First Order Partial Dierential Equations;

Method of Characteristics
Partial Dierential Equations (PDEs) in two independent variables x, y are equations involving an unknown function u(x, y) and
some of its partial derivatives. The highest order of any partial derivative appearing in the equation is the order of the PDE. Thus, e.g., the
so-called Korteweg - deVries equation
u
3u
u
+u
+
= 0
y
x
x3
is a third order PDE. Unlike the situation with ordinary dierential
equations where there are solution methods which apply to large classes
of equations, and numerical methods which apply to all ODEs, there are
no generally applicable methods to solve all PDEs of a given order, even
numerically, and classes for which we have general analytic methods of
solution are quite restricted. We have to study fairly small classes of
PDEs individually.
A word rst about the notation for partial derivatives. These can be
denoted in dierent ways. For example, the symbols in each line below
all mean the same thing.
u
x
ku
xk

ux x ... x

x x ... x u

ux

x u;

(x strings have k elements);

2u
2u
=
ux y x y u.
xy
yx
In our work we will nd it convenient to use the rst and/or second
form in each case without further notice.
First Order PDEs take the general form
G (x, y, u, ux , uy ) = 0.
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Here we generally assume the equation can be solved for uy to give

uy + F (x, y, u, ux ) = 0.
We will ordinarily assume F to be at least continuously dierentiable
with respect to all of its arguments; sometimes we will have to assume
greater smoothness than this.
The PDE in this form is still too general for us to be able to do very
much with it. So let us further suppose that
F (x, y, u, ux ) = f (x, y, u) ux f (x, y, u)

u
+ g(x, y, u)
x

so we have the semilinear equation

u
u
+ f (x, y, u)
+ g(x, y, u) = 0 .
y
x
The term semilinear is used because f and g depend on the solution,
u = u(x, y), but not on its partial derivatives; if f = f (x, y) and
g = g(x, y) do not depend on u then the equation is linear.
Consider a dierentiable curve B : x = x(y), in the (x, y) plane;
points on such a curve can be represented as (x(y), y). Using the
assumed dierentiability of x(y) and letting u(x, y) be a continuously
dierentiable function of x and y, we can use the chain rule to compute
u
u
dx(y)
d
u(x(y), y) =
(x(y), y) +
(x(y), y)
.
dy
y
x
dy
If we then assume u(x, y) solves our semilinear PDE the right hand
side becomes

dx(y) u
f (x(y), y, u(x(y), y)) +
(x(y), y) g(x(y), y, u(x(y), y).
dy
x
Assuming x(y) satises the ordinary dierential equation
dx
= f (x, y, u(x, y)),
dy
2

we obtain

d
u(x(y), y) = g(x(y), y, u(x(y), y)).
dy
These two equations constitute, in general, a coupled system of two
ordinary dierential equations for x(y), u(x(y), y) as functions of y. A
unique solution pair x(y), u(
x(y), y) exists if we specify an initial value
y 0 and initial values x 0 , u 0 . Typically this is done by giving an initial
curve y = y(x) which crosses all of the base curves and then, for each
x 0 we set y 0 = y(x 0 ) and then select the value u(x 0 , y 0). Even more
typically, we take the initial curve to be y = 0. Then we choose an
initial x value x(0) = and, for points (, 0) we give initial values
u(, 0) = u 0 ().
However we obtain the curve C : x = x(y), u = u(
x(y), y) in three
dimensional x, y, u space, we have the following property:
Characteristic Property
u(x, y) of the PDE

Any continuously dierentiable solution

u
u
+ f (x, y, u)
+ g(x, y, u) = 0
y
x
such that u (x 0 , y 0) = u 0 must coincide with u
(
x(y), y) along the base
curve x = x(y).
The problem, so far, is that the dierential equations for x(y), u(x(y), y)
are coupled and have to be solved together. Only rarely is it possible
to do this analytically to obtain both of these in closed form. But it
can be done in some special cases.
Example 1

Let us consider the problem

u
u
+ (u + y)
+ u = 0,
y
x

u(x, 0) = x.

