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A Brief Introduction to

Partial Diﬀerential Equations

Introductory Course on Multiphysics Modelling

Tomasz G. Zieliński

(after: S.J. Farlow’s “Partial Diﬀerential Equations for Scientists and Engineers”)

Institute of Fundamental Technological Research

Warsaw • Poland

Introduction Classiﬁcations Canonical forms Separation of variables

Outline

1

Introduction

Basic notions and notations

Methods and techniques for solving PDEs

Well-posed and ill-posed problems

2

Classiﬁcations

Basic classiﬁcations of PDEs

Kinds of nonlinearity

Types of second-order linear PDEs

Classic linear PDEs

3

Canonical forms

Canonical forms of second order PDEs

Reduction to a canonical form

Transforming the hyperbolic equation

4

Separation of variables

Necessary assumptions

Explanation of the method

Introduction Classiﬁcations Canonical forms Separation of variables

Outline

1

Introduction

Basic notions and notations

Methods and techniques for solving PDEs

Well-posed and ill-posed problems

2

Classiﬁcations

Basic classiﬁcations of PDEs

Kinds of nonlinearity

Types of second-order linear PDEs

Classic linear PDEs

3

Canonical forms

Canonical forms of second order PDEs

Reduction to a canonical form

Transforming the hyperbolic equation

4

Separation of variables

Necessary assumptions

Explanation of the method

Introduction Classiﬁcations Canonical forms Separation of variables

Outline

1

Introduction

Basic notions and notations

Methods and techniques for solving PDEs

Well-posed and ill-posed problems

2

Classiﬁcations

Basic classiﬁcations of PDEs

Kinds of nonlinearity

Types of second-order linear PDEs

Classic linear PDEs

3

Canonical forms

Canonical forms of second order PDEs

Reduction to a canonical form

Transforming the hyperbolic equation

4

Separation of variables

Necessary assumptions

Explanation of the method

Introduction Classiﬁcations Canonical forms Separation of variables

Outline

1

Introduction

Basic notions and notations

Methods and techniques for solving PDEs

Well-posed and ill-posed problems

2

Classiﬁcations

Basic classiﬁcations of PDEs

Kinds of nonlinearity

Types of second-order linear PDEs

Classic linear PDEs

3

Canonical forms

Canonical forms of second order PDEs

Reduction to a canonical form

Transforming the hyperbolic equation

4

Separation of variables

Necessary assumptions

Explanation of the method

Introduction Classiﬁcations Canonical forms Separation of variables

Outline

1

Introduction

Basic notions and notations

Methods and techniques for solving PDEs

Well-posed and ill-posed problems

2

Classiﬁcations

Basic classiﬁcations of PDEs

Kinds of nonlinearity

Types of second-order linear PDEs

Classic linear PDEs

3

Canonical forms

Canonical forms of second order PDEs

Reduction to a canonical form

Transforming the hyperbolic equation

4

Separation of variables

Necessary assumptions

Explanation of the method

Introduction Classiﬁcations Canonical forms Separation of variables

Basic notions and notations

Motivation: most physical phenomena, whether in the domain of ﬂuid

dynamics, electricity, magnetism, mechanics, optics or heat ﬂow, can be

in general (and actually are) described by partial diﬀerential equations.

Deﬁnition (Partial Diﬀerential Equation)

A partial diﬀerential equation (PDE) is an equation that

1

has an unknown function depending on at least two variables,

2

contains some partial derivatives of the unknown function.

The following notation will be used throughout this lecture:

t, x, y, z (or, e.g., r, θ, φ) – the independent variables (here, t

represents time while the other variables are space coordinates),

u =u(t, x, . . .) – the dependent variable (the unknown function),

the partial derivatives will be denoted as follows (e.g.)

u

t

=

∂u

∂t

, u

tt

=

∂

2

u

∂t

2

, u

xy

=

∂

2

u

∂x∂y

, etc.

Introduction Classiﬁcations Canonical forms Separation of variables

Basic notions and notations

Motivation: most physical phenomena, whether in the domain of ﬂuid

dynamics, electricity, magnetism, mechanics, optics or heat ﬂow, can be

in general (and actually are) described by partial diﬀerential equations.

Deﬁnition (Partial Diﬀerential Equation)

A partial diﬀerential equation (PDE) is an equation that

1

has an unknown function depending on at least two variables,

2

contains some partial derivatives of the unknown function.

The following notation will be used throughout this lecture:

t, x, y, z (or, e.g., r, θ, φ) – the independent variables (here, t

represents time while the other variables are space coordinates),

u =u(t, x, . . .) – the dependent variable (the unknown function),

the partial derivatives will be denoted as follows (e.g.)

u

t

=

∂u

∂t

, u

tt

=

∂

2

u

∂t

2

, u

xy

=

∂

2

u

∂x∂y

, etc.

Introduction Classiﬁcations Canonical forms Separation of variables

Basic notions and notations

Motivation: most physical phenomena, whether in the domain of ﬂuid

dynamics, electricity, magnetism, mechanics, optics or heat ﬂow, can be

in general (and actually are) described by partial diﬀerential equations.

Deﬁnition (Partial Diﬀerential Equation)

A partial diﬀerential equation (PDE) is an equation that

1

has an unknown function depending on at least two variables,

2

contains some partial derivatives of the unknown function.

A solution to PDE is, generally speaking, any function (in the

independent variables) that satisﬁes the PDE. However, from this family

of functions one may be uniquely selected by imposing adequate initial

and/or boundary conditions. A PDE with initial and boundary

conditions constitutes the so-called initial-boundary-value problem

(IBVP). Such problems are mathematical models of most physical

phenomena.

The following notation will be used throughout this lecture:

t, x, y, z (or, e.g., r, θ, φ) – the independent variables (here, t

represents time while the other variables are space coordinates),

u =u(t, x, . . .) – the dependent variable (the unknown function),

the partial derivatives will be denoted as follows (e.g.)

u

t

=

∂u

∂t

, u

tt

=

∂

2

u

∂t

2

, u

xy

=

∂

2

u

∂x∂y

, etc.

Introduction Classiﬁcations Canonical forms Separation of variables

Basic notions and notations

Motivation: most physical phenomena, whether in the domain of ﬂuid

dynamics, electricity, magnetism, mechanics, optics or heat ﬂow, can be

in general (and actually are) described by partial diﬀerential equations.

Deﬁnition (Partial Diﬀerential Equation)

A partial diﬀerential equation (PDE) is an equation that

1

has an unknown function depending on at least two variables,

2

contains some partial derivatives of the unknown function.

The following notation will be used throughout this lecture:

t, x, y, z (or, e.g., r, θ, φ) – the independent variables (here, t

represents time while the other variables are space coordinates),

u =u(t, x, . . .) – the dependent variable (the unknown function),

the partial derivatives will be denoted as follows (e.g.)

u

t

=

∂u

∂t

, u

tt

=

∂

2

u

∂t

2

, u

xy

=

∂

2

u

∂x∂y

, etc.

Introduction Classiﬁcations Canonical forms Separation of variables

Methods and techniques for solving PDEs

Separation of variables. A PDE in n independent variables is reduced

to n ODEs.

Integral transforms.

Change of coordinates.

Transformation of the dependent variable.

Numerical methods.

Perturbation methods.

Impulse-response technique.

Integral equations.

Variational methods.

Eigenfunction expansion.

Introduction Classiﬁcations Canonical forms Separation of variables

Methods and techniques for solving PDEs

Separation of variables.

Integral transforms. A PDE in n independent variables is reduced to

one in (n−1) independent variables. Hence, a PDE in two

variables could be changed to an ODE.

Change of coordinates.

Transformation of the dependent variable.

Numerical methods.

Perturbation methods.

Impulse-response technique.

Integral equations.

Variational methods.

Eigenfunction expansion.

Introduction Classiﬁcations Canonical forms Separation of variables

Methods and techniques for solving PDEs

Separation of variables.

Integral transforms.

Change of coordinates. A PDE can be changed to an ODE or to an

easier PDE by changing the coordinates of the problem

(rotating the axes, etc.).

Transformation of the dependent variable.

Numerical methods.

Perturbation methods.

Impulse-response technique.

Integral equations.

Variational methods.

Eigenfunction expansion.

Introduction Classiﬁcations Canonical forms Separation of variables

Methods and techniques for solving PDEs

Separation of variables.

Integral transforms.

Change of coordinates.

Transformation of the dependent variable. The unknown of a PDE

is transformed into a new unknown that is easier to ﬁnd.

Numerical methods.

Perturbation methods.

Impulse-response technique.

Integral equations.

Variational methods.

Eigenfunction expansion.

Introduction Classiﬁcations Canonical forms Separation of variables

Methods and techniques for solving PDEs

Separation of variables.

Integral transforms.

Change of coordinates.

Transformation of the dependent variable.

Numerical methods. A PDE is changed to a system of diﬀerence

equations that can be solved by means of iterative

techniques (Finite Diﬀerence Methods). These methods

can be divided into two main groups, namely: explicit and

implicit methods. There are also other methods that

attempt to approximate solutions by polynomial functions

(eg., Finite Element Method).

Perturbation methods.

Impulse-response technique.

Integral equations.

Variational methods.

Eigenfunction expansion.

Introduction Classiﬁcations Canonical forms Separation of variables

Methods and techniques for solving PDEs

Separation of variables.

Integral transforms.

Change of coordinates.

Transformation of the dependent variable.

Numerical methods.

Perturbation methods. A nonlinear problem (a nonlinear PDE) is

changed into a sequence of linear problems that

approximates the nonlinear one.

Impulse-response technique.

Integral equations.

Variational methods.

Eigenfunction expansion.

Introduction Classiﬁcations Canonical forms Separation of variables

Methods and techniques for solving PDEs

Separation of variables.

Integral transforms.

Change of coordinates.

Transformation of the dependent variable.

Numerical methods.

Perturbation methods.

Impulse-response technique. Initial and boundary conditions of a

problem are decomposed into simple impulses and the

response is found for each impulse. The overall response is

then obtained by adding these simple responses.

Integral equations.

Variational methods.

Eigenfunction expansion.

Introduction Classiﬁcations Canonical forms Separation of variables

Methods and techniques for solving PDEs

Separation of variables.

Integral transforms.

Change of coordinates.

Transformation of the dependent variable.

Numerical methods.

Perturbation methods.

Impulse-response technique.

Integral equations. A PDE is changed to an integral equation (that is,

an equation where the unknown is inside the integral). The

integral equations is then solved by various techniques.

Variational methods.

Eigenfunction expansion.

Introduction Classiﬁcations Canonical forms Separation of variables

Methods and techniques for solving PDEs

Separation of variables.

Integral transforms.

Change of coordinates.

Transformation of the dependent variable.

Numerical methods.

Perturbation methods.

Impulse-response technique.

Integral equations.

Variational methods. The solution to a PDE is found by reformulating

the equation as a minimization problem. It turns out that

the minimum of a certain expression (very likely the

expression will stand for total energy) is also the solution

to the PDE.

Eigenfunction expansion.

Introduction Classiﬁcations Canonical forms Separation of variables

Methods and techniques for solving PDEs

Separation of variables.

Integral transforms.

Change of coordinates.

Transformation of the dependent variable.

Numerical methods.

Perturbation methods.

Impulse-response technique.

Integral equations.

Variational methods.

Eigenfunction expansion. The solution of a PDE is as an inﬁnite sum

of eigenfunctions. These eigenfunctions are found by

solving the so-called eigenvalue problem corresponding to

the original problem.

Introduction Classiﬁcations Canonical forms Separation of variables

Well-posed and ill-posed problems

Deﬁnition (A well-posed problem)

An initial-boundary-value problem is well-posed if:

1

it has a unique solution,

2

the solution vary continuously with the given inhomogeneous

data, that is,

small changes in the data should cause only small changes

in the solution.

In practice, the initial and boundary data are measured and so small

errors occur.

Very often the problem must be solved numerically which involves

truncation and round-oﬀ errors.

If the problem is well-posed then these unavoidable small errors

produce only slight errors in the computed solution, and, hence,

useful results are obtained.

Introduction Classiﬁcations Canonical forms Separation of variables

Well-posed and ill-posed problems

Deﬁnition (A well-posed problem)

An initial-boundary-value problem is well-posed if:

1

it has a unique solution,

2

the solution vary continuously with the given inhomogeneous

data, that is,

small changes in the data should cause only small changes

in the solution.

In practice, the initial and boundary data are measured and so small

errors occur.

Very often the problem must be solved numerically which involves

truncation and round-oﬀ errors.

