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Boyar 20d od Rew ed of: Pagtalditerantia! equations and Youndary value problems, Bcd Upper Sadie iver "eatin renn Ha, cai WSN o3-tebo00-0 ee Diorentit eat Paresh anoren ‘Qasrr ass 2004 Sis ssecaeae ‘mo sse0 Catatoging-ie-Publication Date Souitions snd Boundary value prem. Tile With affection, I dedicate this book to my parents Habib and Mounira, my wife Gracia, and my children Julia and Thomas. Executive Acauisslons Editor: Googe Lael Eiichi Sl vage Stnlor Managing Editar” Linde Mibolow Berens Bxerutive Managing Bitar” Kothlen Scheu Vise Prshlene)Drcctor of Production td Mfamefactrings David W. Ricnrds imstcconas Manager, Maly Ducat Marketing Assistant: Rachel Beckman Pils Stat Jefe Brady Director of Creative Services: Paut Betfont Cover Designer" Bru Keser Shunogens Cover Vial Research and Pecmisions: Karen Sonor TRowee at Sanea Graz de Toneife in the Canary Tanda dominated by 4 Durg/Olves Shel, Paladino Photodesism, Cologne fo Culatrava'r per ‘wingine canopy 300 feet tal Photo {Q1008, 2000 Pearson Eaton, Ine Bearson Education, Ine. Upper Saadie Rives NO 758 2 ght naar Mo pas is Doak may Be sprodvee, I8 ay frm hy Any mean, without pernon Peacson Prentice Hall® lem trademark of Pearson Eau Peintd in the United States of America tooeresasat ISBN 0-13-148096-0 Peaibrn lgestion LED. London ears feleation Aastialia PRY, Limited, Spine Pearson Falgction Masia, Pon, LedContents Preface vii | A Preview of Applications and Techniques 1 1.1 What is a Partial Differential Equation? 2 1.2 Solving and Interpreting a Partial Differential Equation 7 2. Fourier Series 7 2.1 Periodic Functions 18 2.2 Fourier Series 26 2.3 Fourier Series of Functions with Arbitrary Periods 38. 2.4 Half-Range Expansions: The Cosine and Sine Series 50 2.5 Mean Square Approximation and Parseval’s Identity 53 2.6 Complex Form of Fourier Series 60. 2.7 Forced Oscillations 69 Supplement on Convergence 2.8 Proof of the Fourier Series Representation Theorem 77 2.9 Uniform Convergence and Fourier Series 85 2.10 Dirichlet Test and Convergence of Fourier Series 94 3 Partial Differential Equations in Rectangular Coordinates 103 3.1 Partial Differential Equations in Physics and Engineering 104 8.2 Modeling: Vibrating Strings and the Wave Equation 109 3.3 Solution of the One Dimensional Wave Equation ‘The Method of Separation of Variables 114 3.4 D’Alembert’s Method 126 8.5 The One Dimensional Heat Equation 135 8.6 Heat Conduction in Bars: Varying the Boundary Conditions 146iv Contents 3.7 The Two Dimensional Wave and Heat Equations 155 3.8 Laplace's Equation in Rectangular Coordinates 163 3.9 Poisson's Equation: The Method of Eigenfunction Expansions 170 3.10 Neumann and Robin Conditions 180 3.11 The Maximum Principle 187 4 Partial Differential Equations in Polar and Cylindrical Coordinates 193 4.1 The Laplacian in Various Coordinate Systems 194 4.2 Vibrations of a Circular Membrane: Symmetric Case 198 4.3 Vibrations of a Circular Membrane: General Case 207 4.4 Laplace’s Equation in Circular Regions 216 4.5 Laplace’s Equation in a Cylinder 228 4.6 The Helmholtz and Poisson Equations 232 Supplement on Bessel Functit ns 4.7 Bessel’s Equation and Bessel Functions 237 4.8 Bessel Series Expansions 248 4.9 Integral Formulas and Asymptotics for Bessel Functions 261 5 Partial Differential Equations in Spherical Coordinates 269 5.1 Preview of Problems and Methods 270 5.2 Dirichlet Problems with Symmetry 274 5.3 Spherical Harmonies and the General Dirichlet Problem 281 5.4 The Helmholtz Equation with Applications to the Poisson, Heat, and Wave Equations 291 Supplement on Legendre Functions 5.5 Legendre’s Differential Equation 300 5,6 Legendre Polynomials and Legendre Series Expansions 308 5.7 Associated Legendre Functions and Series Expansions 19 6 Sturm-Liouville Theory with Engineering Applications 325 6.1 Orthogonal Functions 326 6.2 Sturm-Liouville Theory 333 6.3 The Hanging Chain 346 6.4 Fourth Order Sturm-Liouville Theory 353, 6.5 Blastic Vibrations and Buckling of Beams 360 6.6 The Bikacionic Operator 371 6.7 Vibrations of Circular Plates 377Contents ¥ 7 The Fourier Transform and Its Applications 389 7.1 The Fourier Integral Representation 390 7.2 The Fourier Transform 398 7.3 The Fourier Transform Method 411 7.4 The Heat Equation and Gauss’s Kernel 420 7.5 A Dirichlet Problem and the Poisson Integral Formula 429 7.6 The Fourier Cosine and Sine Transforms 433 7.7 Problems Involving Semi-Infinite Intervals 440 7.8 Generalized Functions 445 7.9 The Nonhomogeneous Heat Equation 461 7.10 Duhamel’s Principle 471 8 ‘The Laplace and Hankel ‘Transforms