ) , which consists of functions hav-
ing the zero trace at {t = 0} ∪ ST .
Lemma 7.2.1. The norm in H is equivalent with

!1/2
2
n
[u] = ∑ ux j L 2 (QT )
. (7.2.4)
j=0
Proof. By Poincaré’s or Steklov’s inequality (Theorem 4.10.8)

n 2
ku (x,t)k2L2 (Q) ≤ C ∑ ux j (x,t) L , ∀t ∈ (0, T ) .
2 (Q)
j=1
Integrating here with respect to t ∈ (0, T ) , we obtain

n 2
kuk2L2 (QT ) ≤ C ∑ ux j L . (7.2.5)
2 (QT )
j=0
Thus, we will use below the norm [u] and denote the scalar product in
this norm as
n n Z
[u, v] = ∑ ux j , vx j = ∑ ux j (x,t)vx j (x,t) dx dt ,
j=0 j=0
QT
where (, ) denotes the scalar product in L2 (QT ) ,

Z
(u, v) = u (x,t)v (x,t) dx dt .
QT
Consider the set V of functions defined as

 
 Zt 
V = v : v = w (x, τ) dτ, w∈H .
 
0
Hence,
vt ∈ H, ∀v ∈ V . (7.2.6)
Lemma 7.2.2. The set V is dense in the space H, V = H.
Proof. Consider the set of functions

e = v : v ∈ C2 QT , v (x, 0) = vt (x, 0) = v |ST = 0 .
V
e is dense in H. Now, for any function
By an analog of Theorem 8.2, V
v∈Ve,
Zt
v (x,t) = vt (x, τ) dτ
0
e ⊂ V.
and the function vt ∈ H. Hence, V
Parabolic PDEs 175
7.2.1. Weak Solution: Definition

Let λ > 1 be a parameter which we will define later. Assume for a moment
that in (7.2.1)-(7.2.3) u ∈ C2 QT . Multiply both sides of equation (7.2.1)
by the function
vt e−λt
and integrate over QT using integration by parts, the boundary conditions
(7.2.3) and (7.2.6),
n n
ut , vt e−λt + ∑ ai j uxi , vtx j e−λt + ∑ b j ux j , vt e−λt + cu, vt e−λt
i, j=1 j=1
(7.2.7)
−λt
= f , vt e , ∀v ∈ V .
Definition 7.2.1. Suppose that a function u ∈ H satisfies integral identity
(7.2.7). Then this function is called weak solution of initial boundary value
problem (7.2.1)-(7.2.3).
A subtle point here is that the so defined weak solution actually de-
pends on the parameter λ. However, here is how this can be handled. Un-
der certain non-restrictive conditions imposed on coefficients ai j , b j , c and
the function f , this weak solution actually belongs to C2 QT and satisfies
conditions (7.2.1)-(7.2.3) in the usual manner. Then, applying Theorem
7.1.5, we obtain that all functions u are the same for all values of λ.
7.2.2. Existence of the Weak Solution

Theorem 7.2.1. Assume that functions

ai j ∈ C1 QT ; b j , c ∈ C QT , f ∈ L2 (QT ) ,
ai j = a ji , (7.2.8)
n
∑ ai, j (x,t)ξiξ j ≥ µ |ξ|2 , ∀ (x,t) ∈ QT , ∀ξ ∈ Rn , (7.2.9)
i, j=1
where µ = const. > 0. Then there exists a sufficiently large λ > 0 such that
for this λ there exists unique weak solution uλ ∈ H of problem (7.2.1)-
(7.2.3) satisfying integral identity (7.2.7). Furthermore, the following sta-
bility estimate holds:
[u] ≤ 2eλT k f kL2 (QT ) .
Proof. Denote terms in (7.2.7) as:

l1 (u, v) = ut , vt e−λt ,
n
l2 (u, v) = ∑ ai j uxi , vtx j e−λt ,
i, j=1
n
l3 (u, v) = ∑ b j ux j , vt e−λt ,
j=1

l4 (u, v) = cu, vt e−λt ,

l5 (u, v) = f , vt e−λt .
Consider bilinear forms l1 , l2 , l3 , l4 for a fixed v ∈ V and let u ∈ H vary in
them. Then each of these forms is a bounded linear functional of u and the
domain of this functional is H. For example,

|l2 (u, v)| ≤ C kOukL2 (QT ) Ovt e−λt ≤ B (v) [u] ,
L2 (QT )
where B and C are some positive constants.

Hence, by the Riesz representation theorem there exists functions
v1 , v2 , v3 , v4 ∈ H such that
l j (u, v) = [u, v j ], j = 1, 2, 3, 4 .
Functions depend on the function v. Hence, we have operators A j : V → H,
A j v = v j , j = 1, 2, 3, 4 .
Since forms l1 , l2, l3 , l4 are linear with respect to v, then these operators are
linear as well. Denote
4
Av = ∑ A jv .
j=1
Then
A:V →H
is a linear operator. Let R (A) ⊂ H be the range of A, i.e.
R (A) = {w = Av, ∀v ∈ V } .
Parabolic PDEs 177

Consider now l5 ( f , v) = f , vt e−λt as the functional of v ∈ V. This
functional can be extended for all v ∈ H by the same formula. Note that

f , vt e−λt ≤ k f kL2 (QT ) vt e−λt ≤ k f kL2 (QT ) kvt kL2 (QT ) ≤ k f kL2 (QT ) [v] .
L2 (QT )
Hence, by Riesz theorem there exists a unique function F = F ( f ) ∈ H

such that
f , vt e−λt = [F, v] , ∀v ∈ H .
Furthermore,
[F] ≤ k f kL2 (QT ) . (7.2.10)
Thus, integral identity (7.2.7) is equivalent with
[u, Av] = [F, v] , ∀v ∈ V . (7.2.11)
We now interrupt the proof of Theorem 7.2.1 for the sake of Lemma
7.2.3.
Lemma 7.2.3. There exists a sufficiently large λ0 > 0 such that for all
λ ≥ λ0 the following inequality holds
1
[v, Av] ≥ e−λT [v, v] . (7.2.12)
2
Proof.
4
[v, Av] = ∑ l j (v, v) . (7.2.13)
j=1
Denote
kzk = kzkL2 (QT ) , ∀z ∈ L2 (QT ) ,

B = max max ai, j , ∂t ai, j , b j , |c| .
i, j
We have: 2

l1 (v, v) = vt e−λt/2 , (7.2.14)
n n

|l3 (v, v)| ≤ B ∑ vx j e−λt/2 , |vt | e−λt/2 ≤ B ∑ vx j e−λt/2 vt e−λt/2 .
j=1 j=1
Use
1 2
ab ≤ εa2 + b , ∀a, b ∈ R, ∀ε > 0 .
4ε
Hence,
n n 2
−λt/2 −λt/2 −λt/2 2 B −λt/2
B ∑ vx j e vt e ≤ ε vt e + ∑ vx j e .
j=1 4ε j=1
Hence,
2 B n 2
−λt/2
|l3 (v, v)| ≤ ε vt e−λt/2 + ∑ xj
v e . (7.2.15)
4ε j=1
Next,

|l4 (v, v)| = cve−λt/2 , vt e−λt/2 ≤ B ve−λt/2 vt e−λt/2
2 B 2

≤ Bε vt e−λt/2 + ve−λt/2 .
4ε
By (7.2.5) of Lemma 7.2.1
n 2
−λt/2 2
ve ≤ C ∑ vx j e−λt/2 .
j=1
Hence,
2 BC n 2

|l4 (v, v)| ≤ Bε vt e−λt/2 + ∑ vx e−λt/2
j . (7.2.16)
4ε j=1
Thus, (7.2.14)-(7.2.16) imply that
l1 (v, v) + l3 (v, v) + l4 (v, v)

2 B (C + 1) n 2

≥ (1 − ε − Bε) vt e−λt/2 − ∑ vx e−λt/2
j . (7.2.17)
4ε j=1
Now we estimate l2 (v, v) from the below,

n
l2 (v, v) = ∑ ai j vxi , vtx j e−λt .
i, j=1
Parabolic PDEs 179
Recall: ai j = a ji . We have:

ai j vxi vtx j e−λt + a ji vx j vtxi e−λt = ai j e−λt vxi vtx j + vx j vtxi =

= ∂t vxi vx j ai j e−λt = ∂t vxi vx j ai j e−λt − ai jt vxi vx j e−λt + λai j vxi vx j e−λt

≥ ∂t vxi vx j ai j e−λt − B vxi e−λt/2 vx j e−λt/2 + λai j vxi e−λt/2 · vx j e−λt/2 .
Hence,
!
n n
−λt 1 −λt/2 −λt/2
∑ ai j vx vtx e
i j ≥ ∂t
2 ∑ ai j vxi e vx j e
i, j=1 i, j=1
µλ n 2 n 2
−λt/2 −λt/2
+
2 ∑ xj
v e − BC ∑ xj
v e .
j=1 j=1
For λ ≥ λ0
µλ
> BC .
4
Hence,
!
n n
−λt 1 −λt/2 −λt/2
∑ ai j vx vtx e
i j ≥ ∂t
2 ∑ ai j vxi e vx j e
i, j=1 i, j=1
µλ n 2
+ ∑ vx j e−λt/2 .
4 j=1
This means that

n
l2 (v, v) = ∑ ai j vxi , vtx j e−λt
i, j=1
Z ZT
!
n
1
≥
2
∂t ∑ ai j vx e−λt/2 vx e−λt/2
i j dt dx
i, j=1
Q 0
µλ n 2

+
4 ∑ vx e−λt/2 j
j=1
!
e−λT n
µλ n 2

Z
=
2 ∑ ai j vxi vx j (x, T ) dx +
4 ∑ vx e−λt/2
j
i, j=1 j=1
Q
µλ n
2
−λt/2
4 ∑
≥ vx j e .
j=1
Thus,
µλ n 2
−λt/2
l2 (v, v) ≥
4 ∑ j
vx e .
j=1
Combining this with (7.2.17), we obtain
l1 (v, v) + l2 (v, v) + l3 (v, v) + l4 (v, v)

−λt/2 2 µλ B (C + 1) n
2
−λt/2
≥ (1 − ε − Bε) vt e +
4
1−
λµε ∑ j vx e .
j=1
(7.2.18)
Choose ε > 0 so small that 1 − ε − Bε > 1/2. Then choose λ0 > 0 so large
that
µλ0
>1 (7.2.19)
4
and
B (C + 1) 1
1− > . (7.2.20)
λ0 µε 2
Also note that e−λt/2 ≥ e−λT /2 .
Then (7.2.18)-(7.2.20) imply that
1 n 2
l1 (v, v) + l2 (v, v) + l3 (v, v) + l4 (v, v) ≥ e−λT
2 ∑ vx j .
j=0
By (7.2.13) this can be rewritten as:

1
[v, Av] ≥ e−λT [v, v] ,
2
which is exactly (7.2.12).
The proof of Theorem 7.2.1 will be continued in the next subsection.

Parabolic PDEs 181
7.2.3. Continuation of the Proof of Theorem 7.2.1

First of all, it follows from (7.2.12) that the operator A is one-to-one. In-
deed, suppose that Av = 0. Then by (7.2.12)
1
[v, 0] ≥ e−λT [v, v] .
2
Hence, [v, v] = [v]2 = 0. Hence, v = 0.

Therefore, there exists the inverse operator A−1 : R (A) → V. We show
now that the operator A−1 is bounded. Indeed, let w = Av. Then v = A−1 w.
Then by (7.2.12)
1 −λT −1 2 −1
e A w ≤ A w, w ≤ A−1 w [w] .
2
Thus,
−1 1 2
A w [w] ≥ e−λT A−1 w .
2
Hence,
A−1 w ≤ 2eλT [w] .
This means that the operator A−1 is bounded and its norm
−1
A ≤ 2eλT . (7.2.21)
Since the operator A−1 : R (A) → V is bounded, then it is continuous.

Therefore, we can define it on the closure of R (A) in H, i.e. on the sub-
space R (A) of H. Let G ⊂ H be such a subspace of the space H that G is
orthogonal to R (A) and
R (A) ⊕ G = H .
Define an extension A−1
1 : H → H on the whole space H as

A−1 (r) if r ∈ R (A) ,
A−1
1 (r) =
0 if r ∈ G .
Hence, for any w = p + r ∈ H, where p ∈ R (A) and r ∈ G,
A−1 −1
1 (w) = A (p) . (7.2.22)
Since A−1 −1∗

1 : H → H is a bounded operator, then it has adjoint operator A1 ,
−1
z, A1 (w) = A−1∗
1 z, w , ∀z, w ∈ H . (7.2.23)
Consider again integral identity (7.2.7). By (7.2.11) it is equivalent with
[u, Av] = [F, v] , ∀v ∈ V , (7.2.24)
where by (7.2.10)
[F] ≤ k f kL2 (QT ) . (7.2.25)
Let Av = w. Then v = A−1 w. Since w ∈ R (A), then by (7.2.22) A−1 w =

A−1
1 (w) . Hence, (7.2.24) becomes

[u, w] = F, A−1
1 w , ∀w ∈ R (A) . (7.2.26)
We impose even more restrictive condition than (7.2.26):

[u, w] = F, A−1
1 w , ∀w ∈ H . (7.2.27)
By (7.2.23) and (7.2.27)

[u, w] = A−1∗
1 (F) , w , ∀w ∈ H .
Hence, we found that weak solution u as
u = A−1∗
1 (F) .
Finally using (7.2.21) and (7.2.25), we obtain stability estimate:

−1
[u] ≤ A−1∗
1
kfk
L2 (QT ) = A
k f k λT
L2 (QT ) ≤ 2e k f kL2 (QT ) .
Thus,
[u] ≤ 2eλT k f kL2 (QT ) .
MA
Chapter 8
Introduction to Ill-Posed
Problems
8.1 Some Definitions

The theory of ill-posed problems addresses the following fundamental
question: How to obtain a good approximation for the solution of an ill-
posed problem in a stable way? Roughly speaking, a numerical method,
which provides a stable and accurate solution of an ill-posed problem, is
called the regularization method for this problem; see Sect. 1.7 for a rigor-
ous definition. Foundations of the theory of ill-posed problems were estab-
lished by three Russian mathematicians: A.N. Tikhonov, M.M. Lavrent’ev
and V.K. Ivanov in the 1960’s. The first foundational work was published
by Tikhonov in 1943 [8]. The material of this chapter is taken from [1].
More details can be found in [10, 9].
We now remind some definitions from the standard course of functional
analysis.
Definition 8.1.1. Let B be a Banach space. The set V ⊂ B is called pre-

compact set if every sequence {xn }∞
n=1 ⊆ V contains a fundamental subse-
quence (i.e., the Cauchy subsequence).
Although by the Cauchy criterion the subsequence of Definition 8.1.1

converges to a certain point, there is no guarantee that this point belongs to
the set V . If we consider the closure of V , i.e., the set V̄ , then all limiting
points of all convergent sequences in V would belong to V̄ . Therefore, we

arrive at Definition 8.1.2.
Definition 8.1.2. Let B be a Banach space. The set V ⊂ B is called com-

pact set if V is a closed set, V = V̄ , every sequence {xn }∞
n=1 ⊆ V contains
a fundamental subsequence, and the limiting point of this subsequence be-
longs to the set V .
Definition 8.1.3. Let B1 and B2 be two Banach spaces, U ⊆ B1 be a set and

A : U → B2 be a continuous operator. The operator A is called a compact
operator or completely continuous operator if it maps any bounded subset
U 0 ⊆ U in a precompact set in B2 . Clearly, if U 0 is a closed set, then A (U 0 )
is a compact set.
The following theorem is well known under the name of Ascoli-

Archela theorem (More general formulations of this theorem can also be
found).
Theorem 8.1.1. The set of functions M ⊂ C(Ω̄) is a compact set if and

only if it is uniformly bounded and equicontinuous. In other words, if the
following two conditions are satisfied:
1. There exists a constant M > 0 such that
k f kC (Ω̄) ≤ M, ∀f ∈ M .
2. For any ε > 0, there exists δ = δ(ε) > 0 such that
| f (x) − f (y)| < ε, ∀x, y ∈ {|x − y| < δ} ∩ Ω̄, ∀ f ∈ M .
In particular, because of some generalizations of this theorem, any

bounded set in Ck (Ω̄) (or H k (Ω) , k ≥ 1 is a compact set in C p (Ω̄) (re-
spectively H p (Ω)) for p ∈ [0, k − 1]. We also remind one of the Sobolev
embedding theorems for spaces H k (Ω). Let [n/2] be the least integer which
does not exceed n/2.
Theorem 8.1.2. Suppose that k > [n/2] + m, the domain Ω is bounded and
∂Ω ∈ Ck . Then H k (Ω) ⊂ Cm (Ω̄) and k f kCm (Ω̄) ≤ Ck f kH k (Ω) , ∀ f ∈ H k (Ω),
where the constantC = C(Ω, k, m) > 0 depends only on Ω, k, m. In addition,
any bounded set in H k (Ω) is a precompact set in Cm (Ω̄).
Introduction to Ill-Posed Problems 185
Theorem 8.1.2 actually claims that the space H k (Ω) is compactly

embedded in the space Cm (Ω̄). ”Compactly embedded” means that
k f kCm (Ω̄) ≤ Ck f kH k (Ω) , ∀ f ∈ H k (Ω), and any bounded set in H k (Ω) is a
precompact set in Cm (Ω̄). In other words, any sequence bounded in H k (Ω)
contains a subsequence, which converges in Cm (Ω̄), although the limit of
this subsequence does not necessarily belong to H k (Ω).
8.2 Some Examples of Ill-Posed Problems

Example 1 (J. Hadamard). We now describe the classical example of
Hadamard. Consider the Cauchy problem for the Laplace equation for the
function u(x, y) :
∆u = 0, x ∈ (0, π), y > 0, (8.2.1)
u(x, 0) = 0, uy(x, 0) = αsin(nx) , (8.2.2)
where n > 0 is an integer. It is well known that the Cauchy problem for a
general elliptic equation with ”good” variable coefficients has at most one
solution (although it might not have solutions at all). The unique solution
of the problems (8.2.1) and (8.2.6) is
α
u(x, y) = sinh(ny) sin(nx) . (8.2.3)
n
Choose sufficiently small numbers ε > 0, α = α(ε) > 0 and a number y :=
y0 > 0. Let in (8.2.1) x ∈ (0, π). Since the function

eny0 1 + e−2ny0
sinh(ny0 ) =
2
grows exponentially as n → ∞, then it is clear from (8.2.1) that for any
pair of reasonable functional spaces Ck [0, π], L2 [0, π], H k [0, π], etc., one can
choose such two numbers c > 0, n0 > 0 depending only on numbers ε, α, y0
that
kα sin(nx)k1 < ε, ∀n ≥ n0 ,
α

ku (x, y0 )k2 = sinh(ny0 ) sin(nx) > c, ∀n ≥ n0 ,
n 2
where k · k1 is the norm in one of those spaces and k · k2 is the norm in an-
other one. The above example demonstrates that although both the Dirich-
let and Neumann boundary data are small, any reasonable norm of the
solution is still large. In other words, this is a manifestation of a high

instability of this problem. Based on this example, Hadamard has con-
cluded that it makes no sense to consider unstable problems. However, his
conclusion was an exaggeration. Indeed, unstable problems arise in many
applications. Being inspired by applications to geophysics, Tikhonov has
proposed in 1943 the fundamental concept for solving unstable problems;
see Sect. 8.3.
Example 2 (Differentiation of a Function Given with a Noise). The dif-
ferentiation of functions given by analytic formulas is a trivial exercise. In
the reality, however, functions are often measured in experiments. Since
experimental data always contain noise, then measured functions are given
with a noise. Quite often, it is necessary to differentiate these noisy func-
tions. We demonstrate now that the problem of the differentiation of noisy
functions is unstable. Suppose that the function f (x), x ∈ [0, 1] is given
with a noise. In other words, suppose that instead of f (x) ∈ C1 [0, 1] the
following function f δ (x) is given:
f δ (x) = f (x) + δ f (x), x ∈ [0, 1] ,
where δ f (x) is the noisy component. Let δ > 0 be a small parameter char-
acterizing the level of noise. We assume that the noisy component is small,
kδ f kC[0,1] ≤ δ. The problem of calculating the derivative f δ0 (x) is unstable.
Indeed, let, for example,

sin n2 x
δ f (x) = ,
n
where n > 0 is a large integer. Then the C[0, 1]-norm of the noisy compo-
nent is small:
1
kδ f kC[0,1] ≤ .
n
However, the difference between derivatives of noisy and exact functions
f δ0 (x) − f 0 (x) = n cosn2 x
is not small in any reasonable norm. We now describe a simple regulariza-

tion method of stable calculation of derivatives. The idea is that the step
size h in the corresponding finite difference should be connected with the
level of noise δ. Thus, h cannot be made arbitrary small, as it is the case of

the classic definition of the derivative. We obviously have
f (x + h) − f (x) δ f (x + h) − δ f (x)
f δ0 (x) ≈ + . (8.2.4)
h h
The first term in the right-hand side of (1.6) is close to the exact derivative
f 0 (x), if h is small enough. The second term, however, comes from the
noise. Hence, we need to balance these two terms via an appropriate choice
of h = h(δ). Obviously:

0
f (x) − f (x + h) − f (x) ≤ 2δ .
δ
h h
Hence, we should choose h = h(δ) such that
2δ
lim = 0.
δ→0 h(δ)
For example, let h(δ) = δµ , where µ ∈ (0, 1). Then

0 f (x + h) − f (x)
lim f δ (x) − ≤ lim 2δ1−µ = 0 .
δ→0
δ→0 h
Hence, the problem becomes stable for this choice of the grid step size
h(δ) = δµ . This means that h(δ) is the regularization parameter here. There
are many practical methods in the literature designed for stable differenti-
ation. For example, one can approximate the function f δ (x) via cubic B
splines and differentiate this approximation then. However, the number of
these splines should not be too large; otherwise, the problem would become
unstable. So the number of cubic B splines is the regularization parameter
in this case, and its intuitive meaning is the same as the meaning of the
number 1/h(δ). A more detailed description of regularization methods for
the differentiation procedure is outside of the scope of this book.
Let Ω ⊂ Rn is a bounded domain and the function K(x, y) ∈ C(Ω̄ × Ω̄).
Recall that the equation
Z
g(x) + K(x, y)g(y) dy = p(x), x ∈ Ω , (8.2.5)
Ω
where p(x) is a bounded function, is called integral equation of the second

kind. These equations are considered quite often in the classic theory of
PDEs. The classical Fredholm theory works for these equations. Next,
let Ω0 ⊂ Rn be a bounded domain and the function K(x, y) ∈ C(Ω̄ × Ω̄).
Unlike (1.7), the equation
Z
K(x, y)g(y) dy = p(x), x ∈ Ω0 (8.2.6)
Ω
is called the integral equation of the first kind. The Fredholm theory does
not work for such equations. The problem of solution of (1.8) is an ill-
posed problem; see Example 3.
Example 3 (Integral Equation of the First Kind). Consider (8.2.6). The
function K(x, y) is called kernel of the integral operator. Equation (8.2.6)
can be rewritten in the form
K f = p, (8.2.7)
0

where K : C(Ω̄) → C Ω̄ is the integral operator in (8.2.6) It is well known
from the standard functional analysis course that K is a compact operator.
We now show that the problem (8.2.7) is ill-posed. Let Ω = (0, 1), Ω0 =
(a, b). Replace the function f with the function f n (x) = f (x) + sinnx. Then
Z 1
K(x, y) f n (y) dy = gn (x), x ∈ (0, 1) , (8.2.8)
0
where gn (x) = p(x) + pn (x) and
Z 1
pn (x) = K(x, y) sinny dy .
0
By the Lebesque lemma,
lim kpn kC[a,b] = 0 .
n→∞
However, it is clear that

k f n (x) − f (x)kC[0,1] = k sinnxkC[0,1]
is not small for large n.
Example 4 (The Case of a General Compact Operator). We now describe
an example of a general ill-posed problem. Let H1 and H2 be two Hilbert
spaces with dim H1 = dim H2 = ∞. We remind that a sphere in an infinitely
dimensional Hilbert space is not a compact set. Indeed, although the or-
thonormal basis in this space belongs to the unit sphere, it does not contain
a fundamental subsequence.
Theorem 8.2.1. Let G = {kxkH1 ≤ 1} ⊂ H1 . Let A : G → H2 be a compact

operator and let R(A) := A(G) be its range. Consider
an arbitrary point

y0 ∈ R(A). Let ε > 0 be a number and Uε (y0 ) = y ∈ H2 : ky − y0 kH2 < ε .
Then there exists a point y ∈ Uε (y0 ) \R(A).I f , in addition, the operator A
is one-to-one, then the inverse operator A−1 : R(A) → G is not continuous.
Hence, the problem of the solution of the equation
A(x) = z, x ∈ G, z ∈ R(A) (8.2.9)
is unstable, i.e., this is an ill-posed problem.

Proof. First, we prove the existence of a point y ∈ Uε (y0 )\R(A). Assume
to the contrary, i.e., assume that Uε (y0 ) ⊂ R(A). Let {yn }∞
n=1 ⊂ H2 be an
orthonormal basis in H2 . Then the sequence
n ε o∞ n εo
y0 + yn := {zn }∞
n=1 ⊂ ky − y0 k = ⊂ Uε (y0 ) .
2 n=1 2
We have
ε
kzn − zm kH2 = √ .
2
Hence, the sequence {zn }∞ n=1 does not contain a fundamental subsequence.
Therefore, Uε (y0 ) is not a precompact set in H2 . On the other hand, since
G is a closed bounded set and A is a compact operator, then R(A) is a
compact set. Hence, Uε (y0 ) is a precompact set. We got a contradiction,
which proves the first assertion of this lemma.
We now prove the second assertion. Assume to the contrary that the
operator A−1 : R(A) → G is continuous. By the definition of the operator
A, we have A−1 (R(A)) = G. Since R(A) is a compact set in H2 , then the
continuity of A−1 implies that G is a compact set in H1 , which is not true.
We now summarize some conclusions which follow from Theorem

8.2.1. By this theorem, the set R(A) is not dense everywhere. Therefore,
the question about the existence of the solution of either of (8.2.7) or
(8.2.9) does not make an applied sense. Indeed, since the set R(A) is
not dense everywhere, then it is very hard to describe a set of values y
belonging to this set. As an example, consider the case when the kernel
K(x, y) ∈ C([a, b] × [0, 1]) in (8.2.8) is an analytic function of the real
variable x ∈ (a, b). Then the right hand side p(x) of (8.2.6) should also be
analytic with respect to x ∈ (a, b). However, in applications, the function

p(x) is a result of measurements, it is given only at a number of discrete
points and contains noise. Clearly, it is impossible to determine from this
information whether the function p(x) is analytic or not. Hence, we got
the following important conclusion.
Conclusion. Assuming that conditions of Theorem 8.2.1 are satisfied, the

problem of solving (8.2.9) is ill-posed in the following terms: (a) the proof
of an existence theorem makes no applied sense, and (b) small fluctuations
of the right hand side y can lead to large fluctuations of the solution x, i.e.,
the problem is unstable.
8.3 The Foundational Theorem of A. N. Tikhonov

[8]
This theorem ”restores” stability of unstable problems, provided that
uniqueness theorems hold for such problems. The original motivation for
this theorem came from the collaboration of the famous Russian mathe-
matician Andrey N. Tikhonov with geophysicists in 1940’s. To his sur-
prise, Tikhonov has learned that geophysicists successfully solve problems
which are unstable from the mathematical standpoint. Naturally, Tikhonov
was puzzled by this. This puzzle has prompted him to explain that “matter
of fact” stability of unstable problems from the mathematical standpoint.
He has observed that geophysicists have worked with rather simple mod-
els, which included only a few abnormalities. In addition, they knew very
well ranges of parameters they have worked with. Also, they knew that the
functions, which they have reconstructed from measured date, had only
very few oscillations. In other words, they have reconstructed only rather
simple media structures. On the other hand, the Ascoli-Archela Theorem
basically requires a priori known upper bounds of both the function and
its first derivatives. Clearly, there is a connection between the number of
oscillations per a bounded set in Rn and the upper bound of the modulus of
the gradient of the corresponding function. These observations have made
Tikhonov to believe that actually geophysicists have worked with compact
sets. This was the starting point for the formulation of the foundational
Tikhonov theorem (below). In particular, this means that in an ill-posed
problem, one should not expect to reconstruct a complicated fine structure

of the medium of interest. Rather, one should expect to reconstruct rather
simple features of this medium.
The key idea of Tikhonov was that to restore stability of an unstable
problem, one should solve this problem on a compact set. The question
is then whether it is reasonable to assume that the solution belongs to a
specific compact set. The answer on this question lies in applications. In-
deed, an example of a compact set in the space C Ω is the set of all
functions from C1 Ω which are bounded together with the absolute val-
ues of their first derivatives by an a priori chosen constant. On the other
hand, it is very often known in any specific application that functions of
one’s interest are bounded by a certain known constant. In addition, it is
also known that those functions do not have too many oscillations, which
is guaranteed by an a priori bound imposed on absolute values of their
first derivatives. These bounds should be uniform for all functions under
consideration. Similar arguments can be brought up in the case of other
conventional functional spaces, like, for example, Ck Ω , H k (Ω). Another
expression of these thoughts, which is often used in applications, is that the
admissible range of parameters is known in advance. On the other hand,
because of the compact set requirement of Theorem 8.3.1, the foundational
Tikhonov theorem essentially requires a higher smoothness of sought for
functions than one would originally expect. The latter is the true under-
lying reason why computed solutions of ill-posed problems usually look
smoother than the original ones. In particular, sharp boundaries usually
look as smooth ones.
Although the proof of Theorem 8.3.1 is short and simple, this result is
one of only a few backbones of the entire theory of ill-posed problems.
Theorem 8.3.1. (Tikhonov, [8]). Let B1 and B2 be two Banach spaces.