If the problem is well-posed then these unavoidable small errors

produce only slight errors in the computed solution, and, hence,

useful results are obtained.

Introduction Classiﬁcations Canonical forms Separation of variables

Well-posed and ill-posed problems

Deﬁnition (A well-posed problem)

An initial-boundary-value problem is well-posed if:

1

it has a unique solution,

2

the solution vary continuously with the given inhomogeneous

data, that is,

small changes in the data should cause only small changes

in the solution.

Importance of well-posedness

In practice, the initial and boundary data are measured and so small

errors occur.

Very often the problem must be solved numerically which involves

truncation and round-oﬀ errors.

If the problem is well-posed then these unavoidable small errors

produce only slight errors in the computed solution, and, hence,

useful results are obtained.

Introduction Classiﬁcations Canonical forms Separation of variables

Well-posed and ill-posed problems

Deﬁnition (A well-posed problem)

An initial-boundary-value problem is well-posed if:

1

it has a unique solution,

2

the solution vary continuously with the given inhomogeneous

data, that is,

small changes in the data should cause only small changes

in the solution.

Importance of well-posedness

In practice, the initial and boundary data are measured and so small

errors occur.

Very often the problem must be solved numerically which involves

truncation and round-oﬀ errors.

If the problem is well-posed then these unavoidable small errors

produce only slight errors in the computed solution, and, hence,

useful results are obtained.

Introduction Classiﬁcations Canonical forms Separation of variables

Well-posed and ill-posed problems

Deﬁnition (A well-posed problem)

An initial-boundary-value problem is well-posed if:

1

it has a unique solution,

2

the solution vary continuously with the given inhomogeneous

data, that is,

small changes in the data should cause only small changes

in the solution.

Importance of well-posedness

In practice, the initial and boundary data are measured and so small

errors occur.

Very often the problem must be solved numerically which involves

truncation and round-oﬀ errors.

If the problem is well-posed then these unavoidable small errors

produce only slight errors in the computed solution, and, hence,

useful results are obtained.

Introduction Classiﬁcations Canonical forms Separation of variables

Outline

1

Introduction

Basic notions and notations

Methods and techniques for solving PDEs

Well-posed and ill-posed problems

2

Classiﬁcations

Basic classiﬁcations of PDEs

Kinds of nonlinearity

Types of second-order linear PDEs

Classic linear PDEs

3

Canonical forms

Canonical forms of second order PDEs

Reduction to a canonical form

Transforming the hyperbolic equation

4

Separation of variables

Necessary assumptions

Explanation of the method

Introduction Classiﬁcations Canonical forms Separation of variables

Basic classiﬁcations of PDEs

Order of the PDE. The order of a PDE is the order of the highest

partial derivative in the equation.

Number of variables. PDEs may be classiﬁed by the number of their

independent variables, that is, the number of variables the

unknown function depends on.

Linearity. PDE is linear if the dependent variable and all its derivatives

appear in a linear fashion.

Kinds of coeﬃcients. PDE can be with constant or variable coeﬃcients

(if at least one of the coeﬃcients is a function of (some of)

independent variables).

Homogeneity. PDE is homogeneous if the free term (the right-hand side

term) is zero.

Kind of PDE. All linear second-order PDEs are either:

hyperbolic (e.g., u

tt

−u

xx

=f (t, x, u, u

t

, u

x

)),

parabolic (e.g., u

xx

=f (t, x, u, u

t

, u

x

)),

elliptic (e.g., u

xx

+u

yy

=f (x, y, u, u

x

, u

y

)).

Introduction Classiﬁcations Canonical forms Separation of variables

Basic classiﬁcations of PDEs

Order of the PDE. The order of a PDE is the order of the highest

partial derivative in the equation.

Example

ﬁrst order: u

t

=u

x

,

second order: u

t

=u

xx

, u

xy

=0,

third order: u

t

+uu

xxx

=sin(x)

fourth order: u

xxxx

=u

tt

.

Number of variables. PDEs may be classiﬁed by the number of their

independent variables, that is, the number of variables the

unknown function depends on.

Linearity. PDE is linear if the dependent variable and all its derivatives

appear in a linear fashion.

Kinds of coeﬃcients. PDE can be with constant or variable coeﬃcients

(if at least one of the coeﬃcients is a function of (some of)

independent variables).

Homogeneity. PDE is homogeneous if the free term (the right-hand side

term) is zero.

Kind of PDE. All linear second-order PDEs are either:

hyperbolic (e.g., u

tt

−u

xx

=f (t, x, u, u

t

, u

x

)),

parabolic (e.g., u

xx

=f (t, x, u, u

t

, u

x

)),

elliptic (e.g., u

xx

+u

yy

=f (x, y, u, u

x

, u

y

)).

Introduction Classiﬁcations Canonical forms Separation of variables

Basic classiﬁcations of PDEs

Order of the PDE. The order of a PDE is the order of the highest

partial derivative in the equation.

Number of variables. PDEs may be classiﬁed by the number of their

independent variables, that is, the number of variables the

unknown function depends on.

Linearity. PDE is linear if the dependent variable and all its derivatives

appear in a linear fashion.

Kinds of coeﬃcients. PDE can be with constant or variable coeﬃcients

(if at least one of the coeﬃcients is a function of (some of)

independent variables).

Homogeneity. PDE is homogeneous if the free term (the right-hand side

term) is zero.

Kind of PDE. All linear second-order PDEs are either:

hyperbolic (e.g., u

tt

−u

xx

=f (t, x, u, u

t

, u

x

)),

parabolic (e.g., u

xx

=f (t, x, u, u

t

, u

x

)),

elliptic (e.g., u

xx

+u

yy

=f (x, y, u, u

x

, u

y

)).

Introduction Classiﬁcations Canonical forms Separation of variables

Basic classiﬁcations of PDEs

Order of the PDE. The order of a PDE is the order of the highest

partial derivative in the equation.

Number of variables. PDEs may be classiﬁed by the number of their

independent variables, that is, the number of variables the

unknown function depends on.

Example

PDE in two variables: u

t

=u

xx

,

_

u =u(t, x)

_

PDE in three variables: u

t

=u

rr

+

1

r

u

r

+

1

r

2

u

θθ

_

u =u(t, r, θ)

_

PDE in four variables: u

t

=u

xx

+u

yy

+u

zz

,

_

u =u(t, x, y, z)

_

.

Linearity. PDE is linear if the dependent variable and all its derivatives

appear in a linear fashion.

Kinds of coeﬃcients. PDE can be with constant or variable coeﬃcients

(if at least one of the coeﬃcients is a function of (some of)

independent variables).

Homogeneity. PDE is homogeneous if the free term (the right-hand side

term) is zero.

Kind of PDE. All linear second-order PDEs are either:

hyperbolic (e.g., u

tt

−u

xx

=f (t, x, u, u

t

, u

x

)),

parabolic (e.g., u

xx

=f (t, x, u, u

t

, u

x

)),

elliptic (e.g., u

xx

+u

yy

=f (x, y, u, u

x

, u

y

)).

Introduction Classiﬁcations Canonical forms Separation of variables

Basic classiﬁcations of PDEs

Order of the PDE. The order of a PDE is the order of the highest

partial derivative in the equation.

Number of variables. PDEs may be classiﬁed by the number of their

independent variables, that is, the number of variables the

unknown function depends on.

Linearity. PDE is linear if the dependent variable and all its derivatives

appear in a linear fashion.

Kinds of coeﬃcients. PDE can be with constant or variable coeﬃcients

(if at least one of the coeﬃcients is a function of (some of)

independent variables).

Homogeneity. PDE is homogeneous if the free term (the right-hand side

term) is zero.

Kind of PDE. All linear second-order PDEs are either:

hyperbolic (e.g., u

tt

−u

xx

=f (t, x, u, u

t

, u

x

)),

parabolic (e.g., u

xx

=f (t, x, u, u

t

, u

x

)),

elliptic (e.g., u

xx

+u

yy

=f (x, y, u, u

x

, u

y

)).

Introduction Classiﬁcations Canonical forms Separation of variables

Basic classiﬁcations of PDEs

Order of the PDE. The order of a PDE is the order of the highest

partial derivative in the equation.

Number of variables. PDEs may be classiﬁed by the number of their

independent variables, that is, the number of variables the

unknown function depends on.

Linearity. PDE is linear if the dependent variable and all its derivatives

appear in a linear fashion.

Example

linear: u

tt

+exp(−t) u

xx

=sin(t) ,

nonlinear: uu

xx

+u

t

=0,

linear: xu

xx

+yu

yy

=0,

nonlinear: u

x

+u

y

+u

2

=0.

Kinds of coeﬃcients. PDE can be with constant or variable coeﬃcients

(if at least one of the coeﬃcients is a function of (some of)

independent variables).

Homogeneity. PDE is homogeneous if the free term (the right-hand side

term) is zero.

Kind of PDE. All linear second-order PDEs are either:

hyperbolic (e.g., u

tt

−u

xx

=f (t, x, u, u

t

, u

x

)),

parabolic (e.g., u

xx

=f (t, x, u, u

t

, u

x

)),

elliptic (e.g., u

xx

+u

yy

=f (x, y, u, u

x

, u

y

)).

Introduction Classiﬁcations Canonical forms Separation of variables

Basic classiﬁcations of PDEs

Order of the PDE. The order of a PDE is the order of the highest

partial derivative in the equation.

Number of variables. PDEs may be classiﬁed by the number of their

independent variables, that is, the number of variables the

unknown function depends on.

Linearity. PDE is linear if the dependent variable and all its derivatives

appear in a linear fashion.

Kinds of coeﬃcients. PDE can be with constant or variable coeﬃcients

(if at least one of the coeﬃcients is a function of (some of)

independent variables).

Homogeneity. PDE is homogeneous if the free term (the right-hand side

term) is zero.

Kind of PDE. All linear second-order PDEs are either:

hyperbolic (e.g., u

tt

−u

xx

=f (t, x, u, u

t

, u

x

)),

parabolic (e.g., u

xx

=f (t, x, u, u

t

, u

x

)),

elliptic (e.g., u

xx

+u

yy

=f (x, y, u, u

x

, u

y

)).

Introduction Classiﬁcations Canonical forms Separation of variables

Basic classiﬁcations of PDEs

Order of the PDE. The order of a PDE is the order of the highest

partial derivative in the equation.

Number of variables. PDEs may be classiﬁed by the number of their

independent variables, that is, the number of variables the

unknown function depends on.

Linearity. PDE is linear if the dependent variable and all its derivatives

appear in a linear fashion.

Kinds of coeﬃcients. PDE can be with constant or variable coeﬃcients

(if at least one of the coeﬃcients is a function of (some of)

independent variables).

Example

constant coeﬃcients: u

tt

+5u

xx

−3u

xy

=cos(x) ,

variable coeﬃcients: u

t

+exp(−t) u

xx

=0.

Homogeneity. PDE is homogeneous if the free term (the right-hand side

term) is zero.

Kind of PDE. All linear second-order PDEs are either:

hyperbolic (e.g., u

tt

−u

xx

=f (t, x, u, u

t

, u

x

)),

parabolic (e.g., u

xx

=f (t, x, u, u

t

, u

x

)),

elliptic (e.g., u

xx

+u

yy

=f (x, y, u, u

x

, u

y

)).

Introduction Classiﬁcations Canonical forms Separation of variables

Basic classiﬁcations of PDEs

Order of the PDE. The order of a PDE is the order of the highest

partial derivative in the equation.

Number of variables. PDEs may be classiﬁed by the number of their

independent variables, that is, the number of variables the

unknown function depends on.

Linearity. PDE is linear if the dependent variable and all its derivatives

appear in a linear fashion.

Kinds of coeﬃcients. PDE can be with constant or variable coeﬃcients

(if at least one of the coeﬃcients is a function of (some of)

independent variables).

Homogeneity. PDE is homogeneous if the free term (the right-hand side

term) is zero.

Kind of PDE. All linear second-order PDEs are either:

hyperbolic (e.g., u

tt

−u

xx

=f (t, x, u, u

t

, u

x

)),

parabolic (e.g., u

xx

=f (t, x, u, u

t

, u

x

)),

elliptic (e.g., u

xx

+u

yy

=f (x, y, u, u

x

, u

y

)).

Introduction Classiﬁcations Canonical forms Separation of variables

Basic classiﬁcations of PDEs

Order of the PDE. The order of a PDE is the order of the highest

partial derivative in the equation.

