Lecture Notes on Partial

Differential Equations

Dr. E. Natarajan

IIST Lecture Notes Series-2

Government of India
Department of Space
Indian Institute of Space Science and Technology
Valiamala P.O, Thiruvananthapuram-695547
December, 2012
 .

Lecture Notes on Partial

Differential Equations
Dr. E. Natarajan

Assistant Professor, Department of Mathematics

Indian Institute of Space Science and Technology,
Valiamala P.O, Thiruvananthapuram, India.

[For internal circulation only.]

Published by :
Government of India
Department of Space
Indian Institute of Space Science and Technology
Deemed to be University under Section 3 of the UGC Act, 1956
Valiamala P.O, Thiruvananthapuram-695547

ii
Acknowledgement

This lecture notes is based on my teaching B. Tech students of IIST

for the course MA 221 for several semesters. The main purpose of
this notes is to give students material which is mostly self explanatory
with deep conceptual backend suited for undergraduates.

I thank Dr.K.S.Dasgupta Director, IIST who motivated me to pre-

pare this material. I thank Library and Information services, IIST for
support. I would thank all the members of Department of Mathemat-
ics specially Shri. Abdul Karim.

Hope this will go into the minds of young students and not into
the unread shelf of library.

iii
Contents

1 Modeling partial differential equations 1

1.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . 1

1.2 Vibrating string problem . . . . . . . . . . . . . . . . . 2

1.3 Heat equation . . . . . . . . . . . . . . . . . . . . . . . 5

1.4 Well-posed PDE . . . . . . . . . . . . . . . . . . . . . . 6

1.5 Solution of PDE’s by Fourier transform . . . . . . . . . 7

2 Second order linear PDE’s 11

2.1 Classification . . . . . . . . . . . . . . . . . . . . . . . 11

2.1.1 Definitions . . . . . . . . . . . . . . . . . . . . . 11

2.2 Canonical forms . . . . . . . . . . . . . . . . . . . . . . 13

2.2.1 Canonical form of hyperbolic PDE . . . . . . . 14

2.2.2 Canonical form of parabolic PDE . . . . . . . . 16

v
 2.2.3 Canonical form of elliptic PDE . . . . . . . . . 17

3 Method of Separation of variables 19

3.1 Heat equation . . . . . . . . . . . . . . . . . . . . . . . 19

3.2 Wave equation . . . . . . . . . . . . . . . . . . . . . . . 22

3.3 Mathematical justification of the method . . . . . . . . 25

4 First order partial differential equations 27

4.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . 27

4.2 Method of Characteristics . . . . . . . . . . . . . . . . 29

4.2.1 Transversality condition . . . . . . . . . . . . . 31

4.3 Lagranges Method . . . . . . . . . . . . . . . . . . . . 35

5 Tutorial 1 39

6 Tutorial II 43

vi
Chapter 1

Modeling partial differential

equations

1.1 Introduction

Partial differential equations is a relation between an unknown func-

tion and its partial derivatives

F (x1 , x2 , ..., xn , ux1 , ux2 , ..., ux11 ) = 0 (1.1.1)

where x1 , x2 , ..., xn are independent variables and u(x1 , x2 , ..xn ) depen-

∂u
dent variable uxi =
∂xi

• Order of the partial differential equation is the order of the high-

est partial derivative. utt − uxx = f (x, t) is a second order PDE
whereas ut + uxxxx = 0 is a fourth order PDE.

1
 ψ( x,t)

Figure 1.1: Vertical displacement of string

• An equation is called linear if in Eq(1.1.1) F (.) is a linear func-

tion of the unknown function u and its partial derivatives. For
example x2 ux + x y uy + sin(x2 + y 2 ) u = x3 is a linear equation
whereas uxx 2 + uyy 2 = 0 is a non-linear equation. An equa-
tion is quasilinear if it is linear in the highest partial derivative
uxx + uyy = |∇u|2 u and semilinear if it is non-linear in its un-
known function uxx + uyy = u3 .

1.2 Vibrating string problem

Let ψ(x, t) measures the vertical

q displacement of the string from equi-
librium. Length of this piece ∆x2 + ∆ψ 2 where ∆ψ = ψ(x+∆x, t)−
ψ(x, t) with Density ρ (mass per unit length) is the mass of the string
particle.
s  2
∆ψ
q
2 2
ρ ∆x + ∆ψ = ρ ∆x 1 + O (1.2.1)
∆x

2
 • Displacement of the string is slight, so terms of order 2 for ψ
∂ψ
and are neglected.
∂x

∂2ψ
Mass ≈ ρ ∆x and acceleration in the vertical direction is .
∂t2
Force acting on the string particle is Tension T . This acts parallel to
the string i.e., tangentially. Tension is assumed to be uniform. This
gives
′
î + ψ (x) ĵ
T (x, t) = T. q (1.2.2)
1 + (ψ ′ (x))2

∂ψ
T ∂ψ
∂x
Vertical component, ↑ T (x, t) = 2 ≈ T
′
1 + (ψ (x)) ∂x
∂2ψ
Net vertical tensile force is, ↑ T (x + ∆x, t)− ↑ T (x, t) ≈ T +
∂x2
O(∆x2 )
Using Newton’s second law

∂2ψ 2 ∂2ψ
T


∆x + O ∆x = ρ ∆x (1.2.3)
∂x2 ∂t2

∂2ψ T ∂2ψ 2
2 ∂ ψ
Dividing by ρ∆x and letting ∆x → 0 we get = = c
s ∂t2 ρ ∂x2 ∂x2
T
where c = (dimensions of velocity).
ρ
Let f be twice-differentiable then ψ(x, t) = f (x − ct) satisfies the wave
equation. It is the wave propagating to the left at speed c and f (x+ct)
is the wave propagating to the right at speed c so the solution will be
ψ(x, t) = f (x − ct) + f (x + ct) where f and g are arbitrary.
In order to determine the motion completely ψ(x, 0) = F (x) and

3
 Dirichlet Neumann Robin

Figure 1.2: Dirichlet, Neumann and Robin boundary condition for left
end of the string

∂ψ
(x, 0) = G(x) are given as initial displacement and initial ve-
∂t
locity.

x+ct
F (x − c t) + F (x + c t) 1
Z
ψ(x, t) = + G(ξ) dξ (1.2.4)
2 2c x−ct

This is known as the D’Alembert’s form of the solution. This says that
to determine ψ(x, t) we need to know F and G within ±c t distance.