with Applications 479 8.1 The Laplace Transform 480 8.2 Further Properties of the Laplace Transform 491 3 The Laplace Transform Method 502 8.4 The Hankel Transform with Applications 508 9 Finite Difference Numerical Methods 515 9.1 The Finite Difference Method for the Heat Equation 9.2 The Finite Difference Method for the Wave Equation 9.3 The Finite Difference Method for Laplace's Equation 9.4 Iteration Methods for Laplace’s Equation 541 10 Sampling and Discrete Fourier Analysis with Applications to Partial Differential Equations 546 10.1 The Sampling Theorem 547 10.2 Partial Differential Equations and the Sampling Theorem 5 10.3 The Discrete and Fast Fourier Transforms 559 10.4 The Fourier and Discrete Fourier Transforms 567 5 1] An Introduction to Quantum Mechanics 573 ILA Schrédinger’s Equation 574 11.2 The Hydrogen Atom 581 11.8 Heisenberg’s Uncertainty Principle 590 Supplement on Orthogonal Polynomials 11.4 Hermite and Laguerre Polynomials 597vi Contents 12. Green’s Functions and Conformai Mappings 12.1 Green's Theorem and Identities 612 12.2 Harmonic Functions and Green's Identities 12.3 Green’s Functions 629 12.4 Green’s Functions for the Disk and the Upper Half-Plane 12.5 Analytic Functions 645 12.6 Solving Dirichlet Problems with Conformal Mappings 12.7 Green’s Functions and Conformal Mappings 12.8 Neumann Functions and the Solution of Neumann Problems APPENDIXES 611 684 A B Ordinary Differential Equations: Review of Concepts and Methods A.1 Linear Ordinary Differential Equations A.2 Linear Ordinary Differential Equations with Constant Coefficients A10 A.3 Linear Ordinary Differential Equations with Nonconstant Coefficients A21 A.4 The Power Series Method, Part 1 A.5 The Power Series Method, Part IL A.6 The Method of Frobenius A51 ‘Tables of Transforms B.1 Fourier Transforms A66 B.2 Fourier Cosine Transforms A68 B.3 Fourier Sine Transforms A69 B.4 Laplace Transforms 70 References Answers to Selected Exercises Index ADB AMO AQ Al AGS AT3 ATS A99Preface I was very pleased with the positive responses that I received from users of the first edition. This edition incorporates many of their suggestions. It contains mote engineering and physics applications, and more mathematical proofs and theory. ‘To preserve the original organization of the topics, most changes appear in new sections at the end of chapters. Like the first edition, this book is intended as a modern textbook for an in- troductory course on partial differential equations and boundary value problems, including Fourier series. It is designed for use by students who have completed a first course in ordinary differential equations. ‘The Book’s Content and Organization ‘The book is so organized as to provide a smooth transition from a course in ele- mentary ordinary differential equations to more advanced topics in a first course in partial differential equations. Even though the book is intended for students of engineering, mathematics, and physies, with heavy emphasis on applications, the new topics in this edition offer the instructors the option to teach a theory oriented course on partial differential equations or a course with heavier emphasis on Fourier series and boundary value problems. Beyond the core material for a basic course on partial differential equations (see Possible Course Outlines, below), the book includes a number of more specialized topics that the instructor can cover or use as research projects at his ot her discretion, These more advanced topics, while building on the core material, are more or less independent of each other: Minimal Prerequisites In Appendix A we review the basics from the theory of linear otdinary differential equations, including series methods. This material may be covered in detail or completely omitted at the discretion of the instructor. It is ineluded as a convenience to the student who wishes to review these topics and to have ready access to them. In particular, Sections A4-A.6 contain a detailed treatment of the power series method and the Frobenius method that is suitable for students who are seeing this material for the first time, With the recent trend to omit the series methods from a first course in ordinary differential equations, I felt that it was necessary to treat this material in full detail The Exercises and Noteworthy Features for Computer Users Each set of exercises begins with a series of straightforward problems designed to solidify the student’s understanding of the basic concepts in that section. ‘The later exercises in each section are usually more involved and lead the student to a deeper understanding of