Siberian Mathematical Journal, Vol. 45, No. 3, pp.

475487, 2004
Original Russian Text Copyright c 2004 Kaptsov O. V.
INVARIANTS OF CHARACTERISTICS OF SOME
SYSTEMS OF PARTIAL DIFFERENTIAL EQUATIONS
O. V. Kaptsov UDC 517.956
Abstract: We introduce the notion of an invariant of characteristics for a system of rst-order partial
dierential equations. We prove that the existence of invariants is connected with passiveness of some
systems. We describe a few methods for construction of new invariants from those already known.
We give a scheme for application of the invariants to reduction and integration of systems of partial
dierential equations. As an application we consider the equation of gas dynamics.
Keywords: characteristic, invariant, Darbouxs method
1. Introduction
It is well known that the integrals of characteristics play a key role in solving a single rst-order
partial dierential equation. Monge and Amp`ere developed the intermediate integral method for solv-
ing a nonlinear second-order equation with two independent variables (see [1]). The functions dening
the intermediate integrals remain constants along the corresponding characteristics. In 1870 Darboux
proposed his integration method [2] which included Monge and Amp`eres approach as a particular case.
A detailed description for this method as well as many examples is given in [3]; another exposition can be
found in [4]. Although the main contribution to this method belongs to the French mathematics, several
interesting results were obtained by some Russian and Soviet mathematicians [5, 6]. Since recently, a few
new publications on this method have reappeared [710].
The main application of the Darboux method concerns the integration of second-order equations
F(x, y, u, u
x
, u
y
, u
xx
, u
xy
, u
yy
) = 0. (1.1)
A function I of x, y, u, and the derivatives of u is an invariant of characteristics if the equality
d(I) = 0
holds by (1.1) and the system
dy = mdx, du = u
x
dx + u
y
dy,
du
x
= u
xx
dx + u
xy
dy, du
y
= u
xy
dx + u
yy
dy, . . . ,
where m is a root of the equation
F
uxx
m
2
F
uxy
m + F
uyy
= 0.
If I and J are two invariants of characteristics then the relation J = f(I) is called an intermediate integral
of (1.1).
In this article we consider systems of rst-order partial dierential equations with two and n indepen-
dent variables. In 2 we introduce the notion of an invariant of characteristics for evolution systems with
two independent variables. We prove that existence of invariants is connected with the formal passiveness
of some systems. We describe a method for construction of new invariants from those already known.
The author was supported by the Russian Foundation for Basic Research (Grants 040100130; 040100209).
Krasnoyarsk. Translated from Sibirski Matematicheski Zhurnal, Vol. 45, No. 3, pp. 577591, MayJune, 2004.
Original article submitted May 27, 2003.
0037-4466/04/45030475 c 2004 Plenum Publishing Corporation 475
We present a scheme of application of invariants to reduction and integration of systems of partial dier-
ential equations. In 3 we apply the indicated scheme to the one-dimensional nonstationary equations of
gas dynamics. We also give zero- and rst-order invariants for the two-dimensional stationary equations
of gas dynamics with an arbitrary equation of state. In 4 we introduce invariants of characteristics
for nondegenerate systems of equations with two independent variables. Moreover, we prove that in-
variants satisfy the equations of characteristics in which the partial derivatives are replaced with total
derivatives. The closing section is devoted to invariants of characteristics for multidimensional rst-order
systems. Here we give some relevant denitions and prove a theorem on connection between the existence
of invariants and the formal passiveness of special systems.
All functions under study in this article are assumed to have all needed derivatives.
2. Systems of Equations with Two Independent Variables
Suppose that we have a system of m rst-order partial dierential equations with two independent
variables t and x:
u
t
+ F(t, x, u, u
x
) = 0, (2.1)
where u = (u
1
, . . . , u
m
), u
t
=
_
u
1
t
, . . . , u
m
t
_
, u
x
=
_
u
1
x
, . . . , u
m
x
_
, and F = (F
1
, . . . , F
m
).
Consider the dierential equation of characteristics
dx
dt
= (2.2)
corresponding to a root of the equation
det
_
(F)
(u
x
)
E
_
= 0, (2.3)
where
(F)
(ux)
=
(F
1
,...,F
m
)
(u
1
x
,...,u
m
x
)
is the Jacobi matrix and E is the identity matrix. Then the operator
L = D
t
+ D
x
(2.4)
is called the operator of dierentiation along characteristics, where D
t
and D
x
are the total derivatives
with respect to t and x.
As is well known [11, 12], the Riemann invariant I of system (2.1) satises the relation L(I) = 0
by (2.1). We now generalize the notion of Riemann invariants. We start with introducing one more
notation. If u
i
k
=

