MAS323/PHY401/MAS823 Handout 5

3. Classification of 2nd-order PDEs

Consider the general form of a second-order partial differential equation in two independent variables
x and y which is linear with respect to its second-order derivatives (more precisely, we consider a
semi-linear equation):

A(x, y)uxx + 2B(x, y)uxy + C(x, y)uyy + F (x, y, u, ux , uy ) = 0 , (1)

where A, B, C and F are given differentiable functions and subscripts denote partial derivatives. The
equation can be reduced to a normal form (see Section 3.1) using a transformation of independent
variables
ξ = ξ(x, y) , η = η(x, y) . (2)
Then Eq. (1) takes the form
Au
b
ξξ + 2Buξη + Cuηη + F = 0 ,
b b b

where

Ab = Aξx2 + 2Bξx ξy + Cξy2 ,

Cb = Aηx2 + 2Bηx ηy + Cηy2 ,
Bb = Aξx ηx + B(ξx ηy + ξy ηx ) + Cξy ηy ,

and Fb = Fb (ξ, η, u, uξ , uη ) is independent of the second derivatives of u.

It can be directly verified that
 ∂(ξ, η) 2
 
Bb 2 − AbCb = (B 2 − AC)   ,
 
 ∂(x, y) 

so that the sign of Bb 2 − AbCb is independent of the particular choice of ξ and η and can be used to classify
the equation.
Definition Equation (1) is said to be
elliptic if B 2 − AC < 0 ,

parabolic if B 2 − AC = 0 , and

hyperbolic if B 2 − AC > 0 .
If A, B and C are functions of position, the type of a second-order PDE can be different in different
regions (see Example 4).
In three and more dimensions, second-order PDEs can be of one type in one pair of variables and of
another type in the other variables, e.g., there can occur elliptic-hyperbolic equations, ultra-hyperbolic
equations, etc.

Example 1
An oscillating string with fixed ends excited by plucking and striking is described by the wave equa-
tion
utt − c2 uxx = 0
with boundary conditions
u(0, t) = u(L, t) = 0 (fixed ends)
and one of the initial conditions

u(x, 0) = f (x) (plucked) or ut (x, 0) = g(x) (struck) ,

MAS323/PHY401/MAS823 Classification of 2nd -order PDEs 2

where x is position along the string, t is time, u(x, t) is the deviation of the string from a straight shape
at position x and time t, c is the speed of wave propagation, L is the length of the string, and f and g
are given functions.
This equation has A = 1, B = 0, C = −c2 , so that B 2 − AC = c2 > 0. This is a hyperbolic
equation.

Example 2
Cooling of a hot metal rod is described by the heat equation

ut = νuxx

with boundary conditions

u(0, t) = T1 , u(L, t) = T2 (fixed temperatures at the ends)

and the initial condition

u(x, 0) = f (x) (initial temperature distribution) ,

where u(x, t) is the temperature of the rod at position x and time t, ν is the thermal diffusivity (a
measure of the ability of the rod material to conduct heat), T1 and T2 are the fixed temperatures of the
rod ends, and f (x) is the initial temperature distribution.
The heat equation has A = 0. B = 0, C = −ν, so that B 2 −AC = 0. This is a parabolic equation.

Example 3
A steady-state temperature distribution in a plate with a given temperature distribution on its boundary
S is described by the Laplace equation

uxx + uyy = 0

with the boundary condition

u|S = f (x, y) ,
where u(x, y) is the temperature at a position (x, y) and f (x, y) is the given temperature distribution
on the boundary.
This equation follows from the two-dimensional heat equation

ut = ν(uxx + uyy )

under steady-state conditions, ∂u/∂t = 0.

The Laplace equation has A = C = 1, B = 0, so that B 2 − AC = −1. This is an elliptic equation.

