Chapter 1 Introduction

In this chapter we introduce the notions of a Partial Dierential Equation (PDE) and its solution. We attempt classifying all partial dierential equations in at least three dierent ways.

1.1

Preliminaries

Partial dierential equation is an equation involving an unknown function (possibly a vectorvalued) of two or more variables and a nite number of its partial derivatives. In the sequel we reserve the following terminology and notations: Independent variables: denoted by x = (x1 , x2 , , xn ) Rn (n 2) Dependent variables: denoted by u = (u1 , u2 , , up ) Rp also called unknown function. Let = (1 , , n ) (N {0}) , and || = 1 + + n . Then D u denotes D u = u 2 n 1 x 1 x2 xn (1.1)
n

For l N, Dl u denotes the tensor of all partial derivatives of order l. That is, collection of all partial derivatives D u such that || = l of the vector function u. We now dene a PDE more formally. Denition 1.1 (PDE) Let Rn , m N and F : Rp Rnp Rn p Rn p Rq be a function. A system of Partial dierential equations of order m is dened by the equation F x, u, Du, D2 u, , Dm u = 0, (1.2)
2 m

where some mth order partial derivative of the vector function u appears in the system of equations (1.2). Remark 1.2 The equation (1.2) consists of q equations. Note that the unknown vector function u has p components. If p = q , the system of PDE is called determined. If p < q , then the system of PDE is called over-determined system. If p > q , then the system of PDE is called under-determined system. I feel that we should not attach too much of importance to this terminology. Denition 1.3 (Solution of a PDE) Let U be an open subset of Rn and : U Rp be a function which is m times dierentiable. Then is said to be a solution of the PDE (1.2) if it satises F x, (x), D(x), D2 (x), , Dm (x) = 0 for all x . 5

1.1. Preliminaries

What equations we study? In our course we restrict our studies to equations where (m, n, p, q ) = (1, 2, 1, 1) or (m, n, p, q ) = (2, 2, 1, 1). We are going to study non-linear rst order PDE and linear second order PDE. Remark 1.4 1. There is no guarantee that an equation such as (1.2) will have a solution. In fact, the PDE (ux )2 +1 = 0 has no solution. Thus we cannot hope to have a very general existience theorem for equations of type (1.2). 2. To convince ourselves that we do not expect every PDE to have a solution, let us recall the situation with other types of equations involving Polynomials, Systems of linear equations, Implicit functions. In each of these cases, existence of solutions was proved under some conditions. Some of those results also characterised equations that have solution(s), for example, for systems of linear equations the characterisation was in terms of ranks of matrix dening the linear system and the corresponding augmented matrix. 3. In the context of ODE, there are two basic theorems that hold for equations of a special form called normal form. They are Peanos existence theorem and Cauchy-Lipschitz-Picards existence and uniqueness theorem. We refer the reader to any good book on ODE or my lecture notes on ODE (available on my homepage). Recall that these theorems address the existence of solutions to initial value problems for a rst order system of Ordinary dierential equations, and this was enough to study any ODE in normal form (of any order). Can we do the same for PDE as well? Unfortunately, it is not possible. We will see this at a later time. One problem is that same kind of problems are not interesting for all PDEs.

1.1.1

Examples of PDE
n

1. Laplace Equation u 2. Heat Equation u u = 0. t 3. Wave Equation 2u u = 0. t2 4. Schr odinger Equation i 5. Burgers Equation u 2u u +u = 2, t x x where 0. 6. Korteweg-de Vries (KdV) Equation u u 3 u + 3 +u =0 t x x
MA 515: Partial Differential Equations
i=1

2u = 0. x2 i

(1.3)

(1.4)

(1.5)

u = u + V (x)u(t, x) = 0, t 2m

t > 0 , x R.

(1.6)

t > 0 , x R,

(1.7)

t > 0 , x R.

(1.8)

Sivaji Ganesh Sista

Chapter 1 : Introduction

7. Benjamin-Bona-Mahony (BBM) Equation u 3u u +u + =0 t t x2 x 8. Vlasov-Poisson (VP) Equation f + v x f + E v f = 0 t E = x V, 9. Maxwells Equations E = curlB t B = curlE t divB = divE = 0. 10. Eulers Equations for incompressible, inviscid ow u + u Du = Dp t divu = 0. 11. Navier-Stokes Equations for incompressible, viscous ow u + u Du u = Dp t divu = 0. 12. Minimal Surface Equation 1 + |u|2 u u u 2 u = 0. xi xj xi xj i,j =1
n

t > 0 , x R.

(1.9)

t > 0 , x R n , v Rn ,

(1.10)

V =
Rn

f (t, x, v) dv, V = V (x), f 0.

(1.11)

(1.12)

(1.13)

(1.14)

Dierences between ODE and PDE

1. A general solution of an ODE involves arbitrary constants. Obtaining a general solution for PDEs is dicult and a general solution would involve arbitrary functions (See 2.1.2). Let us look at a simple example now. Consider the PDE ux = 0. Any arbitrary function of y solves this PDE. This is the simplest possible linear equation of rst order and it has an innite dimensional space of solutions. Compare this situation with that of a linear rst order ODE dy p dt = 0 where y = (y1 , , yp ), whose solution space is R which is nite dimensional. 2. In dierential equations the unknown function has the interpretation of the state of a system when the equations decribe evolution of a physical system in time. For ODEs the independent variable is time and for PDEs one of the independent variables has the interpretation of time. Now the initial state (state of the system at time t = 0) for ODEs is prescribed as an element of Rn (n is the length of the unknown vector y); while for PDEs the initial state varies in a function space. Thus solving a PDE means nding the states of the system at dierent times and each of these states vary in an innite dimensional space of function while solving ODE means nding the states of the system but are in a nite dimensional
Sivaji Ganesh Sista MA 515: Partial Differential Equations

1.2. Classification

space.1 For those of you who know some Functional analysis, you understand the dierence between nite and innite dimensional spaces. One important theorem which is lacking in innite dimensional spaces is a Heine-Borel theorem concerning compactness. Thus the topologies more suited to innite dimensional spaces are some kind of weak topologies which we do not address here. 3. Linear ODEs have global solutions. Linear PDEs posed on R2 do not necessarily have solutions dened on R2 (See 2.2.5).