Types of boundary condition for the string tied at left boundary:

• Dirichlet boundary condition ψ(0, t) = c

∂ψ
• Neumann boundary condition (0, t) = d
∂x

∂ψ
• Robin boundary condition α ψ(0, t) + β (0, t) = l
∂x

4
 Figure 1.3: Heat transfer in a uniform rod

1.3 Heat equation

Consider heat flowing through a uniform thin rod. Experiment shows

that ∆Q = c ρ u(x, t) ∆V for a uniform cross section ∆V = A ∆x
between small portion x ∈ [a, b] where c is the concentration, ρ is
the density, u(x, t) is the temperature and ∆V is the small volume
element.
Z b
Q(x, t) = c ρ u(x, t) A dx
a
Z b
dQ ∂u(x, t)
= cρ A dx
dt a ∂t
This gives the rate at which heat accumulates in this segment. Ac-
cording to Newton’s Law of Cooling the rate of change of the temper-
ature of an object is proportional to the temperature gradient. Also
heat energy flows from warmer region to cooler region. This gives
dQ
= k̃ [Rate in − Rate out] A (1.3.1)
dt  
dQ ∂u ∂u
= k̃ (b, t) − (a, t) A (1.3.2)
dt ∂x ∂x
∂2u
Z b
dQ
In the integral form this gives = k̃ A 2 dx. Equating similar
dt a ∂x
terms we get
∂2u
Z b 
∂u(x, t)
cρ − k̃ 2 A dx = 0 (1.3.3)
a ∂t ∂x

5
 ∂u ∂2u k̃
Under suitable conditions it reduces to = k 2 where k = is
∂t ∂x ρc
the thermal diffusivity.

1.4 Well-posed PDE

Any physical phenomena can be modeled and it gives rise to partial

differential equation. Suppose motion of a pendulum is modeled as
a differential equation, definitely basic problem has a sure motion
whereas the modeled equation need not have solution. This doesn’t
contradict with the physics of the problem but it says that the modeled
equations are not sufficient enough to talk about the physics of the
problem.

Jacques Hadamard came up with a set of conditions PDE has to

satisfy so that the equation can undoubtedly talk about the physics
of the problem and the PDEs satifying those conditions are known as
Well-posed problems. They are

(i) Existence of a solution

(ii) Uniqueness of the solution (there exists only one solution)

(iii) Solution is stable (continuous dependence of data)

We will illustrate the third point with an example.

ut = k uxx , −∞ < x < ∞ (1.4.1)

 
x
u(x, 1) = c sin √ (1.4.2)
c k

6
  
x
where c is small. This can be solved by taking u(x, t) = c sin √ g(t)
c k 

(1−t) x
with g(1) = 1. ( Try it!). The solution is u(x, t) = c e c2 sin √ .
c k
Note that when c → 0 when 0 < t < 1 the solution u(x, t) → ∞.
A small change in the initial condition leads to a large change in the
solution thus killing the stability of the problem.

1.5 Solution of PDE’s by Fourier transform

Heat conduction in an infinite rod

ut = α2 uxx , −∞ < x < ∞, 0 < t < ∞

u(x, 0) = f (x), −∞ < x < ∞

Note: This problem can be solved by separation of variables if f (x)

is defined in finite interval or even if f is defined in infinite interval
provided if it is periodic. Suppose f is defined in infinite interval
and aperiodic like f (x) = e−|x| . Let us take fourier transform of heat
equation with respect to x.

F {ut } = α2 F {uxx}

Z ∞
∂u −i ω x
e dx = α2 (i ω)2 û
−∞ ∂t
Z ∞
d
u(x, t) e−i ω x dx = −α2 ω 2 û
dt −∞
Under the assumption (u → 0, ux → 0, x → ±∞)
dû
+ α2 ω 2 û = 0
dt
7
 2 2
The solution is û(x, t) = A(ω)e−α ω t . We also need to transform the
initial condition. F (u(x, 0)) = F (f (x)) ⇒ û(ω, 0) = fˆ(ω). Using this
in the solution we get A = fˆ(ω). Finally we get
2 2
û(ω, t) = fˆ(ω) e−α ω t
1 x2
u(x, t) = f (x) ∗ √ e− 4 α2 t
2α πt
Z ∞
1 (x−ξ)2
u(x, t) = √ f (ξ) e− 4 α2 t dξ
2 α π t −∞

Case 1: If f is constant F then u(x, t) = F which violates the assumption

u → ∞, x → ±∞.

F, x > 0
Case 2: f (x) = = F H(x)
0, x < 0
   Z x
F x 2 2
u(x, t) = 1 + erf √ , where erf(x) = √ e−ξ dξ.
2 2α t π 0

In a more formidable way our solution can be written as

Z ∞
u(x, t) = f (ξ) K(ξ − x; t) dξ
−∞
where
(x−ξ)2
e− 4α2 t
K(ξ − x; t) = √
2 α πt
is called as Kernel of the integral. If K(ξ − x; t) → δ(ξ − x) as t → 0
then Z ∞
lim u(x, t) = lim f (ξ) K(ξ − x; t) dξ = f (x)
t→0 t→0 −∞
Let f (x) = δ(x − x0 ). Then
Z ∞
u(x, t) = δ(ξ − x0 ) K(ξ − x; t) dξ
−∞
= K(x0 − x; t) = K(x − x0 ; t)

8
If initial temperature distribution is δ(x − x0 ) then K(x − x0 ; t) is
the solution to the heat equation. Diffusion process smoothes out the
solution.

