Solving PDEs using Laplace Transforms, Chapter 15

Given a function u(x, t) defined for all t > 0 and assumed to be bounded we can apply the
Laplace transform in t considering x as a parameter.
Z ∞
L(u(x, t)) = e−st u(x, t) dt ≡ U (x, s)
0

In applications to PDEs we need the following:

Z ∞ Z ∞
−st −st
∞
L(ut (x, t) = e ut (x, t) dt = e u(x, t) 0 + s
 e−st u(x, t) dt = sU (x, s) − u(x, 0)
0 0

so we have
L(ut (x, t) = sU (x, s) − u(x, 0)
In exactly the same way we obtain

L(utt (x, t) = s2 U (x, s) − su(x, 0) − ut (x, 0).

We also need the corresponding transforms of the x derivatives:

Z ∞
L(ux (x, t)) = e−st ux (x, t) dt = Ux (x, s)
0
Z ∞
L(uxx (x, t)) = e−st uxx (x, t) dt = Uxx (x, s)
0
Consider the following examples.

Example 1.
∂u ∂u
+ = x, x > 0, t > 0,
∂x ∂t
with boundary and initial condition

u(0, t) = 0 t > 0, and u(x, 0) = 0, x > 0.

As above we use the notation U (x, s) = L(u(x, t))(s) for the Laplace transform of u.
Then applying the Laplace transform to this equation we have
dU x dU x
(x, s) + sU (x, s) − u(x, 0) = ⇒ (x, s) + sU (x, s) = .
dx s dx s
This is a constant coefficient first order ODE. We solve it by finding the integrating factor
R
sdx
µ=e = esx

Thus we have
d sx x
[e U (x, s)] = esx .
dx s
We integrate both sides to get

e−sx
Z 
U (x, s) = e r dr + Ce−sx .
sr
s

1
We can use integration by parts to evaluate the integral:
Z Z  sx 0
sx e
e x dx = x dx
s
xesx
Z  sx 
e
= − dx
s s
xesx esx
− 2.
s s
So we have
e−sx xesx esx
 
x 1
U (x, s) = − 2 + Ce−sx = 2
− 3 + Ce−sx .
s s s s s
We can evaluate the constant C using the boundary condition
1 1
0 = U (0, s) = − +C ⇒ C=
s3 s3
so we have
x 1 e−sx
U (x, s) = − + .
s2 s3 s3
Taking the inverse Laplace transform we have
t2 (t − x)2
u(x, t) = xt − + H(t − x)
2 2
where H is the unit step function (or Heaviside function)
(
0, x < 0
H(x) = .
1, x ≥ 0

Example 2.
∂u ∂u
+ + u = 0, x > 0, t > 0,
∂x ∂t
with boundary and initial condition

u(0, t) = 0 t > 0, and u(x, 0) = sin(x), x > 0.

As above we use the notation U (x, s) = L(u(x, t))(s) for the Laplace transform of u.
Then applying the Laplace transform to this equation we have
dU dU
(x, s) + sU (x, s) − u(x, 0) + U (x, s) = 0 ⇒ (x, s) + (s + 1)U (x, s) = sin(x).
dx dx
This is a constant coefficient first order linear ODE. We solve it by finding the integrating factor
R
(s+1)dx
µ=e = e(s+1)x

Thus we have
d  (s+1)x
U (x, s) = e(s+1)x sin(x).

e
dx
We integrate both sides to get
Z 
−(s+1)x
U (x, s) = e e (s+1)r
sin(r) dr + Ce−(s+1)x .

2
We can use integration by parts to evaluate the integral:
Z x 
−(s+1)x (s+1)r (s + 1) sin(x) − cos(x)
e e sin(r) dr = .
0 s2 + 2s + 2

So we have
(s + 1) sin(x) − cos(x)
U (x, s) = + Ce−(s+1)x .
s2 + 2s + 2
We can evaluate the constant C using the boundary condition
−1 1
0 = U (0, s) = +C ⇒ C= .
s2 + 2s + 2 s2 + 2s + 2
So we have
(s + 1) sin(x) − cos(x) + e−(s+1)x)
U (x, s) = .
s2 + 2s + 2
Taking the inverse Laplace transform we have

u(x, t) = e−t cos(t) sin(x) − e−t sin(t) cos(t) + e−t H(t − x) sin(t − x)

This can be written as

u(x, t) = e−t [sin(x − t) + H(t − x) sin(t − x)] .