1.2

Classication

Partial dierential equations can be classied in at least three ways. They are 1. Order of PDE. 2. Linear, Semi-linear, Quasi-linear, and fully non-linear. 3. Scalar equation, System of equations.

Classication based on the number of unknowns and number of equations in the PDE
If a PDE consists of more than one unknown function or more than one equation, it is called a System of PDEs. Otherwise it is called a single PDE or a scalar PDE. These kinds of denitions will have some problems. Think why! Exercise 1.5 Classify the examples in 1.1.1 into systems and scalar PDEs.

Classication based on highest order derivative appearing in the PDE

Exercise 1.6 Find the orders of each of the PDEs appearing in 1.1.1.

Classication via Algebra

This classication is somewhat dierent from the previous ones. This is analogous to the Postal Index Number (PIN). In PIN code, the rst digit stands for a region (usually consists of more than one State); the second and third digits correspond to a district and the last three digits determine the location of the Post Oce within the district. Similarly, PDEs may be classied just like ODEs are classied, namely by categorising them into two: Linear and Nonlinear equations. But in the case of PDEs it turns out that there can be another way of catergorising into two: Quasi-linear and Non-Quasilinear. Quasi-linear PDEs are further categorised into two: Semi-linear, Non-semilinear. Semi-linear PDEs are further categorised into two: Linear and Nonlinear. We have the following picture. Linear PDE Semi-linear PDE Quasi-linear PDE PDE. We now dene each of the terminology used above for scalar PDE, and one can extend these concepts to systems of PDE easily. We choose to dene them in english and then see explicitly what it means for rst order PDEs. Denition 1.7
1I

learnt this from my teacher.

MA 515: Partial Differential Equations

Sivaji Ganesh Sista

Chapter 1 : Introduction

1. A PDE of order m is called Quasi-linear if it is linear in the derivatives of order m with coecients that depend on the independent variables and derivatives of the unknown function or order strictly less than m. 2. A Quasi-linear PDE where the coecients of derivatives of order m are functions of the independent variables alone is called a Semi-linear PDE. 3. A PDE which is linear in the unknown function and all its derivatives with coecients depending on the independent variables alone is called a Linear PDE. 4. A PDE which is not Quasi-linear is called a Fully nonlinear PDE. Remark 1.8 1. A single rst order Quasi-linear PDE must be of the form a(x, y, u) ux + b(x, y, u) uy = c(x, y, u) (1.15)

2. A single Quasi-linear PDE where a, b are functions of x and y alone is a Semi-linear PDE. 3. A single Semi-linear PDE where c(x, y, u) = c0 (x, y )u + c1 (x, y ) is a Linear PDE. Examples of Linear PDEs Linear PDEs can further be classied into two: Homogeneous and Nonhomogeneous. Every linear PDE can be written in the form L[u] = f , (1.16)

where u L[u] is a linear map, and f is a function of independent variables only. The linear PDE (1.16) is said to be homogeneous if f is the zero function; otherwise it is called a nonhomogeneous linear PDE. Why to Classify? 1. Classication process does not achieve anything. One could have avoided doing it. However since everyone does it, we also do it. 2. Some of the classications are just branding a PDE. It is just immaterial what the branding is. 3. Some of the classications help people identify or guess or anticipate the properties of solutions of PDEs in that class. For example, there could be one existence theorem that covers all equations which fall under a particular classication.

1.3

Problems to be studied

In general it is dicult to nd general solutions to PDEs. Recall that for rst order ODEs we studied Initial value problems and boundary value problems for the second order ODE. For PDEs, we are going to study similar problems. It turns out that results for PDEs are somewhat dierent from the corresponding problems for ODEs.

1.4

Properly posed problems in the sense of Hadamard

A mathematical problem is said to be properly-posed or well-posed in the sense of Hadamard if the following three conditions are satised: 1. The problem should admit at least one solution. 2. The problem should admit at most one solution. 3. The solution should depend continuously on the data in the problem.

Sivaji Ganesh Sista

MA 515: Partial Differential Equations

10

1.5. Exercises

1.5

Exercises
(1) We know the following classication of partial dierential equations Linear PDE Semi-linear PDE Quasi-linear PDE PDE.

Each of the above inclusions is a strict inclusion. Justify this statement by giving examples. (2) Give at least three examples of fth order PDE belonging to each of the above classes. (3) Classify the following equations by all the three ways of classication. (i)
u y 2 3u x3

= 1. + u3 = sin x.

(ii) sin 1 + (iii) u = 0.

u 2 x

(iv) eu = 1. (vi) (v) utt u = sin u.

1 k=0 2k 1 k=0 2k ||=k

a (x, u)D u = sin x . D u = sin x .

(vii)

||=k

MA 515: Partial Differential Equations

Sivaji Ganesh Sista