R.

Courant*
K. Friedrichs”
H. Lewyt

On the Partial Difference Equations

of Mathematical Physics

Editor’s note: This paper, which originally appeared inMathematische Annalen 100, 32-74 (1928), is republishedby permission of the
authors. We are also grateful to the Atomic Energy Commission for permissionto republish this translation, which had appeared as
AEC Report NYO-7689, and to Phyllis Fox, the translator,who did the work at the AEC Computing Facility atNew York University
under AEC Contract No. AT(30-1)-1480. Professor Eugene Isaacson had made suggestions on this translation.

Introduction
Problems involving the classical linear partial differential obtained independently of the choice of mesh, but we
equations of mathematical physics canbereduced to will find that for the case of the initial value problem for
algebraic onesof a very much simpler structure by replac- hyperbolicequations,convergenceis obtained only if
ing the differentials by difference quotients on some (say the ratio of the mesh widths in different directions satis-
rectilinear) mesh. This paper will undertake an elementary fies certain inequalities which in turn depend on the posi-
discussion of thesealgebraicproblems,in particular of tion of the characteristics relativeto the mesh.
the behavior of the solution as the mesh width tends to We take as a typical case the boundary value problem
zero. For present purposes we limit ourselves mainly to of potential theory. Its solution and itsrelation to the
simple but typical cases,and treat them in such a way that solution of the correspondingdifference equation has
the applicability of the method to more general difference been extensively treated during the past few years.’ How-
equations and to those with arbitrarily many independent ever incontrast to the present paper,the previous work has
variables is made clear. involved the use of quite specialcharacteristics of the
Corresponding to the correctlyposedproblems for potential equation so that the applicability of the method
partial differential equations we will treat boundary value used there to other problems has not been immediately
and eigenvalue problems for elliptic difference equations, evident.
and initial value problems for the hyperbolic or parabolic In addition to the main part of the paper, we append
cases. We will show by typical examples th,at the passage an elementary algebraic discussion of the connection of
to the limit is indeed possible, i.e., that the solution of the boundary value problem of elliptic equations with the
the difference equation converges to the solution of the random walk problem arising in statistics.
corresponding differential equation; in fact we will find
* Now at Courant Institute of Mathematical Sciences,New York Uni-
that for elliptic equations in general a difference quotient versity.
of arbitrarily high order tends to the corresponding deriv- ‘I’ Now at University of California, Berkeley.
J. le Roux, “Sur le problem de Dirichlet”. Journ. de mathCm. pur. et appl.
ative. Nowheredo we assume the existence of the solution (6)10,189 (1914). R. G . D. Richardson,“A new method in boundary problems
for differential equations”, Trans. ofthe Am. Math. SOC.18, p. 489 ff, (1917).
to the differential equation problem-on the contrary, we H. B. Philips and N. Wiener, Nets and the Dirichlet Problem, Publ. of M.I.T.
(1925). Unfortunately these papers were not known by the first of the three
obtain a simpleexistenceproofbyusing the limiting authors when he prepared his note “On the theory of partial difference equa-
process.’ For the case of elliptic equations convergence is tions,” G6tt. Nachr. 23, X, 1925, on which the present work depends. See
also L. Lusternik, “On a n application of the direct method in variation cal-
culus,” Recueil de la Societe Mathem. de Moscou 1926. G. Bouligand, “Sur
1 Our method of proof m a y be extended without difficulty to cover bound- le problemme de Dirichlet,” Ann. de la SOC. polon. de mathdm. 4, Cracow (1926).
ary value and eigenvalue problems for arbitrary linear elliptic differential O n the meaning of the difference expressions and on further applications of
equations and initial value problems for arbitrarylinear hyperbolic differential them, see R. Courant, “Uber direkte Methoden in der Variationsrechnung,”
equations. Math. Ann. 07, p. 711, and the references given therein. 215

IBM JOURNAL MARCH 1967

 1. The elliptic case where a = a(x, y), ---
,a = a(x, y), --
,g = g(x, Y ) are
functions on the mesh.
Section 1. Preliminary remarks From the bilinearexpressionoffirst order we derive
1. Definitions a difference expression of second order in the following
way: we form the sum
Consider a rectangular array of points in the (x, y)-plane,
such that for mesh width h > 0 the points of the lattice
are given by
over all points of a region Ghin the mesh, where in B(u, u)
x = nh
y = rnh 1 m, n = 0, f l , f 2 , .

Let G be a region of the plane bounded by a continuous

the difference quotients between boundary points and
points not belonging to the mesh are to be set equal to
zero. We now transform the sum through partial summa-
tion, i.e., we arrange the sum according to u, and split
closed curve which has no double points. Then the cor-
it up into a sum over the set of interior points, GL and a
responding mesh region, G,-which isuniquelydeter-
s u m over the set of boundary points, r h . Thus we obtain:
mined for sufficientlysmallmeshwidth-consists of all
those mesh points lying in G which can be connected to
any other given point in G by a connected chain of mesh
points. By a connected chain of mesh points we mean a = --h2 uL(u) - h V%(U). (1)
Gh' rh
sequence of points such that each point follows in the
sequence one of its four neighboring points. We denote L(u) is a linear difference expression of second order de-
as a boundary point of Gh a point whose four neighboring fined for all interior points of G,:
points do not all belong to G,. All other points of Gh we
call interior points.
We shall considerfunctions u, u, . of position on
the grid,i.e.,functionswhich are definedonly for grid
%(u) is, for every boundary point, a linear difference ex-
points, but we shall denote them as u(x, y), u(x, y), . .
pression whose exact form will not be given here.
For their forward and backward difference quotients we
employ the following notation,
If we arrange eo,,B(u, u) according to u, we find

1
u, = - [.(x
h
+ h , Y ) - 4 x 9 Y)l, = -h2 uM(u) -h US(U). (2)
rh' Oh'

M(u) iscalled the adjoint differenceexpression of L(u)

and has the form

M(u) = ( a 4 Z + (bU,)Z + (CUJB + (dU,)z7

+ (au), + @U)o - TU, - 64- go,

while S(u) is a difference expression corresponding to (R(u)

In the same way the difference quotients of higher order for the boundary.
are formed, e.g., Formulas (1) and (2) give
(UJ, = U,Z = Uzr

= 21 [.(x + h , Y>- 2u(x, Y> + .(x - h, ~ 1 1 etc.

, +h rh'
[u%(u) - us(u)] = 0. (3)

Formulas (l), (2), and (3) are called Green's formula.

2. Difference expressions and Green's function
The simplest and most important caseresults if the
In order to study linear difference expressions of second bilinearformissymmetric,i.e., if the relations b = c,
order, we form (using as a model the theory of partial a = y, = 6 hold. In thiscase L(u) isidenticalwith
differentialequations), a bilinearexpression from the M(u)-the self-adjoint case-and it can be derived from
forward difference quotients of twofunctions, u and u, the quadratic expression

B(u, u) = au,u, + bu,u, + cu,u, + du,v, + auzv B(u, u) = au; + 2bu,u, + duz
216 + Pu,u + + 6uu, + g u v ,
YUU, + 2cYu,u + 2PU,U + gu2.

COURANT, FRIEDRICHS AND LEWY

 In the following we shall limitourselvesmainly to provided one orders the sum
expressions L(u) which are self-adjoint. The character h2 AuAv
of the difference expression L(u) depends principally on Gh'

