Heat equation in 1D

In this Chapter we consider 1-dimensional heat equation (also known as

diffusion equation). Instead of more standard Fourier method (which we
will postpone a bit) we will use the method of self-similar solutions.

3.1 Heat equation

3.1.1 Introduction
Heat equation which is in its simplest form

ut = kuxx

is another classical equation of mathematical physics and it is very different

from wave equation. This equation describes also a diffusion, so we
sometimes will refer to it as diffusion equation.
It also describes random walks (see Project “Project: Walk problem”).

3.1.2 Self-similar solutions

We want to solve IVP for equation (3.1.1) with t > 0, −∞ < x < ∞. Let us plug
uα,β,γ(x,t) := γu(αx,βt). (

Proposition 3.1.1. If u satisfy equation (3.1.1) then uα,β,γ also satisfies this
equation provided β = α2.

91
Proof. is just by calculation. Note that β = α2 because one derivative with
respect to t is “worth” of two derivatives with respect to x.
We impose another assumption:
Condition 3.1.1. Total heat energy

(3.1.3)
Chapter 3. Heat equation in 1D 92

is finite and does not depend on t.

The second part is due to the first one. Really (not rigorous) integrating

ut = kuxx (1)

by x from −∞ to +∞ and assuming that ux(±∞) = 0 we see that ∂tI(t) = 0.

Note that and to have them equal we
should take γ = |α| (actually we restrict ourselves by α > 0). So (3.1.2)
(uα,β,γ(x,t) = γu(αx,βt)) becomes

uα(x,t) = αu(αx,α2t). (3.1.4)

This is transformation of similarity. Now we are looking for a selfsimilar

solution of (3.1.1) i.e. solution such that uα(x,t) = u(x,t) for all α > 0,x,t > 0. So
we want u(x,t) = αu(αx,α2t) ∀α > 0,t > 0,x. (3.1.5) We want to get rid off one
of variables; so taking we get

) (3.1.6)

with ϕ(ξ) := u(ξ,1). Equality (3.1.6) is equivalent to (3.1.5).

Now we need to plug ) into equation (3.1.1). Note that

and
3 1
− ′′ −
, uxx = t 2
ϕ (t 2
x ).

Plugging into ut = kuxx, multiplying by and plugging we arrive

to

. (3.1.7)
Good news: it is ODE. Really good news: .
Then integrating we get
Chapter 3. Heat equation in 1D 93

. (3.1.8)
Remark 3.1.1. Sure there should be +C but we are looking for a solution fast
decaying with its derivatives at ∞ and it implies that C = 0.
Separating in (3.1.8) variables and integrating we get

and plugging into (3.1.6) (which is )) we arrive to

. (3.1.9)

Remark 3.1.2. We took to satisfy I(t) = 1.

Really,

√
where we changed variable x = z/ 2kt and used the equality

(3.1.10) To prove (3.1.10) just note that

where we used polar coordinates; since J > 0 we get (3.1.10).

Remark 3.1.3. Solution which we got is a very important one. However we
have a problem understanding what is u|t=0+ as u(x,t) → 0 as t → 0+ and x ̸= 0
but u(x,t) → ∞ as t → 0+ and x = 0 and
In fact u|t=0+ = δ(x) which is Dirac δ-function which actually is not an
ordinary function but a distribution (see Section 11.1).
Distributions play important role in the modern Analysis and
applications, in particular, to Physics.
To work around this problem we consider

(3.1.11)
We claim that
Chapter 3. Heat equation in 1D 94

Proposition 3.1.2. (i) U(x,t) also satisfies equation (3.1.1).

,
is a Heaviside step function.

Proof. Plugging u = Ux into (3.1.1) we see that (Ut − kUxx)x = 0 and then
(Ut − kUxx) = Φ(t). However one can see easily that as x → −∞ U is fast
decaying with all its derivatives and therefore Φ(t) = 0 and Statement (i) is
proven.
Note that

erf (3.1.12)
with

erf( (erf)

and that an upper limit in integral tends to ∓∞ as t → 0+ and x ≶ 0. Then

since an integrand is very fast decaying at ∓∞ we using (3.1.10) arrive to
Statement (ii).

