Chapter 1:

First Order Linear

Partial Differential Equation (PDE)

Prepared by:
Assoc. Prof. Dr. Abdul Rahman Mohd Kasim
• In general, ODE can be written as

𝐹 𝑥, 𝑢, 𝑢′ , 𝑢′′ , … = 0

• In contrast to ODE, a partial differential equation (PDE) contains partial

derivatives of the dependent variable, which is an unknown function in more
than one variable 𝑥, 𝑦, …

𝜕𝑢 𝜕𝑢
• Denoting the partial derivative of = 𝑢𝑥 and = 𝑢𝑦 , then the general first
𝜕𝑥 𝜕𝑦
order PDE for 𝑢(𝑥, 𝑦) can be written as

𝐹 𝑥, 𝑦, 𝑢 𝑥, 𝑦 , 𝑢𝑥 𝑥, 𝑦 , 𝑢𝑦 𝑥, 𝑦 = 𝐹 𝑥, 𝑦, 𝑢, 𝑢𝑥 , 𝑢𝑦 = 0 (1.1)
• Focusing on PDEs with two independent variables, a solution to the PDE in
(1.1) is a function of 𝑢(𝑥, 𝑦) which satisfies (1.1) for all values of the
variables 𝑥 and 𝑦.

• Some examples of PDEs are:

𝑢𝑥 + 𝑢𝑦 = 0 Transport equation (1.2)
𝑢𝑡 + 𝑢𝑢𝑥 = 0 Inviscid Burger’s equation (1.3)
𝑢𝑥𝑥 + 𝑢𝑦𝑦 = 0 Laplace’s equation (1.4)
𝑢𝑡𝑡 − 𝑢𝑥𝑥 = 0 Wave equation (1.5)
𝑢𝑡 − 𝑢𝑥𝑥 = 0 Heat equation (1.6)
𝑢𝑡 + 𝑢𝑢𝑥 + 𝑢𝑥𝑥𝑥 = 0 Kdv equation (1.7)
𝑖𝑢𝑡 − 𝑢𝑥𝑥 = 0 Shrödinger’s equation (1.8)

• It is generally nontrivial to find the solution of a PDE, but once the solution is
found, it is easy to verify whether the function is indeed a solution.
(1) Classification by order

• The order of a partial differential equation is the order of the highest

derivatives entering the equation.
• Example:
✓ 𝑢𝑥 + 𝑢𝑦 = 0
✓ 𝑢𝑡 + 𝑢𝑢𝑥 = 0 First Order
✓ 𝑢𝑥𝑥 + 𝑢𝑦𝑦 = 0
Second Order
✓ 𝑢𝑡𝑡 − 𝑢𝑥𝑥 = 0
✓ 𝑢𝑡 + 𝑢𝑢𝑥 + 𝑢𝑥𝑥𝑥 = 0 Third Order
(1) Classification by linearity

• Linearity means that all instances of the unknown and its derivatives enter the
equation linearly.

• To define this property, rewrite the equation as:

L𝑢 = 0 (1.9)
where L is an operator, which assigns 𝑢 a new function L𝑢 .

𝜕2
• For exampleL = + 1, then L𝑢 = 𝑢𝑥𝑥 + 𝑢. The operator L is called linear if
𝜕𝑥 2

❖ L 𝑢 + 𝑣 = L𝑢 + L𝑣 and (1st Condition)

❖ L 𝑐𝑢 = 𝑐L𝑢 (2nd Condition)

for any functions 𝑢, 𝑣 and constant 𝑐. Equation (1.9) is called linear, if L is a

linear operator.
• In examples of PDEs given above, (1.2), (1.4), (1.5), (1.6) and (1.8) are
linear, while (1.3) and (1.7) are non-linear.

