CHAPTER I CLASSIFICATION OF PARTIAL DIFFERENTIAL EQUATIONS Many problems of mathematical physics lead to differential equations with partial derivatives. Differential equations of the second order are the ones that occur most frequently. In the present chapter we shall consider the classification of these equations. § 1. Classification of partial differential equations of the second order 1. Differential equations with two independent variables We give the necessary definitions A relation between an unknown function u(x, y) and its partial derivatives inclusive of those of the second order* is called a partial differential equation of the second order with two independent variables x, y: F (2, Y, U, Uy Uys Unes Uys Uyy) = 0. An equation for a larger number of independent variables is written similarly. The equation is called linear with respect to the highest derivatives if it has the form yy Uzx + 2 yg Uay Bap Uyy + Fy (@, Ys U; Uys By) =O, (1) where G1, @y2, Q2 are functions of x and y. *We uso the following notations for the derivatives: au mu ete _ tu eS Ge Wy Gy Mex = Gare y= Gray? oy = Gye 12 EQUATIONS OF MATHEMATICAL PHYSICS If the coefficients @,,, @,2, @,2 depend not only on z and y but, like F,, are functions of 2, y, u, ux, Uy, then the equation is called quasi-linear. The equation is called linear if it is linear with respect to the higher derivatives w,x, Uxy, Uyy, a8 well as with respect to the function w and its first derivatives u,, uy: yy Ux + 2 Ay Uey + Age Uyy + By Ux + Oy Uy + cw + f=0, (2) where 441, G12, G9, b;, bg, c, f are functions of x and y only. If the coefficients of equation (2) do not depend on gz and y, it is a linear equation with constant coefficients. The equation is called homogeneous, if f(x, y) = 0. By means of a transformation of variables F=9(x,y), n= ¥(zy), which allows an inverse transformation, we obtain a new equation equivalent to the initial equation. The question naturally arises: how should é and 17 be selected so that the equation with these variables has the simplest form? At this point we answer this question for equations linear with respect to higher derivatives of the form (1) with two inde- pendent variables x and y: Oy Uae + 2 yp Uy + Ag Uyy + F(x, Y, U, Uy, Uy) = 0. Transforming the derivatives to new variables, we obtain Uy = Ug Ee + Uy Me + Uy = Ug ky + Uy ty» Ugge = Ugg ER + 2 en Fx Met Ugg ME A Ue Eee + Ug Neer (3) Uy = Ugg Ex by + Ugy (Ex My + Ey Mx) + tran Mx Ny + Ue Sey + Uy May» yy = Weg EG 2 Way Sy My Ua MY + Mg Syy by Nyy Substituting the values of the derivatives from (3) in equation (1) we have yy tg + 2 bya Weg + Gap tho + F = 0, (4) where Gy = a, + Way, &y + day §, Gy = Oy Ex + Aye (Ex Ny + Me Fy) + ae Ey Ny» Gay = Oy NE + 2 Oye Ny Ny + ap NsPARTIAL DIFFERENTIAL EQUATIONS 3 and the function F does not depend on second derivatives. It should be noted that if the initial equation is linear, i. e. F (@, Y, U, Uy Uy) = By Uy + By Uy + cu + f, then F has the form P(E, 1, &, Ug, ty) = By Ug + By Uy + YU+ 5, i.e. the equation remains linear.* Let us select the variables € and 7 such that the coefficient a, is equal to zero. We consider an equation with partial derivatives of the first order yy 2 + 2 Ayy 2, 2y + paz = 0. (5) Let z= y(x,y) be any particular solution of this equation. If & = 9(z, y), the coefficient @,, will obviously be equal to zero. Thus the problem of selecting new independent variables men- tioned above is related to the solution of equation (5) We shall prove the following lemmas. 1. If z= (a, y) is a solution of the equation ay 2 + 2 yy 2x Zy at A925 =0 - the relation g(z,y) =C is the general integral of the ordinary differential equation Qy, dy? — 2 dy, dx dy + ay. d2*=0. (6) 2. If y(u,y) =C is the general integral of the ordinary diffe- rential equation Ay, dy? — 2 dy, dx dy 4- gg dx? = 0, then the function z = 9(a, y) satisfies equation (5). We shall prove the first lemma. Since the function z = 9(z, y) satisfies equation (5), the equation ay (#) — 24 9(— 2) + 0n=0 (7) * It should be noted that if the transformation of variables is linear, then ¥ = F, for the second derivatives £ and 7 in the formulae (3) are equal to zero and F does not get additional terms from the transformation derivatives.4 EQUATIONS OF MATHEMATICAL PHYSICS is an identity, for it is satisfied for all x, y in the domain where the solution is given. The relation y(z,y) =C is the general integral of the ordinary differential equation, if the function y defined from the implicit relation g(x,y) =C satisfies equ- ation (6). Let y=f(@,C) be this