Remark 3.1.4. (a) One can construct U(x,t) as a self-similar solution albeit
with γ = 1.

(b) We can avoid analysis of U(x,t) completely just by noting that u(x,t) is a
δ-sequence as t → 0+: u(x,t) → 0 for all x ̸= 0 but Consider
now a smooth function g(x), g(−∞) = 0 and note that

(3.1.13)

Really, the r.h.e. is

Also note that U(x − y,t) solves the IVP with initial condition U(x − y,0+) =
θ(x − y). Therefore

solves the IVP with initial condition u(x,0+) = g(y).

Chapter 3. Heat equation in 1D 95

Integrating by parts with respect to y we arrive to

and finally to

(3.1.14)
with
(3.1.15)

So we have proven:

Theorem 3.1.3. Formulae (3.1.14)–(3.1.15) give us a solution of

ut = kuxx − ∞ < x < ∞,t > 0, (3.1.16) u|t=0 = g(x). (3.1.17)

Remark 3.1.5. We will recreate the same formulae in Section 5.3 using
Fourier transform.
Example 3.1.1. Find the solution u(x,t) to

ut = 4uxx − ∞ < x < ∞, t > 0,

(
1 − |x| |x| < 1,
u|t=0 =
0 |x| ≥ 1,
max|u| < ∞.
Solution.

.
√
Plugging y = x + 4z t and changing limits
Chapter 3. Heat equation in 1D 96

we evaluate integrals of the terms without factor z as erf functions and terms
with factor z we simply integrate resulting in

erf(

erf( erf(

3.1.3 Inhomogeneous right-hand expression

Consider instead problem with the right-hand expression
ut = kuxx + f(x,t) − ∞ < x < ∞,t > 0, (3.1.18)
u|t=0 = g(x). (3.1.17)
By Duhamel principle the contribution of this right-hand expression is

(3.1.19)
Indeed, Duhamel integral (2.5.8)

(2.5.8)

remains except now auxiliary function U(x,t;τ) satisfies heat equation (3.1.1)
with initial condition Ut|t=τ = f(x,τ).
One can prove it exactly as in Subsection 2.5.2.
Exercise 3.1.1. Do it by yourself! Therefore
we arrive to

Theorem 3.1.4. Solution of problem (3.1.18)–(3.1.17) is given by

Chapter 3. Heat equation in 1D 97

Z tZ ∞ Z ∞ u(x,t) = G(x − y,t − τ)f(y,τ)dydτ + G(x − y,t)g(y)dy.

0 −∞ −∞
(3.1.20)

Here the first term expression solves IVP with the right-hand expression
f(x,t) and initial condition u(x,0) = 0 and the second term solves IVP with the
right-hand expression 0 and initial condition u(x,0) = g(x).

Theorem 3.1.5. Let u satisfy (3.1.18) in domain Ω ⊂ Rt × Rx with f ∈ C∞(Ω).

Then u ∈ C∞(Ω).

We will prove it later.

Remark 3.1.6. (a) So far we have not discussed the uniqueness of the solution.
In fact, as formulated, the solution is not unique. But do not worry:
“extra solutions” are so irregular (fast growing and oscillating) at infinity
that they have no “physical sense”. We discuss it later.

(b) IVP in the direction of negative time is ill-posed. Indeed, if f ∈ C∞ it

follows from Theorem 3.1.5 that solution cannot exist for t ∈ (−ϵ,0] unless g
∈ C∞ (which is only necessary, but not sufficient).