k
u
i
x
k
is the partial derivative of order k then u
k
=
_
u
1
k
, . . . , u
m
k
_
stands for the vector
composed of these derivatives.
Definition. Suppose that we have a system (2.1) and is a root of (2.3). An invariant of order n
of the dierential equation (2.2) of characteristics is a function I(t, x, u, u
1
, . . . , u
n
) satisfying the relation
L(I)|
[S]
= 0. (2.5)
Here and throughout this section [S] stands for (2.1) and its dierential consequences while L is the
operator (2.4). Henceforth we speak of invariants of characteristics for brevity.
We easily see that search for the invariants of characteristics reduces to solution of a system of rst-
order linear homogeneous dierential equations in the function I. An equivalent denition of invariants
of characteristics in terms of dierential forms is given in [3].
Assertion 1. Let I
1
, . . . , I
k
be invariants of the dierential equation (2.2) of characteristics. Then
the function f(I
1
, . . . , I
k
) is an invariant of characteristics as well.
The proof is immediate from the following equalities:
L(f) =
k

i=1
f
I
i
D
t
(I
i
) +
k

i=1
f
I
i
D
x
(I
i
) =
f
I
1
L(I
1
) + +
f
I
k
L(I
k
).
476
The well-known invariants of characteristics in hydrodynamics are the entropy, Bernoulli function,
and Oertel invariant [11, 13]. The invariants of characteristics can be used for construction of reductions
and solutions of (2.1).
As demonstrated in [3] for second-order equations, the existence of an invariant is closely connected
with the involution property of the system of the initial equation and the additional equation I = c, c R.
To reveal the algebraic aspect of this connection for (2.1), we introduce the notion of a passive system.
Consider the ring K of functions i t, x, u, u
1
, . . . , u
n
(n 1). Denote (2.1) and its dierential con-
sequences with respect to x by [S]
x
and D
t
h|
[S]
by D
1
h, where h K. Let M be the module over K
generated by the elements h, D
x
h, and D
1
h. If M is generated only by the elements h and D
x
h then we
say that the system constituted by the equations (2.1) and h = 0 is formally passive.
Now, consider the equation
h + c = 0, c R. (2.6)
Theorem 1. System (2.1), (2.6) is formally passive for an arbitrary c R if and only if h is
an invariant of characteristics.
Proof. Suppose that system (2.1), (2.6) is formally passive. Then the following equality holds:
D
1
h = D
x
h + (h + c), , K. (2.7)
We easily see that
D
x
h
m

i=1
u
i
n+1
h
u
i
n
, D
1
h

1i,jm
u
j
n+1
F
i
u
j
1
h
u
i
n
. (2.8)
Here the symbol means that the dierence between the left- and right-hand sides contains no derivatives
of order greater than n. From (2.7) and (2.8) we obtain the equality

1i,jm
u
j
n+1
F
i
u
j
1
h
u
i
n
=
m

i=1
u
i
n+1
h
u
i
n
. (2.9)
The coecients of all derivatives of order n + 1 in (2.9) must coincide. This yields m equations
m

j=1
_
F
i
u
j
1
+
i
j

_
h
u
i
n
= 0, i = 1, . . . , m,
where
i
j
is the Kronecker symbol. It is convenient to represent these equations in the matrix form
_
(F)
(u
x
)
+ E
_
(h
u
1
n
, . . . , h
u
m
n
)