the concepts. They usually include detailed hints to make them accessible to all students at this level. Some sections contain Project Problems which are longer exercises geared toward noteworthy results or interesting applica- tions. They can be used by individual students, or as group projects, or as further illustrations by the instrnetorviii Preface While the book is written fom @ teaditional viewpoint and is suitable as a textbook without. computer access, I have included several examples and exercises that make use of the computer. Exercises that require the use of the computer ace preceded by a computer icon. Typically these exercises ask the student to investigate problems using computer-generated graphics (¢.g., convergenre of partial sums of Fourier, Bessel, Legendre, and other expansions in terms of special functions), and to geaerate numerical data that cannot be computed by hand with a reasonable effort (for example, computing generalized Fourier coefficients and roots of transcendental equations) New in this Ed jon The most notable changes in this edition are the following, ¢ New examples of Fourier series and exercises are added in Section 2.2. These are based on figures and designed to challenge the students? ability to read and understand graphs of Fourier series. © Section 2.7 is new. Jt contains a nice application of Fourier series to the solution of the forced vibrations of mechanical or electrical systems. The presentation goes beyond what is typically done in this area and discusses a method for suppressing the large oscillations of the system by analyzing the Fourier series solution. # Section 2.8 is new and so Is most of Section 2.9. The last three sections of Chapter 2 now offer the most thorough treatment of pointwise and uni form convergence of Fourier series, including a complete proof of the Fou series representation theorem for piecewise smooth functions. The savelty in the arrangement of these proofs makes them very suitable for classroom presentation. # Section 3.4 has been expanded to cover the topics of characteristic lines an parallelograms, and intervals of dependence in d’Alembert’s solution. ‘© Section 3.10 is new. It treats boundary value problems on rectangular regions with Robin and Neumann conditions. # Section 4.4 has been expanded to cover boundary value problems on discs, wedges, and sectors in planes, with Robin and Neumann conditions. * Section 4.9 is new. Tk develops important advanced properties of Bessel fune- tions, such as integral representations and asymptotic formulas. The section also introduces the method of stationary phase that is of interest to engineers, Physicists, and applied mathematicians, # Sections 6.6 and 6.7 are new. They treat the btharmonic equation and the theory of vibrations of plates. These sections combine several important tools from previous sections (asymptotic formulas for Bessel functions, the eigenfunction expansion method, generalized Fourier series) # Section 7.2 adds new examples of convolutions with @ discussion of the role of convolutions in tite solutions of boundary value problems, © Section 7.8'is new. It treats generalized functions, derivatives of piece wise smooth functions, convolutions, and applications to the computation of Fourier transforms of piecewise smooth functions.Preface ix '* Sections 7.9 and 7.10 are new. They contain Duhamel’s principle, with appli- cations to the nowhomogeneous heat and wave equations. They also introduce the notions of fundamental solutions and weak solutions of partial differen- tial equations. Even though the topics are theoretical in nature, the sections contain many interesting applications and exercises that should appeal to a student seeing this material for the first time. ‘¢ Chapter 12 on Green’s functions ané conformal mappings is new. This is a self-contained treatment of Green’s functions and conformal mappings that is written in the same easy-to-follow style as the rest of the book. The chapter is packed with interesting exercises and applications, Section 12.1 starts with the basic properties of line integrals, proves Green’s theorem, derives Green's formulas, and then proves fundamental results about har- monic functions. In Sections 12.2 and 12.3, we prove Gauss’s mean value property of harmonic functions and the maximum modulus principle, derive Grees’s functions and discuss their theoretical and physical significance, Sec- tion 12.3 also treats the eigenfunction method for finding Green’s functions. In Section ¥2.4, the method of images is used to derive Green’s functions. Section 12.5 is @ resourceful