Let U ⊂ B1 be a compact set and F : U → B2 be a continuous operator.
Assume that the operator F is one-to-one. Let V = F(U). Then the inverse
operator F −1 : V → U is continuous.
Proof. Assume the opposite: that the operator F −1 is not continuous on

the set V . Then, there exists a point y0 ∈ V and a number ε > 0 such that
for any δ > 0, there exists a point yδ such that although kyδ − y0 kB2 <
δ, still kF −1 (yδ ) −F −1 (y0 ) kB1 ≥ ε. Hence, there exists a sequence
{δn }∞ + ∞
n=1 , limn→∞ δn = 0 and the corresponding sequence {yn }n=1 ⊂ V
such that

yδ − y0 < δn , F −1 (yn ) − F −1 (y0 ) ≥ ε . (8.3.1)
n B2 B1
Denote
xn = F −1 (yn ), x0 = F −1 (y0 ) . (8.3.2)
Then
kxn − x0 kB1 ≥ ε . (8.3.3)
Since U is a compact set and all points xn ∈ U, then one can extract a
convergent subsequence {xnk }∞ ∞ ∞
k=1 ⊆ {xn }n=1 from the sequence {xn }n=1 .
Let limk→∞ xnk = x̄. Then x̄ ∈ U. Since F (xnk ) = ynk and the operator F
is continuous, then by (8.3.1) and (8.3.2), F(x̄) = y0 = F (x0 ). Since the
operator F is one-to one, we should have x̄ = x0 . However, by (8.3.3),
kx̄ − x0 kB1 ≥ ε. We got a contradiction.
8.4 Classical Correctness and Conditional

Correctness
The notion of the classical correctness is called sometimes correctness by
Hadamard.
Definition 8.4.1. Let B1 and B2 be two Banach spaces. Let G ⊆ B1 be an

open set and F : G → B2 be an operator. Consider the equation
F(x) = y, x ∈ G. (8.4.1)
The problem of solution of (8.4.1) is called well-posed by Hadamard,

or simply well posed, or classically well-posed if the following three con-
ditions are satisfied:
1. For any y ∈ B2 , there exists a solution x = x(y) of (8.4.1) (existence
theorem).
2. This solution is unique (uniqueness theorem).
3. The solution x(y) depends continuously on y. In other words, the
operator F −1 : B2 → B1 is continuous.
Thus, the well-posedness by Hadamard means the existence of the solu-

tion of the operator equation (8.4.1) for any right-hand side y. This solution
should be unique. In addition, it should depend on the data y continuously.
All classical boundary value problems for PDEs, which are studied in the
standard PDE course, satisfy these criteria and are, therefore, well-posed
by Hadamard.
If (8.4.1) does not satisfy to at least one these three conditions, then
the problem (8.4.1) is called ill-posed. The most pronounced feature of
an ill-posed problem is its instability, i.e., small fluctuations of y can lead
to large fluctuations of the solution x. The definition of the correctness
by Tikhonov, or conditional correctness, reflects the above Theorems 8.2.1
and 8.3.1.
Since the experimental data are always given with a random noise, we
need to introduce the notion of the error in the data. In practice, this error
is always due to that random noise as well as due to an inevitable discrep-
ancy between the mathematical model and the reality. However, we do not
assume the randomness of y in (8.4.1). Let δ > 0 be a small number. We
say that the right-hand side of (1.24) is given with an error of the level δ if
ky∗ − ykB2 ≤ δ, where y∗ is the exact value of y, which has no error.
Definition 8.4.2. Let B1 and B2 be two Banach spaces. Let G ⊂ B1 be

an a priori chosen set of the form G = Ḡ1 , where G1 is an open set in
B1 . Let F : G → B2 be a continuous operator. Suppose that the right-hand
side of (8.4.1) y := yδ is given with an error of the level δ > 0, where δ
is a small number, ky∗ − yδ kB2 ≤ δ. Here, y∗ is the ideal noiseless data
y∗ . The problem (8.4.1) is called conditionally well posed on the set G, or
well-posed by Tikhonov on the set G, if the following three conditions are
satisfied:
1. It is a priori known that there exists an ideal solution x∗ = x∗ (y∗ ) ∈ G
of this problem for the ideal noiseless data y∗ .
2. The operator F : G → B2 is one-to-one.
3. The inverse operator F −1 is continuous on the set F(G).
Definition 8.4.3. The set G of Definition 8.4.2 is called correctness set for
the problem (8.4.1).
We point out that, unlike the classical well-posedness, the conditional

Well-Posedness, does not require the correctness set G to coincide with the
entire Banach space B1 . Likewise, Definition 8.4.2 does not require a proof
of an existence theorem, unlike the classical case. Indeed, it follows from
Theorem 8.2.1 that it is hopeless to prove such a theorem for (8.2.9). In
addition, such a result would not have a practical meaning. For compari-
son, recall that a significant part of the classical PDE theory is devoted to
proofs of existence theorems, as it is required by the definition of the clas-
sical well-posedness. On the other hand, in the definition of the conditional
well-posedness the existence is assumed a priori. Still, the existence is as-
sumed not for every y in (8.4.1) but only for an ideal, noiseless y := y∗ . The
assumption of the existence of the ideal solution x∗ is a very important no-
tion of the theory of ill-posed problems. Neither the ideal right-hand side
y∗ nor the ideal solution x∗ are never known in applications. This is because
of the presence of the noise in any experiment. Still, this assumption is a
quite reasonable one because actually, it tells one that the physical process
is indeed in place and that the mathematical model, which is described by
the operator F, governs this process accurately.
The second condition in Definition 8.4.2 means uniqueness theorem.
Combined with Theorem 8.3.1, this condition emphasizes the importance
of uniqueness theorems for the theory of ill-posed problems.
The third condition in Definition 8.4.2 means that the solution of the
problem (8.4.1) is stable with respect to small fluctuations of the right-hand
side y, as long as x ∈ G. This goes along well with Theorem 8.3.1. In other
words, the third condition restores the most important feature: stability.
The requirement that the correctness set G ⊂ B1 is not conventionally used
in the classical theory of PDEs. In other words, the requirement of x be-
longing to a “special” subset of B1 is not imposed in classically well-posed
problems.
Motivated by the above arguments, Tikhonov has introduced the
Fundamental Concept of Tikhonov.
The Fundamental Concept of Tikhonov. This concept consists of the

following three conditions which should be in place when solving the ill-
posed problem (8.4.1):
1. One should a priori assume that there exists an ideal exact solution
x of (8.4.1) for an ideal noiseless data y∗ .
∗
2. The correctness set G should be chosen a priori, meaning that some

a priori bounds imposed on the solution x of (8.4.1) should be imposed.
3. To construct a stable numerical method for the problem (8.4.1), one

should assume that there exists a family {yδ } of right-hand sides of (8.4.1),
where δ > 0 is the level of the error in the data with ky∗ − yδ kB2 ≤ δ. Next,
one should construct a family of approximate solutions {xδ } of (8.4.1),
where xδ corresponds to yδ . The family {xδ } should be such that
lim kxδ − x∗ k = 0 .
δ→0+
8.5 Quasi-Solution
The concept of quasi-solutions was originally proposed by Ivanov. It is
designed to provide a rather general method for solving the ill-posed prob-
lem (8.4.1). This concept is actually a quite useful, as long as one is
seeking a solution on a compact set. An example is when the solution
is parametrized, i.e.,
N
x = ∑ ai ϕ i ,
i=1
where elements {ϕi } are a part of an orthonormal basis in a Hilbert space,

the number N is fixed, and coefficients {ai }Nn=1 are unknown. So, one is
seeking numbers {ai }Nn=1 ⊂ G, where G ⊂ RN is a priori chosen closed
bounded set. This set is called sometimes “the set of admissible parame-
ters.”
Since the right-hand side y of (8.4.1) is given with an error, Theorem
8.2.1 implies that it is unlikely that y belongs to the range of the operator F.
Therefore, the following natural question can be raised about the usefulness
of Theorem 8.3.1: Since the right-hand side y of (8.4.1) most likely does
not belong to the range F(G) of the operator F, then what is the practical
meaning of solving this equation on the compact set G, as required by
Theorem 8.3.1? The importance of the notion of quasi solutions is that it
addresses this question in a natural way.
Suppose that the problem (8.4.1) is conditionally well-posed and let
G ⊂ B1 be a compact set. Then, the set F(G) ⊂ B2 is also a compact set.
We have ky − y∗ kB2 ≤ δ. Consider the minimization problem
min J(x), where J(x) = kF(x) − yk2B2 . (8.5.1)

G
Since G is a compact set, then there exists a point x = x (yδ ) ∈ G at which

the minimum in (8.5.1) is achieved. In fact, one can have many points
x (yδ ). Nevertheless, it follows from Theorem 8.5.1 that they are located
close to each other, as long as the number δ is sufficiently small.
Definition 8.5.1. Any point x = x(y) ∈ G of the minimum of the functional

J(x) in (8.5.1) is called quasi-solution of equation in (8.4.1) on the compact
set G.
A natural question is, how far is the quasi-solution from the exact so-
lution x∗ ? Since by Theorem 8.3.1 the operator F −1 : F(G) → G is con-
tinuous and the set F(G) is compact, then one of classical results of real
analysis implies that there exists the modulus of the continuity ωF (z) of the
operator F −1 on the set F(G). The function ωF (z) satisfies the following
four conditions:
1. ωF (z) is defined for z ≥ 0.
2. ωF (z) > 0 for z > 0, ωF (0) = 0, and limz→0+ ωF (z) = 0.
3. The function ωF (z) is monotonically increasing for z > 0.
4. For any two points y1 , y2 ∈ F(G), the following estimate holds:
−1
F (y1 ) − F −1 (y2 ) ≤ ωF (ky1 − y2 )kB .
B 1 2
The following theorem characterizes the accuracy of the quasi-

solution:
Theorem 8.5.1. Let B1 and B2 be two Banach spaces, G ⊂ B1 be a com-

pact set, and F : G → B2 be a continuous one-to-one operator. Consider
(8.4.1). Suppose that its right-hand side y := yδ is given with an error of
the level δ > 0, where δ is a small number, ky∗ − y8 kB2 ≤ δ. Here, y∗ is the
ideal noiseless data y∗ . Let x∗ ∈ G be the ideal exact solution of (8.4.1) cor-
q
responding to the ideal data y∗ , i.e., F (x∗ ) = y∗ . Let xδ be a quasi-solution
of (8.4.1), i.e.,
q
J xδ = min kF(x) − yδ k2B2 .
G
Let ωF (z), z ≥ 0 be the modulus of the continuity of the operator F −1 :

F(G) → G which exists by Theorem 1.3. Then the following error estimate
holds q
x − x∗ ≤ ωF (2δ) . (8.5.2)
δ B 1
In other words, the problem of finding a quasi-solution is stable, and two

quasi solutions are close to each other as long as the error in the data is
small.
Proof. Since ky∗ − yδ kB2 ≤ δ, then
J (x∗ ) = kF (x∗ ) − yδ k2B2 = ky∗ − yδ k2B2 ≤ δ2 .

q
Since the minimal value of the functional J (x∗ ) is achieved at the point x8 ,
then
q
J xδ ≤ J (x∗ ) ≤ δ2 .
q
Hence, F xδ − yδ B ≤ δ. Hence,
2

F xq − F (x∗ ) ≤ F xq − yδ + kyδ − F (x∗ )k
δ B2 δ B B2
2
= F xδ − yδ B + kyδ − y kB2 ≤ 2δ .
q ∗
2
q
Thus, we have obtained that F xδ − F (x∗ ) B ≤ 2δ. Therefore, the defi-
2
nition of the modulus of the continuity of the operator F −1 implies (8.5.2).
This theorem is very important for justifying the practical value of The-
orem 8.3.1. Still, the notion of the quasi-solution has a drawback. This is
because it is unclear how to actually find the target minimizer in practical
computations. Indeed, to find it, one should minimize the functional J(x)
on the compact set G. The commonly acceptable minimization technique
for any least squares functional is via searching points where the Fréchet
derivative of that functional equals zero. However, the well-known obsta-
cle on this path is that this functional might have multiple local minima and
ravines. Therefore, most likely, the norm of the Fréchet derivative is suffi-
ciently small at many points of, for example, a ravine. Thus, it is unclear
how to practically select a quasi-solution. To address this question for the
so-called Coefficient Inverse Problems for PDEs, the convexification nu-
merical method was developed [4]. Still, this question cannot be addressed
for a general ill-posed problem.
8.6 Regularization
To solve ill-posed problems, regularization methods should be used. In this
section, we present the main ideas of the regularization.
Definition 8.6.1. Let B1 and B2 be two Banach spaces and G ⊂ B1 be a
set. Let the operator F : G → B2 be one-to-one. Consider the equation
F(x) = y . (8.6.1)
Let y∗ be the ideal noiseless right-hand side of (8.6.1) and x∗ be the

ideal noiseless solution corresponding to y∗ , F (x∗ ) = y∗ . Let δ0 ∈ (0, 1) be
a sufficiently small number. For every δ ∈ (0, δ0 ) denote

Kδ (y∗ ) = z ∈ B2 : kz − y∗ kB2 ≤ δ .
Let α > 0 be a parameter and Rα : Kδ0 (y∗ ) → G be a continuous operator

depending on the parameter α. The operator Rα is called the regularization
operator for (8.6.1) if there exists a function α(δ) defined for δ ∈ (0, δ0 )
such that
lim Rα(δ) (yδ ) − x∗ B = 0 .
δ→0 1
The parameter α is called the regularization parameter. The procedure

of constructing the approximate solution xα(δ) = Rα(δ) (yδ ) is called the
regularization procedure, or simply regularization.
There might be several regularization procedures for the same problem.
This is a simplified notion of the regularization. In our experience, in the
case of CIPs, usually α(δ) is a vector of regularization parameters, for
example, the number of iterations, the truncation value of the parameter
of the Laplace transform, and the number of finite elements. Since this
vector has many coordinates, then its practical choice is usually quite time-
consuming. This is because one should choose a proper combination of
several components of the vector α(δ).
We now present an ill-posed example. Consider the problem of the
solution of the heat equation with the reversed time. Let the function u(x,t)
be the solution of the following problem:
ut = uxx, x ∈ (0, π),t ∈ (0, T ) ,
u(x, T ) = y(x) ∈ L2 (0, π) ,
u(0,t) = u(π,t) = 0 .
Uniqueness theorem for this and a more general problem is well known.
Obviously, the solution of this problem, if it exists, is
∞
2
u(x,t) = ∑ yn en (T −t) sinnx , (8.6.2)
n=1
r Z
2 π
yn = y(x) sinnx dx . (8.6.3)
π 0
It is clear, however, that the Fourier series (8.6.2)
n converges o∞a narrow class
n2 (T −t)
of functions y(x). This is because the numbers e grow expo-
n=1
nentially with n.
To regularize this problem, consider the following approximation for
the function u(x,t) :
N
2
uN (x,t) = ∑ yn en (T −t) sin nx .
n=1
Here, α = 1/N is the regularization parameter. To show that this is indeed

a regularization procedure in terms of Definition 8.6.1, we need to consider
the following:
Inverse Problem. For each function f ∈ L2 (0, π), consider the solution of
the following initial boundary value problem
vt = vxx , x ∈ (0, π),t ∈ (0, T ) , (8.6.4)
v(x, 0) = f (x) , (8.6.5)
v(0,t) = v(π,t) = 0 . (8.6.6)
Given the function y(x) = v(x, T ), determine the initial condition f (x) in
(8.6.6). Define the operator F : L2 (0, π) → L2 (0, π) as F( f ) = v(x, T ). It is
known from the standard PDE course that
Z π
F( f ) = v(x, T ) = G(x, ξ, T ) f (ξ) dξ , (8.6.7)
0
∞
2
G(x, ξ,t) = ∑ e−n t sinnx sinnξ , (8.6.8)
n=1
where G is the Green’s function for the problem (8.6.6). In other words,
we have obtained the integral equation (8.6.7) of the first kind. Hence,
Theorem 8.2.1 implies that the operator F −1 cannot be continuous.
Following the fundamental concept of Tikhonov, let y∗ ∈ L2 (0, π) be

the “ideal” noiseless function y, which corresponds to the function f ∗ in
(8.6.6). Let the function yδ ∈ L2 (0, π) be such that kyδ − y∗ kL2 (0,π) ≤ δ.
Define the regularization parameter α := 1/N and the regularization oper-
ator Rα (y) as
N
2
Rα (yδ ) (x) = ∑ yn en (T −t) sinnx , (8.6.9)
n=1
r Z
2 π
yn = yδ (x) sinnx dx . (8.6.10)
π 0
Let f ∗ ∈ C1 [0, π] and f ∗ (0) = f ∗ (π) = 0. The integration by parts leads to
r Z r Z
2 π ∗ 1 2 π ∗
∗
fn = f (x) sinnx dx = ( f (x))0 cos nx dx .
π 0 n π 0
Hence,
( f ∗ (x))0 2
( f n∗ )2 ≤ .
n2
Hence,
2
∞ C ( f ∗ (x))0 L
2 (0,π)
∑ ( f n∗ )2 ≤ , (8.6.11)
n=N+1 N
where C > 0 is a constant independent on the function f ∗ . Consider now
the function Rα (y) − f ∗ :
r r
2 N
2 2 ∞
Rα (y) − f ∗ = ∑ (yn − y∗n ) en T sinnx − ∑ fn∗ sinnx .
π n=1 π n=N+1
∞
Since functions (2/π)1/2 sinnx n=1 form an orthonormal basis in
L2 (0, π), then
N ∞
2T
kRα(y) − f ∗ k2L2 (0,π) ≤ e2N ∑ (yn − y∗n )2 + ∑ ( f n∗ )2 .
n=1 n=N+1
This implies that

∞
2
kRα (y) − f ∗ k2L2 (0,π) ≤ e2N T δ2 + ∑ ( f n∗ )2 . (8.6.12)
n=N+1
The second term in the right-hand side of (8.6.12) is independent on the

level of error δ. However, it depends on the exact solution as well as on the
regularization parameter α = 1/N. So, the idea of obtaining the error esti-
mate here is to balance these two terms via equalizing them. To do this, we
need to impose an a priori assumption first about the maximum of a certain
2
norm of the exact solution f ∗ . Hence, we assume that ( f ∗ )0 L (0,π) ≤ M 2 ,
2
where M is a priori given positive constant. This means, in particular, that
the resulting estimate of the accuracy of the regularized solution will hold
uniformly for all functions f ∗ satisfying this condition. This is a typical
scenario in the theory of ill-posed problems and it goes along well with
Theorem 8.3.1.
Using (8.6.11), we obtain from (8.6.12)
2 CM 2
kRα (yδ ) − f ∗ k2L2 (0,π) ≤ e2N T δ2 + . (8.6.13)
N
The right-hand side of (8.6.13) contains two terms, which we need to bal-
ance by equalizing them:
2 CM 2
e2N T δ2 = .
N
2 −1 2T
Since e2N T N CM 2 < e3N for sufficiently large N, we set
2T 1
e3N = .
δ2
Hence, the regularization parameter is
h i1/2 −1
1 −2/3T
α(δ) := := ln δ .
N(δ)
Here, {a} denotes the least integer for a number a > 0. Thus, (8.6.13)
implies that
CM 2
kRα (y8 ) − f ∗ k2L2 (0,π) ≤ δ2/3 + h i1/2 .
ln δ−2/3T
It is clear that the right-hand side of this inequality tends to zero as δ →

0. Hence, Rα(δ) is indeed a regularization operator for the above inverse
problem.
In simpler terms, the number N of terms of the Fourier series (8.6.9)

rather than 1/N is the regularization parameter here. It is also well known
from the literature that the number of iterations in an iterative algorithm
can serve as a regularization parameter. Since in this chapter we want to
outline only main principles of the theory of ill-posed problems rather than
working with advanced topics of this theory, we now derive from the above
a simple example illustrating that the iteration number can indeed be used
as a regularization parameter. Indeed, in principle, we can construct the
regularized solution (8.6.9) iteratively via
2 2
(T −t) (T −t)
f 1 = y1 en sinx, f 2 = f 1 + y2 e2 sin 2x, . . . (8.6.14)
N 2 (T −t)
f N = f N−1 + yN e sinNx . (8.6.15)
It is clear from (8.6.15) that the number of iterations N = N(δ) can be

considered as a regularization parameter here.
8.7 The Tikhonov Regularization Functional

A Member of Russian Academy of Science Dr. Andrey Tikhonov
(Moscow State University) has constructed a general regularization func-
tional which works for a broad class of ill-posed problems. That functional
carries his name in the literature. In this section, we construct this func-
tional and study its properties. The Tikhonov functional has proven to be a
very powerful tool for solving ill-posed problems.
8.7.1. The Tikhonov Functional

Definition 8.7.1. Let B and Q be two Banach spaces with norms k·kB and
k·kQ respectively. Let Q ⊂ B as a set. We say that the space Q is compactly
embedded in the space B if any closed subset of Q, which is bounded in
terms of the norm k·kQ , is a compact set in the space B and also
kzkB1 ≤ kzkQ , ∀z ∈ Q ⊂ B1 ,
i.e. the norm in B1 is weaker than the norm in Q.
Let B1 be a Banach space. Let the space Q be a part of B1 as a set

Q ⊂ B1 and also Q = B1 , where the closure is understood in the norm of
the space B1 . Let Q be compactly embedded in B1 . Some examples of Q

and B1 are:
a. B1 = L2 (Ω) , Q = H k (Ω) , ∀k ≥ 1, where Ω ⊂ Rn is a bounded do-
main.
b. B1 = Cm Ω , Q = Cm+k Ω , ∀m ≥ 0, ∀k ≥ 1, where m and k are
integers.
c. B1 = Cm Ω , Q = H k (Ω) , k > [n/2] + m, assuming that ∂Ω ∈ Ck .
This follows from the Sobolev embedding theorem.
Let G ⊂ B1 be the closure of an open set. Then G ∩ Q 6= ∅, since Q =
B1 . Let B2 be another Banach space. Consider a continuous one-to-one
operator F : G ∩ Q → B2 . The continuity here is in terms of the pair of
spaces B1 , B2 , rather that in terms of the pair Q, B2 . We are again interested
in solving the equation
F (x) = yδ , x ∈ G∩Q. (8.7.1)
Just as above, we assume that the right hand side of this equation is given
with a small error of the level δ ∈ (0, 1). Let y∗ be the ideal noiseless right
hand side corresponding to the ideal exact solution x∗ ∈ G ∩ Q,
F (x∗ ) = y∗ , kyδ − y∗ kB2 < δ . (8.7.2)
The Tikhonov regularization functional Jα (x) is
1 α
Jα (x) = kF(x) − yk2B2 + kx − x0 k2Q , (8.7.3)
2 2
Jα : G ∩ Q → R, x0 ∈ G ∩ Q ,
where α = α(δ) > 0 is a small regularization parameter and the point
x0 ∈ Q. In general, the choice of the point x0 depends on the problem at
hands. Usually x0 is a good first approximation for the exact solution x∗ .
Because of this, x0 is called the first guess or the first approximation. The
dependence α = α (δ) will be specified later. The term α kx − x0 k2Q is called
the Tikhonov regularization term or simply the regularization term.
Thus,
x0 , x∗ ∈ G ∩ Q . (8.7.4)
Suppose that
kzkQ ≤ A, ∀z ∈ G ∩ Q , (8.7.5)
where A > 0 is a constant. Then by the triangle inequality, (8.7.4) and

(8.7.5) yield
1 + kx0 kQ + kx∗ − x0 kQ ≤ 1 + A + 2A = 3A + 1 . (8.7.6)
Consider the set M ⊂ Q,

n o
M = z ∈ Q : kzkQ ≤ 3A + 1 . (8.7.7)
We assume that
M ⊂ (G ∩ Q) . (8.7.8)
By (8.7.4)-(8.7.8)
x0 , x∗ ∈ M ⊂ (G ∩ Q) . (8.7.9)
8.7.2. Approximating the Exact Solution x∗

Consider a sequence {δk }∞
k=1 such
that δk > 0, limk→∞ δk = 0. We want to
construct sequences {α (δk )} , xα(δk ) such that

lim xα(δk ) − x∗ B = 0 .
k→∞ 1
Hence, if such a sequence will be constructed, then we will approximate

the exact solution x∗ in a stable way, and this would correspond well with
the second condition of the Fundamental Concept of Tikhonov.
Using (8.7.2) and (8.7.3), we obtain
δ2 α ∗ δ2 α
Jα (x∗ ) ≤ + kx − x0 k2Q ≤ + kx∗ − x0 k2Q . (8.7.10)
2 2 2 2
Let
mα(δk ) = inf Jα(δk ) (x) .
G∩Q
By (8.7.10)
δ2k α (δk ) ∗
mα(δk ) ≤ + kx − x0 k2Q .
2 2
Hence, there exists a point xα(δk ) ∈ G ∩ Q such that
δ2 α(δk ) ∗
mα(δk ) ≤ Jα(δk ) xα(δk ) ≤ k + kx − x0 k2Q . (8.7.11)
2 2
Theorem 8.7.1. Suppose that the above conditions imposed on the sets
G, Q and the operator F hold. Also, assume that conditions (8.7.4)-(8.7.9)
are valid. Let
δ2k
lim α (δk ) = 0 and ≤ 1. (8.7.12)
k→∞ α (δk )

Then the sequence xα(δk ) converges to the exact solution x∗ of equation
(8.7.2) in the norm of the space B1 , i.e.

lim xα(δk ) − x∗ B = 0 . (8.7.13)
k→∞ 1
Remark 8.7.1. 1. Note that convergence (4.7.1) takes place in the norm
of the space B1 . This norm is weaker than that of the space Q, in which
the regularization term is taken. Still, the sequence xα(δk ) converges to the
point x∗ which is in Q rather than in B1 Q. This is typical for ill-posed
problems.
2. In (8.7.12), the inequality δ2k /α (δk ) ≤ 1 can be replaced with
δ2k /α (δk ) ≤ C for any fixed constant C > 0. We use “1” only for the con-
venience.
Proof of Theorem 8.7.1. By (8.7.3) and (8.7.11)

xα(δ ) − x0 2 ≤ δ2k
+ kx∗ − x0 k2Q . (8.7.14)
k Q α (δk )
We know that p
a2 + b2 ≤ a + b, ∀a, b ≥ 0 .
Hence, by (8.7.14)

xα(δ ) − x0 ≤ p δk + kx∗ − x0 kQ . (8.7.15)
k Q
α (δk )

Furthermore, by the triangle inequality xα(δk ) − x0 Q ≥ xα(δk ) Q −
kx0 kQ . Hence, (8.7.12), (8.7.6) and (4.7.2) imply that

xα(δ ) ≤ 1 + kx0 k + kx∗ − x0 k ≤ 3A + 1 .
k Q Q Q

Hence, the sequence xα(δk ) ⊂ Q is bounded in the norm of the space Q.
Namely, by (8.7.7) and (8.7.8)
∞
xα(δk ) k=1 ⊂ M ⊂ (G ∩ Q) .
Since Q is compactly embedded in B1 , then (8.7.7) implies that M is

∞ set in B1 . Hence, there exists a subsequence of the sequence
a compact
xα(δk ) k=1 , which converges in the norm of the space B1 to a certain point
x ∈ G. For brevity
∞and without any loss of generality we assume that the
sequence xα(δk ) k=1 itself converges to x,

lim xα(δk ) − x B = 0 . (8.7.16)
k→∞ 1
Then (8.7.11) and the first equality (8.7.12) imply that

lim Jα(δk ) xα(δk ) = 0 . (8.7.17)
k→∞
On the other hand, by (8.7.2)

lim yδk − y∗ B2 = 0 . (8.7.18)
k→∞
Hence, the first equality (8.7.12) and (8.7.16)-(8.7.18) imply that
1 h 2 2 i
lim Jα(δk ) xα(δk ) = lim F xα(δk ) − yδk B + α (δk ) xα(δk ) − x0 Q
k→∞ 2 k→∞ 2
(8.7.19)
1 ∗ 2
= kF (x) − y kB2 .
2
Hence, (8.7.16) and (8.7.19) imply that kF (x) − y∗ kB2 = 0, which means
that F (x) = y∗ . Since the operator F is one-to-one on the set G and since
by (8.7.9) x∗ ∈ G, then x = x∗ .
Thus, we have constructed the sequence
∞ of regularization parameters
{α(δk )}∞k=1 and the sequence xα(δk ) k=1 such that

lim xα(δk ) − x∗ B = 0 .
k→∞ 1
To guarantee the second inequality (8.7.12), one can choose,

∞ for exam-
µ
ple α(δk ) = Cδk , µ ∈ (0, 2]. It is reasonable to call xα(δk ) k=1 regularizing
sequence.
We point out that the condition that the operator F is one-to-one plays
∗
a crucial role ∞ above construction since it guarantees that x = x . The
in the
sequence xα(δk ) k=1 is called minimizing sequence.
There are two inconveniences in the above construction. First, it is
unclear how to find the minimizing sequence computationally. Second,
the problem of multiple local minima and ravines of the functional (8.7.3)
presents a significant complicating factor in the goal of the construction of
such a sequence.
8.7.3. Regularized Solution and Accuracy Estimate in a Finite

Dimensional Space
The construction of the previous subsection does not guarantee that the
functional Jα (x) indeed achieves it minimal value. Suppose now that the
functional Jα (x) does achieve its minimal value,
Jα (xα ) = min Jα (x) , α = α (δ) .

G∩Q
Then xα(δ) is called a regularized solution of equation (8.7.1) for this spe-
cific value α = α(δ) of the regularization parameter. It is important to
prove convergence of regularized solutions to the true one x∗ . This is done
in the current subsection.
Consider now the case when B1 = Rn , i.e. when B1 is the finite dimen-
sional space. In this case any closed bounded set is a compact set. The
norm in Rn is denoted kxk .
Remark 8.7.2. The importance of a finite dimensional space is due to the

fact that real computations are always done in finite dimensional spaces.
Let G ⊂ Rn be a closed bounded set. Let B2 be another Banach space.

Consider a continuous one-to-one operator F : G → B2 . We are again in-
terested in solving the equation
F (x) = yδ , x ∈ G. (8.7.20)
Let the number δ ∈ (0, 1) be the level of a small error in the data. Let y∗ be
the ideal noiseless right hand side corresponding to the ideal exact solution
x∗ ,
F (x∗ ) = y∗ , kyδ − y∗ kB2 < δ . (8.7.21)
Consider the Tikhonov regularization functional Jα (x) : G → R
1 α
Jα (x) = kF(x) − yδ k2B2 + kx − x0 k2 . (8.7.22)
2 2
Let A = const. > 0. We impose the following analogs of conditions
(8.7.4)-(8.7.9): Let
M = {z ∈ Rn : kzk ≤ 3A + 1} , (8.7.23)
We assume that
M⊆G (8.7.24)
and that
kx0 k , kx∗ k ≤ A . (8.7.25)
Hence, by (8.7.23)-(8.7.25)
x0 , x∗ ∈ M ⊆ G . (8.7.26)
Let R (M) be the range of the operator F while it acts only on elements
of the set M. By the fundamental theorem of Tikhonov the operator
F −1 : R (M) → M (8.7.27)
is continuous. Therefore, as it is well known from the Analysis course,
that there exists the modulus of the continuity of the operator in (8.7.27).
In other words, there exists a function ωF,M : (0, ∞) → (0, ∞) such that:
1. ωF,M (z1 ) ≤ ωF,M (z2 ) if z1 ≤ z2 .
2. limz→0+ ωF,M (z) = 0.
3. The following estimate holds:

kx1 − x2 k ≤ ωF,M kF (x1 ) − F (x2 )kB2 , ∀x1 , x2 ∈ M . (8.7.28)
Theorem 8.7.2. Suppose that conditions of this subsection imposed on the
set G ⊂ Rn and the operator F : G → B2 hold. Consider the problem of
the solution of equation (8.7.20). Assume that conditions (8.7.21)-(8.7.27)
are valid. Then the functional F achieves its minimal value on the set M
at a point xδ,α ∈ M. Furthermore, the following accuracy estimate for the
regularized solution xδ,α is valid
√
xδ,α − x∗ ≤ ωF,M 2 δ + A α . (8.7.29)
In particular, if α = α(δ) = δ2 , then

xδ,α(δ) − x∗ ≤ ωF,M (2δ (A + 1)) . (8.7.30)
Remark 8.7.3. Just as in section 6, let

Kδ (y∗ ) = z ∈ B2 : kz − y∗ kB2 ≤ δ .
Assume that the regularization parameter α = α (δ) = δ2 . Consider the

operator Rα(δ) : Kδ (y∗ ) → M defined as Rα(δ) (yδ ) = xδ,α(δ) , where xδ,α(δ) is
defined in Theorem 7.2. Then Rα(δ) (yδ ) is the regularization operator for
the problem (8.7.20).
Proof of Theorem 8.7.2. Since the closed ball M is a compact set in Rn ,

then by the Weierstrass theorem, the functional Jα (x) achieves its minimal
value on M at a point xδ,α ∈ M. Since by (8.7.26) x∗ ∈ M, then
1 α
Jα xδ,α ≤ Jα (x∗ ) = kF(x∗ ) − yδ k2B2 + kx∗ − x0 k2
2 2
1 ∗ α
= ky − yδ k2B2 + kx∗ − x0 k2 . (8.7.31)
2 2
By (8.7.21) ky∗ − yδ k2B2 ≤ δ2 . Hence, (8.7.22) and (8.7.31) imply that
√
F xδ,α − yδ ≤ √1 δ + α kx∗ − x0 k .
B2
2
This, (8.7.25) and the triangle inequality imply
√ √
F xδ,α − yδ ≤ √1 δ + 2A α ≤ δ + 2A α. (8.7.32)
B2
2
Next, using the triangle inequality and (8.7.21),

F xδ,α − yδ = F xδ,α − F (x∗ ) + (F (x∗ ) − yδ )
B2 B2

≥ F xδ,α − F (x∗ ) B2 − kF (x∗ ) − yδ kB2

≥ F xδ,α − F (x∗ ) B − δ .
2
Thus,
F xδ,α − yδ ≥ F xδ,α − F (x∗ ) − δ .
B 2 B 2
Substituting this in (8.7.32), we obtain

√
F xδ,α − F (x∗ ) ≤ 2 δ + A α . (8.7.33)
B2
Estimates (8.7.29) and (8.7.30) follow immediately from (8.7.33) and

(8.7.28).
Chapter 9
Finite Difference Method
9.1 Finite Difference (FD) Methods for

One-Dimensional Problems
9.1.1. A Simple Example of a FD Method
We consider a model problem
u00 (x) = f (x), 0 < x < 1, u(0) = ua , u(1) = ub ,
Firstly, we generate a grid. For example, we can use a uniform Cartesian

grid
1
xi = ih, i = 0, 1, · · ·n, h = .
n
Secondly, the derivative can be represented by some FD formula at every
grid point as follows
φ(x − ∆x) − 2φ(x) + φ(x + ∆x)

φ00 (x) = lim .
∆x→0 (∆x)2
Thus we can approximate u00 (x) using nearby function values in the
second order finite difference formula
φ(x − ∆x) − 2φ(x) + φ(x + ∆x)
φ00 (x) ≈
(∆x)2
within some small error. Consequently, at each grid point xi we replace the
differential equation in the model problem by
u (xi − h) − 2u (xi ) + u (xi + h)

= f (xi ) + error ,
h2
where the error is the local truncation error to be reconsidered later. Thus
we obtain the FD solution (an approximation) for u(x) at all xi as the solu-
tion Ui (if it exists) of the following linear system of algebraic equations:
ua − 2U1 +U2
= f (x1 ) ,
h2
U1 − 2U2 +U3
= f (x2 ) ,
h2
U2 − 2U3 +U4
= f (x3 ) ,
h2
· · ·· · · = · · ·
Ui−1 − 2Ui +Ui+1
= f (xi ) ,
h2
· · ·. . . = · · ·
Un−3 − 2Un−2 +Un−1
= f (xn−2 ) ,
h2
Un−2 − 2Un−1 + ub
= f (xn−1 ) .
h2
Thirdly, the system of algebraic equations can be written in the matrix and
vector form and solved
 2 1 
− 2
 h h2    
 1 2 1  U1 f (x1 ) − ua /h2
 − 2 
 h2 h h2  U2   f (x2 ) 
 1 2 1    
  U3   f (x3 ) 
 − 2    
 h2 h h2  .. = .. .
 .. .. ..    
 . . .  .   . 
    
 1 2 1  Un−2 f (xn−2)
 − 2 
 h2 h h2  Un−1 f (xn−1) − ub /h2
 
1 2
− 2
h2 h
(9.1.1)
Finally, we implement and debug the computer code and conduct the error
analysis.
Finite Difference Method 213
Some questions one may ask from this example: 1. Are there other
FD formulas to approximate derivatives? 2. How do we know whether a
FD method works or not? 3.Do the round-off errors affect the computed
solution? 4. How do we deal with boundary conditions other than Dirichlet
conditions? 5. Do we need different FD methods for different problems?
6. How do we know that we are using the most efficient method?
9.1.2. Fundamentals of FD Methods

The Taylor expansion is the most important tool in the analysis of FD meth-
ods.
h2 00 hk
u(x + h) = u(x) + hu0 (x) + u (x) + · · · + u(k)(x) + · · · ,
2 k!
if u(x) is “analytic” (differentiable to any order), or as a finite sum
h2 00 hk
u(x + h) = u(x) + hu0 (x) + u (x) + · · · + u(k)(ξ) .
2 k!
a. Forward, Backward and Central FD Formulas for u0 (x)

Consider the first derivative u0 (x) of u(x) at a point x̄ using the nearby
function values u(x̄ ± h), where h is called the step size. The forward FD,
backward FD and central FD are as follows:
u(x̄ + h) − u(x̄)
Forward FD: ∆+ u(x̄) = ∼ u0 (x̄),
h
u(x̄) − u(x̄ − h)
Backward FD: ∆− u(x̄) = ∼ u0 (x̄),
h
Central FD: ∆u(x̄) = u(x̄+h)−u(
2h
x̄−h)
∼ u0 (x̄).
From differential calculus, we know that
u(x̄ + h) − u(x̄)
u0 (x̄) = lim .
h→0 h
Assume |h| is small and u0 (x) is continuous. Thus an approximation to the
first derivative at x̄ is the forward FD, denoted and defined by
u(x̄ + h) − u(x̄)
∆+ u(x̄) = ∼ u0 (x̄) , (9.1.2)
h
Figure 9.1.1. Geometric illustration of the forward, backward, and central

FD formulas for approximating u0 (x̄).
where an error is introduced and h > 0 is called the step size. Geomet-
rically, ∆+ u(x̄) is the slope of the secant line that connects the two grid
points (x̄, u(x̄)) and (x̄ + h, u(x̄ + h)). It tends to slope of the tangent line at
x̄ in the limit h → 0.
If u(x) has second order continuous derivatives we can invoke the ex-
tended mean value theorem:
1
u(x̄ + h) = u(x̄) + u0 (x̄)h + u00 (ξ)h2 ,
2
where 0 < ξ < h. Thus we obtain the error estimate
u(x̄ + h) − u(x̄) 1
E f (h) = − u0 (x̄) = u00 (ξ)h = O(h) ,
h 2
so the error is proportional to h and the discretization (9.1.2) is called first
order accurate. In general, if the error has the form
E(h) = Ch p , p > 0,
then the method is called p-th order accurate.

