Chapter 12.

Partial Differential Equations(PDEs) 1

§12.1 Basic Concept of PDEs

• Partial differential equations(PDEs)
- an equation involving one or more partial derivatives of an unknown func-
tion that depends on two or more variables.
Ex. When u = u(x, y), ux + yuy + uxy = f (x, y).

Ordinary differential equations(ODEs)

Ex. When y = y(x), y ′′ + xy = f (x).

• order of the PDE: order of the highest derivative

Ex. ux + yuy + uxy = f (x, y). order 2
Ex.(ODE) y ′′′ + xy ′′ + xy = f (x). order 3

• linear, nonlinear
- linear if a PDE is of the first degree in the unknown function and its partial
derivatives
- nonlinear otherwise
Ex. uxy + xuxx = f (x, y). linear
Ex. uux + yuxy = 0. nonlinear

• homogeneous, nonhomogeneous
Ex. uxy + xuxx = 0. homogeneous
Ex. uxy + xuxx = f (x, y). nonhomogeneous

• solution of a PDE

• boundary condition, initial condition

Ex. When u = u(x, t), utt = uxx
u(a, t) = 0, u(b, t) = 0 boundary condition
u(x, 0) = f (x) initial condition(initial position),
ut(x, 0) = g(x) initial condition(initial velocity)

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 Chapter 12. Partial Differential Equations(PDEs) 2

Example 1 Second-Order PDEs

∂ 2u 2∂ u
2
• One-dimensional wave equation =c
∂t2 ∂x2
2
∂u 2∂ u
• One-dimensional heat equation =c
∂t ∂x2
∂ 2u ∂ 2u
• Two-dimensional Laplace equation + =0
∂x2 ∂y 2
∂ 2u ∂ 2u
• Two-dimensional Poisson equation + = f (x, y)
∂x2 ∂y 2
( 2 )
∂ 2u ∂ u ∂ 2
u
• Two-dimensional wave equation = c 2
+
∂t2 ∂x2 ∂y 2

Theorem 1. (Fundamental Theorem on Superposition)

If u1, u2 are solutions of a homogeneous linear PDE in some region R,
then
u = c1u1 + c2u2
is also a solution of the PDE in R for constant c1 and c2.
Ex. Consider a homogeneous linear PDE uxy + xuxx = 0 in the region R.
Suppose that u1 and u2 are solutions in R.
(c1u1 + c2u2)xy + x(c1u1 + c2u2)xx
= c1(u1xy + xu1xx) + c2(u2xy + xu2xx)
= c1 · 0 + c2 · 0
= 0.
Therefore u = c1u1 + c2u2 is also a solution of the PDE in R.

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 Chapter 12. Partial Differential Equations(PDEs) 3

Example 2. Solving a PDE like a ODE

Find solutions u = u(x, y) of the PDE uxx − u = 0 depending on x and y.

Sol. Since no y-derivatives occur, we can solve this PDE like

u′′ − u = 0.
We have
u = Aex + Be−x
with constants A and B. Hence the solution of the PDE is
u(x, y) = A(y)ex + B(y)e−x.

Example 3. Solving a PDE like a ODE

Find solutions u = u(x, y) of the PDE uxy = −ux.

Sol. Setting ux = p, the PDE is

py = −p
and
p = c(x)e−y .
By integration w.r.t. x, we obtain
u(x, y) = f (x)e−y + g(y)
here, f (x) and g(y) are arbitrary.

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 Chapter 12. Partial Differential Equations(PDEs) 4

§12.2 Modeling: Vibrating String, Wave Equation

• Physical Assumptions
1. The mass of the string per unit length is constant. The string is perfectly
elastic and does not offer any resistance to bending.
2. The action of the gravitational force on the string can be neglected.
3. The string performs small transverse motions in a vertical plane.

Fig. 286. Deflection string at fixed time t

Derivation of the PDE of the model “Wave Equation”

Let u(x, t) be its displacements at any point 0 ≤ x ≤ L and at any time
t > 0. Let
• T = horizontal components of the tension(constant),
• ρ = density of the string(mass of the un-deflected string per unit length).
Then u(x, t) satisfies the wave equation

∂ 2u 2
2∂ u T
=c (c2 = ).
∂t2 ∂x2 ρ

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 Chapter 12. Partial Differential Equations(PDEs) 5

[Derivation of wave equation]

Fig. 286. Deflection string at fixed time t

Let T1 and T2 be the tensions at P and Q, respectively.

The tension is tangential to the curve of the string at each point.
• Horizontal direction.
There is no motion in the horizontal direction. Hence,
T1 cos α = T2 cos β = T = const.
• Vertical direction.
By Newton’s second law (ρ∆x = mass of ∆x), we have
∂ 2u
T2 sin β − T1 sin α = ρ∆x 2 .
∂t
Thus
T2 sin β T1 sin α ρ∆x ∂ 2u
− = tan β − tan α = .
T2 cos β T1 cos α T ∂t2
Note that tan α and tan β are the slope of the string at x and x + ∆x:
( ∂u ) ( ∂u )
tan α = and tan β = .
∂x x ∂x x+∆x
Hence [( ) ( ) ]
1 ∂u ∂u ρ ∂ 2u
− = .
∆x ∂x x+∆x ∂x x T ∂t2
If ∆x → 0, then

∂ 2u 2
2∂ u 2 T
= c (c = ).
∂t2 ∂x2 ρ
(One-dimensional wave equation)
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 Chapter 12. Partial Differential Equations(PDEs) 6

§12.3 Solution by Separating Variables.

