Classification of Partial Differential Equations and

Canonical Forms
A. Salih
Department of Aerospace Engineering
Indian Institute of Space Science and Technology, Thiruvananthapuram
22 December 2014

1 Second-Order Partial Differential Equations

The most general case of second-order linear partial differential equation (PDE) in two independent variables is given by
2u
2u
2u
u
u
+C 2 +D
+E
+ Fu = G
(1)
A 2 +B
x
x y
y
x
y
where the coefficients A, B, and C are functions of x and y and do not vanish simultaneously, because in
that case the second-order PDE degenerates to one of first order. Further, the coefficients D, E, and F are
also assumed to be functions of x and y. We shall assume that the function u(x, y) and the coefficients are
twice continuously differentiable in some domain .
The classification of second-order PDE depends on the form of the leading part of the equation consisting of the second order terms. So, for simplicity of notation, we combine the lower order terms and
rewrite the above equation in the following form
A



2u
2u
2u
u u
+
C
,
+
B
=

x,
y,
u,
x2
x y
y2
x y

(2a)

or using the short-hand notations for partial derivatives,

Auxx + Buxy + Cuyy = (x, y, u, ux , uy )

(2b)

As we shall see, there are fundamentally three types of PDEs hyperbolic, parabolic, and elliptic PDEs.
From the physical point of view, these PDEs respectively represents the wave propagation, the timedependent diffusion processes, and the steady state or equilibrium processes. Thus, hyperbolic equations
model the transport of some physical quantity, such as fluids or waves. Parabolic problems describe evolutionary phenomena that lead to a steady state described by an elliptic equation. And elliptic equations
are associated to a special state of a system, in principle corresponding to the minimum of the energy.
Mathematically, these classification of second-order PDEs is based upon the possibility of reducing
equation (2) by coordinate transformation to canonical or standard form at a point. It may be noted
that, for the purposes of classification, it is not necessary to restrict consideration to linear equations. It
is applicable to quasilinear second-order PDE as well. A quasilinear second-order PDE is linear in the
second derivatives only.

The type of second-order PDE (2) at a point (x0 , y0 ) depends on the sign of the discriminant defined
as



 B 2A 


(x0, y0 ) 
 = B(x0 , y0 )2 4 A(x0 , y0 )C(x0 , y0 )
 2C B 

(3)

The classification of second-order linear PDEs is given by the following: If (x0 , y0 ) > 0, the equation is
hyperbolic, (x0 , y0 ) = 0 the equation is parabolic, and (x0 , y0 ) < 0 the equation is elliptic. It should be
remarked here that a given PDE may be of one type at a specific point, and of another type at some other
point. For example, the Tricomi equation

2u
2u
+
x
=0
x2
y2
is hyperbolic in the left half-plane x < 0, parabolic for x = 0, and elliptic in the right half-plane x > 0,
since = 4x. A PDE is hyperbolic (or parabolic or elliptic) in a region if the PDE is hyperbolic (or
parabolic or elliptic) at each point of .
The terminology hyperbolic, parabolic, and elliptic chosen to classify PDEs reflects the analogy between the form of the discriminant, B2 4AC, for PDEs and the form of the discriminant, B2 4AC,
which classifies conic sections given by
Ax2 + Bxy + Cy2 + Dx + Ey + F = 0
The type of the curve represented by the above conic section depends on the sign of the discriminant,
B2 4AC. If > 0, the curve is a hyperbola, = 0 the curve is an parabola, and < 0 the equation
is a ellipse. The analogy of the classification of PDEs is obvious. There is no other significance to the
terminology and thus the terms hyperbolic, parabolic, and elliptic are simply three convenient names to
classify PDEs.
In order to illustrate the significance of the discriminant and thus the classification of the PDE (2),
we try to reduce the given equation (2) to a canonical form. To do this, we transform the independent
variables x and y to the new independent variables and through the change of variables

= (x, y),

= (x, y)

where both and are twice continuously differentiable and that the Jacobian


 
( , )
 x
y 
=
J=
 6= 0
 x y 
(x, y)

(4)

(5)

in the region under consideration. The nonvanishing of the Jacobian of the transformation ensure that a
one-to-one transformation exists between the new and old variables. This simply mens that the new independent variables can serve as new coordinate variables without any ambiguity. Now define w( , ) =
u(x( , ), y( , )). Then u(x, y) = w( (x, y), (x, y)) and, apply the chain rule to compute the terms of
the equation (2) in terms of and as follows:
ux = w x + w x
uy = w y + w y
uxx = w x2 + 2w x x + w x2 + w xx + w xx
uyy =

w y2

+ 2w y y +

w y2

+ w yy + w yy

uxy = w x y + w (x y + y x ) + w x y + w xy + w xy

(6)

Substituting these expressions into equation (2) we obtain the transformed PDE as
aw + bw + cw = , , w, w , w

(7)

where becomes and the new coefficients of the higher order terms a, b, and c are expressed via the
original coefficients and the change of variables formulas as follows:
a = Ax2 + Bx y + Cy2
b = 2Ax x + B(x y + y x ) + 2Cy y
c=

Ax2

(8)

Bx y + Cy2

At this stage the form of the PDE (7) is no simpler than that of the original PDE (2), but this is to be
expected because so far the choice of the new variable and has been arbitrary. However, before
showing how to choose the new coordinate variables, observe that equation (8) can be written in matrix
form as
"
# "
#"
#"
#T
x y
x y
a b/2
A B/2
=
b/2 c
B/2 C
x y
x y
Recalling that the determinant of the product of matrices is equal to the product of the determinants of
matrices and that the determinant of a transpose of a matrix is equal to the determinant of a matrix, we
get

 

 a b/2   A B/2 
 2
 

J
=

 b/2 c   B/2 C 

where J is the Jacobian of the change of variables given by (5). Expanding the determinant and multiplying by the factor, 4, to obtain
b2 4ac = J 2 (B2 4AC)

= J 2

(9)

where = b2 4ac is the discriminant of the equation (7). This shows that the discriminant of (2) has
the same sign as the discriminant of the transformed equation (7) and therefore it is clear that any real
nonsingular (J 6= 0) transformation does not change the type of PDE. Note that the discriminant involves
only the coefficients of second-order derivatives of the corresponding PDE.