Example 1.5.1. ut = uxx , −∞ < x < ∞, t > 0, u(x, 0) = F (x), −∞ <

x < ∞. By solving this problem using Fourier transform we get
Z ∞
1 (x−y)2
u(x, t) = √ F (y) e− 4 t dy
4 π t −∞
(x−y)2
where e 4 t > 0 ∀x, y. For t however small u depends on F (x), −∞ <
x < ∞ which means the speed of propagation is infinite. But energy
cannot propagate faster than speed of light. This model of heat equa-
tion has a flaw.

9
10
Chapter 2

Second order linear PDE’s

2.1 Classification

Let us consider the general form of second order linear PDE’s in two
variables

A(x, y) uxx + 2 B(x, y) uxy + C(x, y) uyy = Φ(x, y, ux, uy , u) (2.1.1)

where the left hand side of Eq (2.1.1) denotes the principal part of the
PDE.

2.1.1 Definitions

(a) Equation 2.1.1 is said to be hyperbolic if B 2 − AC > 0

(b) Equation 2.1.1 is said to be parabolic if B 2 − AC = 0

(c) Equation 2.1.1 is said to be elliptic if B 2 − AC < 0

11
What do these classification do? Why is it needed?

These classifications can be related with equation of general conic

section
a x2 + 2 b xy + c y 2 + d x + e y + f = 0 (2.1.2)

(a) Equation 2.1.2 represents eqn of hyperbola if b2 − ac > 0

(b) Equation 2.1.2 represents eqn of parabola if b2 − ac = 0

(c) Equation 2.1.2 represents eqn of ellipse if b2 − ac < 0

The need for this classification is any second order PDE’s in two
variables can be reduced to either hyperbolic, parabolic or elliptic.
Once the behaviour of the solutions of hyperbolic,parabolic and elliptic
PDEs are known then classification to one of the three forms helps in
understanding the problem apriori.

Examples:

utt = c2 uxx where A = 1, B = 0, C = −c2 gives B 2 − AC > 0

then the equation is said to be hyperbolic.

ut = k uxx where A = 0, B = 0, C = −k gives B 2 − AC = 0 then

the equation is said to be parabolic.

uxx + uyy = 0 where A = 1, B = 0, C = 1 gives B 2 − AC < 0

then the equation is said to be elliptic.

12
2.2 Canonical forms

Any second order PDE in two variables can be reduced to canonical

form of hyperbolic, parabolic and elliptic PDE’s under suitable trans-
formation. Let us convert the PDE Equation 2.1.1 using the coordi-
nate transformation ξ(x, y), η(x, y). Also take w(ξ, η) = u(x(ξ, η), y(ξ, η))

ux = wξ ξx + wη ηx
uy = wξ ξy + wη ηy

Similarly compute uxx , uyy and uxy in terms of wξξ , wξη and wηη . After
substitution of these terms into the Equation 2.1.1 gives

a(ξ, η) wξξ + 2 b(ξ, η) wξη + c(ξ, η) wηη = Ψ (wξ , wη , w, ξ, η)

where
a(ξ, η) = A ξx 2 + 2 B ξx ξy + Cξy 2
b(ξ, η) = Aξx ηx + B (ξx ηy + ξy ηx ) + C ξy ηy
c(ξ, η) = Aηx 2 + 2 B ηx ηy + C ηy 2

We need a justification that the form of the PDE remains invariant

even after the coordinate transformation i.e., hyperbolic remains as
hyperbolic, parabolic remains parabolic and vice versa. It can be
observed that
! ! ! !
a b ξx ξy A B ξx ηx
=
b c ηx ηy B C ξy ηy

Taking the determinant on both sides gives

b2 − a c = (ξx ηy − ξy ηx )2 B 2 − A C

13
where (ξx ηy − ξy ηx )2 is nothing but the square of the Jacobian J 2 .

The canonical form of the PDE after transformation reduces to

(i) wξη = G(wξ , wη , ξ, η) if it is hyperbolic.

(ii) wξξ = G(wξ , wη , ξ, η) or wηη = G(wξ , wη , ξ, η) if it is parabolic.

(iii) wξξ + wηη = G(wξ , wη , ξ, η) if it is elliptic.

2.2.1 Canonical form of hyperbolic PDE

Φ(ux , uy , u, x, y)
If A = C = 0 then uxy = in which case there is no
2B
need of transformation.

Let us assume A 6= 0 and in order to make b2 − a c > 0 we take

a = c = 0. This gives

A ξx 2 + 2 B ξx ξy + C ξy 2 = 0
A ηx 2 + 2 B ηx ηy + C ηy 2 = 0

After factorizing

1   √ 
A ξx + B − B 2 − A C ξy
A  √ 
2
A ξx + B − B + A C ξy =0

14
  √ 
A ξx + B + B 2 − A C ξy =0
 √ 
A ξx + B − B 2 − A C ξy =0
 √ 
2
A ηx + B + B − A C ηy =0
 √ 
A ηx + B − B 2 − A C ηy =0

We get totally two equations for ξ and two equations for η but we
need one solution for ξ and one for η. We take
 √ 
A ξx + B + B 2 − A C ξy = 0
 √ 
A ηx + B − B 2 − A C ηy = 0

The above equations are itself PDE in terms of ξ(x, y). On the
characteristic curves ξ(x, y) = constant we get dξ = 0 ⇒ ξx dx +
ξy dy = 0. Similarly dη = 0 ⇒ ηx dx + ηy dy = 0. Equating the like
terms gives
√
dy ξx B + B2 − A C
=− =
dx ξy A
√
dy ηx B − B2 − A C
=− =
dx ηy A
Solving the above two ordinary differential equations we get two curves
ξ(x, y) = C1 and η(x, y) = C2 . Thus we get the coordinate transfor-
mations by which we can reduce the PDE’S to canonical form.

Example 2.2.1. Determine the canonical form of utt − c2 uxx = 0

B 2 − A C = c2 > 0 so the eqn is hyperbolic.

15
We get
dx dx
= c and = −c
dt dt
This gives ξ(x, y) = x − ct and η(x, y) = x + ct. Using this we get the
canonical form wξ η = 0 ⇒ w(ξ, η) = f (ξ) + g(η).