Example 4
The Tricomi equation
yuxx + uyy = 0
has A = y, B = 0, C = 1, so that B 2 − AC = −y. This equation is of mixed type: it is elliptic in the
upper half-plane y > 0 and hyperbolic in the lower half-plane y < 0. Note, however, that this equation
is not parabolic on the x-axis, y = 0, where it degenerates into uyy = 0. Partial differential equations
are not introduced on lines: they then degenerate into ODEs (as we could see in the case of first-order
PDEs).
MAS323/PHY401/MAS823 Classification of 2nd -order PDEs 3

3.1. Normal forms of 2nd -order PDEs in two independent variables

The variables (2) can always be chosen such that a second-order PDE in two independent variables
reduces to one of the following three normal forms:

for hyperbolic equations

uξη = F (ξ, η, u, uξ , uη ) , or uξξ − uηη = F (ξ, η, u, uξ , uη ) ;

for parabolic equations

uηη = F (ξ, η, u, uξ , uη ) ,
where F must depend on uξ : otherwise the equation degenerates into an ODE;

for elliptic equations

uξξ + uηη = F (ξ, η, u, uξ , uη ) .

If ξ is considered to be the time variable, ξ = t, then hyperbolic equations serve as mathematical

models for propagating oscillations (waves), parabolic equations describe transport processes (heat
conduction, diffusion of impurities in gases and liquids, spread of epidemics, population dynamics,
dynamics of an option price in financial markets, etc.), and elliptic equations are models of stationary
configurations (steady electric fields and temperature distributions, steady oscillations, etc.)

Example 5
Find the general solution of the homogeneous wave equation utt − c2 uxx = 0.
Solution
Introduce new independent variables

ξ = x + ct , η = x − ct ,

which can be found from equations for the characteristics of this equation. Then

ut = cuξ − cuη ,
utt = c(cuξξ − cuξη ) − c(cuηξ − cuηη ) ,
= c2 uξξ − 2c2 uξη + c2 uηη ,
uxx = uξξ + 2uξη + uηη .

Now utt − c2 uxx = 0 reduces to

uξη = 0 . (3)
Note that this is the other normal form of the wave equation.
The general solution of Eq. (3) can be easily found by direct integration as

u = f (ξ) + g(η)
= f (x + ct) + g(x − ct) ,

where f and g are arbitrary functions.

This is d’Alambert’s solution of the wave equation. It describes two waves with profiles f and g
propagating along x in opposite directions at a speed c. For example, if the crest of the profile f (ξ)
occurs at ξ = 0, then the position where f is maximum is always given by ξ = 0, which for arbitrary
t corresponds to x = ct. For this wave, x increases with t and it propagates towards positive x. The
other wave, if having maximum at η = 0, propagates towards negative x with a maximum at x = −ct.
MAS323/PHY401/MAS823 Classification of 2nd -order PDEs 4

3.2. Boundary value and initial value problems

PDEs can have many very different solutions. For example, the Laplace equation

uxx + uyy = 0

is solved by
u = x2 − y 2 , u = ex cos y , u = ln(x2 + y 2 ) .
General solutions of higher-order PDEs are often difficult to find and hardly useful.
A unique solutions modelling a given process or phenomenon can be specified by additional con-
straints imposed on the boundary of the region in space considered (boundary conditions) or at
some time (initial conditions).
If the number of such constraints is too large, the problem will be overdetermined and will not have
any solutions.
If the number of the constraints is too small, the problem will have more than one solution.
If a differential equation has been given together with all the necessary boundary and/or initial
conditions, it is said that a boundary value or initial value problem has been formulated.
Common boundary value problems, formulated in a region Q in space whose boundary is S, a surface
in 3D or curve in 2D, are as follows.

The Dirichlet problem:

Determine a function u such that it satisfies a given PDE within Q and such that

u = µ on S ,

where µ is a function of position defined on S.

The Neumann problem:

Determine a function u such that it satisfies a given PDE within Q and such that
∂u
= µ on S ,
∂n
∂u
where µ is a function of position defined on S and is the normal derivative.
∂n
The mixed boundary value problem:
Determine a function u such that it satisfies a given PDE within Q and such that
∂u
α + βu = µ on S ,
∂n
∂u
where α, β, µ are functions of position defined on S and is the normal derivative.
∂n