Lecture 04

Surfaces orthogonal to a given system of surfaces
Nonlinear First-Order PDEs

Solving Cauchys problem for nonlinear PDEs
MA 201: Lecture - 4
Nonlinear first order PDES
IIT Guwahati MA201(2017):PDE


Given a one-parameter family of surfaces characterized by the equation
f (x, y , u) = c1 , (1)
we want to find a system of surfaces which cut each of these given surfaces at
right angles.
The normal at the point (x, y , u) to the surface of the system (1) which passes
through that point is the direction given by the direction ratios

f f f
(a, b, c) = , , . (2)
x y u
If the surface with equation

u = u(x, y ) (3)
cuts each surface of the given system orthogonally, its normal at the point
(x, y , u) which is in the direction

u u
, , 1
x y
is perpendicular to the direction (a, b, c) of the normal to the surface of the set
(1) at that point.
Figure: Orthogonal Surfaces

Therefore we have the linear PDE
u u
a +b =c (4)
x y
for the determination of the surfaces (3).

Substituting from (2), we see that this equation is equivalent to
f u f u f
+ = .
x x y y u
Conversely, any solution of the linear pde (4) is orthogonal to every surface of
the system characterized by (1), for (4) simply states that the normal to any
solution of (4) is perpendicular to the normal to that member of the system (4)
which passes through the same point.
The linear pde (4) is therefore the general PDE determining the surfaces
orthogonal to members of the system (1), i.e., the surfaces orthogonal to the
system (1) are the surfaces generated by the integral curves of the equations
dx dy du
= = . (5)
f /x f /y f /u

Example: Find the surface which intersects the surfaces of the

system u(x + y ) = c(3u + 1) orthogonally and which passes through
the circle x 2 + y 2 = 1, u = 1.
u(x + y )
Solution: Here f = and hence we have
3u + 1
f u f u f x +y
= , = , = .
x 3u + 1 y 3u + 1 u (3u + 1)2
The integral curves are given by
dx dy du
= =
u/(3u + 1) u/(3u + 1) (x + y )/(3u + 1)2
dx dy du
= = .
u(3u + 1) u(3u + 1) x +y

Taking the first two, we get

x y = c1 (6)
and taking
(x + y )dx + (x + y )dy
= u(3u + 1)du
2
(x + y )2 4u 3 2u 2 = c2 .
which can be written as
x 2 + y 2 + 2xy 4u 3 2u 2 = c2 . (7)
Since (6) and (7) form the surface and since the surface passes
through the circle x 2 + y 2 = 1, u = 1:
2xy = 1 c12 ,
1 + 1 c12 6 = c2
which gives a relation between c1 and c2 : c2 + c12 + 4 = 0.
Thus the required surface is
x 2 + y 2 = 2u 3 + u 2 2.

The general nonlinear first-order PDE is written in the form
F (x, y , u, ux , uy ) = 0, (x, y ) R2 (8)
where F is not linear in ux or uy . Setting ux = p and uy = q, rewrite (8)

as
F (x, y , u, p, q) = 0. (9)
Recall the method of characteristics for solving first-order linear PDE:
F (x, y , u, p, q) = a(x, y )p + b(x, y )q c(x, y )u d(x, y ) = 0.
In this method, the PDE reduces to ODEs along the characteristic curves
which may be regarded as the solutions of the system
x 0 (t) = a(x(t), y (t)) and y 0 (t) = b(x(t), y (t)). (10)
Note that Fp = a(x, y ) and Fq = b(x, y ). Hence, (10) may be written as
x 0 (t) = Fp and y 0 (t) = Fq . (11)

For solving first-order nonlinear PDE (8), the relation (11) motivates us to define
characteristic curves as solutions of the system
dx
= Fp (12)
dt
dy
= Fq (13)
dt
However, unlike the linear case, the right sides of (13) depend not only on x(t) and
y (t), but also on u(t), p(t) and q(t). Thus, we can expect a large system of five
ODEs for the five unknowns x(t), y (t), u(t), p(t) and q(t). For the remaining three
equations, notice that
d
u 0 (t) = {u(x(t), y (t))}
dt
= ux x 0 (t) + uy y 0 (t)
= p(t)x 0 (t) + q(t)y 0 (t)
= p(t)Fp (x(t), y (t), u(t), p(t), q(t))
+q(t)Fq (x(t), y (t), u(t), p(t), q(t)).
i.e,
du
= pFp + qFq . (14)
dt
Along a characteristic, p is a function of t. The equation for p 0 (t) is obtained as

follows:
d
p 0 (t) = {ux (x(t), y (t))}
dt
= uxx x 0 (t) + uxy y 0 (t)
= uxx Fp (x(t), y (t), u(t), p(t), q(t))
+uxy Fq (x(t), y (t), u(t), p(t), q(t)).
Using the fact that u(x, y ) should solve PDE (8), we obtain

