2 The linear transport equation

2.1 Derivation
Let u denote the density (i.e., mass per volume unit) of some substance and I assume that the geometry
of the problem is well approximated by a line (think about some pollutant in a river or cars on a road)
with the coordinate x. Therefore I deal with a spatially one-dimensional problem, and my density
at the point x at time t is given by u(t, x). I assume additionally that the total amount of u stays
constant (no sources or sinks) and calculate the change of the substance in some arbitrary interval
(x1 , x2 ). First, at time t I will have that the total amount of u in (x1 , x2 ) is
∫ x2
u(t, x)dx,
x1
and its change at time t is, assuming that u is smooth enough,
∫ ∫ x2
d x2
u(t, x)dx = ut (t, x)dx.
dt x1 x1
At the same time the same change is given by
q(t, x1 ) − q(t, x2 ),
where q(t, x) is the flux of the same substance, i.e., the change of this substance per time unit at the
point x. Basically, q(t, x1 ) tells me how much substance enters the interval (x1 , x2 ) at time t at the
left boundary and q(t, x2 ) tells me how much substance leaves (x1 , x2 ) at the right boundary, hence
the choice of the signs. By the conservation law
∫ x2 ∫ x2
ut (t, x)dx = q(t, x1 ) − q(t, x2 ) = − qx (t, x)dx,
x1 x1
where the last equality holds by the fundamental theorem of calculus. Finally, since my interval is
arbitrary, I conclude that my substance must satisfy the equation
ut + qx = 0.
To arrive to the final equation I must decide on the connection between u and q. In the simplest case
q(t, x) = cu(t, x)
for some constant c I end up with the linear one-dimensional transport equation
ut + cux = 0. (2.1)
Keeping in mind the physical interpretation of (2.1), I will need also some initial condition
u(0, x) = g(x), (2.2)
for some given function g (initial density) and, if my system is not spatially infinite, some boundary
conditions (see below). At this point I assume that it is a good approximation to let x ∈ (−∞, ∞)
and hence no need for boundary conditions. My next goal is to show that I can always find a solution
to the problem (2.1)–(2.2) and, even more importantly, that this solution is physically relevant (the
problem is well posed ).
Math 483/683: Partial Differential Equations by Artem Novozhilov
e-mail: [email protected]. Spring 2023

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2.2 Solving the one-dimensional transport equation. Traveling waves
The key point to “guess” a solution to (2.1) is to realize that (2.1) actually gives a lot of geometric
information about the possible solution u, which in the considered case of two variables (t, x) is a
surface in three dimensional space. Note that the gradient of u is given by

grad u = ∇u = (ut , ux ),

and hence equation (2.1) can be written equivalently as

γ · ∇u = 0, γ = (1, c).

Here dot denotes the usual dot product between two vectors. We know that if the dot product is zero
hence these two vectors are orthogonal:
γ ⊥ ∇u.
At the same time, the gradient of the function points in the direction of the fastest increase and, hence,
perpendicular to the level sets u(t, x) = const, which are curves on the plane (t, x). Finally, I conclude
that γ is parallel to the level sets u(t, x) = const, therefore the level sets are the straight lines with
the direction vector γ. I can rephrase the last sentence as the sought function u is constant along any
straight line with the direction vector γ. All such straight lines can be written as x = ct + ξ, where
ξ is some constant. Now I claim that this geometric interpretation I discussed is enough to find the
solution to our problem. Namely, since I know that u is constant along x = ct + ξ then the value of u
at an arbitrary point (t∗ , x∗ ) is the same along the line x = ct + x∗ − ct∗ . At the initial time t = 0 I
will get the unique point x = x∗ − ct∗ , and the value of u(t∗ , x∗ ) must be equal to g(x) = g(x∗ − ct∗ ).
Therefore, I found, dropping the asterisks, that the unique solution to the problem (2.1)–(2.2) is

u(t, x) = g(x − ct).

I am aware that for some people the geometric arguments I presented are not very convincing (but
please see the figures below) therefore I will present a totally algebraic argument, which also will allow
me to find a general solution to the linear transport equation. The key idea is that I should try to
consider (2.1) in the new coordinates (which I “guessed” from the geometry of the equation)

τ = t, ξ = x − ct,

(note that in many cases t is used instead of τ , but I would like to emphasize that my τ and ξ are new
coordinates and do not confuse them with old t and x). This change of variables is clearly invertible.
I have
u(t, x) = u(τ, ct + ξ) = v(τ, ξ) = v(t, x − ct).
Now I can use the chain rule. To wit,
∂u ∂v ∂v ∂τ ∂v ∂ξ ∂v ∂v
(t, x) = (t, x − ct) = (τ, ξ) + (τ, ξ) = (τ, ξ) − c (τ, ξ).
∂t ∂t ∂τ ∂t ∂ξ ∂t ∂τ ∂ξ
Similarly,
∂u ∂v
(t, x) = (τ, ξ).
∂x ∂ξ