Use of Fourier Series
One Dimensional Wave Equation
1-dim wave equation
∂ 2u 2
2∂ u T
=c (c2 = )
∂t2 ∂x2 ρ
boundary condition
u(0, t) = 0, u(L, t) = 0 for all t.
initial condition
u(x, 0) = f (x), 0 ≤ x ≤ L, initial deflection.
ut(x, 0) = g(x), 0 ≤ x ≤ L, initial velocity.

• Step 1. Two ODEs from the wave equation

By the method of separating variables, set u(x, t) = F (x)G(t). Then
′′
2 ′′ G̈ F
F G̈ = c F G and 2 = .
cG F
Since the left side depends on only t and the right side only on x, both
sides must be constant:
′′
G̈ F
= = k(= constant),
c2G F
and we have two ODEs
′′
F − kF = 0,
G̈ − c2kG = 0.
• Step 2. Satisfying the Boundary Conditions
We determine solutions F and G of two ODEs so that u = F G satisfies
the Boundary Conditions
u(0, t) = F (0)G(t) = 0 for all t,
u(L, t) = F (L)G(t) = 0 for all t.
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 Chapter 12. Partial Differential Equations(PDEs) 7

If G ≡ 0, then u ≡ 0, which is of no interest.

Hence, G ̸= 0 and F (0) = F (L) = 0.

Case k = 0. F ′′ = 0 and F (x) = Ax + B.

Since F (0) = F (L) = 0, F ≡ 0 and u ≡ 0, which is of no interest.

Case k > 0, k = µ2. F ′′ − µ2F = 0 and F (x) = Aeµx + Be−µx.

Since F (0) = F (L) = 0, F ≡ 0 and u ≡ 0, which is of no interest.

Case k < 0, k = −p2. F ′′ +p2F = 0 and F (x) = A cos px+B sin px.
F (0) = A = 0, and F (L) = B sin(pL) = 0.
nπ
Thus p = , n = ±1, · · · and setting B = 1, we obtain
L
nπx
Fn(x) = sin , n = 1, 2, · · · .
L
cnπ
The other ODE G̈ + λ2nG = 0, λn = cp = L , has a solution
Gn(t) = Bn cos λnt + Bn∗ sin λnt.

Hence, solutions of the wave equation are

un(x, t) = Fn(x)Gn(t) n = 1, 2, · · ·
nπx
= (Bn cos λnt + Bn∗ sin λnt) sin .
L
Here, un(x, t) are called the eigenfunctions, λn are called the eigenval-
ues, and the set {λ1, λ2, · · · } is called the spectrum.
Note: 1. Each un represents a harmonic motion having the frequency
λn/2π = cn/2L cycles per unit time, which is called the nth normal
mode and the first is known as the f undamental mode(n = 1).

Fig. 287. Normal modes of the vibrating string

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 Chapter 12. Partial Differential Equations(PDEs) 8

2. Tuning is done by changing the tension T .

√
λn cn T n
frequency = = = of un
2π 2L ρ 2L
The frequency is proportional to the tension.(Why is a violin smaller
than a double-bass?)
• Step 3. Solution of the Entire Problem. Fourier Series.
∑∞
Since the wave equation is linear and homogeneous, un(x, t) is a
n=1
solution.
∞
∑
u(x, t) = un(x, t)
n=1
∑∞
nπx
= (Bn cos λnt + Bn∗ sin λnt) sin .
n=1
L
From the Initial Conditions
∞
∑ nπx
u(x, 0) = Bn sin = f (x),
n=1
L
∞
∑
∂u nπx
and = Bn∗ λn sin = g(x).
∂t t=0 n=1
L
Using Fourier Sine Series,
∫
2 L nπx
Bn = f (x) sin dx, n = 1, 2, · · · ,
L 0 L
∫ L
2 nπx
Bn∗ λn = g(x) sin dx
L 0 L
∫ L
2 nπx
⇒ Bn∗ = g(x) sin dx, n = 1, 2, · · · .
cnπ 0 L
We have obtained a solution of wave equation that satisfies the boundary
conditions and initial conditions.
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 Chapter 12. Partial Differential Equations(PDEs) 9

Comment. In case g(x) = 0, then Bn∗ = 0 and,

∞
∑ nπx cnπ
u(x, t) = Bncos λnt sin , λn = .
n=1
L L
∞
∑ ∞
1 [ nπ ] 1∑ [ nπ ]
= Bnsin (x − ct) + Bnsin (x + ct)
2 n=1 L 2 n=1 L
1
= [f ∗(x − ct) + f ∗(x + ct)]
2
where f ∗ is the odd periodic extension of f .

Fig.289. Odd periodic extension of f (x)

Physical interpretation

f ∗(x − ct)(c > 0): a wave that is traveling to the right as t increases.
f ∗(x + ct)(c > 0): a wave that is traveling to the left as t increases.
=⇒ u(x, t) is the superposition of these two waves.

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 Chapter 12. Partial Differential Equations(PDEs) 10

Example 1.
Find the solution of the wave equation corresponding to the initial deflection


 2k L
 x if 0 < x <
L 2
f (x) =


 2k (L − x) if L < x < L
L 2

and initial velocity zero.

Sol. Since g(x) = 0, Bn∗ = 0 and
∫
2 L nπx
Bn = f (x) sin dx
L 0 L
∫ ∫ L
2 [ L/2 2k nπx 2k nπx ]
= x sin dx + (L − x) sin dx
L 0 L L L/2 L L
8k nπ
= 2 2 sin .
nπ 2
Thus,
∞
∑ nπx cnπ
u(x, t) = Bncos λnt sin , λn =
n=1
L L
∞
8k ∑ sin nπ
2 cnπt nπx
= 2 cos sin
π n=1 n2 L L
8k ( 1 cπt πx 1 3cπt 3πx )
= 2 2 cos sin − 2 cos sin + ··· .
π 1 L L 3 L L

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 Chapter 12. Partial Differential Equations(PDEs) 11

Fig. 291. Solution u(x, t) for various values of t (right part of the figure)
obtained as the superposition of a wave traveling to theright (dashed)
and a wave traveling to the left (left part of the figure)

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 Chapter 12. Partial Differential Equations(PDEs) 12

§12.4 D’Alembert’s Solution of the Wave Equation.