Example 3.

∂u ∂ 2u
(x, t) = (x, t), 0 < x < 2, t > 0,
∂t ∂x2
u(0, t) = 0, u(2, t) = 0
u(x, 0) = 3 sin(2πx).

Take the Laplace transform and apply the initial condition

d2 U
(x, s) = sU (x, s) − u(x, 0) = sU (x, s) − 3 sin(2πx).
dx2
We write this equation as a non-homogeneous, second order linear constant coefficient equation for
which we can apply the methods from Math 3354.

d2 U
(x, s) − sU (x, s) = −3 sin(2πx).
dx2
The general solution can be written as

U (x, s) = Uh (x, s) + Up (x, s)

where Uh (x, s) is the general solution of the homogeneous problem

√ √
Uh (x, s) = c1 e sx
+ c2 e− sx

and Up (x, s) is any particular solution of the non-homogeneous problem

Up (x, s) = A cos(2πx) + B sin(2πx).

3
 We first use the method of undetermined coefficients to find A and B. To this end we have
d
Up (x, s) = −2πA sin(2πx) + 2πB cos(2πx),
dx
d2
2
Up (x, s) = −(2π)2 A cos(2πx) + (2π)2 B sin(2πx).
dx
Therefore
d2
Up (x, s) − sUp (x, s)
dx2
= (−(2π)2 − s)[A cos(2πx) + B sin(2πx)]
= −3 sin(2πx).

From this we conclude that

−(s + (2π)2 )A = 0, and − (s + (2π)2 )B = −3,

so that
3
A = 0, B= .
s + 4π 2
Now we have the general solution
√ √ 3
U (x, s) = c1 e sx
+ c2 e − sx
+ sin(2πx)
(s + 4π 2 )
We note the the Laplace transforms of the boundary conditions give

u(0, t) = 0 ⇒ U (0, s) = 0, and u(2, t) = 0 ⇒ U (2, s) = 0

So we have √ √
0 = U (0, s) = c1 + c2 , 0 = U (2, s) = c1 e s2
+ c2 e− s2

which gives c1 = c2 = 0 and we have

3
U (x, s) = sin(2πx).
(s + 4π 2 )
To find our solution we apply the inverse Laplace transform
 
−1 3 2
u(x, t) = L 2
sin(2πx) = 3e−4π t sin(2πx).
(s + 4π )
Just as we would have obtained using eigenfunction expansion methods.
Example 4. Next we consider a similar problem for the 1D wave equation.
∂ 2u 2
2∂ u
(x, t) = c (x, t) + sin(πx), 0 < x < 1, t > 0,
∂t2 ∂x2
u(x, 0) = 0, ut (x, 0) = 0
u(0, t) = 0 u(1, t) = 0.

Taking the Laplace transform and applying the initial conditions we obtain
d2 U 2 sin(πx) 2 sin(πx)
(x, s) = s U (x, s) − su(x, 0) − ut (x, 0) − = s U (x, s) − .
dx2 s s
4
 We need to solve the constant coefficient non-homogeneous ODE

d2 U sin(πx)
2
(x, s) − s2 U (x, s) = −
dx s
Once again we know that
U (x, s) = Uh (x, s) + Up (x, s)
where Uh (x, s) is the general solution of the homogeneous problem

Uh (x, s) = c1 esx + c2 e−sx

and Up (x, s) is any particular solution of the non-homogeneous problem

Up (x, s) = A cos(πx) + B sin(πx).

