A Cauchy problem for the heat equation(~).

;Y. R. CANNO~(~ew York, U.S.A.) Q)

Summary. - Let st(x, t) satisfy the heat equation in 0 < x < l , O < t < T.[Zdt u(x, 0)~----0
for O < x < l and let ]st(O, t) [ < ~, l stx(O, t) I ~ ~, and I n ( l , t) I < M for O ~ f ~ T.
Then, i n ( x , t) l <M~l-~(x)s~(x), where M~ and ~(x) are given explicitly by simple
formstlas. The application of the a priori bound to obtain error estimates for a nume-
rical solution of the Castehy problem for the heat equation with u(x, O)--~h(x),
st(O, t)---~f(t), and ux(O , t)-~g(t) is discussed.

1. I n t r o d u c t i o n . - In [5] CARLO PUCC: studied a CAUctrY problem for

positive solutions of a parabolic differential equation. He was able to
demonstrate the continuous dependence of the solution upon the bounds for
the solution and its first derivative at a certain portion of the boundary.
However, an estimate of the continuity was not given and r e m a i n e d as an
open question.
I n this paper, the author will consider a CAuc]t¥ problem for the
simple case of the heat equation, and for bounded solutions the author will
derive an explicit estimate of the solution in terms of the bound on the
Ghucrry data and the bound on the solutions. Specifically, consider a
function u(x, t) which is C' in 0 ~ < _ , 1 , O<t~--T, C ~ in 0 , ~ < 1 ,
0 <t<T, and satisfies

(a) ut--uxx , 0 < a ~ < 1, O<t~T,

(b) u(x, O) - - O, 0 < x < 1,

(:.i) (c) lu(O, O l < ~ , O<t'<,T,

(d) l ux(0, t) ! <:~, 0 < t <_ T,

(e) tu(1, t) I < M ,

(*) Work performed under the auspices of the U. S. Atomic Energy Commission.
(t) Brookhaven ~ational Laboratory, Upton, L. I., :New York.
156 J. R. CANNON* A Cauchy problem, for the heat equation

where M and ~ are known positive constants, it will be shown that

(1.2) [ u(x, l) j ~ B~-~(~)~ ~(~), 0 < x < 1,

where B is an explicitly given constant d e p e n d i n g u p o n M and ~(x) is an

1
explicitly given function such that 0 ~ ~(x) < 1, ~(0) < ~ , and ~(1) ---- 0.

At the end of the paper the CAuc~Y problem (1.11 with (1.1c) and (l.ld)
replaced by u(O, t~--f(t) and ux(0, l ) - - g ( t ) will be considered. A numerical
procedure for an approximate solution will be discussed.

2. An a u x i l i a r y problem for ( i . 1 ) . - Let v(x, t~ denote the solution

of the problem

vt -- v ~ , O < x ~ l, O ~ x <__~T,

v(z, o) = o, 0~x.~ 1,
(~.1)
vx(O, t) - - uAO, t), o<t~T,

v~(1, t) -- O, 0 < t ~ T.
As
t

(z.2) v(x, t) = - f M(x, t - - ~) uAO, z) dz,

o

where

(2.3) M(!, ~) = ~-1j.~-1¢~ ~ exp ~ > O,

~=-~ 4~ '

it follows from (lAd) and an elementary estimate of M(~, ~) that

(2.4) Iv(x, t) l ~ u-l12t11~(2 + l~ t)~.

Set

(2.5) w(x, t ) = u(x, t ) - v(x, t).

 J. R. CA~r~o~-: A Cauchy problem for the heat equation 157

Then, w(x, t) satisfies

wt=wxx, 0<~<1, O<t~_ T,

w(x, 0)=0, O<x<l,

w~(O, t) = O, 0< t ~--,T,

(2.6)
]~V(0, t)] <[1 "4-~-~/2tl/2( 2 --}-1~ t)]$, O<t<:~ T,

[w(1, t ) [ < M-b =-l/~tIl~(2 -F ~ t) s=M~, O<t~ T.