1.1 Canonical forms

Let us now try to construct transformations, which will make one, or possibly two of the coefficients of
the leading second order terms of equation (2) vanish, thus reducing the equation to a simpler form called
canonical from. For convenience, we reproduce below the original PDE
Auxx + Buxy + Cuyy = (x, y, u, ux , uy )

(2)

and the corresponding transformed PDE

aw + bw + cw = , , w, w , w

(7)

We again mention here that for the PDE (2) (or (7)) to remain a second-order PDE, the coefficients A, B,
and C (or a, b, and c) do not vanish simultaneously.
By definition, a PDE is hyperbolic if the discriminant = B2 4AC > 0. Since the discriminant is
invariant under the change of coordinates (see equation (9)), it follows that for a hyperbolic PDE, we
should have b2 4ac > 0. The simplest case of satisfying this condition is a = c = 0. So, if we try to
chose the new variables and such that the coefficients a and c vanish, we get the following canonical
form of hyperbolic equation:


(10a)
w = , , w, w , w

where = /b. This form is called the first canonical form of the hyperbolic equation. We also have
another simple case for which b2 4ac > 0 condition is satisfied. This is the case when b = 0 and c = a.
In this case (9) reduces to


(10b)
w w = , , w, w , w

which is the second canonical form of the hyperbolic equation.

By definition, a PDE is parabolic if the discriminant = B2 4AC = 0. It follows that for a parabolic
PDE, we should have b2 4ac = 0. The simplest case of satisfying this condition is a (or c) = 0. In this
case another necessary requirement b = 0 will follow automatically (since b2 4ac = 0). So, if we try to
chose the new variables and such that the coefficients a and b vanish, we get the following canonical
form of parabolic equation:


(11)
w = , , w, w , w
where = /c.
By definition, a PDE is elliptic if the discriminant = B2 4AC < 0. It follows that for a elliptic
PDE, we should have b2 4ac < 0. The simplest case of satisfying this condition is b = 0 and c = a.
So, if we try to chose the new variables and such that b vanishes and c = a, we get the following
canonical form of elliptic equation:


(12)
w + w = , , w, w , w
where = /a.
In summary, equation (7) can be reduced to a canonical form if the coordinate transformation =
(x, y) and = (x, y) can be selected such that:
a = c = 0 corresponds to the first canonical form of hyperbolic PDE given by


w = , , w, w , w

b = 0, c = a corresponds to the second canonical form of hyperbolic PDE given by

w w = , , w, w , w
a = b = 0 corresponds to the canonical form of parabolic PDE given by


w = , , w, w , w

b = 0, c = a corresponds to the canonical form of elliptic PDE given by

w + w = , , w, w , w

(10a)

(10b)

(11)

(12)

1.2 Hyperbolic equations

For a hyperbolic PDE the discriminant (= B2 4AC) > 0. In this case, we have seen that, to reduce this
PDE to canonical form we need to choose the new variables and such that the coefficients a and c
vanish in (7). Thus, from (8), we have
a = Ax2 + Bx y + Cy2 = 0

(13a)

c = Ax2 + Bx y + Cy2 = 0

(13b)

Dividing equation (13a) and (13b) throughout by y2 and y2 respectively to obtain

A

x
y

x
A
y


2

2

+B

x
y

x
+B
y


+C = 0

(14a)

+C = 0

(14b)

Equation (14a) is a quadratic equation for (x /y ) whose roots are given by

B B2 4AC
1 (x, y) =
2A
B + B2 4AC
2 (x, y) =
2A
The roots of the equation (14b) can also be found in an identical manner, so as only two distinct roots are
possible between the two equations (14a) and (14b). Hence, we may consider 1 as the root of (14a) and
2 as that of (14b). That is,

B B2 4AC
x
1 (x, y) =
=
(15a)
y
2A

B + B2 4AC
x
2 (x, y) =
=
(15b)
y
2A
The above equations lead to the following two first-order differential equations

x 1 (x, y)y = 0

x 2 (x, y)y = 0

(16a)
(16b)

These are the equations that define the new coordinate variables and that are necessary to make
a = c = 0 in (7).
As the total derivative of along the coordinate line (x, y) = constant, d = 0. It follows that
d = x dx + y dy = 0
and hence, the slope of such curves is given by

x
dy
=
dx
y

We also have a similar result along coordinate line (x, y) = constant, i.e.,
dy
x
=
dx
y
Using these results, equation (14) can be written as
 2
 
dy
dy
A
B
+C = 0
dx
dx
This is called the characteristic polynomial of the PDE (2) and its roots are given by

B + B2 4AC
dy
=
= 1 (x, y)
dx
2A
B B2 4AC
dy
=
= 2 (x, y)
dx
2A

(17)

(18a)
(18b)