the nature of those terms in the quadratic form B(u, u) according to v, or equivalently replacesu by Au in Eq. (5).
which are quadratic in the first difference quotients. We Onemustnoticehowever that in the expression AAu,
call this part of B(u, u) the characteristic form: the functional value at a point is connected withthe values
P ( u , u) = au: + 2bu,u, + du:. at its neighboring points and at their neighboring points,
and accordingly is definedonly for such points of the
We call the corresponding difference expressionL(u) ellip- region Gh as are also interior points of the region GL (See
tic or hyperbolic,dependingonwhether the function Section 5). The entirety of such points we designate as GL'.
P(u, u ) of the difference quotients is(positive)definite We obtain then Green's formula
or indefinite.
The difference expression Au = u Z 2 u,# with which + h2
Gh'
Au*Au
we shall concern ourselves in the following paragraph is
elliptic, i.e., it comes from the quadratic expression
~ ( u u)
, = u: + u: or ui + u,". where %(u) is a definable linear difference expression for
The corresponding Green's formulasare
each point of the boundary strip r h +
I'L. r; indicates
the set of boundary points of GL.
h2 (u: -b u:) = -h2 uAu
Qh Gh'
Section 2. Boundary value and eigenvalue problems
-h u%(u) [Note 31 (4)
rh 1. The theory of boundary value problems
h2 (VAU- U A V ) The boundary valueproblem for linearelliptichomo-
Gh'
geneous difference equations of second order, which cor-
4-h [u%(u) - u%(u)] = 0. (5) responds to the classical boundary valueproblem for
r h
partial differentialequations,canbeformulatedin the
The difference expression,Au = u,? f uvg,is obviously following way.
the analogue of the differentisl expression (dzu/dxz) + Let there be given a self-adjoint elliptic linear difference
(d2u/dy2)for a function K ( X , y ) of the continuous variables expression of second order, L(u), in a mesh region, Gh.
x and y . Written out explicitly the difference expression is L(u) results from a quadratic expression B(u, u ) which is
positive definite inthe sense that it cannot vanish if u, and
Au =
1
-5
h
[u(x + h, Y) u(x, Y + h) u, do not themselves vanish.
A function, u, is to be determined satisfying in Gh the
+ .
(
X - h, Y ) +~(x, Y - h) - 4 ~ ( xY, ) ] . difference equation L(u) = 0, and assumingprescribed
values at the boundary points.
Therefore (h2/4)Auis the excessof the arithmetic mean
Under these requirements there will be exactly as many
of the functional values at the four neighborhood points
linear equations as there are interior points of the mesh
over the functional value at the point in question.
at which the function u is to bedetermined.4Some of
Completelysimilarconsiderationslead to lineardif-
theseequations whichinvolveonlymesh points whose
ference expressions of the fourth order and corresponding
neighbors also lie in the interior of the region are homo-
Green's formula, providedone starts frombilinear dif-
geneous; others whichinvolve boundary points of the
ference expressions which are formed from the difference
mesh region are inhomogeneous. If the right-hand side of
quotients of secondorder.Consider for example the
the inhomogeneous equations is set equal to zero, that is
difference expression
if u = 0 on the boundary, then it follows from Green's
AAu = +
u , , ~ ~ 2uzZug + uUvgg. formula (l), by setting u = v that B(u, u) vanishes, and
further, from the definiteness of B(u, u), that K, and u,
This corresponds to the quadratic expression
vanish, and hence that u itselfvanishes. Thus the dif-
T
B(u, u)a= r(uzz
P
+ u , ~ ) ~(AU)',
= ference equation for zero boundary values has the solution
u = 0, or in other words the solution is uniquely deter-
aTheboundaryexpression~(u)maybewrittenasfollows:Letua,ul, u, ..., minedsince the difference of twosolutionswith the
be values of the function at a boundary point and at its Y neighboring points
4 If the matrix of the linear system of equations correspondingto an arbi-
( U 5 3), then
trarv difference eouation of second order., L(u)
, _ = 0., is transuosed.
~. then the
transposedset of equationscorresponds to theadjointdifference equation
M(u) = 0. Thus theabove self-adjoint systemgives rise to a set of linear equa-
tions with symmetric coefficients. 217

PARTIAL DIFFERENCEEQUATIONS
 same boundary valuemustvanish. Further, if a linear 2. Relation to the minimum problem
system of equations with as many unknowns as equations The above boundary value problem is related to the fol-
is such that for vanishing right-hand side the unknowns lowingminimumproblem:among all functions p(x, y )
must vanish, then the fundamental theorem of the theory defined in the mesh region Gh and assuming given values
of equations asserts that for an arbitrary right-hand side at the boundary points, that function p = u(x, y ) is to be
exactly one solution must exist. In our case there follows found for which the sum
at once the existence of a solution of the boundary value
problem. h2 cc Qh
%%
Therefore wesee that for elliptic difference equations
the uniqueness and existence of the solution of the bound- over the meshregionassumes the leastpossiblevalue.
ary value problem are related to each other through the We assume that the quadratic differenceexpression of
fundamental theorem of the theory of linear equations, first order, B(u, u) ispositivedefinite in the sensede-
whereas for partial differential equations both facts must scribed in Section l, Part 2. One can show that the dif-
be proved by quite different methods. The basis for this ference equation L(p) = 0 results from this minimum
difficulty in the latter case is to be found in the fact that requirement on the solution cp = u(x, y ) , where L(p) is the
the differential equations are no longerequivalent to a difference expression of second order derived previously
finite number of equations, and so one can no longer de- from B(p, p). In fact this can be seen either by applying
pend on the equality of the number of unknowns and therulesofdifferentialcalculustothesumsh2~a~~B(p,cp)
equations. as a function of a h i t e number of values of p at the grid
Since the difference expression Au = 0 can be derived points, or byemploying the usual methods from the
from the positive definite quadratic expression calculus of variations.
Bywayof example, solving the boundary value prob-
lem of finding the solution to the equation Ap = 0 which
assumes given boundary values, is equivalent to minimiz-
the boundary value problem for the difference expression
is uniquely solvable.
ing the sum h2 cQh + (p:
take on the boundary values.
(0:) over all functions which

The theory for difference equations of higher order is There is a similar correspondence for the fourth-order
developed in exactly the same way as that for difference difference equations, where we limitourselves to the
equations of second order; for example one can treat the example AAp = 0. The boundary valueproblem cor-
fourth order difference equation AAu = 0. In this case responding to this difference equation is equivalent to the
on the bound-
the values of the function must be prescribed problem of minimizing the sum
+
ary strip FA FA. Evidently here alsothe difference equa-
h2 (AP)~
tion yields just as manylinear equations as there are ffh’
unknown functional values at the points of GL’. In order
for functions that take on given values on the boundary
to demonstrate the existence and uniqueness of the solu-
strip I?;.Besides this sum there are yet other quadratic
tion one needs onlyto show that a solution which has the
valuezeroin the boundary strip FA +
I?;necessarily expressions in the second derivativeswhich give riseto the
equation AAu = 0 under the process of being minimized.
vanishes identically. To this end we note that the sum
For example this is true in GI,
for the sum
over the corresponding quadratic expression
h2
ah’
(utz + 2 ~ 2 ,+ u”,).

That the minimumproblemposed above alwayshas

for such a function vanishes, as can be seen by transform- a solution follows from the theorem that a continuous
ing the sum accordingto Green’s formula (6). The vanish- function of a h i t e number of variables (the functional
ing of the sum (7) however implies that Au vanishes at all values of p at the grid points) alwayshas a minimum if it
points of GA, and according to the above proof this can is bounded from below and if it tends to infinity as soon as
only happen for vanishing boundary values if the function any of the independent variables goes to infinity:
u assumes the value zero throughout the region. Thus our
assertion is proved,and both the existence and uniqueness 3. Green’s function
of the solution to the boundary value problem for the It is possible to treat the boundary value problem for the
difference equations are g~aranteed.~ inhomogeneous equation, L(u) = -f, in much the same
way as the homogeneous case,L(u) = 0. For the inhomo-
6 For the actual process of carrying through the solution of the boundary
value problem by an iterative method, see among others the treatment: “Uber geneous case it is sufficient to consider only the case of
Randwertaufgaben bei partiellen Differenzengleichungen” by R. Courant,
Zeitschr. f. angew. Mathematik u. Mechanik 6, 322-325 (1925). Also there is a 6 It can easily be verified that the hypotheses for the application of this
218 report by H. Henky, in Zeifschr. f. angew. Math. u. Mech. 2, 58 ff (1922). theorem are satisfied.