Similarly, we can analyze the backward FD formula
u(x̄) − u(x̄ − h)
∆−u(x̄) = , h>0
h
for approximating u0 (x̄), where the error estimate is
u(x̄) − u(x̄ − h) 1
Eb (h) = − u0 (x̄) = − u00 (ξ)h = O(h) ,
h 2
so this formula is also first order accurate. Geometrically, one may expect
the slope of the secant line that passes through (x̄ + h, u(x̄ + h)) and (x̄ −
h, u(x̄− h)) is a better approximation to the slope of the tangent line of u(x̄)
at (x̄, u(x̄)), suggesting that the corresponding central FD formula
u(x̄ + h) − u(x̄ − h)
∆u(x̄) = , h > 0.
2h
In order to get the relevant error estimate, we need to retain more terms
in the Taylor expansion:
1 1 1
u(x ± h) = u(x) ± hu0 (x) + u00 (x)h2 ± u000 (x)h3 + u(4)(x)h4 ± · · · ,
2 6 24
whence
u(x̄ + h) − u(x̄ − h) 1
Ec (h) = − u0 (x̄) = u000 (x̄)h2 + · · · = O h2 ,
2h 6
where · · · stands for higher order terms, so the central FD formula is second
order accurate. It is easy to show that (13) can be rewritten as
u(x̄ + h) − u(x̄ − h) 1
∆u(x̄) = = (∆+ + ∆− )u(x̄) .
2h 2
There are higher order accurate formulae too, e.g., the third order accurate
FD formula
2u(x̄ + h) + 3u(x̄) − 6u(x̄ − h) + u(x̄ − 2h)
∆3 u(x̄) = .
6h
9.1.3. Deriving FD Formulas Using the Method

of Undetermined Coefficients
To approximate of a first derivative to second order accuracy, we may an-
ticipate a formula involving the values u(x̄), u(x̄−h), and u(x̄−2h) in using
the method of undetermined coefficients where we write
u0 (x̄) ∼ γ1 u(x̄) + γ2 u(x̄ − h) + γ3 u(x̄ − 2h) .
Invoking the Taylor expansion at x̄ yields
γ1 u(x̄) + γ2 u(x̄ − h) + γ3 u(x̄ − 2h) =

0 h2 00 h3 000
γ1 u(x̄) + γ2 u(x̄) − hu (x̄) + u (x̄) − u (x̄) +
2 6

0
2
4h 00 8h3 000
γ3 u(x̄) − 2hu (x̄) + u (x̄) − u (x̄) + O max |γk |h4 ,
2 6
a linear combination that should approximate u0 (x̄), so we set

γ1 + γ2 + γ3 = 0 ,
−hγ2 − 2hγ3 = 1 ,
h2 γ2 + 4h2 γ3 = 0 .
Solving the system above yields
3 2 1
γ1 = , γ2 = − , γ3 = .
2h h 2h
Hence we obtain the one-sided FD scheme
3 2 1
u0 (x̄) = u(x̄) − u(x̄ − h) + u(x̄ − 2h) + O h2 .
2h h 2h
Another one-sided FD formula is immediately obtained by setting −h for
h, namely,
3 2 1
u0 (x̄) = − u(x̄) + u(x̄ + h) − u(x̄ + 2h) + O h2 .
2h h 2h
a. FD Formulas for Second Order Derivatives

We can apply FD operators twice to get FD formulas to approximate the
second order derivative u00 (x̄), e.g., the central FD formula
u(x̄) − u(x̄ − h)
∆+ ∆−u(x̄) = ∆+
h
1 u(x̄ + h) − u(x̄) u(x̄) − u(x̄ − h)
= −
h h h
u(x̄ − h) − 2u(x̄) + u(x̄ + h)
=
h2
= ∆− ∆+ u(x̄) = δ2 u(x̄) . (9.1.3)
Using the same FD operator twice produces a one-sided FD formula,
e.g.,
u(x̄ + h) − u(x̄)
∆+∆+ u(x̄) = (∆+)2 u(x̄) = ∆+
h
1 u(x̄ + 2h) − u(x̄ + h) u(x̄ + h) − u(x̄)
= −
h h h
u(x̄) − 2u(x̄ + h) + u(x̄ + 2h)
= .
h2
In a similar way, FD operators can be used to derive approximations

for partial derivatives. e.g.,
u(x̄ + h, ȳ+ h) + u(x̄− h, ȳ− h) − u(x̄+ h, ȳ− h) − u(x̄− h, ȳ+ h) ∂2 u
δx δy u(x̄, ȳ) = ≈ (x̄, ȳ) .
4h2 ∂x∂y
b. FD Formulas for Higher Order Derivatives

For example,
u(x̄ − h) − 2u(x̄) + u(x̄ + h)

∆+δ2 u(x̄) = ∆+
h2
u(x̄ − h) + 3u(x̄) − 3u(x̄ + h) + u(x̄ + 2h)
=
h3
h
= u000 (x̄) + u(4)(x̄) + · · ·
2
is first order accurate.
If we use the central formula
−u(x̄−2h)+2u(x̄−h)−2u(x̄+h)+u(x̄+2h) 2
2h3
= u000 (x̄) + h4 u(5) (x̄) + · · ·, then we
can have a second order accurate scheme.
9.1.4. Consistency, Stability, Convergence and Error

Estimates of FD Methods
a. Global Error
If U = [U1 ,U2 , · · ·Un ]T denotes the approximate solution gener-
ated by some FD scheme with no round-off errors and u =
[u (x1 ) , u (x2 ) , · · · , u (xn )] is the exact solution at the grid points
x1 , x2 , · · · , xn , then the global error vector is defined as E = U − u. Nat-
urally, we seek a smallest upper bound for the error vector, which is com-
monly measured using one of the following norms: the maximum (in-
finity norm) kEk∞ = maxi {|ei |}, the 1-norm (average norm) defined as
1/2
2
kEk1 = ∑i hi |ei |, the 2-norm defined as kEk2 = ∑i hi |ei | .
p
If kEk ≤ Ch , p > 0, we call the FD method p-th order accurate. Hence
we can obtain the definition below.
Definition 9.1.1. A FD method is called convergent if limh→0 kEk = 0.

b. Local Truncation Error

For the two-point boundary value problem
u00 (x) = f (x), 0 < x < 1, u(0) = ua , u(1) = ub ,
the local truncation error of the finite difference scheme
Ui−1 − 2Ui +Ui+1
= f (xi )
h2
is
u (xi − h) − 2u (xi ) + u (xi + h)
Ti = − f (xi ), i = 1, 2, · · · , n − 1 .
h2
Thus on moving the right-hand side to the left-hand side, we obtain the
local truncation error, and then substituting the true solution u (xi ) for Ui .
Let P(d/dx) denote the differential operator on u in the linear differen-
d2
tial equation, e.g., - Pu = f represents u00 (x) = f (x) if P dxd
= dx 2 ; and -
000 00 0
Pu = f represents u + au + bu + cu = f (x) if

d d3 d2 d
P = 3 + a(x) 2 + b(x) + c(x) .
dx dx dx dx
Let Ph be some corresponding FD operator, e.g., for the second order dif-
ferential equation u00 (x) = f (x), a possible FD operator is
u(x − h) − 2u(x) + u(x + h)
Ph u(x) = .
h2
In general, the local truncation error is then defined as
T (x) = Ph u − Pu ,
where it is noted that u is the exact solution. For example, for the differ-
ential equation u00 (x) = f (x) and the three-point central difference scheme
(9.1.3) the local truncation error is
u(x − h) − 2u(x) + u(x + h)
T (x) = Ph u − Pu = − u00 (x) (9.1.4)
h2
u(x − h) − 2u(x) + u(x + h)
= − f (x) .
h2
Note that the local truncation error depends on the solution in the fi-
nite difference stencil (three-point in this example) but not on the solution
globally (far away), hence the local tag.
Definition 9.1.2. A FD scheme is called consistent if
lim T (x) = lim (Ph u − Pu) = 0 .

h→0 h→0
If |T (x)| ≤ Ch p , p > 0, then we say the discretization is p-th order

accurate, where C = O(1) is the error constant dependent on the solution
u(x).
The three point central FD scheme for u00 (x) = f (x) produces by Taylor
Expansion for checking the consistency:
u(x − h) − 2u(x) + u(x + h) 00 h2 (4)

T (x) = 2
− u (x) = u (x) + · · · = O h2
h 12
1
such that |T (x)| ≤ Ch2 , where C = max0≤x≤1 12 u(4)(x) − the discretiza-
tion is second order accurate. Let us examine another FD scheme for
u00 (x) = f (x),
Ui − 2Ui+1 +Ui+2
= f (xi ), i = 1, 2, · · · , n − 2 ,
h2
Un−2 − 2Un−1 + u(b)
= f (xn−1 ) .
h2
discretization at xn−1 is second order accurate since T (xn−1 ) =

The
2
O h , but the local truncation error at all other grid points is
u (xi ) − 2u (xi+1 ) + u (xi+2 )

T (xi ) = − f (xi ) = O(h) ,
h2
i.e., at all grid points where the solution is unknown. We have
limh→0 T (xi ) = 0, so the FD scheme is consistent. However, if we imple-
ment this FD scheme we may get weird results. Thus we have to consider
stability. Consider the representation
Au = F + T, AU = F =⇒ A(u − U) = T = −AE ,
where A is the coefficient matrix of the FD equations, F is the modified

source term that takes the boundary condition into account, and T is the lo-
cal truncation error vector at the grid points
−1where
the solution
−1 is unknown.

Thus if A is non-singular, then kEk = A T ≤ A kTk; however, if
A is singular, then kEk may become arbitrarily large so the FD method
may not converge. This is the case in the example

−1 2above, whereas for the
central FD scheme (9.1.4) we have kEk ≤ A h and we can prove that
−1
A is bounded by a constant. Note that the global error depends on

both A−1 and the local truncation error.
Definition 9.1.3. A FD method for elliptic differential equations is stable
if A is invertible and
−1
A ≤ C, for all 0 < h < h0 ,
where C and h0 are two constants that are independent of h.

We can reach the following theorem from the above discussion:
Theorem 9.1.1. A consistent and stable FD method is convergent.
To prove the convergence of the central FD scheme (9.1.4) for u00 (x) =
f (x), we need the following lemma.
Lemma 9.1.1. Consider a symmetric tridiagonal matrix A ∈ R n×n whose
main diagonals and off-diagonals are two constants, respectively d and α.
Then the eigenvalues of A are

πj
λ j = d + 2α cos , j = 1, 2, · · ·n
n+1
and the corresponding eigenvectors are

j πk j
xk = sin , k = 1, 2, · · ·n .
n+1

The lemma can be proved by direct verification ( from Ax j = λ j x j ,
and we also note that the eigenvectors x j are mutually orthogonal in the
R n vector space.
Theorem 9.1.2. The central FD method for u00 (x) = f (x) and a Dirichlet
boundary condition is convergent, with kEk∞ ≤ kEk2 ≤ Ch3/2
Proof. On assuming the matrix A ∈ R (n−1)×(n−1) we have d = −2/h2 and
α = 1/h2 , so the eigenvalues of A are

2 1 πj 2
λ j = − 2 + 2 cos = 2 (cos(π jh) − 1) .
h h n h
Noting that the eigenvalues of A−1 are 1/λ j and A−1 is also symmetric, we
have
1 h2 h2 1
−1 = < 2.
A = =
2 min λ j 2(1 − cos(πh)) 2 1 − 1 − (πh) /2 + (πh)4 /4! + ···
2 π
Therefore, we have
1√
kEk∞ ≤ kEk2 ≤ A−1 2 kTk2 ≤ 2 n − 1Ch2 ≤ C̄h3/2 .
π
We can also prove that the infinity norm is also proportional to h2 using
the maximum principal or the Green function approach.
The eigenvectors and eigenvalues of the coefficient matrix in (9.1.1)
can be obtained by considering the Sturm-Liouville eigenvalue problem
u00 (x) + λu = 0, u(0) = u(1) = 0 .
It is easy to check that the eigenvalues are
λk = (kπ)2 , k = 1, 2, · · ·
and the corresponding eigenvectors are
uk (x) = sin(kπx) .
The discrete form at a grid point is
uk (xi ) = sin(kπih), i = 1, 2, · · · , n − 1 ,
one of the eigenvectors of the coefficient matrix in (9.1.1). The correspond-

ing eigenvalue can be found using the definition Ax = λx.
c. Round-Off Errors

From numerical linear algebra, we know that kAk2 = max λ j = h22 (1 −
cos(π(n − 1)h)) ∼ h42 = 4n2 , therefore the condition number of A satisfies
−1
κ(A) = kAk2 A 2 ∼ n2 , and the relative error of the computed solution
U for a stable scheme satisfies
k U − uk
≤ local truncation error + round-off error in solving AU = F
kuk

≤ A−1 kTk + C̄g(n)kAk A−1 ε
1
≤ Ch2 + C̄g(n) ε,
h2
where g(n) is the growth factor of the algorithm for solving the linear sys-
tem of equations and ε is the machine precision.
We can roughly estimate such a critical h. Assume that C ∼ O(1) and
g(n) ∼ O(1), when the critical h we can expect occurs when the local
truncation error is roughly the same as the round-off error, i.e.,
1 1 1
h2 ∼ ε, =⇒ n∼ = 1/4 ,
h2 h ε
which is about 100 for the single precision with the machine precision 10−8
and 10,000 for the double precision with the machine precision 10−16 .
9.1.5. FD Methods for Elliptic Equations

a. 1-D Self-Adjoint Elliptic Equations
Consider 1D self-adjoint elliptic equations of the form
0
p(x)u0 (x) − q(x)u(x) = f (x), a < x < b ,
u(a) = ua , u(b) = ub , or other BC .
The existence and uniqueness of the solution is assured by the following
theorem.
Theorem 9.1.3. If p(x) ∈ C1 (a, b), q(x) ∈ C0 (a, b), f (x) ∈ C0 (a, b), q(x) ≥
0 and there is a positive constant such that p(x) ≥ p0 > 0, then there is
unique solution u(x) ∈ C2 (a, b).
Let us assume the solution exists and focus on the FD method for such
a BVP. Firstly, we generate a grid. Consider the uniform Cartesian grid
b−a
xi = a + ih, h= , i = 0, 1, · · ·n ,
n
where in particular x0 = a, xn = b.
Then, we substitute derivatives with FD formulas at each grid point
where the solution is unknown. Define xi+ 1 = xi + h/2, so xi+ 1 − xi− 1 = h.
2 2 2
Thus using the central FD formula at a typical grid point xi with half grid
size, we obtain

pi+ 1 u0 xi+ 1 − pi− 1 u0 xi− 1
2 2 2 2
− qi u (xi ) = f (xi ) + Ei1 ,
h

where pi+ 1 = p xi+ 1 , qi = q (xi ) , f i = f (xi ), and Ei1 = Ch2 . Applying
2 2
the central FD scheme for the first order derivative then gives
u (xi+1 ) − u (xi ) u (xi ) − u (xi−1 )

pi+ 1 − pi− 1
2 h 2 h − qi u (xi ) = f (xi ) + Ei1 + Ei2
h
for i = 1, 2, · · ·n − 1.
The consequent FD solution Ui ≈ u (xi ) is then the solution of the linear
system of equations

pi+ 1 Ui+1 − pi+ 1 + pi− 1 Ui + pi− 1 Ui−1
2 2 2 2
− qiUi = f i
h2
for i = 1, 2, · · ·n − 1. In a matrix-vector form, this linear system can be
written as AU = F, where
 p1/2 + p3/2 p3/2 
− − q1
 h2 h2 
 p3/2 p3/2 + p5/2 p5/2 
 − − q2 
 
 h2 h2 h2 
A= 
 .. .. .. 
 . . . 
 
 pn−3/2 pn−3/2 + pn−1/2 
− − qn−1
h2 h2
 p1/2ua 
  f (x1 ) −
U1  h2 
 U2   f (x2 ) 
   
 U3   f (x3 ) 
   
U= . , F=
 .. .

 ..   . 
   
 Un−2   f (xn−2 ) 
 pn−1/2ub 
Un−1 f (xn−1) −
h2
It is important to note that A is symmetric, negative definite, weakly

diagonally dominant and an M-matrix. Those properties guarantee that A
is non-singular.
The differential equation may also be written in the non-conservative
form
p(x)u00 + p0 (x)u0 − qu = f (x) ,
where second order FD formulas can be applied. However, the derivative
of p(x) or its FD approximation is needed, and the coefficient matrix of the
corresponding FD equations is no longer symmetric, nor negative positive
definite, nor diagonally dominant. Consequently, we tend to avoid using
the non-conservative form if possible.
The local truncation error of the conservative FD scheme is

pi+ 1 u (xi+1 ) − pi+ 1 + pi− 1 u (xi ) + pi− 1 u (xi−1 )
2 2 2 2
Ti = − qi u (xi ) − f i .
h2
Note that P(d/dx) = (d/dx)(pd/dx) − q is the differential operator. It is
easy to show that |Ti | ≤ Ch2 , but it is more difficult to show that A−1 ≤ C.
b. General 1D Elliptic Equations

Consider the problem
p(x)u00 (x) + r(x)u0(x) − q(x)u(x) = f (x), a < x < b,
u(a) = ua , u(b) = ub , or other BC .
If p(x) = 1, r(x) = 0, and q(x) ≤ 0, this is a Helmholtz equation that is
difficult to solve if q(x) ≤ 0 and |q(x)| is large, say q(x) ∼ 1/h2 . There are
two different discretization techniques that we can use.
Central FD discretization for all derivatives:
Ui−1 − 2Ui +Ui+1 Ui+1 −Ui−1
pi + ri − qiUi = f i
h2 2h
for i = 1, 2, · · ·n − 1, where pi = p (xi ) and so on.
Upwinding discretization for the first order derivative and central FD
scheme for the diffusion term:
Ui−1 − 2Ui +Ui+1 Ui+1 −Ui
pi 2
+ ri − qiUi = f i , if ri ≥ 0 ,
h h
Ui−1 − 2Ui +Ui+1 Ui −Ui−1
pi + ri − qiUi = f i , if ri < 0 .
h2 h
This scheme increases the diagonal dominance, but it is only first order
accurate. If |r(x)| is very large ( say |r(x)| ∼ 1/h), it is best to solve the
linear system of equations with either a direct or an iterative method for
diagonally dominant matrices.
9.1.6. The Ghost Point Method for Boundary Conditions

Involving Derivatives
Let us first consider the problem
u00 (x) = f (x), a < x < b,
0
u (a) = α, u(b) = ub ,
where the solution at x = a is unknown. If we use a uniform Cartesian grid
xi = a + ih, then U0 is one component of the solution. We can still use
Ui−1 − 2Ui +Ui+1
= f i , i = 1, 2, · · ·n − 1 ,
h2
but we need an additional equation at x0 = a given the Neumann boundary
condition at a. One approach is to take
U1 −U0 −U0 +U1 α
= α or = ,
h h2 h
and the resulting linear system of equations is again tri-diagonal and sym-
metric negative definite:
 
1 1
 − 2   
 h h2   α
 1 2 1  U0
 − 2   h 
 h2 h h2  U1   f (x1 ) 
 1 2 1    
 − 2  U2   f (x2 ) 
 h2 h h2    
  .. = .. .
 .. .. ..  .   . 
 . . .    
 1 2 1  Un−2   f (xn−2 ) 
   ub 
 − 2
 h2 h h2  Un−1 f (xn−1 ) − 2
1 2  h
− 2
h2 h
However, this approach is only first order accurate if α 6= 0. The additional
equation is the central finite difference equation for the Neumann boundary
condition to close the system
U1 −U−1
= α,
2h
which yields U−1 = U1 − 2hα. Inserting this into the FD equation for the
differential equation at x = a (i.e. at x0 ), we have
U−1 − 2U0 +U1
= f0 ,
h2
U1 − 2hα − 2U0 +U1
= f0 ,
h2
−U0 +U1 f0 α
2
= + ,
h 2 h
where the coefficient matrix is precisely the same as for (40) and the only
difference in this second order method is the component f 0 /2 + α/h in the
vector on the right-hand side, rather than α/2 in the previous first order
method. The eigenvalues can be associated with the related continuous
problem
u00 + λu = 0, u0 (0) = 0, u(1) = 0 .
It is easy to show that the eigenvectors are
πx
uk (x) = cos + kπx
2
corresponding to the eigenvalues λk = (π/2 + kπ)2 .
9.1.7. The Grid Refinement Analysis Technique

We need to validate and confirm the analysis numerically. There are sev-
eral ways to proceed. First, we examine the boundary conditions and
maximum/minimum values of the numerical solutions, to see whether they
agree with the PDE theory and your intuition. Then, we compare the nu-
merical solutions with experiential data, with sufficient parameter varia-
tions. Finally, we do a grid refinement analysis, whether an exact solution
is known or not.
Let us now explain the grid refinement analysis when there is an exact
solution. Assume a method is p-th order accurate, such that kEh k ∼ Ch p if
h is small enough, or
logkEh k ≈ logC + p log h .
Thus if we plot logkEh k against logh using the same scale, then the
slope p is the convergence order. Furthermore, if we divide h by half to get

Eh/2 , then we have the following relations:
kEh k Ch p p
ratio = ≈
Eh/2 C(h/2) p = 2 ,

log kEh k / Eh/2 log( ratio )
p≈ = .
log2 log2
For a first order method (p = 1), the ratio approaches two as h approaches
zero. For a second order method (p = 2), the ratio approaches four as h
approach zero, and so on. Incidentally, the method is called super-linear
convergent if p is some number between one and two.
For a simple problem, we may come up with an exact solution easily.
If we do not have the exact solution, the order of convergence can still
be estimated by comparing a numerical solution with one obtained from a
finer mesh. Suppose the numerical solution converges and satisfies
uh = ue +Ch p + · · · ,
where uh is the numerical solution and ue is the true solution, and let uh∗
be the solution obtained from the finest mesh
uh∗ = ue +Ch∗p + · · · .
Thus we have
uh − uh∗ ≈ C (h p − h∗p ) ,
uh/2 − uh∗ ≈ C ((h/2) p − h∗p ) .
From the estimates above, we obtain the ratio
p
uh − uh ∗ h p − h∗ 2 p (1 − (h∗ /h)p )
≈ = , (9.1.5)
uh/2 − uh∗ (h/2) p − h∗p 1 − (2h∗ /h)p
from which we can estimate the order of accuracy p. For example, on
doubling the number of grid points successively we have
h∗
= 2−k , k = 2, 3, · · · ,
h
then the ratio in (9.1.5) is

ũ(h) − ũ (h∗ ) 2 p 1 − 2−kp
= . (9.1.6)
ũ 2h − ũ (h∗ ) 1 − 2 p(1−k)
In particular, for a first order method (p = 1) this becomes

ũ(h) − ũ (h∗ ) 2 1 − 2−k 2k − 1
= = .
ũ h2 − ũ (h∗ ) 1 − 21−k 2k−1 − 1
If we take k = 2, 3, · · ·, then the ratios above are

7 15 31
3, ' 2.333, ' 2.1429, ' 2.067 .
3 7 15
Similarly for a second order method (p = 2) Eq. (9.1.6) becomes

ũ(h) − ũ (h∗ ) 4 1 − 4−k 4k − 1
= = ,
ũ h2 − ũ (h∗ ) 1 − 41−k 4k−1 − 1
and the ratios are

63 255 1023
5, = 4.2, ' 4.0476, ' 4.0118, ··· ,
15 63 255
when k = 2, 3, · · · To do the grid refinement analysis for 1-D
problems, we can take n = 10, 20, 40, · · · , 640, depending on the
size of the problem and the computer speed; for 2-D problems
(10, 10), (20,20), · ·· , (640, 640), or (16, 16), (32, 32),· · · , (512, 512); and
for 3-D problems (8, 8, 8), (16,16,16),· ·· , (128, 128, 128), if the computer
used has enough memory.
To present the grid refinement analysis, we can tabulate the grid size n
and the ratio or order, so the order of convergence can be seen immediately.
9.2 Finite Difference Methods for 2D Elliptic PDEs

Now we list the examples of 2D elliptic PDEs:
1. The 2D Laplace equation: uxx + uyy = 0,
2. The 2D Poisson equation: uxx + uyy = f ,
3. The modified Helmholtz equation: uxx + uyy − λ2 u = f ,
4. The Helmholtz equation: uxx + uyy + λ2 u = f ,
General self-adjoint elliptic PDE:
O · (a(x, y)Ou(x, y)) + λ(x, y)u = f (x, y)

or (aux)x + (auy)y + λ(x, y)u = f (x, y) ,
where we should assume that a(x, y) does not change sign in the solution
domain, e.g., a(x, y) ≥ a0 > 0, where a0 is a constant.
5. General elliptic PDE (diffusion and advection equations),
a(x, y)uxx + 2b(x, y)uxy + c(x, y)uyy
+ d(x, y)ux + e(x, y)uy + g(x, y)u(x, y) = f (x, y), (x, y) ∈ Ω
if b2 − ac < 0 for all (x, y) ∈ Ω. This equation can be re-written as

O · (a(x, y)Ou(x, y)) + w(x, y) · Ou + c(x, y)u = f (x, y)
after a transformation, where w(x, y) is a vector.
9.2.1. Boundary and Compatibility Conditions

We consider a 2-D second-order elliptic PDE on a domain Ω, with bound-
ary ∂Ω and n the unit outward normal. The solution is known on the bound-
ary,
u(x, y)|∂Ω = u0 (x, y)
is called the Dirichlet boundary condition. The normal derivative is given
along the boundary,
∂u
≡ n · Ou = un = uxnx + uy ny = g(x, y) ,
∂n
where n = (nx , ny) is the unit normal is called the Neumann or flux bound-
ary condition. The following is called the mixed boundary condition:

∂u
α(x, y)u(x, y) + β(x, y) = γ(x, y) .
∂n ∂Ω
There can be different boundary conditions on different parts of the

boundary, e.g., for a channel flow in a domain [a, b] × [c, d], the flux bound-
ary condition may apply at x = a and x = b, and a no-slip boundary condi-
tion u = 0 at the boundaries y = c and y = d.
For a Poisson equation with a purely Neumann boundary condition,
there is no solution unless a compatibility condition is satisfied. Consider
the following problem:

∂u
∆u = f (x, y), (x, y) ∈ Ω, = g(x, y) .
∂n ∂Ω
Figure 9.2.1. A diagram of a two dimensional domain Ω, its boundary ∂Ω

and its unit normal direction.
On integrating over the domain Ω

ZZ ZZ
∆u dx dy = f (x, y) dx dy
Ω Ω
and applying the Green’s theorem gives
∂u
ZZ I
∆u dx dy = ds ,
Ω ∂Ω ∂n
so we have the compatibility condition
ZZ I ZZ
∆u dx dy = g ds = f (x, y) dx dy
Ω ∂Ω Ω
for the solution to exist. If the compatibility condition is satisfied and ∂Ω is

smooth, then the solution does exist but it is not unique. Indeed, u(x, y) +C
is a solution for arbitrary constant C if u(x, y) is a solution, but we can
specify the solution at a particular point (e.g. u (x0 , y0 ) = 0) to render it
well defined.
9.2.2. The Central FD Method for Poisson Equations

Let us now consider the following problem:
uxx + uyy = f (x, y), (x, y) ∈ Ω = (a, b) × (c, d) ,
u(x, y)|∂Ω = u0 (x, y) .
If f ∈ L2 (Ω), then the solution u(x, y) ∈ C2 (Ω) exists and it is unique. The
FD procedure is explained below.
Step 1: Generate a grid. For example, a uniform Cartesian grid can be
generated:
b−a
xi = a + ihx, i = 0, 1, 2, · · ·m, hx = ,
m
d −c
y j = c + jhy , j = 0, 1, 2, · · ·n, hy = .
n
Step 2: Represent the partial derivatives with FD formulas involving
the function values at the grid points. For example, if we adopt the three-
point central FD formula for second-order partial derivatives in the x - and
y-directions respectively, then
u (xi−1 , y j ) − 2u (xi , y j ) + u (xi+1 , y j ) u (xi , y j−1) − 2u (xi , y j ) + u (xi , y j+1)
2
+
(hx ) (hy )2
= f i j + Ti j , i = 1, · · ·m − 1, j = 1, · · ·n − 1 ,
(9.2.1)
where f i j = f (xi , y j ) . The local truncation error satisfies
(hx)2 ∂4 u (hy)2 ∂4 u 4

Ti j ∼ (xi , y j ) + (xi , y j ) + O h ,
12 ∂x4 12 ∂y4
where
h = max {hx , hy} .
The finite difference discretization is consistent if
lim kTk = 0 ,
h→0
so this FD discretization is consistent and second-order accurate. We ig-

nore the error term in Eq. (9.2.1) and replace the exact solution values
u (xi , y j ) at the grid points with the approximate solution values Ui j ob-
tained from solving the linear system of algebraic equations, i.e.,
!
Ui−1, j +Ui+1, j Ui, j−1 +Ui, j+1 2 2
+ − + Ui j = f i j , (9.2.2)
(hx )2 (hy)2 (hx)2 (hy )2
i = 1, 2, · · · , m − 1, j = 1, 2, · · · , n − 1 .
Then we solve the linear system of algebraic equations (9.2.3), to get

the approximate values for the solution at all of the grid points, and con-
struct error analysis, implementation, visualization etc. The natural order-
ing is a commonly used ordering.
Figure 9.2.2. The natural ordering.
In the natural row ordering, we order the unknowns and equations row
by row. Thus the k-th FD equation corresponding to (i, j) has the following
relation:
k = i + (m − 1)( j − 1), i = 1, 2, · · · , m − 1, j = 1, 2, · · · , n − 1 ,
see the diagram in Figure 9.2.2. Referring to Figure 9.2.2, suppose that
hx = hy = h, m = n = 4. Then there are nine equations and nine unknowns,
so the coefficient matrix is 9 by 9. To write down the matrix-vector form,
we should have
x1 = U11 , x2 = U21 , x3 = U31, x4 = U12, x5 = U22 ,
x6 = U32 , x7 = U13 , x8 = U23, x9 = U33 .
Hence the nine equations are

1 u01 + u10
Eqn.1: (−4x1 + x2 + x4 ) = f 11 − ,
h2 h2
1 u20
Eqn.2: (x1 − 4x2 + x3 + x5 ) = f 21 − 2 ,
h2 h
1 u30 + u41
Eqn.3: (x2 − 4x3 + x6 ) = f 31 − ,
h2 h2
1 u02
Eqn.4: (x1 − 4x4 + x5 + x7 ) = f 12 − 2 ,
h2 h
1
Eqn.5: (x2 + x4 − 4x5 + x6 + x8 ) = f 22 ,
h2
1 u42
Eqn.6 : (x3 + x5 − 4x6 + x9 ) = f 32 − 2 ,
h2 h
1 u03 + u14
Eqn.7: (x4 − 4x7 + x8 ) = f 13 − ,
h2 h2
1 u24
Eqn.8: (x5 + x7 − 4x8 + x9 ) = f 23 − 2 ,
h2 h
1 u34 + u43
Eqn.9: (x6 + x8 − 4x9 ) = f 33 − .
h2 h2
The corresponding coefficient matrix is block tridiagonal,
 
B I 0
1
A= 2 I B I ,
h
0 I B
where I is the 3 × 3 identity matrix and

 
−4 1 0
B =  1 −4 1  .
0 1 −4
In general, for an n + 1 by n + 1 grid we obtain

   
B I −4 1
   
1  I B I   1 −4 1 
A= 2 . . .  , B= .. .. ..  .
h  . . . . . .  . . . 
I B n2 ×n2 1 −4 n2 ×n2
Since −A is symmetric positive definite and weakly diagonally dominant,

the coefficient matrix A is non-singular, hence the solution of the system of
the FD equations is unique.
9.2.3. The Maximum Principle and Error Analysis

Consider an elliptic differential operator
∂2 ∂2 ∂2
L=a + 2b + c , b2 − ac < 0, for (x, y) ∈ Ω
∂x2 ∂x∂y ∂y2
and without loss of generality assume that a > 0, c > 0.
Theorem 9.2.1. If u(x, y) ∈ C3 (Ω) satisfies Lu(x, y) ≥ 0 in a bounded do-

main Ω, then u(x, y) has its maximum on the boundary of the domain.
Proof. If the theorem is not true, then there is an interior point (x0 , y0 ) ∈ Ω
such that u (x0 , y0 ) ≥ u(x, y) for all (x, y) ∈ Ω. The necessary condition for
a local extremum (x0 , y0 ) is
∂u ∂u
(x0 , y0 ) = 0, (x0 , y0 ) = 0 .
∂x ∂y
Now since (x0 , y0 ) is not on the boundary of the domain and u(x, y) is
continuous, there is a neighborhood of (x0 , y0 ) within the domain Ω where
we have the Taylor expansion,
1
u (x0 + ∆x, y0 + ∆y) = u (x0 , y0 ) + (∆x)2 u0xx + 2∆x∆yu0xy + (∆y)2u0yy + O (∆x)3 , (∆y)3
2
with superscript of 0 indicating that the functions are evaluated at