The required variables and are determined by the respective solutions of the two ordinary differential
equations (18a) and (18b), known as the characteristic equations of the PDE (2). They are ordinary
differential equations for families of curves in the xy-plane along which = constant and = constant.
Clearly, these families of curves depend on the coefficients A, B, and C in the original PDE (2).
Integration of equation (18a) leads to the family of curvilinear coordinates (x, y) = c1 while the
integration of (18b) gives another family of curvilinear coordinates (x, y) = c2 , where c1 and c2 are
arbitrary constants of integration. These two families of curvilinear coordinates (x, y) = c1 and (x, y) =
c2 are called characteristic curves of the hyperbolic equation (2) or, more simply, the characteristics of the
equation. Hence, second-order hyperbolic equations have two families of characteristic curves. The fact
that > 0 means that the characteristic are real curves in xy-plane.
If the coefficients A, B, and C are constants, it is easy to integrate equations (18a) and (18b) to obtain
the expressions for change of variables formulas for reducing a hyperbolic PDE to the canonical form.
Thus, integration of (18) produces

B B2 4AC
B + B2 4AC
x + c1
and
y=
x + c2
(19a)
y=
2A
2A
or

B + B2 4AC
B B2 4AC
y
x = c1
and
y
x = c2
(19b)
2A
2A
Thus, when the coefficients A, B, and C are constants, the two families of characteristic curves associated
with PDE reduces to two distinct families of parallel straight lines. Since the families of curves =
constant and = constant are the characteristic curves, the change of variables are given by the following
equations:

B + B2 4AC
x
(20)
= y
2A
B B2 4AC
= y
x
(21)
2A
The first canonical form of the hyperbolic is:
w = , , w, w , w

(22)

where = /b and b is calculated from (8)

b = 2Ax x + B(x y + y x ) + 2Cy y



 2
B
B
B (B2 4AC)
+B
+ 2C
= 2A
4A2
2A 2A

B2
=
= 4C
A
A

(23)

Each of the families (x, y) = constant and (x, y) = constant forms an envelop of the domain of the
xy-plane in which the PDE is hyperbolic.
We now determine the Jacobian of transformation defined by (20) and (21). We have


 1 


1
J=
 = 2 1
 2 1 

We know that 1 = 2 only if B2 4AC = 0. However, for an hyperbolic PDE, B2 4AC 6= 0. Hence
Jacobian is nonsingular for the given transformation. A consequence of 1 6= 2 is that at no point can the
particular curves from each family share a common tangent line.
The transformation = (x, y) and = (x, y) can be regarded as a mapping from the xy-plane to the
-plane, and the curves along which and are constant in the xy-plane become coordinates lines in the
-plane. Since these are precisely the characteristic curves, we conclude that when a hyperbolic PDE
is in canonical form, coordinate lines are characteristic curves for the PDE. In other words, characteristic
curves of a hyperbolic PDE are those curves to which the PDE must be referred as coordinate curves in
order that it take on canonical form.
It is easy to show that the hyperbolic PDE has a second canonical form. The following linear change
of variables
= + ,
=
converts (22) into
w w = , , w, w , w

which is the second canonical form of the hyperbolic equations.

(24)

Example 1
Show that the one-dimensional wave equation

2u
2u
c2 2 = 0
2
t
x
is hyperbolic, find an equivalent canonical form, and then obtain the general solution.
Solution To interpret the results for (2) that involve the independent variables x and y in terms of the
wave equation utt c2 uxx = 0, where the independent variables are t and x, it will be necessary to replace
x and y in (2) and (6) by t and x. It follows that the wave equation is a constant coefficient equation with
A = 1,

B = 0,

C = c2

We calculate the discriminant, = 4c2 > 0, and therefore the PDE is hyperbolic. The roots of the characteristic polynomial are given by

B+
B
1 =
2 =
=c
and
= c
2A
2A
Therefore, from the characteristic equations (18a) and (18b), we have
dx
= c,
dt

dx
= c
dt

Integrating the above two ODEs to obtain the characteristics of the wave equation
x = ct + k1 ,

x = ct + k2

where k1 and k2 are the constants of integration. We see that the two families of characteristics for the
wave equation are given by xct = constant and x+ct = constant. It follows, then, that the transformation

= x ct,

= x + ct

reduces the wave equation to canonical form. We have,

a = 0,

c = 0,

b=

= 4c2
A

So in terms of characteristic variables, the wave equation reduces to the following canonical form
w = 0
For the wave equation the characteristics are found to be straight lines with negative and positive slopes
as shown in Fig. 1 The characteristics form a natural set of coordinates for the hyperbolic equation.

x + ct = a

x ct = a

Figure 1: The pair of characteristic curves for wave equation.

The canonical forms are simple because they can be solved directly by integrating twice. For example,
integrating with respect to gives
Z
w =

0 d = h( )

where the constant of integration h is an arbitrary function of . Next, integrating with respect to to
obtain
Z
w( , ) = h( ) d + f ( ) = f ( ) + g( )

where f and g are arbitrary twice differentiable functions and g is just the integral of the arbitrary function
h. The form of the general solutions of the wave equation in terms of its original variable x and t are then
given by
u = f (x ct) + g(x + ct)

Note that f is constant on wavefronts x = ct + that travel towards right, whereas g is constant on
wavefronts x = ct + that travel towards left. Thus, any general solution can be expressed as the sum
of two waves, one travelling to the right with constant velocity c and the other travelling to the left with
the same velocity c. This is one of the few cases where the general solution of a PDE can be found.
We also note that hyperbolic PDE has an alternate canonical form with the following linear change of
variables = + and = , given by
w w = 0

1.3 Parabolic equations

For a parabolic PDE the discriminant = B2 4AC = 0. In this case, we have seen that, to reduce this
PDE to canonical form we need to choose the new variables and such that the coefficients a and b
vanish in (7). Thus, from (8), we have
a = Ax2 + Bx y + Cy2 = 0
Dividing the above equation throughout by y2 to obtain

x
A
y


2

x
+B
y


+C = 0

(25)

As the total derivative of along the coordinate line (x, y) = const., d = 0. It follows that
d = x dx + y dy = 0
and hence, the slope of such curves is given by

x
dy
=
dx
y
Using this result, equation (25) can be written as
 2
 
dy
dy
A
B
+C = 0
dx
dx

(26)