• Lets check example (1.6) and (1.3) for linearity:

• Example (1.6): 𝑢𝑡 − 𝑢𝑥𝑥 = 0

➢ (1st Condition): L 𝑢 + 𝑣 = (𝑢 + 𝑣)𝑡 −(𝑢 + 𝑣)𝑥𝑥

= 𝑢𝑡 + 𝑣𝑡 − 𝑢𝑥𝑥 − 𝑣𝑥𝑥
= 𝑢𝑡 − 𝑢𝑥𝑥 + (𝑣𝑡 − 𝑣𝑥𝑥 )
=L 𝑢 +L 𝑣 ✓ 1st Condition fulfilled

➢ (2nd Condition): L 𝑐𝑢 = 𝑐𝑢𝑡 − 𝑐𝑢𝑥𝑥

= 𝑐 𝑢𝑡 − 𝑢𝑥𝑥
= 𝑐L𝑢 ✓ 2nd Condition fulfilled

Therefore, equation (1.6) is a linear PDE.

• Example (1.3): 𝑢𝑡 + 𝑢𝑢𝑥 = 0

➢ (1st Condition): L 𝑢 + 𝑣 = (𝑢 + 𝑣)𝑡 +(𝑢 + 𝑣)(𝑢 + 𝑣)𝑥

= 𝑢𝑡 + 𝑣𝑡 + 𝑢 + 𝑣 𝑢𝑥 + 𝑣𝑥
= 𝑢𝑡 + 𝑣𝑡 + 𝑢𝑢𝑥 + 𝑣𝑣𝑥 + 𝑢𝑣𝑥 + 𝑣𝑢𝑥
= 𝑢𝑡 + 𝑢𝑢𝑥 + 𝑣𝑡 + 𝑣𝑣𝑥 + 𝑢𝑣𝑥 + 𝑣𝑢𝑥
≠L 𝑢 +L 𝑣  1st Condition is not fulfilled

➢ (2nd Condition): L 𝑐𝑢 = 𝑐𝑢𝑡 + (𝑐𝑢)(𝑐𝑢)𝑥

= 𝑐𝑢𝑡 + 𝑐 2 𝑢𝑢𝑥
≠ 𝑐L𝑢  2nd Condition is not fulfilled

Therefore, equation (1.3) is a non-linear PDE.

• The equation (1.9) is said to be homogeneous linear PDE, while the non-
homogeneous linear PDE can be written in the form of:

L𝑢 = 𝑔 𝑥, 𝑦 (1.10)

• Notice that if 𝑢ℎ is a solution to the homogeneous equation (1.9), and 𝑢𝑝 is a

particular solution to the non-homogeneous equation (1.10), then 𝑢ℎ + 𝑢𝑝 is
also a solution to the non-homogeneous equation (1.10). Indeed,

L 𝑢ℎ + 𝑢𝑝 = L 𝑢ℎ + L 𝑢𝑝 = 0 + 𝑔 = 𝑔.

• Thus, in order to find the general solution of the non-homogeneous equation

(1.10), it is enough to find the general solution of the homogeneous equation
(1.9) and add to this a particular solution of the non-homogeneous equation.
• In previous example, we can see that some simple PDEs can be reduced to
ODEs, and subsequently solved using ODE methods.

• We have seen before the equation 𝑢𝑥 = 0 has constant in 𝑥 as its general

solution, and hence 𝑢 only depends on 𝑦, thus 𝑢 𝑥, 𝑦 = 𝑓 𝑦 is the general
solution, with 𝑓 an arbitrary function of a single variable.

• Next, let’s see how any linear first order PDE can be reduced to an ordinary
differential equation, which will then allow us to tackle it with existence familiar
methods from ODEs.