Characteristics

D’Alembert’s Solution of Wave Equation

The wave equation
∂ 2u 2
2∂ u T
=c (c2 = )
∂t2 ∂x2 ρ
has a solution of the form
u(x, t) = Φ(x + ct) + Ψ(x − ct).
This is known as d’Alembert’s solution of the wave equation.

Proof Set v = x + ct, w = x − ct(Why?). By the Chain Rule

ux = uv vx + uw wx = uv + uw ,
ut = uv vt + uw wt = c(uv − uw )
and
uxx = (uv + uw )x = (uv + uw )v vx + (uv + uw )w wx
= uvv + 2uvw + uww ,
utt = c(uv − uw )t = c(uv − uw )v vt + c(uv − uw )w wt
= c2(uvv − 2uvw + uww ).
Inserting these two results in the wave equation, we get
∂ 2u
uvw ≡ = 0.
∂w∂v
This gives
∫
∂u
= h(v) and u = h(v)dv + Ψ(w) = Φ(v) + Ψ(w),
∂v
and so
u(x, t) = Φ(x + ct) + Ψ(x − ct).
=⇒ d’Alembert’s solution of the wave equation.
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 Chapter 12. Partial Differential Equations(PDEs) 13

D’Alembert’s Solution satisfying Initial Conditions

D’Alembert’s Solution satisfying initial conditions
(a) u(x, 0) = f (x), (b) ut(x, 0) = g(x).
can be represented by the form
∫ x+ct
1 1
u(x, t) = [f (x + ct) + f (x − ct)] + g(s)ds.
2 2c x−ct

Proof By differentiating u(x, t) = Φ(x + ct) + Ψ(x − ct), we have

ut(x, t) = cΦ′(x + ct) − cΨ′(x − ct).
By the initial condition,
u(x, 0) = Φ(x) + Ψ(x) = f (x),
ut(x, 0) = cΦ′(x) − cΨ′(x) = g(x)
and by integrating the second equation, we obtain
∫
1 x
Φ(x) − Ψ(x) = k(x0) + g(s)ds,
c x0
where k(x0) = Φ(x0) − Ψ(x0).
Addition and subtraction give
∫
1 1 x 1
Φ(x) = f (x) + g(s)ds + k(x0),
2 2c x0 2
∫ x
1 1 1
Ψ(x) = f (x) − g(s)ds − k(x0).
2 2c x0 2
Therefore
∫ x+ct
1 1
u(x, t) = [f (x + ct) + f (x − ct)] + g(s)ds.
2 2c x−ct

When g = 0, this solution reduces to that of Section 12.3.

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 Chapter 12. Partial Differential Equations(PDEs) 14

Types of PDEs
The PDE of the form
Auxx + 2Buxy + Cuyy = F (x, y, u, ux, uy ) (1)
has three Types of PDEs, depending on the discriminant AC −B 2 as follows.
Type Defining Condition Example in Sec.12.1
Hyperbolic AC − B 2 < 0 Wave equation
Parabolic AC − B 2 = 0 Heat equation
Elliptic AC − B 2 > 0 Laplace equation
Note Ax2 + 2Bxy + Cy 2 + Dx + Ey + F = 0.
Ex. x2 − y 2 = 1: hyperbolic, x2 − y = 0: parabolic, x2 + 2y 2 = 1: elliptic

Ex. utt − c2uxx = 0

Set y = ct. utt − c2uxx = c2(uyy − uxx) = 0.
Type of the wave equation is hyperbolic.

Characteristics. Normal Forms of PDEs

The normal forms of (1) and the corresponding transformation are obtained
by solving the characteristic equation
dy
Ay ′2 − 2By ′ + C = 0 (y ′ = ).
dx
Its solutions are called the characteristics, and we write them in the form
Φ(x, y) = const, Ψ(x, y) = const. The transforms gives new variables
v, w instead of x, y.

Type New Variables Normal Form

Hyperbolic v = Φ, w=Ψ uvw = F1
Parabolic v = x, w=Φ=Ψ uvv = F2
Elliptic v = 12 (Φ + Ψ), w = 2i1 (Φ − Ψ) uvv + uww = F3

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 Chapter 12. Partial Differential Equations(PDEs) 15

Example 1. D’Alembert’s solution obtained systematically

Solve utt − c2uxx = 0.

Sol. Set y = ct, and then

utt − c2uxx = c2(uyy − uxx) = 0.
The characteristic equation (y ′)2 − 1 = 0, y ′ = −1, 1 has two families of
solutions(characteristics):
Φ(x, y) = y + x = const,
Ψ(x, y) = y − x = const.
Notice that the wave equation is a hyperbolic type. This gives new variables
v = Φ = y + x = ct + x,
w = Ψ = y − x = ct − x,
and the normal form
uvw = 0.
Thus d’Alembert’s solution of the wave equation is
u(x, t) = f1(ct + x) + f2(ct − x).

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 Chapter 12. Partial Differential Equations(PDEs) 16

§12.6 Heat Equation: Solution by Fourier Series

One Dimensional Heat Equation

1-dim heat equation .
2
∂u 2∂ u K
=c (c2 = )
∂t ∂x2 σρ

where c2 = thermal diffusivity, K = thermal conductivity,

ρ = density, σ = specific heat.
boundary condition u(0, t) = 0, u(L, t) = 0 for all t.

initial condition u(x, 0) = f (x), 0 ≤ x ≤ L, (initial temperature)

Fig. 294. Bar under consideration

Notice that f (0) = f (L) = 0 because of the boundary conditions.