Let zl(x, t) denote the solution of

~1t = ~Ixm --l<x<l, O < t <--T,

zl(x, O) = O, --l<x<l,
(2.7)
zl(-- 1, t) = O, O<t<_T,

zl(1, t}--w(1, t), O < t ~ ' T,

and Z2(X, t) denote the solution of

Z2t ----- ~2x x , --l<~c<l, O<t~T,

z2(~c, O) = O, --I<~<I,
(2.s)
Zz(-- 1, t) -- w(1, t), O<t<T,

z2(1, t) = 0, O<t<_T.

Now, it is easily demonstrated that for 0_< x<_ 1,

(2.9)

and that

(2.m) z l ( - z, t) = z~(~, t).

158 J. R. CAN~'O~: A Cauchy problem for the heat equation

Therefore,

(2.11) w(O, t) = z,(O, t) + z2(O, t) -----2~(0, t ) = 2z2(0, t).

By (2.6),

(2.12~ I z,(o, t) l < ~ i-----1, 2.

As

(2.13) [z2(x, t)[ < ~t i I + 7 : - ~ / ~ t m ( 2 + 16 t) t e

for 0 < : , x ~ l , it fo]lows tha~ to obtain an estimate for

(2.14) u(x,t) = v(x, t) + z,(x, t) + ~(x, t),

it suffices to estimate z~(x, t) in 0_<x___, 1. This will be done in the next

section using the techniques found in [2] which were applied to a similar
problem.

3. Estimate for z~(x, t). - Set

(3.l) K(x, ~; t, z)-----[u(t---z)]-~/~exp -4~----:) ' t>:.

Then,
t

(3.2)
o

= ui(~, t) + ust~, t),

where %(t), i = l, 2, are determined from the system of integral equations

t

o =~ol(t)+fI;A- 1, 1; t, ~)~(~)d~,
o
(3.3)
t

w(1, t ) = opt(t) -- f lt~(-+ 1, -- 1 ; t, z) ~(~) dv.

o
 J. R. CANNO~: A Cauchy problem for the heat equation 159

In what follows, estimates for ?~(t), i = 1, 2, will be used to show that

z~i~, t), ~ = x + iy, is an analytic function of the complex variable ~ in the
domains

(3.4) G~--~ ]--l<w<l, I y I < Nx-{- 1),

lY <~t(l--x)!, 0<~<1.

From the fact that z~(x, t) I--0(~) f o r - - l < x < 0 , it will be

shown that I z(~, l) I = 0 ( a ~]~) in a full neighborhood of a segment of the
negative real axis. Then, using the well known CARLE~A~N estimate for an
analytic function in a sector of a circle [3], I z~(x, l) I will be estimated
for 0 < x ~ l .
Set

(3.5) (I)(t) = max/I1 ~(~)lit, II ~o~(~)II,},

where

(3.6) it ~,('~)l!t-~ sup I ¢?~('~)I, i - - 1, 2.

As

[3.7) ] K~(1, - - 1 ; t, z) [ -- ] K~(-- 1, 1" t, z)[ ---~,2(t 1 t -- 1 t

it follows from (2.6) and (3.3) that

t
+ 1 --1
(3.8) ¢(t) ~ M1 f ~zl,~(t _ z),~ exp l ( t - ~ ) f ¢('c)d~.
o

Let
1
(3.9) ~ -- (t--j-:~l~
' _

Then,

(3.1o) ¢(t) <:, ~ i + exp {-- o- ~O(t 8-2)d~

t--1/~
(DO
2 q) (t) (
<--M, + - -
7~1 / 2 .,
exp I -- 82 }d~.
t--V~
 160 d. R. CANNON:A Cauvhy problem for tt~ heat eq~tation

Set
GO

(3.111 j_.__2 f exp i-- 8~ }dS.

t-if2

NOW~

(3.12) ~-~If-~'~ ox~ f - ~ t ~ f o~t-~,~ '~°

t - j l~ t--ils

cx) O~

exp {-- (82 + ~2)}dSd~] ~2

t-.~l~ t-1/~

2 (X}

< ~If f °~' t-~°f~°] ~;~

o ~/~t-~l~

Thus, (3.10) and (3.12) imply that

(3.13)

