1 What are PDE?

1.1 Basic definitions and the general philosophy of the course

Since the main prerequisite for this course is a basic course of Ordinary Differential Equations (ODE),
and everyone in class is accustomed with the idea to solve an equation where the unknown is some
function, I will start directly with

Definition 1.1. Partial Differential Equation (abbreviated in the following as PDE in both singular
and plural usage) is an equation for an unknown function of two or more independent variables that
involves partial derivatives.

Since there is some vagueness in the given definition, I can give a mathematically more satisfactory
definition as

Definition 1.2. A PDE is an equation of the form

F (x, y, . . . , u, ux , uy , . . . , uxx , uxy , uyy , . . .) = 0

for the given function F and the unknown function u of several variables x, y, . . ..

In Definition 1.2 I used the notation

∂u ∂2u
ux = , uxx = ,...
∂x ∂x2
for the partial derivatives. Sometimes other notations are used, in particular

∂u ∂2u
∂x u = , ∂xx u = ,...
∂x ∂x2
but I will usually stick to the notation with subscripts.

Definition 1.3. The order of PDE is the order of the highest derivative in it.

Example 1.4. Here is an example of a second order PDE:

ut = uxx + uyy + u,

where, as should be clear from the equation itself, the unknown function u is a function of three
independent variables (t, x, y). In the following I will save variable t to denote almost exclusively time
and x, y, z to denote the Cartesian coordinates.

It is nice to have a general and mathematically rigorous Definition 1.2, however, already at this
point I would like to state in a slightly incorrect and provocative form that

There exists no general mathematical theory of partial differential equations.

Math 483/683: Partial Differential Equations by Artem Novozhilov
e-mail: [email protected]. Spring 2023

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Moreover, the historical trend for studying various problems involving PDE shows that particular
specific examples of PDE, motivated by physical (geometrical, biological, etc) situations, are the
driving force for the development of abstract mathematical theories, and this is how I would like to
proceed in my course: From specific examples to necessary mathematical tools to the properties of
the solutions. There are a lot of good reasons picking such modus operandi, but instead of giving my
own arguments I will present two quotations.
The first one is from Preface to the first volume of Methods of mathematical physics by Courant
and Hilbert:

Since the seventeenth century, physical intuition has served as a vital source for math-
ematical problems and methods. Recent trends and fashions have, however, weakened
the connection between mathematics and physics; mathematicians, turning away from the
roots of mathematics in intuition, have concentrated on refinement and emphasized the
postulational side of mathematics, and at times have overlooked the unity of their sci-
ence with physics and other fields. In many cases, physicists have ceased to appreciate
the attitudes of mathematicians. This rift is unquestionably a serious threat to science
as a whole; the broad stream of scientific development may split into smaller and smaller
rivulets and dry out. It seems therefore important to direct our efforts toward reuniting
divergent trends by clarifying the common features and interconnections of many distinct
and diverse scientific facts. Only thus can the student attain some mastery of the material
and the basis be prepared for further organic development of research.

The second quotation is from Preface to Lectures on Partial Differential Equations by Vladimir
Arnold:

In the mid-twentieth century the theory of partial differential equations was considered the
summit of mathematics, both because of the difficulty and significance of the problems it
solved and because it came into existence later than most areas of mathematics.
Nowadays many are inclined to look disparagingly at this remarkable area of mathematics
as an old-fashioned art of juggling inequalities or as a testing ground for applications of
functional analysis. Courses in this subject have even disappeared from the obligatory
program of many universities [. . .] The cause of this degeneration of an important general
mathematical theory into an endless stream of papers bearing titles like “On a property
of a solution of a boundary-value problem for an equation” is most likely the attempt to
create a unified, all-encompassing, superabstract “theory of everything.”
The principal source of partial differential equations is found in the continuous-medium
models of mathematical and theoretical physics. Attempts to extend the remarkable
achievements of mathematical physics to systems that match its models only formally
lead to complicated theories that are difficult to visualize as a whole [. . .]
At the same time, general physical principles and also general concepts such as energy, the
variational principle, Huygens’ principle, the Lagrangian, the Legendre transformation, the
Hamiltonian, eigenvalues and eigenfunctions, wave-particle duality, dispersion relations,
and fundamental solutions interact elegantly in numerous highly important problems of
mathematical physics. The study of these problems motivated the development of large
areas of mathematics such as the theory of Fourier series and integrals, functional analysis,