• Step 1. Two ODEs from the heat equation
By the method of separating variables, set u(x, t) = F (x)G(t). Then
′′
′′ Ġ F
F Ġ = c2F G and 2 = .
cG F
Since the left side depends on only t and the right side only on x,
′′
Ġ F
= = k,
c2G F
and we have two ODEs
′′
F − kF = 0, Ġ − c2kG = 0.

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 Chapter 12. Partial Differential Equations(PDEs) 17

• Step 2. Satisfying the Boundary Conditions

From the Boundary Conditions
u(0, t) = F (0)G(t) = 0 for all t
u(L, t) = F (L)G(t) = 0 for all t.
If G ≡ 0, then u ≡ 0, which is of no interest.
Hence, G ̸= 0 and F (0) = F (L) = 0.

Case k = 0. F ′′ = 0 and F (x) = Ax + B. Since F (0) = F (L) = 0,

F ≡ 0 and u ≡ 0, which is of no interest.

Case k > 0, k = µ2. F ′′ − µ2F = 0 and F (x) = Aeµx + Be−µx.

Since F (0) = F (L) = 0, F ≡ 0 and u ≡ 0, which is of no interest.

Case k < 0, k = −p2. F ′′ +p2F = 0 and F (x) = A cos px+B sin px.
F (0) = A = 0, and F (L) = B sin(pL) = 0.
nπ
Thus p = , n = ±1, · · · and setting B = 1, we obtain
L
nπx
Fn(x) = sin , n = 1, 2, · · · .
L
cnπ
The other ODE Ġ + λ2nG = 0, λn = cp = L , has a solution

Gn(t) = Bne−λnt.
2

Hence, solutions of the heat equation are

un(x, t) = Fn(x)Gn(t)
nπx −λ2nt
= Bn sin e .
L
Here, un(x, t) are called the eigenfunctions, λn are called the eigenval-
ues, and the set {λ1, λ2, · · · } is called the spectrum.

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 Chapter 12. Partial Differential Equations(PDEs) 18

• Step 3. Solution of the Entire Problem. Fourier Series.

∞
∑
Since the heat equation is linear and homogeneous, un(x, t) is a
n=1
solution.
∞
∑ ∞
∑ nπx −λ2nt
u(x, t) = un(x, t) = Bn sin e .
n=1 n=1
L

From the Initial Conditions

∞
∑ nπx
u(x, 0) = Bn sin = f (x),
n=1
L

and using Fourier sine series

∫
2 L nπx
Bn = f (x) sin dx, n = 1, 2, ...
L 0 L
We have obtained a solution of heat equation that satisfies the boundary
conditions and initial condition.

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 Chapter 12. Partial Differential Equations(PDEs) 19

Example 1. (Sinusoidal initial temperature)

(a) Find the temperature u(x, t) in a laterally insulated copper bar 80cm
long if the initial temperature is 100 sin(πx/80)◦C and the ends are
kept at 0◦C. (Use c2 = 1.158[cm2/sec].)
(b) How long will it take for the maximum temperature in the bar to drop
to 50◦C?

Sol. (a)
∑∞ nπx −λn t 2
u(x, t) = n=1 Bn sin L e , λn = cnπ/80.
From the Initial Conditions
∞
∑ nπ πx
u(x, 0) = Bn sin x = 100 sin ,
n=1
80 80
2 2
So B1 = 100, B2 = B3 = · · · = 0 and λ21 = c80π2 = 0.001785[sec−1], the
solution is
πx
u(x, t) = 100 sin e−0.001785t.
80
(b) When 100e−0.001785t = 50, t = 388sec.

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 Chapter 12. Partial Differential Equations(PDEs) 20

Example 4. (Bar with insulated ends. Eigenvalue 0.)

Find a solution formula of heat equation with the initial condition u(x, 0) =
f (x), and the boundary condition replaced by the condition that both ends
of the bar are insulated. That is,
2
∂u 2∂ u
=c
∂t ∂x2
boundary condition
ux(0, t) = 0, ux(L, t) = 0 for all t
initial condition
u(x, 0) = f (x), 0 ≤ x ≤ L, initial temperature.

Sol.
• Step 1. Two ODEs from the heat equation
By the method of separating variables, set u(x, t) = F (x)G(t). Then
′′
Ġ F
= = k,
c2G F
and we have two ODEs
′′
F − kF = 0, Ġ − c2kG = 0.

• Step 2. Satisfying the Boundary Conditions

From the Boundary Conditions
ux(0, t) = F ′(0)G(t) = 0 for all t,
ux(L, t) = F ′(L)G(t) = 0 for all t.
If G ≡ 0, then u ≡ 0, which is of no interest.
Hence, G ̸= 0 and F ′(0) = F ′(L) = 0.

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 Chapter 12. Partial Differential Equations(PDEs) 21

Case k > 0, k = µ2. F ′′ − µ2F = 0 and F (x) = Aeµx + Be−µx.