0 = {F (x, y , u(x, y ), p(x, y ), q(x, y ))}
x
= Fx + Fu ux + Fp uxx + Fq uyx .
Therefore,
dp
= (Fx + pFu ). (15)
dt
Similarly,
dq
= (Fy + qFu ). (16)
dt

Thus, we have the following system of five ODEs
dx
= Fp
dt
dy
= Fq
dt
du
= pFp + qFq (17)
dt
dp
= (Fx + pFu )
dt
dq
= (Fy + qFu )
dt
These equations constitute the characteristic system of PDE (8) and are known as
the characteristic equations associated with PDE (8).

Remarks.
If the functions which appear in equations (17) satisfy a Lipschitz
condition, there is a unique solution (x(t), y (t), z(t), p(t), q(t)) of
the above system for each prescribed set of initial values of the
variables at some initial point t0 of t.
Note that any set (x(t), y (t), u(t), p(t), q(t)) of five real functions
satisfying the condition (14) i.e.,
du dx dy
=p +q = pFp + qFq
dt dt dt
defines a strip at the point (x, y , u) of the curve (x(t), y (t), u(t)).
This is called characteristic strip.
Therefore, the characteristic strip is uniquely determined by the
initial element (x(t0 ), y (t0 ), u(t0 ), p(t0 ), q(t0 )) at the initial point t0
of t.

An important result about characteristic strips is given below.

Theorem
The function F (x, y , u, p, q) is a constant along every characteristic strip
of the equation F (x, y , u, p, q) = 0.
Proof. Along a characteristic strip, we have
d
{F (x(t), y (t), u(t), p(t), q(t))}
dt
= Fx x 0 (t) + Fy y 0 (t) + Fu u 0 (t) + Fp p 0 (t) + Fq q 0 (t)
= Fx Fp + Fy Fq + Fu (pFp + qFq ) Fp (Fx + pFu ) Fq (Fy + qFu )
= 0.
This implies F (x, y , u, p, q) = k, a constant along the strip.

Let us consider the general Cauchys problem for first-order PDE
F (x, y , u, ux , uy ) = 0 (18)
subject to an appropriate initial condition given by an initial curve C 1 :
x(0) = x0 (s), y (0) = y0 (s), u(0) = u0 (s). (19)
Note: We need initial conditions also for p and q in order to obtain a complete
initial value problem for the system (17).
Definition
Let a point P0 = (x0 (s0 ), y0 (s0 ), u0 (s0 ), p0 (s0 ), q0 (s0 )) where
(x0 (s0 ), y0 (s0 )) R2 satisfy the compatibility conditions
du0 dx0 du0

F (P0 ) = 0, (s0 ) = p0 (s0 ) (s0 ) + q0 (s0 ) (s0 ). (20)
ds ds ds
If, in addition,
dx0 dy0
(s0 )Fq (P0 ) (s0 )Fp (P0 ) 6= 0 (21)
ds ds
is satisfied, then we say that the Cauchy problem (18)-(19) satisfies the generalized
transversality condition at the point P0 .

Remarks.
The Cauchy problem has already provided three conditions for
(x, y , u):
x(0, s) = x0 (s), y (0, s) = y0 (s), u(0, s) = u0 (s). (22)
It now remains to find initial conditions
p(0, s) = p0 (s), q(0, s) = q0 (s) (23)
for p(t, s) and q(t, s).

p0 (s) and q0 (s) must satisfy at every point s the differential

condition
du0 dx0 dy0
(s) = p0 (s) (s) + q0 (s) (s) (24)
ds ds ds
and the equation itself
F (x0 (s), y0 (s), u0 (s), p0 (s), q0 (s)) = 0. (25)
The transversality condition (21) ensures that the Jacobian of the

system (24) and (25) (with respect to the variables p0 and q0 ) does
not vanish at s0 .
Therefore, by implicit function theorem, one can derive from (24)
and (25) the required initial conditions for p0 (s) = p(0, s) and
q0 (s) = q(0, s) for s close to s0 .
If there are several choices for (p0 (s), q0 (s)), then existence of
unique solution for the Cauchys problem (18)-(19) for each such
choice follows from Picards theorem.