This is called the characteristic polynomial of the PDE (2). Since B2 4AC = 0 in this case, the characteristic polynomial (25) has only one root, given by
B
dy
=
= (x, y)
dx
2A

(27)

Hence we see that for a parabolic PDE there is only one family of real characteristic curves. The required
variables is determined by the ordinary differential equation (27), known as the characteristic equations
of the PDE (2). This is an ordinary differential equation for families of curves in the xy-plane along which
= constant.
To determine the second transformation variable , we set b = 0 in (8) so that
2Ax x + Bx y + y x ) + 2Cy y


x
x
y + x + 2Cy
2A x + B
y
y





B
B
x + B
y + x + 2Cy
2A
2A
2A
B2
y + Bx + 2Cy
Bx
2A


B2 4AC y

=0
=0
=0
=0
=0

Since B2 4AC = 0 for a parabolic PDE, y could be an arbitrary function of (x, y) and consequently the
transformation variable can be chosen arbitrarily, as long as the change of coordinates formulas define
a non-degenerate transformation.
If the coefficients A, B, and C are constants, it is easy to integrate equation (27) to obtain the expressions for change of variable formulas for reducing a parabolic PDE to the canonical form. Thus,
integration of (27) produces
B
x + c1
(28a)
y=
2A
or
B
y
x = c1
(28b)
2A
Since the families of curves = constant are the characteristic curves, the change of variables are given
by the following equations:

= y

B
x
2A

=x

(29)
(30)

where we have set = x. The Jacobian of this transformation is





 
 B/2A 1 

 x

y 
J=
 = 1 6= 0
=
 x y 

1
0 
Now, we have from (8)

b = 2Ax x + B(x y + y x ) + 2Cy y



B
+B+0 = 0
= 2A
2A
In these new coordinate variables given by (29) and (30), equation (7) reduces to following canonical
form:


(31)
w = , , w, w , w

10

where = /c. As the choice of is arbitrary, the form taken by will depend on the choice of . We
have from (8)
c = Ax2 + Bx y + Cy2 = A
(32)
Equation (7) may also assume the form
w = , , w, w , w
if we choose c = 0 instead of a = 0.

(33)

Example 2
Show that the one-dimensional heat equation

2u
u
=
2
x
t

is parabolic, choose the appropriate characteristic variables, and write the equation in equivalent canonical
form.
Solution

It follows that the heat equation is a constant coefficient equation with

A = ,

B = 0,

C=0

We calculate the discriminant, = 0, and therefore the PDE is parabolic. The single root of the characteristic polynomial is given by
= B/2A = 0
Therefore, from the characteristic equation (27), we have
dt
=0
dx
Integrating the above ODE to obtain the characteristics of the wave equation
t =k
where k is the constant of integration. Here t = k lines represents the characteristics. Since the families
of curves = constant are the characteristic curves, the change of variables are given by the following
equations:
= t,
=x
where we have set = x. This shows that the given PDE is already expressed in canonical form and thus
no change of variable is needed to simplify the structure. Further, we have from (6)
ut = w t + w t = w
and c = A = . It follows that the canonical form of the heat equation is given by
w =

11

1
w

1.4 Elliptic equations

For an elliptic PDE the discriminant = B2 4AC < 0. In this case, we have seen that, to reduce this
PDE to canonical form we need to choose the new variables and to produce b = 0 and a = c, or b = 0
and a c = 0. Then, from (8) we obtain the following equations:




A x2 x2 + B(x y x y ) + C y2 y2 = 0
(34a)
2Ax x + B(x y + y x ) + 2Cy y = 0

(34b)

For hyperbolic and parabolic PDEs, and are satisfied by equations that are not coupled each other
(see (13) and (25)). However, equations (34) are coupled since both unknowns and appear in both
equations. In an attempt to separate them, we add the first of these equation to complex number i times
the second to give
A (x + ix )2 + B(x + ix )(y + iy ) + C (y + iy )2 = 0
Dividing the above equation throughout by (y + iy )2 to obtain

x + ix
A
y + iy


x + ix
+B
y + iy

2

+C = 0

This equation can be solved for two possible values of the ratio

B i 4AC B2
x + ix
B B2 4AC
=
=
y + iy
2A
2A
Clearly, these two roots are complex conjugates and are given by

B + i 4AC B2
x
=
y
2A

B i 4AC B2
x
=
y
2A

(35)

(36)

(37a)
(37b)

where (x, y) is the complex conjugate of (x, y). They are given by

(x, y) = (x, y) + i (x, y)

(38a)

(x, y) = (x, y) i (x, y)

(38b)

We will now proceed in a purely formal fashion. As the total derivative of along the coordinate line
(x, y) = constant, d = 0. It follows that
d = x dx + y dy = 0
and hence, the slope of such curves is given by

x
dy
=
dx
y
We also have a similar result along coordinate line (x, y) = constant, i.e.,

x
dy
=
dx
y

12

From the foregoing discussion it follows that

B i 4AC B2
dy
= 1 =
dx
2A
dy
B + i 4AC B2
= 2 =
dx
2A

(39a)
(39b)

Equations (39a) and (39b) are called the characteristic equation of the PDE (2). Clearly, the solution of this
differential equations are necessarily complex-valued and as a consequence there are no real characteristic
exist for an elliptic PDE.
The complex variables and are determined by the respective solutions of the two ordinary differential equations (39a) and (39b). Integration of equation (39a) leads to the family of curvilinear
coordinates (x, y) = c1 while the integration of (39b) gives another family of curvilinear coordinates
(x, y) = c2 , where c1 and c2 are complex constants of integration. Since and are complex function
the characteristic curves of the elliptic equation (2) are not real.
Now the real and imaginary parts of and give the required transformation variables and .
Thus, we have
+

=
=
(40)
2
2i
With the choice of coordinate variables (40), equation (7) reduces to following canonical form:
w + w = , , w, w , w
where = /a.