COURANT, FRIEDRICHS AND LEWY

zero boundary conditions, since different boundary condi- is the mth eigenvalue, and the function for which it is
tions can be taken care of by adding a suitable solution of assumed is the m th eigenfunction.’
the homogeneous equation. To solve the linear system of
Section 3.’ Connections withthe problem of the random walk
equations representing the boundary value problem,
The theme of the following is related to a question from
L(u) = - f , we first choose as the function !(x, y ) a func-
the theory of probability, namely the problem of the
tion which assumes the value - l / h 2 at the point x = l,
random walk in a bounded region.” We consider the
y = q of the mesh. If K ( x , y ; .$,
7) is the solution (vanish-
lines of a mesh region Gh as paths along which a particle
ing on the boundary) of this difference equation which
can move from one grid point to a neighboring one. In
depends on the parametric point ([, q), then the solution
this net of streets the particle can wander aimlessly, and
for an arbitrary boundarycondition can be represented by
it can choose at random oneof the four directions leading
the sum
from each intersection of paths of the net-all four direc-
u ( x , Y> = h2 K ( x , Y ; Et df(E, 3). tions being equally probable. The walk ends as soon as a
(E.l)inGh
boundary point of G, is reached because here the particle
The function K(x, y ; E, q) which depends on the points must be absorbed.
(x,y ) and ([, q) is called the Green’s function of the dif- We ask:
ferential expressions L(u). If we call the Green’s function 1) What is the probability w(P; R) that a random walk
for the adjoint expression M(u), K(x, y ; E, q), then the starting from a point P reaches a particle point R
equivalence of the boundary?
K G , *;t , 3) = m , 3; E, *) holds, 2) What is the mathematical expectation u(P; Q) that a
random walk starting from P reaches a point Q of
as can be seen to follow immediately from Green’s form- G, without touching the boundary?
ula (3) when u = K(x,y ; .$,q), and D = Z?(x, y ; & *). For a
self-adjoint difference expression the above relation gives Thisprobability or mathematical expectation, respec-
the symmetric expression tively, will be defined more precisely by the following
process. Assume that at the point P there is a unit con-
K G , *;E , 7) = K G , 77; E, *I. centration of matter. Let this matter diffuse into the mesh
with constant velocity, traveling say a mesh width in unit
4. Eigenvalue problems time. At each meshpoint let exactly one-fourth of the
Self-adjoint difference expressions, L(u), give rise to eigen- matter at the point diffuse outwards in each of the four
value problems of the following type: find the value of a possible directions. The matter which reaches a boundary
parameter X, the eigenvalue, such that in Gh, a solution, point is to remain at that point. If the point of origin P
the eigenfunction can be found for the difference equation is itself a boundary point, then the matter never leaves that
L(u) f Xu = 0, where u is to be zero on the boundary,r h . point.
The eigenvalue problem is equivalent to finding the We define the probability w(P; R) that a random walk
principle axes of the quadratic form B(u, u). Exactly as starting from P reaches the boundary point R (without
many eigenvalues and corresponding eigenfunctions exist
7 From the orthogonality condition on the eigenfunctions,
as there are interior mesh points of the region G,. The
system of eigenfunctions and eigenvalues (and a proof of h2 u(V)u(’) = 0 9 (v # PI
ah
their existence) is given by the minimum problem:
it follows that each function. g(x, y ) , which vanishes on the boundary of the
mesh can be expanded in terms of the eigenfunctions in the form
Among all functions, p ( x , y), vanishing on the boundary, N
and satisfying the orthogonality relation = c(v)u(4
v=l

where the coefficients are determined from the equations

and normalized such that

In this way in particular the following representation for the Green’s func-
tions may be derived,

the function, p = u, is to be found for which the sum

h2 cc Rh
B:cp> ‘PI Section 3 is not prerequisite to Section 4.
8
The present treatment is essentially different from the familiar treatments
9
which can he carried through, say for example in the case of Brownian motion
for molecules. 7 he difference lies precisely in the way in which the boundary
assumes its minimum value. The value of this minimum of the region enters.
 previously attaining the boundary), as the amount of To this end we remark that the quantity E @ ; Q) satis-
matter which accumulates at this boundary point over fies the following relations
an infinite amount of time.
We define the probability E,(P; Q) that the walk starting
En+I(P;Q) = $ { E n ( P ; QJ + En(P; Q J
from the point P reaches the point Q in exactly n steps En(P;Q,) QJ) 9 [n 2 119
withoui touching the boundary by the amount of matter
where Ql through Q4are the four neighboring points of
which accumulate in n units of time provided P and Q are
the interior point Q. That is, the concentration at the
both interior points. If either P or Q are boundary points
then E , is set equal to zero.
point Q at the n +
1a t step consists of 1/4 times the sum
of the concentrations at the four neighboring points at
The value E,(P; Q) is exactly equal to 1/4" times the
the nth step. If one of the neighbors of Q, for example
number of paths of n steps leading from P to Q without
Ql = R , is a boundary point then it follows that no con-
touching the boundary. Thus E,(P; Q ) = &(e; P).
centration flows from this boundary point to Q since the
We define the mathematical expectation u(P; Q) that
expression E,(P; R) is zero in this case. Furthermore, for
one of the paths considered above leads from P to the
an interior point, Eo(P;P) = 1 and of course E1(P;Q) = 0.
point Q by the infinite sum of all of these possibilities,
From these relationships we find for the partial sum
m

u ( P ; Q) = E d P ; Q) (Note
lo),
"=O

i.e., for the interior points P and Q, the sum of all the
the equation
concentrations which have passed through the point Q at
different times. This will be assigned the expected value 1 un+l(P; Q ) = $(un(P; QI) + un(P; QJ
for a concentration originating at Q.
If the amount arriving atthe boundary point R in + un(P;QJ + uw(P;Q J I s

exactly n steps is designated as F,(P; R), then the proba- for P # Q. For the case of P = Q,
bility w(P; R) is given by the series
u,+~(P;P) = 1+ $ { u n ( P ; + on(P;
PI) ~ 2 )

+ s ( P ; Pa) + v J P ;
m

w(P; R ) = Fv(P; R ) . P4)1 9

"=O
that is, the expectation that a point goes back into itself
All the terms of this series are positive and the partial
consists of the expectation that a nonvanishing path leads
sum is bounded by one (since the concentration reaching
from P back again to itself-namely,
the boundary can be made up of only part of the initial
concentration), and therefore the convergence of the series +
t { u n ( P ; ~ 1 ) un(P; P J + un(P; + ~ 3 ) un(P; PJI 9

is assured. togetherwith the expectationunity that expresses the

Now it is easy to see that the probability En(P;Q), that
initial position of the concentration itself at this point.
is, the concentrationreaching the point Q in exactly n The quantity u,(P; Q) thus satisfies the following dif-
steps tends to zero as n increases. For if at any point Q,
ference equation"
from which the boundary point R can be reached in m
steps, we have E,(P; Q) > Q( > 0, then at least a/4" of 4
Aun(P; Q) = J Q), for P # Q,
the concentration at Q willreach the point R after m
steps.
However, since the sum F,(P; R) converges,
4
the concentration reaching R goes to zero with increasing Avn(P; Q ) = 2 ( E n ( P ;Q) - I } , for P = Q.
time, where the value of En(P; Q) must itself vanish as
time increases;that is, the probability of an infinitely long un(P; Q) is equal to zero when Q is a boundary point.
walk remaining in the interior of the region is zero.
11 This defines the A-operationfor the valiable point Q. This equation can
From this it follows that the entire concentration even- he interpreted as an equation of the heat conduction type. That is, if the func-
tually reachesthe boundary; or inother words that the sum tion v,(p; Q) is considered, not as a function of the index n as in Our P~eXnta-

xR w(P; R ) over all the boundary points R is equal to one.

The convergence ofthe infinite seriesfor the mathemati-
tion above, but rather as a function of time, f , which is proportional to n, SO
that t = n r and v,(P; Q) = u(P; Q ;t ) = u ( t ) , then the above equations can be
written in the following form:

cal expectation for P # Q,

m

remains to be shown.
For a similar difference equation which has a parabolic differential equation
220 10 The
convergence
will
shown
be below. as its limiting form, see Section 6 of the second half of the paper.

