Math 124B – February 02, 2012 «Viktor Grigoryan

8 Laplace’s equation: properties

We have already encountered Laplace’s equation in the context of stationary heat conduction and wave
phenomena. Recall that in two spatial dimensions, the heat equation is ut − k(uxx + uyy ) = 0, which
describes the temperatures of a two dimensional plate. Similarly, the vibrations of a two dimensional
membrane are described by the wave equation in two spatial dimensions, utt − c2 (uxx + uyy ) = 0. If one
considers stationary heat and wave states, i.e. not changing with time, then ut = utt = 0, and both the
heat and wave equations reduce to the stationary equation
uxx + uyy = 0.
This is the two dimensional Laplace equation. Analogously, in three dimension one has the equation
uxx + uyy + uzz = 0.
Using the notation ∆ = ∇ · ∇, we can rewrite Laplace’s equation in any dimension as
∆u = 0. (1)
The operator ∆ is called Laplace’s operator, or Laplacian. To distinguish the Laplacian in different
dimensions, we will use the subscript notation ∆n , where n stands for the dimensions. The solutions of
the Laplace equation (1) are called harmonic functions. The inhomogeneous Laplace’s equation
∆n u = f (x1 , x2 , . . . , xn ),
is called Poisson’s equation.
Besides describing stationary heat and wave phenomena, Laplace’s and Poisson’s equations come up
in the study of electrostatics, incompressible fluid flow, analytic functions theory, Brownian motion, etc.
Notice that in one dimension Laplace’s equation is the ODE uxx = 0, so the only harmonic functions
in one dimension are the linear functions u(x) = A + Bx.
An obvious distinction between Laplace’s equation and the heat and wave equations is that the pro-
cesses described by Laplace’s equation do not involve dynamics or evolution of the initial data in time.
Hence the natural problem to study for Laplace’s equation is the boundary value problem in some given
domain D. We will consider the equation
∆u = f in D, (2)
with either of the following conditions on the boundary ∂D of the domain D.
∂u ∂u
(D) : u ∂D
= h; (N) : = h; (R) : + au = h,
∂n ∂D ∂n ∂D

where n is the outer normal vector to this boundary.

When considering heat and wave boundary value problems, we saw that the boundary in one di-
mension consists of the endpoints of the interval (a, b), in which the equation is being solved. In two
dimensions the boundary will be a curve, while in three dimensions it is a surface, and we expect that
the geometry of the boundary will play a role in solving Laplace’s equation.
We will restrict our study of Laplace’s equation to two and three dimensions, and will occasionally
use the vector notation x = (x, y), or x = (x, y, z) to denote a point in either two dimensional, or three
dimensional space. Lets us start by first discussing the properties of Laplace’s equation.
8.1 Maximum principle
It turns out that harmonic functions obey a maximum principle, which is similar to the maximum prin-
ciple for the heat equation. In what follows, an open bounded connected set D is a set that does not
contain any of its boundary points (open), entirely lies inside some ball centered at the origin (bounded),

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and consists of one piece, i.e. any two points of the set can be connected by a curve that entirely lies
inside the set (connected).
Maximum Principle. Let D be a connected bounded open set (in either two or three dimensional
space), and u be a harmonic function in D, which is also continuous on the closure of the set, D = D∪∂D.
Then the maximum and minimum values of u are attained on the boundary of D. Moreover, the max-
imum and minimum values cannot be attained inside D, unless u ≡ constant.
Mathematically, this means that if u is a non-constant harmonic function in an open bounded con-
nected set D, then
max{u} < max{u} = max{u}, and min{u} = min{u} < min{u}.
D D ∂D ∂D D D

If we think of harmonic functions as equilibrium states in the heat conduction, then the maximum
principle makes perfect sense, since if there was a maximum temperature at an interior point of the
domain D, there would have been a heat flux from this point to the points with lower temperature,
which would consequently decrease the temperature of this point, making the state unsteady.
The idea of the proof of the maximum principle is similar to the one used in proving the maximum
principle for the heat equation. We start by noting that if, say in two dimensions, (x0 , y0 ) is a max-
imum point, then both uxx (x0 , y0 ) ≤ 0 and uyy (x0 , y0 ) ≤ 0 by the second derivative test. But then
∆u(x0 , y0 ) = uxx (x0 , y0 ) + uyy (x0 , y0 ) ≤ 0. This would be a contradiction, if the inequality was strict,
however second order derivatives may be zero at extrema points.
To eliminate this scenario, we modify the function u, and consider the new function v(x) = u(x)+|x|2 ,
where  > 0 is a small constant. But then we have
∆2 v = ∆2 u + ∆2 (x2 + y 2 ) = 0 + 4 > 0 in D,
and similarly in three dimensions. But ∆2 v = vxx + vyy ≤ 0 at an interior maximum point, therefore
v(x) has no interior maximum points in D. Since v(x) is continuous, it must attain its maximum value
somewhere in the closed set D, so the maximum must be attained at some point x0 ∈ ∂D. Then for
every point x in D, we have
u(x) ≤ v(x) ≤ v(x0 ) = u(x0 ) + |x0 |2 ≤ max{u} + l2 ,
∂D

where l is the largest distance from the origin to the boundary of the (bounded) set D. Since  was
arbitrary, we can make it go to zero, yielding
u(x) ≤ max{u}, for every x ∈ D.
∂D

