MATH2401 3 First-Order Partial Dierential Equations

Partial Dierential Equations: Some Denitions

A partial dierential equation (p.d.e.) is a dierential equation involving more than one inde-
pendent variable.
E.g.

2
z
x
2
+

2
z
y
2
= 0, (Laplaces equation).
Here z is the dependent variable and x and y are the independent variables.
The order of a p.d.e. is the highest order partial derivative appearing.
The degree of a p.d.e. is the highest power or product of the dependent variable z or its partial
derivatives.
First degree p.d.e.s are also called linear.
A p.d.e. is called quasi-linear if the highest derivative appears only in the rst degree.
Examples:
1
c
2

2
z
t
2


2
z
x
2
= 0, second order, rst degree, linear (1d wave equation).
z
4
z
x
+
_
z
y
_
4
= 0, rst order, fth degree
z

2
z
xy
+
_
z
y
_
3
= 0, second order, third degree, quasi-linear
If there is only one independent variable, the dierential equation is ordinary (o.d.e.).
The general solution of an o.d.e. involves arbitrary constants, whereas the general solution of a
p.d.e. involves arbitrary functions.
Example 1: Consider the linear equation for z = z(x, y),
z
x
+ z = x. ()
Just as with o.d.e.s, linear equations in this form can be solved by nding the complementary
function and a particular integral. The complementary function (C.F.) is the general solution
of the homogeneous equation
z
x
+ z = 0,
whereas the particular integral (P.I.) is any solution of the full equation (). The general solution
of () is (see lecture notes)
z(x, y) = f(y)e
x
. .
+ x 1
. .
.
C.F. P.I.
1
Linear First-Order PDEs with Constant Coecients
First we aim to nd general solutions z = z(x, y) of equations of the form
A
z
x
+ B
z
y
+ Cz = G(x, y), ()
with A = 0, B, C constants and G(x, y) an arbitrary function.
First consider the homogenous equation
A
z
x
+ B
z
y
+ Cz = 0.
Dene
= ax + by, and = cx + dy, with

a b
c d

= 0.
Using the chain rule we can write
z
x
=
z

x
+
z

x
= az

+ cz

,
z
y
=
z

y
+
z

y
= bz

+ dz

,
so inserting these into () we have
(Aa + Bb)z

+ (Ac + Bd)z

+ Cz = 0.
This suggests a choice such as a = 1, b = 0, c = B, d = A, giving
Az

+ Cz = 0, with = x, = Bx Ay, ()
which can be integrated to give the complementary function
z = f()e
C/A
= f(Bx Ay)e
Cx/A
.
Example 2: Find the general solution of
z
x
+
z
y
+ z = 0, [Answer: z = f(x y)e
x
].
Particular Integrals: To nd the particular integral, as with o.d.e.s it is possible to use a range of
techniques, including simply looking for solutions using educated guesses. A fairly general method
is to use an integrating factor, exactly as with o.d.e.s, by writing the full equation, based on (),
in the form

_
Aze
C/A
_
= e
C/A
G(x, y) = e
C/A
G(,
1
A
(B )).
The right-hand side may be integrated with respect to , treating as a constant.
Example 3: Find the general solution of
z
x
+
z
y
+ z = x + y, [Answer: z = f(x y)e
x
+ x + y 2].
Example 4: Find the general solution of
z
x
+
z
y
+z = sinh{3x + y}, [Answer: z = f(x y)e
x
+
4
15
cosh {3x + y}
1
15
sinh{3x + y}.].
2
Linear First-Order PDEs with Non-constant Coecients
Next, we consider more general linear equations of the form
A(x, y)
z
x
+ B(x, y)
z
y
+ C(x, y)z = G(x, y), ()
(note that the constant coecient equations above are a special case of ().) If we are to nd the
general solution in a similar fashion to that used above we will have to generalise our co-ordinate
transform by allowing the transformed variables to depend on x and y in a general way,
= (x, y), and = (x, y).
Using the chain rule
z
x
= z