COURANT, FRIEDRICHS AND LEWY

 The solution of this boundary value problem for arbi- If the limit for vanishing mesh width is considered by
trary right-hand side is uniquely determined as we have methods given in the following section, then the Green’s
explainedearlier(Section 2, Part l), and dependscon- function on the mesh goes over to the Green’s function
tinuously on the right-hand side.Since the variables of the potential equation except for a numerical factor;
E,(P; Q) tend to zero, the solution u,(P; Q ) converges to a similar relationship
holds between the expression
the solution v ( P ; Q ) of the difference equation w(P; R ) / h and the normal derivative of the Green’s func-
tion at the boundary of the region. In this way, for ex-
Au(P; Q) = 0 for P # Q ample, the Green’sfunction for the potential equation
4 could be interpreted as the specific mathematical expecta-
Au(P; Q) = -3 for P = Q, tion of going from one point to another,13 without reaching
h
the boundary.
with boundary values u(P; R) = 0. In going overto thelimit of a continuum from the mesh,
Thus we see that the mathematical expectation u(P; Q) the influence of the direction in the mesh prescribed for
exists and is none other than the Green’s function for the the random walk vanishes. Thisfact suggests that it would
difference equation Au = 0, except for a factor of 4. The be of someinterest to considerlimiting casesof more
symmetry of the Green’s function is an immediate conse- generalrandomwalks for which the limitations on the
quence of the symmetry of the quantity E,(P; Q) which direction of the walk are relaxed. This lies outside of the
was used to define it. scope of this presentation, however,and we can only hope
The probability w(P; R) satisfies, with respect to P, the to renew the question at some other opportunity.
relation
Section 4. The solution of the differentialequationas a
w(P; R) = t ( w ( P 1 ; R) w(Pz;R)
limiting form of the solution of the difference equation
+ pa; R) + w(P4;R) I 9
1. The boundary ualue problem of potential theory
and thus the difference equation Aw = 0. That is, ifP I , Pz, In letting the solution of the difference equation tend to the
Pa, P,, are the fourneighboring points of the interior solution of the corresponding differentialequation we shall
point P , then each path from P to R must pass through relinquish the greatest possible degree of generality with
one of these four directions, and each of the four is equally regard to the boundary and boundary values in order to
likely. Furthermore, the probability of going from one demonstrate more clearly the character of our method.14
boundary point R to another R‘ is w(R;R‘) = 0 unless Therefore we assume that we are given a simply connected
the two points R and R’ coincide, in which case w(R;=R)1. region G with a boundary formed of a finite number of
Thus w(P; R ) is that solution of the boundary value prob- arcs with continuously turning tangents. Let f ( x , y ) be a
lem Aw = 0 which assumes the value 1 at the boundary given function whichis continuous and hascontinuous
point R and the value 0 at all other points of the boundary. partial derivatives of first and second order in a region
Therefore the solution of the boundary value problem for containing G. If G h is the mesh region with mesh width h
an arbitrary boundaryvalue u(R) has the simple form belonging to the region G, then let the boundary value
u(P) = xR w(P; R)u(R), where the sum is to be extended
over all the boundary points.” If the function u E 1 is
problem for the difference equation Au = 0 be solved for
the sameboundaryvalues which the function f ( x , y )
substituted for u in this expression, then we check the rela- assumes on the boundary; let uh(x,y ) be the solution. We
tion 1 = CR W(P; R). shall prove that as h ”+ 0 the function uh(x, y ) converges
The interpretation given above for Green’s function as to a function u(x, y ) which satisfies in G the partial dif-
an expectation yields immediately further properties. We +
ferential equation (13~u/I3x~) (dZu/dy2) = 0 and takes
mention only the fact that the Green’s function decreases the value of !(x, y ) at each of the points of the boundary.
if one goes from the region G to a subregion lying within We shall show further that for any region lying entirely
G ; that is, the number of possible paths for steps on the within G the difference quotients of uh of arbitrary order
mesh leading from one point P to another Q (without tend uniformly towards the corresponding partial deriva-
touching the boundary), decreases asthe region decreases. tives of u(x, y).
Of course, corresponding relationships hold for more In the convergence proof it is convenient to replace the
than two independent variables. We note only that other boundary condition u = f by the weaker requirement that
ellipticdifference equations admit a similarprobability
interpretation.

12 Moreover it is easy to show that the probability w(P; R) of reaching the l a Here the a priori expectation of reaching a certain area element is under-
boundary is the boundary expression W ( K ( P ,Q)),constructed from the Green’s stood to he equal to the area of the element.
function K ( P ; Q) in terns of Q, where u(x, y ) is tobe identified with w(P, Q), 14 We mention however that carrying through our method for more general
and n(x, y) with u(P, Q) in Green’s formula (5). boundaries and boundary valuesin no way causes any fundamental difficulty. 22 1

PARTIAL DIFFERENCE EQUATIONS

 the partial derivatives of u. The limit function then pos-
sesses derivatives of arbitrarily high order in any proper
subregion G* of G and satisfies V2u= 0 in this region. If
we can show also that u satisfies the boundary condition
we can regard it as the solution of our boundary value
problem for the region G . Since this solution is uniquely
determined, it is clear that not only a partial sequence of
the functions uh, but this sequenceoffunctionsitself
possesses the required convergence properties.
The uniform continuity (equicontinuity) of our quanti-
ties may be established by proving the following lemmas.
1) As h+ 0 the sums over the mesh region h2 u2 cQA
and h2 cQA+ (u: u;) remainbounded.I6
2) If w = wh satisfies the difference equation Aw = 0
at a mesh point of Gh, and if, as h -+ 0 the sum

extended over a mesh region G$ associated with a

subregion G* of G remains bounded, then for any
Figure 1
fixed subregion G**lying entirely withinG* the sum

where S, is that strip of G whose points are at a distance

from the boundary smaller thanr.15 The convergence proof over the mesh region G?* associated with G**like-
depends on the fact that for any subregion G* lying en- wise remainsbounded as h + 0. Using 1) there
tirely within G , the function uh(x, y ) and each of its dif- follows fromthis, since all of the difference quotients
w of the function u,, again satisfy the difference equa-
ference quotients is bounded and uniformly continuous
as h-+ 0 in the following sense:For each of these functions, tion Aw = 0, that each of the sums h2 w2cGA*
say wh(x, y ) , there exists a a(&) dependingonly on the is bounded.
subregion and not on h such that 3) From the boundedness of these sums there follows
finally the boundedness and uniform continuityof all
Iwfb(P) - wfb(P1) I < e the difference quotients themselves.
provided the mesh points P and P I lie in the same sub-
region of G h and are separated from each other by a dis- 2. Proof of the lemmas
tance less than a(&). The proof of 1) follows from the fact that the functional
Once uniform continuity in this sense (equicontinuity) values U h are themselves bounded. For the greatest(or
has been established we can in the usual way select from least) value of the function is assumed on the boundary”
the functions uh a subsequence of functions which tend and so is boundedby a prescribed finite value.The bound-
uniformly in any subregion G* to a limit function u(x, y ) , edness of the sum h2 Ea,,
(uf +
u:) is an immediate
while the difference quotients of uh tend uniformly towards consequence of the minimum property of our mesh func-
16 The weaker boundary value requirement does in fact provide the unique tion formulatedin Part 2 of Section 2 whichgivesin
characterization of the solution, as can be seen from the easily proved theorem: particular
If the boundary condition above is satisfied for f ( x , y ) = 0 for a function
satisfying the equation

a2U
- + 7 = 0
aZu
ax2 ay but as h 0 the sum on the righttends to the integral
in the interior of G and if

which, by hypothesis, exists.

exists. then v(x, y ) is identically zero. (See Courant, “iiber die Losungen der
Differentialgleichungender Physik,” Marh Ann. 85, 296 ff.)
In the case of two independent variables the boundary values are actually 16 Here and in the following we drop the index h from the grid functions.
attained. as follows from the weaker requirement: but in the case of more We note. however. with a view to carrying over the method to other dif-
variables the corresponding result cannot ingeneralbeexpectedsince there ferential equations. that we can relax these conditions. To this end we need
can exist exceptional points on the boundary at which the boundary value is only to bring into play the inequality (15) or to use the reasoning of the alter-
222 not taken on even though a solution exists under the weaker requirement. native (see Part 4, Section 4).

COURANT, FRIEDRICHS AND LEWY

 To prove 2) we consider the quadratic sum

h2
int.01
c (w: + w: + w: + w",,
where the summation extends over all the interior points
of a square Q,, (see Fig. 1). We denote the values of the
function on the boundary SI of the square Q,, by w,,and
those on the boundary So, ofQ,,by wo. ThenGreen's
formula gives
h2
int.91
(wz" + w: + w: + 4 ) (8)
Figure 2
= cw2-cwz-cw2
SI SO c1

where SIand So are respectively the boundary of Ql and

the square boundary of the lattice points Qo lying within is containedentirelywithin the other. Thus lemma (2)
SI,while C1 consists of the four corner points of the is proved.18
boundary of Ql. In order to prove the third result, that uA and all its
Wenow consider a sequence of concentric squares partial difference quotients wA remain bounded and uni-
Q,, Q,, . . . , Q,with boundaries So, SI, . . , S,, where formly continuous as h 4 0, we consider a rectangle R
each boundary is separatedfrom the next by a mesh width. (Fig. 2 ) with corners Po,Q,, P, Q and with sidesPoQoand
Applying the formula to each of these squares and ob- PQ of length a parallel to the x-axis.
serving that we have always We start with the relation

w(Qo) - PO) = h
PO
W. - h2 R
w,~,

5 ha
01
(w: + w: + w: + w3. (k 2 1) and the inequality

we obtain Iw(Q0) - w(Po)I5 h

PO
Iw,~ + h2 IwZyI. (11)
2h2 c c (w: + 4 )
0 0
which is a consequence of it.
We then let the side PQ of the rectangle vary between
5 cw2- w Z - c w 2
SI Sk-1 C1;
(l<k<n), an initial linePIQl, a distance b from PoQoand a final line
PzQz a distance 2b from PoQo, and we sum the corre-
where Ckconsists of the four corner points of the bound-
ary Qk.
sponding ( b / h ) +
1 inequalities (11). We obtain the esti-
mate
We strengthen the inequality by neglecting the last non-
positive term on the right and we then add the n inequalities
to obtain

Summing this inequality from n = 1 to n = N weget where the summations extend over the entire rectangle,
R , = PoQoPpQz.From Schwarz's inequality it then fol-
lows that,

Diminishing the mesh width h we can make the squares

Qo and Q,, converge towards two fixedsquares lying within
G and having corresponding sidesseparated by a distance
a. In this process Nh 4 a and we have, independentof the
mesh width
18 If we do not assume that A w = 0, then in place of the inequality (9)

h2
QO
( d + wi) I ;;i
h2
QN
w2. (9)
we find :

