MODULE 2: FIRST-ORDER PARTIAL DIFFERENTIAL EQUATIONS 23

Lecture 4 Nonlinear First-Order PDEs

The general nonlinear rst-order PDE is written in the form

F (x, y, z, zx , zy ) = 0, (1)

where F is not linear in zx and zy . Setting zx = p and zy = q, rewrite (1) as

F (x, y, z, p, q) = 0. (2)

1 The method of characteristics for nonlinear PDEs

Recall the method of characteristics for solving rst-order linear PDE:

F (x, y, z, p, q) = a(x, y)p + b(x, y)q + c(x, y)z d(x, y) = 0.

In this method, the PDE becomes an ODEs along the characteristics curves which may
be regarded as the solutions of the system

x (t) = a(x(t), y(t)) and y (t) = b(x(t), y(t)). (3)

Note that Fp = a(x, y) and Fq = b(x, y). Hence, (3) may be written as

x (t) = Fp and y (t) = Fq . (4)

For solving rst-order nonlinear PDE (1), the relation (4) motivates us to dene charac-
teristics curves as solutions of the system

x (t) = Fp (x(t), y(t), z(t), p(t), q(t)) and y (t) = Fq (x(t), y(t), z(t), p(t), q(t)), (5)

where z(t) = z(x(t), y(t)), p(t) = zx (x(t), y(t)), q(t) = zy (x(t), y(t)). However, unlike the
linear case, the right sides of (5) depend not only on x(t) and y(t), but also on z(t), p(t)
and q(t). Thus, we can expect a large system of ve ODEs for the ve unknown x(t), y(t),
z(t), p(t) and q(t). For the remaining three equations, notice that

d
z (t) = {z(x(t), y(t))}
dt
= zx x (t) + zy y (t)
= p(t)x (t) + q(t)y (t)
= p(t)Fp (x(t), y(t), z(t), p(t), q(t)) + q(t)Fq (x(t), y(t), z(t), p(t), q(t)). (6)
MODULE 2: FIRST-ORDER PARTIAL DIFFERENTIAL EQUATIONS 24

Along a characteristics p is a function of t. The equation for p (t) is obtained as follows:

d
p (t) = {zx (x(t), y(t))}
dt
= zxx x (t) + zxy y (t)
= zxx Fp (x(t), y(t), z(t), p(t), q(t)) + zxy Fq (x(t), y(t), z(t), p(t), q(t)). (7)

Using the fact that z(x, y) should solve the PDE (1), we obtain

d
0 = {F (x, y, z(x, y), zx (x, y), zy (x, y))}
dx
= Fx + Fz zx + Fp zxx + Fq zyx .

Therefore,

p (t) = zxx Fq + zxy Fq = (Fx + pFz ). (8)

Similarly,

q (t) = [Fy + qFz ]. (9)

Thus, we have the following system of ve ODEs

x (t) = Fp (x(t), y(t), z(t), p(t), q(t))

y (t) = Fq (x(t), y(t), z(t), p(t), q(t))
z (t) = p(t)Fp (x(t), y(t), z(t), p(t), q(t)) + q(t)Fq (x(t), y(t), z(t), p(t), q(t)) (10)
p (t) = {Fx (x(t), y(t), z(t), p(t), q(t)) + p(t)Fz (x(t), y(t), z(t), p(t), q(t))}
q (t) = {Fy (x(t), y(t), z(t), p(t), q(t)) + q(t)Fz (x(t), y(t), z(t), p(t), q(t))}

These equations constitute the characteristics system of the PDE (1) and are known as
the characteristics equations associated with PDE (1).

NOTE: If the functions which appear in equations (10) satisfy a Lipschitz condition,
there is a unique solution of the equations for each prescribed set of initial values of the
variables. Therefore the characteristics strip is uniquely determined by any initial element
(x(t0 ), y(t0 ), z(t0 ), p(t0 ), q( t0 )) at any initial point t0 of t.

An important result about characteristic strips is given below.

THEOREM 1. The function F (x, y, z, p, q) is a constant along every characteristics strip
of the equation F (x, y, z, p, q) = 0.
MODULE 2: FIRST-ORDER PARTIAL DIFFERENTIAL EQUATIONS 25

Proof. Along a characteristic strip, we have

d
{F (x(t), y(t), z(t), p(t), q(t))} = Fx x (t) + Fy y (t) + Fz z (t) + Fp p (t) + Fq q (t)
dt
= Fx Fp + Fy Fq + Fz (pFp + qFq ) Fp (Fx + pFz ) Fq (Fy + qFz )
= 0.

This implies F (x, y, z, p, q) = k, a constant along the strip.

2 Solving Cauchys problem for nonlinear PDEs

The objective of this section to solve PDE

F (x, y, z, zx , zy ) = 0

subject to an appropriate initial condition (i.e., z assume prescribed values on some curve).

Let (f (s), g(s)) traces out a regular curve in the xy-plane as s varies. We regard this
curve as being an initial curve. We seek a solution u(x, y) of the following problem (known
as Cauchys problem).