Number of variables. PDEs may be classiﬁed by the number of their

independent variables, that is, the number of variables the

unknown function depends on.

Linearity. PDE is linear if the dependent variable and all its derivatives

appear in a linear fashion.

Kinds of coeﬃcients. PDE can be with constant or variable coeﬃcients

(if at least one of the coeﬃcients is a function of (some of)

independent variables).

Homogeneity. PDE is homogeneous if the free term (the right-hand side

term) is zero.

Example

homogeneous: u

tt

−u

xx

=0,

nonhomogeneous: u

tt

−u

xx

=x

2

sin(t) .

Kind of PDE. All linear second-order PDEs are either:

hyperbolic (e.g., u

tt

−u

xx

=f (t, x, u, u

t

, u

x

)),

parabolic (e.g., u

xx

=f (t, x, u, u

t

, u

x

)),

elliptic (e.g., u

xx

+u

yy

=f (x, y, u, u

x

, u

y

)).

Introduction Classiﬁcations Canonical forms Separation of variables

Basic classiﬁcations of PDEs

Order of the PDE. The order of a PDE is the order of the highest

partial derivative in the equation.

Number of variables. PDEs may be classiﬁed by the number of their

independent variables, that is, the number of variables the

unknown function depends on.

Linearity. PDE is linear if the dependent variable and all its derivatives

appear in a linear fashion.

Kinds of coeﬃcients. PDE can be with constant or variable coeﬃcients

(if at least one of the coeﬃcients is a function of (some of)

independent variables).

Homogeneity. PDE is homogeneous if the free term (the right-hand side

term) is zero.

Kind of PDE. All linear second-order PDEs are either:

hyperbolic (e.g., u

tt

−u

xx

=f (t, x, u, u

t

, u

x

)),

parabolic (e.g., u

xx

=f (t, x, u, u

t

, u

x

)),

elliptic (e.g., u

xx

+u

yy

=f (x, y, u, u

x

, u

y

)).

Introduction Classiﬁcations Canonical forms Separation of variables

Basic classiﬁcations of PDEs

Order of the PDE. The order of a PDE is the order of the highest

partial derivative in the equation.

Number of variables. PDEs may be classiﬁed by the number of their

independent variables, that is, the number of variables the

unknown function depends on.

Linearity. PDE is linear if the dependent variable and all its derivatives

appear in a linear fashion.

Kinds of coeﬃcients. PDE can be with constant or variable coeﬃcients

(if at least one of the coeﬃcients is a function of (some of)

independent variables).

Homogeneity. PDE is homogeneous if the free term (the right-hand side

term) is zero.

Kind of PDE. All linear second-order PDEs are either:

hyperbolic (e.g., u

tt

−u

xx

=f (t, x, u, u

t

, u

x

)),

parabolic (e.g., u

xx

=f (t, x, u, u

t

, u

x

)),

elliptic (e.g., u

xx

+u

yy

=f (x, y, u, u

x

, u

y

)).

Introduction Classiﬁcations Canonical forms Separation of variables

Basic classiﬁcations of PDEs

Order of the PDE. The order of a PDE is the order of the highest

partial derivative in the equation.

Number of variables. PDEs may be classiﬁed by the number of their

independent variables, that is, the number of variables the

unknown function depends on.

Linearity. PDE is linear if the dependent variable and all its derivatives

appear in a linear fashion.

Kinds of coeﬃcients. PDE can be with constant or variable coeﬃcients

(if at least one of the coeﬃcients is a function of (some of)

independent variables).

Homogeneity. PDE is homogeneous if the free term (the right-hand side

term) is zero.

Kind of PDE. All linear second-order PDEs are either:

hyperbolic (e.g., u

tt

−u

xx

=f (t, x, u, u

t

, u

x

)),

parabolic (e.g., u

xx

=f (t, x, u, u

t

, u

x

)),

elliptic (e.g., u

xx

+u

yy

=f (x, y, u, u

x

, u

y

)).

Introduction Classiﬁcations Canonical forms Separation of variables

Basic classiﬁcations of PDEs

Order of the PDE. The order of a PDE is the order of the highest

partial derivative in the equation.

Number of variables. PDEs may be classiﬁed by the number of their

independent variables, that is, the number of variables the

unknown function depends on.

Linearity. PDE is linear if the dependent variable and all its derivatives

appear in a linear fashion.

Kinds of coeﬃcients. PDE can be with constant or variable coeﬃcients

(if at least one of the coeﬃcients is a function of (some of)

independent variables).

Homogeneity. PDE is homogeneous if the free term (the right-hand side

term) is zero.

Kind of PDE. All linear second-order PDEs are either:

hyperbolic (e.g., u

tt

−u

xx

=f (t, x, u, u

t

, u

x

)),

parabolic (e.g., u

xx

=f (t, x, u, u

t

, u

x

)),

elliptic (e.g., u

xx

+u

yy

=f (x, y, u, u

x

, u

y

)).

Introduction Classiﬁcations Canonical forms Separation of variables

Kinds of nonlinearity

Deﬁnition (Semi-linearity, quasi-linearity, and full nonlinearity)

A partial diﬀerential equation is

semi-linear if the highest derivatives appear in a linear fashion and their

coeﬃcients do not depend on the unknown function or its derivatives;

Example ( here and below: u =u(x) and x =(x, y) )

C

1

(x) u

xx

+C

2

(x) u

xy

+C

3

(x) u

yy

+C

0

(x, u, u

x

, u

y

) =0

quasi-linear if the highest derivatives appear in a linear fashion;

Example

C

1

(x, u, u

x

, u

y

) u

xx

+C

2

(x, u, u

x

, u

y

) u

xy

+C

0

(x, u, u

x

, u

y

) =0

fully nonlinear if the highest derivatives appear in a nonlinear fashion.

Example

u

xx

u

xy

=0

Introduction Classiﬁcations Canonical forms Separation of variables

Kinds of nonlinearity

Deﬁnition (Semi-linearity, quasi-linearity, and full nonlinearity)

A partial diﬀerential equation is

semi-linear if the highest derivatives appear in a linear fashion and their

coeﬃcients do not depend on the unknown function or its derivatives;

Example ( here and below: u =u(x) and x =(x, y) )

C

1

(x) u

xx

+C

2

(x) u

xy

+C

3

(x) u

yy

+C

0

(x, u, u

x

, u

y

) =0

quasi-linear if the highest derivatives appear in a linear fashion;

Example

C

1

(x, u, u

x

, u

y

) u

xx

+C

2

(x, u, u

x

, u

y

) u

xy

+C

0

(x, u, u

x

, u

y

) =0

fully nonlinear if the highest derivatives appear in a nonlinear fashion.

Example

u

xx

u

xy

=0

Introduction Classiﬁcations Canonical forms Separation of variables

Kinds of nonlinearity

Deﬁnition (Semi-linearity, quasi-linearity, and full nonlinearity)

A partial diﬀerential equation is

semi-linear if the highest derivatives appear in a linear fashion and their

coeﬃcients do not depend on the unknown function or its derivatives;

Example ( here and below: u =u(x) and x =(x, y) )

C

1

(x) u

xx

+C

2

(x) u

xy

+C

3

(x) u

yy

+C

0

(x, u, u

x

, u

y

) =0

quasi-linear if the highest derivatives appear in a linear fashion;

Example

C

1

(x, u, u

x

, u

y

) u

xx

+C

2

(x, u, u

x

, u

y

) u

xy

+C

0

(x, u, u

x

, u

y

) =0

fully nonlinear if the highest derivatives appear in a nonlinear fashion.

Example

u

xx

u

xy

=0

Introduction Classiﬁcations Canonical forms Separation of variables

Kinds of nonlinearity

Deﬁnition (Semi-linearity, quasi-linearity, and full nonlinearity)

A partial diﬀerential equation is

semi-linear if the highest derivatives appear in a linear fashion and their

coeﬃcients do not depend on the unknown function or its derivatives;

Example ( here and below: u =u(x) and x =(x, y) )

C

1

(x) u

xx

+C

2

(x) u

xy

+C

3

(x) u

yy

+C

0

(x, u, u

x

, u

y

) =0

quasi-linear if the highest derivatives appear in a linear fashion;

Example

C

1

(x, u, u

x

, u

y

) u

xx

+C

2

(x, u, u

x

, u

y

) u

xy

+C

0

(x, u, u

x

, u

y

) =0

fully nonlinear if the highest derivatives appear in a nonlinear fashion.

Example

u

xx

u

xy

=0

Introduction Classiﬁcations Canonical forms Separation of variables

Kinds of nonlinearity

Deﬁnition (Semi-linearity, quasi-linearity, and full nonlinearity)

A partial diﬀerential equation is

semi-linear if the highest derivatives appear in a linear fashion and their

coeﬃcients do not depend on the unknown function or its derivatives;

Example ( here and below: u =u(x) and x =(x, y) )

C

1

(x) u

xx

+C

2

(x) u

xy

+C

3

(x) u

yy

+C

0

(x, u, u

x

, u

y

) =0

quasi-linear if the highest derivatives appear in a linear fashion;

Example

C

1

(x, u, u

x

, u

y

) u

xx

+C

2

(x, u, u

x

, u

y

) u

xy

+C

0

(x, u, u

x

, u

y

) =0

fully nonlinear if the highest derivatives appear in a nonlinear fashion.

Example

u

xx

u

xy

=0

Introduction Classiﬁcations Canonical forms Separation of variables

Kinds of nonlinearity

Deﬁnition (Semi-linearity, quasi-linearity, and full nonlinearity)

A partial diﬀerential equation is

semi-linear if the highest derivatives appear in a linear fashion and their

coeﬃcients do not depend on the unknown function or its derivatives;

Example ( here and below: u =u(x) and x =(x, y) )

C

1

(x) u

xx

+C

2

(x) u

xy

+C

3

(x) u

yy

+C

0

(x, u, u

x

, u

y

) =0

quasi-linear if the highest derivatives appear in a linear fashion;

Example

C

1

(x, u, u

x

, u

y

) u

xx

+C

2

(x, u, u

x

, u

y

) u

xy

+C

0

(x, u, u

x

, u

y

) =0

fully nonlinear if the highest derivatives appear in a nonlinear fashion.

Example

u

xx

u

xy

=0

Introduction Classiﬁcations Canonical forms Separation of variables

Types of second-order linear PDEs

A second-order linear PDE in two variables can be in general written

in the following form

Au

xx

+Bu

xy

+Cu

yy

+Du

x

+Eu

y

+Fu =G

where A, B, C, D, E, and F are coeﬃcients, and G is a

non-homogeneous (or right-hand side) term. All these quantities are

constants or functions of x and y.

The second-order linear PDE is either

hyperbolic: if B

2

−4AC>0

parabolic: if B

2

−4AC=0

elliptic: if B

2

−4AC<0

Introduction Classiﬁcations Canonical forms Separation of variables

Types of second-order linear PDEs

Au

xx

+Bu

xy

+Cu

yy

+Du

x

+Eu

y

+Fu =G

The second-order linear PDE is either

hyperbolic: if B

2

−4AC>0

parabolic: if B

2

−4AC=0

elliptic: if B

2

−4AC<0

Introduction Classiﬁcations Canonical forms Separation of variables

Types of second-order linear PDEs

Au

xx

+Bu

xy

+Cu

yy

+Du

x

+Eu

y

+Fu =G

The second-order linear PDE is either

hyperbolic: if B

2

−4AC>0

Example

u

tt

−u

xx

=0 → B

2

−4AC=0

2

−4· (−1) · 1 =4 >0,

u

tx

=0 → B

2

−4AC=1

2

−4· 0· 0 =1 >0.

parabolic: if B

2

−4AC=0

elliptic: if B

2

−4AC<0

Introduction Classiﬁcations Canonical forms Separation of variables

Types of second-order linear PDEs

Au

xx

+Bu

xy

+Cu

yy

+Du

x

+Eu

y

+Fu =G

The second-order linear PDE is either

hyperbolic: if B

2

−4AC>0 (eg., u

tt

−u

xx

=0, u

tx

=0),

parabolic: if B

2

−4AC=0

elliptic: if B

2

−4AC<0

Introduction Classiﬁcations Canonical forms Separation of variables

Types of second-order linear PDEs

Au

xx

+Bu

xy

+Cu

yy

+Du

x

+Eu

y

+Fu =G

The second-order linear PDE is either

hyperbolic: if B

2

−4AC>0 (eg., u

tt

−u

xx

=0, u

tx

=0),

parabolic: if B

2

−4AC=0

Example

u

t

−u

xx

=0 → B

2

−4AC=0

2

−4· (−1) · 0 =0.

elliptic: if B

2

−4AC<0

Introduction Classiﬁcations Canonical forms Separation of variables

Types of second-order linear PDEs

Au

xx

+Bu

xy

+Cu

yy

+Du

x

+Eu

y

+Fu =G

The second-order linear PDE is either

hyperbolic: if B

2

−4AC>0 (eg., u

tt

−u

xx

=0, u

tx

=0),

parabolic: if B

2

−4AC=0 (eg., u

t

−u

xx

=0),

elliptic: if B

2

−4AC<0

Introduction Classiﬁcations Canonical forms Separation of variables

Types of second-order linear PDEs

Au

xx

+Bu

xy

+Cu

yy

+Du

x

+Eu

y

+Fu =G

The second-order linear PDE is either

hyperbolic: if B

2

−4AC>0 (eg., u

tt

−u

xx

=0, u

tx

=0),

parabolic: if B

2

−4AC=0 (eg., u

t

−u

xx

=0),

elliptic: if B

2

−4AC<0

Example

u

xx

+u

yy

=0 → B

2

−4AC=0

2

−4· 1· 1 =−4 <0.

