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X, Y, U, U U U: 5. Second Order Partial Differential Equations in Two Variables

1. The document describes different types of second order partial differential equations in two variables: quasi-linear, semi-linear, and linear. 2. It shows how to use a change of variables to transform a semi-linear PDE into normal form by using characteristic equations. This allows the PDE to be classified as hyperbolic, elliptic, or parabolic. 3. Two examples are provided to demonstrate how to classify a given PDE, transform it into normal form using characteristics, and find the general solution.

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258 views7 pages

X, Y, U, U U U: 5. Second Order Partial Differential Equations in Two Variables

1. The document describes different types of second order partial differential equations in two variables: quasi-linear, semi-linear, and linear. 2. It shows how to use a change of variables to transform a semi-linear PDE into normal form by using characteristic equations. This allows the PDE to be classified as hyperbolic, elliptic, or parabolic. 3. Two examples are provided to demonstrate how to classify a given PDE, transform it into normal form using characteristics, and find the general solution.

Uploaded by

Treba Kome
Copyright
© Attribution Non-Commercial (BY-NC)
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PDF, TXT or read online on Scribd
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1 5.

Second order partial differential equations in two variables The general second order partial differential equations in two variables is of the form

u u 2 u 2 u 2 u F(x, y, u, , , 2 , , ) = 0. x y x xy y 2

The equation is quasi-linear if it is linear order derivatives (second order), in the highest that is if it is of the form

a(x, y, u, u x , u y )u xx + 2 b(x, y, u, u x , u y )u xy + c(x, y, u, u x , u y )u yy = d(x, y, u, u x , u y )

We say that the equation is semi-linear if the coefficients a, b, c are independent of u. That is if it takes the form

a(x, y) )u xx + 2b(x, y) u xy + c(x, y) u yy = d(x, y, u, u x , u y )

Finally, if the equation and d is a linear function u, u x and u y , we say that the is semi-linear of equation is linear. That is, when F is linear in u and all its derivatives. We will consider the semi-linear equation above and attempt a change of variable to obtain a more convenient form for the equation. Let x = f(x, y) , h = y(x, y) be an invertible transformation of coordinates. That is, f ( x , h ) x = ( x , y ) y x u x = u x f x + uh y x, u y = u x f y + uh y y f y 0. y y

By the chain rule

2 u xx = u x f xx + f x uxxf x + uxh y x + u h y xx + y x uhxf x + uhh y x

Similarly,

2 = uxxf x 2 + 2uxhf xy x + u hh y x + first order derivatives of u

u yy = uxxf y 2 + 2uxhf yy y + uhh y y 2 + first order derivatives of u u xy = uxxf xf y + uxh f xy y + f yy x + uhh y xy y + first order derivatives of u Substituting into the partial differential equation we obtain, A(x, h)u xx + 2B(x, h)u xh + C(x, h)u hh = D(x, h, u, u x , u h )

where

A(x, h) = af x 2 + 2bf x f y + cf y 2 B(x, h) = af x y x + b(f x y y + y x f y ) + cf y y y C(x, h) = ay x 2 + 2by x y y + cy y 2 . ( x , h ) 2 2 2 B AC = (b ac) . ( x , y )

It easily follows that

Therefore B 2 AC has the as b 2 ac. We will now choose the new coordinates same sign x = f(x, y) , h = y(x, y) to simplify the partial differential equation. f(x, y) = constant ,y(x, y) = constant defines two families of curves in R2 . On a member of the family f(x, y) = constant, we have that df = f x + f y y = 0. dx Therefore substituting in the expression for A(x, h) we obtain A(x, h) = a f y 2 y 2 2b f y 2 y + cf y 2 = f y 2 [a y 2 2b y + c ].

3 We choose the two families of curves given by the two families of solutions of the ordinary differential equation a y 2 2b y + c = 0. This nonlinear ordinary differential equation is called the characteristic equation of the partial differential equation and provided 0, b 2 ac > 0 it can be written as that a b 2 - ac a

y =

For this choice of coordinatesA(x, h) = 0 and similarly it can be shown that C(x, h) = 0 also. The partial differential equation becomes 2 B(x, h) u xh = D(x, h, u, u x , u h ) where it is easy to show that B(x, h) 0. Finally, we can write the partial differential equation in the normal form uxh = D(x, h, u, ux , uh )

The two families of curves f (x , y ) = constant ,y (x, y )= constant obtained as solutions of the characteristic equation are called characteristics and the semi-linear partial differential equation is called hyperbolic if b 2 ac > 0 whence it has two families of characteristics and a normal form as given above. If b 2 a c < 0, then the characteristic equation has complex solutions and there are no real characteristics. The functions f(x, y), y(x, y) are now complex conjugates . A change of variable to the real coordinates

x = f(x, y) + y(x, y), h = i( f(x, y) y(x, y))


results in the partial differential equation where the mixed derivative term vanishes,

u xx + u hh = D(x, h, u, u x , u h ).