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After plugging the found expressions into (2.1) I get
vτ − cvξ + cvξ = 0 =⇒ vτ = 0,
which we already solved in Lecture 1. Therefore,
v(τ, ξ) = F (ξ),
and hence, returning to the original coordinates,
u(t, x) = F (x − ct),
where F is an arbitrary C (1) function (recall that I am looking for a classical solution). This is the
general solution to equation (2.1).
To use the initial condition (2.2) I take t = 0 and get, as expected, that F (x) = g(x) hence F = g.
Summarizing,
Theorem 2.1. Problem (2.1) has the general solution
u(t, x) = F (x − ct)
for an arbitrary F ∈ C (1) (R; R) function.
The initial value problem (2.1), (2.2) with g ∈ C (1) has a unique classical solution
u(t, x) = g(x − ct).
Theorem 2.1 is an existence and uniqueness theorem for the initial value problem for the linear
one dimensional transport equation.
The straight lines x = ct + ξ are very important and called the characteristics. Hence we now
know that the solutions to the transport equation are constant along the characteristics.
What is the geometric meaning of the function of the form (x, t) 7→ g(x − ct)? Take, e.g., c > 0
then for fixed time moments t0 = 0, t1 > t0 , t2 > t1 , . . . I will get the same graph of g only shifted
by 0, ct1 , ct2 , . . . units to the right. What I observe is a traveling wave moving from left to right with
the speed c. If c < 0 then my wave will travel with the speed |c| from right to left. This geometric
picture should explain the title transport equation, since, according to the analysis above, the equation
describes the transportation of the substance u from the point (0, ξ) to some other point (t, x) along
the characteristic x = ct + ξ.
Example 2.2. Here is a simple graphical illustration of solutions to the problem
ut + ux = 0,
with the initial condition
u(0, x) = e−x .
2

We have that the solution is u(t, x) = e−(x−t) , whose graphs at different time moments are given in
2

Fig. 1.
In Fig. 2 one can see the same solution in the form of full three dimensional surface (the left panel)
and a contour plot (the right panel), on which the level sets are represented.
Finally, I can put everything together in the same figure (Fig. 3), where you can see solutions at
different time moments (bold curves), the three dimensional surface, together with the characteristics
(bold dashed lines).

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 Figure 1: Traveling wave solution for different time moments.

Example 2.3 (Distributed source). To practice the introduced approach, consider the initial value
problem

ut + cux = f (t, x), t > 0, x ∈ R,

(2.3)
u(0, x) = g(x), x ∈ R.

The physical interpretation of problem (2.3) is that now we have a distributed source of the substance
with the intensity (density per time unit) f (t, x) at the time t and the position x.

Exercise 1. Deduce problem (2.3) from physical principles and the conservation law.

Figure 2: Traveling wave solution in the form of 3D plot (left) and contour plot (right).

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 Figure 3: Traveling wave solution from two different viewpoints.

Using the same change of variables I find

vτ (τ, ξ) = f (τ, cτ + ξ).

Integrating yields ∫ τ
v(τ, ξ) = f (s, cs + ξ)ds + F (ξ),
0
or, returning to the original variables,
∫ t
u(t, x) = f (s, x − c(t − s))ds + F (x − ct).
0

Using the initial condition I finally get

Theorem 2.4. Let g ∈ C (1) and f, fx ∈ C. Then the unique solution to (2.3) is given by
∫ t
( )
u(t, x) = f s, x − c(t − s) ds + g(x − ct).
0

Example 2.5 (Transport equation with decay). Recall that one of the very basic ODE is the so called
decay equation (you could have seen it with respect to, e.g., radioactive decay, it literally says that
the rate of decay of some compound is proportional to the present mass)

u′ = −au,

for some constant a > 0. The solution to this equation is (by, e.g., the separation of variables)

u(t) = Ce−at

and is used in, e.g., radioactive dating.