Introduction Classiﬁcations Canonical forms Separation of variables

Types of second-order linear PDEs

Au

xx

+Bu

xy

+Cu

yy

+Du

x

+Eu

y

+Fu =G

The second-order linear PDE is either

hyperbolic: if B

2

−4AC>0 (eg., u

tt

−u

xx

=0, u

tx

=0),

parabolic: if B

2

−4AC=0 (eg., u

t

−u

xx

=0),

elliptic: if B

2

−4AC<0 (eg., u

xx

+u

yy

=0).

The mathematical solutions to these three types of equations are quite

diﬀerent.

Introduction Classiﬁcations Canonical forms Separation of variables

Types of second-order linear PDEs

Au

xx

+Bu

xy

+Cu

yy

+Du

x

+Eu

y

+Fu =G

The second-order linear PDE is either

hyperbolic: if B

2

−4AC>0 (eg., u

tt

−u

xx

=0, u

tx

=0),

parabolic: if B

2

−4AC=0 (eg., u

t

−u

xx

=0),

elliptic: if B

2

−4AC<0 (eg., u

xx

+u

yy

=0).

The mathematical solutions to these three types of equations are quite

diﬀerent.

The three major classiﬁcations of linear PDEs essentially classify physical

problems into three basic types:

vibrating systems and wave propagation (hyperbolic case),

heat ﬂow and diﬀusion processes (parabolic case),

steady-state phenomena (elliptic case).

Introduction Classiﬁcations Canonical forms Separation of variables

Types of second-order linear PDEs

Au

xx

+Bu

xy

+Cu

yy

+Du

x

+Eu

y

+Fu =G

The second-order linear PDE is either

hyperbolic: if B

2

−4AC>0 (eg., u

tt

−u

xx

=0, u

tx

=0),

parabolic: if B

2

−4AC=0 (eg., u

t

−u

xx

=0),

elliptic: if B

2

−4AC<0 (eg., u

xx

+u

yy

=0).

The mathematical solutions to these three types of equations are quite

diﬀerent.

In general, B

2

−4AC is a function of the independent variables. Hence,

an equation can change from one basic type to another.

Example

yu

xx

+u

yy

=0 → B

2

−4AC=−4y

_

¸

¸

_

¸

¸

_

>0 for y <0 (hyperbolic),

=0 for y =0 (parabolic),

<0 for y >0 (elliptic).

Introduction Classiﬁcations Canonical forms Separation of variables

Types of second-order linear PDEs

Au

xx

+Bu

xy

+Cu

yy

+Du

x

+Eu

y

+Fu =G

The second-order linear PDE is either

hyperbolic: if B

2

−4AC>0 (eg., u

tt

−u

xx

=0, u

tx

=0),

parabolic: if B

2

−4AC=0 (eg., u

t

−u

xx

=0),

elliptic: if B

2

−4AC<0 (eg., u

xx

+u

yy

=0).

The mathematical solutions to these three types of equations are quite

diﬀerent.

Second-order linear equations in three or more variables can also be

classiﬁed except that matrix analysis must be used.

Example

u

t

=u

xx

+u

yy

← parabolic equation,

u

tt

=u

xx

+u

yy

+u

zz

← hyperbolic equation.

Introduction Classiﬁcations Canonical forms Separation of variables

Classic linear PDEs

Hyperbolic PDEs:

Vibrating string (1D wave equation): u

tt

−c

2

u

xx

=0

Wave equation with damping (if h =0): u

tt

−c

2

∇

2

u+hu

t

=0

Transmission line equation: u

tt

−c

2

∇

2

u+hu

t

+ku =0

Parabolic PDEs:

Diﬀusion-convection equation: u

t

−α

2

u

xx

+hu

x

=0

Diﬀusion with lateral heat-concentration loss: u

t

−α

2

u

xx

+ku =0

Elliptic PDEs:

Laplace’s equation: ∇

2

u =0

Poisson’s equation: ∇

2

u =k

Helmholtz’s equation: ∇

2

u+λ

2

u =0

Shrödinger’s equation: ∇

2

u+k(E−V) u =0

Higher-order PDEs:

Airy’s equation (third order): u

t

+u

xxx

=0

Bernouli’s beam equation (fourth order): α

2

u

tt

+u

xxxx

=0

Kirchhoﬀ’s plate equation (fourth order): α

2

u

tt

+∇

4

u =0

(Here: ∇

2

is the Laplace operator, ∇

4

=∇

2

∇

2

is the biharmonic operator.)

Introduction Classiﬁcations Canonical forms Separation of variables

Outline

1

Introduction

Basic notions and notations

Methods and techniques for solving PDEs

Well-posed and ill-posed problems

2

Classiﬁcations

Basic classiﬁcations of PDEs

Kinds of nonlinearity

Types of second-order linear PDEs

Classic linear PDEs

3

Canonical forms

Canonical forms of second order PDEs

Reduction to a canonical form

Transforming the hyperbolic equation

4

Separation of variables

Necessary assumptions

Explanation of the method

Introduction Classiﬁcations Canonical forms Separation of variables

Canonical forms of second order PDEs

Any second-order linear PDE (in two variables)

Au

xx

+Bu

xy

+Cu

yy

+Du

x

+Eu

y

+Fu =G

(where A, B, C, D, E, F, and G are constants or functions of x and y)

can be transformed into the so-called canonical form.

The type of PDE determines the canonical form:

for hyperbolic PDE (that is, if B

2

−4AC>0) there are, in fact, two

possibilities:

u

ξξ

−u

ηη

=f (ξ, η, u, u

ξ

, u

η

)

_

˜

B

2

−4

˜

A

˜

C=0

2

−4· 1· (−1) =4 >0

_

,

or u

ξη

=f (ξ, η, u, u

ξ

, u

η

)

_

˜

B

2

−4

˜

A

˜

C=1

2

−4· 0· 0 =1 >0

_

,

for parabolic PDE (that is, if B

2

−4AC=0):

u

ξξ

=f (ξ, η, u, u

ξ

, u

η

)

_

˜

B

2

−4

˜

A

˜

C=0

2

−4· 1· 0 =0

_

,

for elliptic PDE (that is, if B

2

−4AC<0):

u

ξξ

+u

ηη

=f (ξ, η, u, u

ξ

, u

η

)

_

˜

B

2

−4

˜

A

˜

C=0

2

−4· 1· 1 =−4 <0

_

.

Here, f states for an arbitrary function of the new independent variables ξ

and η, the dependent variable u, and the ﬁrst derivatives u

ξ

and u

η

.

Introduction Classiﬁcations Canonical forms Separation of variables

Canonical forms of second order PDEs

Any second-order linear PDE (in two variables)

Au

xx

+Bu

xy

+Cu

yy

+Du

x

+Eu

y

+Fu =G

(where A, B, C, D, E, F, and G are constants or functions of x and y)

can be transformed into the so-called canonical form. This can be

achieved by introducing new coordinates

ξ =ξ(x, y) and η =η(x, y)

(in place of x and y) that simplify the equation to its canonical form.

The type of PDE determines the canonical form:

for hyperbolic PDE (that is, if B

2

−4AC>0) there are, in fact, two

possibilities:

u

ξξ

−u

ηη

=f (ξ, η, u, u

ξ

, u

η

)

_

˜

B

2

−4

˜

A

˜

C=0

2

−4· 1· (−1) =4 >0

_

,

or u

ξη

=f (ξ, η, u, u

ξ

, u

η

)

_

˜

B

2

−4

˜

A

˜

C=1

2

−4· 0· 0 =1 >0

_

,

for parabolic PDE (that is, if B

2

−4AC=0):

u

ξξ

=f (ξ, η, u, u

ξ

, u

η

)

_

˜

B

2

−4

˜

A

˜

C=0

2

−4· 1· 0 =0

_

,

for elliptic PDE (that is, if B

2

−4AC<0):

u

ξξ

+u

ηη

=f (ξ, η, u, u

ξ

, u

η

)

_

˜

B

2

−4

˜

A

˜

C=0

2

−4· 1· 1 =−4 <0

_

.

Here, f states for an arbitrary function of the new independent variables ξ

and η, the dependent variable u, and the ﬁrst derivatives u

ξ

and u

η

.

Introduction Classiﬁcations Canonical forms Separation of variables

Canonical forms of second order PDEs

Any second-order linear PDE (in two variables)

Au

xx

+Bu

xy

+Cu

yy

+Du

x

+Eu

y

+Fu =G

(where A, B, C, D, E, F, and G are constants or functions of x and y)

can be transformed into the so-called canonical form.

The type of PDE determines the canonical form:

for hyperbolic PDE (that is, if B

2

−4AC>0) there are, in fact, two

possibilities:

u

ξξ

−u

ηη

=f (ξ, η, u, u

ξ

, u

η

)

_

˜

B

2

−4

˜

A

˜

C=0

2

−4· 1· (−1) =4 >0

_

,

or u

ξη

=f (ξ, η, u, u

ξ

, u

η

)

_

˜

B

2

−4

˜

A

˜

C=1

2

−4· 0· 0 =1 >0

_

,

for parabolic PDE (that is, if B

2

−4AC=0):

u

ξξ

=f (ξ, η, u, u

ξ

, u

η

)

_

˜

B

2

−4

˜

A

˜

C=0

2

−4· 1· 0 =0

_

,

for elliptic PDE (that is, if B

2

−4AC<0):

u

ξξ

+u

ηη

=f (ξ, η, u, u

ξ

, u

η

)

_

˜

B

2

−4

˜

A

˜

C=0

2

−4· 1· 1 =−4 <0

_

.

Here, f states for an arbitrary function of the new independent variables ξ

and η, the dependent variable u, and the ﬁrst derivatives u

ξ

and u

η

.

Introduction Classiﬁcations Canonical forms Separation of variables

Canonical forms of second order PDEs

Any second-order linear PDE (in two variables)

Au

xx

+Bu

xy

+Cu

yy

+Du

x

+Eu

y

+Fu =G

(where A, B, C, D, E, F, and G are constants or functions of x and y)

can be transformed into the so-called canonical form.

The type of PDE determines the canonical form:

for hyperbolic PDE (that is, if B

2

−4AC>0) there are, in fact, two

possibilities:

u

ξξ

−u

ηη

=f (ξ, η, u, u

ξ

, u

η

)

_

˜

B

2

−4

˜

A

˜

C=0

2

−4· 1· (−1) =4 >0

_

,

or u

ξη

=f (ξ, η, u, u

ξ

, u

η

)

_

˜

B

2

−4

˜

A

˜

C=1

2

−4· 0· 0 =1 >0

_

,

for parabolic PDE (that is, if B

2

−4AC=0):

u

ξξ

=f (ξ, η, u, u

ξ

, u

η

)

_

˜

B

2

−4

˜

A

˜

C=0

2

−4· 1· 0 =0

_

,

for elliptic PDE (that is, if B

2

−4AC<0):

u

ξξ

+u

ηη

=f (ξ, η, u, u

ξ

, u

η

)

_

˜

B

2

−4

˜

A

˜

C=0

2

−4· 1· 1 =−4 <0

_

.

Here, f states for an arbitrary function of the new independent variables ξ

and η, the dependent variable u, and the ﬁrst derivatives u

ξ

and u

η

.