(c) Domain of dependence for (x,t) is {(x′,t′): − ∞ < x′ < ∞, 0 < t′ < t} and
the propagation speed is infinite! No surprise: heat equation is not
relativistic!
′
erf (x )

erf(x )

x x

′
(a)erf (x ) (b)erf (x )

3.1.4 References
Plots:
Chapter 3. Heat equation in 1D 98

(a) Visual Example (animation)

(b) erf function on Wolfram alpha

(c) erf derivative on Wolfram alpha

3.2 Heat equation (miscellaneous)

3.2.1 Heat equation on half-line
In the previous lecture we considered heat equation
ut = kuxx (3.2.1)

with x ∈ R and t > 0 and derived formula

Z ∞ u(x,t) = (3.2.2)
G(x,y,t)g(y)dy.
−∞

with

(3.2.3)

for solution of IVP u|t=0 = g(x).

Recall that G(x,y,t) quickly decays as |x − y| → ∞ and it tends to 0 as t →
0 for
+

Consider the same equation (3.2.1) on half-line with the homogeneous

Dirichlet or Neumann boundary condition at x = 0:

uD|x=0 = 0, (D)

uN x|x=0 = 0. (N)

The method of continuation (see Subsection 2.6.3) works. Indeed,

coefficients do not depend on x and equation contains only even order
derivatives with respect to x. Recall that continuation is even under
Neumann condition and odd under Dirichlet condition.
Then we arrive to solutions in a form similar to (3.2.2) but with different
function G(x,y) and domain of integration [0,∞):
G = GD(x,y,t) = G0(x − y,t) − G0(x + y,t), (3.2.4)
Chapter 3. Heat equation in 1D 99

G = GN(x,y,t) = G0(x − y,t) + G0(x + y,t) (3.2.5)

for (D) and (N) respectively.
Both these functions satisfy equation (3.2.1) with respect to (x,t), and
corresponding boundary condition
GD|x=0 = 0, (3.2.6)
GN x|x=0 = 0. (3.2.7)
Both GD(x,y,t) and GN(x,y,t) tend to 0 as t → 0+, x ≠ y and

1 as t → 0+,
(3.2.8)

. (3.2.9)
Further,
G(x,y,t) = G(y,x,t) (3.2.10)
Exercise 3.2.1. (a) Prove (3.2.8) and (3.2.9). Explain the difference.

(b) Prove (3.2.10).

3.2.2 Inhomogeneous boundary conditions
Consider now inhomogeneous boundary conditions (one of them)

uD|x=0 = p(t), (3.2.11) uN x|x=0 = q(t).

(3.2.12)

Consider

with Π := Πϵ = {x > 0, 0 < τ < t − ϵ}. Integrating by parts with respect to τ in

the first term and twice with respect to y in the second one we get
Chapter 3. Heat equation in 1D 100

Note that, since G(x,y,t) satisfies (3.2.1) not only with respect to (x,t) but
also with respect to (y,t) as well due to symmetry G(x,y,t) = G(y,x,t), see
(3.2.10), the first line is 0.
In the second line the first term

tends to −u(x,t) as ϵ → 0+ because of properties of G(x,y,t). Indeed, G(x,y,τ)

tends everywhere but for x = y to 0 as τ → 0+ and its integral from 0 to ∞
tends to 1.
So we get

The first line in the r.h.e. gives us solution of the IBVP with 0 boundary
condition. Let us consider the second line.
In the case of Dirichlet boundary condition G(x,y,t) = 0 as y = 0 and
therefore we get here

In the case of Neumann boundary condition Gy(x,y,t) = 0 as y = 0 and

therefore we get here

So, (3.2.13) becomes

and
Chapter 3. Heat equation in 1D 101

Remark 3.2.1. (a) If we consider a half-line (−∞,0) rather than (0,∞) then the
same terms appear on the right end (x = 0) albeit with the opposite sign.

(b) If we consider a finite interval (a,b) then there will be contributions

from both ends.

(c) If we consider Robin boundary condition (ux − αu)|x=0 = q(t) then

formula (3.2.15) would work but G should satisfy the same Robin condition
and we cannot construct G by the method of continuation.

