Hopf Cole Brown

Hopf-Cole Transformation
Tai-Ping Liu
Academia Sinica, Taiwan

Stanford University
March 20, 2016

Brown University
Tai-Ping Liu Hopf-Cole Transformation

Hopf, Eberhard The partial differential equation

ut + uux = µuxx . Comm. Pure Appl. Math. 3, (1950),
201-230.
Julian D. Cole On a quasi-linear parabolic equation
occurring in aerodynamics. Quart. Appl. Math. 9, (1951),
225-236.
Hopf-Cole transformation:
ut + uux = κuxx Burgers equation,

2
⇒ Bt + (B2x ) = κBxx , Bx = u, Hamilton-Jacobi equation,
Introduce Hopf-Cole relation B(x, t) = −2κ log[φ(x, t)],
⇒ φt = κφxx , Heat equation.

Solution formula for initial value problem for Burgers equation:

)2 Ry
R∞ x−y − (x−y 1
− 2κ 0− u(z,0)dz dy
t e
4κt
−∞
u(x, t) = u(x, t, κ) = R ∞ − (x−y )2 − 1 R y u(z,0)dz .
−∞ e 4κt 2κ 0− dy

Burgers equation:
Bateman proposed it for considering shock profile:
Bateman, H. Some recent researches on the motion of
fluids, Monthly Weather Review 43, (1915), 163-170.
Burgers proposed it for the study of turbulence:
Burgers, J. M. Application of a model system to illustrate
some points of the statistical theory of free turbulence.
Nederl. Akad. Wetensch., Proc. 43, (1940), 2-12.
Cole derived the Burgers equation from gas dynamics:
∂w ∂w 4 ∂2w
+β = ν∗ 2 .
∂t ∂x 3 ∂x
”for w = excess of flow velocity over a sonic velocity, where
β = (γ + 1)/2, ν ∗ = the kinematic viscosity at sonic
condition”

Hopf-Cole Transformation:
Hopf: ”The reduction of (1) to the heat equation was known
to me since the end of 1946. However, it was not until 1949
that I became sufficiently acquainted with the recent
development of fluid dynamics to be convinced that a
theory of (1) could serve as an instructive introduction into
some of the mathematical problems involved.”
Friedrichs, K. O. Formation and decay of shock waves.
Communications on Appl. Math. 1, (1948). 211245.
Hopf was inspired by the works of Burgers on turbulence
and Friedrichs’ theory of N-waves.
Forsyth, A.R. Theory of Differential Equations, Vol. VI,
Cambridge University Press (1906), Page 102, Ex. 3.
The Hopf-Cole transformation is embedded in this exercise
in Forsyth’s book.

Hopf:
Solution formula for the inviscid Burgers equation
ut + (u 2 /2)x = 0 in the zero dissipation limit κ → 0+:
2 Ry
F (x, y , t) = (x−y)
2t + 0− u(z, 0)dz,
miny F (x, y , t) = F (ξ, t),
limκ→0+ u(x, t, κ) = u(ξ, 0).
Metastable states:
lim lim u(x, t, κ) 6= lim lim u(x, t, κ).

t→∞ κ→0+ κ→0+ t→∞
Modern theory of hyperbolic conservation laws.

Hopf:
b2
bt + ( )x = κbxx , b(x, 0) = Aδ(x), Burgers kernel
2
By Hopf-Cole transformation,
√ A x2
√κ (e 2κ − 1)e− 4κt
t
b(x, t; A) = √ R∞ A
.
π+ √x
(e 2κ − 1)e−y 2 dy
4κt
For initial data with finite mass, a solution of the Burgers

equation tends to Burgers kernel:
Z ∞ Z ∞
− 12
|u(x, t)−b(x, t; A)|dx = O(1)t , as t → ∞, A = u(x, 0)dx.
−∞ −∞

Hopf:
On the other hand, for inviscid Burgers equation, the solution
tends to N-waves:
− 12
R∞
−∞ |u(x,Rt) − N(x, t; p, q)| = O(1)t R ,
x ∞
p = minx −∞ u(x,
( 0)dx, qp= maxx x u(x, 0)dx, two time invariants
x
p
, for − −2pt < x < 2qt;
N(x, t; p, q) = t
0, otherwise.
lim lim u(x, t, κ) = N − waves, two time invariants;

t→∞ κ→0+
6= lim lim u(x, t, κ) one time invariant.

κ→0+ t→∞
N-waves represent metastable states for the Burgers solutions.