2
(x0 , y0 ), i.e., u0xx = ∂∂xu2 (x0 , y0 ) evaluated at (x0 , y0 ), and so on. Since
u (x0 + ∆x, y0 + ∆y) ≤ u (x0 , y0 ) for all sufficiently small ∆x and ∆y,
1
(∆x)2 u0xx + 2∆x∆yu0xy + (∆y)2 u0yy ≤ 0 . (9.2.3)
2
On the other hand, from the given condition
Lu0 = a0 u0kx + 2b0 u0xy + c0 u0yy ≥ 0 ,
where a0 = a (x0 , y0 ) and so forth. In order to match the Taylor expansion

to get a contradiction, we re-write the inequality above as
r !2 r 0 2 !
u0yy 0 2
a0 a0 b0 b b
u0xx + 2 √ 0
uxy + √ u0yy + c0 − ≥ 0,
M M a0 M a0 M M a0
(9.2.4)
where M > 0 is a constant. (The role of M is to make some choices of ∆x

and ∆y that are small enough.) Let us now set
r
a0 b0
∆x = , ∆y = √ .
M a0 M
From (9.2.3), we know that
a0 0 2b0 0 b0
uxx + uxy + 0 u0yy ≤ 0 . (9.2.5)
M M a M
Now we take v
u !
u (b 0 )2
∆x = 0, ∆y = t c0 − 0 /M ;
a
and from (9.2.3) again,

2 !
1 b0
(∆y)2 u0yy = 0
c − 0 u0yy ≤ 0 . (9.2.6)
M a
Thus from (9.2.5) and (9.2.6), the left-hand side of (9.2.4) should not be
positive, which contradicts the condition
Lu0 = a0 u0xx + 2b0 u0xy + c0 u0yy ≥ 0 .
On the other hand, if Lu ≤ 0 then the minimum value of u is on the

boundary of Ω. For general elliptic equations the maximum principle is as
follows. Let
Lu = auxx + 2buxy + cuyy + d1 ux + d2 uy + eu = 0, (x, y) ∈ Ω ,
2
b − ac < 0, a > 0, c > 0, e ≤ 0,
where Ω is a bounded domain. Then from Theorem 9.2.1 u(x, y) cannot

have a positive local maximum or a negative local minimum in the interior
of Ω.
a. The Discrete Maximum Principle

Theorem 9.2.2. Consider a grid function Ui j , i = 0, 1, · · · , m, j =
0, 1, 2, · · · , n. If the discrete Laplacian operator (using the central five-
point stencil) satisfies
Ui−1 j +Ui+1, j +Ui, j−1 +Ui, j+1 − 4Ui j
∆hUi j = ≥ 0,
h2
i = 1, 2, · · ·m − 1, j = 1, 2, · · ·n − 1 ,
then Ui j attains its maximum on the boundary. On the other hand, if

∆hUi j ≤ 0 then Ui j attains its minimum on the boundary.
Proof. Assume that the theorem is not true, so Ui j has its maximum at an
interior grid point (i0 , j0). Then Ui0 , j0 ≥ Ui, j for all i and j, and therefore
1
Ui0 , j0 ≥ (Ui −1 j +Ui0 +1, j0 +Ui0 , j0 −1 +Ui0 , j0 +1 ) .
4 0 0
On the other hand, from the condition ∆hUi j ≥ 0
1
Ui0 , j0 ≤ (Ui −1 j +Ui0 +1, j0 +Ui0 , j0 −1 +Ui0 , j0 +1 )
4 0 0
in contradiction to the inequality above unless all Ui j at the four neighbors
of (i0 , j0 ) have the same value U (i0 , j0 ). This implies that neighboring
Ui0 −1, j0 is also a maximum, and the same argument can be applied enough
times until the boundary is reached. Then we would also know that U0, j0 is
a maximum.
Indeed, if Ui j has its maximum in interior it follows that Ui j is a
constant. Finally, if ∆hUi j ≤ 0 then we consider −Ui j to complete the
proof.
b. Error Estimates of the FD Method for Poisson Equations

With the discrete maximum principle, we can easily get the following
lemma.
Lemma 9.2.1. Let Ui j be a grid function that satisfies
Ui−1 j +Ui+1, j +Ui, j−1 +Ui, j+1 − 4Ui j

∆hUi j = = fi j ,
h2
i, j = 0, 1, · · · , n with an homogeneous boundary condition. Then we have

1 1
kUk∞ = max Ui j ≤ max ∆hUi j = max f i j .
0≤i, j≤n 8 1≤i, j≤n 8 0≤i, j≤n
Proof. Define a grid function
!
1 1 2 1 2
wi j = xi − + yj − ,
4 2 2
where
1
xi = ih, y j = jh, i, j = 0, 1, · · ·n, h = ,
n
corresponding to the continuous function w(x) =
1 2 2
4 (x − 1/2) + (y − 1/2) . Then

h2 ∂4 w ∂4 w
∆h wi j = (wxx + wyy )|(xi,y j ) + + 4 = 1,
12 ∂x4 ∂y (x∗ ,y∗ )
i j

where x∗i , y∗j is some point near (xi , y j ), and consequently
∆h (Ui j − k f k∞ wi j ) = ∆hUi j − k f k∞ = f i j − k f k∞ ≤ 0 ,
∆h (Ui j + k f k∞ wi j ) = ∆hUi j + k f k∞ = f i j + k f k∞ ≥ 0 .
From the discrete maximum principle, Ui j + k f k∞ wi j has its maximum on

the boundary, while Ui j − k f k∞ wi j has its minimum on the boundary, i.e.,
min (Ui j − k f k∞ wi j ) ≤ Ui j − k f k∞wi j ,

∂Ω
and
Ui j + k f k∞ wi j ≤ max (Ui j + k f k∞ wi j )
∂Ω
for all i and j. Since Ui j is zero on the boundary and k f k∞ wi j ≥ 0, we

immediately have the following,

−k f k∞ min wi j ∂Ω ≤ Ui j − k f k∞ wi j ≤ Ui j ,
and
Ui j ≤ Ui j + k f k∞ wi j ≤ k f k∞ max wi j ∂Ω .
It is easy to check that

wi j = 1 ,
∂Ω 8
and therefore
1 1
− k f k∞ ≤ Ui j ≤ k f k∞ ,
8 8
which completes the proof.
Theorem 9.2.3. Let Ui j be the solution of the FD equations using the

standard central five-point stencil, obtained for a Poisson equation with
a Dirichlet boundary condition. The global error k Ek∞ satisfies:

kEk∞ = kU − uk∞ = max Ui j − u (xi , y j )
ij
2
h
≤(max |uxxxx| + max |uyyyy|) ,
96
4

where max |uxxxx| = max(x,y)∈D ∂∂xu4 (x, y), and so on.
Proof. We know that
∆hUi j = f i j + Ti j , ∆h Ei j = Ti j ,
where Ti j is the local truncation error at (xi , y j ) and satisfies

h2
Ti j ≤ (max |uxxxx | + max |uyyyy|) ,
12
so from Lemma
1 h2
k Ek∞ ≤ k Tk∞ ≤ (max |uxxxx| + max |uyyyy|) .
8 96
9.2.4. Finite Difference Methods for General 2nd Order Ellip-

tic PDEs
If the domain of the interest is a rectangle [a, b] × [c, d] and there is no
mixed derivative term uxy in the PDE, then the PDE can be discretized
dimension by dimension. Consider the following example:
O · (p(x, y)Ou) − q(x, y)u = f (x, y), or (pux)x + (puy )y − qu = f

with a Dirichlet boundary condition at x = b, y = c, and y = d but a Neu-

mann boundary condition ux = g(y) at x = a. Adopt a uniform Cartesian
grid:
b−a
xi = a + ihx , i = 0, 1, · · ·m, hx = ,
m
d −c
y j = c + jhy , j = 0, 1, · · ·n, hy = .
n
If we discretize the PDE dimension by dimension, at a typical grid point
(xi , y j ) the FD equation is

pi+ 1 , jUi+1, j − pi+ 1 , j + pi− 1 , j Ui j + pi− 1 , jUi−1, j
2 2 2 2
2
(hx)

pi, j+ 1 Ui, j+1 − pi, j+ 1 + pi, j− 1 Ui j + pi, j− 1 Ui, j−1
2 2 2 2
+ 2
− qi j Ui j = f i j
(hy)
for i = 1, 2, · · · , m − 1 and j = 1, 2, · · · , n − 1, where pi± 1 , j =

2
p (xi ± hx /2, y j ) and so on. For the indices i = 0, j = 1, 2, · · · , n − 1, we
can use the ghost point method to deal with the Neumann boundary condi-
tion. Using the central FD scheme for the flux boundary condition
U1, j −U−1, j
= g (y j ), or U−1, j = U1, j −2hx g (y j ) , j = 1, 2, · · · , n−1
2hx
on substituting into the FD equation at (0, j), we obtain

p− 1 , j + p 1 , j U1, j − p 1 , j + p− 1 , j U0 j
2 2 2 2
(hx )2

p0, j+ 1 U0, j+1 − p0, j+ 1 + p0, j− 1 U0 j + p0, j− 1 U0, j−1
2 2 2 2
+
(hy )2
2p− 1 , j g (y j )
2
− q0 j U0 j = f 0 j + .
hx
For a general second-order elliptic PDE with no mixed derivative term uxy ,
i.e.,
O · (p(x, y)Ou) + w · Ou − q(x, y)u = f (x, y) .
An upwinding scheme may be preferred to deal with the advection term

w · Ou.
Now we consider a finite difference formula for approximating the
mixed derivative uxy. If there is a mixed derivative term uxy , we cannot
proceed dimension by dimension but a centered FD scheme for uxy can be
used, i.e.,
u (xi−1 , y j−1 ) + u (xi+1 , y j+1 ) − u (xi+1 , y j−1 ) − (xi−1 , y j+1 )
uxy (xi , y j ) ≈ .
4hxhy
From a Taylor expansion at (x, y), this FD formula can be shown to be con-
sistent and the discretization is second-order accurate, and the consequent
central FD formula for a second-order linear PDE involves nine grid points.
9.2.5. Solving the Resulting Linear System of Algebraic

Equations
There are some fast Poisson solvers such as the fast Fourier transform
(FFT) or cyclic reduction. There are also multi-grid solvers, either struc-
tured multi-grid, e.g., MGD9V, or AMGs (algebraic multi-grid solvers).
Simple iterative methods such as Jacobi, Gauss-Seidel, SOR(ω) can also
be used. Other iterative methods such as the conjugate gradient(CG) or
pre-conditioned conjugate gradient (PCG), generalized minimized resid-
ual (GMRES), conjugate gradient ( CG) or biconjugate gradient (BICG)
method can be used for non-symmetric system of equations.
a. The Jacobi Iterative Method

Solving for x1 from the first equation in the algebraic system, x2 from the
second, and so forth, we have
1
x1 = (b1 − a12 x2 − a13 x3 · · · − a1n xn ) ,
a11
1
x2 = (b2 − a21 x1 − a23 x3 · · · − a2n xn ) ,
a22
.... .. ..
.. . .
1
xn = (bn − ai1 x1 − an2 x2 · · · − an,n−1 xn−1 ) .
ann
Given some initial guess x0 , the corresponding Jacobi iterative method

is
1
xk+1
1 = b1 − a12 xk2 − a13 xk3 · · · − a1n xkn ,
a11
1
xk+1
2 = b 2 − a 21 xk
1 − a 23 x k
3 · · · − a 2n xk
n ,
a22
.... .. ..
.. . .
1
xk+1
i = bi − ai1 xk1 − ai2 xk2 · · · − ain xkn ,
aii
.... .. ..
.. . .
1
xk+1
n = b n − a x
i1 1
k
− a x
n2 2
k
· · · − a k
n,n−1 n−1 .
x
ann
It can be written compactly as
!
n
1
xk+1
i = bi − ∑ ai j xkj , i = 1, 2, · · · , n ,
aii j=1, j6=i
which is the basis for easy programming. Thus for the FD equations
Ui+1 − 2Ui +Ui+1
= fi
h2
with Dirichlet boundary conditions U0 = ua and Un = ub, we have
ua +U2k h2 f 1
U1k+1 = − ,
2 2
U k +Ui+1
k
h2 f i
Uik+1 = i−1 − , i = 2, 3, · · ·n − 1 ,
2 2
U k + ub h2 f n−1
k+1
Un−1 = n−2 − ,
2 2
and for a two dimensional Poisson equation,
k k k k
Ui−1, j +Ui+1, j +Ui, j−1 +Ui, j+1 h2 f i j
Uik+1
j = − , i, j = 1, 2, · · · , n − 1 .
4 4
b. The Gauss-Seidel Iterative Method

All components xk+1 are updated based on xk .
1
xk+1
1 = b 1 − a xk
12 2 − a 13 3xk
· · · − a k
1n n ,
x
a11
1
xk+1
2 = b 2 − a xk+1
21 1 − a x
23 3
k
· · · − a k
2n n ,
x
a22
.... .. ..
.. . .
1
xk+1
n = b n − a i1 xk+1
1 − a n2 xk+1
2 . . . − a n,n−1 xk+1
n−1 ,
ann
or in a compact form
!
i−1 n
1
xk+1
i = bi − ∑ ai j xk+1
j − ∑ ai j xkj , i = 1, 2, · · · , n .
aii j=1 j=i+1
c. The Successive Over-Relaxation Method

Suppose xk+1 k
GS denotes the update from x in the Gauss-Seidel method.
Intuitively one may anticipate the update
xk+1 = (1 − ω)xk + ωxk+1
GS ,
a linear combination of xk and xk+1GS , may give a better approximation for

a suitable choice of the relaxation parameter ω.
If the parameter ω < 1, the combination above is an interpolation, and
if ω > 1 it is an extrapolation or over-relaxation. For ω = 1, we recover
the Gauss-Seidel method. In component form, the SOR(ω) method can be
represented as
!
i−1 n
k+1 k ω k+1 k
xi = (1 − ω)xi + bi − ∑ ai j x j − ∑ ai j x j
aii j=1 j=i+1
for i = 1, 2, · · · , n The convergence of the SOR(ω) method depends on the

choice of ω. For the linear system of algebraic equations obtained from
the standard five-point stencil applied to a Poisson equation with h = hx =
hy = 1/n, it can be shown that the optimal ω is
2 2
ωopt = ∼ ,
1 + sin(π/n) 1 + π/n
which approaches two as n approaches infinity.
c. Convergence of Stationary Iterative Methods

For a stationary iterative method, the following theorem provides a neces-
sary and sufficient condition for convergence.
Theorem 9.2.4. Given a stationary iteration
xk+1 = T xk + c ,
where
k T is a constant matrix and0 c is a constant vector, the vector sequence
x converges for arbitrary x if and only if ρ(T ) < 1 where ρ(T ) is the
spectral radius of T defined as
ρ(T ) = max |λi (T )| ,
i.e., the largest magnitude of all the eigenvalues of T .

The following theorem is to heck the convergence of a stationary itera-
tive method.
Theorem 9.2.5. If there is a matrix norm k · k such that kT k < 1, then the
stationary iterative method converges for arbitrary initial guess x0 .
We often check whether kT k p < 1 for p = 1, 2, ∞, and if there is just
one norm such that kT k < 1, then the iterative method is convergent. How-
ever, if kT k ≥ 1 there is no conclusion about the convergence.
Given a linear system A x = b, let D denote the diagonal matrix formed
from the diagonal elements of A, −L the lower triangular part of A, and
−U the upper triangular part of A. The iteration matrices for the three
basic iteration methods are thus
- Jacobi method: T = D−1 (L +U), c = D−1 b.
- Gauss-Seidel method: T = (D − L)−1U, c = (D − L)−1 b.
−1
- SOR(ω) method: T = I − ωD−1 L (1 − ω)I + ωD−1U , c =
ω(I − ωL)−1 D−1 b.
Theorem 9.2.6. If A is strictly row diagonally dominant, i.e.,
n
|aii | > ∑ ai j ,
j=1, j6=n
then both the Jacobi and Gauss-Seidel iterative methods converge. The
conclusion is also true when (1): A is weakly row diagonally dominant
n
|aii | ≥ ∑ ai j .
j=1, j6=n
(2): the inequality holds for at least one row; (3) A is irreducible.
9.2.6. A Fourth-Order Compact FD Scheme for

Poisson Equations

A compact fourth-order accurate scheme k u − Uk ≤ Ch4 can be applied
to Poisson equations, using a nine-point discrete Laplacian. Let us fol-
low a symbolic derivation from the second-order central scheme for uxx .
Recalling that
2
2 ∂2 u h2 ∂4 u 4
h2 ∂2 ∂
δxxu = 2 + 4
+O h = 1+ 2 2
u + O h4 (9.2.7)
∂x 12 ∂x 12 ∂x ∂x
and substituting the operator relation
∂2
2
= δ2xx + O h2
∂x
into Eq. (9.2.7), we obtain

2 h2 2 2
∂2
δxx u = 1 + δxx + O h 2
u + O h4
12 ∂x
2
h 2 ∂
= 1 + δ2xx u + O h 4
12 ∂x2
from which
−1 −1
∂2 h2 2 2 h2 2
2
= 1 + δxx δxxu + 1 + δxx O h4 .
∂x 12 12
It is notable that
−1
h2 h2 2
1 + δ2xx = 1− δxx + O h4 ,
12 12
if h is sufficient small. Thus we have the symbolic relation

−1
∂2 h2 2
2
= 1 + δxx δ2xx + O h4 ,
∂x 12
or

∂2
h2 2
2
= 1 − δxx δ2xx + O h4 .
∂x 12
On a Cartesian grid and invoking this fourth-order operator, the Poisson
equation ∆u = f approximation is
−1 !−1
h2x 2 2 h2y 2
1 + δxx δxx u + 1 + δyy δ2yy u = f (x, y) + O h4 ,
12 12
where h = max (hx, hy). On multiplying this by
!
h2x 2 h2y 2
1 + δxx 1 + δyy
12 12
and using the commutativity

(∆x)2 2 (∆y)2 2 (∆y)2 2 (∆x)2 2
1+ δ 1+ δ = 1+ δ 1+ δ ,
12 xx 12 yy 12 yy 12 xx
we get: !
h2y 2 h2x 2
1 + δyy δxxu + 1 + δxx δ2yyu
2
12 12
!
h2x 2 h2y
= 1 + δxx 1 + δ2yy f (x, y) + O h4
12 12
!
h2x 2 h2y 2
= 1 + δxx + δyy f (x, y) + O h4 .
12 12
Expanding this expression yields the nine-point scheme
! !
h2y 2 2 h2y 2 Ui−1, j − 2Ui j +Ui+1, j
1 + δyy δxxUi j = 1 + δyy
12 12 (hx )2
Ui−1, j − 2Ui j +Ui+1, j 1
= 2
+ (Ui−1, j−1 , −2Ui−1, j +Ui−1, j+1
(hx ) 12 (hy)2
−2Ui, j−1 + 4Ui j − 2Ui, j+1 +Ui+1, j−1 − 2Ui+1, j +Ui+1, j+1 ) .
Figure 9.2.3. The coefficients of the finite difference scheme using the
nine-point stencil (left diagram) and the linear combination of f (right di-
agram).
The advantages and disadvantages of nine-point finite difference

schemes for Poisson equations are as follows. It is fourth-order accurate
and it is still compact. The coefficient matrix is still block tri-diagonal.
Less grid orientation effects compared with the standard five-point finite
difference scheme. Higher solution regularity requirement for the fourth-
order compact finite difference scheme. Incidentally, if we apply

∂2 h2 2 2 4

= 1 − δxx δxx u + O h
∂x2 12
to the Poisson equation directly, we obtain another nine-point finite dif-

ference scheme, which is not compact, and has stronger grid orientation
effects.
9.3 Finite Difference Methods for Linear Parabolic

PDEs
A linear PDE of the form:
ut = Lu .
The second order canonical form:
a(x,t)utt + 2b(x,t)uxt + c(x,t)uxx + lower order terms = f (x,t)

is parabolic if b2 − ac ≡ 0 in the entire x - t domain. Here are some exam-

ple:
1. 1 D heat equation with a source: ut = uxx + f (x,t).
The dimension refers to the space variable (x direction).
2. General heat equation: ut = O · (βOu) + f (x,t)
where β is the diffusion coefficient and f ( x,t) is the source (or sink)
term.
3. Diffusion-advection equation: ut = O · (βOu) + w · Ou + f (x,t)
where O · (βOu) is the diffusion term and w · Ou the advection term.
4. Canonical form of diffusion-reaction equation: ut = O · (βOu) +
f (x,t, u)
The nonlinear source term f ( x,t, u) is a reaction term.
The steady state solutions (when ut = 0 ) are the solutions of the corre-
sponding elliptic PDEs, i.e.,
O · (βOu) + f¯(x, u) = 0
for the last case, assuming limt→∞ f ( x,t, u) = f¯( x, u) exists.

Now we consider solving elliptic PDEs using numerical methods for
parabolic PDEs. The steady state solution of a parabolic PDE is the solu-
tion of the corresponding elliptic PDE,e.g., the steady state solution of the
parabolic PDE:
ut = O · (βOu) + w · u + f (x,t)
is the solution to the elliptic PDE:
O · (βOu) + w · u + f¯(x) = 0
if the limit
f¯( x) = lim f ( x,t)
t→∞
exists. The boundary condition is relevant to the steady state solution. This
approach has some advantages. Firstly, it can control the variation of the
intermediate solutions. Secondly, the linear system of equations are more
diagonally dominant.
In the time dependent problem the condition is usually specified at t =
0. If the initial condition is t = T 6= 0, it can be rendered at t = 0 by
t 0 = t − T . Note that the boundary conditions at t = 0 may or may not be
consistent with the initial condition.
The solution is said to be dynamically unstable if it is not uniformly

bounded. However ,we will not discuss how to solve this kind of problem,
we will only focus on the dynamical stable problems.
We will discuss the following FD methods for parabolic PDEs in this
chapter: 1. the forward and backward Euler methods; 2. the Crank-
Nicolson and θ methods; 3. the method of lines (MOL), provided a good
ODE solver can be applied; 4. the alternating directional implicit (ADI)
method, for high-dimensional problems.
9.3.1. The Euler Methods

The heat equation with a source term:
ut = βuxx + f (x,t), a < x < b, t > 0,

u(a,t) = g1 (t), u(b,t) = g2 (t), u(x, 0) = u0 (x) ,
seeking a numerical solution for u(x,t) at T > 0 or at 0 < t < T . The first
step is to generate a grid:
b−a
xi = a + ih, i = 0, 1, · · · , m, h= ,
m
T
t k = k∆t, k = 0, 1, · · · , n, ∆t = .
n
The second step is to approximate the derivatives with FD approximations.
a. Forward Euler Method (FT-CT)

At a grid point xi ,t k , k > 0, on using the forward FD approximation for
ut and central FD approximation for uxx we have

u xi ,t k + ∆t − u xi ,t k
∆t
u xi−1 ,t k − 2u xi ,t k + u xi+1 ,t k
k k
=β + f xi ,t + T xi ,t .
h2
The local truncation error is
h2 β ∆t
T xi ,t k = uxxxx xi ,t k + utt xi ,t k + · · · ,
12 2

the discretization is O h2 + ∆t . The discretization is first order in time
and second order in space, when the FD equation is
Uik+1 −Uik U k − 2Uik +Ui+1 k

= β i−1 + f ik ,
∆t h2

where f ik = f xi ,t k , with
Uik again denoting the approximate values for
the true solution u xi ,t k . When k = 0,Ui0 is the initial condition at the
grid point (xi , 0); and from the values Uik at the time level k the solution of
the FD equation at the next time level k + 1 is
!
k k k
U − 2U i +U
Uik+1 = Uik + ∆t β i−1 i+1
+ f ik , i = 1, 2, · · · , m − 1 .
h2
The solution of the FD equations is thereby directly obtained from the ap-
proximate solution at previous time steps.
Remark 9.3.1. The local truncation error under our definition is
u(x, t + ∆t) − u(x, t) u(x − h, t) − 2u(x, t) + u(x + h,t)
T (x, t) = −β − f (x, t)
∆t h2

= O h2 + ∆t .
Remark 9.3.2. If f (x,t) ≡ 0 and β is a constant, then from ut = βuxx and

utt = β∂uxx /∂t = β∂2 ut /∂x2 = β2 uxxxx, the local truncation error is
!
β2 ∆t βh2
T (x,t) = − uxxxx + O (∆t)2 + h4 .
2 12

Thus if
β is constant we can choose ∆t = h2 /(6β) to get O h4 + (∆t)2 =
O h4 .
b. Backward Euler Method (BW-CT)

If the backwardFD formula is used for ut and the central FD approximation
for uxx at xi ,t k , we get
k
Uik −Uik−1 Ui−1 − 2Uik +Ui+1
k
=β + f ik , k = 1, 2, · · · ,
∆t h2
which is conventionally re-expressed as
Uik+1 −Uik U k+1 − 2Uik+1 +Ui+1

k+1
= β i−1 + f ik+1 , k = 0, 1, · · · .
∆t h2
The backward Euler method is also consistent, and the discretization error
is again O ∆t + h2 .
If we cannot get Uik+1 , we need to solve the tridiagional system equa-
tions:
   k+1 
1 + 2µ −µ U1
 −µ 1 + 2µ −µ   U k+1 
   2k+1 
 −µ 1 + 2µ −µ  U 
  3 
 . . . . . .   .
. 
 . . .  . 
  
 −µ 1 + 2µ −µ   Um−2 k+1 
−µ 1 + 2µ k+1
Um−1
 
U1k + ∆t f 1k+1 + µgk+11
 U2k + ∆t f 2k+1 
 
 U k + ∆t f k+1 
 3 3 
= 12  .. ,
 . 
 
 U k + ∆t f k+1 
m−2 m−2
k+1
k
Um−1 + ∆t f m−1 + µgk+1
2

where µ = β∆t and f ik+1 = f xi ,t k+1 . Note that we can use f xi ,t k in-
h2
stead of f xi ,t k+1 . Such a numerical method is called an implicit.
9.3.2. The Method of Lines (MOL)

Consider a general parabolic equation of the form
ut (x,t) = Lu(x,t) + f (x,t) ,
where L is an elliptic operator. Let Lh be a corresponding FD operator

acting on a grid xi = a + ih.
∂Ui
= LhUi (t) + f i (t) ,
∂t
where Ui (t) ' u (xi ,t) is the spatial discretization of u(x,t) along the line
x = xi . For example, the heat equation with a source ut = βuxx + f where
L = β∂2 /∂x2 is represented by Lh = βδ2xx produces the discretized system
of ODE
∂U1 (t) −2U1 (t) +U2(t) g1 (t)
=β + 2 + f (x1 , t) ,
∂t h2 h
∂Ui (t) Ui−1(t) − 2U2 (t) +Ui+1(t)
=β + f (xi , t), i = 2, 3, · · · , m − 2 ,
∂t h2
∂Um−1 (t) Um−2 (t) − 2Ui−1(t) g2 (t)
=β + 2 + f (xm−1 , t)
∂t h2 h
and the initial condition is
Ui (0) = u0 (xi , 0), i = 1, 2, · · · , m − 1 .
The ODE system can be written in the vector form
dy
= f (y,t), y(0) = y0 .
dt
The MOL is especially useful for nonlinear PDEs of the form ut =
f (∂/∂x, u,t). For linear problems, we typically have
dy
= Ay + c ,
dt
where A is a matrix and c is a vector. Both A and c may depend on t.
9.3.3. The Crank-Nicolson Scheme

One FD scheme that is second order accurate both in space and time, with-
out compromising stability and computational complexity, is the Crank-
Nicolson scheme. The Crank-Nicolson scheme is based on the following
lemma.
Lemma 9.3.1. Let φ(t) be a function that has continuous first and second
order derivatives, i.e., φ(t) ∈ C2 . Then

1 ∆t ∆t (∆t)2 00
φ(t) = φ t− +φ t + + u (t) + h.o.t .
2 2 2 8
Intuitively, the Crank-Nicolson scheme approximates the PDE
ut = (βux)x + f (x,t)

at xi ,t k + ∆t/2 , by averaging the time level t k and t k+1 of the spatial
derivative O · (βOu)) and f (x,t). Thus it has the following form

k k k k k k k
k+1
Ui −Ui k β 1 Ui−1 − β
i− 2 1 +β
i− 2 i+ 2 Ui + β i+ 12 Ui+1
1
= 2
∆t 2h
βk+1 U k+1 − βk+1
i− 12 i−1 i− 12
+ βk+1
i+ 12
Uik+1 + βk+1 U k+1 1
i+ 12 i+1

k k+1
+ + f + f .
2h2 2 i i
The discretization is second order in time (central at t + ∆t/2 with step

size ∆t/2 ) and second order in space. This can easily be seen using the
following relations, taking β = 1 for simplicity:

u(x,t + ∆t) − u(x,t) 1 ∆t 2
= ut (x,t + ∆t/2) + + O (∆t)4 ,
∆t 3 2
u(x − h,t) − 2u(x,t) + u(x + h,t)
2
= uxx(x,t) + O h2 ,
2h
u(x − h,t + ∆t) − 2u(x,t + ∆t) + u(x + h,t + ∆t)
2
= uxx (x,t + ∆t) + O h2 ,
2h
1
(uxx(x,t) + uxx(x,t + ∆t)) = uxx(x,t + ∆t/2) + O (∆t)2 ,
2
1
( f (x,t) + f (x,t + ∆t)) = f (x,t + ∆t/2) + O (∆t)2 .
2
The θ - method for the heat equation ut = uxx + f (x,t) has the following
form:
Uik+1 −Uik
= θδ2xxUik + (1 − θ)δ2xxUik+1 + θ f ik + (1 − θ) f ik+1 .
∆t
When θ = 1, the method is the explicit Euler method; when θ = 0, the
method is the backward Euler method; and when θ = 1/2, it is the Crank-
Nicolson scheme.
9.3.4. Stability Analysis for Time-Dependent Problems

a. Review of the Fourier Transform (FT)
R∞
Consider u(x) ∈ L2 (−∞, ∞), i.e., −∞ u
2 dx < ∞ or kuk2 < ∞. The Fourier
transform is defined as
Z ∞
1
û(ω) = √ e−iωx u(x) dx ,
2π −∞
√
where i = −1, mapping u(x) in the space domain into û(ω) in the fre-
quency domain. If a function is defined in the domain (0, ∞) instead of
(−∞, ∞), we can use the Laplace transform. The inverse Fourier transform
is Z ∞
1
u(x) = √ eiωx û(ω) dω .
2π −∞
Parseval’s relation: Under the FT, we have kûk2 = kuk2 or
Z ∞ Z ∞
2
|û| dω = |u|2 dx .
−∞ −∞
From the definition of the FT we have

\ b
∂û ∂u
= −ixu, = iωû .
∂ω ∂x
To show this we invoke the inverse Fourier transform
∂u(x) 1
Z ∞ b
∂u
=√ eiωx dω .
∂x 2π −∞ ∂x
On taking the partial derivative of the inverse Fourier transform with re-
spect to x we have
∂u(x) 1
Z ∞
∂ iωx
1
Z ∞
=√ e ub dω = √ ueiωx dω .
iωb
∂x 2π −∞ ∂x 2π −∞
\ = iωb
Then as the Fourier transform and its inverse are unique, ∂u/∂x u.
The proof of the first equality is left as an exercise. It is easy to generalize
the equality, to set
∂dmu
= (iω)m û .
∂xm
Example 1. Consider
ut + aux = 0, −∞ < x < ∞, t > 0, u(x, 0) = u0 (x) .
On applying the FT to the equation and the initial condition,
ubt + au
cx = 0, or ubt + aiωû = 0, û(ω, 0) = û0 (ω) ,
i.e., we get an ODE
û(ω,t) = û(ω, 0)e−iaωt = û0 (ω)e−iaωt
for û(ω). The solution to the original wave equation is thus

Z ∞
1
u(x,t) = √ eiωx û0 (ω)e−iaωt dω
2π −∞
Z ∞
1
=√ eiω(x−at)û0 (ω) dω = u(x − at, 0) .
2π −∞
It is notable that the solution for the wave equation does not change shape,
but simply propagates along the characteristic line x − at = 0, and that

kuk2 = kûk2 = û(ω, 0)e−iaωt 2 = kû(ω, 0)k2 = ku0 k2 .
Example 2. Consider
ut = βuxx, −∞ < x < ∞, t > 0, u(x, 0) = u0 (x), lim u = 0 .

|x|→∞
On again applying the FT to the PDE and the initial condition,
d
ubt = βu xx , or ubt = β(iω)2 û = −βω2 û, û(ω, 0) = û0 (ω)
and the solution of this ODE is

2
û(ω,t) = û(ω, 0)e−βω t .
Consequently, if β < 0

2
kuk2 = kûk2 = û(ω, 0)e−βω t ≤ ku0 k2 .
2
Actually, it can be seen that limt→∞ kuk2 = 0 if β > 0, and limt→∞ kuk2 = ∞
if β < 0.
Example 3. Dispersive waves.