Consider now the PDE
ut + cux = −u,

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that is, physically, I assume that in addition to the transport process there is also decay proportional
to the present density.
By the same change of the variables I get
vτ = −v,
and hence
v(τ, ξ) = F (ξ)e−τ ,
where F is an arbitrary smooth function of ξ. Returning to the original variables,
u(t, x) = F (x − ct)e−t ,
which results in
u(t, x) = g(x − ct)e−t
for the initial condition
u(0, x) = g(x).
Now the solutions are not constant along the characteristics, but they are decaying along them repre-
senting a damped traveling wave.
Example 2.6 (A problem with a boundary condition). Assume that now u denotes the concentration
of some pollutant in a river and there is a source of this pollutant at the point x = 0 of the intensity
f (t) at time t. Mathematically it means that I consider only problem for x > 0, t > 0 for the equation
ut + cux = 0
with c > 0.
Since it is natural to have the initial condition now only for x > 0 for some part on the first
quadrant I will have to use the boundary condition. The characteristic x = ct separates two regions,
where I must use either the initial or boundary condition. If x ≥ ct then I can use the usual initial
condition. If, however, x < ct then for my general solution u(t, x) = F (x − ct) I must have
F (−ct) = f (t),
or
F (τ ) = f (−τ /c).
Finally I obtain a unique solution
{
g(x − ct), x ≥ ct,
u(t, x) =
f (t − x/c), x ≤ ct.
To guarantee that my solution is a classical one, I should also request that f (0) = g(0) and −cg ′ (0) =
f ′ (0) hold.
Now assume that c < 0 in my problem. Therefore the characteristics will have a negative slope
and each characteristic will cross both x > 0 and t > 0 half-lines. This will result in a well posed
problem if and only if the initial and boundary values will be coordinated, otherwise, the problem will
have no physical solution (see Fig. 4).
This is a first sign that in PDE a correct (physically) choice of initial and boundary conditions
will result in a well posed problem, whereas an arbitrary assigning initial conditions can lead to no
solutions at all.

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Figure 4: Correctly (left) and incorrectly (right) stated boundary conditions for a transport equation.
The arrows indicate the direction of the transport with time, hence for the left panel I have c > 0 and
for the right one c < 0.

Exercise 2. Solve linear k-dimensional transport equation

ut + c · ∇x u = 0,

where c = (c1 , . . . , ck ), x = (x1 , . . . , xk ), ∇x u = (ux1 , . . . , uxk ) is the spatial gradient of u.

2.3 Well posed problems in PDE theory

I already used the term “well posed” problems several times. It has, actually, a rigorous mathematical
meaning. The following definition was originally coined by French mathematician Jacques Hadamard
(1865—1963), who made a lot of contributions to the field of partial differential equations.

Definition 2.7. The problem is called well possed is it has a solution, this solution is unique, and
this solution depends continuously on the initial data and parameters.

In the examples above I usually showed that a solution exists by presenting an explicit formula
for this solution. The uniqueness was guaranteed by the fact that the signals are spread along the
characteristics and the initial (and boundary) conditions uniquely prescribe values at one point of the
characteristic. Here I will give a first example of continuous dependence on the initial data.

Proposition 2.8. Consider a boundary-initial value problem for the transport equation:

ut + cux = 0, 0 < x < R, t > 0, c > 0

u(0, x) = g(x), 0 < x < R,
u(t, 0) = f (t), t > 0.

The solution to this problem depends continuously on the initial data.

Proof. First I multiply the equation by u and note

1 c
uut + cuux = (u2 )′t + (u2 )′x = 0.
2 2

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Integrating in x from 0 to R yields
∫ R ( )
d
u2 (t, x)dx + c u2 (t, R) − u2 (t, 0) = 0.
dt 0

Hence, by positivity of c, ∫ R
d
u2 (t, x)dx ≤ cf 2 (t).
dt 0
Now I integrate in t and use the condition u(0, x) = g(x):
∫ R ∫ R ∫ t
u (t, x)dx ≤
2 2
g (x)dx + c f 2 (s)ds.
0 0 0

Finally I note that if u1 , u2 are solutions to the problems with g1 , f1 and g2 , f2 respectively, then
u1 − u2 , due to linearity, solves the problem with g1 − g2 , f1 − f2 . Hence I end up with the estimate
∫ R( ∫ ∫
)2 R( )2 t( )2
u1 (t, x) − u2 (t, x) dx ≤ g1 (x) − g2 (x) dx + c f1 (s) − f2 (s) ds,
0 0 0

which shows that small change in the initial data yields small change in the solutions, which is
essentially a rephrasing of the fact that the solution depends continuously on the initial data. 

2.4 Test yourself

2.1. Formulate the condition for two vectors to be orthogonal (perpendicular).

2.2. What are the characteristics of ut + 2ux = 0?

2.3. What are the characteristics of ut + 2ux = −u?

2.4. Solve ut + 2ux = 0, u(0, x) = x3 .

2.5. Solve the equation aut + bux = 0 with the initial condition u(0, x) = g(x).

2.6. Solve ut + ux = sin t with u(0, x) = cos x.

2.5 Solutions to the exercises

Exercise 1. Here I additionally assume that the substance I am following can be either created or
destroyed inside
∫ x (x1 , x2 ) with the intensity f . That is, the total amount of substance created at time
t is given by x12 f (t, s)ds. Therefore my conservation law now reads

ut + qx = f (t, x)

as required. 

Exercise 2. Exactly as in one dimensional case I introduce new variables

(τ, ξ) = (t, x − ct),

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where now ξ, x, c are vectors with the same number of coordinates. In these new coordinates the
equation for v(τ, ξ) = u(t, x) becomes
vτ = 0,
therefore v(t, ξ) = F (ξ), or, in the original variables,

u(t, x) = F (x − ct),

which is the answer for this exercise.