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 algebraic geometry, symplectic and contact topology, the theory of asymptotics of inte-
grals, microlocal analysis, the index theory of (pseudo-)differential operators, and so forth.
Familiarity with these fundamental mathematical ideas is, in my view, absolutely essential
for every working mathematician. The exclusion of them from the university mathemat-
ical curriculum, which has occurred and continues to occur in many Western universities
under the influence of the axiomaticist/scholastics (who know nothing about applications
and have no desire to know anything except the “abstract nonsense” of the algebraists)
seems to me to be an extremely dangerous consequence of Bourbakization of both mathe-
matics and its teaching. The effort to destroy this unnecessary scholastic pseudoscience is a
natural and proper reaction of society (including scientific society) to the irresponsible and
self-destructive aggressiveness of the “superpure” mathematicians educated in the spirit of
Hardy and Bourbaki.

Following the spirit of these two citations (one is from 1924 and another is from 2004) in these
notes I will try to use the physical intuition and concentrate on the specific examples rather than on
the general theory as much as possible.
Now let me solve a few simple PDE to get an idea what complications we can meet in the future.

Example 1.5. I assume that the function u of two independent variables (x, y) satisfies the PDE

ux = 0.

How can I solve it? By a simple integration, of course:

∫
u(x, y) = 0 dx = f (y),

where f is an arbitrary function of variable y. Hence the first conclusion: while the general solutions
to ODE usually depend on the arbitrary constants (the number of which usually coincides with the
order of the equations), for PDE the general solution depends on the arbitrary functions. This fact
alone should convince you in a bigger complexity of PDE.

Next important (and very non-obvious) moment here is whether in the previous example I can
take any function f for my general solution. Jumping way ahead, I would like to state that “What
does it mean to solve a PDE?” is a very difficult question. This difficulty notwithstanding, most of
the time we will be contend to live with a much easier specific concept which is called the classical
solution:

Definition 1.6. The function u : D −→ R is called a classical solution to a k-th order PDE if it
satisfies this equation at every point of its definition and belongs to the set C (k) (D; R).

Recall that the notation C (k) (U ; V ) means the set of functions u : U −→ V whose all k-th or-
der derivatives are continuous (it is said that the function u is k times continuously differentiable).
Therefore (returning to Example 1.5) my general solution u(x, y) = f (y) will be a classical solution to
ux = 0 only if f ∈ C (1) (R; R), which, for instance, implies that u(x, y) = y is a classical solution and
u(x, y) = |y| is not because function y 7→ |y| is not differentiable at the point y = 0 and hence not in
class C (1) .

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Exercise 1. Can you find the general classical solution1 to
uxy = 0?
The same question about the differential equations
uxx = 0, uxx + u = 0,
where I assume that function u is a function of two variables, say x and y.
Example 1.7. Function
1
u(t, x) = t + x2
2
is a classical solution to
ut = uxx ,
because u ∈ C (2) (R2 ; R)
and satisfies the equation (check it). Q: Can you come up with other classical
solutions to this equation?2
The four basic equations we will be studying in this course are:
• One-dimensional transport equation:
ut + cux = 0.
Here c ∈ R is a given constant.
• Wave equation:
utt = ∆u.
Recall that ∆ is called the Laplace operator and is given by (∇ is the del operator, in this
particular case ∇ = (∂x , ∂y , ∂z ))
∆u = div grad u = ∇2 u,
in particular in the Cartesian coordinates it is written for u : R3 −→ R as
∆u = uxx + uyy + uzz ,
it should be clear how to write the Laplace operator for the functions defined on the plane and
on the line.
• Heat or diffusion equation:
ut = ∆u.

• Laplace equation:
∆u = 0.

The first one is a linear first order equation and the other three are linear second order equations.
It is simply staggering how much modern mathematics was developed in the attempts to solve these
equations (or their close relatives). We will see only a tiny part of this.
1
Solutions to the exercises the student finds in these notes are given at the end of each section. I encourage you to
try to solve these exercises first on your own.
2
The letter Q throughout the notes stand for a simple question, which the student should try to answer before moving
forward.

