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Mean value properties for heat equation

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 Mean value properties for heat equation
Dang Anh Tuan
Hanoi University of Science-VNU
October 30, 2016

In this note we will give some mean value properties of heat equation:

• Mean value property on heat sphere is given in ”Partial Differential Equations”

of Jurgen Jost.

• Mean value property in heat ball is given in ”Partial Differential Equations” of

Lawrence C. Evans.

We will give more detailed proofs for these mean value properties. Then we give some
application of mean value properties: interior gradient estimate and strong maximum
principle as in ”A basic course in partial differential equations” of Qing Han.
Firstly, we rewrite the definitions of heat ball and heat sphere.
Let (x, t) ∈ Rn × R, r > 0:

• Heat ball Er (x, t) with center at (x, t) and radius

r is given by
1
Er (x, t) = {(y, s) ∈ Rn × R : s < t, K̃(y, s) > }
rn
where
1 |x−y|2
− 4(t−s)
K̃(y, s) = K(x − y, t − s) = e .
(4π(t − s))n/2
• Heat sphere ∂Er (x, t) with center at (x, t) and ra-
dius r is given by
1
∂Er (x, t) = {(y, s) ∈ Rn ×R : s < t, K̃(y, s) = }.
rn

1
Heat ball Er (x, t) has the north pole (x, t). For s decreasing from t, Er (x, t)∩{s = s0 }
is a ball in Rn with center at (x, s0 ), whose radius
!!1/2
r
4n(t − s0 ) ln p ,
4π(t − s0 )

r2
p n
first grows until it obtains maximum rmax = r 2πe at s = t − 4πe , then starts to
r2
shrink to (x, t − 4π ).
When (x, t) = (0, 0) we denote Er = Er (0, 0), ∂Er = ∂Er (0, 0). Then

(x, t) ∈ Er (x0 , t0 ) iff ((x − x0 )/r, (t − t0 )/r2 ) ∈ E1 .

We now give the mean value property on heat sphere for heat equation.
Theorem 1. Let (x0 , t0 ) ∈ Rn × R, r > 0 and u ∈ C 2,1 (Er (x0 , t0 )) ∩ C 1 (Ēr (x0 , t0 )) be
a solution of the heat equation in Er (x0 , t0 ). We have
Z
1
u(x0 , t0 ) = n u(y, s)Q(x0 − y, t0 − s)dSy,s ,
2r ∂Er (x0 ,t0 )
2 !−1/2
4s2

2ns
where Q(y, s) = + 1− 2 .
|y|2 |y|

Proof. By dilation and translation (x, t) → ((x − x0 )/r, (t − t0 )/r2 ), without loss of
1
generality we assume that x0 = 0, t0 = 0, r = 1. For  ∈ (0, 4πe ), the radius of the
ball E1 ∩ {s = −} is given by
  1/2
1
r = 4π ln √ .
4π
Denote K̄(x, t) = K(x, −t) − 1 and the domain
1
D = {(x, t) : − > t > − , K(x, −t) > 1} ⊂ E1 .
4π
It is easy to see that
n
X
(uK̄)t + (uK̄xi − K̄uxi )xi = 0.
i=1

Appplying the Divergence Theorem for the field

F = (uK̄x1 − K̄ux1 , . . . , uK̄xn − K̄uxn , uK̄)

2
and the domain D we get
Z Z


u(y, s)∇K̄(y, s) − K̄(y, s)∇u(y, s) · νy dSy,s + u(y, s)K̄(y, s)νs dSy,s = 0
∂D ∂D
(1)
where (νy , νs ) is the outer, unit normal vector of ∂D at (y, s).
Note that
1
∂D = {(x, t) : − ≤ t ≤ −, K(x, −t) = 1} ∪ {(x, −) : |x| < r } .
| 4π {z } | {z }
S 2
S1

• When (y, s) ∈ S1 :

−4s2 y |y|2 − 2ns

 
ν=q , ,
2s 4s2
4|y|2 s2 + (|y|2 − 2ns)2

K̄(y, s) = 0, ∂νy K̄(y, s) = −Q(y, s).

• When (y, s) ∈ S2

K̄(y, −) = K(y, ) − 1, νy = 0, νs = 1.