(d) This proof (which also works for the Cauchy problem) shows that
integral formulae give us the unique solution satisfying condition

|u(x,t)| ≤ Cϵeϵ|x|2 ∀t > 0,x, ∀ϵ > 0

provided g(x) satisfies the same condition. This is much weaker assumption
than max|u| < ∞.

Visual examples (animation)

x x

(a) (b)

Figure 3.1: Plots of GD(x,y,t) and GN(x,y,t) as y = 0 (for some values of t)

3.2.3 Inhomogeneous Rright-hand expression

Consider equation
ut − kuxx = f(x,t). (3.2.16)
Chapter 3. Heat equation in 1D 102

Either by Duhamel principle applied to the problem (3.2.2)–(3.2.3) or by

the method of continuation applied to (3.1.20) we arrive to

Theorem 3.2.1. Solution of (3.2.16), (3.2.3) with homogeneous Dirichlet or

Neumann boundary condition at x = 0 is given by

with G(x,y,t) given by (3.2.4) or (3.2.5) correspondingly.

Remark 3.2.2. Inhomogeneous boundary conditions could be also

incorporated as in (3.2.13).
3.2.4 Multidimensional heat equation
Now we claim that for 2D and 3D heat equations

(3.2.18)
,
(3.2.19)
similar formulae hold:

ZZ u = G2(x,y;x′,y′;t)g(x′,y′)dx′dy′,
(3.2.20)
ZZZ (3.2.21)
u= G3(x,y,z;x′,y′,z′;t)g(x′,y′,z′)dx′dy′dz′

with

G2(x,y;x′,y′;t) = G1(x,x′,t)G1(y,y′,t), (3.2.22)

G3(x,y,z;x′,y′,z′;t) = G1(x,x′,t)G1(y,y′,t)G1(z,z′,t); in particular (3.2.23)
for the whole Rn

. (3.2.24)

To justify our claim we note that

(a) Gn satisfies n-dimensional heat equation. Really, consider f.e. G2:

Chapter 3. Heat equation in 1D 103

(b) Gn(x,x′;t) quickly decays as |x−x′| → ∞ and it tends to 0 as t → 0+ for x ̸=

x′, but

(c) RR G(x,x′,t)dy → 1 as t → 0+.

(e) G(x,x′,t) has a rotational (spherical) symmetry with a center at x′.

No surprise: we considered heat equation in isotropic media.
Properties (b)–(d) are due to the similar properties of G1 and imply integral
representation (3.2.20) (or its n-dimensional variant).
Visual examples (animation)
Similarly to Theorem 3.1.5 and following it remark we have now:

Theorem 3.2.2. Let u satisfy equation (3.2.16) in domain Ω ⊂ Rt × Rnx with f ∈

C∞(Ω). Then u ∈ C∞(Ω).

Remark 3.2.3. (a) This “product trick” works for heat equation or Schro¨dinger
equation because both of them are equations (not systems) ut = Lu with L
which does not contain differentiation by t.

(b) So far we have not discussed the uniqueness of the solution. In fact,
as formulated, the solution is not unique. But do not worry: “extra
solutions” are so irregular at infinity that they have no “physical sense”. We
discuss it later.

(c) IVP in the direction of negative time is ill-posed. Indeed, if f ∈ C∞ it

follows from Theorem 3.2.2 that solution cannot exist for t ∈ (−ϵ,0] unless g
∈ C∞ (which is only necessary, but not sufficient).