For sufficiently small h this inequality holds of course

not only for two squares Qoand QNbut with a change in
for suitable constants c t and cz independent of h. where G** lies entirely
the constant, a,for any two subregionsof G such that one within G*,and G* in turn is contained in the interior of G. 223

PARTIAL DIFFERENCE EQUATIONS

 In order to prove the above inequality, we divide the
boundary, , 'I of G into a finite numberof pieces for which
the angle of the tangent with one of the x- or y-axes is
greater than somepositivevalue(say 30'). Let y, for
instance, be a piece of I' which is sufficiently steep (in the
abovesense)relative tothe x-axis(seeFig. 4). Lines
parallel to the x-axis intersecting y will cut a section yr
from the neighboring curve I?,, and will define together
with y and y r a piece s, of the boundary strip S,. We use
the symbol s, , h to denote the portion of G h contained in s,
and denote the associated portion of the boundary r h
by Y h -
Wenow imagine a parallel to the x-axis to be drawn
through a mesh point Ph of s, ,h. Let it meet the boundary
y h in a point P h . The portion of this line whichliesin

s, ,h we call p r ,h . Its length is certainly smaller than cr,

Figure 3
where the constant c depends only on the smallest angle
of inclination of a tangent y to the x-axis.
Between the values of u at PAand we have the relation
Since, by hypothesis, the sums which occur here multi-
plied by h2 remain bounded, it follows that as a -+ 0 the U(Ph) = r(Ph) fh 0,.
PbPh
difference Iw(Po) - w(Qo)l -+ 0 independently of the
mesh-width, sincefor each subregionG* of G the quantity Squaring both sides and applying Schwarz's inequality,
b can be held fixed. Consequently the uniform continuity we obtain
(equicontinuity) of w = w h is proved for the x-direction.
Similarly it holds for the y-direction and so also for any u(Ph)' 5 2u(Ph)' + 2cr.h Ur , h
u;.
subregion G* of G. The boundedness of the function w h
in G* finally follows from its uniform continuity (equi- Summing with respect to Ph in the x-direction, we get
continuity) and the boundedness of h2 cc, wi.
h v2 5 +
2 ~ r u ( P ~ ) 2c2r2h
~ uz.
By this proof we establish the existence of a subsequence P7 U.

of functions uh which converge towards a limit function

Summing againin the y-direction we obtain the relation
u(x, y) and which do so uniformly together with all their
difference quotients, in the sense discussed abovefor every
interior subregion of G. This limit function u(x, y ) has
throughout G continuous partial derivatives of arbitrary Writing down the inequalities associated withthe other
order, and satisfies there the potential equation: portions of I' and adding all the inequalities together we
obtain the desired inequality (13).19
We next set u h = u h - f h so that u h = 0 on r h .

3. The boundary condition

Thensince h2
h 4 0, we obtain from (13)
xOb
(uz +
I$ remains bounded as

In order to prove that the solution satisfies the boundary

condition formulated above we shall first of all establish
the inequality
h2
8v.h
x u2 5 Ar2h2
S9.h
(uz + ui) where K is a constant which does not depend on the func-
tion u or the mesh size. Extending the sum on the left to
+ Brh r h
u2 (1 3) the difference s, - S , ,h of two boundary strips, the
inequality (16) still holds with the same constant K and
where s, , h is that part of the mesh region Gh which lies we can pass to the limit h 3 0.
inside a boundary strip S,. This boundary strip S , consists
of all points of G whose distancefrom the boundary is less 18 By similar reasoning we can also establish the inequality

than r ; it is bounded by I' and another curve I?,(Fig. 3).

The constants A and B depend onlyon theregion and not
in which the constants c1 and c2 depend only on the region G and not on the
224 on the function u nor the meshwidth h. mesh division.

COURANT, FRIEDRICHS AND LEWY

 4. Applicability of the method to other problems
Our method is based essentiallyon the inequalities arising
from the lemmas stated previouslysince the principal
points of the proofs follow from the two last lemmas in
Part 1 of Section 4.” No use is made of special funda-
mental solutions or specialproperties of the difference
expression, and therefore the method can be carried over
directly to the case of arbitrarily many independent vari-
ables as well as to the eigenvalue problem,
d2u a2u
-++++u=o.
dx’ dy
The same sort of convergence relations will obtain in this
case as above.’l Also the method applies to linear partial
differentialequations of other types,in particular its
application to equations with variable coefficients requires
onlysomeminormodifications. The essentialdifference
inthis caseliesonlyinproving the boundedness of
ha ui whichof coursedoes not alwayshold for an
arbitrary linear problem. However in case this sum is not
bounded it can be shownthat the general boundary value
problem for the differential equation inquestionalso
possesses effectivelyno solutions, but that in this casethere
exist nonvanishing solutions of the corresponding homo-
geneous problem, i.e., eigenfunctions.”

5 . The boundary value problem AAu = 0

In order to show that the method can be carried over to
the case of differential equations of higher order, we will
treat briefly the boundary value problemof the differential
equation :
d4U
”2”
ax4
d4u
ax2 dy’
+ dy4 -- 0.
d4U
”

We seek, in G, a solution of this equation for which the

values of u and its first derivative are given on the bound-
\ \ ary, being specified there by some function f(x, y ) .
Figure 4 To this endwe assume as previously that f(x, y ) together
with its first and second derivatives is continuous in that
region of the plane containing the region G.
We replace our differential equation problem by the
new problem of solving the difference equation Au = 0
in the mesh region G subject to the condition that at the
From the inequality (16) we then get
+
points of the boundary strip rh r; the function u takes
on the values f(x, y ) . From Section 2 we know that this
boundary value problem has a unique solution. Wewill
show that as the mesh size decreases,this solution, in each
Now letting the narrower boundary strip S , approach the
boundary we obtain the inequality 20 For an application of corresponding integral inequalities see K. Fried-

r
/lr f /l, -
v2 dxdy = (u f)2 dxdy I Kr
richs, “Die Rand- und Eigenwertprobleme aus der Theorie der elastischen
Platten”, Math. Ann. 98,222 (1926).
11 Similarly one proves at the same time that every solution of such a dif-
ferential equation problem has derivatives of every order.
22 See Courant-Hilbert, Merhoden der Maihemarischen Physik 1, Ch. 111,
which states that the limitfunction u satisfies the pre- Section 3, where the theory of integral equations is handled with the help of
the corresponding principle of the alternative. See also the Dissertation (Got-
scribed boundary condition. tingen) of W. v. Koppenfels, which will appear soon. 225

PARTIAL DIFFERENCE EQUATIONS

 interior subregion of G, converges to the solution of the For the third step we substitute one after the other the
differential equation, and that all of its difference quotients expressions Au, Au,, Au,, ALL,, . ' ,for win the inequality
converge to the corresponding partial derivatives.
w e note first that for the solution u = uh, the sum

h2 c c( L + +
Gh'
24, uty> + ch2 0'
(Awl2

remains bounded as h + 0. That is, by applying the mini- (see Part 2, Section 4) where G* is a subregion of G con-
mum requirements on the solution (Part 2, Section 2) one taining G** in its interior. The expressions introduced all
fmds that this sumis not larger than the corresponding sum satisfy the equation Aw = 0. It follows then that for each
h2 c c (fL + +
oh'
2fK EJ,
expression in turn and for all subregions G* of G that the
sums,hZ~Gr~(w:+ wg,thatis,h2cG*C(A Aut),
u~f
and this converges as h 4 0 to h2 c~.
the sums :
(AD, +
AuZy), . . are boundedtogetherwith

h2 cc o h
U2, h2
Oh
(UZ + u3,

which exists, by hypothesis. and h2 (nu)',

From the boundedness of the sum Oh

h2 cc + +
ah'
(UZ, 22, UZ,)
which are already known to be bounded.
Finally we substitute into the inequality (lo), in place of
followsimmediately the boundedness of h2
and also that of
eo I (Au)~ w, the sequence of functions u,,, u Z y ,u,,, u,.=,
which
, for

That is, for arbitrary w the following inequality holds are bounded as shown above. We then fmd that for all
(see Footnote 19), subregions the sums

ha c Gh*
( U L + U,2,J 3 h2
Gh*
(UZ,, + U,2y,>, * ..