• Consider the following constant coefficient PDE

𝑎𝑢𝑥 + 𝑏𝑢𝑦 = 0 (1.11)

where here 𝑎 and 𝑏 are constants, such that 𝑎2 + 𝑏 2 ≠ 0, i.e. at least one of
the coefficients is nonzero (otherwise this would not be a differential equation).
• Using the inner (scalar or dot) product in ℝ2 , we can rewrite the left hand
side of (1.11) as
𝑎, 𝑏 ∙ 𝑢𝑥 , 𝑢𝑦 = 0 or 𝑎, 𝑏 ∙ ∇𝑢 = 0

• Denoting the vector 𝑎, 𝑏 = 𝒗, we see that the left hand side of the above
equation is exactly 𝐷𝑣 𝑢(𝑥, 𝑦), the directional derivative of 𝑢 in the direction
of the vector 𝒗. Thus the solution to (1.11) must be constant in the direction
of the vector 𝒗 = 𝑎𝒊 + 𝑏𝒋.

• Refer to Figure 1 and Figure 2 below, The lines parallel to the vector v have
the equation
𝑏𝑥 − 𝑎𝑦 = 𝑐 (1.12)

since the vector (𝑏, −𝑎) is orthogonal to v, and as such is a normal vector
to the lines parallel to v.
• In equation (1.12), 𝑐 is an arbitrary constant, which uniquely determines the
particular line in this family of parallel lines, called as characteristic lines for
the equation (1.11).

• As in Figure above, 𝑢 𝑥, 𝑦 is constant in the direction of v, hence also the

lines (1.12).

• As the line containing the point (𝑥, 𝑦) is determined by 𝑐 = 𝑏𝑥 − 𝑎𝑦, thus 𝑢

will depend only on 𝑏𝑥 − 𝑎𝑦, yields

𝑢 𝑥, 𝑦 = 𝑓(𝑏𝑥 − 𝑎𝑦) (1.13)

where 𝑓 is an arbitrary function. You can check (1.13) is a solution for the
first order linear PDE (1.11)
 The Method of Characteristics

• To have an ODE, we need to eliminate one of the partial derivatives in the

equation. But we know that the directional derivatives vanishes in the
direction of the vector (𝑎, 𝑏). Let us then make a change of the coordinate
system to one that has its “x-axis” parallel to this vector as in Figure 1 and
Figure 2.

• In this coordinate system

𝜉, 𝜂 = 𝑥, 𝑦 ∙ 𝑎, 𝑏 , 𝑥, 𝑦 ∙ 𝑏, −𝑎 = (𝑎𝑥 + 𝑏𝑦, 𝑏𝑥 − 𝑎𝑦)

• So the change of coordinates is

𝜉 = 𝑎𝑥 + 𝑏𝑦
ቊ (1.14)
𝜂 = 𝑏𝑥 − 𝑎𝑦
(Characteristic coordinate)
 The Method of Characteristics
• To rewrite the equation (1.11) in this coordinate, notice that
𝜕𝜉 𝜕𝜂
𝑢𝑥 = 𝑢𝜉 + 𝑢𝜂 = 𝑎𝑢𝜉 + 𝑏𝑢𝜂 ,
𝜕𝑥 𝜕𝑥
𝜕𝜉 𝜕𝜂
𝑢𝑦 = 𝑢𝜉 + 𝑢𝜂 = 𝑏𝑢𝜉 − 𝑎𝑢𝜂 ,
𝜕𝑦 𝜕𝑦

• Thus, 0 = 𝑎𝑢𝑥 + 𝑏𝑢𝑦 = 𝑎 𝑎𝑢𝜉 + 𝑏𝑢𝜂 + b 𝑏𝑢𝜉 − 𝑎𝑢𝜂 = (𝑎2 + 𝑏 2 )𝑢𝜉 .

• Since 𝑎2 + 𝑏 2 ≠ 0, then as we anticipated, 𝑢𝜉 = 0, which is an ODE.

Therefore, solve the solution obtain
𝑢 𝜉, 𝜂 = 𝑓 𝜂 .

• Changing back to the original coordinates gives 𝑢 𝑥, 𝑦 = 𝑓 𝑏𝑥 − 𝑎𝑦 .

EXAMPLE 1.4: Find the solution of the equation 3𝑢𝑥 − 5𝑢𝑦 = 0
satisfying the condition 𝑢 0, 𝑦 = sin 𝑦.