So u(x, y) = f (x − ct) + g(x + ct).

2.2.2 Canonical form of parabolic PDE

In order to make b2 −a c = 0 we need either b = c = 0 or b = a = 0 Let

us take c = 0 because b = 0 will be automatically forced by parabolic
condition.

Let us assume A 6= 0. This gives

A ηx 2 + 2 B ηx ηy + C ηy 2 = 0

B2
Substituting C = and factorizing we get
A
B2 2
A ηx 2 + 2 B ηx ηy + ηy = 0
A
1
(A ηx + B ηy )2 = 0
A
A ηx + B ηy = 0 ( ∵ A 6= 0)

On the characteristic curve η = const we have dη = 0 ⇒ ηx dx +

ηx dy B
ηy dy = 0. This gives the transformation η(x, y) from − = = .
ηy dx A
Now we have the freedom to choose the transformation ξ(x, y) such
that ξx ηy − ξy ηx 6= 0. Thus we can reduce the PDE to its canonical
form.

16
Example 2.2.2. Determine the canonical form of x2 uxx − 2 x y uxy +
y 2 uyy + x ux + y uy = 0.

B 2 − A C = 0 so the eqn is parabolic.

We get
dy y
= − ⇒ xy = const
dx x
This implies η(x, y) = xy. Now let us take ξ(x, y) = x so that ξx ηy −
ξy ηx = x 6= 0. You can choose any ξ satisfying above condition.
The canonical form is ξ 2 wξξ + ξ wξ = 0. Solving this finally we get
w(ξ, η) = ln(ξ) g(η) + f (η) ⇒ u(x, y) = ln(x) g(xy) + f (xy).

2.2.3 Canonical form of elliptic PDE

For the elliptic case we need to make b2 − a c = 0, we can make

a = c and b = 0. This gives

A ξx 2 + 2 B ξx ξy + C ξy 2 = A ηx 2 + 2 B ηx ηy + C ηy 2
Aξx ηx + B (ξx ηy + ξy ηx ) + C ξy ηy = 0

This is in itself coupled PDE in ξ(x, y) and η(x, y). Let us try to
convert these two equations in complex form by taking Φ = ξ + i η.
Then we can express the above two equations as

A (ξx 2 − ηx 2 ) + 2 B (ξx ξy − ηx ηy ) + C (ξy 2 − ηy 2 ) = 0

Aξx iηx + B (ξx iηy + ξy iηx ) + C ξy iηy = 0

In terms of Φ,

17
A Φx 2 + 2 B Φx Φy + C Φy 2 = 0,

Factorizing gives
  √  
A Φx + B + i AC − B 2 Φy
  √  
A Φx + B − i AC − B 2 Φy = 0

On Φ = constant we have dΦ = 0 ⇒ Φx dx + Φy dy = 0.
Φx dy
Equating − = to the factorization above gives
Φy dx
√ √
dy B + i A C − B2 dy B − i A C − B2
= =
dx A dx A
This gives ϕ(x, y) and χ(x, y) both are complex functions. From this
we can extract real valued function ξ(x, y) and η(x, y). We will try to
understand by an example
Example 2.2.3. Determine the canonical form of uxx + x2 uyy = 0

B 2 − A C = −x2 < 0 so the eqn is elliptic

We have
dy i x dy ix
= , =−
dx 2 dx 2

After solving these two ODES we get

x2 x2
ϕ(x, y) = + i y and χ(x, y) = − iy
2 2
ϕ+χ ϕ−χ x2
Taking ξ= and η = gives ξ = and η = y. Using
2 2i 2
wξ
this ξ and η the canonical form reduces to wξξ + wηη = − .
2ξ

18
Chapter 3

Method of Separation of
variables

3.1 Heat equation

Let us consider the heat conduction problem

ut − k uxx = 0 0 < x < L, t > 0 (3.1.1)

u(0, t) = u(L, t) = 0, t ≥ 0 (3.1.2)
u(x, 0) = f (x), 0 ≤ x ≤ L (3.1.3)

Eq (3.2) and (3.3) implies f (0) = f (L) = 0. Let us assume the solution
′ ′′
u(x, t) = X(x) T (t). This gives XT = k X T .
′ ′′
T X
= = −λ gives
kT X
d2 X dT
= −λ X, 0 < x < L, = −λ k T, t > 0
dx2 dt
19
 First let us solve the ODE for X(x). We need to find the boundary con-
dition for X(x) at x = 0 and x = L. Using u(0, t) = 0 ⇒ X(0) T (t) =
0 ⇒ X(0) = 0 and u(L, t) = 0 ⇒ X(L) T (t) = 0 ⇒ X(L) = 0.

d2 X
+ λ X = 0, 0 < x < L (3.1.4)
x2
X(0) = X(L) = 0 (3.1.5)

This is an eigenvalue problem with eigenvalue λ and eigenfunction Xλ .

√ √
(λ < 0) then X(x) = a cosh( −λ x)+b sinh( −λ x) with X(0) = X(L) =
0 ⇒ X(x) = 0.

(λ = 0) then X(x) = a + b x with X(0) = X(L) = 0 ⇒ X(x) = 0.

√ √
(λ > 0) then X(x) = a cos( λ x) + b sin( λ x) with X(0) = X(L) =
√  nπ 2
0 ⇒ a = 0 and sin λL = 0 ⇒ λ = , n = 1, 2, 3..
L

2
Solving ODE for T (t) gives Tn (t) = e−k ( L ) t , n = 1, 2, 3, .... For
nπ

each λn the product of Xn (x) ∗ Tn (t) is a solution so by the superposi-

∞
X nπx −k ( nπ )2 t
tion principle we get u(x, t) = An sin e L . In order to de-
n=1
L
termine the constants An we need to use the condition u(x, 0) = f (x).
∞
X nπx mπx
This gives An sin = f (x), Multiplying both sides by sin
n=1
L L
Z L
2 mπx
and integrating from 0 to L gives Am = sin f (x) dx, m =
L 0 L
1, 2, 3, ...

Let us solve a problem with some simple f (x).

