Chapter 3. Second Order Linear Pdes: A (X, Y) U
Chapter 3. Second Order Linear Pdes: A (X, Y) U
Chapter 3. Second Order Linear Pdes: A (X, Y) U
3.1 Introduction
The general class of second order linear PDEs are of the form:
The three PDEs that lie at the cornerstone of applied mathematics are: the
heat equation, the wave equation and Laplace’s equation,i.e.
where the term “l.o.t.s” stands for lower order terms. For example, con-
sider the PDE
2u xx − 2u xy + 5uyy = 0. (3.6)
r = 2x + y, s = x − y,
gives
urr + uss = 0,
where a, b, and c are functions of x and y and noting that we have sup-
pressed the lower terms as they will not affect the type. Under a change of
variable (x, y) → (r, s) with the change of variable formulas (3.7) gives
³ ´
a urr r2x + 2urs r x s x + uss s2x + ur r xx + us s xx
¡ ¢
+ b urr r x ry + urs (r x sy + ry s x ) + uss s x sy + ur r xy + us s xy (3.8)
³ ´
+ c uyy + urr ry2 + 2urs ry sy + uss s2y + ur ryy + us syy = 0
Setting
A = ar2x + br x ry + cr2y ,
B = 2ar x s x + b(r x sy + ry s x ) + 2cry sy , (3.10)
C = as2x + bs x sy + cs2y ,
Second Order
If we substitute (3.12) and (3.13) into the general linear equation (3.1) and
re-arrange we obtain
¡ ¢
(ar2x + br x ry + cry2 )urr + 2ar x s x + b(r x sy + ry s x ) + 2cry sy urs
+ (as2x + bs x sy + cs2y )uss + l.o.t.s. = 0. (3.14)
Our goal now is to target a given canonical form and solve a set of equa-
tions for the new coordinates r and s.
3.2. Canonical Forms 5
b2
Since in the parabolic case b2 − 4ac = 0, then substituting c = 4a we find
both equations of (3.15) are satisfied if
Example 1.
Consider
u xx + 6u xy + 9uyy = 0. (3.17)
gives
r = f (3x − y).
r = 3x − y, s = y.
uss = 0!†
† Not to be confused with factorial (!).
6 Chapter 3. Linear Second Order Equations
Solving gives
u = f (r)s + g(r).
Example 2.
Consider
x2 u xx − 4xyu xy + 4y2 uyy + xu x = 0. (3.19)
or
xr x − 2yry = 0,
gives
r = f (x2 y).
r = x2 y, s = y.
u x = 2xyur . (3.20)
r = 2 ln x + ln y, s = ln y,
we would obtain
uss − ur − us = 0, (3.23)
r = 2 ln x + ln y, s = 2 ln x,
we would obtain
uss − ur = 0, (3.24)
it is necessary to choose
³ ´
ar2x + br x ry + cry2 = − as2x + bs x sy + cs2y ,
2ar x s x + b(r x sy + ry s x ) + 2cry sy = 0. (3.26)
The problem is that this system is still a very hard problem to solve (both
PDEs are nonlinear and coupled!). Therefore, we introduce a modified hy-
perbolic form that is much easier to work with.
8 Chapter 3. Linear Second Order Equations
rx sx
then we can solve equations (3.29a) and (3.29b) separately for ry and sy .
This leads to two first order linear PDEs for r and s. The solutions of these
then gives rise to the correct canonical variables. The following examples
demonstrate.
Example 3.
Consider
u xx − 5u xy + 6uyy = 0 (3.30)
r x − 2ry = 0, s x − 3sy = 0,
r = 2x + y, s = 3x + y.
urs = 0.
Solving gives
u = f (r) + g(s).
Example 4.
Consider
xu xx − (x + y)u xy + yuyy = 0. (3.32)
As s satisfies the same equation, we choose the first factor for r and the
second for s
xr x − yry = 0, s x − sy = 0. (3.33)
r = xy, s = x + y.
x2 u xx − y2 uyy = 0. (3.37)
xr x − yry = 0, xs x + ysy = 0,
which gives
r = f (xy), s = g(x/y).
r = xy, s = x/y.