Consider
∂2m+1 u ∂2m u
ut = 2m+1 + 2m + l.o.t. ,
∂x ∂x
where m is a non-negative integer. For the simplest case ut = uxxx, we have
[
ubt = βu xxx , or ubt = β(iω)3 û = −iω3 û ,
and the solution of this ODE is

3
û(ω,t) = û(ω, 0)e−iω t .
Therefore
kuk2 = kûk2 = kû(ω, 0)k2 = ku(ω, 0)k2 ,
and the solution to the original PDE can be expressed as
Z ∞ Z ∞
1 1
eiω(x−ω t ) û0 (ω) dω .
3 2
u(x,t) = √ eiωx û0 (ω)e−iω t dω = √
2π −∞ 2π −∞
Example 4. PDE with higher order derivatives.
∂2m u ∂2m−1 u
ut = α + + l.o.t. ,
∂x2m ∂x2m−1
where m is a non-negative integer. The FT yields
(
2m −αω2m û + · · · if m = 2k + 1 ,
ubt = α(iω) û + · · · =
αω2mû + · · · if m = 2k ,
hence ( 2m
û(ω, 0)e−αiω t + · · · if m = 2k + 1
ub = 2m
û(ω, 0)eαiω t + · · · if m = 2k
such that ut = uxx and ut = −uxxxx are dynamically stable, whereas ut =
−uxx and ut = uxxxx are dynamically unstable.
b. The Discrete Fourier Transform

Definition 9.3.1. If · · ·v−2 , v−1 , v0 , v1 , v2 , · · · denote the values of a con-
tinuous function v(x) at xi = ih, the discrete Fourier transform is defined
as
∞
1
v̂(ξ) = √ ∑ he−iξ jh v j .
2π j=−∞
Remark 9.3.3. 1. The definition is Ra quadrature approximation to the

continuous case i.e., we approximate by ∑, and replace dx by h.
2. v̂(ξ) is a continuous and periodic function of ξ with period 2π/h,
since
e−i jh(ξ+2π/h) = e−i jhξ e2i jπ = e−iξ jh ,
so we can focus on v̂(ξ) in the interval [−π/h, π/h], and consequently have
the following definition.
Definition 9.3.2. The inverse discrete Fourier transform is

Z π/h
1
vj = √ eiξ jh v̂(ξ) dξ .
2π −π/h
Given any finite sequence not involving h, v1 , v2 , · · · , vM , we can ex-

tend the finite sequence according as · · · , 0, 0, v1, v2 , · · · , vM , 0, 0, · · ·, and
alternatively define the discrete Fourier and inverse Fourier transform as
∞ M
1
v̂(ξ) = √ ∑ e−iξ j v j = ∑ e−iξ j v j
2π j=−∞ j=0
Z π
1
vj = √ eiξ j v̂(ξ) dξ .
2π −π
We also define the discrete norm as

s
∞
k vkh = ∑ v2j h ,
j=−∞
which is often denoted by kvk2 . Parseval’s relation is also valid, i.e.,

Z π/h ∞ 2
kv̂k2h = |v̂(ξ)|2 dξ = ∑ h v j = kvk2h .
−π/h j=−∞
c. Definition of the Stability of a FD Scheme

A finite difference scheme P∆t,h vkj = 0 is stable in a stability region Λ if for
any positive time T there is an integer J and a constant CT independent of
∆t and h such that
J
k vn k ≤ CT ∑ v j
h h
j=0
for any n that satisfies 0 ≤ n∆t ≤ T with (∆t, h) ∈ Λ.
Remark 9.3.4. 1. The stability is usually independent of source terms.

2. A stable FD scheme means that the growth of the solution is at most
a constant multiple of the sum of the norms of the solution at the first J + 1
steps.
3. The stability region corresponds to all possible ∆t and h for which
the FD scheme is stable.
The following theorem provides a simple way to check the stability of

any FD scheme.

Theorem 9.3.1. If vk+1 h ≤ vk h is true for any k, then the FD scheme
is stable.
Proof. From the condition, we have
kvn kh ≤ vn−1 kh ≤ · · · ≤k v1 kh ≤k v0 kh
and hence stability for J = 0 and CT = 1.
d. The von Neumann Stability Analysis for FD Methods

The von Neumann stability analysis:
Discrete scheme =⇒ discrete Fourier transform =⇒ growth factor
g(ξ) =⇒ stability (|g(ξ)| ≤ 1?)
Example 5. The forward Euler method (FW-CT) for the heat equation
ut = βuxx is
!
k − 2U k +U k
k+1 k Ui−1 i i+1 β∆t
Ui = Ui + µ 2
, µ= 2 .
h h
From the discrete Fourier transform,
1 π/h
Z
U kj = √ eiξ jhÛ k (ξ) dξ ,
2π −π/h
Z π/h Z π/h
1 1
U kj+1 = √ eiξ( j+1)hÛ k (ξ) dξ = √ eiξ jh eiξhÛ k (ξ) dξ ,
2π −π/h 2π −π/h
and similarly
Z π/h
1
U kj−1 = √ eiξ jh e−iξhÛ k (ξ) dξ.
2π −π/h
Substituting these relations into the forward Euler FD scheme, we obtain
1
Z π/h
Uik+1 = √ eiξ jh 1 + µ e−iξh − 2 + eiξh Û k (ξ) dξ.
2π −π/h
On the other hand, from the definition of the discrete Fourier transform
Z π/h
1
Uik+1 = √ eiξ jhÛ k+1(ξ) dξ .
2π −π/h
The discrete Fourier transform is unique, which implies

k+1 −iξh iξh
Û (ξ) = 1 + µ e −2+e Û k (ξ) = g(ξ)Û k (ξ) ,

where g(ξ) = 1 + µ e−iξh − 2 + eiξh is called the growth factor. If

|g(ξ)| ≤ 1, then Û k+1 ≤ Û k and thus Ûk+1 h ≤ Ûk h , so FD scheme
is stable. A sufficient condition for the stability of the forward Euler
method is
h2
−1 ≤ 1 − 4µ or 4µ ≤ 2, or ∆t ≤ .
2β
e. Simplification of the von Neumann Stability Analysis for One-Step

Time Marching Methods

Consider the one-step time marching method Uk+1 = f Uk , Uk+1 . The
following theorem determines the stability.
Theorem 9.3.2. Let θ = hξ. A one-step FD scheme is stable if and only if

there is a constant K and some positive grid spacing such that
|g(θ, ∆t, h)| ≤ 1 + K∆t (9.3.1)
for all θ, 0 < k ≤ k0 and 0 < h ≤ h0 . If g(θ, ∆t, h) is independent of h and

∆t, then the stability condition (9.3.1) can be replaced by
| g(θ |≤ 1 .
Thus only the amplification factor g(hξ) = g(θ) needs to be considered, as

observed by von Neumann.
Here are steps of Von Neumann stability analysis: 1. set U kj = ei jhξ

and substitute it into the FD scheme; 2. express U k+1j as U k+1
j = g(ξ)ei jhξ
etc.; 3. solve for g(ξ) and determine whether or when |g(ξ)| ≤ 1 (for
stability); but note that 4. if there are some ξ such that |g(ξ)| > 1, then the
method is unstable.
Example 6. The stability of the backward Euler method for the heat equa-
tion ut = βuxx is
β∆t
Uik+1 = Uik + µ Ui−1
k+1
− 2Uik+1 +Ui+1
k+1
, µ= .
h2
Following the procedure mentioned above, we have

g(ξ)ei jhξ = ei jhξ + µ eiξ( j−1)h − 2eiξ jh + eiξ( j+1)h g(ξ)

= eiξ jh 1 + µ e−iξh − 2 + eiξh i g(ξ)
with solution
1 1
g(ξ) = =
1−µ e−iξh − 2 + eiξh 1 − µ(2 cos(hξ) − 2)
1
= ≤ 1,
1 + 4µ sin2 (hξ)/2
for any h and ∆t > 0.

Example 7. The Leapfrog scheme (two-stage method) for the heat equa-
tion ut = uxx is
k − 2U k +U k
Uik+1 −Uik−1 Ui−1 i i+1
= 2
,
2∆t h
involving central FD both in time and space. This method is uncondition-
ally unstable! To show this, we use U k−1
j = ei jhξ /g(ξ) to get
1 i jhξ
g(ξ)ei jhξ = e + eiξ jh µ e−iξh − 2 + eiξh
g(ξ)
1 i jhξ
= e − ei jhξ 4µsin2 (hξ/2)
g(ξ)
yielding a quadratic equation for g(ξ) :
(g(ξ))2 + 4µ sin2 (hξ/2)g(ξ) − 1 = 0 .
The two roots are

q
g(ξ) = −2µ sin2 (hξ/2) ± 4µ2 sin4 (hξ/2) + 1,
and one root

q
2
g(ξ) = −2µ sin (hξ/2) − 4µ2 sin4 (hξ/2) + 1
has magnitude |g(ξ) ≥ 1|.
9.3.5. FD Methods and Analysis for 2D

Parabolic Equations
The general form of a parabolic PDE:
ut + a1 ux + a2 uy = (βux )x + (βuy)y + κu + f (x, y,t)
with boundary conditions and an initial condition. The PDE can be written
as:
ut = Lu + f ,
where L is spatial differential operator. The method of line (MOL) can
be used there is a good ODE solver for stiff ODE systems. Note that the
system is large (O(mn)), if the numbers of grid lines are O(m) and O(n) in
the x - and y - directions, respectively.
Consider the heat equation
ut = O · (βOu) + f (x, y,t) .
We assume β is a constant The forward Euler’s method:

Ulk+1
j = U k
lj + µ U k
l−1, j +U k
l+1, j +U k
l, j−1 +U k
l, j+1 − 4U k k
l, j + ∆t f l j
h2
where µ = β∆t/h2 . The stability condition is ∆t ≤ . Note that, now the
4β
factor is 4 instead of 2 . Using von Neumann analysis with f = 0, set
uklj = ei(lhx ξ1 + jhyξ2 ) = eiξ· x ,
where ξ = [ξ1 , ξ2 ]T , x = [hx l, hy j]T . Then Ulk+1

j = g (ξ1 , ξ2 ) eiξ· x . Substi-
tuting these expressions into the FD scheme, we have

g (ξ1 , ξ2 ) = 1 − 4µ sin2 (ξ1 h/2) + sin2 (ξ2 h/2) ≤ 1 .

If we enforce −1 ≤ 1 − 8µ ≤ 1 − 4µ sin2 (ξ1 h/2) + sin2 (ξ2 h/2) and take
−1 < 1 − 8µ, we can guarantee that g (ξ1 , ξ2 ) ≤ 1. Thus the sufficient
condition of the forward Euler method in 2 D is
8∆tβ h2
≤ 2, or ∆t ≤ .
h2 4β
The backward Euler method (BW-CT) in 2D can be written as:
Uik+1 k
j −Ui j
k+1
Ui−1, k+1 k+1 k+1 k+1
j +Ui+1, j +Ui, j−1 +Ui, j+1 − 4Ui j
= + f ik+1
j .
∆t h2
The method is first order in time and second order in space and it is uncon-
ditionally stable.
The Crank-Nicolson (C-N) scheme in 2 D can be written as:
k+1 k+1 k+1 k+1 k+1
Uik+1 k
j −Ui j 1 Ui−1, j +Ui+1, j +Ui, j−1 +Ui, j+1 − 4Ui j
= + f ik+1
j
∆t 2 h2
!
k k k k k
Ui−1, j +Ui+1, j +Ui, j−1 +Ui, j+1 − 4Ui j
+ + f ikj .
h2

Both the local truncation error and global error are O (∆t)2 + h2 . The
scheme is unconditionally stable for linear problems.
9.3.6. The Alternating Directional Implicit (ADI) Method

The idea of ADI method is to use implicit discretization in one direction
while using explicit in another direction. For the heat equation ut = uxx +
uyy + f (x, y,t), the ADI method is:
k+ 21 k+ 1 k+ 21 k+ 1
Ui j −Uikj Ui−1,2 j − 2Ui j +Ui+1,2 j Ui,k j−1 − 2Uikj +Ui,k j+1 k+ 21
= + + fi j ,
(∆t)/2 h2x h2y
k+ 21 k+ 1 k+ 21 k+ 1
Uik+1
j −Ui j Ui−1,2 j − 2Ui j +Ui+1,2 j Ui,k+1 k+1 k+1
j−1 − 2Ui j +Ui, j+1 k+ 21
= + + fi j .
(∆t)/2 h2x h2y
It is unconditionally table for linear problems. Use symbolic expression
to rewrite it:
k+ 1 ∆t k+ 1 ∆t ∆t k+ 1
Ui j 2 = Uikj + δ2xxUi j 2 + δ2yyUikj + f i j 2 ,
2 2 2
k+ 1 ∆t k+ 1 ∆t ∆t k+ 21
Uik+1
j = Ui j 2 + δ2xxUi j 2 + δ2yyUik+1
j + f .
2 2 2 ij
The unknowns to the left hand side,then the matrix-vector form:

∆t 1 ∆t ∆t 1
I − D2x Uk+ 2 = I + D2y Uk + Fk+ 2 ,
2 2 2

∆t 2 k+1 ∆t 2 1 ∆t 1
I − Dy U = I + Dx Uk+ 2 + Fk+ 2 .
2 2 2
From the first equation, we get

k+ 21 ∆t 2 −1 ∆t 2 k ∆t 2 −1 ∆t k+ 1
U = I − Dx I + Dy U + I − Dx F 2.
2 2 2 2
Substitute into second equation yields, we get
−1
∆t 2 k+1 ∆t 2 ∆t 2 ∆t 2
I − Dy U = I + Dx I − Dx I + Dy Uk
2 2 2 2
−1
∆t ∆t ∆t k+ 1 ∆t k+ 1
+ I + D2x I − D2x F 2+ F 2.
2 2 2 2
We can go further to get:

∆t 2 ∆t 2 k+1 ∆t 2 ∆t 2
I − Dx I − Dy U = I + Dx I + Dy Uk
2 2 2 2

∆t ∆t k+ 1 ∆t k+ 1
+ I + D2x F 2+ F 2.
2 2 2
Note that in the derivation, we have used commutative operations, e.g.

∆t 2 ∆t 2 ∆t 2 ∆t 2
I + Dx I + Dy = I + Dy I + Dx .
2 2 2 2
a. Implementation of the ADI Algorithm

The ADI method takes advantages of the tridiagonal solver for
k+ 21 ∆t 2 k+ 21 ∆t 2 k ∆t k+ 21
Ui j = Uikj + δ U + δyyUi j + f i j .
2 xx i j 2 2
For a fixed j, we get a tridiagonal system of equations for
k+ 1 k+ 1 k+ 21
U1 j 2 ,U1 j 2 , · · · ,Um−1,
assuming a Dirichlet boundary condition at x = a
j
and x = b. The system of equations in the matrix-vector form is:
 
k+ 1
  U1 j 2
1 + 2µ −µ  
 k+ 21 
 −µ 1 + 2µ −µ  2j U 
   k+ 1 
 −µ 1 + 2µ −µ   2 
   U3 j  b
 .. .. ..   ..  = F,
 . . .  . 
  
 −µ 1 + 2µ −µ   1 
 U k+ 2 
−µ 1 + 2µ  k+ 1 
m−2, j
2
Um−1, j
where
 k+ 1 
k + ∆t k+ 21 k k k
U1, f1 j + µubc a,y j 2
+ µ U1, j−1 − 2U1, j +U1, j+1
 j 2 
 
k + ∆t f k+ 2 + µ U k
1
 k k 
 U2, j 2 j 2, j−1 − 2U2, j +U2, j+1 
 2 
 ∆t k+ 1 k k k 
 U3k j + f3 j 2 + µ U3, j−1 − 2U3, j +U3, j+1 
b
F= 2 
 .. 
 . 
 
 ∆t k+ 12 
 k k
Um−2, j + fm−2, j + µ Um−2, j−1 − 2Um−2, k
+U k 
 2 j m−2, j+1 
 k+ 1 
k ∆t k+ 12 k k k
Um−1, j + fm−1, j + µ Um−1, j−1 − 2Um−1, j +Um−1, j+1 + µubc b,y j 2
2
β∆t
k+ 21 k+ 21
and µ = and f i = f xi ,t .
2h2
b. Consistency of the ADI Method

Adding the two equations in (45) together, we get
Uik+1 k
j −Ui j k+ 21 k+ 12
= 2δ2xxUi j + δ 2yy Uik+1
j +U k
i j + 2 fi j . (9.3.2)
(∆t)/2
If we subtract the first equation from the second equation in, we get

k+ 1 2
4Ui j 2 = 2 Uik+1 k k+1
j +Ui j − ∆tδyy Ui j −Ui j .
k
Substituting this into (9.3.2), we get

k+1
(∆t)2 2 2 Ui j −Ui j 2 U k+1 −U k
k
ij ij k+ 1
1+ δxx δyy = δxx + δ2yy + fi j 2 ,
4 ∆t 2
we can clearly see that the discretization
is second order accurate both in
space and time,i.e., Tikj = O (∆t)2 + h2 .
c. Stability Analysis for the ADI Method

Taking f = 0 and setting
Ulkj = e−i(ξ1 h1 l+ξ2 h2 j) , Ulk+1
j = g (ξ1 , ξ2 )e
−i(ξ1 h1 l+ξ2 h2 j)
,
Using the operator form, we have:

∆t ∆t ∆t 2 ∆t 2
1 − δ2xx 1 − δ2yy Uk+1 = 1 + δ 1 + δ Ukjl
2 2 jl
2 xx 2 yy
or
∆t ∆t
1 − δ2xx 1 − δ2yy g (ξ1 , ξ2 )e−i(ξ1 h1 l+ξ2 h2 j) =
2 2

∆t 2 ∆t 2
1 + δxx 1 + δyy e−i(ξ1 h1 l+ξ2 h2 j) .
2 2
After some manipulations, we can get

1 − µ sin2 (ξ1 h/2) 1 − µ sin2 (ξ2 h/2)
g (ξ1 , ξ2 ) = ,
1 + µ sin2 (ξ1 h/2) 1 + µ sin2 (ξ2 h/2)
∆t
where µ = 2 and we have set hx = hy = h for simplicity. |g (ξ1 , ξ2 )| ≤ 1
2h
no matter what ∆t and h are. Thus, the ADI method is unconditionally
stable for linear heat equations.
9.3.7. An Implicit-Explicit Method for Diffusion

and Advection Equations
Consider the equation
ut + w · Ou = O · (βOu) + f (x, y,t) ,
it is not so easy to get second order implicit scheme due to the ad-
vection term w · Ou. One approach is to use implicit scheme for
the diffusion term and an explicit scheme for the advection term.
The scheme has the following form from time level t k to t k+1 :
uk+1 − uk 1 1 1
+ (w · ∇h u)k+ 2 = (∇h · β∇h u)k + (∇h · β∇h u)k+1 + f k+ 2 ,
∆t 2
k+ 21 3 1
where (w · ∇h u) = (w · ∇h u)k − (w · ∇h u)k−1 . The time step con-
2 2
h
straint is ∆t ≤ . At each time step, we need to solve a generalized
2kwk2
Helmholtz equation
2uk+1 2uk 1 1
(O · βOu)k+1 − =− + 2(w · Ou)k+ 2 − (O · βOu)k − 2 f k+ 2 .
∆t ∆t
We need u1 to get this scheme started. We can use the explicit Euler’s
method (FW-CT) to approximate u1 .
9.4 Finite Difference Methods for Linear

Hyperbolic PDEs
Here are some examples involving hyperbolic PDEs.
1. Advection equations (one-way wave equations).
ut + aux = f (x,t), 0 < x < 1 ,

u(x, 0) = η(x), IC ,
u(0,t) = gl (t), if a ≥ 0, or u(1,t) = gr (t), if a ≤ 0.
Here gl and gr are prescribed boundary conditions from the left and
right respectively.
2. Second order linear wave equations:

utt = auxx + f (x,t), 0 < x < 1,
u(x, 0) = η(x), IC ,
u(0,t) = gl (t), u(1,t) = gr (t) .
3. Linear first order hyperbolic system:
ut = Aux + f(x,t) ,
where u and f are two vectors, A is a matrix.
The characteristics and boundary conditions are as follows. If the do-
main of the wave equation is finite, we can find the exact solution. Consider
the model problem:
ut + aux = 0, 0 < x < 1,
u(x, 0) = η(x), t > 0, u(0,t) = gl (t) if a > 0 .
We can solve the problem by the method of characteristics since the solu-
tion is constant along the characteristics. We can trace the solution for any
point (x,t). For the characteristic
z(s) = u(x + ks,t + s)
along which the solution is a constant (z0 (s) ≡ 0). Substituting this into the
PDE, we can get:
z0 (s) = ut + kux = 0 ,
which is always true if we take k = a. Therefore the solution at (x + ks,t +
s) is the same as at (x,t). So we can solve the problem by tracing back
until the line hit the boundary. If x − at < 0, we can only trace back to
x̄
x = 0 or s = −x̄/a and t = x̄/a and the solution is u(x̄, t¯) = u 0,t − =
a
x̄
gl t − . Therefore the solution for the case a ≥ 0 can be written as
a

η(x − at) if x ≥ at ,
u(x,t) = x
gl t − if x < at .
a
Note that it is important to get correct boundary conditions for hyperbolic
problems!
9.4.1. FD Methods
The numerical methods for hyperbolic problems that will mention in
this chapter include: Lax-Friedrichs method, Upwind scheme, Leap-frog
method, Box-scheme, Lax-Wendroff method, Crank-Nicholson scheme,
Beam-Warming method.
a. Lax-Friedrichs Methods
Consider the one-way wave equation ut + aux = 0. One may want to try
the simple finite difference scheme or
U k+1
j −U kj a| k
+ U j+1 −U kj−1 = 0 ,
∆t 2h

U k+1
j = U kj − µ U kj+1 −U kj−1 ,

where µ = a∆t/(2h). The scheme has O ∆t + h2 local truncation error.
But the method is unconditionally unstable from the von Neumann stability
analysis. The growth factor:

g(θ) = 1 − µ eihξ − e−ihξ = 1 − µ2i sin(hξ) ,
where θ = hξ, so |g(θ)|2 = 1 + 4µ2 sin2 (hξ) ≥ 1. In the Lax-Friedrichs

scheme,
1 k
U k+1
j = U j−1 +U k
j+1 − µ U k
j+1 −U k
j−1 .
2
The local truncation error is O(∆t + h) if ∆t ∼ h. The growth factor is
1 ihξ
g(θ) = e + e−ihξ + µ eihξ − e−ihξ = cos(hξ) − 2µ sin(hξ)i .
2
So
|g(θ)|2 = cos2 (hξ) + 4µ2 sin2 (hξ)

= 1 − sin2 (hξ) + 4µ2 sin2 (hξ) = 1 − 1 − 4µ2 sin2 (hξ) .
b. The Upwind Scheme

The upwind scheme for ut + aux = 0 is
 a
k+1
U j −U j k  − U k
−U k
if a ≥ 0 ,
= ha j j−1

∆t − U kj+1 −U kj if a < 0 .
h
It is first order accurate in time and in space. Using the von Neumann
stability analysis to find out the CFL constraint. The growth factor for
a≥0:
g(θ) = 1 − µ 1 − e−ihξ
= 1 − µ(1 − cos(hξ)) − iµ sin(hξ) .
Now we investigate its magnitude:
|g(θ)|2 = (1 − µ + µ cos(hξ))2 + µ2 sin2 (hξ)
= (1 − µ)2 + 2(1 − µ)µcos(hξ) + µ2
= 1 − 2(1 − µ)µ(1 − cos(hξ)) .
So if 1 − µ ≥ 0, that is µ ≤ 1, or ∆t ≤ h/a, we have |g(θ)| ≤ 1. Note that
for the upwind scheme, no numerical boundary condition is needed; no
severe time step restriction.. If a = a(x,t) is a variable function that does
not change the sign, then the CFL condition is
h
0 < ∆t ≤ .
max |a(x,t)|
c. The Leap-Frog Scheme

The Leap-Frog scheme for ut + aux = 0 is:
U k+1
j −U k−1
j a k
+ U j+1 −U kj−1 = 0
2∆t 2h
or

U k+1
j = U k−1
j − µ U kj+1 −U kj−1 ,
where µ = a∆t/(2h). Let us consider the stability the stability through the
von Neumann stability analysis. Substituting
1 i jξ
U kj = ei jξ , U k+1
j = g(ξ)ei jξ , U k−1
j = e
g(ξ)
into the Leap-Frog scheme, we get

g2 + µ eihξ − e−ihξ g − 1 = 0 ,
g2 + 2µi sin(hξ)g − 1 = 0
with solution
q
g± = −iµ sin(hξ) ± 1 − µ2 sin2 (hξ).
We distinguish three different cases:

1. If |µ| > 1, then there are such ξ ’s such that one of |g− | > 1 or
|g+| > 1 is true. The scheme is unstable!
2. If |µ| < 1, then 1 − µ2 sin2 (hξ) ≥ 0, we have
|g±|2 = µ2 sin2 (hξ) + 1 − µ2 sin2 (hξ) = 1 .
However, since it is two stages method, we have to be careful about the

stability. For linear FD theory, we know that the general solution is
U k = C1 gk− +C2 gk+ ,

k
U ≤ max {C1 ,C2 } gk + gk ≤ 2 max {C1 ,C2 } ,
− +
k
so the scheme is called neutral stable according to the definition U ≤
j
J
CT ∑ j=0 U .
3. If |µ| = 1, we still have |g± | = 1, but we can find ξ such that
µ sin(hξ) = 1, and g+ = g− = −i. That is −i is a double root of the char-
acteristic polynomial. The solution of the FD equation has the form
U kj = C1 (−i)k +C2 k(−i)k ,
where the possibly complex C1 and C2 are determined

from the initial con-
k
ditions. Thus there are solutions that U ∼ k which are unstable (slow
growing).
Note that if |g(ξ)| < 1, we call the numerical scheme is dissipative. The
Leapfrog scheme is a non-dissipative scheme.
9.4.2. Modified PDEs and Numerical Diffusion/Dispersion

A modified PDE is the PDE that a FD equation satisfies exactly at the grid
points. Consider the upwind method for the advection equation ut + aux =
0 in the case a > 0
U k+1
j −U kj a k
+ U j −U kj−1 = 0 .
∆t h
The derivation is similar to computing the local truncation error, only now
we insert v(x,t) into the FD equation to derive a PDE that v(x,t) satisfies
exactly. Thus
v(x.t + ∆t) − v(x,t) a
+ (v(x,t) − v(x − h,t)) = 0 .
∆t h
Expanding these terms in Taylor series about (x,t) and simplifying gives:

1 1 1 2
vt + ∆tvtt + · · · + a vx − hvxx + h vxxx + · · · = 0 ,
2 2 6
this can be rewritten as
1 1
vt + avx = (ahvxx − ∆tvtt ) − ah2 vxxx + (∆t)2 vtt + · · · .
2 6
This is the PDE that v satisfies. Consequently,
1
vtt = −avxt + (ahvxxt − ∆tvttt ) = −avxt + O(∆t, h)
2
∂
= −a (−avx + O(∆t, h)) ,
∂x
so the leading term of the modified PDE is

1 a∆t
vt + avx = ah 1 − vxx .
2 h
From modified equation, we can conclude the following:
1. The computed solution will smooth out discontinuities because the dif-
fusion term.
a∆t
2. If a is a constant, and ∆t = h/a, then 1 − = 0, we have second order
h
accuracy.
3. we can ass the correction term to offset the leading error term to render
a higher order accurate method, but the stability need to be checked. For
instance, we can modify the upwind scheme to get
k
U k+1
j −U kj U kj −U kj−1 1
k k
a∆t U j−1 − 2U j +U j+1
+a = ah 1 − ,
∆t h 2 h h2
which is second order accurate if ∆t ∼ h.

4. From the modified equation, we can see why some scheme is unsta-
ble. For example, the leading term of the modified PDE for the unstable
U k+1
j −U kj U kj+1 −U kj−1 a2 ∆t
scheme +a = 0 is vt + avx = − vxx . The high-
∆t 2h 2
est derivative is similar to backward heat equation which is dynamically
unstable!
9.4.3. The Lax-Wendroff Scheme

The Lax-Wendroff scheme,
u(x,t + ∆t) − u(x,t) ∆t

= ut + utt + O (∆t)2
∆t 2
1 2
= ut − a (∆t)uxx + O (∆t)2 ,
2
we can add the numerical viscosity to the − 12 a2 ∆uxx to improve the accu-
racy in time and get the Lax-Wendroff scheme:
U k+1
j −U kj U kj+1 −U kj−1 1 a2 ∆t k k k

+a = U j−1 − 2U j +U j+1 .
∆t 2h 2 h2
To show this, we investigate the local truncation error:
u(x,t + ∆t) − u(x,t) a(u(x + h,t) − u(x − h,t))

T (x,t) = −
∆t 2h
a2 ∆t(u(x − h,t) − 2u(x,t) + u(x + h,t))
−
2h2
∆t 2
a ∆t
=ut + − auxx − uxx + O (∆t)2 + h2
2 2
=O (∆t)2 + h2 ,
∂
since ut = −aux and utt = −auxt = −a ∂x ut = a2 uxx . The growth factor of
Lax-Wendroff scheme is
µ ihξ µ2
g(θ) = 1 − e − e−ihξ + e−ihξ − 2 + eihξ
2 2
2 2
= 1 − µi sinθ − 2µ sin (θ/2) ,
where again θ = hξ. So

2
2 2 2θ
|g(θ)| = 1 − 2µ sin + µ2 sin2 θ
2

2 2θ 4 4θ 2 2θ 2θ
= 1 − 4µ sin + 4µ sin + 4µ sin 1 − sin
2 2 2 2
θ
= 1 − 4µ2 1 − µ2 sin4
2
≤ 1 − 4µ2 1 − µ2 .
We conclude that |g(θ)| ≤ 1 if µ ≤ 1, that is ∆t ≤ h/|a|. If ∆t > h/|a|, there

are ξ ’s such that g(θ) |> 1 and the scheme is unstable. The leading term
of the modified PDE for the Lax-Wendroff method is
2 !
1 2 a∆t
vt + avx = − ah 1 − vxxx .
6 h
The group velocity for the wave number ξ under Lax-Wendroff is

!
1 2 a∆t 2 2
cg = a − ah 1 − ξ ,
2 h
which is less than a for all wave numbers. If we retain one more term in
the modified equation for Lax-Wendroff, we will get
2 !
1 2 a∆t
vt + avx = ah − 1 vxxx − εvxxxx ,
6 h

where the ε is the fourth order dissipative term is O h3 and positive when
the stability bound holds.
9.4.4. Numerical Boundary Conditions (NBC)

There are several approaches that can be used to make the NBC at one end.
1. Extrapolation. Recall the Lagrange interpolation formula

x − x2 x − x1
f (x) ≈ f (x1 ) + f (x2 ) .
x1 − x2 x2 − x1
We can use the same time level for the interpolation to get
UMk+1 = UM−1
k+1
, 1-st order ,
xM − xM−1 k+1 xM − xM−2
UMk+1 = UM−2
k+1
+UM−1 .
xM−1 − xM xM−2 − xM−1
If a uniform grid is used with spatial step size h, the formula above becomes
UMk+1 = −UM−2
k+1 k+1
+ 2UM−1 .
2. Quasi-characteristics. If we use previous time level for the interpola-

tion, we get
UMk+1 = UM−1
k
, 1-st order ,
xM − xM−1 xM − xM−2
UMk+1 = UM−2
k k
+UM−1 .
xM−1 − xM xM−2 − xM−1
3. Use the schemes that does not need NBC at or near the boundary,
for example, the upwind scheme, the Beam-Warming method.
9.4.5. FD Methods for Second Order Linear Hyperbolic PDEs

Consider the wave equation:
utt = a2 uxx , 0 ≤ x ≤ 1 ,
IC : u(x, 0) = u0 (x), ut (x, 0) = u1 (x) ,
BC : u(0,t) = g1 (t), u(1,t) = g2 (t) .
We can use D’Alembert’s technique to find the exact solution. Thus intro-
ducing the new variables:
 

  x = ξ+η

ξ = x − at 2
or .
 η = x + at,
  t = η−ξ

2
Using the chain-rule, we get
ut = −auξ + auη ,
utt = a2 uξξ − 2a2 uξη + a2 uηη ,
ux = uξ + uη ,
uxx = uξξ + 2uξη + uηη .
Substitute these relations into the wave equation to get

uξξ a2 − 2a2 uξη + a2 uηη = a2 uξξ + 2uξη + uηη ,
which simplifies to
4a2 uξη = 0 ,
yielding the solution
uξ = F̃(ξ), =⇒ u(x,t) = F(ξ) + G(η) ,

u(x,t) = F(x − at) + G(x + at) .
Particularly, if the domain is (−∞, ∞) then the solution is
1
u(x,t) = (u(x − at, 0) + u(x + at, 0)) .
2
a. A Finite Difference Method (CT-CT) for the Second Order Wave

Equation
U k+1
j − 2U kj +U jk−1 U kj−1 − 2U kj +U kj+1
= a2 .
(∆t)2 h2
h
The CFL constraints of this method is ∆t ≤ |a| this will be verified through
the following discussion. The von Neumann analysis gives
−ihξ
g − 2 + 1/g 2e − 2 + eihξ
= a .
(∆t)2 h2
|a|∆t
When µ = h . The equation above becomes

g2 − 2g + 1 = µ2 −4µ2 sin2 θ g or g2 − 2 1 − 4µ2 sin2 θ g + 1 = 0 ,
where θ = hξ/2, with solution

q
2 2
2
g = 1 − 2µ sin θ ± 1 − 2µ2 sin2 θ − 1 .
Note that 1 − 2µ2 sin2 θ ≤ 1. If we also have 1 − 2µ2 sin2 θ < −1, then for
one of roots
q
2 2
2
g1 = 1 − 2µ sin θ − 1 − 2µ2 sin2 θ − 1 < −1 ,
so |g1 | > 1 for some θ, thus the scheme is unstable. In order to have a
stable scheme, we should require that 1 − 2µ2 sin2 θ ≥ −1, or µ2 sin2 θ ≤ 1.
This can be guaranteed if µ2 ≤ 1 or ∆t ≤ h/|a|. Under this CFL constraints,
we would have
2 2
|g|2 = 1 − 2µ2 sin2 θ + 1 − 1 − 2µ2 sin2 θ = 1.
A finite difference scheme for second order PDEs (in time) P∆t,h vkj = 0 is
stable, such that
p J
kvn kh ≤ 1 + n2CT ∑ v j h
j=0
for any n that satisfies 0 ≤ n∆t ≤ T with (∆t, h) ∈ Λ.
b. Transforming Second Order Wave Equation to a First Order

System
A first order linear hyperbolic system has the form
ut = (Au)x = Aux ,
where 1D conservation laws

∂f
ut + f(u)x = 0, ut + ux = 0
∂u
are a special case. To transfer the second order wave equation to a first
order system, let us consider

p = ut
, utt = pt , qx = uxx .
q = ux
Then we have
pt = utt = uxx = qx ,
qt = uxt = (ut )x = px ,
with the matrix-vector form

p 0 1 p
= ,
q t 1 0 q x
and the eigenvalues of A is −1 and 1.
c. Initial and Boundary Conditions for the System

From the given boundary conditions for u(x,t), we get
u(0,t) = g1 (t), ut (0,t) = g01 (t) = p(0,t) ,

u(1,t) = g2 (t), ut (0,t) = g01 (t) = p(1,t) .
There is no boundary condition for q(x,t). The initial conditions are
p(x, 0) = ut (x, 0) = u1 (x), known ,
∂
q(x, 0) = ux(x, 0) = u(x, 0) = u00 (x), known .
∂x
Then,
ut = Aux , T ut = TAT −1 T ux , (T u)t = D(T u)x ,
and writing ũ = T u. We get a new first order system
ũt = Dũx
or (ũi )t = λi (ũi )x , i = 1, 2, · · · , n which we know how do solve them one by

one. For the second order wave equation,√the unit eigenvector correspond-
ing to the eigenvalue −1 is x = [−1, 1]T / 2. So
 1 1  
1 1 
√ −√ √ √
 2 2   2 2 
T = 1 , T −1 =  1 1 .
v √12 √ −√ √
2 2 2
The transformed result is:

 1 1   1 1  
1 1 
√ −√ √ −√ √ √
 2  p   0 1  2  p
 12 1  =  1
2
1
2   2
1 1  q
√ √ q t √ √ 1 0 −√ √ x
2 2 2 2 2 2
 1 1 
√ −√
−1 0  2 2  p
=  1 1  .
0 1 √ √ q x
2 2
In component form,

1 1 1 1
√ p− √ q = − √ p− √ q ,
2 2 t 2 2 x

1 1 1 1
√ p+ √ q = √ p+ √ q .
2 2 t 2 2 x
By setting 
 1 1
 y1 = √ p − √ q ,
2 2
 1 1
 y2 = √ p + √ q ,
2 2
we get 
 ∂ y1 = − ∂ y1 ,

∂t ∂x
 ∂ y2 = − ∂ y2 .