So, form (1) we get
Z Z
u(y, s)Q(y, s)dSy,s = (K(y, ) − 1)u(y, )dy. (2)
S1 |y|<r

Let  → 0+ we obtain
• S1 → ∂E1 so
Z Z
u(y, s)Q(y, s)dSy,s → u(y, s)Q(y, s)dSy,s ,
S1 ∂E1

• r → 0+ so Z
u(y, )dy → 0,
|y|<r

r2
• → +∞ so

Z Z
1 2
K(y, )dy = e−|η| dη → 1.
|y|<r π n/2 |η|≤ 2r√

3
Therefore from (2), let  → 0+ we obtain the mean value property on the heat sphere
for heat equation.
Next we will give the mean value property in heat ball for heat equation.

Theorem 2. For (x0 , t0 ) ∈ Rn × R, r > 0, let u ∈ C 2,1 (Er (x0 , t0 )) ∩ C 1 (Ēr (x0 , t0 )) be
a solution of the heat equation in Er (x0 , t0 ). We have

|x0 − y|2
Z
1
u(x0 , t0 ) = n u(y, s) dyds.
4r Er (x0 ,t0 ) (t0 − s)2

In order to prove the above theorem we need the following lemma.

Lemma 3.
|y|2
Z
dyds = 4.
E1 s2
Proof. Using Fubini theorem we get
1
rs
|y|2
Z Z Z Z
4π 1
I= dyds = ds dt |y|2 dSy ,
E1 s2 0 s2 0 St

  1/2
1
where rs = 4ns ln √4πs . Note that the area of the unit n−dimensional sphere
2π n/2
is ωn = , we have
Γ(n/2)
Z 1 (n+2)/2
2π n/2
 
4π
−2 1
I= s 4ns ln √ ds.
(n + 2)Γ(n/2) 0 4πs
 
1
Changing variable ζ = n ln √4πs we get

∞
2π n/2 4n/2+2
Z
I= × e−ζ ζ n/2+1 dζ = 4.
(n + 2)Γ(n/2) (4π)n/2 n 0

We now prove the mean value property in heat ball.

Proof of the mean value property in heat ball. By dilation and translation (x, t) →
((x−x0 )/r, (t−t0 )/r2 ), without loss of generality we assume that x0 = 0, t0 = 0, r = 1.

4
 Consider the following function ψ : [0, 1] → R defined
by

|y|2 |y|2
Z Z
1
ψ(r) = n u(y, s) 2 dyds = u(ry, r2 s) 2 dyds.
r Er s E1 s

We will prove that ψ(r) is constant. Then using Lemma

3 and let r → 0+ we get the mean value property in heat
ball.

We have
n
!
|y|2
Z X
ψ 0 (r) = yi uyi (ry, r2 s) + 2sus (ry, r2 s) dyds
E1 i=1
s2
n
!
|y|2 |y|2
Z
1 X
= yi uyi (y, s) + 2us (y, s) dyds. (3)
rn Er i=1
s2 s

Now for fixed r ∈ (0, 1), put

n |y|2
ϕ(y, s) = − ln(−4πs) + + n ln r, (y, s) ∈ Ēr
2 4s
we have
• ϕ(y, s) = 0 when (y, s) ∈ ∂Er ,
n |y|2 yi
• ϕs (y, s) = − − 2 , ϕyi (y, s) = so
2s 4s 2s
n n n
|y|2 |y|2
 
X X 2n X
yi uyi 2 + 2us =− uyi yi 4ϕs + + 4us y i ϕ yi
i=1
s s i=1
s i=1
= 4 (us (y · ϕ) − ϕs (y · ∇u) − n∇u · ∇ϕ) .
Let the field F : Ēr → Rn ×R be F = (ϕ(y1 us −nuy1 ), . . . , ϕ(yn us −nuyn ), −ϕ(y ·∇u))
we have
divF = us (y · ∇ϕ) + nϕus − nϕ∆y u − n∇u · ∇ϕ − ϕs (y · ∇u).
From us − ∆y u = 0 we get
n
X |y|2 |y|2
yi uyi + 2u s = 4divF. (4)
i=1
s2 s

5
Appplying Divergence Theorem for the field F and domain Er noting that ϕ = 0 on
∂Er , we obtain Z
divF (y, s)dyds = 0. (5)
Er
From (3)-(5) we are done.
Note that ϕ(0, s) → +∞, s → 0− . So we want
Z
lim+ ϕ(y, −)(y · ∇u(y, −))dy = 0.
→0 |y|<r