20
Example 3.1.1. Consider the problem

ut − uxx = 0, 0 < x < π, t > 0

u(0, t) = u(π, t) = 0, t ≥ 0

x, 0 ≤ x ≤ π
2
u(x, 0) =
π − x, π ≤ x ≤ π
2

We get the solution

∞
2
X
u(x, t) = An sin(nx) e−k n t

n=1

4 nπ
Using the condition of u(x, 0) we can obtain An = 2
sin . The
πn 2
final solution is
∞
4 X (−1)n+1 2
u(x, t) = sin ((2n − 1) x) e−(2n−1) t
π n=1 (2n − 1)2
Our solution is an infinite series of functions. So in order for the
solution to be well defined we need to discuss the convergence of the
solution. We can use Weierstrass M-test to check the convergence
X∞
of series of functions un (x, t) where we try to bound un (x, t) <
n=1
∞
X
Mn then if the series of real numbers Mn converges then the real
n=1
∞ ∞
X ∂ X
series un (x, t) converges uniformly. In general un (x, t) 6=
n=1
∂x n=1
∞ ∞
X ∂ X ∂un
un (x, t) may not be equal so the convergence of and
n=1
∂x n=1
∂t
∞
X ∂ 2 un
2 should also be verified. I will leave it as an exercise.
n=1
∂x

21
 3.2 Wave equation

Let us consider the problem

utt − c2 uxx = 0, 0 < x < L, t > 0

ux (0, t) = ux (L, t) = 0, 0 ≤ x ≤ L
u(x, 0) = f (x), ut (x, 0) = g(x), 0 ≤ x ≤ L

Compatibility conditions
′ ′ ′ ′
f (0) = f (L) = g (0) = g (L) = 0
′′ ′′
Let u(x, t) = X(x) T (t) which gives X T = c2 X T
′′ ′′
T X
= = −λ
c2 T X
From this we get two ordinary differential equations
′′ ′′
X + λ X = 0, T + λ c2 T = 0

This is an eigenvalue problem. The boundary condition gives ux (0, t) =

′ ′ ′
0 ⇒ X (0) T (t) = 0 ⇒ X (0) = 0. Similarly X (L) = 0.
√ √ ′ ′
(λ < 0) then X(x) = a cosh( −λ x)+b sinh( −λ x) with X (0) = X (L) =
 nπ 2
0 ⇒ b = 0 and λ = which cannot happen since λ is neg-
L
ative.
′ ′
(λ = 0) then X(x) = a + b x with X (0) = X (L) = 0 ⇒ X0 (x) = const.
√ √ ′ ′
(λ > 0) then X(x) = a cos( λ x) + b sin( λ x) with X (0) = X (L) =
√  nπ 2

0 ⇒ b = 0 and sin λL = 0 ⇒ λ = , n = 1, 2, 3....
n π x L
Xn (x) = an cos .
L
22
 ′′
Solving the equation T + λ c2 T = 0

p p
(λ > 0) then Tn (t) = αn cos( λn c2 t) + βn sin( λn c2 t), n = 1, 2, 3., .
′′
(λ = 0) then T = 0 ⇒ T0 (t) = α0 + β0 t.

∞
X
Finally u(x, t) = X0 (x) T0 (t) + Xn (x) Tn (t)
n=1

∞     
A0 + B0 t X cπnt cπnt
⇒ u(x, t) = + An cos + Bn sin
2 n=1
L L
nπx
cos , n = 1, 2, 3, ..
L
Example 3.2.1. Consider the problem

utt − 4 uxx = 0, 0 < x < 1, t > 0

ux (0, t) = ux (1, t) = 0, t ≥ 0
u(x, 0) = cos2 (π x), 0 ≤ x ≤ 1
ut (x, 0) = sin2 (π x) cos(π x), 0 ≤ x ≤ 1

Using the solution of the previous problem

∞
A0 + B0 t X
u(x, t) = + (An cos(2n π t) + Bn sin(2n π t)) cos(n π x)
2 n=1

Using the conditions of intial displacement and intial velocity we get,

∞
A0 X 1 + cos(2 π x)
u(x, 0) = + An cos(n π x) = cos2 π x =
2 n=1
2

23
 1
This gives A0 = 1, A2 = , An = 0, ∀n 6= 0, 2
2
∞
B0 X
ut (x, 0) = + Bn (2 n π)cos(n π x) =
2 n=1
cosπ x cos 3 π x
sin2 (π x) cos(π x) = −
4 4
1 1
This gives B1 = , B3 = − , Bn = 0, ∀n 6= 1, 3
8π 24 π
1 1 1
u(x, t) = + sin(2 π t) cos(π x) + cos(4 π t) cos(2 π x) −
2 8π 2
1
sin(6 π t) cos(3 π x).
24 π
Example 3.2.2.

utt − uxx = cos(2 π x) cos(2 π t), 0 < x < 1, t > 0

ux (0, t) = ux (1, t) = 0, t ≥ 0
u(x, 0) = cos2 (π x), 0 ≤ x ≤ 1
ut (x, 0) = 2 cos(π x), 0 ≤ x ≤ 1

We have Xn (x) = cos(n π x), λn = (n π)2 , n = 0, 1, 2, .... Let us

assume the solution as
∞
T0 (t) X
u(x, t) = + Tn (t) cos(n π x)
2 n=1

Substituting this expression in the PDE and using the initial con-
ditions finally we get the solution
 
1 cos(2 π t) t + 4
u(x, t) = + + sin(2 π t) cos(2 π x).
2 2 4π

24
3.3 Mathematical justification of the method

The method of separation of variables has limitations and the points

to be noted before applying the method are as follows.

(a) In the partial differential equation L u = f (x, y)

∂2 ∂2
 
Ex : For wave equation L = 2 + 2 L must be separable.
∂t ∂x
L(X(x) Y (y))
∄φ(x, y) such that = F (x) G(y) for some F
φ(x, y) X(x) Y (y)
and G functions of x and y.
∂2u ∂2u ∂2u
(Ex: L(u) = + + , substituting u(x, y) = X(x) Y (y)
∂x2 ∂x∂y ∂y 2
′′ ′ ′ ′′
L(X(x) Y (y)) = X Y + X Y + X Y cannot be written as
F (x) + G(y). So the PDE is not separable.