Step-by-step method for solving Cauchy problem:

Step 1: Find functions p0 (s) and q0 (s) (if possible) such that
F (x0 (s), y0 (s), u0 (s), p0 (s), q0 (s)) = 0,
du0 dx0 dy0

(s) = p0 (s) (s) + q0 (s) (s)
ds ds ds
and the generalized transversality condition

Fp (x0 (s), y0 (s), u0 (s), p0 (s), q0 (s)) Fq (x0 (s), y0 (s), u0 (s), p0 (s), q0 (s))

dx0 dy0 6= 0.
ds ds

Step 2:
For each fixed s, solve the following characteristic system for x(t, s), y (t, s), u(t, s),
p(t, s), q(t, s) with the given initial conditions p(0, s) = p0 (s), q(0, s) = q0 (s),
where p0 (s) and q0 (s) are the functions given in Step 1.
d
x(t, s) = Fp (x(t, s), y (t, s), u(t, s), p(t, s), q(t, s))
dt
d
y (t, s) = Fq (x(t, s), y (t, s), u(t, s), p(t, s), q(t, s))
dt
d
u(t, s) = p(t, s)Fp (x(t, s), y (t, s), u(t, s), p(t, s), q(t, s))
dt
+q(t, s)Fq (x(t, s), y (t, s), u(t, s), p(t, s), q(t, s)) (26)
d
p(t, s) = [Fx (x(t, s), y (t, s), u(t, s), p(t, s), q(t, s))
dt
+p(t, s)Fu (x(t, s), y (t, s), u(t, s), p(t, s), q(t, s)]
d
q(t, s) = [Fy (x(t, s), y (t, s), u(t, s), p(t, s), q(t, s))
dt
+q(t, s)Fu (x(t, s), y (t, s), u(t, s), p(t, s), q(t, s))]

Step 3: As s and t vary, the point (x, y , u), defined by
x = x(t, s), y = y (t, s), u = u(t, s) (27)
traces out the graph of a solution u of (18) in the xyu-space, in a

neighborhood of the curve traced out by (x(s), y (s), u(s)).
In some cases, one can use the first two equations in (27) 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 U(x, y ) = u(t(x, y ), s(x, y )), for (x, y ) in a
neighborhood of the curve (x0 (s), y0 (s)).

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

Example
Solve the PDE ux uy u = 0 subject to the condition u(x, x) = 1.
Solution. Here, we have
F (x, y , u, p, q) = pq u.
The characteristic system (26) takes the form
dx dy du
= Fp = q(t), = Fq = p(t), = pFp + qFq = 2p(t)q(t),
dt dt dt
dp dq
= [Fx + p(t)Fu ] = p(t), = [Fy + q(t)Fu ] = q(t).
dt dt
Note that
dp dq
= p(t) = p(t) = ce t and = q(t) = q(t) = de t ,
dt dt
where c and d are arbitrary constants.
Since we are looking for a characteristic strip ( F (x, y , u, p, q) = 0), set

u(t) = p(t)q(t) = cde 2t .
The equations for the characteristic strip are:
x(t) = de t +d1 , y (t) = ce t +c1 , u(t) = cde 2t , p(t) = ce t , q(t) = de t ,
where c1 and d1 are constants.

Writing the initial condition in parametric form, we have
x0 (s) = s, y0 (s) = s, u0 (s) = 1.
Next, we must find p0 (s) and q0 (s) such that
p0 (s)q0 (s) = u0 (s) = 1

dx0 dx0 du0
p0 (s) + q0 (s) = p0 (s) q0 (s) = = 0,
ds ds ds
0 6= Fp x00 (s) Fq y00 (s) = Fp (1) Fq (1) = q0 (s) p0 (s).