Since F ′(0) = F ′(L) = 0, F ≡ 0 and u ≡ 0, which is of no interest.
Case k = 0. F ′′ = 0 ⇒ F (x) = A + Bx, F ′(0) = F ′(L) = −B = 0,
and setting A = 1, F (x) = F0(x) = 1.
Case k < 0, k = −p2(p > 0).
F ′′ + p2F = 0 ⇒ F (x) = A cos px + B sin px.
F ′(0) = Bp = 0, and F ′(L) = −Ap sin(pL) = 0.
p= nπ
L, n = 1, 2, · · · and setting A = 1, we obtain
nπ
F (x) = Fn(x) = cos x, n = 1, 2, · · · .
L
The other ODE Ġ + λ2nG = 0, λn = cp = cnπ L , has a solution

Gn(t) = Ane−λnt, n = 0, 1, · · · .
2

Hence, solutions of the heat equation are

nπx −λ2nt
un(x, t) = Fn(x)Gn(t) = An cos e , n = 0, 1, · · · .
L
• Step 3. Solution of the Entire Problem. Fourier Series.
∞
∑
Since the heat equation is linear and homogeneous, un(x, t) is a
n=0
solution.
∞
∑ ∞
∑ nπx −λ2nt
u(x, t) = un(x, t) = A0 + An cos e .
n=0 n=1
L
From the Initial Conditions
∞
∑ nπ
u(x, 0) = A0 + An cos x = f (x),
n=1
L
using Fourier cosine series
∫ ∫
1 L 2 L nπx
A0 = f (x)dx, An = f (x) cos dx.
L 0 L 0 L
We have obtained a solution of heat equation that satisfies the boundary
conditions and initial condition.
Department of Mathematics V. Choi
 Chapter 12. Partial Differential Equations(PDEs) 22

[Steady 2-Dim. Heat Problems, Laplace’s Equation]

Consider two-dimensional heat equation
∂u ( 2
2 ∂ u ∂ 2u )
=c ∇ u=c
2 2
+
∂t ∂x2 ∂y 2
for steady (i.e., time independent) problems. Then ∂u/∂t = 0, and heat
equation reduces to Laplace’s equation
∂ 2u ∂ 2u
∇ u = 2 + 2 = 0.
2
∂x ∂y
[Boundary Value Problem]
∂ 2u ∂ 2u
∇ u = 2 + 2 = 0.
2
∂x ∂y
Dirichlet boundary condition

Fig. 296. Rectangle R and given boundary values

u(0, y) = u(a, y) = 0 for all 0 ≤ y ≤ b,

u(x, 0) = 0, u(x, b) = f (x) for all 0 ≤ x ≤ a.
Sol. Substituting u(x, y) = F (x)G(y) into Laplace’s Equation,
1 d2F 1 d2 G
=− = −k.
F dx2 G dy 2
and we have two ODEs
d2F
+ kF = 0,
dx2
d2G
− kG = 0.
dy 2

Department of Mathematics V. Choi

 Chapter 12. Partial Differential Equations(PDEs) 23

From the Boundary Conditions

u(0, y) = F (0)G(y) = 0 for all 0 ≤ y ≤ b,
u(a, y) = F (a)G(y) = 0 for all 0 ≤ y ≤ b.
If G ≡ 0, then u ≡ 0, which is of no interest.
Hence, G ̸= 0 and F (0) = F (a) = 0.

Case k = 0. F ′′ = 0 and F (x) = A + Bx. Since F (0) = F (a) = 0,

F ≡ 0 and u ≡ 0, which is of no interest.

Case k < 0, k = −µ2. F ′′ − µ2F = 0 and F (x) = Aeµx + Be−µx.

Since F (0) = F (a) = 0, F ≡ 0 and u ≡ 0, which is of no interest.

Case k > 0, k = p2(p > 0).

F ′′ + p2F = 0 ⇒ F (x) = A cos px + B sin px.
F (0) = A = 0, and F (a) = B sin(pa) = 0.
a , n = 1, 2, · · · and setting B = 1, we obtain
p = nπ
nπx
F (x) = Fn(x) = sin , n = 1, 2, · · · .
a
d2G ( nπ )2
The other ODE − G = 0 has a solution
dy 2 a
nπy nπy
Gn(y) = Ane a + Bne− a , n = 1, 2, · · · .
From the Boundary Conditions
u(x, 0) = F (x)G(0) = 0 for all 0 ≤ x ≤ a, ⇒ G(0) = 0.
Thus Gn(0) = An + Bn = 0, Bn = −An and
nπy nπy nπy
Gn(y) = An(e a − e− a ) = A∗n sinh .
a

Department of Mathematics V. Choi

 Chapter 12. Partial Differential Equations(PDEs) 24

Hence, solutions of the Laplace’s equation are

nπx nπy
un(x, y) = Fn(x)Gn(y) = A∗n sin sinh .
a a
∑ ∞
Since the Laplace’s equation is linear and homogeneous, un(x, y) is a
n=1
solution.
∞
∑ ∞
∑ nπx nπy
u(x, y) = un(x, y) = A∗n sin sinh .
n=1 n=1
a a
From the boundary condition,
∞
∑ nπb nπx
u(x, b) = A∗n sinh sin = f (x),
n=1
a a

using the Fourier sine series

∫ a
nπb 2 nπx
A∗n sinh = f (x) sin dx.
a a 0 a
So, the solution of our problem u(x, y) is
∞
∑ nπx nπy
u(x, y) = A∗n sin
sinh
n=1
a a
∫ a
2 nπx
where A∗n = f (x) sin dx.
a sinh(nπb/a) 0 a

Department of Mathematics V. Choi

 Chapter 12. Partial Differential Equations(PDEs) 25

§12.7 Heat Equation: Modeling very long bars.

Solution by Fourier Integrals and Transforms
In this section, we deal with bars of infinite length(very long bars or wires).
Using Fourier integrals or Fourier transforms, we obtain the solution of
the heat equation.

One Dimensional Heat Equation

1-dim heat equation .
2
∂u 2∂ u K
=c (c2 = )
∂t ∂x2 σρ

where c2 = thermal diffusivity, K = thermal conductivity,

ρ = density, σ = specific heat.
initial condition u(x, 0) = f (x), −∞ < x < ∞, (initial temperature)

• Two ODEs from the heat equation

By the method of separating variables, set u(x, t) = F (x)G(t). Then
′′
2 ′′ Ġ F
F Ġ = c F G and 2 = .
cG F
Since the left side depends on only t and the right side only on x,
′′
Ġ F
= = k,
c2G F
and we have two ODEs
′′
F − kF = 0, Ġ − c2kG = 0.