In this case the semi-linear is called elliptic if b 2 ac < 0. Notice that the partial differential equation left hand side of the normal form is the Laplacian. Thus Laplaces equation is a special case of an elliptic equation (with D = 0).

4 b has only one family of solutions a y(x, y) = constant. We make the change of variable If b 2 ac = 0 , the characteristic equation y = Then A(x, h) = a B(x, h) = ay x + by y C(x, h) = ay x + 2by x y y + cy y = Also since y(x, y) = constant,
2 2

x = x, h = y(x, y).

( ay x + by y )2 - ( b 2 - ac )y y 2 a

B( x , h )2 a

ay x + by y b B( x , h ) 0 = y x + y y y = y x + y y = = a a a

2 Therefore B(x, h) = 0, C (x , h) = 0, A( x, h) 0 and the normal form in the case b ac = 0 is

A(x, h) u xx = D(x, h, u, ux , uh ) or finally uxx = D(x, h, u, u x , u h )

The partial differential equation is called parabolic in the case b 2 a = 0. An example of a parabolic partial differential equation is the equation of heat conduction u 2 u u = u(x, t). k 2 = 0 where t x
Example 1. Classify the following linear second order partial differential equation and find its general solution .

xyu xx + x 2 u xy yu x = 0.

x 2 2 In this example b2 ac = partial differential equation is hyperbolic provided x 0, and parabolic 0 \ the 2
for x = 0. For x 0 the characteristic equations are

5
b b 2 x - ac =
2

y = If y = 0, y = constant. If y =

2 = 0 or x y xy

x Therefore two families of characteristics are , x 2 y 2 = constant. y


x = x 2 y 2 , h = y.

Using the chain rule a number of times we calculate the partial derivatives
= ux 2 x + uh 0 = 2xux ux uxx = 2 u x + 2x(ux x 2 x + ux h 0) = 2ux + 4 x 2 ux x uxy = 2x u xx ( -2y ) + uxh 1 = 4xyux x + 2xux h . Substituting into the partial differential equation we obtain the normal form

Integrating this equation with respect to h

u x h = 0 (provided x 0).

u x = f(x ), where f is an arbitrary function of one real variable. Integrating again with respect to x u (x , h ) =

f (x ) dx + G(h) = F(x) + G(h)

where F, G are arbitrary functions of one real variable. Reverting to the original coordinates we find the general solution u(x, y) = F(x2 y2 ) + G(y) -------------------------------------------------------------

6
Example 2. Classify, reduce to normal form and obtain the general solution of the partial differential equation x2 uxx + 2xyuxy + y 2 uyy = 4x2 For this equation b 2 ac = ( xy ) 2 x2 y2 = 0 \ the equation is parabolic everywhere in the plane ( x , y ) . The characteristic equation is y' = Therefore there is one family of characteristics Let x = x and h = b xy y = 2 = . a x x

y = constant. x

y . Then using the chain rule, x

-y y u x = ux 1 + u h = u u x 2 x x2 h
uy = ux 0 + u h

1 1 = uh x x - y uhx 1 + uhh 2 x
+ 2y x u

- y 2y y uxx = u x x 1 + u xh + 3 uh 2 2 x x x
=u 2y x
2

xx

xh

y x

2 4

hh

3 h

u yy =

1 1 uhx 0 + uhh = 2 uh h x x x
1 1

uyx =

y 1 + u u hx hh - 2 x x

1 1 y u u u . x xh x3 hh x 2 h

Substituting into the partial differential equation we obtain the normal form

u x x = 4.

Integrating with respect to x u x = 4 x + f(h ) where f is an arbitrary function of a real variable. Integrating again with respect to x u(x, h) = 2x2 + xf(h)+ g(h), Therefore the general solution is given by u(x, y) = 2x2 + xf y + g y x x where f, g are arbitrary functions of a real variable.

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