+ ch rh
w2
remain bounded.
From these facts we can nowconclude as previously
that from our sequence of mesh functions a subsequence
Then if one substitutes the first difference quotients of w
can be chosen which in each interior subregion of G con-
for w itself in this inequality and applies the expression
verges (together withall its difference quotients) uniformly
over the subregion of G h for whichthey are defined,
to a limit function (or respectively its derivatives) which
one finds the further inequality,
is continuous in the interior of G.
We haveyet to show that thislimitfunctionwhich
obviously satisfies the differential equation AAu = 0 also
takes on the prescribed boundary conditions. For this
purpose we say here onlythat, analogous to the foregoing,
the expressions

where again the constant c is independent of the function

and of the mesh size. We apply this inequality to w = u h
and thus find the boundedness of the sum over I?, -I- r:
on the right-hand side; by definition these boundary sums
/k, [(E 2)'+ (!$ ZT] - - dxdy 5 cr2

converge to the corresponding integral containing f(x, y ) . hold.23 That the limit function fulfills theseconditions
Thus from the boundedness of may be seenby carrying over the treatment in Part 3,
Section 4 to the function u and its first difference quotient.

~~ ~

follows the boundedness of h2 X O h (u: i- and 28 That the boundary values for the function and its derivatives actually
are assumed is not difficult to prove. See for instance the corresponding treat-
226 thence that of h2 e a h u2. ment of K. Friedrichs, loc. cit.

COURANT, FRIEDRICHS AND LEWY

e +1
e + equation assumes the simple form
u1 + 113 - uz - u* = 0 . (2)
Note that the value of the function u at the point Po does
not appear itself in the equation.
We consider the grid split up into two subgrids, indi-
+4 PO
e e
cated in Fig. 5 by dots and crosses respectively. The dif-
ference equation connects the values of the function over
each of the subgrids separately, and so we shall consider
only one of the two grids. As initial condition the values
of the function are prescribed on the two rows of the grid,
e e + t = 0 and t = h. We can give the solution of this initial
value problem explicitly; that is, we express the value of
the solution at any point S in terms of the values given
along the two initial rows. One can see at once that the
value at a point of the row t = 2h is uniquely determined
+ e + e by only the three values at the points close to it in the two
first rows.The value at a point of the fourth row is uniquely
Figure 5
determined by the values of the solution at three particular
points inthe second and thud rows, and through them it is
related to certain values inthe first two rows. In generalto a
From the uniqueness of our boundary value problem point S there will correspond a certain region of depend-
we see furthermore that not only a selected subsequence, ence in the first two rows; it may be found by drawing
but also the original sequence of functions u possesses the
asserted convergence properties.
the lines x +
t = const. and x - t = const., through the
point S and extending them until they meet the second
row at the points a! and fl respectively(cf.Fig. 6). The
II. The hyperbolic case triangle Sap is called the triangle of determination because
all the values of u in it remain unchanged provided the
Section 1. The equation of the vibrating string
values on the first two rows ofit are held fixed. The sides of
In the second part of this paper we shall consider the the triangle are called lines of determination.
initial valueproblem for linearhyperbolic partial dif- If one denotesthe differences of u in the direction of the
ferentialequations. We shall prove that under certain lines of determination by u' and u', that is,
hypotheses the solutions of the difference equations con-
verge to the solutions of the differential equations as the
mesh size decreases.
We can discuss the situation most easily by considering
the example of the approximation to the solution of the
wave equation
Figure 6
-
d2U -
at2
d2U
dx? = 0
"

(1)

We limit ourselves to the particular initial value problem

where the value of the solution u, and its derivatives are e e
given on the line t = 0.
In order to find the corresponding difference equation,
we construct in the (x, t)-plane a square grid with lines e e
parallel to the axes and with mesh width h. Following the
notation of the first part of the paper we replace the
e e e
differential equation (1) by the difference equation
ut - uzz = 0. If we select a grid point, Po, then the cor-
respondingdifference equation relates the valueof the e e e
function at this point to the values at four neighboring
a B
points. If we characterize the four neighboring values by
the four indices 1, 2, 3, 4 (cf. Fig. 9 , then the difference e e e e 227

PARTIAL DIFFERENCE EQUATIONS

 1
0

4 0 2
0 0 0

Figure 7 3
0 0
Figure 8

then the difference equation assumes the form lyingbetween the twocharacteristicsdrawnthrough S,
u: = u;, the solution of the difference equation has also at the
point S a certain domain of dependence defined by the
i.e., along a line of determination the differenceswith lines of determination drawn through S. In Section 1 the
respect to the other direction of determination are con- directions for the lines of determination of the difference
stant, and thus are equal to one of the given differences be- equation coincided with the characteristic directions for
tween the value at twopoints on the firsttworows. the differentialequation so that the domains of dependence
Moreover the difference us - u , is a sum of differences ut coincided in the limit. This result,however,wasbased
along the determining line z,
so that using the remark essentially on the orientation of the mesh in the (x,t)-
above, we can obtain the final result (in obvious notation): plane, and depended furthermore on thefact that a square

us = u, + I%

ax
u‘. (3)
mesh had beenchosen.We shall nowconsider a more
general rectangular mesh with mesh size equal to h (time
interval) in the t-direction and equal to kh (space interval)
We now let h go to zero, and let the prescribed values
in the x-direction, where k is a constant. The domain of
on the second and firstrowsconvergeuniformly to a
dependence for the difference equation, u t E - u Z z = 0
twice continuouslydifferentiablefunction, !(x), and the
for this mesh will now either lie entirely within the domain
difference quotients u’/h\/z there converge uniformlyto a
of dependence of the differential equation, d2u/at2 -
continuouslydifferentiablefunction &x). Evidently the
a2u/dx2 = 0, or on the other hand will contain this latter
right-hand side of (3) goes over uniformlyto the expression
region inside its own domain accordingas k < 1 or k > 1
f(x - t> + 1
J-t
z+t
dt) dt (4)
respectively.
From thisfollows a remarkable fact: if for the case
k < 1 one lets h -+ 0, then the solution to the difference
if S converges to the point (x, t). This is the well-known
equation in general cannot converge to the solution of
expression for the solution of the wave equation (1) with
initial values u(x, 0) = f(x) and &(x, O)/at = ?(x) + the differential equation. In this case a change in the initial
values of the solution of the differential equation in the
&g(x). Thus it is shown that as h -+ 0 the solution of the
neighborhood of the endpoints a and p of the domain of
difference equation converges to the solution of the dif-
dependence (see Fig. 7) causes, accordingto formula (4), a
ferential equation provided the initial valuesconverge
change in the solution itself at the point (x, t). For the
appropriately (as above).
solution of the difference equation at the point S, how-
Section 2. On the influence of the choice of mesh. The do- ever, the changes at the points a and /3 are not relevant
mains of dependence of the difference and differential since these points lie outside of the domain of dependence
equations of the difference equations. That convergence does occur
for the case k > 1 will be proved in Section 3. See for
The relationships developed in Section 1 suggest the fol-
example Fig. 9.
lowing considerations.
If we consider the differential equation
In the same way that the solution of a linear hyperbolic
equation at a point S depends only on a certain part of
228 the initial line-namely the “domain of dependence”

COURANT, FRIEDRICHS AND LEWY

in two space variables, x and y , and time, t , and ifwe section of the initial rows t = 0 and t = h cut out by lines
replace it by the corresponding differenceequation on a of determination through S parallel to the sides of an
rectilinear grid, then in contrast to the case of only two elementary rhombus.We assume that the initial values are
independent variables it is impossible to choose the mesh prescribed in such a way that as t -+0 for fixed k the first
division so that the domain of dependence of the dif- difference quotients formed from them converge uniformly
ference and differential equations coincide, since the do- to given continuous functions on the line t = 0. The initial
main of dependence of the difference equation is a quadri- values can be used to form an explicit representation of
lateral while that of the differential equation is a circle. the solution of the difference equation (corresponding to
Later (cf. Section 4) we shall choose the mesh division so (3) in Section 1); however it is too complicated to yield a
that the domain of determination of the difference equa- limiting value easily as h -+ 0. Thus we will try another
tion contains that of the differentialequation in itsinterior, approach which will also make it possible for us to treat
and shall show that once again convergence occurs. the general problem.24
On the whole an essential result of this section will be We multiply the difference expression L(u) by (ul - us)
that in the case of each linear homogeneous hyperbolic and form the product using the following identities:
equation of second order one can choosethe mesh so that
the solution of the difference equation converges to the (U1 - U3)(U1 - 2uo + u,)
solution of the differential equation as h + 0, (see for = ( U l - uo)2 - (uo - u,)’, (7)
instance Sections 3,4, 7, 8).
(ul - u3)(uZ - 2uO f u4)