(b) All initial and boundary conditions must be on lines x = const

and y = const. (Ex: Suppose a domain not rectangular with
sides parallel to x and y axes.)

(c) Linear operator boundary conditions x = const involve no par-

tial derivative of u w.r.t x. Similarly y = const involve no partial
derivative of u w.r.t y. (Ex: Suppose at x = 0 the condition is
∂u ∂u
given as + = 0 ).
∂x ∂y

25
26
Chapter 4

First order partial differential

equations

4.1 Introduction

In this chapter we will see the methods to solve first order PDES which
are Quasilinear.

a(x, y, u) ux + b(x, y, u) uy = c(x, y, u) (4.1.1)

Let us start solving this PDE

Example 4.1.1.

ux = c0 u + c1 (x, y), u(0, y) = y (4.1.2)

Eventhough this a PDE since there is no term with uy this can be

looked as a first-order ODE and then solved by method of integrating

27
 Y

y = const Initial Curve

Characteristic curves

y=const

factors.
dy
+ P (x) y = Q(x)
dx
Z x
−c0 x
u(x, y) e = c1 (ξ, y) e−c0 ξ dξ + T (y). By using the condition
0
u(0, y) = y. We find that T (y) = y. So this problem has a unique
solution.

In solving the above problem by fixing y = const we see that the

PDE gets converted to set of ODE’s on each y = const line. So we
have solved the set of ODES’s. These are solutions of ODE’s on the
line y = const. We then call the line as characteristic curve and the
solution as characteristic solution.

Now it is not always true that a first-order PDE with given condi-
tion will have a solution which is unique. Let us see few examples on

28
this issue.

Example 4.1.2. Consider the PDE ux = c0 u with u(x, 0) = 2 x.

The solution is u(x, y) = ec0 x T (y) by using the condition we see

that T (0) = 2 x e−c0 x which is impossible. So the PDE has no solution.

Example 4.1.3. Consider the same PDE ux = c0 u with u(x, 0) =

2 ec0 x . we see that T (0) = 2 which means there are infinitely many
functions T (y) satisfying the above condition. So the PDE has in-
finitely many solutions.

4.2 Method of Characteristics

Consider the quasi-linear first-order partial differential equation

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

The initial condition is given on some curve Γ(s) : (x0 (s), y0 (s), u0(s))
in the parametric form where s ∈ (α, β). This can be written as
(a, b, c) . (ux , uy , −1) = 0 where (ux , uy , −1) is normal to the surface
u(x, y) − u = 0 on the (x, y, u) plane. Therefore (a, b, c) lies in the
tangent plane. So we get the equations
dx
= a(x(t), y(t), u(t))
dt
dy
= b(x(t), y(t), u(t))
dt
du
= c(x(t), y(t), u(t))
dt
We call this set of ODE’s as characteristic equation. Solving this
set of ODE’s gives characteristic curves (x(t, s), y(t, s), u(t, s)) where

29
 u

Initial curve

Characteristic curve

each curve emanates from different points on Γ(s) for the given initial
condition x(0, s) = x0 (s), y(0, s) = y0 (s), u(0, s) = u0 (s).

Example 4.2.1. Solve the PDE ux + uy = 2, u(x, 0) = x2

The set of characteristic equations are

dx dy du
= 1, = 1, =2
dt dt dt

where x(0, s) = s, y(0, s) = 0, u(0, s) = s2 . Solving this set we get

x(t, s) = t + s, y(t, s) = t, u(t, s) = 2 t + s2 . This gives u(x, y) =
2 y + (x − y)2 . To see the characteristics in the x − y plane we can use
dy b(x, y)
the ODE = which gives y = x + c for the current problem.
dx a(x, y)

30
4.2.1 Transversality condition

In order for the PDE to have a unique solution near the initial curve
Γ(s) the transformation x(t, s), y(t, s) has to be invertible. That is the
jacobian should be non-zero on the points of initial curve Γ.
   
∂(x, y) x y   a b 
 t t 
= =  6= 0 Geometrically this means
∂(t, s) xs ys  (x0 )s (y0 )s 
projection of Γ on the x − y plane is tangent at this point to the
projection of the characteristic.

Example 4.2.2. Solve the equation ux = 1 subject to u(0, y) = g(y).

dx dy du
= 1, = 0, =1
dt dt dt
where x(0, s) = 0, y(0, s) = s, u(0, s) = g(s). Solving this set we
get x(t, s) = t, y(t, s) = s, u(t, s) = t + g(s). This gives u(x, y) =
x + g(y). If the initial condition is changed to u(x, 0) = h(x). we get
where x(0, s) = s, y(0, s) = 0, u(0, s) = h(s). Solving for this condi-
tion we get x(t, s) = t+s,
 y(t, s) = 0, u(t, s) = t+h(s). The transver-
1 0
sality condition   = 0. The solution has a problem with unique-
 
1 0
dy
ness. The characterisitc curves for this equation is = 0 ⇒ y = c.
dx
The initial curve Γ(s) is the x axis which is also the characteristic
curve on y = 0. So the initial curve Γ and the characteristic curve
coincides. So we loose the uniqueness near the initial curve.

Example 4.2.3. Solve the equation ux + uy + u = 1 subject to u =

sin x, on y = x + x2 , x > 0.
dx dy du
= 1, = 1, =1−u
dt dt dt
31
 30

25

20

Initial curve
15

characteristic
10
curves

−5

−10
−5 −4 −3 −2 −1 0 1 2 3 4 5

where x(0, s) = s, y(0, s) = s + s2 , u(0, s) = sin s. Solving this set

we get x(t, s) = t + s, y(t, s) = t + s + s2 , u(t, s) = 1 + (sin s − 1) e−t .
This gives
√ √
u(x, y) = 1 + sin y − x − 1 e−(x− y−x) . This solution is valid in

the domain D = {(x, y)|0 < x < y} ∪  

1 1 
{(x, y)|x ≤ 0 and x + x2 < y} The transversality condition  =
 
1 1 + 2s
2 s 6= 0 when s 6= 0. If you observe clearly the solution u is not differ-
dy
entiable at the origin. The characteristics are = 1 ⇒ y = x + c.
dx
We can observe that the Slope of the initial curve at the origin =
Slope of the characteristic at the origin. When choosing s we have
√
omitted s = − y − x. So the solution near the curve in the region
{(x, y)|x < 0 and y = x + x2 } gives non-uniqueness of the solution.