If k = 0 then F (x) = Ax + B and G(t) = C.

If k = p2 > 0, then F (x) = Aepx + Be−px
2 p2 t
and G(t) = Cec .
These have no physical meaning(why).
Department of Mathematics V. Choi
 Chapter 12. Partial Differential Equations(PDEs) 26

Hence we must choose k = −p2 < 0. Then

F ′′ + p2F = 0 and Ġ + c2p2G = 0.
Solutions are
F (x) = A cos px + B sin px and G(t) = Ce−c
2 p2 t
,
hence(we take C = 1.) a solution of the heat equation is
u(x, t; p) = F (x)G(t) = (A cos px + B sin px)e−c
2 p2 t
.

• Use of Fourier Integrals

Since the heat equation is linear and homogeneous, the function
∫ ∞ ∫ ∞
[A(p) cos px + B(p) sin px]e−c p t dp
2 2
u(x, t) = u(x, t; p)dp =
0 0
is a solution, provided this integral exists and can be differentiated twice
w.r.t. x and once w.r.t. t.
From the initial condition, we get
∫ ∞
u(x, 0) = [A(p) cos px + B(p) sin px] dp = f (x).
0
Using the Fourier integrals, we have
∫ ∫
1 ∞ 1 ∞
A(p) = f (v) cos pv dv, B(p) = f (v) sin pv dv
π −∞ π −∞
and ∫ ∫
1 ∞[ ∞ ]
u(x, 0) = f (v) cos(px − pv) dv dp.
π 0 −∞
Similarly, we have
∫ ∫
1 ∞[ ∞ −c2 p2 t
]
u(x, t) = f (v) cos(px − pv)e dv dp.
π 0 −∞
Assuming that we may reverse the order of integration, we obtain
∫ [∫ ∞ 2 2 ]
1 ∞ −c p t
u(x, t) = f (v) e cos(px − pv) dp dv.
π −∞ 0

Department of Mathematics V. Choi

 Chapter 12. Partial Differential Equations(PDEs) 27
∫ ∞ √
π −b2
e−s cos 2bs ds =
2
Using the formula e ,
0 2
s x−v
and choosing p = √ , b = √ , we have
c t 2c t
∫ ∞ √ 2
−c2 p2 t π − (x−v)
e cos(px − pv) dp = √ e 4c t . 2

0 2c t
By inserting this result we obtain
∫ ∞ ( (x − v)2 )
1
u(x, t) = √ f (v) exp − 2t
dv.
2c πt −∞ 4c
v−x
Taking z = √ , we get the alternative form
2c t
∫ ∞
1 √ −z 2
u(x, t) = √ f (x + 2cz t)e dz.
π −∞

Department of Mathematics V. Choi

 Chapter 12. Partial Differential Equations(PDEs) 28

Example 1. (Temperature in an infinite Bar)

Find the temperature in the infinite bar if the initial temperature is


 U0(= const) if |x| < 1
f (x) =

 0 if |x| > 1.

Fig. 298. Initial temperature Fig. 299. Solution u(x, t) for several values of t

Sol. The temperature is

∫ 1 (x−v)2
U0 −
u(x, t) = √ e 4c2 t dv.
2c πt −1
v−x
√ ,
Setting z = 2c t
we have
∫ 1−x
√
U0 2c t
e−z dz.
2
u(x, t) = √
π − 1+x
√
2c t

Use Table A4 in App. 5, we can obtain the value of the integration.

Department of Mathematics V. Choi

 Chapter 12. Partial Differential Equations(PDEs) 29

[Use of Fourier Transforms]

Example 2. (Temperature in the infinite bar in Example 1.)
Solve Example 1 using the Fourier transform.

Sol. Let û = F(u) denote the Fourier transform of u, regarding as a function

of x. The heat equation
ut = c2uxx
gives
F(ut) = c2F(uxx) = c2(−w2)F(u) = −c2w2û.
Notice that ∫ ∞
1 ∂ û
F(ut) = √ ute−iwxdx = .
2π −∞ ∂t
Thus
∂ û
= −c2w2û.
∂t
By separating variables we get the general solution
û(w, t) = C(w)e−c
2 w2 t
.
The initial condition yields û(w, 0) = C(w) = fˆ(w), which implies
û(w, t) = fˆ(w)e−c w t.
2 2

The inversion formula gives the solution

∫ ∞
1
fˆ(w)e−c w teiwxdw
2 2
u(x, t) = √
2π −∞
and inserting the Fourier transform fˆ(w), inverting the order of integration,
we obtain ∫ ∞
1 [∫ ∞ ]
−c2 w2 t i(wx−wv)
u(x, t) = f (v) e e dw dv.
2π −∞ −∞
Notice that its imaginary part is odd function of w, so that the integral is 0,
and the real part is even function of w. The solution is
∫ [∫ ∞ 2 2 ]
1 ∞ −c w t
u(x, t) = f (v) e cos(wx − wv)dw dv
π −∞
∫ 1 [∫ ∞ 0 ]
U0 −c2 w2 t
= e cos(wx − wv)dw dv.
π −1 0
Department of Mathematics V. Choi
 Chapter 12. Partial Differential Equations(PDEs) 30

Example 3. (Solution in Example 1 by the method of convolution.)

Solve the heat equation in Example 1 using the method of convolution.