= 0,
here the symbol stands for transposition. Since the vector (h
u
1
n
, . . . , h
u
m
n
) does not vanish, must be
a root of the equation
det
_
(F)
(u
x
)
+ E
_
= 0.
Writing (2.7) in the form
D
1
h D
x
h = (h + c)
and observing that the left-hand side is independent of , we conclude that = 0. Denoting = , we
obtain (2.3). The converse assertion is obvious.
By [14], each invariant I of (2.2) generates an invariant manifold of (2.1); i.e., the equality
v
F
(I)|
[I]x
= 0 (2.10)
477
holds, where [I]
x
denotes the equation I = 0 and its dierential consequence with respect to x and v
F
is
the vector eld
v
F
=

t
+
m

i=1
F
i

u
i
+

i,k
D
k
x
(F
i
)

u
i
k
.
Indeed, since I satises (2.5), we have the equality
D
t
I|
[S]
|
[I]x
= 0
which is equivalent to the invariance condition (2.10). Note that the set
I + c = 0
is also an invariant manifold of (2.1) for every c.
Under some conditions, the invariant manifolds considered together with (2.1) lead to systems having
local solutions. For example, consider the hyperbolic system (2.1) for which there are m dierent reals

1
, . . . ,
m
satisfying (2.3). Assume that, for each
i
, there is one or two independent invariants I
i
and J
i
.
Using these invariants, arrange the invariant manifold
f
1
(I
1
, J
1
) = 0, . . . , f
m
(I
m
, J
m
) = 0, (2.11)
where f
i
is an arbitrary function. Suppose that (2.11) can be solved for the higher derivatives:
u
i
n
i
= g
i
(t, x, u
1
, . . . , u
n
i
1
), i = 1, . . . , m. (2.12)
Then, as demonstrated in [14], the system of (2.1) and (2.12) has a local solution satisfying the initial
conditions
u
i
k
i
(t
0
, x
0
) = c
i
k
i
, i = 1, . . . , m,
where c
i
k
i
R, 0 k
i
< n
i
.
The above reasoning leads to the following scheme of application of invariants to construction of
reductions and solutions of (2.1).
1. Suppose that, for each
i
satisfying (2.3), there is one or two invariants I
i
and J
i
. Compose the
invariant manifold (2.11) and check that it can be written in the normal form (2.12).
2. Find a general solution to (2.12) considered as a system of ordinary dierential equations with
respect to x (with t entering as a parameter).
3. Insert the so-found general solution in the initial system (2.1) and obtain a system of ordinary
dierential equations with respect to t. Solving this system, we obtain an exact solution to (2.1).
Thus, the process of construction of solutions to (2.1) reduces to solution of two systems of ordinary
dierential equations with respect to t and x. Goursats monograph [3] presents numerous examples of
how to use invariants for integration of second-order equations with two independent variables. If
1
and

2
possess two invariants each then in the singular cases we can nd the general solution to a second-order
equation. Concluding the section, we indicate a method for construction of invariants from two known
invariants. Actually, this method is presented in [3]. Here we give a new proof.
Lemma 1. If I and J are invariants of (2.2) then h = D
x
(J)/D
x
(I) is an invariant too.
Proof. By condition, I and J satisfy the relations
D
t
(I) + D
x
(I)|
[S]
= 0, D
t
(J) + D
x
(J)|
[S]
= 0. (2.13)
Show that h also satises (2.13). Since the equality
D
t
(h) + D
x
(h) =
D
x
(I)
_
D
t
D
x
(J) + D
2
x
(J)

D
x
(J)
_
D
t
D
x
(I) + D
2
x
(I)

D
x
(I)
2
478
is valid, it is necessary to verify that the numerator of the last fraction is zero on the set [S]. Dierenti-
ating (2.13) with respect to x, we obtain
D
t
(D
x
(I)) + D
2
x
(I) + D
x
()D
x
(I)|
[S]
= 0, (2.14)
D
t
(D
x
(J)) + D
2
x
(J) + D
x
()D
x
(J)|
[S]
= 0. (2.15)
Multiplying (2.14) by D
x
(J) and (2.15) by D
x
(I) and taking the dierence of these expressions, we obtain
the sought numerator.
However, we can obtain new invariants in a somewhat dierent way by using invariant dierentiation
operators.
Definition. A dierential operator D = D
x
, where is a function which can depend on t, x,
u, and u
1
, is called an invariant dierentiation operator if it takes each invariant of the dierential
equation (2.2) of characteristics into an invariant of the same equation.
3. Examples
Consider the one-dimensional nonstationary system of the equations of gas dynamics:
u
t
+ uu
x
+ p
x
/ = 0,
t
+ (u)
x
= 0, s
t
+ us
x
= 0, (3.1)
where u, , p, and s are the velocity, density, pressure, and entropy. As is well known [11], for an arbitrary
equation of state the corresponding equation (2.3) has three solutions
1
= u,
2
= u+c, and
3
= uc,
where c =
_
p

is the speed of sound.