As we will see, it is necessary to distinguish x as it appears in an

initial point, (x, 0), on the line y = 0 from a general value of the
independent variable x. So we will write the boundary condition in the
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form u(, 0) = . That done, our two dierential equations become

dx
= u + y, x(0) = ;
dy

du
= u, u(0) = .
dy

We note that the second dierential equation does not involve x. Using
the initial condition we quickly obtain
u = ey .
Substituting this into the rst dierential equation we have
dx
= ey + y,
dy

x(0) = .

Since the right hand side does not involve the unknown x we can integrate to obtain
x(y) = +

 y
0

+ d = + 1 e



y2
y2
y
= 2e
+
+ .
2
2

Solving for in terms of x and substituting into the formula for u we

have
2

x y2
x y2 y
x y2
=
.
; u = u(x, y) =
e =
2 ey
2 ey
2 ey 1
The basic solution pattern is:
i) Solve the two dieerential equations for x and u (if possible) with
x(0) = , u(, 0) = u0 ();
ii) Use one the solutions from i) to solve for and u in terms of x and
y.
The success of this procedure usually rests on some special feature
of the PDE which allows i) and ii) to be carried out, hopefully giving u,
in the end, as a closed form expression involving x and y. That being
the case, from now on we will be primarily concerned with some special
cases in which the solution process is fairly simple.
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Case 1: f = f (x, y) is independent of u.

In this case we have

dx
= f (x, y),
dy
which can be solved without any knowledge of the solution u. So we
can construct the whole family of base curves B in advance, before we
do anything about solutions u(x, y). To construct a solution u(x, y) it
is only necessary to specify an initial value for u on each of these base
curves B.
Example 2

Let us consider the PDE and initial data

u
u
+x
+ u = 0, x(0) = , u(, 0) = 2.
y
x
Here the initial data is given on y = 0. The dierential equation,
initial condition and solution for x(y) are
dx
= x, x(0) = x = ey .
dy
The dierential equation, initial condition and solution for u are now
du
= u, u(, 0) = 2, u = 2 ey .
dy
From the x solution we obtain
= x ey u = u(x, y) = x2 e3y .
Case 2: g 0.

In this case the dierential equation for u becomes

d
u(x(y), y) = 0
dy

and u(x(y), y is constant along the curve x = x(y). This constant

must be the same as the initial value u0 . Then
f = f (x(y), y, u(x(y), y) f (x(y), y, u0 ).
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Then the dierential equation dx

= f (x(y), y, u0 ) can be solved as
dy
soon as the initial value, u0 , for u is chosen. Thus u(x(y), y) u0
along curves which are also determined as soon as u0 is specied. Then
the dierential equation for x becomes
dx
= f (x, y, u0 ),
dy
in which u0 appears as a parameter.
Example 3

Let us consider
u
u
+u
= 0,
y
x

u(x, 0) = u0 (x) = x2 .

As is usual by now we change the initial condition to u(, 0) = u0 () =

2. Then on solutions of
dx
= u,
dy

x(0) = ,

we have u = u0 () = 2 so that
x = +

 y
0

2 d = + y 2 y 2 + x = 0.

The latter is a quadratic equation in whose solution, using the quadratic

formula, can be seen to be

1 1 + 4 x y
.
=
2y
Now u = 2 so the solution could be obtained by squaring the above
formula for . But it is better to use the quadratic equation to get
, after which we have
2 = x
2y

1 1 1 + 4 x y
2xy + 1
x
1 + 4xy

.
u = u(x, y) =
y
y
2y
2 y2
2 y2
This is the correct closed form for the solution but it may be hard to
see, rst of all, which choice we should make for the and, secondly,
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how this formula agrees with the initial condition u(x, 0) = x2 . Using
the Taylor expansion about w = 0 one can see that

1 + w = (1 + w)1/2 = 1 +

w2
w3
w

+
... .
2
8
16

Then we have the expansion



1 + 4 x y = 1 + 2 x y 2 x2 y 2 + 4 x3 y 3 ... .

Therefore, if we use the sign in the alternative we obtain

2 x2 y 2 4 x3 y 3 + ...
= x2 2 x3 y + ... .
u(x, y) =
2 y2
Thus with this choice we have limy 0 u(x, y) = x2 and the boundary
condition at y = 0 is satised in the limit.
Case 3: f and g are linear combinations of x and u. For convenience we will write this in the form
f = f (x, y, u) = a11 x + a12 u,

g = a21 x + a22 u.