(41)

Note: It may be noted that the quasilinear second-order equations in two independent variables can
also be classified in a similar way according to rule analogous to those developed above for semilinear
equations. However, since A, B, and C are now functions of ux , uy , and u its type turns out to depend in
general on the particular solution searched and not just on the values of the independent variables.

Example 3
Show that the equation
uxx + x2 uyy = 0
is elliptic everywhere except on the coordinate axis x = 0, find the characteristic variables and hence write
the equation in canonical form.
Solution

The given equation is of the form (2) where

A = 1,

B = 0,

C = x2

The discriminant, = B2 4AC = 4x2 < 0 for x 6= 0, and therefore the PDE is elliptic. The roots of the
characteristic polynomial are given by

B i 4AC B2
B + i 4AC B2
1 =
2 =
= ix
and
= ix
2A
2A

13

Therefore, from the characteristic equations (18a) and (18b), we have

dy
= ix,
dx

dy
= ix
dx

Integrating the above two ODEs to obtain the characteristics of the wave equation
y = i

x2
+ c1 ,
2

y=i

x2
+ c2
2

where c1 and c2 are the complex constants. We see that the two families of complex characteristics for
the elliptic equation are given by y + ix2 /2 = constant and y ix2 /2 = constant. It follows, then, that the
transformation
x2
x2
= y+i ,
= yi
2
2
The real and imaginary parts of and give the required transformation variables and . Thus, we
have
+

x2
=y
=
=
=
2
2i
2
With this choice of coordinate variables, equation (7) reduces to following canonical form. From the
relations (6), we have
uxx = w x2 + 2w x x + w x2 + w xx + w xx
= x2 w + w
uyy = w y2 + 2w y y + w y2 + w yy + w yy
= w
Substituting these relations in the given PDE and noting that x2 = 2 , we obtain
w + w =

1
w
2

This is the canonical form of the given hyperbolic PDE. Therefore, the PDE
uxx + x2 uyy = 0
in rectangular coordinate system (x, y) has been transformed to PDE
w + w =

1
w
2

in curvilinear coordinate system ( , ). Here = const. lines represents a family of straight lines parallel
to x axis and = const. lines represents family of parabolas.

Example 4
Consider the Tricomi equation
uxx xuyy = 0

14

This is simple model of a second-order PDE of mixed elliptic-hyperbolic type with two independent
variables. The Tricomi equation is a prototype of the Chaplygins equation for study of transonic flow.
The Tricomi equation is of the form (2) where
A = 1,

B = 0,

C = x

The discriminant, = B2 4AC = 4x. Therefore, the Tricomi equation is hyperbolic for x > 0, elliptic
for x < 0 and degenerates to an equation of parabolic type on the line x = 0. Assuming x > 0, the roots of
the characteristic polynomial are given by

B+
B
1 =
and
2 =
= x
= x
2A
2A
Therefore, from the characteristic equations (18a) and (18b), we have

dy
= x,
dx

dy
= x
dx

Integrating the above two ODEs to obtain the characteristics of the wave equation
y = 23 x3/2 + c1 ,

y = 32 x3/2 + c2

where c1 and c2 are the constants of integration. We see that the two families of characteristics for the
wave equation are given by y 2/(3x3/2) = constant and y + 2/(3x3/2) = constant. It follows, then, that
the transformation
= y 23 x3/2 ,
= y + 23 x3/2
reduces the wave equation to canonical form. The derivatives of and are given by

x = x
y = 1
1

xx = 2 x
yy = 0

x = x
y = 1
1
xx = 2x
yy = 0
From the relations (6), we have
uxx = w x2 + 2w x x + w x2 + w xx + w xx
1
1
= xw 2xw + xw w + w
2 x
2 x
uyy = w y2 + 2w y y + w y2 + w yy + w yy
= w + 2w + w
We also have the following relation

3( )
4
Substituting these relations in the given PDE to obtain
x3/2 =

w =

1 w w
6

This is the canonical form of the Tricomi equation in the hyperbolic region.

15

Example 9
An interesting example is provided by the stationary potential flow equation in two dimensions, defined
by equation (where c designates the speed of sound):




u2 2
v2 2
uv 2
1 2
+ 1 2
2 2
=0
c
x2
c x y
c
y2
with
A=


u2
1 2 ,
c

uv
B = 2 2 ,
c



v2
C = 1 2
c

we can write the potential equation under the form (2). In this particular case the discriminant (B2 4AC)

becomes, introducing the Mach number, M(= u2 + v2 /c)

 2



u + v2
2
B 4AC = 4
1 = 4 M2 1
2
c

and hence the stationary potential equation is elliptic for subsonic flows and hyperbolic for supersonic
flows. Along the sonic line M = 1, the equation is parabolic. This mixed nature of the potential equation
has been a great challenge for the numerical computation of transonic flows since the transition line
between the subsonic and the supersonic regions is part of the solution. An additional complication arises
from the presence of shock waves which are discontinuities of the potential derivatives and which can
arise in the supersonic regions.