function; then [omy dz [ Py (@, y) | “fx,0)" (8) where the brackets and the subscript y = f(x, C) denote that in the first portion of equation (8) the variable y should be re- placed by f(z, C). Hence it follows that y = f(x,C) satisfies equation (6), because ays ( EL) — 2a SE + ae ~ ful $F eal—8)-oah go® and the expression in square brackets is equal to zero for all values of x, y not for y = f(x, C) only. We shall prove the second lemma. Let (x, y) =C be the general integral of equation (6). We shall prove that Ay, FE + 2 Ay Px Py + Aaa PF = 0 (7) for any point (z, y). Let (a», yo) be any given point. If we prove that at this point equation (7) is satisfied, then from the arbitra- riness of (2%, Yo) it will follow hence that equation (7) is an identity and the function 9(z, y) is a solution of equation (7). Let us pass an integral curve of equation (6) through the point (Xp, Yo), putting (a, Yo) = Cy and considering the curve y = f(x, C,). It is obvious that yy = f(x, Cy). For all points of this curve we have: di cont ( 3 di — 2a, 2 + Fee [ool BF 2-8) 44h gan?PARTIAL DIFFERENTIAL EQUATIONS 5 Putting x = 2, in the last equation, we obtain yy PR (os Yo) + 2 Aaa Px (os Yo) Py (Tos Yo) + Gan PF (*to» Yo) = 0, which was to be proved.* Equation (6) is called the characteristic for equation (1), and its integrals are called characteristic integrals. Putting § = g(x,y), where (x,y) = const. is the general integral of equation (6), we get the coefficient of ug, equal to zero. If w(x, y) = const. is another general integral of equation (6) independent of 9(z, y), then, putting 7 = y(z, y), we get the coefficient of w,, also equal to zero. Equation (6) breaks up into two equations: fy tat Veh, = OO) | de = Gu (9) dy __ Ay — V(a¥s — G41 Go) fy on be 11 Ga) (10) The sign of the expression under the radical sign determines the type of the equation yy Uxy + 2ye Uxy + Aag Uyy + F = 0. (1) We shall call this equation at the point M an equation of the hyperbolic type, if at the point M ai, — aya, > 0, elliptical type, if at the point M ay — dyn <0, parabolic type, if at the point M aig — aya, = 0.** The relation Gy — yy Gan = (Aja — Ay Mog) (Ee Ny — Ey Nx) can easily be verified. The invariance of the type of equation under transformation of variables follows from this. The equ- ation can belong to different types at different points of the domain of definition. * The relation established between equations (5) and (6) is equivalent to the well-known relation (see Stepanov, Course of Differential Equ- ations, 1937, p. 287; Smirnov, Course of Higher Mathematics, vol. II, 1948, ‘p. 78) between a linear equation with partial derivatives of the first order and a system of ordinary differential equations. This can be verified by resolving the left part of equation (5) into a product of two linear differential expressions. + This terminology is taken from the theory of eurves of the second order.6 EQUATIONS OF MATHEMATICAL PHYSICS Let us consider the domain G, at all points of which the equation has one and the same type. Two characteristic curves pass through each point of the domain G. For equations of the hyperbolic type the characteristics are real and different, for equations of the elliptical type they are complex and different, and for equations of the parabolic type both characteristics are real and coincide. Let us deal with each of these cases separately. 1. For an equation of the hyperbolic type a3, — @,,2y, > 0 and the right-hand sides of equations (9) and (10) are real and different. The general integrals g(x, y) =C and y(z,y)=C define the real families of characteristic curves. Putting F=9(t,y), n= ¥(%Y), (11) we reduce equation (4), after division by the coefficient of w;, to the form Ug, = (E, 0, Us, Ugy Un)» he where pe This is the so-called canonical form of equations of the hyper- bolic type.* The second canonical form is often used. Let us put €=a+p, n=a—B, *In order that it should be Pea to introduce new variables & and 7 by means of the functions g and y, it is necessary to verify the independence of these functions. A sufficient condition for this is that the corresponding functional determinant should be non-zero. Let the functional determinant Le Px Py Yy at a certain point M be made equal to zero. Then the rows are propor- tional, i. e. Px Px % This, however, is impossible because Px. 12 + Vb — 442) ang Yr Oy2 — V(a¥2 — ay, Py a, Py ayy (af, — 241 G2 > 0) (hore we sonsider ay x 0, which does not restrict the generality of the statement). Thus the independence of the functions g and y is established.