In general we could allow the ajk to be functions of y but we will take

them to be constants here. Under these assumptions our two dierential
equations are
du
= a21 x + a22 u.
dy

dx
= a11 x + a12 u,
dy

This is a two dimensional system of linear dierential equations with

constant coecients which we can solve by the methods indicated in
the previous section of the notes.
Example 4

We consider the PDE and boundary conditions

u
u
+ (2x + u)
(x + 2 u) = 0,
y
x

u(x, 0) = x + 1.

In this case we have the dierential equations and initial conditions

du
dx
= 2 x + u,
= x + 2 u, x() = , u() = u0 () = + 1.
dy
dy
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Following the method illustrated in Example 7 of the previous section

of these notes the solutions take the form (since y is the independent
variable here)

x(y)
u(y)

= c1 e

1
1

3y

+ c2 e

1
.
1

To satisfy the initial conditions we need

c1

1
1

+ c2

1
1

+ 1

c1 + c2 =
,
c1 + c2 = + 1

with the solution

1
c1 = ,
2
Then

1
1 y
1
c2 = > x =
e + e3 y .
2
2
2
1
x e3 y /2
=
,
2
ey

1 y
1
1
1
u = u(x, y) =
e + e3 y = e3 y x + e3 y = e3 y x.
2
2
2
2
Initial - Boundary Value Problems In some situations the pertinent range of the independent variable x is not the whole line <
x < . In solute transport problems, for example, with uid motion
in the positive x direction, there may be a source point x0 where
solute initially enters the system, the concentration always being zero
for x < x0 . In such circumstances the relevant region is not the whole
half plane (x, y) with y 0 but, rather, a quadrant
(x, y); y 0, x x0 .
In such cases the initial data
u(, 0) = u0 (), > x0 ,
is supplemented by a boundary condition at x = x0 :
u(x0 , ) = u
x0 (), > 0.
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The characteristic base curves, i.e., the solutions x(y) of

dx
= f (x, y, u), f (x, y, u) > 0,
dy
must, in this situation, be divided into two classes: a class of curves C,0
consisting of those meeting the line y = 0 at a point (, 0) and a class
of curves Cx0 , consisting of those meeting the line x = x0 at a point
(x0 , ), with the curve Cx0 , 0 emanating from (x0 , 0) separating the two
classes. It may or may not be true that the consistency condition
lim u(, 0) = lim u(x0 , )

x0

is satised. If it is, the common value may be taken as u(x0 , 0) =

u0 (x0 ) = ux0 (0); if not the solution u(x, y) will exhibit a discontinuity
along the curve Cx0 , 0.
Figure 1

Example 5

We consider the PDE, with initial and boundary data,

u
u
+ (x + 1)
+ u y = 0,
y
x

u(, 0) = , u(0, ) = 1.

The corresponding characteristic dierential equations are

du
= u + y,
dy

dx
= x + 1.
dy

We can solve these easily to get, for constants c and d,

u = c ey + y 1,

x = d e y 1.

Case i) Looking at base curves x(y) which pass through initial points
(, 0), we must have
x ey + 1
;
= d e 1 d = + 1 x = ( + 1)e 1 =
ey
x ey + 1 + ey
x+1
0
=
.
= ce + 0 1 = c 1 c = +1 =
ey
ey
The limiting base curve, corresponding to = 0, is x = e y 1. Below
this curve we have
x + 1 y
e + y 1 = (x + 1) e2y + y 1.
u(x, y) = c ey + y 1 =
y
e
0

Case ii) For base curves x(y) which pass through boundary points
(0, ) we have x = 0 when y = so
0 = d e 1 d = e x = e y e 1 e =

x+1
.
ey

1 = u(0, ) = c e + 1 c = 0 u(x, y) = y 1.
Here the limiting base curve, for = 0, is again x = e y e0 1 = e y 1,
agreeing with the limiting curve in Case i). Above this curve we have
u(x, y) = y 1. The dierence between the two cases, (x + 1) e2y ,
corresponds to the discontinuity in u propagating along the curve x =
e y 1.
10