First order Partial Differential Equations

P. Gosselet — pierre.gosselet@univ-lille.fr

LaMcube, Univ-Lille/CNRS/Centrale Lille

Master Strains – 2021-2022

 Table of contents

Preamble: differential system

Definition and solution
Fist integral

Quasi-linear first order ODEs

Characteristic curves
Cauchy problem
Method of characteristics
 Preamble: differential system
Ω⊂ R3 open set.
P, Q, R three C 1 functions of (x , y , z) which are not simultaneously zero.

dx dy dz
= = (*)
P Q R

Interpretation
! !
dx P
dy ∧ Q =0
dz R
At any point the infinitesimal displacement must be parallel to a given vector.

Definition (Solution to the differential system)

A solution to (*) is a curve (C) whose tangent at M is aligned with
(P(M), Q(M), R(M)).

In a parametric manner:
dx ! !
dt P
dM dy
(t) = dt
= k(t) Q
dt dz R
dt M(t)
 First integral

Instead of a parametric representation of C,

we can characterize it as the intersection of two surfaces.
Definition (First integral)
A first integral of (∗) is a non-constant C 1 function f of (x , y , z)
so that for any solution C : t 7→ (xC (t), yC (t), zC (t))
then the function t 7→ f (xC (t), yC (t), zC (t)) is constant.

If M0 is a point of C then it belongs to the surface Σf ,M0 described in an implicit

manner as: 
Σf ,M0 = M ∈ R3 /f (M) = f (M0 )

Theorem (Exercice)
A C 1 (Ω) function f is a first integral of (∗) iff it verifies:

∂f ∂f ∂f
P(x , y , z) (x , y , z) + Q(x , y , z) (x , y , z) + R(x , y , z) (x , y , z) = 0
∂x ∂y ∂z

Geometrically, the gradient of the function describing Σf ,M0 must be orthogonal to

the tangent of C.

If we want to characterize C as the intersection of two surfaces given by functions

(f1 , f2 ), we need to make sure that we deal with distinct surfaces.
Definition
Functional independence Three C 1 functions (f , g, h) are functionally independent
iff the only “differentiable functions H such that
(x , y , z) 7→ H(f (x , y , z), g(x , y , z), h(x , y , z)) is constant” are constant functions.

Theorem (Exercise)
Let (f , g, h) be three C 1 (Ω) functions, they are functionally independent iff the
following jacobian is non-zero:
∂f ∂f ∂f
∂x ∂y ∂z
∂g ∂g ∂g
∂x ∂y ∂z 6= 0
∂h ∂h ∂h
∂x ∂y ∂z

Let (f , g) be two C 1 (Ω) functions, they are functionally independent iff the
following matrix is of rank two:
 ∂f ∂f ∂f

∂x ∂y ∂z
rank ∂g ∂g ∂g =2
∂x ∂y ∂z

Consequence: if (f , g) are two first integrals of the system, any other first integral
is a function of (f , g). Let f (x , y , z) = a and g(x , y , z) = b define the solution Cab .
For any functions F and G s.t. F (a) = G(b), the solution Cab also belongs to the
surface h(x , y , z) := F (f (x , y , z)) − G(g(x , y , z)) = 0.
 Practical computation of first integrals

We have 
∂f ∂f ∂f
df = dx + dy + dz

∂x ∂y ∂z
P(x , y , z) ∂f + Q(x , y , z) ∂f + R(x , y , z) ∂f = 0

∂x ∂y ∂z
∂f
So we search 3 functions A, B, C s.t. AP + BQ + CR = 0 and integrate ∂x
= A,
∂f ∂f
∂y
= B, ∂z = C.

Example (Exercise)

dx dy dz
= =
x (y − z) y (z − x ) z (x − y )
Hint: observe that P + Q + R = 0 and yzP + xzQ + xyR = 0.
 Quasi-linear first order ODEs
u, v , w three C1 function in an open set of R3 .
∂f ∂f
u(x , y , f (x , y )) + v (x , y , f (x , y )) = w (x , y , f (x , y )) (∗)
∂x ∂y

Solutions in implicit form

Solutions f can be viewed as a surface z = f (x , y ) in R3 . We seek an implicit
definition ϕ of f :
ϕ(x , y , z) = const ⇔ z = f (x , y )
∂ϕ
Since where ∂z
we have (implicit functions theorem):

∂ϕ ∂ϕ
∂f ∂x ∂f ∂y
=− ∂ϕ
et =− ∂ϕ
∂x ∂y
∂z ∂z

we have
∂ϕ ∂ϕ ∂ϕ
u(x , y , f (x , y )) + v (x , y , f (x , y )) + w (x , y , f (x , y )) =0
∂x ∂y ∂z

ϕ is a first integral of the system

dx dy dz
= =
u(x , y , z) v (x , y , z) w (x , y , z)

which is called characteristic system of (*)