For
1
= u the equation (2.5) for invariants has the form
D
t
h + uD
x
h|
[S]
= 0, (3.2)
where [S] stands for (3.1) and its dierential consequences. Solving (3.2), we can show that there are
only two functionally independent invariants of the zero and rst orders:
I
1
= s, I
2
= s
x
/.
The other invariants are found by the recurrent formula
I
k+1
=
1

D
x
(I
k
).
The operator D =
1

D
x
is an invariant dierentiation operator by Lemma 1, since s
x
/ is an invariant.
Now, nd a solution to (2.5) for =
2
:
D
t
h + (u + c)D
x
h|
[S]
= 0. (3.3)
To this end, it is convenient to pass from (3.1) to the equivalent system
u
t
+ uu
x
+ p
x
/ = 0,
t
+ (u)
x
= 0, p
t
+ up
x
+ c
2
u
x
= 0. (3.4)
First, nd a solution to (3.3) depending only on t, x, u, , and p. In this case the left-hand side of (3.3)
is a polynomial of the rst degree in u
x
,
x
, and p
x
. Collecting similar terms of these variables in (3.3),
we arrive at the system
h

= 0, h
u
= ch
p
, h
t
+ (u + c)h
x
= 0. (3.5)
It follows from the rst and second equations of (3.5) that a nonconstant solution h exists only if
c = g(p)/, (3.6)
where g is an arbitrary function of p. Then, by the third equation, h is independent of t and x. From
the second equation of (3.5) we nd that h is an arbitrary function of
I = u +
_
dp
g(p)
.
Similarly, we show that to the root
3
= u c there corresponds the Riemann invariant
I = u
_
dp
g(p)
.
Consequently, the following is valid:
479
Assertion 2. The system (3.4) of one-dimensional equations of gas dynamics possesses three Rie-
mann invariants if and only if the speed of sound is given by (3.6).
Remark. If the speed of sound is given by (3.6) then the corresponding equation of state has the
form
V = G(p) + A(s),
where V = 1/ is the specic volume, A is an arbitrary function of the entropy, and G

(p) = 1/g
2
(p).
We now seek for rst-order invariants dened as solution to equation (3.3); i.e., we seek for a function h
which can depend on t, x, u, , and p and must depend on at least one of the derivatives u
x
,
x
, and p
x
.
In this case the left-hand side of (3.3) is a polynomial of the rst degree in u
xx
,
xx
, and p
xx
. Collecting
similar terms of these variables, we arrive at two equations (the third being their consequence)
h
x
= 0, h
ux
= ch
px
. (3.7)
By the rst equation of (3.7), the remaining summands on the left-hand side can be considered as
a polynomial of the rst degree in
x
. This gives two more equations
h
ux
p
x
/
2
u
x
c(c + 2c

)h
px
+ ch

= 0, (3.8)
h
t
(uu
x
+ p
x
/)h
u
u
x
h

(up
x
+ c
2
u
x
)h
p
u
2
x
h
ux
(u
x
p
x
+ 2cc
p
u
x
p
x
)h
px
+ (u + c)(h
x
+ u
x
h
u
+ p
x
h
p
) = 0. (3.9)
Reducing the system (3.7)(3.9) of rst-order equations to involution, either straightforwardly or using
the standard Maple package, we can show that these equations have solutions depending on the rst
derivatives only if the speed of sound is given by the expression
c =
(a + bp)
2/3