∂t ∂x
We know the initial conditions. We need a boundary condition for y1 at
x = 1 and a boundary condition for y2 at x = 0. Note that
1 1 1 1
y1 (0,t) = √ p(0,t) − √ q(0,t), y2 (0,t) = √ p(0,t) + √ q(0,t)
2 2 2 2
and q(0,t) is unknown. However, y1 (0,t) + y2(0,t) = √22 p(0,t) is known.

We can use the following steps to determine the boundary condition at
x = 0:
1. Update (y1 )k+1
0 first which we do not need a boundary condition.
k+1
2. Use (y2 )0 = √22 pk+1 0 − (y1 )0k+1 . Similar method can be applied at
x = 1.
9.4.6. Some Commonly Used FD Methods for a Linear System

of Hyperbolic PDE
The linear hyperbolic system of PDE:
ut + Aux = 0, u(x, 0) = u0 (x),
where A is a matrix with real eigenvalues.

1. Lax-Friedrichs scheme
1 k ∆t
Uk+1
j = U j+1 + U k
j−1 − A U k
j+1 − U k
j−1 .
2 2h
2. Leap-Frog scheme
∆t k
Uk+1
j = Uk−1
j − A U j+1 − Ukj−1 .
2h
3. Lax-Wendroff scheme
∆t k (∆t)2
2

Uk+1
j = Ukj − A U j+1 − Ukj−1 + A U k
j−1 − 2U k
j + U k
j+1 .
2h 2h2
Chapter 10
Finite Element Method
10.1 Finite Element Methods for 1D Elliptic

Problems
10.1.1. An Example of the Finite Element for a Model Problem
We use a simple example to illustrate the procedures of the finite element
method for solving the two-point boundary value problem,
−u00 (x) = f (x), u(0) = u0 , u(1) = u1 .
1. Derive a weak or variational formulation in integral form. This can be

done by multiplying a testing function v(x), v(0) = 0, v(1) = 0 to both sides
of the differential equation:
−u00 v = f v .
Integrate from 0 to 1 , and use integration by parts to get

Z 1 00
Z 1
−u v dx = f v dx ,
0 0
1 Z 1 Z 1
− u0 v0 + u0 v0 dx = f v dx ,
0 0
R1 0 0 R1
0 u v dx = 0 f v dx. This is the weak form!
2. Generate a triangulation (interval). For example, we can use a uniform
Cartesian grid xi = ih, i = 0, 1, · · · , n, h = 1/n, to get the intervals [xi−1 , xi ]

i = 1, 2, · · · , n.
3. Construct a set of basis functions based on the triangulation. We can use
piecewise linear functions. Define:
x

 if 0 ≤ x ≤ x1 ,
h
φ1 (x) = x2 − x if x1 ≤ x ≤ x2 ,


 h
0 otherwise ,
 x−x
 i−1

 if xi−1 ≤ x ≤ xi ,
h
φi (x) = xi+1 − x
 if xi ≤ x ≤ xi+1 ,

 h
0 otherwise .
They are called hat functions.

4. The approximate solution then is the linear combination of the basis
functions:
n−1
uh (x) = ∑ c j φ j (x) ,
i=1
where the coefficients c j are unknowns. Notice that uh (x) is a piecewise

linear function and is not the exact solution. We need to derive a linear
system of equations from the weak form
Z 1 Z 1
0 0
u v dx = f v dx
0 0
with the exact Rsolution being substituted by the approximate solution uh (x)
: 01 u0h v0 dx = 01 f v dx, The error comes in!
R
Z 1 n−1 Z 1
∑ c j φ0j v0 dx = f v dx ,
0 j=1 0
n−1 Z 1 Z 1
∑ cj φ0j v0 dx = f v dx .
j=1 0 0
Now we choose v(x) as φ1 , φ2 , · · · , φn−1 respectively to get a set of

Finite Element Method 281
equations. In the matrix-vector form, AU = F, it is:

  
a (φ1 , φ1 ) a (φ1 , φ2 ) · · · a φ1 , φn−1 c1
 a (φ , φ ) a (φ2 , φ2 ) · · · a φ2 , φn−1  c2 
 2 1  
 .. .. .. ..  .. 
 . .  
. . .
a φn−1 , φ1 a φn−1 , φ2 · · · a φn−1 , φn−1 cn−1
 
( f , φ1 )
 ( f , φ2 ) 
 
= .. ,
 . 

f , φn−1
where
Z 1 0 0 Z 1
a φi , φ j = φi φ j dx, ( f , φi ) = f φi dx .
0 0
If φi are the hat functions, then we have
   Z 1 
2 1 f φ1 dx
 −   
h h   Z0 1 
 1 2 1  c1  
 − −   f φ2 dx 
 h h h    
  c2  
0
Z 1 
 1 2 1   
 − −  c3   f φ3 dx 

 h h h  .. = 0 .
 .. .. ..    .. 
 . . .  .   
  .
 1 2 1  cn−2   
  Z 1

 − −   f φn−2 dx 
 h h h  cn−1  
1 2   Z0 1 
− f φn−1 dx
h h
0
5. Solve the linear system of equations AU = F. 6. Error analysis.

Here are questions we would like to ask: 1. Why/how can we change
PDE/ ODE to a weak form? 2. How do we choose the basis functions φ
and their boundary conditions? 3. How to implement the finite element
method? 4. How to solve the linear system of equations? 5. How do we
carry out the error analysis?
10.1.2. Finite Element Methods for One Dimensional

Elliptic Equations
The model is
− u00 (x) = f (x), 0 < x < 1,
u(0) = 0, u(1) = 1 .
The problem can be reformulated into different forms.
1. (D)-form, the original differential equation.
2. (V)-form, the variational form or weak form:
Z 1 Z 1
u0 v0 dx = f v dx
0 0
for any testing function v ∈ H01 (0, 1). The corresponding finite element
method is often called the Galerkin method.
3. (M)-form, the minimization form:
Z 1
1 2
min v0 − f v dx .
v(x)∈H01 (0,1) 2 0
The corresponding finite element method is often called the Ritz method.
a. Physical Reasoning
Let’s consider an elastic string with two end fixed and with an external
force f (x) :
Let u(x) be the position of the string at x which is unknown and de-
pends on f (x). The physical law states that the equilibrium is the state that
minimizes the total energy. The potential energy due to the deformation is
τ. increase in the length
q
τ 2 2
(u(x + ∆x) − u(x)) + ∆x − ∆x
s 
2
1
=τ  u + ux ∆x + ∆x2 uxx + · · · − u(x) + ∆x2 − ∆x
2
q
≈τ 2 2
∆x (1 + ux ) − ∆x
∆x 2
≈τ u ,
2 x
where τ is the coefficient of the surface tension that we assume it is a con-

stant. The work done due to the external force is − f (x)u(x). Therefore the
total energy is
Z 1 Z 1
1
F(u) = τu2x dx − f (x)u(x) dx .
0 2 0
The equilibrium state u∗ (x) must minimizes the total energy:
F (u∗ ) ≤ F(u)
for any u ∈ H01 . Note that u∗ is the minimizer of the functional F(u) (func-
tion of functions).
If we consider the balance of the force, we will get the differential
equation. From the Hooke’s law we know the tension is
T = τux .
Therefore, we have
τ (ux(x + ∆x) − u(x)) = − f (x)∆x
ux (x + ∆x) − u(x)
or τ = − f (x) .
∆x
Let ∆x → 0 to get − τuxx = f (x) .
Using the principal of virtual work, we also can conclude that:
Z 1 Z 1
u0 v0 dx = f v dx
0 0
for any function v(x) ∈ H01 .
b. Mathematical Equivalence
We have proved ( D) =⇒ ( V). We are going to prove ( V) =⇒ ( V) and
⇐⇒ ( M).
Theorem 10.1.1. If uxx exists and continuous, then from
Z 1 Z 1
u0 v0 dx = f v dx, ∀v(0) = v(1) = 0, v ∈ H 1 (0, 1) ,
0 0
we can conclude that −uxx = f (x).

Proof. Using integration by parts

Z 1 1 Z 1 00
u0 v0 dx = u0 v0 − u v dx
0 0
Z 1 Z 1
=⇒ − u00 v dx = f v dx
0 0
Z 1
or u00 + f v dx = 0 .
0
Since v(x) is arbitrary and continuous, and u00 and f are continuous, we
must have
u00 + f = 0, i.e. − u00 = f .
Now we prove V =⇒ M.
Theorem 10.1.2. Suppose u∗ satisfies
Z 1 Z 1
u∗0 v0 dx = v f dx
0 0
for any v(0) = v(1) = 0, for any v(x) ∈ H01 , we need to prove that
F (u∗ ) ≤ F(u) or
1 1
Z 1 Z 1 Z 1
1
Z
(u∗ )2x dx − ∗
f u dx ≤ u2x dx − f u dx .
2 0 0 2 0 0
Proof.
F(u) = F (u∗ + u − u∗ ) = F (u∗ + w) , w = u − u∗ w(0) = w(1) = 0
Z 1
1 ∗ 2 ∗
= (u + w)x − (u + w) f dx
0 2
" #
(u∗ )2x + w2x + 2 (u∗ )x wx
Z 1
= − u∗ f − w f dx
0 2
Z 1 Z 1 Z 1
1 ∗ 2 1 2
= (u )x − u∗ f dx + wx dx + ((u∗ )x wx − f w) dx
0 2 0 2 0
Z 1 Z 1
1 ∗ 2 1 2
= (u )x − u∗ f dx + wx dx + 0
0 2 0 2
Z 1
1 2
= F (u∗ ) + wx dx > F (u∗ ) .
0 2
The proof above is completed.

Theorem 10.1.3. If u∗ is the minimizer of the F (u∗ ), we want to prove that

Z 1 Z 1
(u∗ )x vx dx = f v dx
0 0
for any v(0) = v(1) = 0 and v ∈ H 1 (0, 1).
Proof. Consider the auxiliary function:
g(ε) = F (u∗ + εv) .
Since F (u∗ ) ≤ F (u∗ + εv) for any ε, g(0) is a global/local minimum and
therefore g0 (0) = 0.
Z 1
1
g(ε) = (u∗ + εv)2x − (u∗ + εv) fdx
0 2
Z 1
1 ∗ 2 ∗ 2 2 ∗
= (u )x + 2 (u )x vx ε + vx ε − u f − εv f dx
0 2
Z 1
ε2 1 2
Z 1
1 ∗ 2
Z
∗ ∗
= (u )x − u f dx + ε ((u )x vx − f v) dx + v dx .
0 2 0 2 0 x
Thus Z 1 Z 1
g0 (ε) = ((u∗ )x vx − f v) dx + ε v2x dx
0 0
and Z 1
0
g (0) = ((u∗ )x vx − f v) dx = 0 .
0
That is, the weak form is satisfied.
The three different forms may not be equivalent for some problems.
The relations are
( D) =⇒ ( M) =⇒ ( V) .
From (V) to conclude (M), we usually need the differential equations to be
self-adjoint. From (M) or (V) to conclude (D), we need the solution of the
differential equations to have continuous second order derivatives.
10.1.3. Finite Element Method for the 1D Model Problem:

Method and Programming
For the model problem
− u00 (x) = f (x), 0 < x < 1,

u(0) = u(1) = 0 ,
we will discuss Ritz method for the minimization form, Galerkin method
for the weak/variational form, and programming: assembling element by
element. There are different formsR for the above problem.
The weak/variational form is: 01 u0 v0 dx = 01 f v dx for any v(x) that has
R
continuous first derivative and v(0) = v(1) = 0. The minimization form is

to find u such that
Z 1 Z 1
1
F(u) = min v2x dx − f v dx .
v∈H01 (0,1) 2 0 0
a. Galerkin Method
Given a triangulation, x0 = 0, x1 , x2 , · · ·xM = 1. Let hi = xi+1 − xi , i =
0, 1, · · · , M − 1, where xi is called a node, [xi , xi+1 ] is called an element and
h = max0≤i≤M−1 {hi } measures how fine the partition is.
Then define a finite dimensional space over the triangulation as follows.
Vh (a finite dimensional space) ⊂ V (the solution space, ) The discrete
problem ⊂ ( the continuous problem). Different finite dimensional spaces
will generate different finite element methods. Since Vh has finite dimen-
sion, we can find one set of basis functions
φ1 , φ2 , ··· , φM−1 ⊂ Vh ,
φ1 , φ2 , · · · , φM−1 have to be linear independent, that is, if ∑M−1

j=1 α j φ j = 0,
then α1 = α0 = · · · = αM−1 = 0;Vh is the space spanned by the basis func-
tions ( )
M−1
Vh = vh (x), vh (x) = ∑ α jφ j .
j=1
Example. The simplest finite dimensional space is the piecewise continu-

ous linear function space defined over the triangulation. Vh = {v(x), vh (x)
is piecewise continuous linear over the triangulation vh (0) = vh (1) = 0}.
We want to know whether Vh has a finite or infinite dimensions. There are

infinite number of elements in Vh .
A linear function l(x) in an interval [xi , xi+1 ] is determined by its values
at xi and xi+1
x − xi+1 x − xi
l(x) = l (xi ) + l (xi+1 ) .
xi − xi+1 xi+1 − xi
There are M − 1 such nodal vales, l (xi ) s, l (x1 ) , l (x2 ) , · · · , l (xM−1 ) for a
piecewise continuous linear function over the triangulation plus l (x0 ) =
l (xM ) = 0. Given a vector [l (x1 ) , l (x2 ), · · · , l (xM−1 )]T ∈ R M−1 , we can
construct a vh (x) ∈ Vh by taking vh (xi ) = l (xi ). Given a vh (x) ∈ Vh, we get
a vector [v (x1 ) , v (x2 ) , · · · , v (xM−1 )]T ∈ R M−1 . Therefore, there is one to
one relation between Vh and R M−1 , so Vh has a finite dimension M − 1.
We should choose a set of basis functions that are simple, have mini-
mum support and meet the regularity requirement. The simplest ones are
the hat functions:
φ1 (x1 ) = 1, φ1 (x j ) = 0, j = 0, 2, 3, · · · , M ,
φ2 (x2 ) = 1, φ2 (x j ) = 0, j = 0, 1, 3, · · · , M ,
. . .. . .. . ..
φi (xi ) = 1, φi (x j ) = 0, j = 0, 1, · · ·i − 1, i + 1, · · · , M ,
. . .. . .. . ..
φM−1 (xM−1 ) = 1, φM−1 (x j ) = 0, j = 0, 1, · · · , M .
They can be written in the simple form

(
1, if i = j ,
φi (x j ) =
0, otherwise .
The analytic form is



0, if x < xi−1 ,



 x − xi−1
 , if xi−1 ≤ x < xi ,
φi (x) = xi+1hi− x

 , if xi ≤ x < xi+1 ,

 hi+1


0, if xi+1 ≤ x .
The finite element solution that we are looking for is

M−1
uh (x) = ∑ α j φ j (x) .
j=1
We can use either the (M) or the (V) to derive a linear system of equations
for the coefficients α j . Using the hat functions, we have
M−1
uh (xi ) = ∑ α j φ j (xi) = αi φi (xi ) = αi .
j=1
So αi is an approximate solution to the exact solution at x = xi .
b. The Ritz Method

The minimization form for the model problem is
Z 1 Z 1
1 2
F(v) = (vx ) dx − f v dx ..
2 0 0
Therefore,
!2
Z 1 M−1 Z 1 M−1
1
F (vh ) = ∑ α j φ0j (x) − f ∑ α j φ j (x) dx
2 0 j=1 0 j=1
Now F (vh ) is a multi-variable function α1 , α2 , · · · , αM−1
F (vh ) = F (α1 , α2 , · · · , αM−1 ) .
The necessary condition for a global minimum (local minimum as well) is

∂F ∂F ∂F ∂F
= 0, = 0, ··· = 0, ··· = 0.
∂α1 ∂α2 ∂αi ∂αM−1
By taking the partial derivatives directly we have
Z 1 M−1
! Z 1
∂F 0 0
∂α1
=
0
∑ α j φ j φ1 dx − 0 f φ1 dx = 0 ,
j=1
Z 1 M−1
! Z 1
∂F 0 0
∂αi
=
0
∑ α j φ j φi dx − 0 f φi dx = 0, i = 1, 2, · · · , M − 1 .
j=1
Exchange the order of integration and the summation to get

M−1 Z 1 Z 1
∑ φ0j φ0i dx αj = f φi dx, i = 1, 2, · · ·M − 1 .
j=1 0 0
This is exact the same as we would get using the Galerkin method with the
weak form,
Z 1 Z 1
0 0
u v dx = f v dx ,
0 0
!
Z 1 M−1 Z 1
0
∑ α j φ0j φ0i dx =
0
f φi dx, i = 1, 2, · · ·M − 1 .
j=1
Some comparison between Ritz and Galerkin methods are given. The opti-
mization techniques can be used in Ritz method. Not every problem has a
minimization form, but almost all problems have some kind of weak forms.
10.1.4. FEM Programming for 1D Problem

We need to form the stiffness matrix A and the load vector F after having
constructed a triangulation and a set of basis functions. We form A and F
by assembling element by element. The elements are
[x0 , x1 ] , [x1 , x2 ] , · · · [xi−1 , xi ] · · · [xM−1 , xM ] ,

Ω1 , Ω2 , ··· Ωi , ··· ΩM .
The idea is to break up the integration element by element. For any func-
tion g(x), the integration
Z 1 M Z xk M Z
g(x) dx = ∑ g(x) dx = ∑ g(x) dx .
0 k=1 xk−1 k=1 Ωk
The stiffness matrix then can be written as

 Z 1 
0 2
Z 1
0 0
Z 1
0 0
 0 φ1 dx φ1 φ2 dx ··· φ1 φM−1 dx 
 Z 1 Z 01 2
0
1 
 
Z
 0 0 0 0 0
φ2 φ1 dx φ2 dx · · · φ2 φM−1 dx 

A = 0 0 0 
. . . . 
 .. .. .. .. 
 Z 
 1 Z 1 Z 1 2

φ0M−1 φ01 dx φ0M−1 φ02 dx · · · φ0M−1 dx
 Z0 x1
0
Z x1 0
Z x1 
0 2 0 0 0 0
 Zx0 φ1 dx Z xx01
φ1 φ2 dx ···
Zx0x1
φ1 φM−1 dx 
 x1 
 0 0 0 2 0 0 
 φ 2 1φ dx φ 2 dx · · · φ φ
2 M−1 dx 

= x0 x0 x0 
. . . . 
 .. .. .. .. 
 Z 
 x1 0 0
Z x1
0 0
Z x1
0
2 
φM−1 φ1 dx φM−1 φ2 dx · · · φM−1 dx
x x0 x0
 0 Z x2 Z x2 Z x2 
0 2 0 0 0 0
 Zx1 φ 1 dx φ φ
1 2 dx · · · φ φ
1 M−1 dx 
 x2 Z xx12 Zx1x2 
 0 0 0 2 0 0 
 φ 2 1φ dx φ 2 dx · · · φ φ
2 M−1 dx 
+ x1 x1 x1 
. . . . 
 .. .. .. .. 
 Z x 
 2
0 0
Z x2
0 0
Z x2
0
2 
x1 x1 x1
+···
 Z xM 2 Z xM Z xM 
φ01
dx ··· φ01 φ02 dx φ01 φ0M−1 dx
 ZxM−1 Z xxM−1 ZxM−1 
 xM xM 
 φ02 φ01 dx
M
2
φ02 dx · · · φ02 φ0M−1 dx 
 
 xM−1 xM−1 xM−1 .
 .. .. .. .. 
 . 
 Z
 xM 0 Z xM . . Z
xM
.



0 0 0 0 2
xM−1 xM−1 xM−1
For the hat basis functions, each interval has only 2 no-zero basis func-
tions, so
 Z x1 2 
φ01 dx 0 · · · 0
 x0 
 0 0 ··· 0 
A=



 .. .. .. .. 
. . . .
0 0 ··· 0
 Z x2 Z x2 
0 2
φ1 dx φ01 φ02 dx · · · 0
 Zx1 Z xx12 
 x2 2 
 φ02 φ01 dx φ02 dx · · · 0 
+
 x1 x1


 .. .. .. .. 
 . . . . 
0 0 ··· 0
 
0 Z 0 0 ··· 0
 x3 2 Z x3

0 φ02 dx φ02 φ03 dx · · · 0 
 Zx2 x3 Z xx23 
 2 
+
0 φ03 φ02 dx φ03 dx · · · 0 

 x2 x2 
. .. .. .. .. 
 .. . . . . 
0 0 0 ··· 0
 
0 0 0 ··· 0
 0 0 0 ··· 0 
 
 .. .. .. .. .. 
 
+ . . . . . .
 0 0 0 ··· 0 
 
 Z M 2 
0 0 0 ··· φ0M−1 dx
xM−1
The no-zero contribution from a particular element is

 Z xi+1 Z xi+1 
0 0 0
φi 2 φi φi+1 dx
 
Kiej =  Z xi+1xi Z xxii+1 2 .
0 0 0
φi+1 φi dx φi+1 dx
xi xi
This matrix is called the local stiffness matrix. Similarly the local load
vector is defined as
 Z xi+1 
f φi dx
 
Fie =  Z xi
xi+1 .
f φi+1 dx
xi
The global load vector can be assembled element by element

 Z x1   Z x2  
0

f φ dx
 x0 f φ1 dx  
1
  x3 
Z
x1
   x2   f φ2 dx 
Z
 0    f φ2 dx  
 Z x2
 x


   x1   3

 0   + f φ3 dx 
F = + 0   x2 
 ..   ..   .. 
 .     
   .   . 
 0     
0 0
0 0 0
 
0
 0 
 
 0 
 
 0 
 
+··· +  0 .

 0 
 
 0 
 Z 
 xM 
f φM−1 dx
xM−1
Computing local stiffness matrix Kiej and local load vector Fie
In the element [xi , xi+1 ], there are only two non-zero hat functions cen-
tered at xi and xi+1 respectively:
xi+1 − x x − xi
ψei (x) = , ψei+1 (x) = ,
xi+1 − xi xi+1 − xi
1 0 1
(ψei )0 = − , ψei+1 = ,
hi hi
where ψei and ψi+1 are the shape functions. The local stiffness matrix Kiej
therefore is:  
1 1
−
 hi 
Kiej =  hi1 1 .
−
hi hi
We assemble the stiffness matrix A as

 1 
0 0 ···
 h0 
A=0 M−1×M−1
, A=  0 0 0 ··· 
,
.. .. .. ..
. . . .
 
1 1 1
+ − 0 ···
 h0 h1 h1 
 
 −1 1
0 · · · 
A=  ,
h1 h1 
 0 0 0 ··· 
 
.. .. .. ..
. . . .
 
1 1 1
 h0 + h1 −
h1
0 0 ··· 
 
 1 1 1 1 
 − + − 0 ··· 
A=  h1 h1 h2 h2 .
1 1 
 0 − 0 ··· 
 h2 h2 
 
.. .. .. ..
. . . .
The final assembled matrix is a tridiagonal matrix:

 
1 1 1
+ −
 h0 h1 h1 
 
 −1 1
+
1
−
1 
 
 h1 h1 h2 h2 
 1 1 1 1 
 − + − 
 h2 h2 h3 h3 
A= .
 .. .. .. 
 . . . 
 1 1 1 1 
 
 − + − 
 hM−3 hM−3 hM−2 hM−2 
 1 1 1 
− +
hM−2 hM−2 hM−1
Remark 10.1.1. If we use a uniform triangulation xi = i ∗ h, h =

Z 1 Z xi+1
1/M, i = 0, 1, · · ·M and approximate f (x)φ(x) dx = f (x)φ(x) ≈
Z xi+1 Z xi+1 0 xi−1
f (xi ) φ(x) dx = f (xi ) φ(x) dx = f (xi ) then the system of equa-

xi−1 xi−1
tion we get for the model problem using the finite element method is exact
the same as that derived from the finite difference method.
10.2 Theoretical Foundations of the Finite Element

Method
Using the FE method, we need to answer these questions: 1. What is the
right functional space V for the solution? 2. What is the right weak or
variational form of a differential equation. 3. What kind of basis functions
or FE spaces should we choose? 4. How accurate is a FE solution?
We are going to answer these questions in this section.
10.2.1. FE Analysis for the 1D Model Problem

For the simple 1 D model problem
−u00 = f , 0 < x < 1, u(0) = u(1) = 0 ,
we know that the weak form is

Z 1 Z 1
u0 v0 dx = f v dx or u0 , v0 = ( f , v) .
0 0
Intuitively, because v is arbitrary we can take v = f or v = u to get

Z 1 Z 1 Z 1 Z 1
0 0 02
u v dx = u dx, f v dx = f 2 dx ,
0 0 0 0
so u, u0, f , v and v0 should belong to L2 (0, 1), i.e., we have u ∈ H01 (0, 1) and
v ∈ H01 (0, 1), so the solution is in the Sobolev space H01 (0, 1). We should
also take v in the same space. From the Sobolev embedding theorem, we
also know that H 1 ⊂ C0 , so the solution is continuous.
a. Conforming FE Methods
Definition 10.2.1. If the FE space is a subspace of the solution space,
then the FE space is called a conforming finite element space, and the FE
method is called a conforming FE method.
For example, the piecewise linear function over a given a triangulation

is a conforming FE space for the model problem. On including the BC, we
define the solution space as

H01 (0, 1) = v(x), v(0) = v(1) = 0, v ∈ H 1 (0, 1) .
For example, given a mesh for the 1 D model, we can define a finite dimen-
sional space using piecewise continuous linear functions over the mesh:
Vh = {vh , vh (0) = vh (1) = 0, vh is continuous piecewise linear } The FE
solution would be chosen from the finite dimensional space Vh , a subspace
of H01 (0, 1). If the solution of the weak form is in H01 (0, 1) but not in Vh
space, then an error is introduced on replacing the solution space with the
finite dimensional space. Nevertheless, the FE solution is the best approx-
imation in Vh in some norm.
b. FE Analysis for a 1D Sturm-Liouville Problem

A 1 D Sturm-Liouville problem with Dirichlet BC at two ends is
0
− p(x)u0 (x) + q(x)u(x) = f (x), xl < x < xr ,
u (xl ) = 0,u (xr ) = 0 ,
p(x) ≥ pmin > 0,q(x) ≥ qmin ≥ 0 .
The conditions on p(x) and q(x) guarantee the problem is well-posed. It
is convenient to assume p(x) ∈ C (xl , xr ) and q(x) ∈ C (xl , xr ). To derive
the weak form, we multiply both sides of the equation by a test function
v(x), v (xl ) = v (xr ) = 0 and integrate from xl to xr to get
Z xr Z xr
0 0 0 xr
− p(x)u + qu v dx = − pu v x + pu0 v0 + quv dx
xl l xl
Z xr
= f v dx
x
Z xr Z lxr
=⇒ pu0 v0 + quv dx = f v dx, ∀v ∈ H01 (xl , xr ) .
xl xl
c. The Bilinear Form

The integral Z xr
a(u, v) = pu0 v0 + quv dx
xl
is a bilinear form. From the following

Z xr
a(αu + βw, v) = p αu0 + βw0 v0 + q(αu + βw)v dx
xl
Z xr
0 0
Z xr
=α pu v + quv dx + β w0 v0 + qwv dx
xl xl
= αa(u, v) + βa(w, v) ,
where α and β are scalars; and similarly,
a(u, αv + βw) = αa(u, v) + βa(u, w) .
If p ≡ 1 and q ≡ 1 then
a(u, v) = (u, v) .
Under the conditions: p(x) ≥ pmin > 0, q(x) ≥ 0, we can define the energy
norm
Z x 12
p r
0 2 2
kuka = a(u, u) = p u + qu dx ,
xl
where the first term may be interpreted as the kinetic energy and the sec-
ond term as the potential energy. The Cauchy-Schwarz inequality implies
|a(u, v)| ≤ kukakvka The bilinear form often simplifies the notation for the
weak and minimization forms, e.g., Sturm-Liouville problem:
a(u, v) = f (v), ∀v ∈ H01 (xl , xr ) ,
and the minimization form is

1
min F(v) = min a(v, v) − ( f , v) .
v∈H01 (xl ,xr ) v∈H01 (xl ,xr ) 2
d. The FE Method for the 1D Sturm-Liouville Problem Using

Piecewise Linear Basis Functions in H01 (xl , xr )
Consider any finite dimensional space Vh ⊂ H01 (xl , xr ) with the basis
φ1 (x) ∈ H01 , φ2 (x) ∈ H01 , · · · , φM (x) ∈ H01 (xl , xr ) ,
that is,
Vh = span {φ1 , φ2 , · · · , φM }
( )
M
= vs , vs = ∑ αi φi ⊂ H01 (xl , xr ) .
i=1
The Galerkin method assumes the approximate solution to be

M
us = ∑ α jφ j
j=1
and the coefficients are chosen such that the weak form
a (us, vs ) = ( f , vs) , ∀vs ∈ Vh
is satisfied. Thus, some errors are introduced. Since any element in the
space is a linear combination of the basis functions, we have
a (us , φi ) = ( f , φi ), i = 1, 2, · · · , M .
Or !
M
a ∑ α j φ j , φi = ( f , φi ), i = 1, 2, · · · , M .
j=1
Or
M
∑a φ j , φi α j = ( f , φi ) , i = 1, 2, · · · , M .
j=1
In matrix-vector form AX = F, this system of algebraic equations for the

coefficients is
     
a (φ1 , φ1 ) a (φ1 , φ2 ) · · · a (φ1 , φM ) α1 ( f , φ1 )
 a (φ , φ ) a (φ , φ ) · · · a (φ2 , φM )   α2   ( f , φ2 ) 
 2 1 2 2     
 .. .. .. .. , .. = .. ,
 . . . .   .   . 
a (φM , φ1 ) a (φM , φ2 ) · · · a (φM , φM ) αM ( f , φM )
and the system has some attractive properties.