We apply the method of undetermined coefficients to find A and B. To this end we have
d
Up (x, s) = −πA sin(πx) + πB cos(πx),
dx
d2
Up (x, s) = −π 2 A cos(πx) + π 2 B sin(πx).
dx2
Therefore
d2
2
Up (x, s) − s2 Up (x, s)
dx
= (−π 2 − s2 )[A cos(πx) + B sin(πx)]
sin(πx)
=− .
s
From this we conclude that
1
−(s2 + π 2 )A = 0, and − (s2 + π 2 )B = − ,
s
so that
1
A = 0, B= .
s(s2 + π2)
So we have
sin(πx)
Up (x, s) =
s(s2 + π 2 )
and
sin(πx)
U (x, s) = c1 esx + c2 e−sx + .
s(s2 + π 2 )
Next we apply the BCs to find c1 and c2 .

0 = U (0, s) = c1 + c2 , and 0 = U (1, s) = c1 es + c2 e−s

which implies c1 = 0 and c2 = 0. So we arrive at

sin(πx)
U (x, s) = .
s(s2 + π 2 )

5
 Finally we apply the inverse Laplace transform to obtain
 
−1 −1 1
u(x, t) = L (U (x, s)) = L sin(πx)
s(s2 + π 2 )
 
1 −1 1 s
= 2 L − sin(πx)
π s (s2 + π 2 )
1
= 2 (1 − cos(πt)) sin(πx).
π
Here we have done partial fractions
 
1 a bs + c 1 1 s
2 2
= + 2 2
= 2 − 2 .
s(s + π ) s (s + π ) π s (s + π 2 )

Example 5. This example shows the real use of Laplace transforms in solving a problem we could
not have solved with our earlier work.
∂u ∂ 2u
(x, t) = (x, t), −∞ < x < ∞, t > 0,
∂t ∂x2
u(x, 0) = f (x)
u(x, t) bounded.

Under the assumption that u(x, t) is bounded we know that the Laplace transform exists and,
indeed, we have
Z ∞ Z ∞
−st M
|u(x, t)| ≤ M ⇒ |U (x, s)| ≤ e |u(x, t)| dt ≤ M e−st dt = .
0 0 s
Applying the Laplace transform we obtain

d2 U
(x, s) = sU (x, s) − u(x, 0) = sU (x, s) − f (x).
dx2
We write this equation as a non-homogeneous, second order linear constant coefficient equation.

d2 U
(x, s) − sU (x, s) = −f (x).
dx2
The general solution can be written as

U (x, s) = Uh (x, s) + Up (x, s)

where Uh (x, s) is the general solution of the homogeneous problem

√ √
Uh (x, s) = c1 e sx
+ c2 e− sx

and Up (x, s) is any particular solution of the non-homogeneous problem. We find

√
it using √the
method of variation of parameters from Math 3354. For this method we use U1 = e , U2 = e− sx .
sx

√
 
U1 (x, s) U2 (x, s)
W (U1 , U2 ) =  0
 0
 = −2 s
U1 (x, s) U2 (x, s)

6
 Z x
[−U1 (x, s)U2 (ξ, s) + U2 (x, s)U1 (ξ, s])(−f (ξ))
Up (x, s) = dξ
0 W (ξ, s)
Z xh √ √ √ √ i
1 sx − sξ − sx
= √ −e e +e e sξ f (ξ) dξ
2 s 0
√ √
e sx x −√sξ e− sx x √sξ
Z Z
=− √ e f (ξ) dξ + √ e f (ξ) dξ
2 s 0 2 s 0

So the general solution can be written as

 Z x √ 
√
 Z x √ 
√
1 − sξ 1
U (x, s) = c1 − √ e f (ξ) dξ e sx
+ c2 + √ e f (ξ) dξ e− sx .
sξ
2 s 0 2 s 0

Recall our assumption that u(x, t) be bounded for all −∞ < x < ∞ implies that U (x, s) is also
bounded for all −∞ < x < ∞ for any fixed s > 0.
Now in order that the first term in the general solution stays bounded as x → ∞ we need
 Z x √ 
1 − sξ
lim c1 − √ e f (ξ) dξ = 0
x→∞ 2 s 0

which implies Z ∞ √
1
c1 = √ e− sξ
f (ξ) dξ.
2 s 0

In exactly the same way we must have

 Z x √ 
1 sξ
lim c2 + √ e f (ξ) dξ = 0
x→−∞ 2 s 0

which implies Z −∞ √ Z 0 √
1 sξ 1 sξ
c2 = − √ e f (ξ) dξ = √ e f (ξ) dξ.
2 s 0 2 s −∞