Outside of gas dynamics:
Miura, R. M. Korteweg-de Vries equation and
generalizations. I. A remarkable explicit nonlinear
transformation. J. Mathematical Phys. 9 (1968),
1202-1204.
Vt − 6VVx + Vxxx = 0, KdV ⇒ φt − 6φ2 φx + φxxx = 0, Modified

V = φ2 ± φx , Miura transformation.
”It is rare and surprising to find a transformation between
two simple nonlinear partial differential equations of
independent interest. One is reminded of the Hopf-Cole
transformation of quadratically nonlinear Burgers equation
into the heat conduction (diffusion) equation. A number of
investigators (including us) have attempted unsuccessfully
to find a similar simple linearizing transformation for the
KdV equation, but a complicated one will be given in VI.”
Outside of gas dynamics:
Kardar, M.; Parisi, G.; Zhang, Y.-C. Dynamic Scaling of
Growing Interfaces Phys. Rev. Lett. Vol. 56, Iss. 9 -3
March (1986), 889-892.
Evolution of the profile of a growing interface: the
Hamilton-Jacobi equation plus a noise η:
∂h λ
= ν∇2 h + (∇h)2 + η(x, t).
∂t 2
Hopf-Cole transform ⇒ linear equation with a source:
(
∂W 2 λ
∂t = ν∇ W + 2ν η(x, t)W ,
λ
W (x, t) = e 2ν h(x,t) .
New scaling, distinct from deterministic dissipation
equations comes up due to the noise.
”We thus have an intriguing connection between evolutions
of a hydrodynamic and a growth pattern!”
Scalar convex hyperbolic conservation law, f 00 (u) 6= 0,
ut +f (u)x = 0 ⇒ λt + λλx = 0, inviscid Burgers , λ = f 0 (u).
System of hyperbolic conservation laws, e.g. Euler

equations in gas dynamics
u t + f (u)x = 0, u ∈ Rn , f 0 (u)r j (u) = λj (u)r j (u),

l j (u)f 0 (u) = λj (u)l j (u), l j (u) · r k (u) = δjk , j, k = 1, 2, · · · , n.
”Convexity”: ∇u λj (u) · r j (u) 6= 0 ”genuine nonlinear” field,

e.g. acoustic waves.
j-simple waves: u(x, t) moves along integral curve of r j (u).
λt + λλx = 0, λ(x, t) = λj (u(x, t)) ⇒ u t + f (u)x = 0.

Viscous conservation laws, e.g. Compressible

Navier-Stokes equations
u t + f (u)x = (B(u, ν)u x )x .
Dissipation parameters, e.g. ν = (µ, κ) viscosity and heat

conductivity.
The Burgers equation is used for construction of
approximate j-simple waves for each genuinely nonlinear
field
λt + λλx = κλxx , λ(x, t) = λj (u(x, t)).
Burgers dissipation parameter κ is the diagonal element of
the viscosity matrix B in the characteristic coordinates of
the hyperbolic part:
κ = l j (u)B(u, ν)r j (u).

u t + f (u)x = 0 hyperbolic conservation laws

Solutions of finite mass tends to N-waves at the rate of
t −1/4 in L1 (x) as consequence of pointwise estimate.
Liu, T.-P. Pointwise convergence to N-waves for solutions
of hyperbolic conservation laws. Bull. Inst. Math. Acad.
Sinica 15, (1987), no. 1, 1-17.
u t + f (u)x = (B(u, ν)u x )x , viscous conservation laws.
Solutions of finite mass tends to Burgers and heat kernels
also at the rate of t −1/4 in L1 (x) and as consequence of
pointwise estimate..
Liu, T.-P.; Zeng, Y. Large time behavior of solutions for
general quasilinear hyperbolic-parabolic systems of
conservation laws. Mem. Amer. Math. Soc. 125 (1997),
no. 599, viii+120 pp.
Open problem: Metastability.

Hopf-Cole transformation is used for finding exact

expression of Burgers Nonlinear waves.
The Burgers nonlinear waves is used for construction of
approximate nonlinear waves for system of conservation
laws.
The linearized Hopf-Cole transformation is used for the
explicit construction of Green’s function for Burgers
equation linearized around a nonlinear wave.
The construction is Green’s function for systems is based
on the Burgers Green’s function.
This is essential for the study of shock, initial layers for
system of conservation laws.