3.2.5 Maximum Pprinciple

Consider heat equation in the domain Ω like below
Chapter 3. Heat equation in 1D 104

We claim that
Theorem 3.2.3 (Maximum Principle). Let u satisfy heat equation in Ω. Then
(3.2.25)
Almost correct proof. Let (3.2.25) be wrong. Then maxΩ u > maxΓ u and there
exists point P = (¯x,t¯) ∈ Ω \ Γ s.t. u reaches its maximum at P. Without any
loss of the generality we can assume that P belongs to an upper lid of Ω. Then
ut(P) ≥ 0. (3.2.26)
Indeed, u(¯x,t¯) ≥ u(¯x,t) for all t : t > t >¯ t¯− ϵ and then u(¯x,t¯) −
0 and as t ↗ t¯) we get (3.2.26).
Also
uxx(P) ≤ 0. (3.2.27)
Indeed, u(x,t¯) reaches maximum as x = x¯. This inequality combined with
(3.2.26) almost contradict to heat equation ut = kuxx (“almost”because there
could be equalities).

Correct proof. Note first that the above arguments prove (3.2.25) if u satisfies
inequality ut − kuxx < 0 because then there will be a contradiction.
Further note that v = u − εt satisfies vt − kvxx < 0 for any ε > 0 and therefore
.
Taking limit as ε → 0+ we get (3.2.25).

Remark 3.2.4. (a) Sure, the same proof works for multidimensional heat
equation.
Chapter 3. Heat equation in 1D 105

(b) In fact, there is a strict maximum principle. Namely either in Ω\Γ u is

strictly less than maxΓ u or u = const. The proof is a bit more sophisticated.
Corollary 3.2.4 (minimum principle).

(3.2.28)
Proof. Really, −u also satisfies heat equation.
Corollary 3.2.5. (i) u = 0 everywhere on Γ =⇒ u = 0 everywhere on Ω.

(ii) Let u,v both satisfy heat equation. Then u = v everywhere on Γ =⇒ u = v

everywhere on Ω.

Proof. (i) Really, then maxΩ u = minΩ u = 0.

(ii) Really, then (u − v) satisfies heat equation.

3.A Project: Walk problem

3.1.1 Intro into project: Random walks
Consider a 1D-grid with a step h ≪ 1 and also consider grid in time with a
step τ ≪ 1. So, xn = nh and tm = mτ.
Assume that probabilities to move to the left and right (to the next point)
for one time tick are qL and qR respectively.
Then denoting by the probability to be at time tm at point xn we get
equation

. (3.A.1)

One can rewrite it as

(3.A.2)

where we used notations ) and

Task 3.A.1. Using Taylor formula and assuming that p(x,t) is a smooth
function prove that
Chapter 3. Heat equation in 1D 106

,
(3.A.3)

(3.A.4)

(3.A.5)

Then (3.A.2) becomes after we neglect small terms

(3.A.6)

where K = λτ/h2, L = µτ/2h.

Remark 3.A.1. This is a correct scaling or we will not get any PDE.
Remark 3.A.2. Here p = p(x,t) is not a probability but a probability density:
probability to be at moment t on interval (x,x + dx) is P(x < ξ(t) <
x + dx) = p(x,t)dx. Since = 1 we have

. (3.A.7)

Remark 3.A.3. The first term on the right of (3.A.6) is a diffusion term; in the
case of symmetric walk qL = qR only it is present:

. (3.A.8)

The second term on the right of (3.A.6) is a convection term; moving it to the
left and making change of coordinates tnew = t, xnew = x − µt we get in this
new coordinates equation (3.A.8). So this term is responsible for the shift
with a constant speed µ (on the top of diffusion).
Remark 3.A.4. (3.A.2) is a finite difference equation which is a finite difference
approximation for PDE (3.A.7). However this approximation is stable only if
. This is a fact from numerical analysis.
Task 3.A.2 (Main task). Multidimensional case. Solution (in due time when
we study). BVP. More generalization (later).
Chapter 3. Heat equation in 1D 107

3.1.2 Absorption problem

Consider 1D-walk (with the same rules) on a segment [0,l] with both
absorbing ends. Let pn be a probability that our walk will end up at l if started
from xn. Then
pn = pn−1qL + pn+1qR + pn(1 − qL − qR). (3.A.9)

Task 3.A.3. Prove limiting equation

. (3.A.10)

Solve it under boundary conditions p(0) = 0, p(l) = 1. Explain these boundary

conditions.
Remark 3.A.5. Here p = p(x) is a probability and (3.A.7) does not hold.
Task 3.A.4 (Main task). Multidimensional case: in the domain with the
boundary. Boundary conditions (there is a part Γ of the boundary and we
are interested in the probability to end up here if started from given point).
May be: Generalization: part of boundary is reflecting.