Questions:
(i) Can the above theorems be proved when u ∈ C 2,1 (Er (x0 , t0 )) ∩ C(Ēr (x0 , t0 ))?
(ii) Can mean value properties be a characterization of heat equation?
We now use mean value property in heat ball to prove interior gradient estimate.
Denote
Qr (x0 , t0 ) = Br (x0 , t0 ) × (t0 − r2 , t0 ], (x0 , t0 ) ∈ Rn × R, r > 0.
Theorem 4. Let (x0 , t0 ) ∈ Rn × R, r > 0, and u ∈ C 2,1 (Qr (x0 , t0 )) ∩ C 1 (Q̄r (x0 , t0 ))
be a solution of the heat equation in Qr (x0 , t0 ). Then
C
|∇x u(x0 , t0 )| ≤ sup |u|.
r Qr (x0 ,t0 )
Proof. Without loss of generality, we assume that

x0 = 0, t0 = 0, r = 1.

Let r0 = r0 (n) > 0 such that Er0 ⊂ Q1 = B1 × (−1, 0].

Note that uxi satisfies heat equation, so by mean value property in heat ball we have
Z r02
|y|2
Z Z
1 1 4π ds
uxi (0, 0) = n uy (y, s) 2 dyds = n uyi (y, s)|y|2 dy
4r0 Er0 i s 4r0 0 s2
Brs
  1/2
r
where rs = √0
4ns ln . Because of (u(y, s)|y|2 )yi = uyi (y, s)|y|2 +2yi u(y, s),
4πs
applying integration by part we have
 
Z r02 Z Z
1 4π ds
uxi (0, 0) = n u(y, s)|y|2 νi dSy − 2 yi u(y, s)dy  .
 
4r0 0 s 2 
∂Brs Brs

6
So the interior gradient estimate is proved by
Z
|u(y, s)|y|2 νi |dSy ≤ rsn+1 ωn sup |u|,
Q1
∂Brs

rsn+1 ωn
Z
|yi u(y, s)|dy ≤ sup |u|.
n Q1
Brs

Next we will give the strong maximum principle. We need the following lemmas.
The first lemma is mean value property in heat sphere for supersolution of heat
equation.
Lemma 5. For (x0 , t0 ) ∈ Rn × R, r > 0, let u ∈ C 2,1 (Er (x0 , t0 )) ∩ C 1 (Ēr (x0 , t0 )) be a
supersolution of the heat equation in Er (x0 , t0 ), i.e.

ut − ∆u ≥ 0 in Er (x0 , t0 ).

We have Z
1
u(x0 , t0 ) ≥ n u(y, s)Q(x0 − y, t0 − s)dSy,s .
2r ∂Er (x0 ,t0 )

Proof. Without loss of generality, we assume that x0 = 0, t0 = 0, r > 1. The proof

is the same as the proof of mean value property in heat sphere for solution of heat
equation with some notes:
n
P
• (uK̄)t + (uK̄xi − K̄uxi )xi ≥ 0 in E1 ,
i=1

• so (1) is replaced by
Z


u(y, s)∇K̄(y, s) − K̄(y, s)∇u(y, s) · νy dSy,s +
∂D
Z
+ u(y, s)K̄(y, s)νs dSy,s ≥ 0;
∂D

• and (2) is replaced by

Z Z
(K(y, ) − 1)u(y, )dy ≥ u(y, s)Q(y, s)dSy,s .
|y|<r S1

Then take  → 0+ we are done.

7
Lemma 6. Let (x0 , t0 ) ∈ Rn × R, R > 0, T > 0, and Q = BR (x0 , t0 ) × (t0 − T, t0 ].
Suppose u ∈ C 2,1 (Q) ∩ C 1 (Q̄) satisfies

ut − ∆u ≥ 0 in Q.

If u ≥ 0 in Q and
u(x0 , t0 − T ) > 0
then u > 0 in Q.
Proof. Take an arbitrary (x1 , t1 ) ∈ Q. We will prove that

u(x1 , t1 ) > 0.

Consider the segment L = {γ(s) = s(x1 , t1 )+(1−s)(x0 , t0 −T ) : 0 ≤ s ≤ 1}. Because

u ∈ C(Q̄) and u(x0 , t0 − T ) > 0 there is δ ∈ (0, 1) such that

u(γ(s)) > 0, s ∈ [0, δ].

There is a positive r0 > 0 such that

Ēr0 (γ(s)) ⊂ Q, s ∈ [δ, 1].

 r 
p πe
Indeed, we can choose r0 = min 2πδ(t1 − t0 + T ), (R − |x1 |) . There is a
n
natural number N such that
(1 − δ)(t1 − t0 + T ) r2
< 0.
N 4π
r
4π(1 − δ)(t1 − t0 + T )
Let r = and
N
1−δ
si = δ + i , s0 = δ, sN = 1,
N
γ(si ) = (x̄i , t̄i ), γ(sN ) = (x1 , t1 ).

i = 0, 1, . . . , N.
We have

γ(si ) ∈ ∂Er (γ(si+1 )) ⊂ Q,

i = 0, 1, . . . , N − 1.