Burgers shock formation, λ0 > 0, using Hopf-Cole:

(uS )t + uS (u
 (S )x = κ(bS )xx ,
λ0 , for x < 0,
uS (x, 0) =

−λ0 , for x > 0,
λ0 x
Erfc( −x−λ
√ 0 t ) − e−
4κt
κ Erfc( x−λ
√ 0t )
4κt
us (x, t) = −λ0 λ0 x .
Erfc( −x−λ
√ 0 t ) + e−
4κt
κ Erfc( x−λ
√ 0t )
4κt
The thickness T0 of the initial layer to form Burgers shock profile
√
bS , the time when the error function Erfc approaches π,
λ0 x
bS (x) = lim uS (x, t) = −λ0 tanh( ).
t→∞ 2κ
λ T κ
√ 0 0 = O(1), or T0 = O(1) .
4κT0 (λ0 )2
Burgers rarefaction wave
(hR )2

(hR )t + ( 2( )x = 0,

−λ0 , for x < 0,
hR (x, 0) =

λ0 , for x > 0;
λ0 x λ0 x
e 2κ Erfc( −x+λ
√ 0 t ) − e− 2κ Erfc( x+λ
4κt
√ 0t )
4κt
bR (x, t) = λ0 λ0 x λ0 x .
e 2κ Erfc( −x+λ
√ 0 t ) + e− 2κ Erfc( x+λ
4κt
√ 0t )
4κt
Within the hyperbolic
√ rarefaction
√ wave region,
x ∈ (−λ0 t + M 4κt, λ0 t − M 4κt), and after initial layer time,
the difference of the Burgers rarefaction wave bR and the
inviscid rarefaction wave x/t:
x 1 1 κ
bR (x, t) − = O(1)[ + ], t > O(1) .
t |x − λ0 t| |x + λ0 t| (λ0 )2

Linear Hopf-Cole transformation
Burgers equation linearized around a given solution ū(x, t):
2
ūt + ( ū2 )x = κūxx
Ūx = ū, Ū(x, t) = −2κ log[φ̄(x, t)],
vt + (ūv )x = κvxx , Burgers equation linearized around ū(x, t).
Linearize the Hopf-Cole relation V + Ū = −2κ log[φ̄ + ζ]:

ζ
V = −2κ , linearized Hopf-Cole relation, ⇒
φ̄
ζt = κζxx and the solution representation to the solution of the
linearized Burgers equation:
R∞ (x−y )2
√1 −
−∞ [ 4πκt e φ̄(y , 0)V (y, 0)]dy
4κt
∂
v (x, t) = .
∂x φ̄(x, t)

Green’s function for shock profile
Green’s function GS (x, t; x0 , t − t0 ) for the shock profile bS (x)
using linearized Hopf-Cole:
(GS )t + bS (GS )x = κ(GS )xx , GS (x, 0) = δ(x − x0 );

λ0 x0 λ0 x0
1 −
(x−x0 )2 e 2κ + e− 2κ (λ0 )2 t
GS (x, t; x0 ) = √ e 4κt
λ0 x λ0 x . e 4κ
4πκt e− 2κ + e− 2κ
The Green’s function as weighted combination of the heat
kernel with speeds ±λ0 :

H(x + λ0 t, t), for x > 0, x0 > 0;

λ |x |  λ |x|
− 0κ 0  − 0κ
1+e e H(x + λ0 t, t), for x < 0, x0 > 0;
GS (x, t; x0 ) = λ0 |x|
1 + e− κ  
H(x − λ0 t, t), for x < 0, x0 < 0;
 − λ0 |x|

e κ H(x − λ0 t, t), for x > 0, x0 < 0.

Green’s function for rarefaction waves:
[x−x0 −(λ0 (t−t0 )]2 Erfc( −x√0 +λ0 t0 ) + Erfc( x√

0 +λ0 t0
)
− 4κt0 4κt0
GR (x, t; x0 , t0 ) = e 4κ(t−t0 )
−x+λ
.
Erfc( √4κt0 t ) + Erfc( √4κt0 t )
x+λ
The propagation of waves is around the zero line of the

exponential, along inviscid characteristics x = x0 + λ0 (t − t0 ).
The essential support of the information is in the region given
by
s
t(x0 − t0 x/t)2 t t
= O(1), or |x − x0 | = O(1) κ(t − t0 ) ,
4κt0 (t − t0 ) t0 t0
√
varying from sub-linear, dissipatve scale t − t0 for t − t0 small,
to linear, hyperbolic scale t for t − t0 large.
Open problem: Riemann problem
u t + f (u)x(= (B(u, ν)u x )x ,
u l , x < 0,
u(x, 0) =
u r , x > 0.
t → ∞ ⇒ ν → 0, zero dissipation limit,