x
+ z

x
, z
y
= z

y
+ z

y
.
Substituting into () get
(A
x
+ B
y
)z

+ (A
x
+ B
y
)z

+ Cz = G. ()
Following the constant coecients equation above, wed like to choose (x, y) so that
A(x, y)
x
+ B(x, y)
y
= 0.
Consider the O.D.E. given by
dy
dx
=
B(x, y)
A(x, y)
,
the solutions of this equation are curves that may be written f(x, y) = c, where c is a constant.
Taking the full derivative with respect to x along these curves
d
dx
f(x, y(x)) = f
x
+
dy
dx
f
y
= 0, (chain rule)
= f
x
+
B
A
f
y
= 0, (from the O.D.E).
Therefore A(x, y)f
x
+ B(x, y)f
y
= 0, and = f(x, y) is the desired choice of variable.
Denition: The variable = f(x, y) is known as the charactersitic variable.
Denition: The curves dened by = f(x, y) =cons. are known as charactersitic projections.
Inserting = x and = f(x, y) into (),

A(, )
z

+

C(, )z =

G(, ),
where

A(, ) = A(x(, ), y(, )) etc. This equation can be integrated like an O.D.E., treating
as a constant, provided an arbitrary function of integration is used in place of a constant. For the
homogeneous equation (G =

G = 0) the general solution is
z(, ) = f() exp
_

_

C(, )

A(, )
d
_
.
3
Finding Particular Integrals: Note that non-zero G(x, y) can be dealt with exactly as described for
the constant coecient equations.
Example 5: Find the general solution of
x
z
x
7y
z
y
= x
2
y, [Answer: f(x
7
y)
1
5
x
2
y. ].
Example 6: Find the general solution of
x
2
z
x
+ xy
z
y
+ yz = 0, [Answer: z = f(xy) exp
_
y
2x
_
].
4
n
P
P
P
P
P
=(-f ,-f , 1)
x y
n.P=0
Curve C
Curves
Characteritic
Integral Surface
z=f(x,y)
Figure: A geometrical intepretation of the method of Lagrange.
Method of Lagrange: First-Order Quasi-Linear Equations
The method of Lagrange is used to solve quasi-linear equations of the form
P(x, y, z)
z
x
+ Q(x, y, z)
z
y
= R(x, y, z), ().
Note that the linear equations above are special cases of () with P = A, Q = B, R = G Cz,
hence the method of Lagrange can also be used with them.
The method of Lagrange is based on the observation that solutions of () can be generated from
solutions of the associated ODEs
dx
P
=
dy
Q
=
dz
R
. ()
Denition: The solutions of () are surfaces, and are known as integral surfaces.
Denition: The solutions of () are curves known as characteristic curves.
If the characteristic curves have equation of the form u(x, y, z) = c, v(x, y, z) = d (a curve is the
intersection of two surfaces), then the general solution of the original equation () is
F(u, v) = 0, (or equivalently u = f
1
(v), or v = f
2
(u) ),
for an arbitrary function F (or f
1
, or f
2
).
5
Proof of the Method of Lagrange
The method of Lagrange is perhaps best understood geometrically (see diagram).
Consider the three-dimensional vector eld P = P i + Qj + Rk. The normal to a given integral
surface z = f(x, y) is perpendicular to P at every point on the surface, since the (upward pointing)
normal n is given by
n = (
f
x
,
f
y
, 1) so that n.P = P
f
x
Q
f
y
+ R = 0,
and z = f(x, y) is a solution of the equation ().
The solutions of the associated ODEs () (discussed below) are curves with equation u(x, y, z) = c,
v(x, y, z) = d that satisfy
dx
P
=
dy
Q
=
dz
R
= d,
or
dx
d
= P.
In other words the characteristics are curves x = x() that are everywhere tangent to the vector
eld P.
Hence any surface generated from characteristic curves will have normal perpendicular to P, and
will therefore be an integral surface.
This also means that if a characteristic curve meets an integral surface z = f(x, y) at any point, it
must necessarily lie entirely within that surface (see diagram).
If a curve C (not a characteristic) lying in an integral surface has equation (x, y, z) = (x, y, z) = 0,
(intersection of two surfaces) the equation of the entire surface can be obtained by nding the
equation of all those characteristic curves that intersect C.
i.e. Eliminate x,y,z between (x, y, z) = 0, (x, y, z) = 0, u(x, y, z) = c and v(x, y, z) = d.
Elimating 3 variables between 4 equations results in a relation between the two parameters c and
d, of the form F(c, d) = 0. The equation of all those characteristics intersecting the curve C is
therefore
F(u(x, y, z), v(x, y, z)) = 0. where F is in general an arbitrary function.
Example 7: Find the general solution of
x
2
z
x
+ y
2
z
y
= z
2
, [Answer: F
_
1
y