Introduction Classiﬁcations Canonical forms Separation of variables

Canonical forms of second order PDEs

Any second-order linear PDE (in two variables)

Au

xx

+Bu

xy

+Cu

yy

+Du

x

+Eu

y

+Fu =G

(where A, B, C, D, E, F, and G are constants or functions of x and y)

can be transformed into the so-called canonical form.

The type of PDE determines the canonical form:

for hyperbolic PDE (that is, if B

2

−4AC>0) there are, in fact, two

possibilities:

u

ξξ

−u

ηη

=f (ξ, η, u, u

ξ

, u

η

)

_

˜

B

2

−4

˜

A

˜

C=0

2

−4· 1· (−1) =4 >0

_

,

or u

ξη

=f (ξ, η, u, u

ξ

, u

η

)

_

˜

B

2

−4

˜

A

˜

C=1

2

−4· 0· 0 =1 >0

_

,

for parabolic PDE (that is, if B

2

−4AC=0):

u

ξξ

=f (ξ, η, u, u

ξ

, u

η

)

_

˜

B

2

−4

˜

A

˜

C=0

2

−4· 1· 0 =0

_

,

for elliptic PDE (that is, if B

2

−4AC<0):

u

ξξ

+u

ηη

=f (ξ, η, u, u

ξ

, u

η

)

_

˜

B

2

−4

˜

A

˜

C=0

2

−4· 1· 1 =−4 <0

_

.

Here, f states for an arbitrary function of the new independent variables ξ

and η, the dependent variable u, and the ﬁrst derivatives u

ξ

and u

η

.

Introduction Classiﬁcations Canonical forms Separation of variables

Reduction to a canonical form

1

Introduce the new coordinates ξ =ξ(x, y) and η =η(x, y).

2

Impose some requirements onto coeﬃcients

¯

A,

¯

B,

¯

C, and solve for

the ξ and η.

3

Use the new coordinates for the coeﬃcients and homogeneous term

(to replace x =x(ξ, η) and y =y(ξ, η) ) in the new canonical form.

Introduction Classiﬁcations Canonical forms Separation of variables

Reduction to a canonical form

1

Introduce the new coordinates ξ =ξ(x, y) and η =η(x, y).

Compute the partial derivatives

u

x

=u

ξ

ξ

x

+u

η

η

x

, u

y

=u

ξ

ξ

y

+u

η

η

y

,

u

xx

=u

ξξ

ξ

2

x

+2u

ξη

ξ

x

η

x

+u

ηη

η

2

x

+u

ξ

ξ

xx

+u

η

η

xx

,

u

yy

=u

ξξ

ξ

2

y

+2u

ξη

ξ

y

η

y

+u

ηη

η

2

y

+u

ξ

ξ

yy

+u

η

η

yy

,

u

xy

=u

ξξ

ξ

x

ξ

y

+u

ξη

_

ξ

x

η

y

+ξ

y

η

x

_

+u

ηη

η

x

η

y

+u

ξ

ξ

xy

+u

η

η

xy

.

Substitute these values into the original equation to obtain a new form

¯

Au

ξξ

+

¯

Bu

ξη

+

¯

Cu

ηη

+

¯

Du

ξ

+

¯

Eu

η

+Fu =G

where the new coeﬃcients are as follows

¯

A=Aξ

2

x

+Bξ

x

ξ

y

+Cξ

2

y

,

¯

B=2Aξ

x

η

x

+B

_

ξ

x

η

y

+ξ

y

η

x

_

+2Cξ

y

η

y

,

¯

C=Aη

2

x

+Bη

x

η

y

+Cη

2

y

,

¯

D=Aξ

xx

+Bξ

xy

+Cξ

yy

+Dξ

x

+Eξ

y

,

¯

E=Aη

xx

+Bη

xy

+Cη

yy

+Dη

x

+Eη

y

.

2

Impose some requirements onto coeﬃcients

¯

A,

¯

B,

¯

C, and solve for

the ξ and η.

3

Use the new coordinates for the coeﬃcients and homogeneous term

(to replace x =x(ξ, η) and y =y(ξ, η) ) in the new canonical form.

Introduction Classiﬁcations Canonical forms Separation of variables

Reduction to a canonical form

1

Introduce the new coordinates ξ =ξ(x, y) and η =η(x, y).

Compute the partial derivatives

u

x

=u

ξ

ξ

x

+u

η

η

x

, u

y

=u

ξ

ξ

y

+u

η

η

y

,

u

xx

=u

ξξ

ξ

2

x

+2u

ξη

ξ

x

η

x

+u

ηη

η

2

x

+u

ξ

ξ

xx

+u

η

η

xx

,

u

yy

=u

ξξ

ξ

2

y

+2u

ξη

ξ

y

η

y

+u

ηη

η

2

y

+u

ξ

ξ

yy

+u

η

η

yy

,

u

xy

=u

ξξ

ξ

x

ξ

y

+u

ξη

_

ξ

x

η

y

+ξ

y

η

x

_

+u

ηη

η

x

η

y

+u

ξ

ξ

xy

+u

η

η

xy

.

Substitute these values into the original equation to obtain a new form

¯

Au

ξξ

+

¯

Bu

ξη

+

¯

Cu

ηη

+

¯

Du

ξ

+

¯

Eu

η

+Fu =G

where the new coeﬃcients are as follows

¯

A=Aξ

2

x

+Bξ

x

ξ

y

+Cξ

2

y

,

¯

B=2Aξ

x

η

x

+B

_

ξ

x

η

y

+ξ

y

η

x

_

+2Cξ

y

η

y

,

¯

C=Aη

2

x

+Bη

x

η

y

+Cη

2

y

,

¯

D=Aξ

xx

+Bξ

xy

+Cξ

yy

+Dξ

x

+Eξ

y

,

¯

E=Aη

xx

+Bη

xy

+Cη

yy

+Dη

x

+Eη

y

.

2

Impose some requirements onto coeﬃcients

¯

A,

¯

B,

¯

C, and solve for

the ξ and η.

3

Use the new coordinates for the coeﬃcients and homogeneous term

(to replace x =x(ξ, η) and y =y(ξ, η) ) in the new canonical form.

Introduction Classiﬁcations Canonical forms Separation of variables

Reduction to a canonical form

1

Introduce the new coordinates ξ =ξ(x, y) and η =η(x, y).

¯

Au

ξξ

+

¯

Bu

ξη

+

¯

Cu

ηη

+

¯

Du

ξ

+

¯

Eu

η

+Fu =G

2

Impose some requirements onto coeﬃcients

¯

A,

¯

B,

¯

C, and solve for

the ξ and η.

3

Use the new coordinates for the coeﬃcients and homogeneous term

(to replace x =x(ξ, η) and y =y(ξ, η) ) in the new canonical form.

Introduction Classiﬁcations Canonical forms Separation of variables

Reduction to a canonical form

1

Introduce the new coordinates ξ =ξ(x, y) and η =η(x, y).

¯

Au

ξξ

+

¯

Bu

ξη

+

¯

Cu

ηη

+

¯

Du

ξ

+

¯

Eu

η

+Fu =G

2

Impose some requirements onto coeﬃcients

¯

A,

¯

B,

¯

C, and solve for

the ξ and η. The requirements depend on the type of the PDE:

set

¯

A=

¯

C=0 for the hyperbolic PDE (when B

2

−4AC>0);

set either

¯

A=0 or

¯

C=0 for the parabolic PDE; in this case another

necessary requirement

¯

B=0 will follow automatically (since

B

2

−4AC=0);

for the elliptic PDE (when B

2

−4AC<0) ﬁrst, proceed as in the

hyperbolic case, setting

¯

A=

¯

C=0 to ﬁnd the complex conjugate

coordinates ξ, η (which would lead to a form of complex hyperbolic

equation u

ξη

=f (ξ, η, u, u

ξ

, u

η

) ), and then transform them as follows

α←

ξ+η

2

(real part of ξ and η), β←

ξ−η

2i

(imaginary part of ξ and η),

which gives the ﬁnal canonical elliptic form

u

αα

+u

ββ

=f (α, β, u, u

α

, u

β

).

3

Use the new coordinates for the coeﬃcients and homogeneous term

(to replace x =x(ξ, η) and y =y(ξ, η) ) in the new canonical form.

Introduction Classiﬁcations Canonical forms Separation of variables

Reduction to a canonical form

1

Introduce the new coordinates ξ =ξ(x, y) and η =η(x, y).

¯

Au

ξξ

+

¯

Bu

ξη

+

¯

Cu

ηη

+

¯

Du

ξ

+

¯

Eu

η

+Fu =G

2

Impose some requirements onto coeﬃcients

¯

A,

¯

B,

¯

C, and solve for

the ξ and η. The requirements depend on the type of the PDE:

set

¯

A=

¯

C=0 for the hyperbolic PDE (when B

2

−4AC>0);

set either

¯

A=0 or

¯

C=0 for the parabolic PDE; in this case another

necessary requirement

¯

B=0 will follow automatically (since

B

2

−4AC=0);

for the elliptic PDE (when B

2

−4AC<0) ﬁrst, proceed as in the

hyperbolic case, setting

¯

A=

¯

C=0 to ﬁnd the complex conjugate

coordinates ξ, η (which would lead to a form of complex hyperbolic

equation u

ξη

=f (ξ, η, u, u

ξ

, u

η

) ), and then transform them as follows

α←

ξ+η

2

(real part of ξ and η), β←

ξ−η

2i

(imaginary part of ξ and η),

which gives the ﬁnal canonical elliptic form

u

αα

+u

ββ

=f (α, β, u, u

α

, u

β

).

3

Use the new coordinates for the coeﬃcients and homogeneous term

(to replace x =x(ξ, η) and y =y(ξ, η) ) in the new canonical form.

Introduction Classiﬁcations Canonical forms Separation of variables

Reduction to a canonical form

1

Introduce the new coordinates ξ =ξ(x, y) and η =η(x, y).

¯

Au

ξξ

+

¯

Bu

ξη

+

¯

Cu

ηη

+

¯

Du

ξ

+

¯

Eu

η

+Fu =G

2

Impose some requirements onto coeﬃcients

¯

A,

¯

B,

¯

C, and solve for

the ξ and η. The requirements depend on the type of the PDE:

set

¯

A=

¯

C=0 for the hyperbolic PDE (when B

2

−4AC>0);

set either

¯

A=0 or

¯

C=0 for the parabolic PDE; in this case another

necessary requirement

¯

B=0 will follow automatically (since

B

2

−4AC=0);

for the elliptic PDE (when B

2

−4AC<0) ﬁrst, proceed as in the

hyperbolic case, setting

¯

A=

¯

C=0 to ﬁnd the complex conjugate

coordinates ξ, η (which would lead to a form of complex hyperbolic

equation u

ξη

=f (ξ, η, u, u

ξ

, u

η

) ), and then transform them as follows

α←

ξ+η

2

(real part of ξ and η), β←

ξ−η

2i

(imaginary part of ξ and η),

which gives the ﬁnal canonical elliptic form

u

αα

+u

ββ

=f (α, β, u, u

α

, u

β

).

3

Use the new coordinates for the coeﬃcients and homogeneous term

(to replace x =x(ξ, η) and y =y(ξ, η) ) in the new canonical form.

Introduction Classiﬁcations Canonical forms Separation of variables

Reduction to a canonical form

1

Introduce the new coordinates ξ =ξ(x, y) and η =η(x, y).

¯

Au

ξξ

+

¯

Bu

ξη

+

¯

Cu

ηη

+

¯

Du

ξ

+

¯

Eu

η

+Fu =G

2

Impose some requirements onto coeﬃcients

¯

A,

¯

B,

¯

C, and solve for

the ξ and η.

3

Use the new coordinates for the coeﬃcients and homogeneous term

(to replace x =x(ξ, η) and y =y(ξ, η) ) in the new canonical form.

Introduction Classiﬁcations Canonical forms Separation of variables

Transforming the hyperbolic equation

For hyperbolic equation the canonical form

u

ξη

=f (ξ, η, u, u

ξ

, u

η

)

is achieved by setting

§

¦

¤

¥

¯

A=

¯

C=0 ,

that is,

¯

A=Aξ

2

x

+Bξ

x

ξ

y

+Cξ

2

y

=0,

¯

C=Aη

2

x

+Bη

x

η

y

+Cη

2

y

=0,

which can be rewritten as

A

_

ξ

x

ξ

y

_

2

+B

ξ

x

ξ

y

+C=0, A

_

η

x

η

y

_

2

+B

η

x

η

y

+C=0.

Solving these equations for

ξ

x

ξ

y

and

η

x

η

y

one ﬁnds the so-called

characteristic equations:

ξ

x

ξ

y

=

−B+

B

2

−4AC

2A

,

η

x

η

y

=

−B−

B

2

−4AC

2A

.