Sol. The beginning is as in Example 2 and leads to

∫ ∞
1
fˆ(w)e−c w teiwxdw
2 2
u(x, t) = √
∫ 2π
∞
−∞

= fˆ(w)ĝ(w)eiwxdw
−∞ ∫ ∞
= (f ∗ g)(x) = f (p)g(x − p)dp,
−∞

√1 e−c w t .
2 2
where ĝ(w) = 2π
Notice that

−ax2 1 − w2
F(e ) = √ e 4a .
2a
Hence 2
1 − x2
g(x) = √ √ e 4c t .
2c2t
2π
Replacing x with x − p and substituting this into (f ∗ g)(x), we have
u(x, t) = (f ∗ g)(x)
∫ ∞ (x−p)2
1 − 2
= √ f (p)e 4c t dp
2c πt −∞
∫ 1 (x−p)2
U0 −
= √ e 4c2t dp.
2c πt −1

Department of Mathematics V. Choi

 Chapter 12. Partial Differential Equations(PDEs) 31

§12.8 Modeling : Membrane,

Two-Dimensional Wave Equation

Physical Assumptions
1. The mass of the membrane per unit area is constant. The membrane is
perfectly flexible and offers no resistance to bearing.
2. The tension per unit length T is the same at all points and in all directions
and does not change during the motion.
3. The deflection u(x,y,t) of the membrane is small compared to the size
of the membrane, and all angles of inclination are small.

Department of Mathematics V. Choi

 Chapter 12. Partial Differential Equations(PDEs) 32

Modeling, PDE of the model “Two Dimensional Wave Equation”

Let u(x, y, t) be its displacements at any point (x, y) of the membrane at
time t. Let
T = the tension per unit length,
ρ = the density of the membrane.
Then u satisfies
( 2 )
∂ 2u 2 ∂ u ∂ 2
u 2 T
= c + (c = ).
∂t2 ∂x2 ∂y 2 ρ

[Derivation of the PDE]

• The forces acting on the sides of the portion are approximately T ∆x

and T ∆y.

• These forces are tangent to the moving membrane at every instant.

Horizontal Components of the Forces.

• horizontal components of the forces

= (cosine of of inclination)× forces

• Since the angles of inclination are small(cos α, cos β ≈ 1), the horizontal
components at opposite sides are approximately equal, thus the motion
in a horizontal direction will be negligibly small.

Vertical Components of the Forces.

T ∆y(sin β − sin α) ≈ T ∆y(tan β − tan α) (∵ angles are small)

= T ∆y[ux(x + ∆x, y1) − ux(x, y2)]

The other sides, similarly,

T ∆x[uy (x1, y + ∆y) − uy (x2, y)]

Department of Mathematics V. Choi
 Chapter 12. Partial Differential Equations(PDEs) 33

Using Newton’s Second Law

∂ 2u
ρ∆x∆y 2 = T ∆y[ux(x + ∆x, y1) − ux(x, y2)]
∂t
+T ∆x[uy (x1, y + ∆y) − uy (x2, y)]
and
∂ 2u T [ ux(x + ∆x, y1) − ux(x, y2) uy (x1, y + ∆y) − uy (x2, y) ]
= + .
∂t2 ρ ∆x ∆y
If ∆x, ∆y −→ 0, then
( )
∂ 2u 2 ∂ 2u ∂ 2u T
= c + c2 = .
∂t2 ∂x2 ∂y 2 ρ
This PDE is called the two-dimensional wave equation.

Department of Mathematics V. Choi

 Chapter 12. Partial Differential Equations(PDEs) 34

§12.9 Rectangular Membrane. Double Fourier series

[Two dimensional wave equation]

∂ 2u ( 2
2 ∂ u ∂ 2u ) T
=c ∇ u=c
2 2
+ (c2 = )
∂t2 ∂x2 ∂y 2 ρ

u = 0 on the boundary (boundary condition)

u(x, y, 0) = f (x, y) (initial condition(initial displacement))
ut(x, y, 0) = g(x, y) (initial condition(initial velocity)).

Fig. 302. Rectangular membrane

[Step 1. Three ODEs from the wave equation]

Set u(x, y, t) = F (x, y)G(t). Substitution into wave equation gives
G̈ 1
F G̈ = c2(FxxG + Fyy G) and = (Fxx + Fyy ).
c2G F
Since the left side depends only on t, whereas the right side is independent
of t, both sides must equal a constant.
G̈ 1
= (Fxx + Fyy ) = k.
c2G F
By a simple investigation we see that only negative values of k will leads
to solutions that satisfy the boundary condition without being identically
zero.(why) Denoting by k = −ν 2, we have
G̈ + λ2G = 0, (λ = cν)
Fxx + Fyy + ν 2F = 0. (Helmholtz equation)
Department of Mathematics V. Choi
 Chapter 12. Partial Differential Equations(PDEs) 35

Set F (x, y) = H(x)Q(y), substituting F = HQ into the Helmholtz equa-

tion and dividing both sides by HQ, we have
1 d2H 1 ( d2 Q )
=− 2
+ν Q .
H dx2 Q dy 2
Both sides must equal a constant and this constant must be negative, say,
−k 2. We have two ODEs for H and Q,
d2 H
2
+ k 2H = 0,
dx
d2 Q
2
+ p2Q = 0. (p2 = ν 2 − k 2)
dx
[Step 2. Satisfying the boundary condition]
General solutions of two ODEs are
H(x) = A cos kx + B sin kx,
Q(y) = C cos py + D sin py.
From u = F G = 0 on the boundary it follows that F = HQ must be zero
on the boundary, that is, on the edges x = 0, x = a, y = 0, y = b. This
gives the conditions
H(0) = 0, H(a) = 0, Q(0) = 0, Q(b) = 0.
Hence
H(0) = A = 0, H(a) = B sin ka = 0, Q(0) = C = 0, Q(b) = D sin pb = 0,
and we must take B ̸= 0 and D ̸= 0 and k = mπ a , p = nπ
b , m, n =positive
integer(why),
mπx nπy
Hm(x) = sin , Qn(y) = sin , m = 1, 2, · · · , n = 1, 2, · · · .
a b
Hence the functions
mπx nπy
Fmn(x, y) = Hm(x)Qn(y) = sin sin , m = 1, 2, · · · , n = 1, 2, · · ·
a b
are solutions of the Helmholtz equation that are zero on the boundary of the
membrane.
Department of Mathematics V. Choi
 Chapter 12. Partial Differential Equations(PDEs) 36