Example 4.2.4. Solve the equation −y ux + x uy = u subject to

32
 2

1.5
characteristic
1 curve

Initial curve
0.5

−0.5

−1

−1.5

−2
−2 −1.5 −1 −0.5 0 0.5 1 1.5 2

u(x, 0) = ψ(x).
dx dy du
= −y, = x, =u
dt dt dt

where x(0, s) = s, y(0, s) = 0, u(0, s) = ψ(s). Solving this set

s) = s cos t, y(t, s) = s sin t, u(t, s) = et ψ(s). This gives
we get x(t, 
x2 + y 2 etan ( x ) .
p −1 y
u(x, y) = ψ
 
1 s
The transversality condition   = −s 6= 0 when s 6= 0. In
 
1 0
p 
choosing ψ x2 + y 2 we have assumed x > 0. Each characteristic
intersects the initial curve Γ twice.
2
Example 4.2.5. Solve the equation ux + 3 y 3 uy = 2 subject to

33
u(x, 1) = 1 + x.
dx dy 2 du
= 1, = 3 y3, =2
dt dt dt
where x(0, s) = s, y(0, s) = 1, u(0, s) = 1 + s. Solving this set we
get x(t, s) = t + s, y(t, s) = (t + 1)3 u(t, s) = 2 t + s + 1. This
1
1 3
gives u(x, y) = x + y 3 . The transversality condition   = −3 6=
 
1 0

Initial curve

y=1

Characteristic
curve

dy 2
0. The characteristic equation = 3 y 3 with y(0, s) = 1 is not
dt
Lipchitz continuous at the origin. This gives y = t3 and y = 0 as
solutions. So this does not have unique solution. Hence y = 0 is also
a characterisitic. We also get y = (x − s + 1)3 . For each point s
on y = 1 we get different characteristic curve which intersects with

34
another characteristic y = 0. Thus u may not have unique solution
1
there. Hence the solution u(x, y) = x + y 3 is singular on the x − axis.

4.3 Lagranges Method

Consider the quasilinear PDE a(x, y, u) ux +b(x, y, u) uy = c(x, y, u).

The characteristic equations are
dx dy du
= a(x, y, u), = b(x, y, u), = c(x, y, u)
dt dt dt
From this we can extract two set of equations
dy b(x, y, u) du c(x, y, u)
= , =
dx a(x, y, u) dx a(x, y, u)
We get two family of curves φ(x, y, u) = α, ψ(x, y, u) = β. So the
general solution to the quasilinear PDE is

F (φ(x, y, u), ψ(x, y, u)) = 0.

Lemma 4.3.1. Let φ = φ(x, y, u), ψ = ψ(x, y, u).

If f (φ, ψ) = 0 then u satisfies

∂u ∂(φ, ψ) ∂u ∂(φ, ψ) ∂(φ, ψ)
+ =
∂x ∂(y, u) ∂y ∂(u, x) ∂(x, y)

Proof. We know that f (φ, ψ) = 0. Differentiating with respect to x

and y we get
   
∂f ∂φ ∂φ ∂u ∂f ∂ψ ∂ψ ∂u
+ + + =0
∂φ ∂x ∂u ∂x ∂ψ ∂x ∂u ∂x
   
∂f ∂φ ∂φ ∂u ∂f ∂ψ ∂ψ ∂u
+ + + =0
∂φ ∂y ∂u ∂y ∂ψ ∂y ∂u ∂y

35
  
φ + u φ ψ + u ψ 
 x x u x x u
 =0
φy + uy φu ψy + uy ψu 
which gives
∂u ∂(φ, ψ) ∂u ∂(φ, ψ) ∂(φ, ψ)
+ =
∂x ∂(y, u) ∂y ∂(u, x) ∂(x, y)

Theorem 4.3.2. The general solution of PDE a(x, y, u) ux+b(x, y, u) uy =

c(x, y, u) is f (φ, ψ) = 0, where φ(x, y, u) = c1 , ψ(x, y, u) = c2 are the
solution curves of
dx dy du
= =
a(x, y, u) b(x, y, u) c(x, y, u)

Proof. Since φ(x, y, u) = c1 and ψ(x, y, u) = c2

dφ = φx dx + φy dy + φu du = 0
dψ = ψx dx + ψy dy + ψu du = 0

Using
dx dy du
= =
a(x, y, u) b(x, y, u) c(x, y, u)

a φx + b φy + c φu = 0
a ψx + b ψy + c ψu = 0

Solving for a, b, c we get

a b c
∂(φ,ψ)
= ∂(φ,ψ)
= ∂(φ,ψ)
∂(y,u) ∂(u,x) ∂(x,y)

The proof can be deduced by using the above lemma.

36
Example 4.3.1. Find the general solution of x ux + y uy = u. The
set of equations are
dx dy du
= =
x y u
y u
We get φ(x, y, u) = = c1 , ψ(x, y, u) = = c2 . Thus the general
y u x x y 
solution is f , = 0. This can be written as u(x, y) = x g .
x x x
Example 4.3.2. Find the general solution of x2 ux +y 2 uy = (x+y) u.
The set of equations are
dx dy du
2
= 2 =
x y (x + y) u

dx dy y−x dx − dy du x−y
= gives = c 1 and = ⇒ = c2 .
x2 y2 xy x2 − y 2 (x
 + y) u u
y−x x−y
The general solution of the above PDE is f , = 0.
xy u
Example 4.3.3. Find the general solution of PDE u (x + y) + u (x −
y) uy = x2 + y 2 , u = 0on y = 2x. The set of equations are

dx dy du
= = 2
u (x + y) u (x − y) x + y2

y dx + x dy − u du x dx − y dy − u du
=
0 0
2
   2 2 2

u x −y −u
d xy − = 0, d = 0 which gives u2 − x2 + y 2 =
2 2
c1 and 2 xy−u2 = c2 . The general solution is f x2 + y 2 − u2, 2 xy − u2 =

0. Using the initial condition u = 0 on y = 2x. We get 4 c1 = 3 c2 ⇒

7 u2 = 6 xy + 4 (x2 − y 2 ).