u t + f (u)x = (B(u, ν)u x )x ⇒ u t + f (u)x = 0.
Hoff, D.; Liu, T.-P. The inviscid limit for the Navier-Stokes
equations of compressible, isentropic flow with shock data.
Indiana Univ. Math. J. 38 (1989), no. 4, 861-915. single
shock, zero mass, using Hopf-Cole for initial layer
Bianchini, S.; Bressan, A. Vanishing viscosity solutions of
nonlinear hyperbolic systems. Ann. of Math. (2) 161
(2005), no. 1, 223-342. general initial values, artificial
viscosity, generalized Glimm.
Boltzmann equation
1
∂t f(x, t, ξ) + ξ · ∂x f(x, t, ξ) = Q(f, f)(x, t, ξ)
k
Open problem: Riemann problem
(
Ml (ξ), x < 0,
f(x, t, ξ) =
Mr (ξ), x < 0.
t → ∞ ⇒ k → 0, zero mean free path,

Boltzmann solutions ⇒ Euler solutions,
Yu, S.-H. Initial and shock layers for Boltzmann equation.

Arch. Ration. Mech. Anal. 211 (2014), no. 1, 1-60. single
shock, nonzero mass, use Boltzmann Green’s function,
Hopf-Cole, etc.

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Hopf-Cole Transformation

Academia Sinica, Taiwan

March 20, 2016

Tai-Ping Liu Hopf-Cole Transformation

Hopf, Eberhard The partial differential equation

ut + uux = κuxx Burgers equation,

Tai-Ping Liu Hopf-Cole Transformation

Solution formula for initial value problem for Burgers equation:

Tai-Ping Liu Hopf-Cole Transformation

Tai-Ping Liu Hopf-Cole Transformation

Tai-Ping Liu Hopf-Cole Transformation

lim lim u(x, t, κ) 6= lim lim u(x, t, κ).

Modern theory of hyperbolic conservation laws.

Tai-Ping Liu Hopf-Cole Transformation

For initial data with finite mass, a solution of the Burgers

Tai-Ping Liu Hopf-Cole Transformation

lim lim u(x, t, κ) = N − waves, two time invariants;

6= lim lim u(x, t, κ) one time invariant.

N-waves represent metastable states for the Burgers solutions.

Tai-Ping Liu Hopf-Cole Transformation

Vt − 6VVx + Vxxx = 0, KdV ⇒ φt − 6φ2 φx + φxxx = 0, Modified

Scalar convex hyperbolic conservation law, f 00 (u) 6= 0,

ut +f (u)x = 0 ⇒ λt + λλx = 0, inviscid Burgers , λ = f 0 (u).

System of hyperbolic conservation laws, e.g. Euler

u t + f (u)x = 0, u ∈ Rn , f 0 (u)r j (u) = λj (u)r j (u),

”Convexity”: ∇u λj (u) · r j (u) 6= 0 ”genuine nonlinear” field,

λt + λλx = 0, λ(x, t) = λj (u(x, t)) ⇒ u t + f (u)x = 0.

Tai-Ping Liu Hopf-Cole Transformation

Viscous conservation laws, e.g. Compressible

u t + f (u)x = (B(u, ν)u x )x .

Dissipation parameters, e.g. ν = (µ, κ) viscosity and heat

κ = l j (u)B(u, ν)r j (u).

Tai-Ping Liu Hopf-Cole Transformation

u t + f (u)x = 0 hyperbolic conservation laws

Tai-Ping Liu Hopf-Cole Transformation

Hopf-Cole transformation is used for finding exact

Tai-Ping Liu Hopf-Cole Transformation

Tai-Ping Liu Hopf-Cole Transformation

Linearize the Hopf-Cole relation V + Ū = −2κ log[φ̄ + ζ]:

Tai-Ping Liu Hopf-Cole Transformation

(GS )t + bS (GS )x = κ(GS )xx , GS (x, 0) = δ(x − x0 );

Tai-Ping Liu Hopf-Cole Transformation

[x−x0 −(λ0 (t−t0 )]2 Erfc( −x√0 +λ0 t0 ) + Erfc( x√

The propagation of waves is around the zero line of the

t → ∞ ⇒ ν → 0, zero dissipation limit,

t → ∞ ⇒ k → 0, zero mean free path,

Yu, S.-H. Initial and shock layers for Boltzmann equation.

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