1
urs − us = 0. (3.38)
2r
However, if we choose
r = ln x + ln y, s = ln x − ln y,
urs − us = 0, (3.39)
1 1 1 1 1 1
ur = uα + u β , us = uα − u β urs = uαα − u ββ , (3.40)
2 2 2 2 4 4
uαα − u ββ − 2uα + 2u β = 0,
12 Chapter 3. Linear Second Order Equations
α = ln x, β = ln y.
r+s r−s
α= , β= ,
2 2
which is (3.58a) with r and s replaces with α and β. This give a convenient
way to go directly to the coordinates that lead to the regular hyperbolic
form. We note that
r±s
α, β = , (3.42)
2
so we can essentially consider
Example 5.
Consider
8u xx − 6u xy + uyy = 0. (3.44)
but as they are identical it suffices to only consider one. Dividing (3.57a)
by ry2 gives
µ ¶2
rx rx
8 −6 + 1 = 0.
ry ry
Solving by the quadratic formula gives
rx 6±2
= ,
ry 16
or
8r x − (3 ± 1)ry = 0.
which we choose
r = 3x + 8y ± x,
r = 3x + 8y, s = x,
urr − uss = 0,
Example 6.
Consider
Solving gives
³ ´
2 2 2
r = f x + 2y ± 3x .
r = x2 + 2y2 , s = 3x2 ,
urr − uss = 0,
it is necessary to choose
³ ´
ar2x + br x ry + cry2 = as2x + bs x sy + cs2y ,
2ar x s x + b(r x sy + ry s x ) + 2cry sy = 0. (3.48)
The problem, like the regular hyperbolic type, is still difficult to solve.
However, we find that if we let †
α+β α−β
r= , s= (3.49)
2 2i
† Please note the switch in the variables r and s and α and β.
3.2. Canonical Forms 15
then (3.48) is satisfied. This is much like the connection between modi-
fied and regular hyperbolic canonical form. As solving (3.50a) gives rise
to complex roots, the formulas (3.49) will take real and complex parts of
the solved αandβ equations as new variables. The next few examples will
illustrate.
Example 7.
Consider
u xx − 4u xy + 5uyy = 0. (3.51)
but as they are identical it suffices to only consider one. Dividing (3.52a)
by ry2 gives
µ ¶2
rx rx
−4 + 5 = 0.
ry ry
Solving by the quadratic formula gives
rx
= 2 ± i,
ry
or
r x − (2 ± i)ry = 0.
which we choose
r = 2x + y ± x,
r = 2x + y, s = x,
urr + uss = 0,
Example 8.
Consider
³ ´2 ³ ´³ ´ ³ ´2 ³ ´
2 1 + x2 u xx − 2 1 + x2 1 + y2 u xy + 1 + y2 uyy + 4x 1 + x2 u x = 0.
(3.53)
The corresponding equations for r and s are
³ ´2 ³ ´³ ´ ³ ´2
2 2 2 2 2
2 1+x rx − 2 1 + x 1 + y r x ry + 1 + y r2y = 0, (3.54a)
³ ´2 ³ ´³ ´ ³ ´2
2 2 2 2 2
2 1+x sx − 2 1 + x 1 + y s x sy + 1 + y s2y = 0, (3.54b)
but as they are identical it suffices to only consider one. Solving by the
quadratic formula gives
¡ ¢
rx (2 ± i) 1 + y2
= ,
ry 1 + x2
or
³ ´ ³ ´
2 1 + x2 r x − (1 ± i) 1 + y2 ry = 0.
which we choose
Exercises
1. Determine the type of the following second order PDEs
(i) x2 u xx − y2 uyy = u x + uy
(ii) u xx + 2u xy + uyy = 0
(iii) y2 u xx + 2yu xy − uyy = 0
(iv) u xy + u = u x + uy
(i) u xx + 2u xy + uyy = 0
(ii) y2 u xx − 2xyu xy + x2 uyy = 0.
(iii) y2 u xx + 2xyu xy + x2 uyy − 2xu x = 0.
(i) 2u xx − 3u xy + uyy = u x + uy ,
(ii) x2 u xx − 3xyu xy + 2y2 uyy = 0.
18 Chapter 3. Linear Second Order Equations
(i) 4u xx − 8u xy + 3uyy = 0,
(ii) 4u xx + 4u xy + 5uyy = 1,
(iii) x2 u xx + y2 uyy = 1,
(iv) u xx − (1 + y2 )2 uyy = 0.
α = r + s, β = r − s,
uαα − u ββ + l.o.t.s. = 0.
where c11 , c12 , c21 and c22 are constant and r and s satisfy the above first
order PDEs, namely