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1.2 More examples
Here are more examples of PDE that appear in various applications:

• Linear transport equation:

∑
k
ut + bi uxi = 0, bi ∈ R.
i=1

• Helmholtz’s equation:
∆u = λu, λ ∈ R.

• Schrödinger’s equation:
iut + ∆u = 0.
Here i is the imaginary unit, i2 = −1.

• Telegraph equation:
utt + 2dut − uxx = 0, d > 0.

• Beam equation:
utt + uxxxx = 0.
All the examples above are linear. Here are some nonlinear examples:

• Hopf ’s equation:
ut + uux = 0.

• The eikonal equation (from German word for image):

(ux )2 + (uy )2 = 1.

• Hamilton–Jacobi equation:
ut + H(ux , x) = 0,
where H is a given nonlinear function, which is called the Hamiltonian.

• Korteweg–de Vries (KdV) equation (Q: Have you heard the word “soliton”?):

ut + uux + uxxx = 0.

• Reaction–diffusion equation:
ut = f (u) + ∆u,
where f is a given nonlinear function.
It is also often necessary and important to study systems of PDE:

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 • Maxwell’s equations of classical electrodynamics:

E t = curl B,
B t = − curl E,
div B = div E = 0.

Here E = (E1 , E2 , E3 ), B = (B1 , B2 , B3 ),

∂F1 ∂F2 ∂F3
div F = ∇ · F = + + ,
∂x ∂y ∂z
and
i j k
curl F = ∇ × F = ∂x ∂y ∂z ,
F1 F2 F3
for the vector field F = (F1 , F2 , F3 ).

• Navier–Stokes equations of hydrodynamics:

ut + u · ∇u − ∆u = ∇p,
div u = 0,

where u = (u1 , u2 , u3 ). Here there are four nonlinear equations for four unknown functions
u1 , u2 , u3 , p. There are still a lot of open questions about this system, most famous of which is
the existence of global solutions. This is one of the six unsolved “million” millennium problems
by Clay Institute.
Exercise 2. Consider a convex closed curve in the plane with coordinates (x, y) (convex means that
if you connect any pair of points on this curve with a straight line, the interval between these points
will be inside the curve). Outside the region bounded by the curve consider function u whose value
at each point is the distance from that point to the given curve. This function is smooth. Convince
yourself that this function satisfies the eikonal equation. (I do not require a rigorous proof, a heuristic
but plausible reasoning is sufficient.)
Exercise 3. Find all solutions r 7→ v(r) of√the two-dimensional Laplace equation uxx + uyy = 0 that
depend only on the radial coordinate r = x2 + y 2 .

1.3 Test yourself

These notes will contain a number of sections titled “Test yourself.” In these sections the students are
asked to answer a number of very basic questions related to the studied material. If you have issues
with answering any of these questions, it indicates that more work and time are required to master
the material.
1.1. Give a definition of the gradient ∇u = grad u of a function u. Give a definition of level sets of
function u. What is the most important property of the gradient? (It may be useful to consider
an example, say u(x, y) = x2 + y 2 , and see its level sets, gradient at a certain point, and how
they are related).

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 1.2. The two most basic ODEs are
u′ = u and u′′ + u = 0.
Write down the general solutions to these equations.

1.3. Find the general solution of the Laplace equation for function u that depends only on one spatial
variable x. (Note that in this case the Laplace equation is an ODE.)

1.4. Find all the solutions to the two dimensional Laplace equation uxx + uyy = 0 of the form

u(x, y) = Ax2 + Bxy + Cy 2 .

(You are asked to determine for which A, B, C this particular function solves the equation.)
Is this a classical solution?

1.5. Can you define what we call “linear” equation? (I will give a precise definition later in the
course, here I am asking you to try to explain precisely why some equations are called linear and
some are called nonlinear). Give an example of a linear PDE, give an example of a nonlinear
PDE (without looking through these notes).

1.4 Solutions to the exercises

Exercise 1. Denoting v(x, y) = ux (x, y) I have that

vy = 0,

which has the general solution v(x, y) = f (x), for an arbitrary C (1) function f . Now I have

ux = f (x),

which integrates to u(x, y) = F (x)+G(y), where F ′ = f and G is an arbitrary C (2) function of variable
x. Finally,
u(x, y) = F (x) + G(y), F, G ∈ C (2) (R; R).
It is very advisable for a student to solve at this point uxx = 0 and uxx + u = 0 for u : R2 −→ R,
I will not supply a solution here. 