STEP 1: 𝑢 𝑥, 𝑦 = 𝑓 𝑏𝑥 − 𝑎𝑦 = 𝑓(−5𝑥 − 3𝑦)

STEP 2: The solution has to satisfy the initial condition 𝑢 0, 𝑦 = sin(𝑦).

𝑢 0, 𝑦 = 𝑓 −3𝑦 = sin(𝑦)

𝑧
STEP 3: Let 𝑧 = −3𝑦, hence 𝑦 = −
3
𝑧
𝑓 𝑧 = sin(− )
3

STEP 4: Write the solution 𝑢 𝑥, 𝑦

𝑢 𝑥, 𝑦 = 𝑓(−5𝑥 − 3𝑦)
5𝑥+3𝑦
= sin
3
General Constant Coefficient Equations

• Consider the PDE in the form:

𝑎𝑢𝑥 + 𝑏𝑢𝑦 + 𝑐𝑢 = 𝑔(𝑥, 𝑦) (1.15)

• Note that in order to find the general solution of (1.15), we can find the
general solution of the homogeneous equation

𝑎𝑢𝑥 + 𝑏𝑢𝑦 + 𝑐𝑢 = 0 (1.16)

and then add up with the particular solution of the non-homogeneous (1.15).
A. Find the general solution of homogeneous (1.16)

STEP 1: By using characteristic coordinate, we have 𝑢𝑥 = 𝑎𝑢𝜉 + 𝑏𝑢𝜂 and

𝑢𝑦 = 𝑏𝑢𝜉 − 𝑎𝑢𝜂 . Substitute this into (1.16) yields

𝑎 𝑎𝑢𝜉 + 𝑏𝑢𝜂 + 𝑏 𝑏𝑢𝜉 − 𝑎𝑢𝜂 + 𝑐𝑢 = 0

𝑎2 𝑢𝜉 + 𝑏 2 𝑢𝜉 + 𝑎𝑏𝑢𝜂 − 𝑎𝑏𝑢𝜂 + 𝑐𝑢 = 0

𝑐
(𝑎2 +𝑏 2 )𝑢𝜉 + 𝑐𝑢 = 0 or 𝑢𝜉 + 𝑢 =0
(𝑎2 +𝑏2 )

This equation can be treated as Linear ODE.

STEP 2: By using Linear Equation Method for ODE, the general solution
to the homogeneous equation (1.16) can be written as
𝑐
− 𝜉
𝑢ℎ 𝜉, 𝜂 = 𝑒 𝑎2+𝑏2 𝑓 𝜂

with 𝑓 again being an arbitrary single-variable function.

STEP 3: Changing the coordinates back to the original (𝑥, 𝑦), we obtain

𝑐(𝑎𝑥+𝑏𝑦)
− 2 2
𝑢ℎ 𝑥, 𝑦 = 𝑒 𝑎 +𝑏 𝑓 𝑏𝑥 − 𝑎𝑦

B. Find the particular solution of non-homogeneous (1.15)

STEP 4: Use the characteristic coordinates to reduce (1.15) to the non-

homogeneous ODE yields

𝑐 𝑔(𝜉,𝜂)
(𝑎2 +𝑏 2 )𝑢𝜉 + 𝑐𝑢 = 𝑔(𝜉, 𝜂) or 𝑢𝜉 + 𝑢 =
𝑎2 +𝑏2 𝑎2 +𝑏2

STEP 5: Solve this non-homogeneous ODE by using Variation of Parameter

𝑐 𝑔(𝜉, 𝜂) 2 𝑐 2𝜉
− 2 2𝜉
𝑢𝑝 = 𝑒 𝑎 +𝑏 න 2 2
𝑒 𝑎 +𝑏 𝑑𝜉
𝑎 +𝑏
STEP 6: The particular solution in terms of (𝑥, 𝑦), carry out the integration in 𝜉
then replace 𝜉 and 𝜂 by their expression in terms of 𝑥 and 𝑦. Then,
general solution can be obtained by combine the general solution of
homogeneous PDE (1.16) and the particular solution of (1.15).
Consider non-homogeneous PDE in the form of