3.B Self-similar solutions

Like [running-wave solutions](../Chapter2/S2.3.A.html) self-similar
solutions is an another class of interesting solutions. For linear equations
these solutions can lead to the general solutions. For non-linear equations it
is not the case.
Example 3.B.1. Self-similar solution to heat equation

ut = uxx (3.B.1)

We plug uλ(x,t) = λβu(λx,λαt) into the same equation and find that it satisfies
the same equation as α = 2. Here β can be any and in Section 3.1 we got β =
1 only due to additional conditions u(x,t) ≥ 0 and

. (3.B.2)

Then we plug and get

Chapter 3. Heat equation in 1D 108

) (3.B.3)

and this expression we plugged into (3.B.1) to get ODE for ϕ and solve it.
Example 3.B.2. Self-similar solution to linearized Korteweg–De Vries
equation

ut = uxxx. (3.B.4)

We do the same thing albeit now α = 3 and to get β = 1 we need to appeal to

(3.B.2) or something similar. Then

where again we neglect a constant. This is an Airy equation (which appears

in the theory of diffraction) and its solutions are Airy functions.
Example 3.B.3. Let us try

ut = ux + uxxx.

There are 3 terms and they scale differently and we cannot select α (in the
linear equations β is arbitrary).
Example 3.B.4. Self-similar solution to viscous Burgers equation

ut + uux = uxx. (3.B.5)

Again three terms scale differently but now non-linearity helps:

uλt(x,t) = λβu(λx,λαt), uλxx(x,t)

= λβ+2αu(λx,λαt), uλuλx =
λ2β+1(uux)(λx,λαt)

and we need to have all three powers equal, which leads to α = 2 and β = 1
without reference to (3.B.2). It leads to (3.B.3) and plugging into (3.B.5) we
get

. (3.B.6)
Integrating we get
Chapter 3. Heat equation in 1D 109

(3.B.7)
where we took a constant 0 because we still want solutions to decay at
infinity.
This is Bernoulli’s equation. Rewriting it as

and finally

with |D| > 1 to prevent vanishing determinator. And we get expression for
u(x,t).
Example 3.B.5. Self-similar solution to Korteweg–De Vries equation

ut + uux = uxxx. (3.B.8)

Repeating arguments of Example 3.B.4 we arrive to

. (3.B.9)
Then

where we again negect a constant. This is a non-linear second order

equation and we cannot solve it explicitly (but can investigate its
properties).

3.C Schro¨dinger equation

Consider Schro¨dinger equation

ut = iuxx −∞<t<∞ (3.C.1)

which we get from diffusion equation formally setting k = i. We can apply the
same arguments arriving t
Chapter 3. Heat equation in 1D 110

(3.C.2)
but we need to figure out the ”sign” of the square root. Also we need to
extend t > 0 for diffusion equation for all t for Schro¨dinger equation.
Consider k ∈ C: Re(k) > 0. Then the diffusion equation still has sense for
t > 0 and the square root is uniquely determined so for√√ k = i = eiπ/2
we

get instead a correct value of 4πit, namely, eiπ/4 4πt.