So the maximum of u must be attained on the boundary. The proof for the minimum is similar. The
stronger statement that the maximum cannot be attained inside D will be proved later via the mean
value property of harmonic functions.
8.2 Uniqueness of the Dirichlet problem
As was the case for the heat equation, the maximum principle directly implies uniqueness of the Dirichlet
problem for Poisson’s equation. Indeed, suppose that the Dirichlet problem

∆u = f in D,
u = h on ∂D,

where D is open bounded and connected, has two solutions u1 , u2 . Then their difference, w = u1 − u2 , is
harmonic, and has zero Dirichlet data on the boundary ∂D. But by the maximum/minimum principle

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we have for any point x ∈ D,
0 = min{w} ≤ w(x) ≤ max{w} = 0,
∂D ∂D

so w(x) = u1 (x) − u2 (x) ≡ 0.

We will give an alternative proof of the uniqueness using the energy method in a subsequent lecture,
which will also show that solutions to the Neumann problem are unique up to a constant.
8.3 Invariance
Laplace’s equation is invariant under rigid motions, which are the translations, and rotations. A trans-
lation is a transformation x → x0 , which is given by x0 = x + a for some vector a. In two dimensions
this vector equation is equivalent to
x0 = x + a, y 0 = y + b,
and it is easy to see that uxx + uyy = ux0 x0 + uy0 y0 = 0. So if a function is harmonic in the variables (x, y),
it must also be harmonic in the variables (x0 , y 0 ). This is the invariance under translations. Clearly this
holds in higher dimensions as well.
For the invariance under rotations, we need to show that Laplace’s equation remains the same in the
variables  0    
x0 = x cos α + y sin α x cos α sin α x
or = ,
y 0 = −x sin α + y cos α, y0 − sin α cos α y
where α is the angle of rotation.
Using the chain rule, one can compute ux , uy , and then uxx , uyy in terms of the partial derivatives of
u with respect to (x0 , y 0 ) variables, and show that

uxx + uyy = (ux0 x0 + uy0 y0 )(cos2 α + sin2 α) = ux0 x0 + uy0 y0 .

Thus, Laplace’s operator is invariant under rotations in two dimensions.
One can prove the invariance under rotations in any dimension n = 2, 3, . . . using the matrix notation
as follows. In any dimension n a rotation is given by
n
X
0
x = Bx, or x0k = bki xi ,
i=1

where B = {bij } is an orthogonal matrix, that is

n
X
t t
BB = B B = I, or bki bli = δkl ,
i=1

where δkl = 1, if k = l, and δkl = 0, if k 6= l is the Kronecker symbol. Using the chain rule, we can compute
X ∂x0 ∂ n n
∂ k
X ∂
= 0
= bki 0 .
∂xi k=1
∂xi ∂xk k=1
∂xk

To compute the second order derivatives, we multiply the first order derivative operator by itself.
n
! n
! n
∂2 X ∂ X ∂ X ∂2
= b ki 0
· b li 0
= b b
ki li 0 0
.
∂x2i k=1
∂x k l=1
∂x l k,l=1
∂x k ∂x l

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But then
n n X n n n
! n
X ∂2 X ∂2 X X ∂2 X
l ∂2
∆x = = bki bli 0 0 = bki bli = δ k = ∆x0 .
i=1
∂x2i i=1 k,l=1
∂xk ∂xl k,l=1 i=1 ∂x0k ∂x0l k,l=1 ∂x0k ∂x0l

So Laplace’s operator is indeed invariant under rotations.