37
38
Chapter 5

Tutorial 1

Exercise 5.0.1.

∂2u ∂2u
− 9 = 0, −∞ < x < ∞, t > 0
∂t2 ∂x2 
1, if |x| ≤ 2
u(x, 0) =
0, if |x| > 2

∂u 1, if |x| ≤ 2
(x, 0) = (5.0.1)
∂t 0, if |x| > 2

1
(i) Find u(0, )?
6
(ii) Find large time behaviour of the solution lim u(ξ, t)?
t→∞

for fixed ξ ∈ R.

Exercise 5.0.2. Using D’Alemberts form of solution for wave equa-

39
tion find the solution of
∂2u 2
2∂ u
− c = 0, −∞ < x < ∞, t > 0
∂t2 ∂x2
2
u(x, 0) = e−x , −∞ < x < ∞
∂u
(x, 0) = 0, −∞ < x < ∞ (5.0.2)
∂t
Exercise 5.0.3. Thermal conductivity of an aluminium alloy is 1.5
W/cm K. Calculate the steady state temperature of an aluminium bar
of length 1m (insulated along the sides) with its left end fixed at 20◦ C
and right end fixed at 30◦ C.

Exercise 5.0.4. (a) Show that the function

2
− kθρc t
u(x, t) = e sin(θx) is a solution to the homogeneous heat
2
equation ρc ∂u − k ∂ u2 = 0, 0 < x < l, ∀t.
∂t ∂x
(b) What values of θ will cause u to also satisfy homogeneous Dirich-
let conditions at x = 0 and x = l?

Exercise 5.0.5. Classify the PDE and reduce to its canonical form

(a)
∂2u ∂2u 2 ∂2u ∂u
2 − 2 sin x − cos x 2 − cos x =0
∂x ∂x∂y ∂y ∂y

(b)
∂2u ∂2u ∂u
y5 2 − y 2 +2 = 0, y > 0
∂x ∂y ∂y

(c)
∂2u 2
2 2 ∂ u 2 ∂u
2 + (1 + y ) 2 − 2y (1 + y ) =0
∂x ∂y ∂y

40
 ∂2u ∂2u 1
 
∂u ∂u
Exercise 5.0.6. Consider the equation x 2 −y 2 + − =
∂x ∂y 2 ∂x ∂y
0

(a) Find the domain where the equation is elliptic and the domain
where it is hyperbolic.

(b) For each of the above two domains, find the corresponding canon-
ical transformation.

Exercise 5.0.7. Using Separation of variables find the solution to the

following PDE’s

(a)

∂2u ∂2u
= , 0 < x < π, t > 0
∂t2 ∂x2
u(0, t) = u(π, t) = 0, t ≥ 0
u(x, 0) = sin3 x, 0 ≤ x ≤ π
∂u
(x, 0) = sin 2x, 0 ≤ x ≤ π (5.0.3)
∂t

∂u ∂2u
(b) Solve the heat equation = 12 2 , 0 < x < π, t > 0 subject
∂t ∂x
to the following boundary and initial condition

∂u ∂u
(0, t) = (π, t) = 0, t ≥ 0
∂x ∂x
u(x, 0) = 1 + sin3 x, 0 ≤ x ≤ π (5.0.4)

Find lim u(x, t) for all 0 < x < π and explain physical interpre-
t→∞
tation of your result.

41
 ∂u ∂2u
(c) Consider the heat equation − = 0, x ∈ R, t ≥ 0.
∂t ∂x2
Find the transformation λ(x, t) by solving an ODE of the form
φ(λ).

42
Chapter 6

Tutorial II

Exercise 6.0.8. Solve the PDE subject to the given Cauchy condition
on the Cauchy data curve

(1) 2 ux − 5 uy = 4, subject to the Cauchy condition u(x, 0) = x.

(2) ux + 3 uy = u + 2, subject to the Cauchy condition u(0, y) = y.

(3) x ux + 2y uy = 3 u, subject to the Cauchy condition u(1, y) =

cos y for y > 1 .

(4) ux −2 uy = u−1, subject to the Cauchy condition u = 2y on x =

ky, giving reasons for any restriction that must be placed on k.

(5) Solve by the method of characteristic ux + 2 x uy = 2 x u, given

x2
that u = x2 on the initial curve Γ with the equation y = .
2
(6) ut +2 u ux = 0, subject to the Cauchy condition u(x, 0) = tanh x.

43
 (7) ut − u ux = et , subject to the Cauchy condition u(x, 0) = −x.
1
(8) u ut+ux = 0, subject to the Cauchy condition u(x, 1) = for x ≥
x
1.

(9) ut + u ux = t, subject to the Cauchy condition u(x, 0) = −2x.

Find the domain in the upper half of (x, t) plane where the
solution is valid.

(10) Solve the PDE ut + 3 u3 ux = 0 subject to the Cauchy condition


−1, −∞ < x < −1



u(x, 0) = x, −1 ≤ x ≤ 4


4,

4<x<∞

Exercise 6.0.9. Solve the following PDE by Lagrange’s method

(1) 3 ux + 2 uy = 0 with u(x, 0) = sin(x)

2
(2) y ux + x uy = 0 with u(0, y) = e−y
2
(3) y ux + x uy = x y, x ≥ 0, y ≥ 0 with u(0, y) = e−y
2
for y > 0, u(x, 0) = e−x , for x > 0
x
(4) 2 xy ux + (x2 + y 2 ) uy = 0, u = e x−y on x + y = 1.

44