Theorem
If ϕ and φ are two first integrals of the characteristic system and F is a
non-constant function of two variables, the solution of the ODE can be written in
implicit form as: F (ϕ(x , y , f ), φ(x , y , f )) = const

Example (Exercise)
Solve:
∂f ∂f
x (y − f ) + y (f − x ) = (x − y )f
∂x ∂y

Example (Exercise)
Solve:
∂f ∂f
y −x =0
∂x ∂y
 Characteristic curves

Definition
(u, v , w ) being C 1 (Ω), we consider the first order PDE:

∂f ∂f
u(x , y , f (x , y )) + v (x , y , f (x , y )) = w (x , y , f (x , y ))
∂x ∂y

and we call characteristic curves the solutions to its characteristic system

dx dy dz
= =
u(x , y , z) v (x , y , z) w (x , y , z)

An infinity of solution surfaces pass through each characteristic curve.

Definition (nowhere-characteristic curve)

A curve N is said to be characteristic in no point if there is no point M where its
tangent vector is colinear to (u(M), v (M), w (M)).
 Cauchy problem

Definition
PDE+initial condition f0 on a regular curve N0 given in parametric form
t 7→ (x0 (t), y0 (t))

∂f ∂f
(
u(x , y , f (x , y )) + v (x , y , f (x , y )) = w (x , y , f (x , y ))
∂x ∂y
f (x0 (t), y0 (t)) = f0 (t) on N0

Can the initial condition be propagated in a neighborhood of N0 ?

Historically, the question was addressed for problems where all the data were
analytical, so that it made sense to search the solution as an analytical function,
which implies (for the least) to be able to compute the first order Taylor expansion
of f .
∂f0 ∂f0
p 
f (x0 +dx , y0 +dy ) = f0 (x0 , y0 )+dx (x0 , y0 )+dy (x0 , y0 )+o dx 2 + dy 2
∂x ∂y
∂f0 ∂f0
can we compute ∂x
(x0 , y0 ) and ∂y
(x0 , y0 ) from the data?
 Cauchy problem

Since f0 is known and N0 regular, we can compute the derivative along N0 and link
it to the partial derivatives at M0 of abscissa t0 :

df0 ∂f ∂x0 ∂f ∂y0

(t0 ) = (M0 ) (t0 ) + (M0 ) (t0 )
dt ∂x ∂t ∂y ∂t

We also have that:

∂f ∂f
u(M0 , f0 (t0 )) (M0 ) + v (M0 , f0 (t0 )) (M0 ) = w (M0 , f0 (t0 ))
∂x ∂y

We gather the linear system:

   ∂f   
u(M0 , f0 (t0 )) v (M0 , f0 (t0 )) ∂x
(M0 ) w (M0 , f0 (t0 ))
∂x0 ∂y0 ∂f = df0
∂t
(t0 ) ∂t
(t0 ) ∂y
(M0 ) dt
(t0 )

The problem is well posed iff the determinant is non-zero, which corresponds to N0
not being the projection of a characteristic curve.
By induction, it can be proved that the above condition is sufficient to find the
Taylor expansion at any order. non-zero.
 Cauchy problem

Theorem (Cauchy-Kowalewsky theorem)

Let u, v , w be three analytical functions in an open set of R3 , we consider the
quasi-linear PDE:

∂f ∂f
u(x , y , f (x , y )) + v (x , y , f (x , y )) = w (x , y , f (x , y )) (E)
∂x ∂y

Then if an analytical initial condition is given in a regular curve N0 which is

nowhere characteristic, there exists it defines locally an analytical solution.The
radius of convergence is non-zero but it may be very small. Moreover,
non-analytical solutions may coexist.

Since then the regularity condition has been relaxed.

Since N0 should never be aligned with characteristics, we can consider the
following intersection:

Definition (Foot of a characteristic)

The foot of the characteristic which passes through the point (x , y ) is the point of
intersection between the characteristic and the line N0 where initial conditions are
given.
 Method of characteristics

Let us consider a well posed Cauchy problem.

Let s0 be an abscissa of N0 , it corresponds to the point (x0 (s0 ), y0 (s0 )) and value
f0 (s0 ). Let us search for the following characteristic curve:

t 7→ (xc (t), yc (t), zc (t))

solution to: 
dxc

 = u(xc (t), yc (t), zc (t))
 dt


dyc
= v (xc (t), yc (t), zc (t))

 dt
 dzc = w (xc (t), yc (t), zc (t))


dt
with
xc (0) = x0 , yc (0) = y0 , zc (0) = f0 (s0 )
This is the characteristic curve whose foot is (x0 (s0 ), y0 (s0 )) and thus zc (t) is the
value of f and the point (xc (t), yc (t)):

zc (t) = f (xc (t), yc (t))

Thus, a system of ODEs enables us to find the value of the solution on

characteristic curves.
 References

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