1
x
,
1
z

1
x
_
= 0].
6
Solving the Associated ODEs
In practise the associated ODEs are usually formed from () and solved in pairs, e.g. any two from
dy
dx
=
Q
P
,
dz
dx
=
R
P
, and
dz
dy
=
R
Q
.
thereby obtaining functions u(x, y, z) = c and v(x, y, z) = d, with c and d being constants of
integration.
In general, however, it is not usually possible to separate variables to solve the equations.
It is helpful sometimes to use the componendo et dividendo rule for fractions to write
dx
P
=
dy
Q
=
dz
R
=
dx + dy + dz
P + Q + R
, for any , , .
This can help in one (or both) of two ways
1. If we can nd , , that allows us to form a separable equation.
2. If we can nd , , so that P + Q + R = 0 together with some u(x, y, z) that satises
u = (, , ). Then, to avoid a contradiction we must have
dx + dy + dz = 0, or u.dx = 0,
which may be integrated to give u(x, y, z) = c (constant) along characteristics, giving one of
the constants of integration we are seeking.
Example 8: Find the general solution of
(y x)
z
x
+ (y + x)
z
y
=
x
2
+ y
2
z
, [Answer: F( (x + y)
2
2y
2
, x
2
y
2
+ z
2
) = 0.]
Example 9: Find the general solution of
x(y
2
z
2
)
z
x
+ y(z
2
x
2
)
z
y
= z(x
2
y
2
), [Answer: F( xyz, x
2
+ y
2
+ z
2
) = 0 .]
7
Cauchys Problem: Using Boundary Conditions to Find a Specic Soln.
As with ordinary dierential equations, boundary data can be used to determine specic solutions
from the general solutions we have derived so far. In other words, boundary conditions may be
used to determine the unknown functions f in the general solutions.
For a rst order ODE, the boundary condition is supplied at a single point, whereas for a PDE, the
boundary condition is supplied on a curve (i.e. the curve C is specied in the method of Lagrange
diagram).
Example 10: Find the specic solution consistent with the initial data
2
z
x
+ 3
z
y
= z, z(1, y) = y. [Answer: z =
1
2
(2y 3x + 3) exp {(x 1)/2}.]
Example 11: Find the specic solution passing through the given boundary curve C,
x
2
z
x
+y
2
z
y
+z
2
= 0, with C dened by xy = x+y, z = 1. [Answer: z = 2xy/(3xy x y).]
8
n
P
P
P
P
P
=(f ,f , 1)
x y
n.P=0
Curves
Characteritic
Curve C
x
y
z
Solution valid
Solution undefined
Characteristic
Projections
of C
Projection
onto xy plane
Integral Surface
z=f(x,y)
Figure: Geometrical view of the situation when initial data is given only a nite boundary curve C.
Cauchys Problem with Finite Boundary Curves
Sometimes the boundary data for a PDE is given only on a nite curve. In this case, it is necessary
to determine both the solution and its region of validity in the (x, y)-plane.
As an integral surface is constructed by extending characteristics outwards from the boundary
curve (C in diagram). If C is nite the integral surface that is generated will also be nite in extent.
To nd the region of validity of the solution of the equation in the (x, y) plane we can consider the
charactersitic projections of those characteristics that pass through the ends of C as shown.
Example 12 (10 revisited): Find the specic solution consistent with the initial data given on
a nite curve. Indicate the region of validity of the solution in the (x, y) plane
2
z
x
+ 3
z
y
= z, z(1, y) = y. 1 y 1.
_
Answer: z =
1
2
(2y 3x + 3) exp {(x 1)/2}, valid in 3x 5 < 2y < 3x 1.

Example 13: Find the specic solution consistent with the initial data given on a nite curve.
Indicate the region of validity of the solution in the (x, y) plane
e
x
z
x
+ 3
z
y
= 0, z(x, 0) = tanh x, 1 x 2.
[Answer: z =
1(y+e
x
)
2
1+(y+e
x
)
2
valid in e
2
e
x
< y < e
1
e
x
.]
9