Thus
 Z ∞ √
Z x √

√
1 − sξ 1 − sξ sx
U (x, s) = √ e f (ξ) dξ − √ e f (ξ) dξ e
2 s 0 2 s 0

 Z 0 √
Z x √ 
√
1 − sξ 1
+ √ e f (ξ) dξ + √ e sξ
f (ξ) dξ e− sx
2 s −∞ 2 s 0
√   −√sx Z x
e sx ∞ −√sξ
 Z 
e √
sξ
= √ e f (ξ) dξ + √ e f (ξ) dξ
2 s x 2 s −∞
Z ∞ √
1
= √ e− s|x−ξ| f (ξ) dξ
2 s −∞

We want to find the inverse Laplace transform

 −√s|x−ξ| 
−1 e
L √ .
2 s

7
 From our table we have √ 2
e−a s e−a /(4t)
 
−1
L √ = √
s πt
and if we set a = |x − ξ| then we have
√ 2
e− s|x−ξ| e−|x−ξ| /(4t)
 
−1
L √ = √ ≡ K(|x − ξ|, t).
2 s 4πt
So we have
 Z ∞ √

−1 −1 1 − s|x−ξ|
u(x, t) = L (U (x, s)) = L √ e f (ξ) dξ
2 s −∞
√
∞
e− s|x−ξ|
Z  
−1
= L √ f (ξ) dξ
−∞ 2 s
Z ∞
1 2
=√ e−|x−ξ| /(4t) f (ξ) dξ
4πt −∞
Z ∞
= K(|x − ξ|, t) f (ξ) dξ
−∞

The function 2
e−x /(4t)
K(x, t) = √
4πt
is called the “Fundamental Heat Kernel”.

8
 Table of Laplace Transforms
Z ∞
f (t) for t ≥ 0 fb = L(f ) = e−st f (t) dt
0
1
1
s
1
eat
s−a
n!
tn (n = 0, 1, . . .)
sn+1
Γ(a + 1)
ta (a > 0)
sa+1
b
sin bt
s 2 + b2
s
cos bt
s2 + b2
a
sinh bt
s2 − b2
s
cosh bt
s 2 − b2

f 0 (t) sL(f ) − f (0)

f 00 (t) s2 L(f ) − sf (0) − f 0 (0)

dn F
tn f (t) (−1)n (s)
dsn

eat f (t) L(f )(s − a)



 0 t≤a

e−as
u(t − a) =
 s
 1 t>a


u(t − a)f (t − a) e−as L(f )(s)

u(t − a)g(t) e−as L(g(t + a))(s)

δ(t − a) e−as
Z t
(f ∗ g)(t) = f (t − τ )g(τ ) dτ L(f ∗ g) = L(f )L(g)
0

9
 The “error function” denoted by erf(x) is given by
Z x
2 2
erf(x) = √ e−x dx.
π 0

Notice that we can use the properties of integrals to deduce that

erf(−x) = − erf(x).

The complementary error function erfc(x) defined by

Z ∞
2 2
erfc (x) = √ e−s ds.
π x

Notice that Z x Z ∞ 
2 −x2 −s2
erf(x) + erfc(x) = √ e dx + e ds = 1.
π 0 x

Additional Laplace Transforms

2 √
e−a /(4t) e−a s
√ √
πt s

2
ae−a /(4t) √
√ e−a s
2 πt3
2 /4
es erfc(s/2)
erf (t)
s
√
e−a s
 
a
erfc √
2 t s
r √
e−a s
  
t −a2 /(4t) a
2 e − a erfc √ √
π 2 t s s
√
√ e−a s
  
b2 t+ab a
e erfc b t + √ √ √
2 t s( s + b)
√
√ be−a s
    
b2 t+ab a a
−e erfc b t + √ + erfc √ √
2 t 2 t s( s + b)

10