Introduction Classiﬁcations Canonical forms Separation of variables

Transforming the hyperbolic equation

For hyperbolic equation the canonical form

u

ξη

=f (ξ, η, u, u

ξ

, u

η

)

is achieved by setting

§

¦

¤

¥

¯

A=

¯

C=0 , that is,

¯

A=Aξ

2

x

+Bξ

x

ξ

y

+Cξ

2

y

=0,

¯

C=Aη

2

x

+Bη

x

η

y

+Cη

2

y

=0,

which can be rewritten as

A

_

ξ

x

ξ

y

_

2

+B

ξ

x

ξ

y

+C=0, A

_

η

x

η

y

_

2

+B

η

x

η

y

+C=0.

Solving these equations for

ξ

x

ξ

y

and

η

x

η

y

one ﬁnds the so-called

characteristic equations:

ξ

x

ξ

y

=

−B+

B

2

−4AC

2A

,

η

x

η

y

=

−B−

B

2

−4AC

2A

.

Introduction Classiﬁcations Canonical forms Separation of variables

Transforming the hyperbolic equation

For hyperbolic equation the canonical form

u

ξη

=f (ξ, η, u, u

ξ

, u

η

)

is achieved by setting

§

¦

¤

¥

¯

A=

¯

C=0 , that is,

¯

A=Aξ

2

x

+Bξ

x

ξ

y

+Cξ

2

y

=0,

¯

C=Aη

2

x

+Bη

x

η

y

+Cη

2

y

=0,

which can be rewritten as

A

_

ξ

x

ξ

y

_

2

+B

ξ

x

ξ

y

+C=0, A

_

η

x

η

y

_

2

+B

η

x

η

y

+C=0.

Solving these equations for

ξ

x

ξ

y

and

η

x

η

y

one ﬁnds the so-called

characteristic equations:

ξ

x

ξ

y

=

−B+

B

2

−4AC

2A

,

η

x

η

y

=

−B−

B

2

−4AC

2A

.

Introduction Classiﬁcations Canonical forms Separation of variables

Transforming the hyperbolic equation

The new coordinates equated to constant values deﬁne the parametric

lines of the new system of coordinates. That means that the total

derivatives are zero, i.e.,

ξ(x, y) =const. → dξ =ξ

x

dx+ξ

y

dy =0 →

dy

dx

=−

ξ

x

ξ

y

,

η(x, y) =const. → dη =η

x

dx+η

y

dy =0 →

dy

dx

=−

η

x

η

y

,

Therefore, the characteristic equations are

dy

dx

=−

ξ

x

ξ

y

=

B−

B

2

−4AC

2A

,

dy

dx

=−

η

x

η

y

=

B+

B

2

−4AC

2A

,

and can be easily integrated to ﬁnd the implicit solutions, ξ(x, y) =const.

and η(x, y) =const., that is, the new coordinates ensuring the simple

canonical form of the PDE.

Introduction Classiﬁcations Canonical forms Separation of variables

Transforming the hyperbolic equation

The new coordinates equated to constant values deﬁne the parametric

lines of the new system of coordinates. That means that the total

derivatives are zero, i.e.,

ξ(x, y) =const. → dξ =ξ

x

dx+ξ

y

dy =0 →

dy

dx

=−

ξ

x

ξ

y

,

η(x, y) =const. → dη =η

x

dx+η

y

dy =0 →

dy

dx

=−

η

x

η

y

,

Therefore, the characteristic equations are

dy

dx

=−

ξ

x

ξ

y

=

B−

B

2

−4AC

2A

,

dy

dx

=−

η

x

η

y

=

B+

B

2

−4AC

2A

,

and can be easily integrated to ﬁnd the implicit solutions, ξ(x, y) =const.

and η(x, y) =const., that is, the new coordinates ensuring the simple

canonical form of the PDE.

Introduction Classiﬁcations Canonical forms Separation of variables

Example

Rewriting a hyperbolic equation in canonical form

y

2

u

xx

−x

2

u

yy

=0 x ∈ (0, +∞) , y ∈ (0, +∞) .

(In the ﬁrst quadrant this is a hyperbolic equation since

B

2

−4AC=4y

2

x

2

>0 for x =0 and y =0.)

Writing the two characteristic equations

dy

dx

=

B−

B

2

−4AC

2A

=−

x

y

,

dy

dx

=

B+

B

2

−4AC

2A

=

x

y

.

Solving: separating the variables

y dy =−x dx, y dy =x dx,

ξ(x, y) =y

2

+x

2

=const. , η(x, y) =y

2

−x

2

=const.

Using the new coordinates for the (non-zero) coeﬃcients

¯

B=−16x

2

y

2

=4(η

2

−ξ

2

) ,

¯

D=−2(y

2

+x

2

) =−2ξ,

¯

E=2(y

2

−x

2

) =2η,

to present the PDE in the canonical form:

u

ξη

=

¯

Du

ξ

+

¯

Eu

η

¯

B

=

ξu

ξ

−ηu

η

2(ξ

2

−η

2

)

.

Introduction Classiﬁcations Canonical forms Separation of variables

Example

Rewriting a hyperbolic equation in canonical form

y

2

u

xx

−x

2

u

yy

=0 x ∈ (0, +∞) , y ∈ (0, +∞) .

Writing the two characteristic equations

dy

dx

=

B−

B

2

−4AC

2A

=−

x

y

,

dy

dx

=

B+

B

2

−4AC

2A

=

x

y

.

Solving: separating the variables

y dy =−x dx, y dy =x dx,

ξ(x, y) =y

2

+x

2

=const. , η(x, y) =y

2

−x

2

=const.

Using the new coordinates for the (non-zero) coeﬃcients

¯

B=−16x

2

y

2

=4(η

2

−ξ

2

) ,

¯

D=−2(y

2

+x

2

) =−2ξ,

¯

E=2(y

2

−x

2

) =2η,

to present the PDE in the canonical form:

u

ξη

=

¯

Du

ξ

+

¯

Eu

η

¯

B

=

ξu

ξ

−ηu

η

2(ξ

2

−η

2

)

.

Introduction Classiﬁcations Canonical forms Separation of variables

Example

Rewriting a hyperbolic equation in canonical form

y

2

u

xx

−x

2

u

yy

=0 x ∈ (0, +∞) , y ∈ (0, +∞) .

Writing the two characteristic equations

dy

dx

=

B−

B

2

−4AC

2A

=−

x

y

,

dy

dx

=

B+

B

2

−4AC

2A

=

x

y

.

Solving: separating the variables

y dy =−x dx, y dy =x dx,

and integrating

ξ(x, y) =y

2

+x

2

=const. , η(x, y) =y

2

−x

2

=const.

Using the new coordinates for the (non-zero) coeﬃcients

¯

B=−16x

2

y

2

=4(η

2

−ξ

2

) ,

¯

D=−2(y

2

+x

2

) =−2ξ,

¯

E=2(y

2

−x

2

) =2η,

to present the PDE in the canonical form:

u

ξη

=

¯

Du

ξ

+

¯

Eu

η

¯

B

=

ξu

ξ

−ηu

η

2(ξ

2

−η

2

)

.

Introduction Classiﬁcations Canonical forms Separation of variables

Example

Rewriting a hyperbolic equation in canonical form

y

2

u

xx

−x

2

u

yy

=0 x ∈ (0, +∞) , y ∈ (0, +∞) .

Writing the two characteristic equations

dy

dx

=

B−

B

2

−4AC

2A

=−

x

y

,

dy

dx

=

B+

B

2

−4AC

2A

=

x

y

.

Solving: separating the variables and integrating

y dy =−x dx, y dy =x dx,

ξ(x, y) =y

2

+x

2

=const. , η(x, y) =y

2

−x

2

=const.

Using the new coordinates for the (non-zero) coeﬃcients

¯

B=−16x

2

y

2

=4(η

2

−ξ

2

) ,

¯

D=−2(y

2

+x

2

) =−2ξ,

¯

E=2(y

2

−x

2

) =2η,

to present the PDE in the canonical form:

u

ξη

=

¯

Du

ξ

+

¯

Eu

η

¯

B

=

ξu

ξ

−ηu

η

2(ξ

2

−η

2

)

.

Introduction Classiﬁcations Canonical forms Separation of variables

Example

New coordinates for the canonical form of the hyperbolic PDE

x

y

0 1 2 3 4 5

ξ =1

2

3

4

5

ξ(x, y) =const. ←circles

η =0

1 4 9 16

−1

−4

−9

−16

η(x, y) =const. ←hyperbolas

PDE in (ξ, η): u

ξη

=

ξu

ξ

−ηu

η

2(ξ

2

−η

2

)

PDE in (x, y): y

2

u

xx

−x

2

u

yy

=0

ξ(x, y) =y

2

+x

2

=const. ∈ (0, +∞) , η(x, y) =y

2

−x

2

=const. ∈ (−∞, +∞) .

Introduction Classiﬁcations Canonical forms Separation of variables

Outline

1

Introduction

Basic notions and notations

Methods and techniques for solving PDEs

Well-posed and ill-posed problems

2

Classiﬁcations

Basic classiﬁcations of PDEs

Kinds of nonlinearity

Types of second-order linear PDEs

Classic linear PDEs

3

Canonical forms

Canonical forms of second order PDEs

Reduction to a canonical form

Transforming the hyperbolic equation

4

Separation of variables

Necessary assumptions

Explanation of the method

Introduction Classiﬁcations Canonical forms Separation of variables

Separation of variables

Necessary assumptions

This technique applies to problems where

the PDE is linear and homogeneous (not necessary constant

coeﬃcients)

the boundary conditions are linear and homogeneous

Introduction Classiﬁcations Canonical forms Separation of variables

Separation of variables

Necessary assumptions

This technique applies to problems where

the PDE is linear and homogeneous

A second-order PDE in two variables (x and t) is linear and

homogeneous if it can be written in the following form

Au

xx

+Bu

xt

+Cu

tt

+Du

x

+Eu

t

+Fu =0

where the coeﬃcients A, B, C, D, E, and F do not depend on the

dependent variable u =u(x, t) or any of its derivatives though can be

functions of independent variables (x, t).

the boundary conditions are linear and homogeneous

Introduction Classiﬁcations Canonical forms Separation of variables

Separation of variables

Necessary assumptions

This technique applies to problems where

the PDE is linear and homogeneous

A second-order PDE in two variables (x and t) is linear and

homogeneous if it can be written in the following form

Au

xx

+Bu

xt

+Cu

tt

+Du

x

+Eu

t

+Fu =0

where the coeﬃcients A, B, C, D, E, and F do not depend on the

dependent variable u =u(x, t) or any of its derivatives though can be

functions of independent variables (x, t).

the boundary conditions are linear and homogeneous

In the case of the second-order PDE a general form of such

boundary conditions is

G

1

u

x

(x

1

, t) +H

1

u(x

1

, t) =0,

G

2

u

x

(x

2

, t) +H

2

u(x

2

, t) =0,

where G

1

, G

2

, H

1

, H

2

are constants.

Introduction Classiﬁcations Canonical forms Separation of variables

Separation of variables

Scheme of the method

Basic idea:

1

break down the initial conditions into simple components,

2

ﬁnd the response to each component,

3

add up these individual responses to obtain the ﬁnal result.

The separation of variables technique looks ﬁrst for the so-called

fundamental solutions. They are simple-type solutions of the form

u

i

(x, t) =X

i

(x) T

i

(t) ,

where X

i

(x) is a sort of “shape” of the solution i whereas T

i

(t) scales this

“shape” for diﬀerent values of time t.

Introduction Classiﬁcations Canonical forms Separation of variables

Separation of variables

Scheme of the method

Basic idea:

1

break down the initial conditions into simple components,

2

ﬁnd the response to each component,

3

add up these individual responses to obtain the ﬁnal result.

The separation of variables technique looks ﬁrst for the so-called

fundamental solutions. They are simple-type solutions of the form

u

i

(x, t) =X

i

(x) T

i

(t) ,

where X

i

(x) is a sort of “shape” of the solution i whereas T

i

(t) scales this

“shape” for diﬀerent values of time t.

Introduction Classiﬁcations Canonical forms Separation of variables

Separation of variables

Scheme of the method

Basic idea:

1

break down the initial conditions into simple components,

2

ﬁnd the response to each component,

3

add up these individual responses to obtain the ﬁnal result.