8
Using Lemma 5 we get
Z
1
u(γ(si+1 )) ≥ n u(y, s)Q(x̄i+1 − y, t̄i+1 − s)dSy,s .
2r ∂Er (γ(si+1 ))

Besides u is continuous, nonneigative in Q and u(γ(s0 )) = u(γ(δ)) > 0, by induction

we obtain
u(x1 , t1 ) = u(γ(sN )) > 0.
We finish the proof.
Noting that vt − ∆v = ec0 t (ut − ∆u + c0 u) where v = ec0 t u, it is easy to obtain
the following lemma from Lemma 6.

Lemma 7. Let (x0 , t0 ) ∈ Rn × R, R > 0, T > 0, and Q = BR (x0 , t0 ) × (t0 − T, t0 ],

c ∈ C(Q̄). Suppose u ∈ C 2,1 (Q) ∩ C 1 (Q̄) satisfies

ut − ∆u + cu ≥ 0 in Q.

If u ≥ 0 in Q and
u(x0 , t0 − T ) > 0
then u > 0 in Q.

We now give strong maximum principle for subsolution.

Theorem 8. Let Ω be bounded domain in Rn , T > 0 denote ΩT = Ω × (0, T ]. Assume

that c ∈ C(ΩT ), c ≥ 0, and u ∈ C 2,1 (ΩT ) satisfies

ut − ∆u + cu ≤ 0 trong ΩT .

If for some point (x1 , t1 ) ∈ ΩT

u(x1 , t1 ) = sup u(x, t) ≥ 0

ΩT

then
u(x, t) = u(x1 , t1 ), (x, t) ∈ Ωt1 .

Proof. Put M = sup u ≥ 0, v = M −u we have v ≥ 0 in ΩT and v(x1 , t1 ) = 0. Because

ΩT
c ≥ 0 in ΩT so

vt − ∆v + cv = −(ut − ∆u + cu) + cM ≥ 0 in ΩT .

9
 Let (x0 , t0 ) ∈ Ω × (0, t1 ) we will prove that

u(x0 , t0 ) = M or v(x0 , t0 ) = 0.

by disproof, i.e. assume that u(x0 , t0 ) < M or v(x0 , t0 ) > 0 we will show that there
is a contradition. Then by continuity of u we are done.
Since Ω is connected, there is a continuous curve γ : [0, 1] → Ω, γ(0) = x0 , γ(1) = x1 .
By compactness we get

d(∂Ω, γ(s)) ≥ d > 0, s ∈ [0, 1].

Using compactness again we can take a partition

0 = s0 < s1 < · · · < sN = 1

such that d(γ(si ), γ(si+1 )) < R = d/2, i = 0, . . . , N − 1. Let

Ti = t0 + i(t1 − t0 )/N, i = 0, 1, . . . , N,

and
BR (γ(si )) × (Ti , Ti+1 ] ⊂ ΩT , i = 0, 1, . . . , N − 1,
(γ(si+1 ), Ti+1 ) ∈ BR (γ(si )) × {Ti+1 }, i = 0, 1 . . . , N − 1.
Appplying Lemma 7 for BR (γ(si )) × (Ti , Ti+1 ], i = 0, 1, . . . , N − 1, and

v(γ(s0 ), T0 ) = v(x0 , t0 ) > 0

we obtain v(x1 , t1 ) = v(γ(sN ), TN ) > 0. It is contradict to v(x1 , t1 ) = 0.

If c ∈ C(Ω̄T ), c ≥ 0, put c0 = max c and v = ec0 t (M − u). Since M ≥ max{u, 0}
Ω̄T
and 0 ≤ c0 − c ≤ c in ΩT , we have

vt − ∆v = −ec0 t (ut − ∆u + cu) + c0 M − (c0 − c)u ≥ 0 in ΩT .

Besides v ≥ 0 in ΩT and v(x1 , t1 ) = 0, we can prove strong maximum principle by

using Lemma 6. In the proof, replacing the cylinders BR (γ(si )) × (Ti , Ti+1 ], we use
heat spheres ∂Er (γ(si )). It is quite funny to see something like ”flying heat balloons.”

10

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