, a, b R. (3.10)
In this case (3.3) has the following solution:
I
+
1
=
btp
x
bt(a + bp)
2/3
u
x
+ 3(a + bp)
1/3

p
x
+ (a + bp)
2/3
u
x
. (3.11)
As far a solution to (2.5) for = uc depending on the rst derivatives is concerned, it exists only under
condition (3.10). The corresponding invariant is given by the formula
I

1
=
btp
x
+ bt(a + bp)
2/3
u
x
3(a + bp)
1/3

p
x
(a + bp)
2/3
u
x
. (3.12)
Assertion 3. The system (3.4) of one-dimensional equations of gas dynamics possesses three rst-
order invariants of characteristics, if the speed of sound is given by (3.10). The corresponding invariants
have the form s
x
/, (3.11), and (3.12).
If a = 1 and b = 0 in (3.10) then the zero-order invariants have the form
I
1
= p +
1

, I
2
= p + u, I
2
= u p, (3.13)
and the rst-order invariants are obtained from (3.13) by the formula
J
i
=
1

D
x
(I
i
). (3.14)
480
Apply the above scheme to reduction of the equations of gas dynamics, on assuming that the speed
of sound is equal to
1

. In this case we can write the invariant manifolds of (3.4) constructed for the
invariants (3.13) and (3.14) of characteristics as
D
x
(I
i
) = F
i
(I
i
), i = 1, 2, 3, (3.15)
where F
i
is an arbitrary function. Equations (3.15) represent a system of rst-order ordinary dierential
equations in the functions u, , and p with respect to the variable x. To obtain a system of ordinary
dierential equations with respect to the variable t, we have to express all derivatives u
x
,
x
, and p
x
in (3.4) by means of (3.15). These systems (with respect to the variables t and x) have a simpler form in
the Riemann invariants:
dI
i
dx
= F
i
(I
i
), (3.16)
dI
i
dt
=
i
F
i
(I
i
), i = 1, 2, 3. (3.17)
The values and
i
are expressed by the formulas
=
2
2I
1
+ I
3
I
2
,
1
=
I
3
+ I
2
2
,
2
= I
3
+ I
1
,
3
= I
2
I
1
. (3.18)
Thus, in this special case we have reduced the equations of gas dynamics to the system (3.16), (3.17) of
six equations.
We can reduce this system to two equations. To this end, introduce the functions
G
i
=
_
dI
i
F
i
(I
i
)
.
Then we can rewrite (3.16) and (3.17) as
dG
i
dx
= ,
dG
i
dt
=
i
, i = 1, 2, 3. (3.19)
The rst system of (3.19) has two rst integrals
G
1
G
2
= s
1
(t), G
3
G
1
= s
2
(t).
Expressing G
1
and G
2
and inserting them in the second system of (3.19), we obtain the equations
s

1
= c = 1, s

2
= 1.
Thus, we nd s
1
and s
2
:
s
1
= t + k
1
, s
2
= t + k
2
, k
i
R.
Consequently, (3.19) reduces to two equations
dG
1
dx
= ,
dG
1
dt
= u.
Using (3.18), the denition of G
1
, and two rst integrals, we can write the last equations as
dI
1
dx
=
2
(2I
1
+ I
3
I
2
)G

1
(I
1
)
,
dI
1
dt
=
I
2
+ I
3
(2I
1
+ I
3
I
2
)G

1
(I
1
)
, (3.20)
where I
2
= Q
2
(G
1
(I
1
) t), I
3
= Q
3
(G
1
(I
1
) +t), and Q
1
and Q
2
are the inverse functions of G
2
and G
3
.
The right-hand sides of the reduced system (3.20) depend on three arbitrary functions. Specifying the
form of these functions and integrating (3.20), we can nd solutions to the equations of gas dynamics.
481
We briey discuss the two-dimensional stationary equations of gas dynamics:
(u)
x
+ (v)
y
= 0, (uu
x
+ vu
y
) + p
x
= 0,
(uv
x
+ vv
y
) + p
y
= 0, us
x
+ vs
y
= 0
(3.21)
with an arbitrary equation of state p = p(, s).
The operator
L = uD
x
+ vD
y
of dierentiation along streamlines is the operator of dierentiation along characteristics. The zero-order
invariants of characteristics for this operator are the entropy s and the Bernoulli function
I
B
=
u
2
+ v
2
2
+
_
1

d.
It follows from Lemma 1 that
J
0
=
D
y
(I
B
)
s
y
is an invariant. We can show that the rst-order invariants of characteristics are only the functions J
0
and J
1
= s
y
/u. The operator
D =
1
u
D
y
is an invariant dierentiation operator. Indeed, by Lemma 1 and Assertion 1, the function
D
y
(J)
s
y
J
1
is an invariant, if J is an invariant.
Remark. In the case of a polytropic gas (p = A(s)