Consider now the function zl(~, t ) ' - UI(~, t) ~ U~(~, t) in the domain G~.
5~ow,

(3.14) { ul(~, t) l-<,~ (t--.).t. exp I -- (~ -[- 1)~

o

Since

(3.15) t~+11 ~: I~-~ll-t- ly s(id-Nl~+ll

 J. R. C , ~ o ~ : A Cauchy problem ]or the he~,t eq~ation 161

and

(3.16) e~p - ~ ~ ~i i ! = exp a ( ~ - ~I

exp ~
- (~ -4 ( t~)(z
- ":)
+ ~): 1 "
it follows that
t

t3.17) -- 2¢: ~/2

0
( t - - z ) ~/2 e x p 4 ( t - - z) l dz.

Set

(3.18)
2 (t -- ~)~/~

From this change of variable, it follows that

13.19) I U~(~, t) i < exp { - - ~ } d ~ M2"1-{-~)~2

2tl/2

Hence, U,((,, t) is analytic in Ge and bounded by the estimate of (3.19).

By a similar argument U2(~, t) is analytic in Gt~ and bounded by the
estimate of (3.19). Therefore, zl(~, t) is analytic in G~ and

2M~(1 -{- IX)1/~

(3.20) 1 ~,(~, t) ! <- (1 -- ~)'/' = ~'

Let T~ denote the equilateral triangle whi,ch has one vertex at to--(0,0},
another vertex ~1 on the line y - - ~t(a~-4- 1), and the third vertex ~z on the
negative real axis. Now, the center of T~ is ~--(x~, y~), where

--I ~
(3.21) x,=
( ~ + V~
and

(3.22) Y3 ~ ---
v3(~ + V:~"

Annali el¢ M a t e m a t i c a 21
162 J. R. C~T~o~: A Oauchy problem ]or the hea,t equation

By t2.12),

(3.23}

for - - l ~ _ . x ~ 0 . As Te belongs to G~, it follows that I z~(~, t) l ~ ~ for

on the boundary TF and Im ~ > 0. Thus, by the theorem of LINDELOF [i],

(3.24) I z~(~3, t)[ < 1111 "4- r:-~I~t~/~(2 + -~- t)] s 1~/~M~J ~.

From the consideration of similar triangles, the same estimate holds

for ~ on the line segment between ~ and ~ and for ~ on the line segment
between ~ and to. By a similar argument, the estimate holds on the
reflection of these line segments across the real axis. Thus, for ~ in the
parallelogram with vertices to, ~3, ~.2, and ~3,

(3.25)

Consider now the following

LIguriA. - Let f(~) be an analytic function in the sector

S--
{~--(r,O) lO<r<R ,
- =2 <0<--
7I
which is continuous in the closure of S. For m ~ M, suppose that

w o57~ o~7~
(3.26) If(Ell < m, ~=(R, o),---~- < o < - 2 - ,

and that

(3.27) I f(~) I < 11I, ~ - - r, (-=) 2- (=)

and ~-- r, =~ , 0 <--r~ R.

Then, for ~ -'- (w, 0),

{~W~ 1 (~1/~
(3.2s)
 J. R. CA~O~: A Cauchy problem ]or the heat equation 163

PROOF.- See [3], or compare log~/(~),ll

M
with the harmonic function

(3.29) h (r, O) -- log cos - .