Exercise 2. In this exercise I do not require a rigorous proof. Recall that ∇u at a given point points in
the direction of the fastest increase of u and moreover the length (magnitude)
√ of ∇u, which I denote as
∥∇u∥, gives the rate of this increase (on the Euclidian plane ∥x∥ = x1 + x2 , for x = (x1 , x2 ) ∈ R2 ).
2 2

These facts are usually given justifications in Calc III. Now (a good idea is to make a sketch at this
point) it should be clear geometrically that if a is a vector along the line connecting the point (x, y)
with the closest point on the curve in the question, then ∇u(x, y) points in the direction opposite to
a because of the convexity of the curve. Let (x̃, ỹ) be a point on the same line further away from the
curve, then the rate of increase of u at (x, y) is by definition

|u(x, y) − u(x̃, ỹ)|

,
∥(x, y) − (x̃, ỹ)∥

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when (x̃, ỹ) → (x, y). Since u is the distance, then the last ratio is of course simply 1. To finish this
heuristic reasoning, the student should recognize that the eikonal equation is nothing else other than

∥∇u∥ = 1

in my notation. 

Exercise 3. It it possible to approach this exercise from different perspectives. For the first solution I
will assume that the students have some experience working with the polar coordinates.
I start by introducing the polar coordinates

x = r cos θ, y = r sin θ,

or
y
r2 = x2 + y 2 , tan θ =
.
x
The goal is to rewrite the equation for u in terms of partial derivatives of v, where

u(x, y) = u(r cos θ, r sin θ) = v(r, θ).

The fact that I only look for solutions that do not depend on θ simplifies the computations since
∂θ v = 0. For instance, by the multivariable chain rule,
∂u ∂v ∂v ∂r ∂v ∂θ ∂v
= = + = cos θ,
∂x ∂x ∂r ∂x ∂θ ∂x ∂r
because ∂θ r = cos θ. Next,

∂2u ∂ 1
2
= (vr cos θ) = (vr cos θ)r rx + (vr cos θ)θ θx = vrr cos2 θ + vr sin2 θ.
∂x ∂x r
Similarly,
∂2u 1
2
= vrr sin2 θ + vr cos2 θ,
∂y r
or finally
1
uxx + uyy = vrr + vr = 0.
r
Now I note that, after multiplying by r, I can rewrite my equation for unknown v as

(rvr )r = 0,

hence
A
vr (r) = ,
r
or, finally,
v(r) = A log r + B,
where A, B are arbitrary constants. In words, all radially symmetric solutions to the two-dimensional
Laplace equation are constants and, if I exclude the point r = 0, multiples of natural logarithm.

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 There is a more fundamental approach to this exercise that works in any number of dimensions.
To practice the multivariate chain rule, I will apply this approach to the general Laplace equation
∆u = 0 in arbitrary n dimensions.
I am looking for the solution to ∆u = 0 in the form
√
u(x1 , . . . , xn ) = v(r), r = x21 + . . . + x2n .

I have
∂u ∂v ∂r xj
= = v ′ (r) = v ′ (r) ,
∂xj ∂xj ∂xj r
since
∂r xj
=√ 2 .
∂xj x1 + . . . + x2n
Similarly, ( ′ )
∂2u ∂ ( ′ xj ) ∂ v (r) f ′ (r)
= v (r) = xj + .
∂x2j ∂xj r ∂xj r r
Since ( )
∂ v ′ (r) v ′′ (r)r − v ′ (r) ∂r v ′′ (r)r − v ′ (r) xj
= = ,
∂xj r r2 ∂xj r2 r
whence
∂2u v ′′ (r)r − v ′ (r) 2 v ′ (r)
= xj + .
∂x2j r3 r
Finally, recalling that ∆u = ux1 x1 + . . . + uxn xn , I get

v ′′ (r)r − v ′ (r) 2 v ′ (r) n−1 ′

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r + n = v ′′ (r) + v (r) = 0,
r r r
which is of course coincides with my first result for n = 2. I will leave it as a (recommended) exercise
to find general solution to this differential equation for arbitrary n.