Section 3. Limiting values for arbitrary rectangular grids

= (u, - Uo)2 - (uo - U,)’ - $[(u1 - uJ2
Now we consider further the wave equation
+ (u1 - u4)’ - (U2 - u3)’ - (u4 - uJ21. (8)
Then we obtain

but impose it now on a rectangulargridwithtime interval

h and space interval kh. The correspondingdifference
2(ul - u3)L(u) = 7
h2 (
1-
3 [(u, - uo)’

equation is
- (uo - u3121 + E1 [(ul - uJ2
L(u) = h5
1
(u1 - 2uo + us) ( ~ -
1 ~4)’- (UZ - U3)’ - (u4 - UJ21. (9)
“
1
p h 2 (uz - 2uo + u4) = 0, (6)
The product (9) is now summed overall elementary rhom-
buses of the domain of determination, Sap. The quadratic
where the indicesrepresent a “fundamental rhombus” difference termson the right-hand side alwaysappear with
with midpoint Po and corners PI, P,, P,, P4 (see Fig. 8). alternate signs in two neighboring rhombusesso that they
According to the equation L(u) = 0 the value of the func- cancel out for any two rhombuses belonging to the tri-
tion u at a point S can be representedby its values on that angle Sap. Only the sums of squared differences over the
“boundary” of the triangleremain, and we obtain the
relation :
Figure 9

e e

*4 For the following see K. Friedrichs and H. Lewy, “ijber die Eindeutig-
keit...etc.,” Mafh. Ann. 98, 192 ff. (1928). where a similar transformation is
used for integrals. 229

PARTIAL DIFFERENCE EQUATIONS

 Here u' and u' denote differences inthe direction of deter- determined, everysubsequenceofmeshfunctions con-
mination defined in Section 1, while u designates the dif- verges, and therefore the sequence itself converges to the
ference of the functional values at two neighboring points limit function.
on a mesh line parallel to the t axis. The range in cs, Section 4. The wave equation in three variables
over which (u')' is taken is the outermost boundary line
Sa!and its nearest parallel neighbor found by shifting the We treat next the wave equation,
points of Sa! downward by the amount h. There is a similar
range for (u')' in ESP,
and so all of the differences, u', u',
and u appear once and only once.
For the solution to the problem L(u) = 0 the right-hand and consider its relation to the observations onthe domain
side of (10) vanishes. The sum overthe initial rows I and I1 of dependence discussed in Section 2. The domain of de-
which occurs there remains bounded as h+ 0 (for fixed k); pendence of the differential equation (1 l) is a circular cone
specifically it goes over into an integral of the prescribed with axis parallel to the t-direction and with apex angle a!,
function along the initial line. Consequentlythe sums over where tan a! = l/fi. In any rectilinear grid parallelto the
Sa! and S@ in (10) also remain bounded. If now k 2 1 axeswe introduce the corresponding difference equation
as we must require(see previous discussion), then1 - l/k'
isnon-negative, and we find that the individualsums
This equation relates the functional values of u at points
of an elementary tetrahedron. In fact it allowsthe value of
the function u at a point S to be expressed uniquely in
extended over any lineof determination whatever, remain terms of the values of the function at certain points of the
bounded. two initial planes t = 0 and t = h. At each point S we
From this we canderive the "uniformcontinuity" obtain a pyramid of determination which cuts out from
(equicontinuity) (cf. Section 4 of the first part of the paper) the twobaseplanestworhombuses as domains of de-
of the sequence of grid functions in all directions in the pendence.
plane?5 since the values of u on the initial line are bounded, If we let the mesh widths tend to zero, keeping their
there must exist a subset which converges uniformly to a ratios fixed, then we canexpectconvergence of the se-
limit function u(x, t). quence of mesh functions to the solution of the differential
Both the first and second differencequotients of the func- equation onlyprovided the pyramid of determination
tion u also satisfy the difference equation L(u) = 0. Their contains the cone of determination of the differential
initial valuescanbeexpressed through the equation equation in its interior. The simplest grid with this
property
L(u) = 0 in terms of the first, second and third difference will be one constructed in sucha way that the pyramid of
quotients of u involving initial values at points on the two determination is tangent to the exterior of the cone of
initial lines I and I1 only. We require that they tend to determination. Our differential equation is chosen so that
continuous limit functions, that is, that the given initial this occurs for a grid of cubes parallel to the axes.
values u(x, 0), ut(x, 0) be three times or respectively The difference equation (12), in the notation of Fig. 10,
twice continuously differentiable with respectto x. assumes for such a grid the form:
From this we can apply the convergence considerations
set forth above to the first and second difference quotients
L
L(u) = -2 (u& - 2ufl
h
+ u,) - h5
1
(u1 - 2uo + U:J

of u, as well as to u itself, and we can choosea subsequence

such that thesedifference quotients convergeuniformly -
1
hT (u2 - 2ufl + 4 , (13)
to certain functions,which must be the first or respectively
second derivatives of the limit function u(x, t). Hence the in which the functional value, u,, at the midpoint actually
limit function satisfiesthe differential equation d2u/dt2 - cancels out. The values of the solution on the two initial
d2uu/dx2 = 0 which results as the limit of the difference planes must be the values of a function having four con-
equation L(u) = 0; it represents indeedthe solution of the tinuous derivatives with respect to x,yzt.
initial value problem. Since such a solution is uniquely For the convergence proof we again use the method de-
veloped in Section 3. We construct the triple sum
15 If S I and Se are two points at a distance 6, then one connects them by a
path of two segments. SISand SSa, where the former is parallel to one line of - u,
determination and the latter to the other. Then one finds the appraisal, h2 c 2 u 6 h L(u) = 0
Ius, - U R I 5 Iusx - US1 + Ius - U,s*l
for the solution to the difference equation, where the
summation is to be extended over all elementary octahe-
230 drons of the pyramid of determination emanating from

COURANT, FRIEDRICHS AND LEWY

 are bounded initially, converge to continuous limit func-
tions and, infact, converge to the solution of the dif-
ferential equation and to thefirst and second derivatives of
this solution, all exactly as we found earlier (Section 3).

Appendix. Supplements and generalizations

Section 5. Example of a differential equation of first order

We have seen in Section 2 that in the case when the region
of dependence of the differential equation covers only a
part of the region of dependence of the difference equation,
the influence of the rest of the region is not included in the
limit. We can demonstratethisphenomenon explicitly
by the example of the differential equation of first order,
&/at = 0 ifwe replace it by the difference equation
2u, - u, + ui: = 0. (1 5 )
In the notation of Fig. 5 this becomes

Figure 10
a
ut =
u2
-
+2 u4

(16)
As before, the difference equation connects only the points
the point S . Then almost exactly as before we find that
of a submesh with one another. The initial value problem
the values of the function u at the interior points of the
consists of assigning as initial values for u at points x = 2ih
pyramid of determination cancel out in the summation
on the row t = 0 the values, f Z i , assumed there by a con-
and that only the values on the two pyramids called F,
tinuous function f(x).
and on thetwo base surfaces I and I1 remain.
We consider the point S at a distance 2nh up along the
If we denote by u' the difference of the values of the
t-axis. It is easy to verify that the solution u at S is repre-
function at two points connected by a line of an elementary
sented as
octahedron, then we can write the result as

F
(UT - I 11
(U'Y = 0, (14)

where the sum is extended over all surfaces containing

differences u'; each such difference is to appearonly once.26 As the mesh size decreases, that is as n "+ a ,the sum on
The double sumover the two initial surfaces stays bounded the right-hand side tends simply to the value fo. This can
since it goes over into an integral of the initial values. be demonstrated from the continuity of f(x) and from the
Therefore the sum over the "surface of determination" behavior of the binomial coefficients as n increases (see
F remains bounded. the following paragraph).
We now apply these results not to u itself, but to its
first, second and third difference quotients, which them- Section 6. The equation of heat conduction
selves satisfy the difference equation (13). Theirinitial The difference equation (16) of Section 5 can also be in-
values can be expressed using only values on the first two terpreted asthe analogue of an entirely different dif-
initial planes by means of (13) using first through fourth ferential equation,namely the equationof heat conduction,
difference quotients. If w = w h is one of the difference
quotients of any order up to third order, then we know
thatthe sum h2 (w'lh)' extended over a surface of
determination remains bounded. From this it follows, In any rectangular mesh with mesh spacing I and h in
through exactly the methods used in Section 4 of the first the time and space directions, respectively, the correspond-
part of thepaper, that the function u and its first and ing difference equation becomes
second difference quotients are uniformly continuous
(equicontinuous). Thus there exists a sequence ofmesh
widths decreasing to zero such that these quantities, which
2 8 The grid ratio has been chosenin such a way that the differences between In the limit as the mesh size goes to zero the difference
values of u appearing on the two neighboring surfaces in F do not occur,
(as they did in the general case in one dimension treated in Section 3). equation preserves its form only if 1 and h2 are decreased 231

PARTIALDIFFERENCEEQUATIONS
 proportionately. In particular if we set I = h2, then the with the auxiliary condition
value u,, drops out of the equation and the difference equa-
tion becomes g(x) dx = 2 4 ; .

u1 = uz --. +2 u4
(1 6 ) From formula (22) after passing to the limit we find

The solution to (16) is given by formula

nm .
which is the known solution of the heat conduction equa-
In + iJ tion.
As the mesh width decreases, a point f on the x-axis The results of this section can be carried over directly
is always characterizedby the index to the case of the differential equation,

(20) 2i = [/h. "4 a u a2U a%

at axZ dy2 = O
The mesh widthh is relatedto the ordinate t of a particular
point by and so on for even more independent variables.