F (x, y, z, zx , zy ) = 0, u(f (s), g(s)) = G(s), (11)

where G(s) is a continuously dierentiable function. Such a problem may have no solution
(e.g., the PDE zx2 + zy2 + 1 = 0). However, if a solution exists in some neighborhood of the
initial curve, then such a solution can often be determined using the following steps (cf.
[1]).

Step 1: Find functions h(s) and k(s) (if possible) such that

F (f (s), g(s), G(s), h(s), k(s)) = 0, G (s) = h(s)f (s) + k(s)g (s) and
Fp (f (s), g(s), G(s), h(s), k(s))g (s) Fq (f (s), g(s), G(s), h(s), k(s))f (s) = 0. (12)

Note that if h(s) and k(s) do not exist, then (11) has no solution. If there are several
choices for (h(s), k(s)), then a solution of (11) exists for each such choice.

Step 2: For each xed s, solve the following charateristics system for x(s, t), y(s, t),
z(s, t), p(s, t),q(s, t) with the given initial conditions p(s, 0) = h(s), q(s, 0) = k(s), where
h(s) and k(s) are the functions found in Step 1.
MODULE 2: FIRST-ORDER PARTIAL DIFFERENTIAL EQUATIONS 26

d
x(s, t) = Fp (x(s, t), y(s, t), z(s, t), p(s, t), q(s, t))
dt
d
y(s, t) = Fq (x(s, t), y(s, t), z(s, t), p(s, t), q(s, t))
dt
d
z(s, t) = p(s, t)Fp (x(s, t), y(s, t), z(s, t), p(s, t), q(s, t))
dt
+q(s, t)Fq (x(s, t), y(s, t), z(s, t), p(s, t), q(s, t)) (13)
d
p(s, t) = [Fx (x(s, t), y(s, t), z(s, t), p(s, t), q(s, t))
dt
+p(s, t)Fz (x(s, t), y(s, t), z(s, t), p(s, t), q(s, t))]
d
q(s, t) = [Fy (x(s, t), y(s, t), z(s, t), p(s, t), q(s, t))
dt
+q(s, t)Fz (x(s, t), y(s, t), z(s, t), p(s, t), q(s, t))]

Step 3: As s and t vary, the point (x, y, z), dened by

x = x(s, t), y = y(s, t), z = z(s, t) (14)

traces out the graph of a solution z of (11) in the xyz-space, in a neighborhood of the
curve traced out by (f (s), g(s), G(s)). In some cases, one can use the rst two equations
in (14) to solve for s and t in terms of x and y (say, s = s(x, y) and t = t(x, y)) to obtain a
solution z(x, y) = z(s(x, y), t(x, y)), for (x, y) in a neighborhood of the curve (f (s), g(s)).

To illustrate the above steps, let us consider the following example.

EXAMPLE 2. Solve the PDE zx zy z = 0 subject to the condition z(s, s) = 1.

Solution. Here, we have

F (x, y, z, p, q) = pq z.

The characteristics system (13) takes the form

dx dy dz
= Fp = q(t), = Fq = p(t), = pFp + qFq = 2p(t)q(t),
dt dt dt
dp dq
= [Fx + p(t)Fz ] = p(t), = [Fy + q(t)Fz ] = q(t).
dt dt
Note that
dp dq
= p(t) = p(t) = cet and = q(t) = q(t) = det ,
dt dt
where c and d are arbitrary constants. Since we are looking for a characteristics strip (i.e.,
F (x, y, z, p, q) = 0), we set z(t) = p(t)q(t) = cde2t . The equations for the characteristic
strip are:

x(t) = det + d1 , y(t) = cet + c1 , z(t) = cde2t , p(t) = cet , q(t) = det ,
MODULE 2: FIRST-ORDER PARTIAL DIFFERENTIAL EQUATIONS 27

where c1 and d1 are constants.

The initial condition z(s, s) = 1 is given on the line y = x traced out by (s, s),
in (11), we have f (s) = s and g(s) = s. We must nd h(s) and k(s) such that

1 = G(s) = h(s)k(s) 0 = G (s) = h(s) k(s),

0 = Fp (. . .)(1) Fq (. . .)(1) = k(s) h(s).

Thus, we have two choices h(s) = 1 and k(s) = 1, or h(s) = 1 and k(s) = 1. For the
choice h(s) = 1 and k(s) = 1, we obtain

x(s, t) = et 1 + s, y(s, t) = et 1 s, z(s, t) = e2t , p(s, t) = et , q(s, t) = et .

From the rst two equations, we obtain

et = (x + y + 2)/2.

Then the solution is

(x + y + 2)2
z(x, y) = e2t = .
4
If we choose h(s) = 1 and k(s) = 1, the solution is given by

(x + y 2)2
z(x, y) = .
4

Practice Problems
Solve the following Cauchys problem:

1. pq z = 0, z(x, x) = x

2. p + zq = 2x, z(0, y) = f (y)

3. Find the solution of the equation p + zq = 1 with the data

x(s, 0) = 2s, y(s, 0) = s2 , z(0, s2 ) = s.

4. Find the characteristics of the equation pq = z, and determine the integral surface
which passes through the parabola x = 0, y 2 = z.