2 Classification of Second-Order Equations in n Variables

We now consider the classification to second-order PDEs in more than two independent variables. To
extend the examination of characteristics for more than two independent variables is less useful. In n
dimension, we need to consider (n 1) dimensional surfaces. In three dimensions, it is necessary to
obtain transformations, = (x, y, z), = (x, y, z), and = (x, y, z) such that all cross derivatives in
( , , ) disappear. However, this approach will fail for more than three independent variables and hence
it is not usually possible to reduce the equation to a simple canonical form. Consider a general secondorder semilinear partial differential equation in n independent variables

2u
x1 x1
2u
a21
x2 x1
..
.

a11

2u
xn x1
u
b1
x1

an1

2u
x1 x2
2u
+ a22
x2 x2
..
.
+ a12

2u
xn x2
u
b2
x2

2u
x1 x3
2u
+ a23
x2 x3
..
.
+ a13

2u
xn x3
u
b3
x3

+ an2

+ an3

2u
x1 xn
2u
+ + a2n
x2 xn
..
..
.
.
2u
+ + ann
xn xn
u
+ +
bn
xn
+

+ a1n

+
+

+
+ cu + d = 0

For more than three independent variables it is convenient to write the above PDE in the following form:
n

ai j

i=1 j=1

n
2u
u
+ bi
+ cu + d = 0
xi x j i=1 xi

16

(42)

where the coefficients ai j , bi , c, d are functions of x = (x1 , x2 , . . . , xn ), u = u(x1, x2 , . . . , xn ), and n is the

number of independent variables. Equation (42) can be written in matrix form as

u
u
a

a
11
1n
x1
h
i x1
i
h
..

.
.
..
.

.
.
.
.
.
. . + b1 bn
x1
xn
. + cu + d = 0
u
u
an1 ann
xn
xn

We assume that the coefficient matrix A = (ai j ) to be symmetric. If A is not symmetric, we can always
find a symmetric matrix ai j = 12 (ai j + a ji ) such that (42) can be rewritten as
n

ai j

i=1 j=1

n
2u
u
+ bi
+ cu + d = 0
xi x j i=1 xi

For example, consider the equation

2u
2u
2u
+

= f (x1 , x2 )
x1 x2
x21
x22
Since

2u
2u
=
x1 x2
x2 x1

we may write

1 2u
2u 1 2u
2u

= f (x1 , x2 )

+
2 x1 x2
2 x2 x1
x21
x22

or in matrix form
h

x1

x2

"

1
1/2
1/2
1

#"

u
x1
u
x2

= f (x1 , x2 )

Comparing to the general equation in matrix form above, we can see that the coefficient matrix A is now
symmetric.
Now consider the transformation
= Qx
where = (1 , 2 , . . . , n ) and Q = (qi j ) is an n n arbitrary matrix. Using index notation, this transformation can be written as
n

qi j x j

i =

j=1

Repeated application of chain rule in the forms

=
xi
and

2
=
xi x j

k xi

k=1

2 k l
k,l=1 k l xi x j
n

to the derivatives of u(x1 , x2 , . . . , xn ) in (42) with respect to x1 , x2 , . . . , xn transforms them into derivatives
of w(1 , 2 , . . . , n ) with respect to 1 , 2 , . . . , n . This allows equation (42) to be expressed as
!
n
n
2u
+ lower-order terms = 0
(43)
q
a
q
i
j
ki
l
j

k l
k,l=1 i, j=1

17

The coefficient matrix of the terms 2 u/( k l ) in this transformed expression is seen to be equal to
QT AQ. That is,
(qki ai j ql j ) QT AQ
From linear algebra, we know that for any real symmetric matrix A, there is an associate orthogonal
matrix P such that PT AP = . Here P is called diagonalizing matrix of A and is a diagonal matrix
whose element are the eigenvalues, i , of A and the columns of P the linearly independent eigenvectors
of A, ei = (e1i , e2i , . . . , eni ). So, we have
P = (ei j )

and

= (i i j ),

i, j = 1, 2, . . . , n

where i j is the Kronecker delta. Now if the transformation is such that Q is taken to be a diagonalizing
matrix of A, it follows that

Q AQ = =
(44)
..

The numbers 1 , 2 , . . . , n are real, because the eigenvalues of a real symmetric matrix are always real.
It is instructive to note that the previously mentioned transformation (for second-order PDE with two
independent variables) to remove cross derivatives is equivalent to finding eigenvalues i of the coefficient
matrix A.
We are now in a position to classify the equation (42).
Equation is called elliptic if all eigenvalues i of A are non-zero and have the same sign.

Equation is called hyperbolic if all eigenvalues i of A are non-zero and have the same sign except
for one of the eigenvalues.
Equation is called parabolic if any of the eigenvalues i of A is zero. This means that the coefficient
matrix A is singular.

When more than two independent variables are involved, there are other intermediate classifications exist
which depends on the number of zero eigenvalues and the pattern of signs of the non-zero eigenvalues.
These sub classification has not much practical importance and will not be discussed here.

Example 6
Classify the three-dimensional Laplace equation
uxx + uyy + uzz = 0
Solution

The coefficient matrix is given by

1 0 0

A= 0 1 0
0 0 1

As the coefficient matrix is already in diagonalized form it can be seen immediately that it has three
non-zero eigenvalues which are all positive. Hence, according to the classification rule the given PDE is
elliptic.

18

Example 7
Classify the two-dimensional wave equation
utt c2 (uxx + uyy ) = 0
Solution

The coefficient matrix is given by

1 0
0

A = 0 c2
0
0 0 c2

As the coefficient matrix is already in diagonalized form it can be seen immediately that it has three nonzero eigenvalues which are all negative except one. Hence, according to the classification rule the given
PDE is hyperbolic.

Example 8
Classify the two-dimensional heat equation
ut (uxx + uyy ) = 0
Solution

The coefficient matrix is given by

0 0

A = 0
0 0

As the coefficient matrix is already in diagonalized form it can be seen immediately that it has a zero
eigenvalue. Hence, according to the classification rule the given PDE is parabolic.