Now, as t < 0 we should consider t > 0 and take a complex–conjugate, thus
arrivng to

as ± t > 0 (3.C.3)
as a solution to Schro¨dinger equation (3.C.1) with initial condition

u|t=0 = δ(x). (3.C.4)

Problems to Chapter 3
Crucial in many problems is formula (3.2.14) rewritten as

(1)

with

(2)
This formula solves IVP for a heat equation

ut = kuxx (3)
with the initial function g(x).
In many problems below for a modified standard problem you need to
derive a similar formula albeit with modified G(x,y,t). Consider

erf( (Erf)
Chapter 3. Heat equation in 1D 111

as a standard function.
Problem 1. Solve Cauchy problem for a heat equation
( ut = kuxx t > 0, −∞ < x < ∞
(4)
u|t=0 = g(x)

with

,,
1; 1;
g(x) = e−a|x|; g(x) = xe−a|x|;
g(x) = |x|e−a|x|; g(x) = x2e−a|x|;

g(x) = e−ax2; g(x) = xe−ax2;

g(x) = x2e−ax2.
Problem 2. Using method of continuation obtain formula similar to (1)-(2)
for solution of IBVP for a heat equation on x > 0,t > 0 with the initial function
g(x) and with

(a) Dirichlet boundary condition u|x=0 = 0;

(b) Neumann boundary condition ux|x=0 = 0;

Problem 3. Solve IBVP problem for a heat equation

ut = kuxx t > 0, 0 < x < ∞

u|t=0 = g(x) (5)

u|x=0 = h(t)
with

) = 0;
Chapter 3. Heat equation in 1D 112

) = 0;
g(x) = e−ax, h(t) = 0; g(x) = xe−ax, h(t) = 0;
g(x) = e−ax2, h(t) = 0; g(x) = xe−ax2, h(t) = 0;
g(x) = x2e−ax2, h(t) = 0; g(x) = 0, h(t) = 1;

g(x) = 1, h(t) = 0;

Problem 4.

ut = kuxx t > 0, 0 < x < ∞

u|t=0 = g(x) (6)
ux|x=0 = h(t)
with
(
1 t < 1,
g(x) = 0, h(t) = ) = 0;
0 t ≥ 1;

g(x) = e−ax, h(t) = 0;

) = 0;
g(x) = xe−ax, h(t) = 0; g(x) = e−ax2, h(t) = 0;
g(x) = xe−ax2, h(t) = 0; g(x) = x2e−ax2, h(t) = 0;
g(x) = 0, h(t) = 1; g(x) = 1, h(t) = 0;
Problem 5. Using method of continuation obtain formula similar to (1)-(2)
for solution of IBVP for a heat equation on {x > 0,t > 0} with the initial
function g(x) and with

(a) Dirichlet boundary condition on both ends u|x=0 = u|x=L = 0;

(b) Neumann boundary condition on both ends ux|x=0 = ux|x=L = 0;

(c) Dirichlet boundary condition on one end and Neumann boundary

condition on another u|x=0 = ux|x=L = 0.
Chapter 3. Heat equation in 1D 113

Problem 6. Consider heat equation with a convection term

ut + cux = kuxx. (7)

convection term

(a) Prove that it is obtained from the ordinary heat equation with respect
to U by a change of variables U(x,t) = u(x + ct,t). Interpret (7) as
equation describing heat propagation in the media moving to the right
with the speed c.

(b) Using change of variables u(x,t) = U(x − vt,t) reduce it to ordinary heat
equation and using (1)-(2) for a latter write a formula for solution
u(x,t).

(c) Can we use the method of continuation directly to solve IBVP with
Dirichlet or Neumann boundary condition at x > 0 for (7) on {x > 0,t >
0}? Justify your answer.
(d) Plugging u(x,t) = v(x,t)eαx+βt with appropriate constants α,β reduce (7)
to ordinary heat equation.

(e) Using (d) write formula for solution of such equation on the half-line
or an interval in the case of Dirichlet boundary condition(s). Can we
use this method in the case of Neumann boundary conditions? Justify
your answer.

Problem 7. Using either formula (1)-(2) or its modification (if needed)

(a) Solve IVP for a heat equation (3) with g(x) = e−ε|x|; what happens as ε
→ +0?

(b) Solve IVP for a heat equation with convection (7) with g(x) = e−ε|x|;
what happens as ε → +0?