T
- The coefficient
matrix A is symmetric, i.e., ai j = a ji or A = A ,
since a φi , φ j = a φ j , φi . Note that this is only true for a self-adjoint
problem such as the above, with the second order ODE
0
− pu0 + qu = f .
For example, the similar problem involving the ODE
−u00 + u0 = f
is not self-adjoint; and the Galerkin FE method using the corresponding

weak form

u0 , v0 + u0 , v = ( f , v) or u0 , v0 + u, v0 = ( f , v)

produces terms such as φ0i , φ j that differ from φ0j , φi , so that the coeffi-
cient matrix A is not symmetric.
- A is positive definite, i.e., xT Ax > 0 if x 6= 0, and all eigenvalues of A
are positive.
Proof. For any η 6= 0, we show that ηT Aη > 0 as follows
M M
ηT Aη = ηT (Aη) = ∑ ηi ∑ ai j η j
i=1 j=1
M M
= ∑ η i ∑ a φi , φ j η j
i=1 j=1
M M
= ∑ η i ∑ a φi , η j φ j
i=1 j=1
!
M M
= ∑ ηi a φi , ∑ η j φ j
i=1 j=1
!
M M
=a ∑ ηi φi , ∑ η j φ j
i=1 j=1
= a (vs , vs ) = kvs k2a > 0 ,
since vs = ∑M
i=1 ηi φi 6= 0 because η is a non-zero vector and the φi are linear
independent.
e. Local Stiffness Matrix and Load Vector Using the Hat Basis
Functions
The local stiffness matrix using the hat basis functions is a 2 × 2 matrix of
form
 Z xi+1 2 Z xi+1 
p(x) φ0i dx p(x)φ0i φ0i+1 dx
 
Kie =  Zxixi+1 Zxixi+1 2 
0 0 0
p(x)φi+1 φi dx p(x) φi+1 dx
xi xi
 Z xi+1 Z xi+1 
q(x)φ2i dx q(x)φi φi+1
 
+  Z xix+1
i Zxi xi+1 
2
q(x)φi+1 φi dx q(x)φi+1
xi xi
and the local load vector is

 Z xi+1 
f φi dx
 
Fie =  Z xi
xi+1 .
f φi+1 dx
xi
The global stiffness matrix and load vector can be assembled element by
element.
10.2.2. Error Analysis for the FE Method

Error analysis for FE methods usually includes two parts:
1. error estimates for a given FE space; and
2. convergence analysis, a limiting process that shows the FE solution
converges to the true solution of the weak form in some norm, as the mesh
size h approaches zero.
We first recall some notation and setting up:
1. Given a weak form a(u, v) = L(v) and a space V , which usually has
infinite dimension, the problem is to find a u ∈ V such that the weak form
is satisfied for any v ∈ V . Then u is called the solution of the weak form;
2. A finite dimensional subspace of V denoted by Vh (i.e. Vh ⊂ V ) is
adopted for a conforming FE method and it does not have to depend on h,
however.
3. The solution of the weak form in the subspace Vh is denoted by uh ,

i.e., i.e. we require a (uh , vh ) = L (vh ) for any vh ∈ Vh .
4. The global error is defined by eh = u(x) − uh (x), and we seek a sharp
upper bound for keh k using certain norms.
Theorem 10.2.1. 1. uh is the projection of u onto Vh through the energy

inner product i.e.,
u − uh ⊥ Vh or u − uh ⊥ φi , i = 1, 2, · · · , M ,
a (u − uh , vh ) = 0 ∀vh ∈ Vh or a (u − uh , φi ) = 0, i = 1, 2, · · · , M ,
where {φi } are the basis functions. 2. uh is the best approximation in the
energy norm, i.e.,
ku − uh ka ≤ ku − vh ka , ∀vh ∈ Vh .
Proof.
a(u, v) = ( f , v), ∀v ∈ V
→ a (u, vh ) = ( f , vh ), ∀vh ∈ Vh since Vh ⊂ V ,
a (uh , vh ) = ( f , vh ) , ∀vh ∈ Vh since uh is the solution in Vh ,
subtract → a (u − uh , vh ) = 0 or a (eh , vh ) = 0, ∀vh ∈ Vh .
Now we prove that uh is the best approximation in Vh
ku − vh k2a = a (u − vh , u − vh)
= a (u − uh + uh − vh , u − uh + uh − vh )
= a (u − uh + wh , u − uh + wh ) , on letting wh = uh − vh ∈ Vh
= a (u − uh , u − uh + wh ) + a (wh , u − uh + wh )
= a (u − uh , u − uh) + a (u − uh , wh) + a (wh , u − uh) + a (wh , wh)
= ku − uhk2a + 0 + 0 + kwh k2a , since, a (eh , uh) = 0
≥ ku − uhk2a ,
i.e., ku − uh ka ≤ ku − vh ka .
Example. For the Sturm-Liouville problem,

Z b 2
ku − uh k2a = p(x) u0 − u0h + q(x) (u − uh )2 dx
a
Z b 2 Z b
≤ pmax u0 − u0h dx + qmax (u − uh )2 dx
a a
Z b 2
≤ max {pmax , qmax } u0 − u0h + (u − uh )2 dx
a
= C ku − uh k21 ,
where C = max {pmax , qmax } . Thus we obtain
ku − uh ka ≤ Ĉ ku − uh k1 ,
ku − uh ka ≤ ku − vh ka ≤ C̄ ku − vh k1 .
a. Interpolation Functions and Error Estimates

Linear 1D piecewise interpolation function Given a triangulation
x0 , x1 , x2 , · · · , xM , the linear 1D piecewise interpolation function is defined
as
x − xi x − xi−1
uI (x) = u (xi−1 ) + u (xi ) , xi−1 ≤ x ≤ xi .
xi−1 − xi xi − xi−1
It is obvious that uI (x) ∈ Vh , where Vh ⊂ H 1 is the set of continuous piece-
wise linear functions, so
ku − uh ka ≤ ku − uI ka .
Since u(x) is unknown, then so is uI (x). Nevertheless, we know the upper

bound of the interpolation functions.
Theorem 10.2.2. Given a function u(x) ∈ C2 [a, b] and a triangulation

x0 , x1 , x2 , · · · , xM , the continuous piecewise linear function uI has the er-
ror estimates
h2
ku − uI k∞ = max |u(x) − uI (x)| ≤ u00 ∞ ,
x∈[a,b] 8
0 √
u (x) − u0I (x) 2 ≤ h b − a u00 ∞ .
L (a,b)
Proof. If e˜h = u(x) − uI (x), then e˜h (xi−1 ) = e˜h (xi ) = 0. From Rolle’s the-
orem, there must be at least one point zi between xi−1 and xi such that
e˜h 0 (zi ) = 0, hence
Z x
0
e˜h (x) = e˜h 00 (t) dt
z
Z ix
= u00 (t) − u00I (t) dt
z
Z ix
= u00 (t) dt .
zi
We obtain the error estimates

0 Z x 00 Z x
ẽ (x) ≤ u (t) dt ≤ u00 dt ≤ u00 ∞ h , and
h ∞
zi zi
12
0 0 00 2 Z b 2 √
ẽ 2 ≤ b − a u00 ∞ h .
h L (a,b) = e˜h 0 ≤ u ∞ h dt
a
To prove the first, assume that xi−1 + h/2 ≤ zi ≤ xi , otherwise we can use
the other half interval. From the Taylor expansion
ẽh (x) = ẽh (zi + x − zi ) , assuming xi−1 ≤ x ≤ xi ,

1
= ẽh (zi ) + e˜h 0 (zi ) (x − zi ) + ẽ00h (ξ) (x − zi )2 , xi−1 ≤ ξ ≤ xi ,
2
1
= e˜h (zi ) + ẽ00h (ξ) (x − zi )2 ,
2
so at x = xi we have
1
0 = e˜h (xi ) = e˜h (zi ) + ẽ00h (ξ) (xi − zi )2 ,
2
1 00
e˜h (zi ) = − e˜h (ξ) (xi − zi )2 ,
2
1 h2
|ẽh (zi )| ≤ u00 ∞ (xi − zi )2 ≤ u00 ∞ .
2 8
Note that the largest value of ẽh (x) has to be the zi where the derivative is
zero.
b. Error Estimates of the FE Methods Using the Interpolation

Function
Theorem 10.2.3. For the 1D Sturm-Liouville problem,

ku − uh ka ≤ Ch u00 ∞ ,

ku − uh k ≤ Ĉh u00 ,
1 ∞
where C and Ĉ are two constants.
Proof.
ku − uh k2a ≤ ku − uI k2a
Z b 2
≤ p(x) u0 − u0I + q(x) (u − uI )2 dx
a
Z b 2
≤ max {pmax , qmax } u0 − u0I + (u − uI )2 dx
a
00 2 Z b 2
≤ max {pmax , qmax } u ∞ h + h4 /64 dx
a

≤ Ch2 u00 ∞ .
The second inequality is obtained because kka and kk1 are equivalent, so
ckvka ≤ kvk1 ≤ Ckvka , ĉkvk1 ≤ kvka ≤ Ĉkvk1 .
c. Error Estimates in Pointwise Norm

Theorem 10.2.4. For the 1D Sturm-Liouville problem,

ku − uh k∞ ≤ Ch u00 ∞ ,
where C is a constant.
0
0 We0 note
that uh is discontinuous at nodal points, and the infinity norm
u − u can only be defined for continuous functions.
h ∞
Proof. Z x
eh (x) = u(x) − uh (x) = e0h (t) dt
a
Z b
|eh (x)| ≤ e0 (t) dt ,
h
a
Z b
1/2 Z 1/2
b
≤ e0h 2 dt 1 dt
a a
Z 1/2
√ b p 0 2
≤ b−a eh dt
a pmin
s
b−a
≤ keh ka
pmin
s
b−a
≤ kẽh ka
pmin

≤ Ch u00 . ∞
Remark 10.2.1. Actually, we can prove a better inequality

ku − uh k∞ ≤ Ch2 u00 ∞ ,
so the FE method is second order accurate.
10.3 Issues of the Finite Element Method in 1D

10.3.1. Boundary Conditions
For a second order two-point BVP, typical boundary conditions (BC) in-
clude one of the following at each end, say at x = xl ,
1. a Dirichlet condition, e.g., u (xl ) = ul is given;
2. a Neumann condition, e.g., u0 (xl ) is given; or
3. a Robin (mixed) condition, e.g., αu (xl )+βu0 (xl ) = γ is given, where
α, β, and γ are known but u (xl ) and u0 (xl ) are both unknown.
For example,
−u00 = f , 0 < x < 1 ,
u(0) = 0, u0 (1) = 0
involves a Dirichlet BC at x = 0 and a Neumann BC at x = 1. For a con-

forming FE method, the solution function of u and the test functions v
should be in the same space. we require v(0) = 0, and the Dirichlet condi-
tion is therefore called an essential BC. The weak form of this example is
the same as before, but the solution space is different:

u0 , v0 = ( f , v), ∀v ∈ HE1 (0, 1) ,

where HE1 (0, 1) = v(x), v(0) = 0, v ∈ H 1 (0, 1) .
a. Mixed Boundary Conditions

Consider the Sturm-Liouville problem
− (pu0 )0 + qu = f , xl ≤ x ≤ xr , p(x) ≥ pmin > 0, q(x) ≥ 0 ,
α
u (xl ) = 0, u (xr ) + βu0 (xr ) = γ, β 6= 0, ≥ 0,
β
where α, β, and γ are known constants, but u (xr ) and u0 (xr ) are unknowns.
Integration by parts again we get
0 0
Z xr
0 0
Z xr
−p (xr ) u (xr ) v (xr )+ p (xl ) u (xl ) v (xl )+ pu v + quv dx = f v dx .
xl xl
Then we set v (xl ) = 0 and rewrite the the mix BC as

γ − αu (xr )
u0 (xr ) = .
β
Plug this into the equation (3), we get
γ − αu (xr )
Z xr Z xr
−p (xr ) u0 (xr ) + pu0 v0 + quv dx = f v dx
β xl xl
or equivalently,
Z xr
0 0
α
Z xr
γ
pu v + quv dx + p (xr ) u (xr ) v (xr ) = f v dx + p (xr ) v (xr ) ,
xl β xl β
the corresponding weak (variational) form of the Sturm-Liouville problem.
We define
Z xr α
a(u, v) = pu0 v0 + quv dx + p (xr ) u (xr ) v (xr ) ,
xl β
γ
L(v) = ( f , v) + p(b)v(b) .
β
The (5) is the bilinear form and (6) is the linear form. We can prove
that:
1. a(u, v) = a(v, u), that is a(u, v) is symmetric.
2. a(u, v) is a bi-linear form: that is
a(αu + βw, v) = αa(u, v) + βa(w, v) ,

a(u, αv + βw) = αa(u, v) + βa(u, w)
for any real numbers α and β.

3. a(u, v) is a inner product. The energy norm is
Z 1
p xr α 2
kuka = a(u, u) = 02
pu + qu 2
dx + p (xr ) u (xr )2 .
xl β
Now we can see why we need to have β 6= 0, and α/β ≥ 0. Using the
inner product, the solution of the weak form u(x) satisfies
a(u, v) = L(v), ∀v ∈ HE1 (xl , xr ) ,

HE1 (xl , xr ) = v(x), v (xl ) = 0, v ∈ H 1 (xl , xr ) .
Note that there is no restriction on v (xr ). The boundary condition is essen-

tial at x = xl , natural at x = xr . The solution u is also the minimizer of the
following functional
1
F(v) = a(v, v) − L(v)
2
1
in the space HE (xl , xr ).
b. Non-Homogeneous Dirichlet Boundary Conditions

Suppose u (xl ) = ul 6= 0 in (2). In this case, the solution can be decomposed
as the sum of the particular solution
0
− pu01 + qu1 =0, xl < x < xr ,
α
u1 (xl ) = ul ,αu1 (xr ) + βu01 (xr ) = 0, β 6= 0, ≥0
β
and
− (pu02 )0 + qu2 = f , xl < x < xr ,
α
u2 (xl ) = 0, αu2 (xr ) + βu02 (xr ) = γ, β 6= 0, β ≥ 0.
If we can find a particular solution u1 (x) of (10), then we can use the weak
form to find the solution u2 (x) at x = xl , then the solution is u(x) = u1 (x) +
u2 (x).
Another way is to choose a function u0 (x), u0 (x) ∈ H 1 (xl , xr ) that sat-
isfies
u0 (xl ) = ul , αu0 (xr ) + βu00 (xr ) = 0 .
For example, the function u0 (x) = ul φ0 (x) would be such a function, where
φ0 (x) is the hat function centered at xl if a mesh {xi } is given. Then
û(x) = u(x) − u0 (x) would satisfy a homogeneous Dirichlet BC at xl and
the following S-L problem:
− (pû0 )0 + qû = f (x) + (pu00 )0 − qu0 , xl < x < xr ,
û (xl ) = 0, αû0 (xr ) + βû (xr ) = γ.
We can apply the FE method for û, where the weak form u(x) after substi-
tuting back is the same as before:
a1 (û, v) = L1 (v), ∀v(x) ∈ HE1 (xl , xr ) ,
where
Z xr α
a1 (û, v) = pû0 v0 + qûv dx + p (xr ) û (xr ) v (xr ) ,
x β
Z lxr Z xr 0
γ
L1 (v) = f v dx + p (xr ) v (xr ) + pu00 v − qu0 v dx
x β x
Z lxr Z lxr
γ
= f v dx + p (xr ) v (xr ) − pu00 v0 + qu0 v dx
xl β xl
α
− p (xr ) u0 (xr )v (xr ) .
β
If we define
Z xr α
x β
Z lxr
γ
L(v) = f v dx + p (xr ) v (xr )
xl β
as before, then we have
a1 (u − u0 , v) = a (u − u0 , v) = L1 (v) = L(v)−a (u0 , v), or a(u, v) = L(v) .
While we still have a(u, v) = L(v), the solution is not in HE1 (xl , xr ) space
due to the non-homogeneous Dirichlet boundary condition.
Nevertheless u − u0 is in HE1 (xl , xr ).
10.3.2. The FE Method for Sturm-Liouville Problems

Consider the FE method using the piecewise linear function over a trian-
gulation x1 = xl , x2 , · · · , xM = xr for the Sturm-Liouville problem
0
− pu0 + qu = f , xl < x < xr ,
α
u (xl ) = ul , αu (xr ) + βu0 (xr ) = γ, β 6= 0, ≥ 0.
β
Use the hat functions as the basis such that
M
uh (x) = ∑ αi φi (x)
i=0
and now focus on the treatment of the BC. The solution is unknown at
x = xr , so it is not surprising to have φM (x) for the natural BC. The first
term φ0 (x) is the function used as u0 (x), to deal with the non-homogeneous
Dirichlet BC. The local stiffness matrix is

e a (φi , φi ) a φi , φi+1
Ki =
a φi+1 , φi a φi+1 , φi+1 (x ,x )
i i+1
 Z xi+1 Z xi+1 
02 0 0
pφi dx pφi φi+1 dx
 
=  Z xix+1 i Zxixi +1 
pφ0i+1 φ0i dx pφ0i+1 2 dx
x xi
 Zi 
xi +1 Z xi+1
2
 qφi dx qφi φi+1 dx 
+ xi+1
Z xi xi
Z xi +1


2
qφi+1 φi dx qφi+1 dx
xi xi
2

α φi (xr ) φi (xr ) φi+1 (xr )
+ p (xr )
β φi+1 (xr ) φi (xr ) φ2i+1 (xr )
 Z xi+1 
f φi dx
e L (φi )  Z xi  γ φi (xr )
Fi = =  xi+1  + p (xr ) .
L φi+1 f φ dx β φi+1 (xr )
i+1
xi
We can see clearly the contributions from the BC; and in particular, that the
only non-zero contribution of the BC to the stiffness matrix and the load
vector is from the last element [xM−1 , xM ].
a. Numerical Treatments of Dirichlet BC

The FE solution defined on the triangulation can be written as
M
uh (x) = ul φ0 (x) + ∑ α j φ j (x) ,
j=1
where α j , j = 1, 2, · · · , M are the unknowns. To use the FE method to de-

termine the coefficients, we enforce the weak form for uh (x) − ua φ0 (x) for
the modified differential equation
0 0
− pu0 + qu = f + ul pφ00 − ul qφ0 , xl < x < xr ,
α
u (xl ) = 0, αu (xr ) + βu0 (xr ) = γ, β 6= 0, ≥ 0.
β
Thus the system of linear equations is
a (uh (x), φi (x)) = L (φi ) , i = 1, 2, · · · , M
or equivalently
a (φ1 , φ1 ) α1 + a (φ1 , φ2 )α2 + · · · + a (φ1 , φM )αM = L (φ1 ) − a (φ0 , φ1 ) ul ,
a (φ2 , φ1 ) α1 + a (φ2 , φ2 )α2 + · · · + a (φ2 , φM )αM = L (φ2 ) − a (φ0 , φ2 ) ul ,
. . .. . .. . .. . . = . . .. . .. . .. . .
a (φM , φ1 ) α1 + a (φM , φ2 ) α2 + · · · + a (φM , φM )αM = L (φM ) − a (φ0 , φM ) ul ,
where the bilinear and linear forms are still
Z xr α
x β
Z lxr
γ
L(v) = f v dx + p (xr ) v (xr ) ,
xl β
since Z xr
0
ul pφ00 − ul qφ0 φi (x) dx = −ul a (φ0 , φi ) .
xl
After moving the a (φi , ul φ0 (x)) = a (φi , φ0 (x))ul to the right-hand side,
we get the matrix-vector form
    
1 0 ··· 0 α0 ul
 0 a (φ1 , φ1 ) ··· a (φ1 , φM )  α1   L (φ1 ) − a (φ1 , φ0 ) ul 
    
 .. .. .. ..  .. = .. .
 . . . .  .   . 
0 a (φM , φ1 ) · · · a (φM , φM ) αM L (φM ) − a (φM , φ0 ) ul
This outlines one method to deal with Dirichlet BC.
b. Contributions from Neumann or Mixed BC

The contribution of mixed BC using the hat basis functions is zero until
the last element [xM−1 , xM ], where φM (xr ) is not zero. The local stiffness
matrix of the last element is
 Z xM Z xM 
pφ0M−1 + qφ2M−1 dx pφ0M−1 φ0M + qφM−1 φM dx
 Z xM−1 xM−1 
 xM Z xM α 
0 0 0 2 2
pφM φM−1 + qφM φM−1 dx pφM + φM dx + p (xr )
xM−1 xM−1 β

 Z xM 
f (x)φM−1 (x) dx
e  xM−1 
FM−1 = Z xM γ .
f (x)φM (x) dx + p (xr )
xM−1 β
10.3.3. High Order Elements

To solve the Sturm-Liouville or other related problems, we can use the
piecewise linear finite dimensional space over a triangulation.
The error
is usually O(h) in the energy and H 1 norms, and O h2 in the L2 and L∞
norms. If we want to improve the accuracy, we can:
- refine the triangulation, i.e., decrease h; or
- use better and larger finite dimensional spaces, i.e., the piecewise
quadratic or piecewise cubic basis functions.
Let us use the Sturm-Liouville problem
0
− p0 u + qu = f , xl < x < xr ,
u (xl ) = 0, u (xr ) = 0 .
The other BC can be treated in a similar way. We assume a given triangu-

lation x0 = xl , x1 , · · · , xM = xr , and the elements
Ω1 = [x0 , x1 ], Ω2 = [x1 , x2 ] , · · · , ΩM = [xM−1 , xM ]
and consider the piecewise quadratic and piecewise cubic functions, but
still require the finite dimensional spaces to be in H01 (xl , xr ) so that the FE
methods are conforming.
a. Piecewise Quadratic Basis Functions

Define
Vh = {v(x), where v(x) is continuous piecewise quadratic} .
The piecewise linear finite dimensional space is a subspace of the space,

so the FE solution is expected to be more accurate.
To use the Galerkin FE method, we need to know the dimension of the
space in order to choose a set of basis functions. The dimension is called
the the degree of freedom (DOF).
Given a function φ(x) in Vh, on each element the quadratic function has
the form
φ(x) = ai x2 + bi x + ci , xi ≤ x < xi+1 ,
so there are three parameters to determine a quadratic function in the inter-
val [xi , xi+1 ]. there are M elements, and so 3M parameters.
However, they are not totally free, because they have to satisfy the
continuity condition
lim φ(x) = lim φ(x)
x→xi − x→xi +
for x1 , x2 , · · · , xM−1 , or more precisely,
ai−1 x2i + bi−1 xi + ci−1 = ai x2i + bi xi + ci , i = 1, 2, · · ·M .
There are M − 1 constraints and φ(x) should also satisfy the BC φ(xl ) =
φ (xr ) = 0. Thus the total degree of the freedom is
3M − (M − 1) − 2 = 2M − 1 .
If we can construct 2M − 1 basis functions that are linearly independent,

then all of the functions in Vh can be expressed as linear combinations of
them.
The desired properties are similar to those of the hat functions; and
they should
- be continuous piecewise quadratic functions;
- have minimum support, i.e., be zero almost everywhere; and
- be determined by the values at nodal points.
Since the degree of the freedom is 2M − 1 and there are only M − 1

interior nodal points, we add M auxiliary points (not nodal points) between
xi and xi+1 and define
z2i = xi , nodal points ,
xi + xi+1
z2i+1 = , auxiliary points .
2
Note that all the basis functions should be one piece in one element
[z2k, z2k+2], k = 0, 1, · · · , M − 1. Now we can define the piecewise quadratic
basis functions as

1 if i = j ,
φi (z j ) =
0 otherwise .
We can derive analytic expressions of the basis functions using the proper-
ties of quadratic polynomials.
b. Assembling the Stiffness Matrix and the Load Vector

The FE solution can be written as
2M−1
uh (x) = ∑ αi φi (x) .
i=1

The entries of the coefficient matrix are ai j = a φi , φ j and the load
vector is Fi = L (φi ). On each element [xi , xi+1 ], or [z2i , z2i+2], there are three
non-zero basis functions: φ2i , φ2i+1 , and φ2i+2 . Thus the local stiffness
matrix is
 
a (φ2i , φ2i ) a φ2i , φ2i+1 a φ2i , φ2i+2
Kie =  a φ2i+1 , φ2i a φ2i+1 , φ2i+1 a φ2i+1 , φ2i+2 
a φ2i+2 , φ2i a φ2i+2 , φ2i+1 a φ2i+2 , φ2i+2 (x ,x )
i i+1

 
L (φ2i )
Lei =  L φ2i+1  .
L φ2i+2 (x ,x i i+1 )
The stiffness matrix is still symmetric positive definite, but denser than that
with the hat basis functions.
The advantage in using quadratic basis functions is the FE solution is

more accurate than that obtained on using the linear basis functions with
the same mesh.
c. The Cubic Functions in H 1 (xl , xr ) Space

We can also construct piecewise cubic basis functions in H 1 (xl , xr ). On
each element [xi , xi+1 ], a cubic function has the form
φ(x) = ai x3 + bi x2 + ci x + di , i = 0, 1, · · · , M − 1 .
There are 4 parameters and the total degree of freedom is 3M − 1 if Dirich-

let BC are imposed at the two ends. To construct cubic basis functions
with properties similar to the piecewise linear and piecewise quadratic ba-
sis functions, we need to add two auxiliary points between xi and xi+1 . The
local stiffness matrix is then 4 × 4.
10.3.4. The Lax-Milgram Lemma and the Existence

of FE Solutions
a. General Settings: Assumptions and Conditions
Let
p V be a Hilbert space with inner product (, )V and norm kukV =
(u, u)V , e.g., Cm , the Sobolev spaces H 1 and H 2 , etc. Assume there
is a bilinear form
a(u, v), V ×V 7−→ R
and a linear form
L(v), V 7−→ R ,
that satisfy the following conditions:
1. a(u, v) is symmetric, i.e., a(u, v) = a(v, u);
2. a(u, v) is continuous in both u and v, i.e., there is a constant γ such
that
|a(u, v)| ≤ γkukV kvkV
for any u and v ∈ V ; the norm of the operator a(u, v);
3. a(u, v) is V -elliptic, i.e., there is a constant α such that
a(v, v) ≥ αkvkV2
for any v ∈ V (an alternative term is coercive); and

4. L is continuous, i.e., there is a constant Λ such that
|L(v)| ≤ ΛkvkV
for any v ∈ V .
b. The Lax-Milgram Lemma

Lemma 10.3.1. Under the above conditions 2 to 4 , there exists a unique
element u ∈ V such that
a(u, v) = L(v), ∀v ∈ V .
Furthermore, if the condition 1 is also true, i.e., a(u, v) is symmetric, then

1. kukV ≤ Λα ; and
2. u is the unique global minimizer of
1
F(v) = a(v, v) − L(v) .
2
Sketch of the proof.
The proof exploits the Riesz representation theorem of Functional
Analysis, where L(v) is the bounded linear operator in the Hilbert space
V with inner product a(u, v), so there is unique element u∗ in V such that
L(v) = a (u∗ , v) , ∀v ∈ V .
The a-norm is equivalent to V norm.

From the continuity condition of a(u, v), wet
p q
√
kuka = a(u, u) ≤ γkukV2 = γkukV .
From the V -elliptic condition, we have

p q √
kuka = a(u, u) ≥ αkukV2 = αkukV ,
therefore √ √
αkukV ≤ kuka ≤ γkukV .
1 1
Or √ kuka ≤ kukV ≤ √ kuka
γ α
F (u∗ ) is the global minimizer.
For any v ∈ V , if a(u, v) = a(v, u), then
1
F(v) = F (u∗ + v − u∗ ) = F (u∗ + w) = a (u∗ + w, u∗ + w) − L (u∗ + w)
2
1
= (a (u∗ + w, u∗) + a (u∗ + w, w)) − L (u∗ ) − L(w)
2
1
= (a (u∗ , u∗) + a (w, u∗) + a (u∗ , w) + a(w, w))− L (u∗ ) − L(w)
2
1 1
= a (u∗ , u∗ ) − L (u∗ ) + a(w, w) + a (u∗ , w) − L(w)
2 2
1
= F (u∗ ) + a(w, w) − 0
2
≥ F (u∗ ) .
Proof of the stability.

We have
α ku∗ kV2 ≤ a (u∗ , u∗ ) = L (u∗ ) ≤ Λ ku∗ kV ,
therefore
Λ
αku∗ kV2 ≤ Λ ku∗ kV =⇒ ku∗ kV ≤ .
α
Remark 10.3.1. The Lax-Milgram Lemma is often used to prove the exis-
tence and uniqueness of the solutions of PDE.
c. An Example of the Lax-Milgram Theorem

Let us consider the 1D Sturm-Liouville problem once again:
0
− pu0 + qu = f , a < x < b ,
α̃
u(a) = 0, α̃u(b) + β̃u0 (b) = γ̃, β̃ 6= 0, ≥ 0.
β̃
The bilinear form is

Z b α̃
a(u, v) = pu0 v0 + quv dx + p(b)u(b)v(b) ,
a β̃
and the linear form is

γ̃
L(v) = ( f , v) + p(b)v(b) .
β̃
The space is V = HE1 (a, b). To consider the conditions of the Lax-
Milgram theorem, we need the Poincare c inequality:
Theorem 10.3.1. If v(x) ∈ H 1 and v(a) = 0, then
Z b Z b Z b Z b
v0 (x)2 dx v0 (x)2 dx ≥ 1
v2 dx ≤ (b − a)2 or v2 dx .
a a a (b − a)2 a
Proof. We have
Z x
v(x) = v0 (t) dt
a
Z x Z x 1/2 Z 1/2
0 2 x
=⇒ |v(x)| ≤ v0 (t) dt ≤ v (t) dt dt
a a a
Z b
1/2
√
≤ b−a v0 (t)2 ,
a
so that
Z b
v2 (x) ≤ (b − a) v0 (t)2 dt
a
Z b Z b Z b Z b
=⇒ 2
v (x) dx ≤ (b − a) v0 (t)2 dt dx ≤ (b − a) 2 v0 (x) dx .
a a a a
This completes the proof.
We now verify the Lax-Milgram Lemma conditions for the Sturm-

Liouville problem.
- Obviously a(u, v) = a(v, u).
- The bilinear form is continuous:

Z b
α̃

|a(u, v)| = pu v + quv dx + p(b)u(b)v(b)
0 0
a β̃
Z b
0 0 α̃
≤ max {pmax , qmax }
u v + |uv| dx + |u(b)v(b)|
a β̃
Z b
0 0 Z b
α̃
≤ max {pmax , qmax } u v dx + |uv| dx + |u(b)v(b)|
a a β̃

α̃
≤ max {pmax , qmax } 2kuk1 kvk1 + |u(b)v(b)| .
β̃
From the inequality

Z b
Z b
0
|u(b)v(b)| = u (x) dx v (x) dx
0
a a
s s
Z b Z b
≤ (b − a) |u0 (x)| 2 dx |v0 (x)|2 dx
a a
s s
Z b Z b
≤ (b − a) |u0 (x)|2 + |u(x)|2 dx |v0 (x)|2 + |v(x)|2 dx
a a
≤ (b − a)kuk1kvk1 ,
we get

α̃
|a(u, v)| ≤ max {pmax , qmax } 2 + (b − a) kuk1kvk1 ,
β̃
i.e., the constant γ can be determined as

α̃
γ = max {pmax , qmax } 2 + (b − a) .
β̃
- a(v, v) is V -elliptic. We have

Z b 2 α̃
a(v, v) = p v0 + qv2 dx + p(b)v(b)2
a β̃
Z b 2
≥ p v0 dx
a
Z b 2
≥ pmin v0 dx
a
Z b
1 2 1 b 0 2
Z
= pmin v0 dx + v dx
2 a 2 a

1 b 0 2
Z b
1 1
Z
2
≥ pmin v dx + v dx
2 (b − a)2 a 2 a

1 1
= pmin min , kvk21 ,
2(b − a)2 2
i.e., the constant α can be determined as

1 1
α = pmin min , .
2(b − a)2 2
- L(v) is continuous because

Z b
γ̃
L(v) = f (x)v(x) dx + 1 p(b)v(b) ,
a β̃

γ̃1 √
|L(v)| ≤ (| f |, |v|)0 + p(b) b − akvk1
β̃

γ̃1 √
≤ k f k0 kvk1 + p(b) b − akvk1
β̃

γ̃1 √
≤ k f k0 + p(b) b − a kvk1 ,
β̃
i.e., the constant Λ can be determined as

γ̃ √
Λ = k f k0 + 1 p(b) b − a .
β̃
Thus we have verified the conditions of the Lax-Milgram lemma under
certain assumptions such as p(x) ≥ pmin > 0, q(x) ≥ 0, etc., and hence
conclude there is the unique solution in He1 (a, b) to the original differential
equation. The solution also satisfies
k f k0 + |γ̃/β̃|p(b)
kuk1 ≤ n o.
1
pmin min 2(b−a) ,1
d. Abstract FE Methods
In the same setting, let us assume that Vh is a finite dimensional subspace of
V and that {φ1 , φ2 , · · ·φM } is a basis for Vh . We can formulate the following
abstract FE method using the finite dimensional subspace Vh. We seek
uh ∈ Vh such that
a (uh , v) = L(v), ∀v ∈ Vh ,
or equivalently
F (uh ) ≤ F(v), ∀v ∈ Vh .
We apply the weak form in the finite dimensional Vh :
a (uh , φi ) = L (φi ) , i = 1, · · · , M .
Let the FE solution uh be

M
uh = ∑ α jφ j .
j=1
Then from the weak form in Vh we get

!
M M
a ∑ α j φ j , φi = ∑ α ja φ j , φi = L (φi ), i = 1, · · · , M ,
j=1 j=1
which in matrix-vector form is
AU = F ,
where U ∈ R M , F ∈ R M with F(i) = L (φi ) and A is an M × M matrix with

elements A(i, j) = a φ j , φi . Since any element in Vh can be written as
M
v = ∑ ηi φi ,
i=1
we have
!
M M M
a(v, v) = a ∑ ηiφi, ∑ η j φ j = ∑ ηi a φi , φ j η j = ηT Aη > 0 ,
i=1 j=1 i, j=1
provided ηT = {η1 , · · ·ηM } 6= 0. Consequently, A is symmetric positive

definite. The minimization form using Vh is

1 T T 1 T T
U AU − F U = min η Aη − F η .
2 η∈R M 2
The existence and uniqueness of the abstract FE method.

Since the matrix A is symmetric positive definite and it is invertible,
so there is a unique solution to the discrete weak form. Also from the
conditions of Lax-Milgram lemma, we have
α kuh kV2 ≤ a (uh , uh ) = L (uh ) ≤ Λ kuh kV ,
whence
Λ
kuh kV ≤ .
α
Error estimates.
If eh = up− uh is the error, then: - a (eh , vh ) = (eh , vh )a = 0, ∀vh ∈ Vh ; -
ku − uh ka = a (eh , eh ) ≤ ku − vh ka , ∀vh ∈ Vh , i.e., uh is the best approxi-
γ
mation to u in the energy norm; and - ku − uh kV ≤ ku − vh kV , ∀vh ∈ Vh ,
α
which gives the error estimates in the V norm.
Sketch of the proof: From the weak form, we have
a (u, vh ) = L (vh ) , a (uh , vh ) = L (vh ) =⇒ a (u − uh , vh ) = 0 .
This means the FE solution is the projection of u onto the space Vh. It is
the best solution in Vh in the energy norm, because
ku − vh k2a = a (u − vh , u − vh ) = a (u − uh + wh , u − uh + wh )
= a (u − uh , u − uh ) + a (u − uh , wh ) + a (wh , u − uh ) + a (wh , wh )
= a (u − uh , u − uh ) + a (wh , wh )
≥ ku − uh k2a ,
where wh = uh − vh ∈ Vh . Finally, from the condition (3), we have
α ku − uh kV2 ≤ a (u − uh , u − uh ) = a (u − uh , u − uh ) + a (u − uh , wh )
= a (u − uh , u − uh + wh ) = a (u − uh , u − vh )
≤ γ ku − uh kV ku − vh kV .
The last inequality is obtained from condition (2).
10.4 Finite Element Methods for 2D Problems

10.4.1. The Second Green’s Theorem and Integration by Parts
in 2D
Recall the Divergence Theorem in Cartesian coordinates:
Theorem 10.4.1. If F ∈ H 1 (Ω) × H 1 (Ω), then

ZZ Z
O · F dS = F · n ds ,
Ω ∂Ω
where dS = dx dy is a surface element in Ω, n is the unit normal direction

pointing outward at the boundary ∂Ω with line element ds, and O is
T
∂ ∂
O= , .
∂x ∂y
The second Green’s theorem is the corollary where F = vOu =

∂u ∂u T
v ,v . Thus since
∂x ∂y

∂ ∂u ∂ ∂u
O·F = v + v
∂x ∂x ∂y ∂y
∂u ∂v 2
∂ u ∂u ∂v ∂2 u
= +v 2 + +v 2
∂x ∂x ∂x ∂y ∂y ∂y
= Ou · Ov + v∆u ,
where ∆u = O · Ou = uxx + uyy , we obtain

ZZ ZZ
O · F dx dy = (Ou · Ov + v∆u) dx dy
Ω Z Ω
= F · n ds
∂Ω
∂u
Z Z
= vOu · n ds = v ds .
∂Ω ∂Ω ∂n
This result immediately yields the formula for integration by parts in 2 D :
Theorem 10.4.2. If u(x, y) ∈ H 2 (Ω) and v(x, y) ∈ H 2 (Ω) where Ω is a

bounded domain, then
∂u
ZZ Z ZZ
v∆u dx dy = v ds − Ou · Ov dx dy .
Ω ∂Ω ∂n Ω
Note: the normal derivative ∂u/∂n is sometimes written more concisely

as un . Some important elliptic PDEs in 2D Cartesian coordinates are:
uxx + uyy = 0, Laplace equation,

−uxx − uyy = f (x, y), Poisson equation,
−uxx − uyy + λu = f , generalized Helmholtz equation,
uxxxx + 2uxxyy + uyyyy = 0, Bi-harmonic equation.
When λ > 0, the generalized Helmholtz equation is easier to solve than

when λ < 0. We also recall that the general linear second order elliptic
PDE:
a(x, y)uxx +2b(x, y)uxy +c(x, y)uyy +d(x, y)ux +e(x, y)uy +g(x, y)u = f (x, y)
with discriminant b2 − ac < 0. A second order self-adjoint elliptic equation

has the form
−O · (p(x, y)Ou) + q(x, y)u = f (x, y) .
a. Boundary Conditions
In 2D, the domain boundary ∂Ω is one or several curves. We consider the
following various linear BC.
- Dirichlet BC on the entire boundary, i.e., u(x, y)|∂Ω = u0 (x, y) is

given.
- Neumann BC on the entire boundary, i.e., ∂u/ ∂n|∂Ω = g(x, y) is
given.
In this case, the solution to a Poisson equation may not be unique or
even exist. Integrating the Poisson equation over the domain, we have
ZZ ZZ ZZ Z Z
f dx dy = ∆u dx dy = O·Ou dx dy = un ds = g(x, y) ds = 0 ,
Ω Ω Ω ∂Ω ∂Ω
which is the compatibility condition to be satisfied for the solution to ex-

ist. If a solution does exist, it is not unique as it is determined within an
arbitrary constant.
- Mixed BC on the entire boundary, i.e.,
∂u
α(x, y)u(x, y) + β(x, y) = γ(x, y)
∂n
is given, where α(x, y), β(x, y), and γ(x, y) are known functions.
- Dirichlet, Neumann, and Mixed BC on some parts of the boundary.
b. Weak Form of the Second Order Self-Adjoint Elliptic PDE

Multiplying the self-adjoint equation (4) by a test function v(x, y) ∈ H 1 (Ω),
we have
ZZ ZZ
{−O · (p(x, y)Ou) + q(x, y)u}v dx dy = f v dx dy
Ω Ω
and using the integration by parts the left-hand side becomes

ZZ Z
(pOu · Ov + quv) dx dy − pvun ds ,
Ω ∂Ω
ZZ ZZ
so the weak form is (pOu · Ov + quv) dx dy = f v dx dy +
Z Ω Ω
pg(x, y)v(x, y) ds ∀v(x, y) ∈ V (Ω) Here ∂ΩN is the part of bound-
∂ΩN
ary where a Neumann boundary condition; and the solution space resides
in
V = v(x, y), v(x, y) = 0, (x, y) ∈ ∂ΩD , v(x, y) ∈ H 1 (Ω) ,
where ∂ΩD is the part of boundary where a Dirichlet boundary condition
is applied.
c. Verification of the Conditions of the Lax-Milgram Lemma

The bilinear form for (4) is
ZZ
a(u, v) = (pOu · Ov + quv) dx dy ,
Ω
and the linear form is ZZ
L(v) = f v dx dy
Ω
for a Dirichlet BC on the entire boundary. As before, we assume that
0 < pmin ≤ p(x, y) ≤ pmax , 0 ≤ q(x) ≤ qmax , p ∈ C(Ω), q ∈ C(Ω) .
We need the Poincare
c inequality to prove the V-elliptic condition.
Theorem 10.4.3. If v(x, y) ∈ H01 (Ω), Ω ⊂ R 2 , then
ZZ ZZ
2
v dx dy ≤ C |Ov|2 dx dy ,
Ω Ω
where C is a constant.
Now we check the conditions of the Lax-Milgram Lemma.
1. a(u, v) = a(v, u).
2 . It is easy to see that
ZZ

|a(u, v)| ≤ max {pmax , qmax } (|Ou · Ov| + |uv|) dx dy
Ω
= max {pmax , qmax } |(|u|, |v|)1|
≤ max {pmax , qmax } kuk1 kvk1 ,
so a(u, v) is a continuous and bounded bilinear operator.
3. From the Poincare c inequality
ZZ

|a(v, v)| = p |Ov| + qv dx dy
2 2
Ω
ZZ
≥ pmin |Ov|2 dx dy
Ω
1 1
ZZ ZZ
= pmin |Ov|2 dx dy + pmin |Ov|2 dx dy
2 Ω 2 Ω
1 pmin
ZZ ZZ
2
≥ pmin |Ov| dx dy + |v|2 dx dy
2 Ω 2C Ω

1 1
≥ pmin min 1, kvk21 ,
2 C
therefore a(u, v) is V-elliptic.