2nh2 = t . (21) Section 7. The general homogeneous linear equation of

second order in the plane
We shall investigate what happens to formula (17) as
h 40, that is n 4 a.Using (21) we write (17) in the form We consider the differential equation

The coefficients are assumed to be twicecontinuously

For the coefficient of 2hfzi = 2hf(f)we use the abbrevia- differentiablewithrespect to x and t, while the initial
tion values on the line t = 0 are assumed three times continu-
ously differentiable with respect to x . We replace the dif-
ferential equation by the difference equation
L(u) = ufi(X,t ) - k2Uzz(X,t )

The limitingvalue of the coefficient,which is usually

+ auf + + Bu, YU = 0 (24)
determined by using Stirling's formula, wewill calculate in a grid with timemesh width h and space mesh width ch
here by considering the function gzn([)as the solution of so that in a neighborhood of the appropriate part of the
an ordinary difference equation which approaches a dif- initial value line the inequality 1 - k2/c2> E > 0 holds
ferential equation as h 40. As the difference equation one for the constant, c. The initial values are to bechosen
finds as in Section 3.
For the proof of convergence we again transform the
sum,

(inwhichwehave written gh(f) instead of gzn(f)). Or h2 c 2 - L(u)

S us h
by using identities (7) and (8). In addition to a sum (see
for example (10)) over the doubled boundary of the tri-
gh(E) satisfies the normalization condition angle Sap (Fig, 6) one obtains a sum over the entire tri-
angle Sap because of the variability of the coefficient k
2 gh(t)").2h
i
" 7I
= 2 4 .
and the presence of lower order derivatives in the dif-
ferential equation. By using the differentiability of k and
the Schwarz inequality one can show that this latter sum is
This sum is over the region of dependence ofthe difference
bounded from aboveby
equation, and as h 4 0 this covers the entire x-axis.
It can be shown easily that g h ( f ) converges uniformly
to the solution g(x) of the differential equation

232 g ' b ) = -g(x)x/t where the constant C is independent of the function u,

COURANT, FRIEDRICHS AND LEWY

the mesh width h, and, in a certain neighborhood of the The bound givenby (27) whencombinedwith (25)
initial line, also independent of the point S. gives a bound on
Againwe canestimate an upperbound for h2 a! u2
byz7

from which, as in Section 3, one can prove the uniform

continuity of u.
where the same properties hold forC 1 and C , as are stated We apply the inequality (25) now,instead of to the
above for C . function u itself, to its first and second differencequotients,
Thus we obtain an inequality of the form w, which also satisfy difference equations whose second-
order terms are the same as those of (24). In the rest of the
terms there will appear lower order differences of u which
cannot be expressedin terms w ,but they will appear in the
aboveargument in the form of quadratic double sums
multiplied by h2. This is enough to let us reach the same
conclusions for the difference equation for w as we found
above for u. So we can conclude from this the uniform
continuity (equicontinuity) and boundedness of the func-
where D, for all points S and mesh widths h, is a fixed tion u and its first and second derivatives. Consequentlya
bound for the sums over the initial line. subsequence exists which converges uniformlyto the solu-
As vertices of our triangles we choose a sequence of tion of the initial value problem for the differential equa-
points So, S,, . , S, = S lying on a line parallel to the tion. Again from the uniqueness of the solution we find that
t-axis. By summing the correspondingsequence of in- the sequence of functions itself converges.
equalities (25) after multiplying by h we obtain the follow- In all of this the assumption must be made that the
ing inequality difference quotients up to third order involving values on
the two initial linesconverge to continuous limitfunc-
tions."

Section 8. The initial value problem for an arbitrary linear

hyperbolic differential equation of second order
We shall now show that the methods developed so far are
adequate for solving the initial valueproblem for an
arbitrary homogeneous linear
hyperbolic
differential
(26) equation of second order. It suffices to limit the discussion
to the case of three variables. The development can be
Nowifwe notice that one can express a difference u'
extended immediately to the case of more variables. It is
or u\ in terms of two differences u and a difference u\ or
easy to see that a transformation of variables can reduce
respectively u', then we see that the left-hand side of (26)
the most general problem of this type to the following:
is larger than the simpler form
a function u(x, y , t )is to be found which satisfies the dif-
ferential equation
+ 2bu,, +
u t i- (au,, cu,,)
with a suitable constant C4.
Then by confining the discussion to a sufficiently small
+ + + +
aut Pus YU, 6u = 0 , (28)
and which, together with its first derivative, assumes pre-
neighborhood, 0 5 t 5 nh = 6 of the initial line where 6
scribed values on the surface t = 0. The coefficientsin
is small enough so that
Eq. (28) are functions of the variables x , y , and t and
C4 - nhC, = C5 > 0, satisfy the condition

we find from (26), a > 0, c > 0, ac - b2 > 0.

We assume that the coefficients are three timesdif-
ferentiable with respect to x , y , and t, and that the initial
$ 8 This assumption and also the assumptions on the differentiability of the
coefficients of the differential equation, and further on the restriction to a
27 For proof one makes use of the inequality used in Footnote 25. sufficiently small region of the initial line can be weakened in special cases. 233

PARTIAL DIFFERENCE EQUATIONS

 stitute an “elementary octahedron” with vertices P a s ,Pa,
PI, P,, P,, P,.For each grid point lying in the interior of
1
G we replace the derivativesappearingin Eq. (30) by
e difference quotients over the elementary octahedron
about Po.
We replace
8
e e
5
utt by 21 +
( ~ a , - 2 ~ 0 u,)

4 0 L
uz, by
1
(uz +4- 2 ~ 0

e e e - x

2 ~ 0+ u3)
1
uwu by ( ~ -
1

7
e
6
0
uz, + 2uzy + u,, by
4
~5;” (ug + us)
- 2 ~ 0

uz, - 2~2.+ u,, by

4
i%2 (uj 2 ~ 0+ - 117).

3
e The firstderivativesin (30) are replacedby the cor-
Figure 11 responding difference quotients in the elementary octahe-
dron. The coefficients of the difference equation are given
the values assumed by the coefficients of the differential
values u and u, are respectively four and three times con- equation at the point Po.
tinuously differentiable with respectto x and y. On the initial planes t = 0 and t = h we assume that the
The coordinates x and y can be drawn from a given values of the function are assigned in such a way that as
point on the initial plane in such a way that b = 0 there. the mesh size approaches zero for fixed k , the function
Then of course in a certain neighborhood of this point approaches the prescribed initial value, and the difference
the conditions quotients over the two planes up through differences of
fourth order converge uniformlyto the prescribed deriva-
u - Ibl > 0, c - Ib[ >0
tives.
hold. We restrict our investigation to this neighborhood. The solution of the difference equation L(u) = 0 at a
We can choose a three times continuously differentiable point is uniquely determined by the values on the two base
function d > 0 so that surfaces of the pyramid of determination passing through
the point.
To prove convergence we construct a sum
:::/>s>o (29)
h3 2 L(u)
d - Ibl
for some constant e. Then we put the differential equation over all the elementaryoctahedrons of the pyramid of
into the form determination, and we transform it by usingidentities
(7) and (8). This gives one space summation multiplied
utt - (a - d)um - (c - d)u,, by h3 and quadratic in the first difference quotients, and
- ik(d + b)(uzz + 2uzu + uug) also over a double surface a sum which is multiplied by
- %(d- b>(u,, - 2uzy + ugu) h2 and contains the squares of all the difference quotients

+ + + + 6~
aut Pus YU, = 0. (30)
of the type u, - uo, u, - u,, u, - us. In this ex-
pression according to (29) the coefficients are larger than
We now construct in the space a grid of points, t = Ih, some fixed positive constant in all those cases where the
x + y = mkh,x- y = nkl(l,m,n= ... - 1 , 0 , 1 , 2 . . . ) ratio l/k between the time and space mesh sizes is taken
and we replace Eq. (30) by a difference equation L(u) = 0 sufficiently small.
over this mesh. We do this by assigning to each point Po From here on one can proceed exactly as before (Sections
the following neighborhood: The point P a s or the point 7,4) and prove that the solution of the difference equation
P , which lies at a distance h or -h respectively along the converges to the solution of the differential equation.
t-axisfrom Po; also the points P l y P s which Lie in the
234 same (x, y)-planewith Po (seeFig. 11). Thesepointscon- (Submitted to Math. Ann. September I , 1927)

COURANT, FRIEDRICHS AND LEWY