(c) Solve IBVP with the Dirichlet boundary condition for a heat equation
(7) with g(x) = e−ε|x|; what happens as ε → +0?

(d) Solve IBVP with the Neumann boundary condition for a heat equation
(3) with g(x) = e−ε|x|; what happens as ε → +0?
Chapter 3. Heat equation in 1D 114

Problem 8. Consider a solution of the diffusion equation ut = uxx in [0 ≤ x ≤ L,0

≤ t < ∞].
Let

M(T) = max u(x,t),

[0≤x≤L,0≤t≤T]

m(T) = min u(x,t).

[0≤x≤L,0≤t≤T]

(a) Does M(T) increase or decrease as a function of T?

(b) Does m(T) increase or decrease as a function of T?

Problem 9. The purpose of this exercise is to show that the maximum

principle is not true for the equation ut = xuxx which has a coefficient which
changes sign.

(a) Verify that u = −2xt − x2 is a solution.

(b) Find the location of its maximum in the closed rectangle [−2 ≤ x ≤ 2,0
≤ t ≤ 1].
(c) Where precisely does our proof of the maximum principle break down
for this equation?

Problem 10. (a) Consider the heat equation on J = (−∞,∞) and prove that
an “energy”

(8)
does not increase; further, show that it really decreases unless u(x,t) = const;

(b) Consider the heat equation on J = (0,l) with the Dirichlet or Neumann
boundary conditions and prove that an E(t) does not increase; further,
show that it really decreases unless u(x,t) = const;

(c) Consider the heat equation on J = (0,l) with the Robin boundary
conditions

ux(0,t) − a0u(0,t) = 0, (9) ux(L,t) + aLu(L,t) = 0.

(10)
Chapter 3. Heat equation in 1D 115

If a0 > 0 and al > 0, show that the endpoints contribute to the decrease
of .
This is interpreted to mean that part of the energy is lost at the boundary, so
we call the boundary conditions radiating or dissipative.
Hint. To prove decrease of E(t) consider it derivative by t, replace ut by
kuxx and integrate by parts.
Remark 3.P.1 In the case of heat (or diffusion) equation an energy given by
(8) is rather mathematical artefact.
Problem 11. Find a self-similar solution u of

ut = (umux)x − ∞ < x < ∞,t > 0

with finite .
Problem 12. Find a self-similar solution u of

ut = ikuxx − ∞ < x < ∞,t > 0

with constant
Hint. Some complex variables required.
Problem 13. Find smooth for t > 0 self-similar solution u(x,t) to

ut = (xux)x x > 0, t > 0, u|x=0 = t−1 t > 0.

Problem 14. Find smooth for t > 0 self-similar solution u(x,t) to

− ∞ < x < ∞, t > 0,

.

Problem 15. Find smooth for t > 0 self-similar solution u(x,t) to

ut + (uux)x = 0,

u ≥ 0,

Problem 16. Find smooth for t > 0 self-similar solution u(x,t) to

Chapter 3. Heat equation in 1D 116

− ∞ < x < ∞, t > 0,

.

You are not allowed to use a standard formula for solution of IVP for heat
equation.
Problem 17. Consider 1D “radioactive cloud” problem:

ut + vux − uxx + βu = 0,
u|t=0 = δ(x),

where v is a wind velocity, β shows the speed of “dropping on the ground”.

(a) Hint. Reduce to the standard heat equation by u = ve−βt and x = y+vt, use
the standard formula for v:

v = (4πt)−1/2 exp(−x2/4t)

and then write down u(x,t).

(b) Find “contamination level” at x

Hint. By change of variables t = y2 with appropriate z reduce to calculation of

Z
exp(−ay2 − by−2)dy

and calculate it using f.e. https://www.wolframalpha.com with input

int_0^infty exp (-ay^2-b/y^2)dy you may need to do it few times)

(c) Try to generalize to 2-dimensional case:

ut + vux − (uxx + uyy) + βu = 0, u|t=0 =

δ(x)δ(y).