Consider the circle Q centered at x = 1 which passes through ~3

and ~3. In order to apply the lemma~ let S~ be the sector which is swept
out by a radius vector of Q rotating in the positive direction from ~.~
to 23. Set

2 ~t
(3.30) ~1 = - Arctan
¥~(2~ + V3)'
where Arctan 0 = 0. Also, set

{3.31) 121

Now, as the sector $1 is in G~/~, the M of the lemma is replaced by

(3.32)
N=max n, il--~/-~ i,

where n is the least positive integer which is greater than the right hand
side of (3.25). Replacing m by the right hand side of (3.25), it follows from
the lemma that
1

for l - - R 1 ~x~l.
Combining the estimates (2.4), (2.13), and (3.33) for vtx, t), z21x, t) and
zl(x, t), respectively, the following estimate for u(x, t) is obtained.
164 J. R. CAN~ON: A Cauvhy problem for the hcttt cquatio~l

THEOREM: For 0 _~ X <:_ 1,

(3.34) lu(~,t) l ~ +
1

• N I - t l ~ ) °1

where o:~, R~, N, and M3 are as defined above.

4. Discussion of the general Cauehy problem. - In general the Cauchy

problem (I.1} with (1.1c) and (lAd) replaced by u(0, l)=f(t) and u~(0, t)=g{t)
will not possess a solution. For questions of existence the reader is referred
to [6]. Now, assuming the existence of u(x, t), the function u(x, t) can be
written in the form
t

(4.1) u(x, t) -- --fK(~, 0; t, ~) ~(~) d~ +

o

+ f K®(x, 1 ; t, ~)~2(~1dz,
o

where ~(t) and %(t) are determined from the system of integral equations
t

ux(O, t)---¢~1(t1 q- f Kx®(O, l; t, z}c~2(z)dz,

0

(4.2)
t

u(1, t) -- ~ ( t ) - f K~,, O; t, ~)~(~)d~.

o

Hence, it follows that u(x, t} can be approximated by

t

~4.3) u*(x, t) = -- f z((x, o; ~, ~) ~*i~) d~ +

o
t

o
 J. R. CAN~O~:: A Cauchy proble~ for the heat equation 165

where ~*(t) and ~%*(t) are the numerical approximations of the solution pair
%(0 and ~%(t) of the system
g~
t
f(t) K(O, O; t, ,:) +
*2
0

f~
t
(4.4) + J K~(0, 1 ; t, z) ?, (z) dz,
0

/a
t
g(t) -- ~{t) + / / / ~ ( 0 , 1; t, z)~(~:)&:.
0

Note that the equations (4.4) are equivalent to a VOL~]~RnA integral

equation of the first kind for ~2(t) which cannot be reduced to one of the
second k i n d by differentiating the equations any n u m b e r of times. However,
such equations can be solved numerically by the techniques given by
DOtrGI~AS in [4].
I n case that u(x, t) exists, the theorem in section 3 can be used to
give an estimate of the error between u(~c, l) and u*(x,t). Otherwise, if
u(~c, t) does not exist, then the methods of [4] will produce a u*(x, 0 which
fits the data f(t) and g(t) as closely as possible. Moreover, this fit can
serve as a criterion for the reasonableRess of the data f(t) and g(t).
REMARK: Using similar arguments, the results of this paper can be
extended to the case in which w - - i is replaced by x'--s(t) where s(t) is
a LIPscHI~z continuous function.

REFERENCES

[l] BEHNHE, I-L and F. So~I;~BR, Theorie der Analytischen Funktionen eine( Komplexen
Vergnderlichen, Springer-Verlag, 1962, p. 128.
[2] CA~ON, J. R., A priori estimate for the continuation of the solution of the heat equa.
tion in the space variable, to appear.
[3] CARLE~IA~,T., Fonctions Quasi Analytiques. Paris, G:authier-Yillars, 1926, pp. 3-5.
[8] DOUOLAS, JI~, JR.~ Mathematical programming and integral equations, Symposium,
Provisional International Computation Centre, ]3irkhauser Yerlag~ ]3asel, 19110.
[5] PuecI, CARLO, Atcune limitazioni per le soluzioni di equazioni paraboliche, Annali di
Matematica pura ed applieata, Serie IV, Tomo X L V I I I , 1959, pp. 161-172.
[6] ~:~uccI, CARLO, Nuove ricerche sul problema di Cauchy, Memoria Ace. delle Scienze di
Torino, 1954.
[7] C~I~SBERG,F., On the Cauchy problem for the one-dimensional heat equation, Math.
Comp. 17 (1963), 257-269.