4. Finally, we show that L(v) is continuous:
|L(v)| = |( f , v)0 | ≤ k f k0 kvk0 ≤ k f k0 kvk1 .
Consequently, the solutions to the weak form and the minimization form
are unique and bounded in H01 (Ω).
10.4.2. Triangulation and Basis Functions

The Galerkin FE method involves the following main steps:
- Generate a triangulation over the domain.
- Construct basis functions over the triangulation.
- Assemble the stiffness matrix and the load vector element by element,
using either the Galerkin method (the weak form) or the Ritz method (the
minimization form).
- Solve the system of equations.
- Error analysis.
a. Triangulation and Mesh Parameters

A triangulation usually has the mesh parameters Ω p : polygonal region =
K1 ∪ K2 ∪ K3 · · · ∪ Knelem , K j : are non-overlapping triangles, j = 1, 2, · · ·
nelem, Ni : are nodal points, i = 1, 2, · · · nnode, h j : the longest side of
K j , ρ j : the diameter of the circle inscribed in K j (encircle), h : the largest
n o
of all h j , h = max h j , ρ : the smallest of all ρ j , ρ = min ρ j , with
ρj
1≥ ≥ β > 0,
hj
where the constant β is a measurement of the triangulation quality. The

larger the β, the better the quality of the triangulation.
b. FE Space of Piecewise Linear Functions over a Mesh

We still look for a solution in the continuous function space C0 (Ω). Con-
sider how to construct piecewise linear functions over a mesh with the
Dirichlet BC
u(x, y)|∂Ω = 0 .
Given a triangulation, we define

Vh = {v(x,y) is continuous in Ω and piecewise linear over each K j , v(x,y)|∂Ω = 0}
We need to determine the dimension of this space and construct a set

of basis functions. On each triangle, a linear function has the form
vh (x, y) = α + βx + γy ,
where α, β and γ are constants (three free parameters). Let Pk = {p(x, y), a
polynomial of degree of k}. We have the following theorem.
Theorem 10.4.4. Consider the following:

1. A linear function p1 (x, y) = α + βx + γy defined on a triangle is
uniquely determined by its values at the three vertices.
2. If p1 (x, y) ∈ P1 and p2 (x, y) ∈ P1 are such that p1 (A) = p2 (A)
and p1 (B) = p2 (B), where A and B are two points in the xy-plane, then
p1 (x, y) ≡ p2 (x, y), ∀(x, y) ∈ IAB , where IAB is the line segment between A
and B
Proof. Assume the vertices of the triangle are (xi , yi ) , i = 1, 2, 3. The linear
function takes the value vi at the vertices, i.e.,
p (xi , yi ) = vi ,
so we have the three equations
α + βx1 + γy1 = v1 ,
α + βx2 + γy2 = v2 ,
α + βx3 + γy3 = v3 .
The determinant of this linear algebraic system is

 
1 x1 y1 ρj
det  1 x2 y2  = ±2 area of the triangle 6= 0 since ≥ β > 0,
hj
1 x3 y3
hence the linear system of equations has a unique solution.

Figure 10.4.1. A diagram of a triangle with three vertices a1 , a2 , and a3 ;

an adjoint triangle with a common side; and the local coordinate system in
which a2 is the origin and a2 a3 is the η axis.
Now let us prove the second part of the theorem. Suppose that the
equation of the line segment is
l1 x + l2 y + l3 = 0, l12 + l22 6= 0 .
We can solve for x or for y :

l2 y + l3
x=− if l1 6= 0 ,
l1
l1 x + l3
y=− if l2 6= 0 .
l2
Without loss of generality, let us assume l2 6= 0 such that
p1 (x, y) = α + βx + γy
l1 x + l3
= α + βx − γ
l
2
l3 l1
= α− γ + β− γ x
l2 l2
= α 1 + β1 x .
Similarly, we have
p2 (x, y) = ᾱ1 + β̄1 x .
Since p1 (A) = p2 (A) and p1 (B) = p2 (B),
α1 + β1 x1 = p(A), ᾱ1 + β̄1 x1 = p(A) ,

α1 + β1 x2 = p(B), ᾱ1 + β̄1 x2 = p(B) ,
where both of the linear system of algebraic equations have the same coef-
ficient matrix
1 x1
1 x2
that is non-singular since x1 6= x2 (because points A and B are distinct).
Thus we conclude that α1 = ᾱ1 and β1 = β̄1 , so the two linear functions
have the same expression along the line segment, i.e., they are identical
along the line segment.
Theorem 10.4.5. The dimension of the finite dimensional space composed

of piecewise linear functions in C0 (Ω) ∩ H 1 (Ω) over a triangulation for
(4) is the number of interior nodal points plus the number of nodal points
on the boundary where the natural BC are imposed (Neumann and mixed
boundary conditions).
Given the triangulation shown in Fig. 9.2, a piecewise continuous func-

tion vh (x, y) is determined by its values on the vertices of all triangles, more
precisely, vh (x, y) is determined from
(0, 0, v (N1 )) ,(x, y) ∈ K1 , (0, v (N2 ) , v (N1 )), (x, y) ∈ K2 ,

(0, 0, v (N2 )) ,(x, y) ∈ K3 , (0, 0, v (N2 )) , (x, y) ∈ K4 ,
(0, v (N3 ) , v (N2 )) ,(x, y) ∈ K5 , (0, 0, v (N3 )) , (x, y) ∈ K6 ,
(0, v (N1 ) , v (N3 )) ,(x, y) ∈ K7 , (v (N1 ), v (N2 ), v (N3 )) , (x, y) ∈ K8 .
Note that although three values of the vertices are the same, like the values
for K3 and K4 , the geometries are different, hence, the functions will likely
have different expressions on different triangles.
Figure 10.4.2. A diagram of a simple triangulation with zero BC.
c. Global Basis Functions

A global basis function in the continuous piecewise linear space is defined
as
1 if i = j ,
φi (N j ) =
0 otherwise ,
where N j are nodal points. The shape looks like a “tent” without a door.
Fig. 9.3 (a) is the mesh plot of the global basis function. Fig. 9.3 (b) is
the plot of a triangulation and the contour plot of the global basis function
centered at a node.
The basis function is piecewise linear and it is supported only in the
surrounding triangles.
Consider a Poisson equation and a uniform mesh, as an example to
demonstrate the piecewise linear basis functions and the FE method:
− (uxx + uyy ) = f (x, y), (x, y) ∈ [a, b] × [c, d] ,

u(x, y)|∂Ω = 0 .
We know how to use the standard central FD scheme with the five point
stencil to solve the Poisson equation. With some manipulations, the linear
system of equations on using the FE method with a uniform triangulation
(cf., Fig. 9.4) proves to be the same as that obtained from the FD method.
Figure 10.4.3. A global basis function φ j . (a) the mesh plot; (b) the trian-
gulation and the contour plot of the global basis function.
Given a uniform triangulation as shown in Fig. 9.4, if we use row-wise

ordering for the nodal points (xi , y j ), xi = ih, y j = jh, h = 1n , i =
1, 2, · · · , m − 1, j = 1, 2, · · · , n − 1
Figure 10.4.4. A uniform triangulation defined on a rectangular domain.

then the global basis function defined at (xi , y j ) = (ih, jh) are

 x − (i − 1)h + y − ( j − 1)h

 − 1 Region 1 ,

 h

 y − ( j − 1)h

 Region 2 ,



 h

 h − (x − ih)

 Region 3 ,
 h
φ j(n−1)+i = x − ih + y − jh

 1− Region 4 ,

 h

 h − (y − jh)

 Region 5 ,

 h

 x − (i − 1)h



 Region 6 ,

 h
0 otherwise .
If m = n = 3, there are 9 interior nodal points such that the stiffness matrix
is a 9 × 9 matrix:
 
∗ ∗ 0 ∗ 0 0 0 0 0
 ∗ ∗ o ∗ 0 0 0 0 
 
 0 ∗ ∗ 0 o ∗ 0 0 0 
 
 o 0 ∗ ∗ 0 ∗ 0 0 
 
A=
 0 ∗ o ∗ ∗ ∗ o ∗ 0 ,

 0 0 ∗ 0 ∗ ∗ 0 o ∗ 
 
 0 0 0 ∗ o 0 ∗ ∗ 0 
 
 0 0 0 0 ∗ o ∗ ∗ ∗ 
0 0 0 0 0 ∗ 0 ∗ ∗
where ’*’ stands for the non-zero entries and ’o’ happens to be zero. Gen-
erally, the stiffness matrix is block tri-diagonal:

 
B −I 0
 −I B −I 
 
 ... ... 
A =  ,
. . . . . . 
 
 −I B −I 
−I B
 
4 −1 0
 −1 4 −1 
 
 . . . . . . 
where B =  


 ... ... 
 −1 4 −1 
−1 4
and I is the identity matrix. The component of the load vector Fi can be
approximated as
ZZ ZZ
f (x, y)φi dx dy ' f i j φi dx dy = h2 f i j ,
D D
so after dividing by h2 we get the same system of equations as in the FD

scheme, namely,
Ui−1, j +Ui+1, j +Ui, j−1 +Ui, j+1 − 4Ui j
− = fi j
h2
with the same ordering.
d. The Interpolation Function and Error Analysis

Given a triangulation of Th , let K ∈ Th be a triangle with vertices ai , i =
1, 2, 3. The interpolation function for a function v(x, y) on the triangle is
defined as
3
vI (x, y) = ∑ v ai φi (x, y) ,
i=1
j
where φi (x, y) is the piecewise linear function that satisfies φi a j = δi
j
(with δi being the Kronecker delta). A global interpolation function is
defined as
nnode
vI (x, y) = ∑ v ai φi (x, y) ,
i=1
where the ai are all nodal points and φi (x, y) is the global basis function
centered at ai .
Theorem 10.4.6. If v(x, y) ∈ C2 (K), then we have an error estimate for the
interpolation function on a triangle K,
kv − vI k∞ ≤ 2h2 max kDα vk∞ ,

|α|=2
where h is the longest side. Furthermore, we have
8h2
max kDα (v − vI )k∞ ≤ max kDα vk∞ .
|α|=1 ρ |α|=2
e. Error Estimates of the FE Solution

Let us now recall the 2D Sturm-Liouville problem in a bounded domain Ω
:
− O · (p(x, y)Ou(x, y)) + q(x, y)u(x, y) = f (x, y), (x, y) ∈ Ω ,
u(x, y)∂Ω = u0 (x, y) ,
where u0 (x, y) is a given function, i.e., a Dirichlet BC is prescribed. Given
a triangulation Th with a polygonal approximation to the outer boundary
∂Ω, let Vh be the piecewise linear function space over the triangulation Th
and uh be the FE solution. Then we have:
Theorem 10.4.7.
ku − uh ka ≤ C1 hkukH 2 (Th ) , ku − uh kH 1 (Th ) ≤ C2 hkukH 2 (Th ) ,
ku − uh kL2 (Th ) ≤ C3 h2 kukH 2 (Th ) , ku − uh k∞ ≤ C4 h2 kukH 2 (Th ) ,
where Ci are constants.
Sketch of the proof:

Since the FE solution is the best solution in the energy norm, we have
ku − uh ka ≤ ku − uI ka ≤ C̄1 ku − uI kH 1 (Th ) ≤ C̄1C̄2 hkukH 2 (Th ) ,
because the energy norm is equivalent to the H 1 norm. Furthermore, be-

cause of the equivalence we get the estimate for the H 1 norm as well.
10.4.3. Transforms, Shape Functions and Quadrature

Formulas
Any triangle with non-zero area can be transformed to the right-isosceles
master triangle, or standard triangle 4, cf. the right diagram in Fig. 9.6.
There are three non-zero basis functions over this standard triangle 4,
namely,
ψ1 (ξ, η) = 1 − ξ − η ,
ψ2 (ξ, η) = ξ ,
ψ3 (ξ, η) = η .
The linear transform from a triangle with vertices (x1 , y1 ) , (x2 , y2 ) and
(x3 , y3 ) arranged in the counter-clockwise direction to the master triangle
4 is
3 3
x= ∑ x j ψ j (ξ, η), y= ∑ y j ψ j (ξ, η)
j=1 j=1
Figure 10.4.5. The linear transform from an arbitrary triangle to the stan-
dard triangle (master element) and the inverse map.
or
1
ξ= ((y3 − y1 )(x − x1 ) − (x3 − x1 ) (y − y1 )) ,
2Ae
1
η= (− (y2 − y1 ) (x − x1 ) + (x2 − x1 ) (y − y1 )) ,
2Ae
where Ae is the area of the triangle that can be calculated using the formula
in (12).
10.4.4. Quadrature Formulas

In the assembling process, we need to evaluate the double integrals

ZZ ZZ ∂(x, y)
q(x, y)φi (x, y)φ j (x, y) dx dy = q(ξ, η)ψi (ξ, η)ψ j (ξ, η) dξ dη,
Ωe ∆ (∂ξ, η)

ZZ ZZ ∂(x, y)
f (x, y)φ j (x, y) dx dy = f (ξ, η)ψ j (ξ, η) dξ dη ,
Ωe ∆ (∂ξ, η)

ZZ ZZ (∂(x, y)
p(x, y)Oφi · Oφ j dx dy = p(ξ, η)∇(x,y)ψi · ∇(x,y)ψ j dξ dη.
Ωe ∆ ∂ξ, η)
A quadrature formula has the form

ZZ L
S4
g(ξ, η) dξ dη = ∑ wk g (ξk , ηk ) ,
k=1
where S4 is the standard right triangle and L is the number of points in-
volved in the quadrature.
Figure 10.4.6. A diagram of the quadrature formulas in 2D with one, three

and four quadrature points, respectively.
10.4.5. Simplification of the FE Method for Poisson

Equations
With constant coefficients, there is a closed form for the local stiffness
matrix, in terms of the coordinates of the nodal points, so the FE algorithm
can be simplified. Let us consider the Poisson equation problem
−∆u = f (x, y), (x, y) ∈ Ω ,

u(x, y) = g(x, y), (x, y) ∈ ∂Ω1 ,
∂u
= 0, (x, y) ∈ ∂Ω2 ,
∂n
where Ω is an arbitrary but bounded domain. The weak form is
ZZ ZZ
Ou · Ov dx dy = f v dx dy .
Ω Ω
With the piecewise linear basis functions defined on a triangulation on Ω,

we can derive analytic expressions for the basis functions and the entries
of the local stiffness matrix.
Theorem 10.4.8. Consider a triangle determined by (x1 , y1 ) , (x2 , y2 ) and

(x3 , y3 ). Let
ai = x j ym − xm y j ,
bi = y j − ym ,
ci = xm − x j ,
where i, j, m is a positive permutation of 1, 2, 3, e.g., i = 1, j = 2 and m = 3;
i = 2, j = 3 and m = 1; and i = 3, j = 1 and m = 2. Then the corresponding
three non-zero basis functions are
ai + bi x + ci y
ψi (x, y) = , i = 1, 2, 3 ,
2∆
 
1 x1 y1
where ψi (xi , yi ) = 1, ψi (x j , y j ) = 0 if i 6= j, and ∆ = 21 det  1 x2 y2  =
1 x3 y3
± area of the triangle.
We prove the theorem for ψ1 (x, y). Thus
a1 + b1 x + c1 y
ψ1 (x, y) = ,
2∆
(x2 y3 − x3 y2 ) + (y2 − y3 ) x + (x3 − x2 )y
= ,
2∆
so
(x2 y3 − x3 y2 ) + (y2 − y3 ) x2 + (x3 − x2 )y2
ψ1 (x2 , y2 ) = = 0,
2∆
(x2 y3 − x3 y2 ) + (y2 − y3 ) x3 + (x3 − x2 )y3
ψ1 (x3 , y3 ) = = 0,
2∆
(x2 y3 − x3 y2 ) + (y2 − y3 ) x1 + (x3 − x2 )y1 2∆
ψ1 (x1 , y1 ) = = = 1.
2∆ 2∆
We can prove the same feature for ψ2 and ψ3 .
Theorem 10.4.9. With the same notation as in Theorem9.11, we have
m!n!l!
ZZ
(ψ1 )m (ψ2 )n (ψ3 )l dx dy = 2∆ ,
Ωe (m + n + l + 2)!
bi b j + ci c j
ZZ
Oψi · Oψ j dx dy = ,
Ωe 4∆
∆ ∆ ∆
ZZ
F1e = ψ1 f (x, y) dx dy ' f 1
+ f2 + f3 ,
Ωe 6 12 12
∆ ∆ ∆
ZZ
F2e = ψ2 f (x, y) dx dy ' f 1 + f 2 + f 3 ,
Ωe 12 6 12
∆ ∆ ∆
ZZ
e
F3 = ψ3 f (x, y) dx dy ' f 1 + f 2 + f 3 ,
Ωe 12 12 6
where f i = f (xi , yi ).
The proof is straightforward since we have the analytic form for ψi .

We approximate f (x, y) using
f (x, y) ' f 1 ψ1 + f 2 ψ2 + f 3 ψ3 ,
and therefore
ZZ
F1e ' ψ1 f (x, y) dx dy
Ω
ZZe ZZ ZZ
= f1 ψ21 dx dy + f 2 ψ1 ψ2 dx dy + f 3 ψ1 ψ3 dx dy .
Ωe Ωe Ωe
Chapter 11
Conclusion
In this book we first identify the important PDEs for which in certain cir-
cumstances explicit or fairly explicit formulas can be obtained for the solu-
tion. Next we abandon the search for explicit functions and instead rely on
functional analysis and relatively easy energy estimates in Sobolev spaces
to prove the existence of weak solutions to various kinds of linear PDEs.
We investigate also the regularity of solutions, and deduce various other
properties. The third part is devoted to the coefficient inverse problems
for PDEs and introduce the theory of ill-posed problems. In the final part
we explain in detail the recipes and procedures of the FDM and FEM for
the implementation and solution of the elliptic, parabolic and hyperbolic
PDEs, respectively, in one- and two-dimensions.
The partial differential equations are efficient tools to describe the laws
of nature. Normally, it is not an easy task to discover ways to solve PDEs
of various sorts. In the first part we investigate the ways of solving a partial
differential equation in the classical sense, that is to write down a formula
for a classical solution satisfying the well-posed conditions. However, only
certain specific partial differential equation can be solved in the classical
sense. For most of the partial differential equations we are not able to
search for the classical solutions. We must instead investigate a wider class
of solutions, that is the well-posed weak solutions. In fact, it is often ini-
tially to search for some appropriate kind of weak solution, even for those
PDEs which turn out to be classically solvable. This is the second part of
the textbook. Also we introduce very briefly two numerical methods that
are most popular and effective in numerical solutions of various partial dif-
ferential equations. FDMs approximate the derivatives in PDEs by various

finite difference schemes. They are mostly very easy to understand and can
apply directly to linear or nonlinear PDEs. They may not be so convenient
to handle general geometries of complex domains and general boundary
conditions. BCs have to be dealt with differently at the boundary part of
different shape. Convergence is often carried out pointwise in classical
functional spaces like Ck (Ω) for some positive integer k. Finite element
methods can flexibly handle various boundary conditions and general ge-
ometries of complex domains. Systematical and general mathematical the-
ories have been developed for convergence and stability analysis of FEMs.
These general theories are often also applicable to the convergence and sta-
bility analysis of many other popular numerical methods. In general, the
resulting discrete systems of linear and nonlinear algebraic equations are
very sparse, and can be solved by effective preconditioning iterative meth-
ods, especially by domain decomposition methods and multigrid methods.
FEMs are usually not viewed as a specific numerical method. More im-
portantly, they can be regarded as a general numerical methodology for
discretization of various PDEs. They are so fundamental and general that
many other popular numerical methods can often borrow their convergence
analysis tools in Sobolev spaces.
References
[1] Beilina L. and Klibanov M. V., Approximate Global Convergence

and Adaptivity for Coefficient Inverse Problems, Springer, New York,
2012.
[2] Evans L. C., Partial Differential Equations 1st edn (Providence, RI:
American Mathematical Society), 1998.
[3] Gilbarg D. and Trudinger N. S., Elliptic Partial Differential Equations

of Second Order, Springer, Berlin, 1983.
[4] Klibanov M. V. and Li J., Inverse Problems and Carleman Estimates:

Global Uniqueness, Global Convergence and Experimental Data, De
Gruyter, 2021.
[5] Ladyzhenskaya O. A., Boundary Value Problems of Mathematical

Physics, Springer, 1985.
[6] Mikhailov V. P., Partial Differential Equations, Sinha, P.C., 1978.
[7] Ramazanov M. D., Equations of Mathematical Physics. Lecture notes

published by Novosibirsk State University in 1970.
[8] Tikhonov A. N., On the stability of inverse problems, Doklady of the

Academy of Sciences of the USSR, 39, 195-198, 1943 (in Russian).
[9] Tikhonov A. N. and Arsenin V. Ya., Solution of Ill-Posed Problems,

Winston and Sons, Washington, DC, 1979.
[10] Tikhonov A. N., Goncharsky A., Stepanov V. V., and Yagola A. G.,
Numerical Methods for the Solution of Ill-Posed Problems, Kluwer
Academic Publishers Group, London, 1995.
342 References
[11] Vladimirov V. S., Equations of Mathematical Physics, Marcel

Dekker, New York, 1971.
Author Contact Information
Michael V. Klibanov
Department of Mathematics and Statistics
University of North Carolina at Charlotte
Charlotte, NC, USA
Email: mklibanv@uncc.edu
Jingzhi Li
Department of Mathematics
Southern University of Science and Technology
Shenzhen, P. R. China
Email: li.jz@sustech.edu.cn
Index
p-th order accurate, 218 compact operator, 153

1D Sturm-Liouville problem, 307 completely continuous operator,
1D self-adjoint elliptic equations, 188
226 conjugate gradient, 244
2D Laplace equation, 232 consistent, 223
2D Poisson equation, 232 continuous one-to-one operator, 200
2D elliptic PDEs, 232 continuous operator, 188
convergent, 221
ADI method, 266 correctness, 196
adjoint operator, 150 Crank-Nicolson scheme, 255
AMGs, 244 cyclic reduction, 244
Ascoli-Archela Theorem, 195
auxiliary boundary conditions, 6 d’Alembert formula, 65
average density, 13 Dirac δ function, 14
Dirac measure, 50
backward FD, 217 Dirichlet boundary condition, 224
Banach space, 188 Dirichlet’s principle, 43
biconjugate gradient, 244 dispersion, 92
boundary value problem, 35 Duhamel principle, 48
bounded linear operator, 150
BVP, 226 eigenfunctions, 90
eigenvalues, 90
Cauchy criterion, 107 elliptic differential equations, 224
Cauchy problem, 57 elliptic equation, 147
Cauchy subsequence, 187 embedding theorems, 131
central FD, 217 energy estimates, 1
CIPs, 202 Euler methods, 252
classical correctness, 196 Euler-Poisson-Darboux equation,
classical solutions, 11 67
closed ball, 3 explicit functions, 1
346 Index
extended mean value theorem, 218 harmonic functions, 42

heat equation, 62
fast Fourier transform, 244 Helmholtz equation, 232
FD equations, 223 Hilbert space, 111
FD methods, 271 Huygens phenomenon, 79
FD operator, 222 hyperbolic equation, 164
FD procedure, 235
FD solution, 216 ill-posed problems, 1
FDM, 1 ill-posedness means, 154
FE method, 298 initial boundary value problem, 20
FE solution, 316 instantaneous smoothing, 66
FEM, 1 intricate calculus-type estimates, 12
finite difference methods, 1 inverse Fourier transform, 95
finite element methods, 1 inverse problems, 2
finite propagation speed, 73
first order accurate, 218 Jacobi method, 247
fluid dynamics, 11 Kelvin transform, 36
flux boundary condition, 233 Kirchoff’s formula, 73
forward FD, 217 Korteweg-de Vries equation, 92
Fourier and Laplace transforms, 95
Fréchet derivative, 201 Laplace transform, 202
Fredholm equations, 151 Laplace’s equation, 11
Fredholm theory, 192 Laplacian operator, 240
functional analysis, 1 Lax-Friedrichs scheme, 282
Fundamental Concept of Tikhonov, Lax-Wendroff scheme, 275, 282
198 Leap-Frog scheme, 282
fundamental theorem of Tikhonov, Lebesque theorems, 117
212 linear PDEs, 1
Galerkin methods, 293 M-matrix, 228

gamma function of Euler, 136 maximum principle, 42
Gauss-Seidel method, 247 mean value theorem, 136
general boundary condition, 169 mean-value property, 50
generalized minimized residual, 244 method of descent, 76
generalized solutions, 1 MGD9V, 244
Green’s function, 34 mixed boundary condition, 233
Green’s identity, 34 modified Helmholtz equation, 232
Gronwall’s inequalities, 158 MOL, 254
Index 347
NBC, 277 standard coordinate vector, 2

Neumann boundary condition, 229 Steklov inequality, 178
Neumann boundary data, 190 Sturm-Liouville eigenvalue prob-
nine-point discrete Laplacian, 248 lem, 225
non-homogeneous problem, 19
nonlinear PDEs, 12 Taylor expansion, 217
the set of admissible parameters,
one-sided FD scheme, 220 199
one-step time marching method, Tikhonov functional, 207
262 Tikhonov regularization functional,
open ball, 3 208
open subset, 2 Tikhonov regularization term, 208
Tikhonov theorem, 195
parabolic operator, 171 travelling wave, 91
partial derivatives, 5 two-point boundary value problem,
PDE, 1 222
Plancherel’s Theorem, 96
plane wave, 91 undetermined coefficients, 219
Poisson’s equation, 21 uniform Cartesian grid, 243
pre-conditioned conjugate gradient, unit sphere, 3
244
precompact set, 188 Volterra integral equation, 154
von Neumann stability analysis, 261
quasi-solutions, 199
quasilinear, 6 weak solutions, 1
Weierstrass theorem, 113
real Euclidean space, 2 well-posed, 197
regularization parameter, 206 well-posedness, 197
regularization term, 208
Riesz theorem, 146
Ritz method, 293
scalar conservation law, 11

self-adjoint elliptic PDE, 232
shock waves, 11
Sobolev embedding theorems, 188
Sobolev spaces, 1
soliton, 95
spherical means, 64

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Mathematics Research Developments

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Navier-Stokes Equations and their Applications

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More information about this series can be found at

Partial Differential Equations

NOTICE TO THE READER

Library of Congress Cataloging-in-Publication Data

ISBN:  H%RRN

Published by Nova Science Publishers, Inc. † New York

2 Analytic Approaches to Linear PDEs 17

2.3.1. Fundamental Solution: Duhamel Principle . . . . . 44

3 Transformation Approaches to Certain PDEs 85

4 Function Spaces 101

4.11 Sobolev Embedding Theorem . . . . . . . . . . . . . . . 136

5 Elliptic PDEs 139

6 Hyperbolic PDEs 155

7 Parabolic PDEs 167

8 Introduction to Ill-Posed Problems 183

8.6 Regularization . . . . . . . . . . . . . . . . . . . . . . . . 198

9 Finite Difference Method 211

9.3.6. The Alternating Directional Implicit (ADI) Method 262

10 Finite Element Method 279

10.4.3. Transforms, Shape Functions and Quadrature

Author Contact Information 343

1. Part 1: For important PDEs whose solutions have explicit formulas

2. Part 2: Instead of searching for explicit functions, the theory of

Michael Victor Klibanov was supported by two US Army Research Lab-

Part I: Representation formulas for solutions

Part II: Weak/generalized solutions of PDEs with variable coefficients

Part III. Beginning of the theory of ill-posed problems

Part IV. FDM/FEM for PDEs

This textbook can be considered as an introduction to a rich and well

1.1 Terminology and Notation

(ii) ei = (0, · · · , 0, 1, · · · , 0) = ith standard coordinate vector.

(iii) A typical point x ∈ Rn is written

(v) Q denotes an open subset of Rn .

(viii) Q(x, r) = {y ∈ Rn ||x − y| < r} = open ball in Rn with center x and

(ix) B(x, r) = Q(x, r) = closed ball with center x, radius r.

(xi) na(n) = surface area of unit sphere ∂B(0, 1) in Rn .

u(x) = u(x1 , · · · , xn ) (x ∈ Q).

u(x) = (u1 (x), · · · , um(x)) = (u1 (x1 , · · · , xn ), · · · , um(x1 , · · · , xn )) (x ∈ Q).

The function uk is called the kth component of u.

∂u u(x + hei ) − u(x)

(b) Given a multi-index α, define

(c) If k is a non-negative integer,

Dk u(x) = {Dαu(x)||α| = k} = collection of all partial derivatives of order k.

If k = 2, we regard the elements of D2 u(x) as being ar-

For m > 1 and k = 1, we write

F(Dk u(x), Dk−1u(x), · · · , Du(x), u(x), x) = 0 (x ∈ Q)

is called a kth order (scalar) PDE, where

F : Rdk × Rdk−1 × · · · × Rn × R × Q → R (1.1.1)

(i) The PDE (1.1.1) is called linear if it has the form

∑ aα (x)Dαu = f (x) (1.1.2)

for certain functions aα(|α| ≤ k) and f .

(ii) The PDE (1.1.1) is semilinear if it has the form

∑ aα (x)Dαu = f (Dk−1u, · · · , Du, u, x) . (1.1.3)

(iii) The PDE (1.1.1) is quasilinear if it has the form

∑ aα (Dk−1u, · · · , Du, u, x)Dαu = f (Dk−1u, · · · , Du, u, x) . (1.1.4)

(iv) The PDE (1.1.1) is fully nonlinear if it is not quasilinear.

ISBN: H%RRN