Example 9
Classify the two-dimensional equation

2u
2u
2u
+

= f (x, y)
x2
x y
y2
Solution

First of we write the given equation in the following form:

2u 1 2u
1 2u
2u

= f (x, y)
x2
2 x y
2 y x
y2
The coefficient matrix is then given by
A=

"

1
21

19

12
1

Since the coefficient matrix not in diagonalized form, we solve the eigenvalue problem det(A I) = 0.
That is,


 1 1 

2  = 0


1
 2 1 
Expanding the determinant to obtain

(1 )2

1
=0
4

2 2 +

3
=0
4

Hence the two eigenvalues are 1 = 1/2 and 2 = 3/2. The equation is elliptic.

Example 10
Classify the following small disturbance potential equation for compressible flows:
1 M2
Solution

2

x2

2
=0
y2

The coefficient matrix is then given by

#
"
1 M2 0
A=
0
1

As the coefficient matrix is already in diagonalized form it can be seen immediately that its eigenvalues
are given by
1 = 1,
2 = 1 M2
It follows that: If M2 < 1 then all eigenvalues are nonzero and of same sign thus small disturbance
potential equation is elliptic, if M2 = 1 then one of the eigenvalues is zero thus small disturbance potential
equation is parabolic, and if M2 > 1 then all eigenvalues are nonzero and are of opposite sign thus small
disturbance potential equation is hyperbolic.

3 Classification of First-Order System of Equations

Consider the system of semilinear1 PDEs with two dependent variables (u, v) in a 3-dimensional space
(x, y, z) as given below:

u
v
u
v
u
v
+ a12
+ b11
+ b12
+ c11
+ c12
= f1
x
x
y
y
z
z
u
v
u
v
u
v
a21
+ a22
+ b21
+ b22
+ c21
+ c22
= f2
x
x
y
y
z
z

a11

In matrix form
# " # "
# " # "
#
# " # "
"
u
b11 b12
u
c11 c12
u
f1

a11 a12
+
+
=
b21 b22 y v
c21 c22 z v
f2
a21 a22 x v
1 For

a first-order PDE to be semilinear, ai j = ai j (x, y, z) and fi = fi (x, y, z, u, v).

20

or
A
where
U =

U
U
U
+B
+C
=F
x
y
z
"

u
v

F =

"

f1
f2

The expanded matrix form of the equation is

"

a11 a12 b11 b12 c11 c12

a21 a22 b21 b22 c21 c22

u
x
v
x
u
y
v
y
u
z
v
z

"
#

f
1
=

f2

Using indicial notations, the system of three-dimensional first-order PDE for 2 dependent variables can
be written as

2 
uj
uj
uj
i = 1, 2
ai j x + bi j y + c i j z = f i ,
j=1
The system of three-dimensional first-order PDE can be generalized for n dependent variables, u j , as
follows:

n 
uj
uj
uj
i = 1, 2, . . . , n
(45a)
ai j x + bi j y + c i j z = f i ,
j=1
or in matrix form
A

U
U
U
+B
+C
=F
x
y
z

(45b)

where

a11
..
..
A= .
.
an1

a1n
..
.

b11 b1n
.
..
..
B = ..
.
.
bn1 bnn

u1
f1

u2
f2

U =
F =
..
..
.
.

ann

un

fn

c11 c1n
.
.
..
C = ..
. ..
cn1 cnn

Finally, we consider the most general form of system of first-order PDEs. Suppose we have n dependent variables u j , in an m-dimensional space xk , we can group all the variables u j in an (n 1) column
vector U and write the system of first-order PDEs
m

Ak x k

=F

(46a)

k=1

or

uj

akij xk

= fi ,

k=1 j=1

21

i = 1, 2, . . . , n

(46b)

As an example let us consider the system n equations (and an equal number of dependent variables)
in two dimensions (x, y):

a11 a1n
u1
u1
b11 b1n
f1
..
.
.
.. ..
.. ..
..
..
.
.
.
. x . + ..
. y . = ..
an1 ann
un
un
bn1 bnn
fn

or

U
U
+B
=F
x
y

(47)

Now, consider the transformation

V = P1U

U = PV

where P = (pi j ) is an n n arbitrary nonsingular matrix. Substituting this into (47), we get
AP
Rearranging,

V
P
V
P
+ A V + BP
+B V = F
x
x
y
y



V
V
P
P
AP
+ BP
=F A
+B
V =G
x
y
x
y

Assuming that A is non-singular, we multiply the above equation by (AP)1 to obtain

(AP)1AP
or

V
V
+ (AP)1BP
= (AP)1G
x
y

V
V
+ P1 A1 BP
= P1 A1 G
x
y

or

V
V
+ P1 DP
=H
x
y

(48)

where D = A1 B and H = P1 A1 G. If P is taken to be the diagonalizing matrix of D and is a

diagonal matrix whose element are the eigenvalues, i , of D and the columns of P the linearly independent
eigenvectors of D, ei = (e1i , e2i , . . . , eni ). So, we have
P = (ei j )

= (i i j ),

and

i, j = 1, 2, . . . , n

where i j is the Kronecker delta. It follows that

P DP = =

2
..

(49)

It is instructive to note that the previously mentioned transformations (for second-order PDE with two
independent variables) to remove cross derivatives is equivalent to finding eigenvalues i of the matrix
D = A1 B of the system of PDEs (47). Thus, we can write the system of equations (48) as

V
V
+
=H
x
y

22

(50a)

The system is now of the form

vi
vi
+ i
= hi ,
x
y

i = 1, 2, . . . , n

(50b)

with n characteristics given by

dy
= i ,
i = 1, 2, . . . , n
dx
Equation (50) is the canonical form of the equations. The classification of the system of first-order PDEs
(47) is done based on the nature of the eigenvalues i of the matrix P1 DP, which same as the eigenvalues
values of D = A1 B. We have the following classification of (47).
If all the n eigenvalues of D are real and distinct the system is called hyperbolic type.
If all the n eigenvalues of D are complex the system is called elliptic type.
If some of the n eigenvalues are real and other complex the system is considered as hybrid of
elliptic-hyperbolic type.
If the rank of matrix D is not of rank n, i.e., there are less than n real eigenvalues (some of the
eigenvalues are repeated) then the system is said to be parabolic type.