introduction to the theory of analytic functions and their applications to partial differential equations. This section includes the Cauchy-Riemann equations and many interesting applications of analytic functions to the solution of Dirichlet problems. Section 12.6 presents the method of conformal mappings and its applications to boundary value prob- lems. In Sections 12.7 and 12.8 we use conformal mappings to derive Green’s functions and Neumann functions. '* Appendix Ad is new. It provides a review of power series that is suitable for the power series methods of the following sections, Possible Course Outlines + Basic Course in Partial Differential Equations. This course consists of the core material. = Chapter 1 Sections 2.1-2.4, 2.6. Chapter 3 (Sections 3.9-3.11 are optional) Sections 4.1, 4.2, 44 (appealing to Sections 4.7 and 4.8 as needed) Sections 5.1, 5.2 (appealing to Sections 5.5 and 5.6 as needed). ~ Sections 6.1, 6.2 ~ Sections 7.1-1.7 — Section 8.3 (appealing to Sections 8.1 and 8.2 as needed), * A Course with an Emphasis on Engineering Applications. Substitute the material from Chapter 5 by any of the following sections: Sections 2.7, 6.3, 6.5, 6.6 and 6.7 + A Course with an Emphasis on Physics. Substitute sections from Chap- tets 7 and 8 by sections from Chapters 5 and 11X Preface + A Course with an Emphasis on Mathematical Proofs. Include Seo ions 2.8-2.10, Chapter 12 om Green’s functions, as well as Sections 4.9, 6.6, 6.7, and 7.8-7.10, are more appropriate in a course geared toward beginning graduate students or advanced undergraduate students. ‘The Companion Web Site ‘The author’s Mathematica files and a Student Solutions Manual, as well as ‘other complementary materia’ refated to the book, can be downloaded from the author's web site at http://www.math,missouriedu/ ~nakhle Instructors wishing to obtain an Instructor Solutions Manual can contact the author direotly by e-mail at nakhle@math.missouriedu Also, instructors that wish to expand on the material on complex variables in Sec- tion 12.5 are invited to consult the book Applied Complex Analysis with Partial Differential Equations, by N. Asmar (with the assistance of G. Jones), published by Prentice Hall, 2002, Material from this book can be provided to students at the request of instructors, with the petmission of the Editor. Acknowledgments I wish to thank Professor Stephen Montgomery-Smith (University of Missouri) for giving me several suggestions for this new edition. I am also very grateful to the following reviewers who have generously shared with me several insightful ideas for this new edition: Professors Grant W. Hart (Physics, Brigham Young Uni sity), Robert B. Israel (Mathematics, University of British Columbia), David G Retaloff (Chemical Engineering, University of Missouri), Jun Yu (Mathematics and Statistics, University of Vermont). It is also a pleasure to thank Professors Dar- ryl Yong (Mathematics, Harvey Mudd College) and Mark Lammers (Mathematics, University of North Carolina, Wilmington). Many thanks to Professor Ghazi Asmar (Mechanical Engineering, Notre Dame University, Lebanon) for his help on Sections 2.7, 6.4, 6.6 and 6.7. Thanks also to the following mathematicians who have reviewed the first edition: Mark W. Coffey (University of Colorado at Denver), Richard Ford (California State University at Chico), Stephen J. Greenfield (Rutgers University), Mark Kon (Boston University), William G. Margulies and Saleem Watson (California State University at Long Beach). It is always a pleasure to thank Richard Wiakel for his help in the area of computer technology: Twish to thank George Lobell, my Prentice Hall Editor, for his support, advice, and encouragement. I also want to thank Barbara Mack, the Production Editor at Prentice Hall, for her assistance and advice. Lam especially grateful for the support that I received from my family and my parents. It is with great pleasure that I dedicate this book to my wife Gracia, our children, Julia and Thomas, and my parents Habib and Mounira, “Nakhlé H. Asmar nakhle@math.missourieduA PREVIEW OF APPLICATIONS AND TECHNIQUES Everything should be made as simple as possible, but no simpler. -ALBERT EINSTEIN Partial differential equations arise in modeling numerous phenosnena in sci- ence and engineering. In this chapter we preview the ideas and techniques that will be studied in this book. Our goal is to convey something of the fla- vor of partial differential equations and their use in applications rather than to give a systematic development. In particular, by focusing on the vibration of a stretched string, we will see how