The rotation invariance also implies that Laplace’s equation allows rotationally invariant solutions,
that is, solutions that depend only on the radial variable r = |x|. We will call such solutions radial.
8.4 Radial solutions of Laplace’s equation
In order to find radial solutions to Laplace’s equation, we make a change to polar variables in two
dimensions, and to spherical variables in three dimensions. Notice that in this case the radial solution
simply means that u(r, θ) = u(r), or u(r, θ, φ) = u(r), that is, the function depends on only one variable,
and, as a consequence, the PDE will reduce to an ODE.
We first make a change to polar variables in two dimensions, for which the transformation formulas are
  ∂x ∂y   
x = r cos θ ∂(x, y) ∂r ∂r cos θ sin θ
with Jacobian matrix = ∂y = .
y = r sin θ, ∂(r, θ) ∂x
∂θ ∂θ
−r sin θ r cos θ
p
Using r = x2 + y 2 , one can compute the partial derivatives
∂r 2x x ∂r y
= p = = cos θ, = = sin θ.
∂x 2 x2 + y 2 r ∂y r

Also, differentiating both sides of x = r cos θ with respect to x, we get

∂r ∂θ ∂θ ∂θ 1 − cos2 θ sin θ
1= cos θ − r sin θ = cos2 θ − r sin θ ⇒ =− =− .
∂x ∂x ∂x ∂x r sin θ r
∂θ
can be computed similarly. So the Jacobian matrix of the inverse transformation is
∂y
 ∂r ∂θ   
∂(r, θ) ∂x ∂x cos θ − sin θ/r
= ∂r ∂θ = .
∂(x, y) ∂y ∂y
sin θ cos θ/r

By the chain rule, we will have

∂ ∂ sin θ ∂ ∂ ∂ cos θ ∂
= cos θ − , and = sin θ + .
∂x ∂r r ∂θ ∂y ∂r r ∂θ
Using these, one can compute
2 2
∂2 1 ∂2
 
∂ ∂ 1 ∂
∆2 = + = + + .
∂x ∂y ∂r2 r ∂r r2 ∂θ2
And the Laplace equation can be written in polar variables as
1 1
urr + ur + 2 uθθ = 0.
r r
For a radial solution u(r, θ) = u(r), the last term in the above equation will vanish, yielding the equation
1
urr + ur = 0, or rurr + ur = 0,
r

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which is an ODE, as expected. The last equation can be written as
(rur )r = 0,
´ 1
where we used the integrating factor exp( r
dr). Integrating the last equation gives
1
rur = c1 , or ur = c1 .
r
Integrating once more gives the solution
u(r) = c1 log r + c2 .
Disregarding the constant solution c2 , we see that the function log r = log |x| is harmonic in two dimen-
sions.

To find radial solutions in three dimensions, we need to make a change to spherical variables, which
is given by the transformations
p √
r = x2 + y 2 + z 2 = s 2 + z 2
p
s = x2 + y 2
x = s cos φ z = r cos θ
y = s sin φ s = r sin θ.
Thus, the transformation to spherical variables can be thought of as the pair of successive transformations
(x, y, z) → (s, φ, z) → (r, θ, φ).
Using the above computation in two dimensions, we have that
1 1
uzz + uss = urr + ur + 2 uθθ , and
r r
1 1
uxx + uyy = uss + us + 2 uφφ .
s s
Adding these two identities, and canceling the term uss on both sides, we get
1 1 1 1
∆3 u = urr + ur + us + 2 uθθ + 2 uφφ . (3)
r s r s
We can also compute
∂u ∂r ∂θ ∂φ s cos θ
us = = ur + uθ + uφ = ur + uθ .
∂s ∂s ∂s ∂s r r
Then replacing us in (3) by the above expression, and substituting s = r sin θ for all occurrences of s,
we obtain Laplace’s equation in the spherical variables in three dimensions
 
2 1 1
urr + ur + 2 uθθ + cot θuθ + uφφ = 0.
r r sin2 θ
For a radial solution u(r, θ, φ) = u(r), the entire square brackets term will vanish, so Laplace’s equation
will reduce to the ODE
2
urr + ur = 0.
r

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Multiplying this equation by r2 , we can write it as
(r2 ur )r = 0,
´ 2
where we used the integrating factor exp( r
dr). Integrating this equation gives
1
r 2 u r = c1 , or ur = c1 .
r2
Integrating yet again, we obtain the solution
1
u(r) = −c1 + c2 .
r
So the function 1/r = 1/|x| is harmonic in three dimensions.
Notice that both 1/r and log r functions are not defined at the origin r = 0, but they will be harmonic
on any domain which does not contain the origin. We will see in subsequent lectures that these functions
in the context of Laplace’s equation play a role similar to that of the heat kernel in the context of the
heat equation.
8.5 Conclusion
In this lecture we studied the maximum principle for Laplace’s equation, which trivially implies the
uniqueness of solutions to the Dirichlet problem for Poisson’s equation. We also saw that Laplace’s
equation is invariant under translations and rotations. The last fact accounted for existence of radial
solutions, which are solutions that are invariant under rotations, and hence depend only on the radial
variable r. Making a change to polar variables in two dimensions, and spherical variables in three dimen-
sions, we were able to find radial harmonic functions by solving the ODEs satisfied by these functions.
We will see in a later lecture that these radial harmonic functions play a crucial role in finding the
solution to the Dirichlet problem for Laplace’s and Poisson’s equations.