Thus, we have two choices p0 (s) = 1 and q0 (s) = 1, or p0 (s) = 1 and

q0 (s) = 1.
For the choice p0 (s) = 1 and q0 (s) = 1, we obtain
x(t, s) = e t 1 + s, y (t, s) = e t 1 s, u(t, s) = e 2t
p(t, s) = e t , q(t, s) = e t .
From the first two equations, we obtain
e t = (x + y + 2)/2.
Then, writing the solution in x and y as (u(t, s) = e 2t )
(x + y + 2)2
U(x, y ) = u(t(x, y ), s(x, y )) = .
4
If we choose p0 (s) = 1 and q0 (s) = 1, the solution is given by
(x + y 2)2
U(x, y ) = .
4

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Surfaces orthogonal to a given system of surfaces

Nonlinear First-Order PDEs

IIT Guwahati MA201(2017):PDE

Surfaces orthogonal to a given system of surfaces

If the surface with equation

Figure: Orthogonal Surfaces

IIT Guwahati MA201(2017):PDE

Therefore we have the linear PDE

for the determination of the surfaces (3).

IIT Guwahati MA201(2017):PDE

Example: Find the surface which intersects the surfaces of the

IIT Guwahati MA201(2017):PDE

Taking the first two, we get

Nonlinear First-Order PDEs

F (x, y , u, ux , uy ) = 0, (x, y ) R2 (8)

where F is not linear in ux or uy . Setting ux = p and uy = q, rewrite (8)

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

x 0 (t) = a(x(t), y (t)) and y 0 (t) = b(x(t), y (t)). (10)

Note that Fp = a(x, y ) and Fq = b(x, y ). Hence, (10) may be written as

x 0 (t) = Fp and y 0 (t) = Fq . (11)

IIT Guwahati MA201(2017):PDE

Along a characteristic, p is a function of t. The equation for p 0 (t) is obtained as

IIT Guwahati MA201(2017):PDE

Thus, we have the following system of five ODEs

IIT Guwahati MA201(2017):PDE

IIT Guwahati MA201(2017):PDE

An important result about characteristic strips is given below.

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

IIT Guwahati MA201(2017):PDE

Let us consider the general Cauchys problem for first-order PDE

subject to an appropriate initial condition given by an initial curve C 1 :

x(0) = x0 (s), y (0) = y0 (s), u(0) = u0 (s). (19)

du0 dx0 du0

IIT Guwahati MA201(2017):PDE

x(0, s) = x0 (s), y (0, s) = y0 (s), u(0, s) = u0 (s). (22)

It now remains to find initial conditions

p(0, s) = p0 (s), q(0, s) = q0 (s) (23)

for p(t, s) and q(t, s).

IIT Guwahati MA201(2017):PDE

p0 (s) and q0 (s) must satisfy at every point s the differential

F (x0 (s), y0 (s), u0 (s), p0 (s), q0 (s)) = 0. (25)

The transversality condition (21) ensures that the Jacobian of the

IIT Guwahati MA201(2017):PDE

Step-by-step method for solving Cauchy problem:

F (x0 (s), y0 (s), u0 (s), p0 (s), q0 (s)) = 0,

du0 dx0 dy0

IIT Guwahati MA201(2017):PDE

IIT Guwahati MA201(2017):PDE

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

x = x(t, s), y = y (t, s), u = u(t, s) (27)

traces out the graph of a solution u of (18) in the xyu-space, in a

IIT Guwahati MA201(2017):PDE

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

The characteristic system (26) takes the form

Since we are looking for a characteristic strip ( F (x, y , u, p, q) = 0), set

x(t) = de t +d1 , y (t) = ce t +c1 , u(t) = cde 2t , p(t) = ce t , q(t) = de t ,

where c1 and d1 are constants.

x0 (s) = s, y0 (s) = s, u0 (s) = 1.

Next, we must find p0 (s) and q0 (s) such that

p0 (s)q0 (s) = u0 (s) = 1

IIT Guwahati MA201(2017):PDE

Thus, we have two choices p0 (s) = 1 and q0 (s) = 1, or p0 (s) = 1 and

x(t, s) = e t 1 + s, y (t, s) = e t 1 s, u(t, s) = e 2t

Then, writing the solution in x and y as (u(t, s) = e 2t )