partial differential equations arise in modeling a physical phenomenon and how the interpretation of their solu- tions helps us to understand this phenomenon, The chapter will culminate with a brief discussion of Fourier series that highlights their importance to ‘the development of the applications of partial differential equations.2 Chapter 1A Preview of Applications and Techniques 1.1 What Is a Partial Differential Equation? Figure 1 Some solutions of (1). Note that the functions are con- stant on any line r-t=e due to the form of the solution u=fle=0) Loosely speaking, a partial differential equation is an equation that involves an unknown function of several variables and its partial derivatives. You may recall from your study of ordinary differential equations that the description of specific classes of equations involves notions such as order, degree, linearity, and various other properties. In classifying and studying partial differential equations, other notions also arise, including the number of independent. variables and the region in which we want ¢o solve the equation. This entire book is devoted to a systematic development of certain classes of partial differential equations with an emphasis on applications. In this section, we confine ourselves to several elementary examples to give you 8 taste of the subject. EXAMPLE 1 A first order partial differential equation Consider the equation du, Ou 1 ou, ou a) mt pp where u=u(2, t) is the unknown function, If f is any differentiable function of a single variable and we set ule,t)=sle-2), then wis a solution of (1). Indeed, using the chain rule, we find that Ou ig Ou eg Rae and 5 = set) ‘and so (1) holds. Explicit examples of solutions of (1) are (e-0%, e@-9", Bsin(2—2), 2eos(x— 6), el, The first three of these are shown in Figure 1. . Pt (by ate.) =e = 0? 3sin (x 0).Figure 2 Solutions of (2) Figure 3 Snapshots of a wave moving to the right without changing shape. Section 1.1 What Is a Partial Differential Equation? 3. ‘The equation that we considered is called an advection equation from fluid dynamics (see Exercise 27, Section 1.2, for an interesting application). It is a first-order linear homogeneous partial differential equation. Here first order refers to the highest order derivative that appears in the equation, and linear homogeneous refers to the fact that any linear combination of solutions is again a solution. (These notions will be developed in greater detail in Chapter 3.) From Figure 1, it is clear that there is a great diversity of possible solutions to equation (1), which is a relatively simple partial differential equation. In contrast, you may recall that the family of solutions ofa first order linear ordinary differential equation is much easier to describe. For example, the family of solutions of the equation @) yi-y=0 is given by y= Ac As illustrated in Figure 2, the solutions are all constant multiples of the solution €*, To single out a given solution of equation (2) we need to impose an initial condition, such as y(0) =2, which gives the solution y = 2¢*. ‘To single out a given solution of the partial differential equation (1) it is evident from Figure 1 that much more is needed. Typically we will impose a condition specifying the values of 1 along some curve in the at-plane, for example, along the z-axis. Such conditions are called boundary or initial conditions. Of all the solutions of (1), which one satisfies the condition u z-axis? Here we are looking for the solution that satisfies u(z,0) the solution u(z,t) — fla ~ t) from Example 1, we find that, vu(e,0) = f() Hence the solution is given by u(x,t) = e~-9". (See Figure 1(b).) There is another interesting way to visualize the solution by thinking of t as a time variable. For any fixed value of ¢, the graph of u(x, t), as a function of x, represents a snapshot of a waveform. (See Figure 3.) Note that the waveform moves to the right without changing shape. . = along the Using4 Chapter 1A Preview of Applications and Techniques: While in Example 1 we mentioned many solutions, we gave no indication of how to derive them. Also, it is not clear that we obtained all the solutions in that example. The following derivation will show that we have indeed found all of them and will illustrate how a judicious change of variables can be used to simplify 6 problem. EXAMPLE 3 General solution of (1) ‘The plan is to reduce the partial differential equation (1) to an ordinary differential equation by means of a linear change of variables asartbt, B=cr+dt, where a, b, c, and d will be chosen appropriately. The chain rule in two dimensions os Bu _ Bu Ba, Ou 08 Or Oa Ox © OB Ox Similarly, du _ du da, du 28 Ot Oa Ot OG IH Plugging into (1) and simplifying, we obtain (0+) + (cr Ne 0 Now we select the values for a, b,c, and d so as to get rid of one partial derivative. Let us get rid of Ou/A9 by taking b=0, cH, d=-1 With this choice, the equation becomes Ou oa This simple ordinary differential equation in @ has the solution u = C, where C is a function of i (which is constant with respect toa). ‘Thus the general solution is = C(9) = C(x ~t), which matches our answer to Example 1. In closing we note that other choices of the constants a, b, ¢, and d can be used to derive the solution. (See Exercise 4.) . 