𝑎𝑢𝑥 + 𝑏𝑢𝑦 + 𝑐𝑢 = 𝑔(𝑥, 𝑦)

STEP 1: Use the characteristic coordinates to reduce (1.15) to the non-

homogeneous ODE yields

(𝑎2 +𝑏 2 )𝑢𝜉 + 𝑐𝑢 = 𝑔(𝜉, 𝜂)

𝑐 𝑔(𝜉, 𝜂)
𝑢𝜉 + 𝑢 =
𝑎2 + 𝑏 2 𝑎2 + 𝑏 2
m n
STEP 2: General solution, 𝑢ℎ and particular solution, 𝑢𝑝 can be written as

𝑢ℎ 𝜉, 𝜂 = 𝑒 −𝑚𝜉 𝑓 𝜂 𝑢𝑝 = 𝑒 −𝑚𝜉 ‫𝜉𝑑 𝜉𝑚 𝑒𝑛 ׬‬

EXAMPLE 1.5: Find the general solution of −2𝑢𝑥 + 4𝑢𝑦 + 5𝑢 = 𝑒 𝑥+3𝑦
satisfying the condition 𝑢 0, 𝑦 = sin 𝑦.

STEP 1: The characteristic change of coordinates for this equation is

𝜉 = −2𝑥 + 4𝑦
ቊ
𝜂 = 4𝑥 + 2𝑦

• From this, 𝑢𝑥 = −2𝑢𝜉 + 4𝑢𝜂 and 𝑢𝑦 = 4𝑢𝜉 + 2𝑢𝜂 .

𝜉+𝜂
• Solving for 𝑥 and 𝑦 give 𝑥 + 3𝑦 =
2

Substitute 𝑢𝑥 , 𝑢𝑦 and 𝑥 + 3𝑦 in the equation yields

𝜉+𝜂
−2 −2𝑢𝜉 + 4𝑢𝜂 + 4 4𝑢𝜉 + 2𝑢𝜂 + 5𝑢 = 𝑒 2

𝜉+𝜂
20𝑢𝜉 + 5𝑢 = 𝑒 2
𝜉+𝜂
1 𝑒 2
𝑢𝜉 + 𝑢 =
4 20
m n
STEP 2: Write general solution, 𝑢ℎ and particular solution, 𝑢𝑝 as

1
−𝑚𝜉 − 𝜉
𝑢ℎ 𝜉, 𝜂 = 𝑒 𝑓 𝜂 : 𝑢ℎ = 𝑒 4 𝑓 𝜂
𝜉+𝜂
1 1
−𝑚𝜉 𝑚𝜉 − 𝜉 𝑒 2 𝜉
𝑢𝑝 = 𝑒 ‫𝑒𝑛 ׬‬ 𝑑𝜉: 𝑢𝑝 = 𝑒 4 ‫ ׬‬20 𝑒 𝑑𝜉
4 SOLVE

1
− 𝜉 1 2𝜂+3𝜉
=𝑒 4 𝑒 4
15

Therefore, 𝑢 𝑥, 𝑦 = 𝑢ℎ + 𝑢𝑝
1 1
− 𝜉 − 𝜉 1 2𝜂+3𝜉
𝑢 𝜉, 𝜂 = 𝑒 4 𝑓 𝜂 +𝑒 4 𝑒 4
15
1
− 𝜉 1 2𝜂+3𝜉
=𝑒 4 𝑓 𝜂 + 𝑒 4
15

Substitute back 𝜉 = −2𝑥 + 4𝑦 and 𝜂 = 4𝑥 + 2𝑦 gives

1
− (−2𝑥+4𝑦) 1 2(4𝑥+2𝑦)+3(−2𝑥+4𝑦)
𝑢 𝑥, 𝑦 = 𝑒 4 𝑓 4𝑥 + 2𝑦 + 𝑒 4
15
1
− (−2𝑥+4𝑦) 1 2𝑥+16𝑦
=𝑒 4 𝑓 4𝑥 + 2𝑦 + 𝑒 4
15
 Variable Coefficient Equations
• Consider the PDE in the form:

𝑎(𝑥, 𝑦)𝑢𝑥 + 𝑏(𝑥, 𝑦)𝑢𝑦 + 𝑐(𝑥, 𝑦)𝑢 = 𝑔(𝑥, 𝑦) (1.17)

𝑑𝑦 𝑏
STEP 1: Write =
𝑑𝑥 𝑎

STEP 2: Solve for 𝑦 = 𝑓 𝑥 + 𝑐

STEP 3: Write Characteristic Coordinate 𝜉 = 𝑥, 𝜂 = 𝑐, 𝑢𝑥 and 𝑢𝑦 .

STEP 4: Substitute to reduce PDE to ODE.

STEP 5: Solve ODE

STEP 6: Write solution in term of 𝑥 and 𝑦 by substituting back 𝜉 and 𝜂.

EXAMPLE 1.6: Find the solution of the equation x𝑢𝑥 − 𝑦𝑢𝑦 + 𝑢 = 2

STEP 1: 𝑎 = 𝑥, 𝑏 = −𝑦, 𝑐 = 1, 𝑑 = 2

𝑑𝑦 −𝑦
=
𝑑𝑥 𝑥

1 1 𝑐
STEP 2: 𝑑𝑦 = − 𝑑𝑥 → 𝑦= → 𝑐 = 𝑦𝑥
𝑦 𝑥 𝑥

STEP 3: 𝜉=𝑥 and 𝜂 = 𝑦𝑥

𝜕𝑢 𝜕𝜉 𝜕𝑢 𝜕𝜂
𝑢𝑥 = ∙ + ∙ = 𝑢𝜉 + 𝑦𝑢𝜂
𝜕𝜉 𝜕𝑥 𝜕𝜂 𝜕𝑥

𝜕𝑢 𝜕𝜉 𝜕𝑢 𝜕𝜂
𝑢𝑦 = ∙ + ∙ = 𝑥𝑢𝜂
𝜕𝜉 𝜕𝑦 𝜕𝜂 𝜕𝑦

STEP 4: Substitute 𝑢𝑥 and 𝑢𝑦 yields

𝑥 𝑢𝜉 + 𝑦𝑢𝜂 − y 𝑥𝑢𝜂 + 𝑢 = 2
𝑥𝑢𝜉 + 𝑢 = 2
1 2
𝑢𝜉 + 𝑢 =
𝑥 𝑥
 1 2
STEP 5: Solve 𝑢𝜉 + 𝑢 =
𝑥 𝑥

Note that 𝜉 = 𝑥, therefore we have

1 2
𝑢𝜉 + 𝑢 =
𝜉 𝜉

By using Linear Equation Method for ODE:

1 2
• 𝑝 𝜉 = and q 𝜉 =
𝜉 𝜉

1
‫𝜉𝑑𝜉׬‬
• 𝜌 𝜉 =𝑒 = 𝑒 𝑙𝑛𝜉 = 𝜉

2
• 𝜌 𝜉 ⋅ 𝑢 𝜉, 𝜂 = ‫𝜉 𝑢 ⋅ 𝜉 → 𝜉𝑑 𝜉 𝑞 ⋅ )𝜉(𝜌 ׬‬, 𝜂 = ‫𝜉𝑑 ⋅ 𝜉 ׬‬
𝜉
𝜉 ⋅ 𝑢 𝜉, 𝜂 = 2𝜉 + 𝑓(𝜂)
𝑓(𝜂)
𝑢 𝜉, 𝜂 = 2 +
𝜉
STEP 6: Write solution in term of 𝑥 and 𝑦:
𝑓(𝑥𝑦)
𝑢 𝑥, 𝑦 = 2 +
𝑥