) the invariant J
0
is representable as
J
0
=

+ J
1
p
( 1)
,
where is the vorticity.
4. Some Generalizations
We can generalize the notion of an invariant of characteristics to systems of rst-order equations that
are not solved with respect to the time derivatives.
Consider a system of m equations in m unknown functions:
F(t, x, u, u
t
, u
x
) = 0. (4.1)
We use the notations of 2.
Introduce the operator
L
v
=
1
D
t
+
2
D
x
(4.2)
of dierentiation along a vector eld v = (
1
,
2
), where
i
is a function of t, x, u, u
t
, and u
x
. We
suppose that the vector eld is nondegenerate; i.e.,
1
and
2
do not vanish simultaneously.
Definition. The operator (4.2) is the operator of dierentiation along characteristics of (4.1) if
1
and
2
satisfy the equation
det
_

1
(F)
(u
x
)

2
(F)
(u
t
)
_
= 0. (4.3)
482
Definition. A function h depending on t, x, u, u
1
, . . . , u
n
is an invariant of order n of the dierential
equations of characteristics
dt
ds
=
1
,
dx
ds
=
2
, (4.4)
if the operator of dierentiation along a characteristic vanishes at the function h on the set [S]; i.e.,
L
v
h|
[S]
= 0, (4.5)
where [S] denotes (4.1) and its dierential consequences.
We say that (4.1) is a nondegenerate system if there are
1
(t, x, u, u
t
, u
x
) and
2
(t, x, u, u
t
, u
x
) such
that the determinant
det
_

1
(F)
(u
x
)
+
2
(F)
(u
t
)
_
is not identically zero. The following lemma gives another method for nding invariants of nondegenerate
systems.
Lemma 2. A function h is an invariant of the dierential equations (4.4) of characteristics of the
nondegenerate system (4.1) if and only if h satises the condition
det
_
(F)
(u
x
)
D
x
h +
(F)
(u
t
)
D
t
h
_

[S]
= 0. (4.6)
Proof. Let h be the invariant corresponding to the vector eld v = (
1
,
2
). Hence, h satises (4.5).
Suppose that
1
= 0 (the case
2
= 0 is considered similarly). Then =
2
/
1
satises the relations
det
_
(F)
(u
x
)

(F)
(u
t
)
_
= 0, D
t
h + D
x
h|
[S]
= 0. (4.7)
If D
x
h|
[S]
= 0 then we express from the second relation (4.7) and insert it in the rst, to obtain (4.6).
If D
x
h|
[S]
= 0 then D
t
h|
[S]
= 0 and (4.6) holds as well.
Prove the converse assertion. The determinant
= det
_
(F)
(u
x
)
D
x
h +
(F)
(u
t
)
D
t
h
_
is a homogeneous polynomial of degree m in D
t
h and D
x
h. In view of nondegeneracy of the system, the
determinant decomposes into linear factors
= (
1
D
t
h +
2
D
x
h) . . . (
2n1
D
t
h +
2n
D
x
h).
Since |
[S]
= 0, there exist
i
and
i+1
such that