Notice that λ = cν and p2 = ν 2 − k 2, we have

√
λ = c k 2 + p2 .
mπ
Hence for k = a and p = nπ
b
√
m2 n2
λ = λmn = cπ + 2 , m = 1, 2, · · · , n = 1, 2, · · ·
a2 b
and a corresponding general solution of G̈ + λ2G = 0 is
∗
Gmn(t) = Bmn cos λmnt + Bmn sin λmnt.
Hence, for m = 1, 2, · · · , n = 1, 2, · · ·
∗ mπx nπy
umn(x, y, t) = (Bmn cos λmnt + Bmn sin λmnt) sin sin ,
a b
are solutions of the wave equation that are zero on the boundary of the
rectangular membrane. These functions are called the eigenfunctions and
the numbers λmn are called the eigenvalues of the vibrating membrane.

Discussion of eigenfunctions Several functions Fmn may correspond to

the same eigenvalue. Physically this means that there may exist vibrations
having the same frequency but entirely different nodal lines(curves of points
on the membrane that do not move.)

[Step 3. Solution of the model. Double Fourier series]

Consider the double series
∑∞ ∑ ∞
u(x, y, t) = umn(x, y, t)
m=1 n=1
∑∞ ∑ ∞
∗ mπx nπy
= (Bmn cos λmnt + Bmn sin λmnt) sin sin .
m=1 n=1
a b
From the initial condition, setting t = 0, we have
∑∞ ∑ ∞
mπx nπy
u(x, y, 0) = Bmn sin sin = f (x, y).
m=1 n=1
a b
Department of Mathematics V. Choi
 Chapter 12. Partial Differential Equations(PDEs) 37

Suppose that f (x, y) can be represented by the above. Then the series is
called the double series of f (x, y).
Setting
∑∞
nπy
km(y) = Bmn sin
n=1
b
we can write ∞
∑ mπx
f (x, y) = km(y) sin .
m=1
a
For fixed y this is the Fourier sine series of f (x, y). Hence
∫
2 a mπx
km(y) = f (x, y) sin dx
a 0 a
and ∫ b
2 nπy
Bmn = Km(y) sin dy,
b 0 b
and so ∫ ∫
4 b a mπx nπy
Bmn = f (x, y) sin sin dxdy,
ab 0 0 a b
Bmn is the generalized Euler formula(Fourier coefficients of f (x, y) in the
double series).
∗
To determine the Bmn , we consider
∞ ∑
∑ ∞
∗ mπx nπy
ut(x, y, 0) = Bmn λmn sin sin = g(x, y).
m=1 n=1
a b

Suppose that g(x, y) can be represented by the above. Then we have

∫ b∫ a
∗ 4 mπx nπy
Bmn = g(x, y) sin sin dxdy.
abλmn 0 0 a b
∗
Inserting Bmn and Bmn into u(x, y, t), we obtain the solution of wave equa-
tion satisfying the boundary condition and initial conditions.

Department of Mathematics V. Choi

 Chapter 12. Partial Differential Equations(PDEs) 38

Example 1. (Eigenvalues and eigenfunctions)

Consider the square membrane a = b = 1. Since

√
λmn = cπ m2 + n2,
λmn = λnm, but the corresponding functions
Fmn = sin mπx sin nπy, Fnm = sin nπx sin mπy
√
are different. For example, to λ12 = λ21 = cπ 5 there correspond two
functions
F12 = sin πx sin 2πy, F21 = sin 2πx sin πy.
Hence
√ ∗
√
u12 = (B12 cos cπ 5t + B12 sin cπ 5t)F12,
√ ∗
√
u21 = (B21 cos cπ 5t + B21 sin cπ 5t)F21
have the nodal lines y = 12 and x = 21 , respectively.
∗ ∗
Taking B12 = 1 and B12 = B21 = 0, we obtain
√
u12 + u21 = cos cπ 5t(F12 + B21F21)
√
which represents another vibration corresponding to the eigenvalue cπ 5.
The nodal line of the function is the solution of the equation
F12 + B21F21 = sin πx sin 2πy + B21 sin 2πx sin πy = 0
or sin πx sin πy(cos πy + B21 cos πx) = 0.
This solution depends on the value of B21.

Department of Mathematics V. Choi

 Chapter 12. Partial Differential Equations(PDEs) 39

Example 2. (Vibration of rectangular membrane.)

Find the vibration of a rectangular membrane of sides a = 4ft and b = 2ft
if the tension is 12.5lb/ft, the density is 2.5slugs/ft2, the initial velocity is 0,
and the initial displacement is
f (x, y) = 0.1(4x − x2)(2y − y 2)ft

T 12.5
Sol. c2 = = = 5 [ft2/sec2],
ρ 2.5
∗
Since the initial velocity is zero, Bmn = 0.
∫ 2∫ 4
4 mπx nπy
Bmn = 0.1(4x − x2)(2y − y 2) sin sin dxdy
4
 · 2 0 0 4 2

0 if m or n is even
=

 256·32
20m3 n3 π 6
if m and n both odd.
The solution is
√
∑ ∑ 256 · 32 5π √ 2 mπx nπy
u(x, y, t) = cos( m + n2 )t sin sin .
20m3n3π 6 4 4 2
m,n odd

Department of Mathematics V. Choi