For a system of PDE having only two dependent variables, we can determine the eigenvalues of matrix
D = A1 B analytically and state the conditions classification in an explicit manner as follows. Consider
the system of two equations (with dependent variables u and v) in two dimensions (x, y):

u
v
u
v
+ a12
+ b11
+ b12
= f1
x
x
y
y
u
v
u
v
+ a22
+ b21
+ b22
= f2
a21
x
x
y
y

a11

(51a)
(51b)

In matrix form,
"

a11 a12
a21 a22

or

where
A=

"

"

u
v

"

A
x

"

u
v

+B
y

a11 a12
a21 a22

B=

The inverse of A is
A1

1
=
|A|

"

b11 b12
b21 b22

"

"

u
v

=F

b11 b12
b21 b22

"

a22 a12
a21 a11

u
v

"

F =

f1
f2

"

f1
f2

where |A| is the determinant of matrix A. We now compute the matrix D:

#
#"
#
"
"
1
1
b
b
a
a
a
b

a
b
a
b

a
b
11
12
22
12
22 11
12 21
22 12
12 22
D = A1 B =
=
|A| a21 a11
|A| a11 b21 a21 b11 a11 b22 a21 b12
b21 b22

23

To determine eigenvalues of D, we solve the following eigenvalue problem:

|D I| = 0
Expanding the above determinant to obtain the quadratic equation
|A| 2 |b| + |B| = 0

(52)

where the determinants |A|, |B|, and |b| are given by



 a

 11 a12 
|A| = 
 = a11 a22 a12 a21
 a21 a22 


 b

 11 b12 
|B| = 
 = b11 b22 b12 b21
 b21 b22 

 

 a
 

 11 b12   b11 a12 
|b| = 
+
 = a11 b22 a21 b12 + a22 b11 a12 b21
 a21 b22   b21 a22 
The two roots of the quadratic equation for are given by
p
|b| |b|2 4|A||B|
1,2 =
2|A|

(53)

Notice that this expression has the same form as equation (17) except that a, b, and c have now become
determinants. Clearly, the nature of the eigenvalues depends on the sign of discriminant |b|2 4|A||B|.
The different possibilities are given below:
If |b|2 4|A||B| > 0, there exists two real and distinct eigenvalues and thus the system is hyperbolic.
If |b|2 4|A||B| < 0, there exists two complex eigenvalues and thus the system is elliptic.
If |b|2 4|A||B| = 0, there is only one real eigenvalue and thus the system is parabolic.

We mention here that classification of second-order system of equations in general is very complex. It is
difficult to determine the mathematical character of these systems except for simple cases.

Example 11
Classify the single first-order equation
a
Solution

u
u
+b
= f
x
y

In the standard matrix form the above equation may be written as

A

U
U
+B
=F
x
y

where,
A=

B=

U =

24

F =

The D matrix, in this case, can be easily found:

h
i
ih i h
D = A1 B = a1
b = b/a

The matrix D has the eigenvalue, = b/a. This is always real and the equation is always hyperbolic
in the space (x, y). Note that here we have only a single eigenvalue and thus a characteristic direction.
Hence, a single first-order PDE is always hyperbolic.

Example 12
Classify the following system of first-order equation:

u
v
+c
= f1
x
y
v
u
+d
= f2
b
x
y
a

The matrix form of the system is:

#
" # "
# " #
"
"
#
u
0 c
u
f1
a 0

+
=
f2
d 0 y v
0 b x v
This equation may be written as
A

U
U
+B
=F
x
y

"

0 c
d 0

where,
A=

"

a 0
0 b

B=

U =

"

u
v

F =

"

f1
f2

Therefore, we have
a11 = a

a12 = 0

a21 = 0

a22 = b

b11 = 0

b12 = c

b21 = d

b22 = 0

The relevant determinants can be now evaluated:

|A| = a11 a22 a12 a21 = ab

|B| = b11 b22 b12 b21 = cd

|b| = a11 b22 a21 b12 + a22 b11 a12 b21 = 0

The eigenvalues of D = A1 B are given by

1,2 =

|b|

r
p
|b|2 4|A||B|
cd
=
2|A|
ab

If cd/ab > 0 then the eigenvalues are real and distinct and the system is hyperbolic in the space (x, y).
For instance a = b = 1; c = d = 1 with vanishing right-hand side, the system of equation becomes

u v
+
=0
x
y
v u
+
=0
x
y

25

By eliminating the variable v, we obtain the well-known wave equation:

2u
2u
=
x2
y2
which is a hyperbolic equation as seen previously.
If cd/ab < 0 then the eigenvalues are complex and the system is elliptic in the space (x, y). For
instance, a = b = 1; c = d = 1 and vanishing right-hand side, the system of equation becomes

u v

=0
x
y
v u
+
=0
x
y
By eliminating the variable v, we obtain the Laplace equation:

2u 2u
+ 2 =0
x2
y
which is the standard form of elliptic equations and describes diffusion phenomena.
Finally, if b = 0 then there is only one real eigenvalue and the system is parabolic. For instance, with
a = 1, b = 0, c = d = 1 and f1 = 0, f2 = v, the system of equation becomes

u v

=0
x
y
u
=v
y
which on eliminating the variable v leads to the standard form for a parabolic equation:

u
2u
=
x
y2
This is recognizable by the fact that the equation presents a combination of first and second-order derivatives.

26