i
D
t
h +
i+1
D
x
h|
[S]
= 0. (4.8)
If
i
= 0 then expressing D
t
h from (4.8) and inserting it in (4.6), we obtain (4.3).
Remark 1. If det
_
(F)
(ut)
_
= 0 then we can prove an analog of Theorem 1 for systems (4.1).
Remark 2. Replacing the total derivatives in (4.6) with partial derivatives, we obtain an equation
for characteristics.
483
5. Systems with Arbitrarily Many Independent Variables
Consider the following evolution system of rst-order partial dierential equations:
u
t
+ F(t, x, u, u
x
1
, . . . , u
xn
) = 0, (5.1)
where x = (x
1
, . . . , x
n
), u = (u
1
, . . . , u
m
), u
x
i
=
_
u
1
x
i
, . . . , u
m
x
i
_
, and F = (F
1
, . . . , F
m
).
The operator of dierentiation along a vector eld v = (1,
1
, . . . ,
m
) is given by the formula
L
v
= D
t
+
1
D
x
1
+ +
n
D
xn
,
where D
t
and D
x
i
stand for the total derivatives with respect to t and x
i
and
i
are functions of t, x, u, u
x
1
,
. . . , u
xn
.
Definition. A function I(t, x, u, u
1
, . . . , u
n
), where u
j
denotes the collection of the partial deriva-
tives of order j of the functions u
1
, . . . , u
m
, is an invariant of a vector eld v = (1,
1
, . . . ,
m
) for
system (5.1) if
L
v
I|
[S]
= 0.
As above, [S] denotes (5.1) together with its dierential consequences.
Definition. A function I(t, x, u, u
1
, . . . , u
n
) is an invariant of characteristics of system (5.1) if
(1) I is an invariant of some vector eld v = (1,
1
, . . . ,
m
);
(2) I satises the equation of characteristics
det
_
D
t
I +
m

i=1
(F)
(u
x
i
)
D
x
i
I
_

[S]
= 0. (5.2)
We now generalize the notion of a formally passive system. Introduce the ring K constituted by
functions depending on the variables t, x, u, u
1
, . . . , u
k
(k 1). Take h K. Denote by D
0
h the expression
D
t
h|
[S]x
, where [S]
x
is the system (5.1) and its dierential consequences with respect to x
1
, . . . , x
n
. Let
M be the module over K generated by the elements h, D
0
h, D
x
1
h, . . . , D
xn
h. If M can be generated by
elements h, D
x
1
h, . . . , D
xn
h then we say that the system constituted by the equations (5.1) and h = 0 is
formally passive.
Now, consider the equation
h + c = 0, c R, (5.3)
where h K.
Theorem 2. The system of (5.1) and (5.3) is formally passive for every c R if and only if h is
an invariant of characteristics of (5.1).
Proof. Suppose that the system of (5.1) and (5.3) is formally passive. Then the element D
0
h is
expressed in terms of h + c, D
x
1
h, . . . , D
xn
h. Hence,
D
0
h +
n

i=1

i
D
x
i
h +
n+1
(h + c) = 0,
where
i
K. If we move the last summand to the right-hand side then we obtain a relation whose
left-hand side is independent of c and the right-hand side includes c. This is possible only for
n+1
= 0.
Now, prove that h satises (5.2). Since h satises the condition
D
0
h +
n

i=1

i
D
x
i
h = 0, (5.4)
484
the coecients of the derivatives of order k + 1 on the left-hand side of (5.4) vanish. To nd these
coecients, write the expressions D
x
i
h to within the derivatives of order k:
D
x
1
h
m

j=1

||=k
u
j
+1
1
h
u
j

, . . . , D
xn
h
m

j=1

||=k
u
j
+1n
h
u
j

.
Here u
j

denotes the derivative

||
u
j
x

1
1
...x
n
n
of order k = || =
1
+ +
n
, u
j
+1
i
is the derivative

||+1
u
j
x

1
1
...x

i
+1
i
...x
n
n
, and the symbol means that the dierence between the left- and right-hand sides
contains no derivatives of order k + 1. Consequently, the sum

1
D
x
1
h + +
n
D
xn
h
equals
m

i=1

i
m

j=1

||=k
u
j
+1
i
h
u
j

to within the derivatives of order k. On the other hand, we obtain

D
0
h
m

j=1

||=k
D

(F
j
)h
u
j

j=1

||=k
_
n

i=1
m

s=1
u
s
+1
i
F
j
u
x
s
i
_
h
u
j

.
Hence, the following relations are valid:
D
0
h +
n

i=1

i
D
x
i
h
m

j=1

||=k
_
n

i=1
_
m

s=1
u
s
+1
i
F
j
u
x
s
i

i
u
j
+1
i
_
_
h
u
j

= 0.
The last relation is conveniently representable in the matrix form
n

i=1

||=k
u
+1
i
A
x
i
h
u
= 0, (5.5)
where u

=
_
u
1

, . . . , u
m

_
, h
u
= (h
u
1

, . . . , h
u
m

), A
x
i
=
(F)
(ux
i
)