The separation of variables technique looks ﬁrst for the so-called

fundamental solutions. They are simple-type solutions of the form

u

i

(x, t) =X

i

(x) T

i

(t) ,

where X

i

(x) is a sort of “shape” of the solution i whereas T

i

(t) scales this

“shape” for diﬀerent values of time t.

Introduction Classiﬁcations Canonical forms Separation of variables

Separation of variables

Scheme of the method

Basic idea:

1

break down the initial conditions into simple components,

2

ﬁnd the response to each component,

3

add up these individual responses to obtain the ﬁnal result.

The separation of variables technique looks ﬁrst for the so-called

fundamental solutions. They are simple-type solutions of the form

u

i

(x, t) =X

i

(x) T

i

(t) ,

where X

i

(x) is a sort of “shape” of the solution i whereas T

i

(t) scales this

“shape” for diﬀerent values of time t.

Introduction Classiﬁcations Canonical forms Separation of variables

Separation of variables

Scheme of the method

Basic idea:

1

break down the initial conditions into simple components,

2

ﬁnd the response to each component,

3

add up these individual responses to obtain the ﬁnal result.

The separation of variables technique looks ﬁrst for the so-called

fundamental solutions. They are simple-type solutions of the form

u

i

(x, t) =X

i

(x) T

i

(t) ,

where X

i

(x) is a sort of “shape” of the solution i whereas T

i

(t) scales this

“shape” for diﬀerent values of time t.

The fundamental solution will:

always retain its basic “shape”,

at the same time, satisfy the BCs which puts a requirement only on

the “shape” function X

i

(x) since the BCs are linear and homogeneous.

The general idea is that it is possible to ﬁnd an inﬁnite number of these

fundamental solutions (everyone corresponding to an adequate simple

component of initial conditions).

Introduction Classiﬁcations Canonical forms Separation of variables

Separation of variables

Scheme of the method

Basic idea:

1

break down the initial conditions into simple components,

2

ﬁnd the response to each component,

3

add up these individual responses to obtain the ﬁnal result.

The separation of variables technique looks ﬁrst for the so-called

fundamental solutions. They are simple-type solutions of the form

u

i

(x, t) =X

i

(x) T

i

(t) ,

where X

i

(x) is a sort of “shape” of the solution i whereas T

i

(t) scales this

“shape” for diﬀerent values of time t.

The solution of the problem is found by adding the simple fundamental

solutions in such a way that the resulting sum

u(x, t) =

n

i=1

a

i

u

i

(x, t) =

n

i=1

a

i

X

i

(x) T

i

(t)

satisﬁes the initial conditions which is attained by a proper selection of

the coeﬃcients a

i

.

Introduction Classiﬁcations Canonical forms Separation of variables

Example

Solving a parabolic IBVP by the separation of variables method

IBVP for heat ﬂow (or diﬀusion process)

Find u =u(x, t) =? satisfying for x ∈ [0, 1] and t ∈ [0, ∞):

PDE: u

t

=α

2

u

xx

, BCs:

_

u(0, t) =0,

u

x

(1, t) +hu(1, t) =0,

IC: u(x, 0) =f (x) .

Step 1. Separating the PDE into two ODEs.

Step 2. Finding the separation constant and fundamental solutions.

Step 3. Expansion of the IC as a sum of eigenfunctions.

The ﬁnal solution is such linear combination (with coeﬃcients a

i

)

of inﬁnite number of fundamental solutions,

u(x, t) =

∞

i=1

a

i

u

i

(x, t) =

∞

i=1

a

i

sin(λ

i

x) exp(−λ

2

i

α

2

t) ,

that satisﬁes the initial condition:

f (x) ≡u(x, 0) =

∞

i=1

a

i

sin(λ

i

x) .

Introduction Classiﬁcations Canonical forms Separation of variables

Example

Solving a parabolic IBVP by the separation of variables method

IBVP for heat ﬂow (or diﬀusion process)

Find u =u(x, t) =? satisfying for x ∈ [0, 1] and t ∈ [0, ∞):

PDE: u

t

=α

2

u

xx

, BCs:

_

u(0, t) =0,

u

x

(1, t) +hu(1, t) =0,

IC: u(x, 0) =f (x) .

Step 1. Separating the PDE into two ODEs.

Substituting the separated form (of the fundamental solution),

u(x, t) =u

i

(x, t) =X

i

(x) T

i

(t) ,

into the PDE gives (after division by α

2

X

i

(x) T

i

(t) )

T

i

(t)

α

2

T

i

(t)

=

X

i

(x)

X

i

(x)

.

Both sides of this equation must be constant (since they depend

only on x or t which are independent). Setting them both equal

to µ

i

gives the two ODEs:

T

i

(t) −µ

i

α

2

T

i

(t) =0, X

i

(x) −µ

i

X

i

(x) =0.

Step 2. Finding the separation constant and fundamental solutions.

Step 3. Expansion of the IC as a sum of eigenfunctions.

The ﬁnal solution is such linear combination (with coeﬃcients a

i

)

of inﬁnite number of fundamental solutions,

u(x, t) =

∞

i=1

a

i

u

i

(x, t) =

∞

i=1

a

i

sin(λ

i

x) exp(−λ

2

i

α

2

t) ,

that satisﬁes the initial condition:

f (x) ≡u(x, 0) =

∞

i=1

a

i

sin(λ

i

x) .

Introduction Classiﬁcations Canonical forms Separation of variables

Example

Solving a parabolic IBVP by the separation of variables method

IBVP for heat ﬂow (or diﬀusion process)

Find u =u(x, t) =? satisfying for x ∈ [0, 1] and t ∈ [0, ∞):

PDE: u

t

=α

2

u

xx

, BCs:

_

u(0, t) =0,

u

x

(1, t) +hu(1, t) =0,

IC: u(x, 0) =f (x) .

Step 1. Separating the PDE into two ODEs.

Step 2. Finding the separation constant and fundamental solutions.

If µ

i

=0 then: (after using the BCs) a trivial solution u(x, t) ≡0 is

obtained.

For µ

i

>0: T(t) (and so u(x, t) =X(x) T(t) ) will grow exponentially to

inﬁnity which can be rejected on physical grounds.

Therefore: µ

i

=−λ

2

i

<0.

Step 3. Expansion of the IC as a sum of eigenfunctions.

The ﬁnal solution is such linear combination (with coeﬃcients a

i

)

of inﬁnite number of fundamental solutions,

u(x, t) =

∞

i=1

a

i

u

i

(x, t) =

∞

i=1

a

i

sin(λ

i

x) exp(−λ

2

i

α

2

t) ,

that satisﬁes the initial condition:

f (x) ≡u(x, 0) =

∞

i=1

a

i

sin(λ

i

x) .

Introduction Classiﬁcations Canonical forms Separation of variables

Example

Solving a parabolic IBVP by the separation of variables method

IBVP for heat ﬂow (or diﬀusion process)

Find u =u(x, t) =? satisfying for x ∈ [0, 1] and t ∈ [0, ∞):

PDE: u

t

=α

2

u

xx

, BCs:

_

u(0, t) =0,

u

x

(1, t) +hu(1, t) =0,

IC: u(x, 0) =f (x) .

Step 1. Separating the PDE into two ODEs.

Step 2. Finding the separation constant and fundamental solutions.

Now, the two ODEs can be written as

T

i

(t) +λ

2

i

α

2

T

i

(t) =0, X

i

(x) +λ

2

i

X

i

(x) =0,

and solutions to them are

T

i

(t) =

˜

C

0

exp

_

−λ

2

i

α

2

t

_

, X

i

(x) =

˜

C

1

sin(λ

i

x) +

˜

C

2

cos(λ

i

x) ,

where

˜

C

0

,

˜

C

1

, and

˜

C

2

are constants.

That leads to the following fundamental solution (with new

constants C

1

, C

2

)

u

i

(x, t) =X

i

(x) T

i

(t) =

_

C

1

sin(λ

i

x) +C

2

cos(λ

i

x)

_

exp(−λ

2

i

α

2

t) .

Step 3. Expansion of the IC as a sum of eigenfunctions.

The ﬁnal solution is such linear combination (with coeﬃcients a

i

)

of inﬁnite number of fundamental solutions,

u(x, t) =

∞

i=1

a

i

u

i

(x, t) =

∞

i=1

a

i

sin(λ

i

x) exp(−λ

2

i

α

2

t) ,

that satisﬁes the initial condition:

f (x) ≡u(x, 0) =

∞

i=1

a

i

sin(λ

i

x) .

Introduction Classiﬁcations Canonical forms Separation of variables

Example

Solving a parabolic IBVP by the separation of variables method

IBVP for heat ﬂow (or diﬀusion process)

Find u =u(x, t) =? satisfying for x ∈ [0, 1] and t ∈ [0, ∞):

PDE: u

t

=α

2

u

xx

, BCs:

_

u(0, t) =0,

u

x

(1, t) +hu(1, t) =0,

IC: u(x, 0) =f (x) .

Step 1. Separating the PDE into two ODEs.

Step 2. Finding the separation constant and fundamental solutions.

Applying the boundary conditions:

• x =0: C

2

exp(−λ

2

i

α

2

t) =0 → C

2

=0,

• x =1: C

1

exp(−λ

2

i

α

2

t)

_

λ

i

cos(λ

i

) +h sin(λ

i

)

_

=0 → tanλ

i

=−

λ

i

h

.

gives a desired condition on λ

i

SOLVE

(they are eigenvalues for

which there exists a nonzero solution).

The fundamental solutions are as follows

PLOT

u

i

(x, t) =sin(λ

i

x) exp(−λ

2

i

α

2

t) .

Step 3. Expansion of the IC as a sum of eigenfunctions.

The ﬁnal solution is such linear combination (with coeﬃcients a

i

)

of inﬁnite number of fundamental solutions,

u(x, t) =

∞

i=1

a

i

u

i

(x, t) =

∞

i=1

a

i

sin(λ

i

x) exp(−λ

2

i

α

2

t) ,

that satisﬁes the initial condition:

f (x) ≡u(x, 0) =

∞

i=1

a

i

sin(λ

i

x) .

Introduction Classiﬁcations Canonical forms Separation of variables

Example

Solving a parabolic IBVP by the separation of variables method

IBVP for heat ﬂow (or diﬀusion process)

Find u =u(x, t) =? satisfying for x ∈ [0, 1] and t ∈ [0, ∞):

PDE: u

t

=α

2

u

xx

, BCs:

_

u(0, t) =0,

u

x

(1, t) +hu(1, t) =0,

IC: u(x, 0) =f (x) .

Step 1. Separating the PDE into two ODEs.

Step 2. Finding the separation constant and fundamental solutions.

Step 3. Expansion of the IC as a sum of eigenfunctions.

The ﬁnal solution is such linear combination (with coeﬃcients a

i

)

of inﬁnite number of fundamental solutions,

u(x, t) =

∞

i=1

a

i

u

i

(x, t) =

∞

i=1

a

i

sin(λ

i

x) exp(−λ

2

i

α

2

t) ,

that satisﬁes the initial condition:

f (x) ≡u(x, 0) =

∞

i=1

a

i

sin(λ

i

x) .

Introduction Classiﬁcations Canonical forms Separation of variables

Example

Solving a parabolic IBVP by the separation of variables method

Step 1. Separating the PDE into two ODEs.

Step 2. Finding the separation constant and fundamental solutions.

Step 3. Expansion of the IC as a sum of eigenfunctions.

The ﬁnal solution is such linear combination (with coeﬃcients a

i

)

of inﬁnite number of fundamental solutions,

u(x, t) =

∞

i=1

a

i

u

i

(x, t) =

∞

i=1

a

i

sin(λ

i

x) exp(−λ

2

i

α

2

t) ,

that satisﬁes the initial condition:

f (x) ≡u(x, 0) =

∞

i=1

a

i

sin(λ

i

x) .

The coeﬃcients a

i

in the eigenfunction expansion are found by

multiplying both sides of the IC equation by sin(λ

j

x) and integrating

using the orthogonality property, i.e.,

1

_

0

f (x) sin(λ

j

x) dx =

∞

i=1

a

i

1

_

0

sin(λ

i

x) sin(λ

j

x) dx

Introduction Classiﬁcations Canonical forms Separation of variables

Example

Solving a parabolic IBVP by the separation of variables method

Step 1. Separating the PDE into two ODEs.

Step 2. Finding the separation constant and fundamental solutions.

Step 3. Expansion of the IC as a sum of eigenfunctions.