0 Example 3 shows us how the great diversity of solutions arises from partial differential equations. When we integrate an equation with two inde- pendent variables, the constant of integration that appears must be allowed to be a function of the remaining variable. Thus after integrating the equa~ tion we get an arbitrary function of one variable, in contrast with the case of an ordinary differential equation where we get only an arbitrary constant. ‘The change of variables in Example 3 reduced the partial differential equation to an ordinary differential equation, which was then easily solved. This reduction to an ordinary differential equation from a partial differentialSection 1.1 What Is a Parti Differential Equation? 5 equation is a recurring theme throughout the book. (See Exercise 10 for another illustration.) Exercises 1.1 1. Suppose that u, and wz ate solutions of (1). Show that cur + cae is also a solution, where ¢ and c2 ave constants. (This shows that (3) is a linear equation.) 2. (a) Which solution of (1) is equal to ze~** on the x-axis? (GD () Plot the solution as a function of x and ¢, and describe the image of the z-axis, 3. (a) Find the solution of (1) that is equal to # on the taxis. OG () Plot the solution as a function of 2 and ¢, and describe the image of the t-axis. 4, Refer to Example 3 and solve (1) using a= 1, b=1, e=1, d=—1 In Brercises 5-8, derive the general solution of the given equation by using an ‘appropriate change of variables, as we did in Example 3 Qu _ ow 5 Ge Se 0 7. B28 =o Ba + be =u, abeo 9. (a) Find the solution in Exercise 5 that is equal to -by along the «axis. (1G (b) Plot the graph of the solution as a function of x and (c) In what direction is the waveform moving as # increases? 0. 6.25 + ‘The method of characteristic curves This method allows you to solve first order, linear partial differential equations with nonconstant coefficients of the form 8) Sane where p(z,y) is a function of x and y. We begin by reviewing two important concepts from calculus of several variables and ordinary differentia\ equations. Suppose that v = (v1,02) is a unit vector and u(x,y) is a function of two variables. The directional derivative of u (in the direction of w) at the point (20, wo) i given by 2, yo) + 0 (00,00) 11 Fy (tose) +02 5, (20.90 ‘The directional derivative measures the rate of change of u at the point (zo, ¥o) as we move in the direction of v. Consequently, if (a, 5) is any nonzero vector, then the relation states that u is not changing in the direction of (2,5) Moving to ordinary differential equations, consider the equation 4) Fp = Pty)6 Chapter 1A Preview of Applications and ‘Techniques Figure 4 Direction field for we =x and the characteristic carves y - ba? =C. and think of the solutions of (4) as curves in the xy-plane, Equation (4) is telling us that the slope of the tangent fine to a solution curve at the point (to, yo) is equal to (20, yo); or that the solution curve at the point (ro, yo) is changing in the direction of the vector (1,p(r0,yo)). If we plot the vectors (1, p(z,y)) for many points (x,¥), ‘we obtain the direction field for the differential equation (4). The direction field is very important, since it gives us a quick way for visualizing the qualitative behavior of the solutions of (4). In particular, we can trace a solution curve through a point (x,y) by constantly moving in the direction of the vector fefd (1, p(,y)). ‘We are now ready to present. the method of characteristic curves. Going back to (3), this equation is telling us that, at any point (x, y}, the directional derivative of win the direction of the vector (1, p(x, y}) is 0. Hence u(x, y) remains constant if from the point (c,y) we move in the direction of vector (1,p(z,y)). But the vector (1,p(z, y)} determines the direction field for (4). Consequently, u is constant on the solution curves of (4). These curves are called the characteristic curves of (3) (see Figure 4 for the case p(x, y) = 0, small Analytical Considerations ‘We now turn to some analytical investigations. ‘The simplest solution of the wave equation (1) is @) (zt) = sin cos Mt ‘as can be verified by direct substitution into (1). Note that this solution vanishes when x = 0 and when x = L. (for all t), as you may expect from the physical model, since the ends are held fixed. ‘This explains the arguments occurring in the sine and cosine above; you might note that without this constraint any product sin kz cos ket would be a solution. The conditions that the displacement u should vanish at the two ends of the string must be supplied in addition to the wave equation itself. These are the boundary conditions 3) u(0,t)=0, fort >0, and oo) u(L,t) =0, fort 20. It is also useful to introduce initial conditions. For the wave equation, which is second order in time, these constitute the specification of an initialInitial shape of the string, Fox) el L Initial velocity a) ONT Figure 4 Arbitrary initial displacement. and velocity Section 1.2 Solving and Interpreting a Partial Differential Equation 9 displacement and an initial velocity for some initial time fo, henceforth taken as to = 0: (3) ulx,0)= f(x), forO<2 6. ‘Then w satisfies (12) with k(x, #) = —ru(c, t). (For a derivation and references see Modeling Differential Equations in Biology, by Clifford Henry Taub, Preatice Hall, 2001.) l ° (a) Show that all the solutions of Ou Ou Fpl = we GE (@, 6) — rule, t) are of the form u(x, t) =e" f(w ~ wt). [Hint: Use a change of variables as we did in Example 3, Section 1.1.) (b) Let AL denote the number of particles in the air at time ¢ = 0. Show that the number of particles at time t > 0 is e~"*M. [Hint: The number of particles is the integral of the density function over the interval —oo < x < co]‘Dopics to Review ‘This chapter is independent of the previous one. ‘The core ma- terial (Sections 2.1-24) requires only a basic knowledge of calen- Jus. An elementary knowledge of ‘complex munbers is required for Section 2.6. Sections 2.5, 2.8, 2.9, ‘and 2.10 are self-contained ad- vanced topics. The applications in Section 2.7 involve ordinary differential equations with con- stant coefficients. Background for this section is found in Ap- pendix A.2. Looking Ahead... Fourier series, as presented in Sections 2.1-2.4, are essential for all that. follows and carmot be omitted. Sections 2.5 and 2.8-2.10 contain theoretical properties of Fourier series, ‘They may be omitted without affecting the continuity of the book. However. they are strongly recommended ina course emphasizing Fourier se ries, In particular, the proof of the Fourier series representation theorem in Section 2.8 reveals in- teresting iddeas from Fourier anal- ysis. Section 2,6 serves as a good mo- tivation for the Fourier transform in Chapter 7. In Section 2.7 we study the forced oscillations of mechanical or elee- trical systems. While the equa- tions that arise are ordinary dif- ferential equations, their soli tions require topics siieh as Tine arity of equations and superpo- sition of solutions that: are very useful in later chapters. 2 FOURIER SERIES Mathematics compares the most diverse phenomena and discovers the secret analogies that unite them. Like the familiar Taylor series, Fourier series are special types of expansions of functions. With Taylor series, we are inter- ested in expanding a function in terms of the special set of func- tions 1, «, 2, 23, With Fourier series, we are interested in expanding a function in terms of the special set of functions 1, cose, cos 2x, cos3x, ..., sinz, sin2x, sin3x, .... Thus, a Fourier series expansion of a function f is an expression of the form F(2) = a9 + YP (an cosna + bp sin ne) Fourier series arose naturally when we discussed the vibrations of a plucked string (Section 1.2). As we will see in the following chapters, Fourier series are indeed the most suitable expansions for solving cer- tain classical problems in applied mathematics. They are fundamental to the description of important physical phenomena from diverse fields, such as mechanical and acoustic vibrations, heat transfer, planetary motion, optics, and signal processing, to name just a few. ‘The importance of Fourier series stems from the work of the French, mathematician Joseph Fourier, who claimed that any function defined ona finite interval has a Fourier series expansion. The purpose of this chapter is to investigate the validity of Fourier’s claim and derive the basic properties of Fourier series, preparing the way for the important applications of the following chapters.