i
E, and E is the identity matrix.
We need to prove that h satises equation (5.2) which is equivalent to the following:
det
_
n

i=1
A
x
i
D
x
i
h
_
= 0. (5.6)
To this end, show that the linear homogeneous system
_
n

i=1
A
x
i
D
x
i
h
_
r = 0 (5.7)
has a nontrivial solution r. This solution is representable explicitly:
r =

||=k
(Dh)

h
u
, (5.8)
where (Dh)

= (D
x
1
h)

1
. . . (D
xn
h)
n
. Verify that it is indeed a solution. Inserting (5.8) in (5.7), we
obtain
_
n

i=1
A
x
i
D
x
i
h
__

||=k
(Dh)

h
u
_
=
n

i=1

||=k
A
x
i
(Dh)
+1
i
h
u
. (5.9)
485
The expressions in front of u
+1
i
in (5.5) coincide with the expressions in front of (Dh)
+1
i
in (5.9).
Since the left-hand side of (5.5) is zero, so is (5.9). Hence, (5.6) is valid. Consequently, h is an invariant.
The converse assertion is obvious.
The classical examples of invariants of characteristics for the three-dimensional stationary equations
of gas dynamics with an arbitrary equation of state p = p(, s) are the entropy, the Bernoulli invariant
u
2
+ v
2
+ w
2
2
+
_
1

d,
and the Oertel invariant
(s, rot U)

,
where U = (u, v, w) is the velocity vector, is the density, p is the pressure, and s is the entropy.
The lemma below demonstrates how we can obtain new invariants from those already known. The
symbol
D(I
1
,...,In)
D(x
1
,...,xn)
stands for the matrix with entries D
x
i
(I
j
).
Lemma 3. Let I
1
, . . . , I
n
, I
n+1
be the invariants of characteristics of (5.1) corresponding to some
vector eld v = (1,
1
, . . . ,
n
). Suppose that I
1
, . . . , I
n
are functionally independent on every solution
to (5.1). Then the function
J =
D(I
n+1
, I
2
, . . . , I
n
)
D(x
1
, . . . , x
n
)
_
D(I
1
, I
2
, . . . , I
n
)
D(x
1
, . . . , x
n
)
(5.10)
is an invariant of characteristics of (5.1).
Proof. Since I
1
, . . . , I
n
, I
n+1
are invariants of characteristics, the following equalities hold at an ar-
bitrary solution u(t, x) to (5.1):
D
t
(

I
j
) +
n

i=1

i
D
x
i
(

I
j
) = 0,
where j = 1, . . . , n + 1 and

I
j
is obtained from I
j
by insertion of the solution u(t, x). Consequently, the
determinant
det
_
D(

I
1
, . . . ,

I
n+1
)
D(t, x
1
, . . . , x
n
)
_
is zero. Hence,

I
1
, . . . ,

I
n+1
are functionally dependent. Therefore,

I
n+1
is expressed functionally in terms
of

I
1
, . . . ,

I
n
; i.e.,

I
n+1
= f(

I
1
, . . . ,

I
n
). (5.11)
Dierentiating (5.11) with respect to x
1
, . . . , x
n
, we obtain
n

i=1
f

I
i
D
x
j
(

I
i
) = D
x
j
(

I
n+1
), j = 1, . . . , n.
From Cramers rule we obtain
f

I
i
=
D(

I
n+1
,

I
2
, . . . ,

I
n
)
D(x
1
, . . . , x
n
)
_
D(

I
1
,

I
2
, . . . ,

I
n
)
D(x
1
, . . . , x
n
)
.
Since f

I
i
is an invariant of characteristics, the right-hand side of (5.10) is an invariant as well.
Using this lemma, we can construct a sequence of invariants for the three-dimensional stationary
equations of gas dynamics in the nonisentropy case.
486
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