The ﬁnal solution is such linear combination (with coeﬃcients a

i

)

of inﬁnite number of fundamental solutions,

u(x, t) =

∞

i=1

a

i

u

i

(x, t) =

∞

i=1

a

i

sin(λ

i

x) exp(−λ

2

i

α

2

t) ,

that satisﬁes the initial condition:

f (x) ≡u(x, 0) =

∞

i=1

a

i

sin(λ

i

x) .

The coeﬃcients a

i

in the eigenfunction expansion are found by

multiplying both sides of the IC equation by sin(λ

j

x) and integrating

using the orthogonality property, i.e.,

1

_

0

f (x) sin(λ

j

x) dx =a

j

1

_

0

sin

2

(λ

j

x) dx

Introduction Classiﬁcations Canonical forms Separation of variables

Example

Solving a parabolic IBVP by the separation of variables method

Step 1. Separating the PDE into two ODEs.

Step 2. Finding the separation constant and fundamental solutions.

Step 3. Expansion of the IC as a sum of eigenfunctions.

The ﬁnal solution is such linear combination (with coeﬃcients a

i

)

of inﬁnite number of fundamental solutions,

u(x, t) =

∞

i=1

a

i

u

i

(x, t) =

∞

i=1

a

i

sin(λ

i

x) exp(−λ

2

i

α

2

t) ,

that satisﬁes the initial condition:

f (x) ≡u(x, 0) =

∞

i=1

a

i

sin(λ

i

x) .

The coeﬃcients a

i

in the eigenfunction expansion are found by

multiplying both sides of the IC equation by sin(λ

j

x) and integrating

using the orthogonality property, i.e.,

1

_

0

f (x) sin(λ

j

x) dx =a

j

λ

j

−sin(λ

j

) cos(λ

j

)

2λ

j

Introduction Classiﬁcations Canonical forms Separation of variables

Example

Solving a parabolic IBVP by the separation of variables method

Step 1. Separating the PDE into two ODEs.

Step 2. Finding the separation constant and fundamental solutions.

Step 3. Expansion of the IC as a sum of eigenfunctions.

The ﬁnal solution is such linear combination (with coeﬃcients a

i

)

of inﬁnite number of fundamental solutions,

u(x, t) =

∞

i=1

a

i

u

i

(x, t) =

∞

i=1

a

i

sin(λ

i

x) exp(−λ

2

i

α

2

t) ,

that satisﬁes the initial condition:

f (x) ≡u(x, 0) =

∞

i=1

a

i

sin(λ

i

x) .

The coeﬃcients a

i

in the eigenfunction expansion are found by

multiplying both sides of the IC equation by sin(λ

j

x) and integrating

using the orthogonality property, i.e.,

PLOT

a

i

=

2λ

i

λ

i

−sin(λ

i

) cos(λ

i

)

1

_

0

f (x) sin(λ

i

x) dx.

Introduction Classiﬁcations Canonical forms Separation of variables

Example (results for h =3)

Eigenvalues solution

λ

f (λ)

1

2

π

3

2

π

5

2

π

7

2

π

9

2

π

π

2π 3π 4π

−4

−3

−2

−1

0

1

2

3

f (λ) =tan(λ)

RETURN

Introduction Classiﬁcations Canonical forms Separation of variables

Example (results for h =3)

Eigenvalues solution

λ

f (λ)

1

2

π

3

2

π

5

2

π

7

2

π

9

2

π

π

2π 3π 4π

−4

−3

−2

−1

0

1

2

3

f (λ) =tan(λ)

f (λ) =−λ/h

RETURN

Introduction Classiﬁcations Canonical forms Separation of variables

Example (results for h =3)

Eigenvalues solution

λ

f (λ)

1

2

π

3

2

π

5

2

π

7

2

π

9

2

π

π

2π 3π 4π

−4

−3

−2

−1

0

1

2

3

f (λ) =tan(λ)

f (λ) =−λ/h

λ

1

λ

2

λ

3

λ

4

RETURN

Introduction Classiﬁcations Canonical forms Separation of variables

Example (results for h =3)

Initial shapes (i.e., t =0) of four fundamental solutions

x

X

i

(x) =sin(λ

i

x)

0 0.25 0.5 0.75 1

-1

-0.75

-0.5

-0.25

0

0.25

0.5

0.75

1

X

1

(x)

X

2

(x)

X

3

(x)

X

4

(x)

RETURN

Introduction Classiﬁcations Canonical forms Separation of variables

Example (results for h =3, α=1, and f (x) =x

2

)

The shapes of four fundamental solutions scaled by the coeﬃcients a

i

x

a

i

X

i

(x) =a

i

sin(λ

i

x)

0 0.25 0.5 0.75 1

-0.5

-0.25

0

0.25

0.5

a

1

X

1

(x)

a

2

X

2

(x)

a

3

X

3

(x)

a

4

X

4

(x)

Introduction Classiﬁcations Canonical forms Separation of variables

Example (results for h =3, α=1, and f (x) =x

2

)

The ﬁnal solution. (Notice that f (x) =x

2

does not satisfy the BC at x =1.)

x

u(x, t) ≈

16

i=1

u

i

(x, t) =

16

i=1

a

i

sin(λ

i

x) exp(−λ

2

i

α

2

t)

0 0.25 0.5 0.75 1

0

0.25

0.5

0.75

1

t =0 (IC) : u(x, 0) =x

2

Figure: The ﬁnal solution. (Notice that f (x) =x

2

does not satisfy the BC at

x =1.)

Introduction Classiﬁcations Canonical forms Separation of variables

Example (results for h =3, α=1, and f (x) =x

2

)

The ﬁnal solution. (Notice that f (x) =x

2

does not satisfy the BC at x =1.)

x

u(x, t) ≈

16

i=1

u

i

(x, t) =

16

i=1

a

i

sin(λ

i

x) exp(−λ

2

i

α

2

t)

0 0.25 0.5 0.75 1

0

0.25

0.5

0.75

1

t =0 (IC) : u(x, 0) =x

2

t =0.000

Figure: The ﬁnal solution. (Notice that f (x) =x

2

does not satisfy the BC at

x =1.)

Introduction Classiﬁcations Canonical forms Separation of variables

Example (results for h =3, α=1, and f (x) =x

2

)

The ﬁnal solution. (Notice that f (x) =x

2

does not satisfy the BC at x =1.)

x

u(x, t) ≈

16

i=1

u

i

(x, t) =

16

i=1

a

i

sin(λ

i

x) exp(−λ

2

i

α

2

t)

0 0.25 0.5 0.75 1

0

0.25

0.5

0.75

1

t =0 (IC) : u(x, 0) =x

2

t =0.001

Figure: The ﬁnal solution. (Notice that f (x) =x

2

does not satisfy the BC at

x =1.)

Introduction Classiﬁcations Canonical forms Separation of variables

Example (results for h =3, α=1, and f (x) =x

2

)

The ﬁnal solution. (Notice that f (x) =x

2

does not satisfy the BC at x =1.)

x

u(x, t) ≈

16

i=1

u

i

(x, t) =

16

i=1

a

i

sin(λ

i

x) exp(−λ

2

i

α

2

t)

0 0.25 0.5 0.75 1

0

0.25

0.5

0.75

1

t =0 (IC) : u(x, 0) =x

2

t =0.002

Figure: The ﬁnal solution. (Notice that f (x) =x

2

does not satisfy the BC at

x =1.)

Introduction Classiﬁcations Canonical forms Separation of variables

Example (results for h =3, α=1, and f (x) =x

2

)

The ﬁnal solution. (Notice that f (x) =x

2

does not satisfy the BC at x =1.)

x

u(x, t) ≈

16

i=1

u

i

(x, t) =

16

i=1

a

i

sin(λ

i

x) exp(−λ

2

i

α

2

t)

0 0.25 0.5 0.75 1

0

0.25

0.5

0.75

1

t =0 (IC) : u(x, 0) =x

2

t =0.005

Figure: The ﬁnal solution. (Notice that f (x) =x

2

does not satisfy the BC at

x =1.)

Introduction Classiﬁcations Canonical forms Separation of variables

Example (results for h =3, α=1, and f (x) =x

2

)

The ﬁnal solution. (Notice that f (x) =x

2

does not satisfy the BC at x =1.)

x

u(x, t) ≈

16

i=1

u

i

(x, t) =

16

i=1

a

i

sin(λ

i

x) exp(−λ

2

i

α

2

t)

0 0.25 0.5 0.75 1

0

0.25

0.5

0.75

1

t =0 (IC) : u(x, 0) =x

2

t =0.010

Figure: The ﬁnal solution. (Notice that f (x) =x

2

does not satisfy the BC at

x =1.)

Introduction Classiﬁcations Canonical forms Separation of variables

Example (results for h =3, α=1, and f (x) =x

2

)

The ﬁnal solution. (Notice that f (x) =x

2

does not satisfy the BC at x =1.)

x

u(x, t) ≈

16

i=1

u

i

(x, t) =

16

i=1

a

i

sin(λ

i

x) exp(−λ

2

i

α

2

t)

0 0.25 0.5 0.75 1

0

0.25

0.5

0.75

1

t =0 (IC) : u(x, 0) =x

2

t =0.020

Figure: The ﬁnal solution. (Notice that f (x) =x

2

does not satisfy the BC at

x =1.)

Introduction Classiﬁcations Canonical forms Separation of variables

Example (results for h =3, α=1, and f (x) =x

2

)

The ﬁnal solution. (Notice that f (x) =x

2

does not satisfy the BC at x =1.)

x

u(x, t) ≈

16

i=1

u

i

(x, t) =

16

i=1

a

i

sin(λ

i

x) exp(−λ

2

i

α

2

t)

0 0.25 0.5 0.75 1

0

0.25

0.5

0.75

1

t =0 (IC) : u(x, 0) =x

2

t =0.050

Figure: The ﬁnal solution. (Notice that f (x) =x

2

does not satisfy the BC at

x =1.)

Introduction Classiﬁcations Canonical forms Separation of variables

Example (results for h =3, α=1, and f (x) =x

2

)

The ﬁnal solution. (Notice that f (x) =x

2

does not satisfy the BC at x =1.)

x

u(x, t) ≈

16

i=1

u

i

(x, t) =

16

i=1

a

i

sin(λ

i

x) exp(−λ

2

i

α

2

t)

0 0.25 0.5 0.75 1

0

0.25

0.5

0.75

1

t =0 (IC) : u(x, 0) =x

2

t =0.100

Figure: The ﬁnal solution. (Notice that f (x) =x

2

does not satisfy the BC at

x =1.)

Introduction Classiﬁcations Canonical forms Separation of variables

Example (results for h =3, α=1, and f (x) =x

2

)

The ﬁnal solution. (Notice that f (x) =x

2

does not satisfy the BC at x =1.)

x

u(x, t) ≈

16

i=1

u

i

(x, t) =

16

i=1

a

i

sin(λ

i

x) exp(−λ

2

i

α

2

t)

0 0.25 0.5 0.75 1

0

0.25

0.5

0.75

1

t =0 (IC) : u(x, 0) =x

2

t =0.200

Figure: The ﬁnal solution. (Notice that f (x) =x

2

does not satisfy the BC at

x =1.)

Introduction Classiﬁcations Canonical forms Separation of variables

Example (results for h =3, α=1, and f (x) =x

2

)

The ﬁnal solution. (Notice that f (x) =x

2

does not satisfy the BC at x =1.)

x

u(x, t) ≈

16

i=1

u

i

(x, t) =

16

i=1

a

i

sin(λ

i

x) exp(−λ

2

i

α

2

t)

0 0.25 0.5 0.75 1

0

0.25

0.5

0.75

1

t =0 (IC) : u(x, 0) =x

2

t =0.500

Figure: The ﬁnal solution. (Notice that f (x) =x

2

does not satisfy the BC at

x =1.)

Introduction Classiﬁcations Canonical forms Separation of variables

Example (results for h =3, α=1, and f (x) =x

2

)

The ﬁnal solution. (Notice that f (x) =x

2

does not satisfy the BC at x =1.)

x

u(x, t) ≈

16

i=1

u

i

(x, t) =

16

i=1

a

i

sin(λ

i

x) exp(−λ

2

i

α

2

t)

0 0.25 0.5 0.75 1

0

0.25

0.5

0.75

1

t =0 (IC) : u(x, 0) =x

2

t =0.000

t =0.001

t =0.002

t =0.005

t =0.010

t =0.020

t =0.050

t =0.100

t =0.200

t =0.500

Figure: The ﬁnal solution. (Notice that f (x) =x

2

does not satisfy the BC at

x =1.)

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