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will be simple solutions for linear problems. Classic domains where PDEs are used include acoustics, uid ow,
electrodynamics, and heat transfer.
A partial dierential equation (PDE) for the function
u(x1 , , xn ) is an equation of the form
)
(
u
u
2u
2u
f x1 , . . . , xn , u,
,...,
,
,...,
, . . . = 0.
x1
xn x1 x1
x1 xn
If F is a linear function of u and its derivatives, then the
PDE is called linear. Common examples of linear PDEs
include the heat equation, the wave equation, Laplaces
equation, Helmholtz equation, KleinGordon equation,
and Poissons equation.
u
(x, y) = 0.
x
This relation implies that the function u(x,y) is independent of x. However, the equation gives no information on
the functions dependence on the variable y. Hence the
general solution of this equation is
PDEs can be used to describe a wide variety of phenomena such as sound, heat, electrostatics, electrodynamics,
uid ow, elasticity, or quantum mechanics. These u(x, y) = f (y),
seemingly distinct physical phenomena can be formalised similarly in terms of PDEs. Just as ordi- where f is an arbitrary function of y. The analogous ornary dierential equations often model one-dimensional dinary dierential equation is
dynamical systems, partial dierential equations often
model multidimensional systems. PDEs nd their generalisation in stochastic partial dierential equations.
du
(x) = 0,
dx
Introduction
u(x) = c,
where c is any constant value. These two examples illustrate that general solutions of ordinary dierential equations (ODEs) involve arbitrary constants, but solutions of
PDEs involve arbitrary functions. A solution of a PDE
is generally not unique; additional conditions must generally be specied on the boundary of the region where
the solution is dened. For instance, in the simple example above, the function f(y) can be determined if u is
specied on the line x = 0.
1
4 EXAMPLES
Although the issue of existence and uniqueness of solutions of ordinary dierential equations has a very satisfactory answer with the PicardLindelf theorem, that is
far from the case for partial dierential equations. The
CauchyKowalevski theorem states that the Cauchy problem for any partial dierential equation whose coecients are analytic in the unknown function and its derivatives, has a locally unique analytic solution. Although this
result might appear to settle the existence and uniqueness
of solutions, there are examples of linear partial dierential equations whose coecients have derivatives of all
orders (which are nevertheless not analytic) but which
have no solutions at all: see Lewy (1957). Even if the
solution of a partial dierential equation exists and is
unique, it may nevertheless have undesirable properties.
The mathematical study of these questions is usually in
the more powerful context of weak solutions.
An example of pathological behavior is the sequence (depending upon n) of Cauchy problems for the Laplace
equation
uxx =
uxy
2u
x2
2u
=
=
y x
y
u
x
)
.
4 Examples
4.1 Heat equation in one space dimension
2u 2u
+ 2 = 0,
x2
y
u(x, 0) = 0,
ut = uxx
u
sin(nx)
(x, 0) =
,
y
n
where u(t,x) is temperature, and is a positive constant
where n is an integer. The derivative of u with respect that describes the rate of diusion. The Cauchy probto y approaches 0 uniformly in x as n increases, but the lem for this equation consists in specifying u(0, x)= f(x),
solution is
where f(x) is an arbitrary function.
General solutions of the heat equation can be found by
the method of separation of variables. Some examples
sinh(ny) sin(nx)
u(x, y) =
.
appear in the heat equation article. They are examples of
n2
Fourier series for periodic f and Fourier transforms for
This solution approaches innity if nx is not an integer non-periodic f. Using the Fourier transform, a general
multiple of for any non-zero value of y. The Cauchy solution of the heat equation has the form
problem for the Laplace equation is called ill-posed or
not well posed, since the solution does not depend con
tinuously upon the data of the problem. Such ill-posed
2
1
u(t,
x)
=
F ()e t eix d,
problems are not usually satisfactory for physical appli2
cations.
where F is an arbitrary function. To satisfy the initial
condition, F is given by the Fourier transform of f, that is
Notation
1
In PDEs, it is common to denote partial derivatives using F () =
2
subscripts. That is:
ux =
u
x
f (x)eix dx.
4.3
source. For a source whose strength is normalized to 1, that are drawn backwards from that point. These curves
the result is
correspond to signals that propagate with velocity c forward and backward. Conversely, the inuence of the
data at any given point on the initial line propagates with
1
the nite velocity c: there is no eect outside a triangle
F () = ,
through that point whose sides are characteristic curves.
2
This behavior is very dierent from the solution for the
and the resulting solution of the heat equation is
heat equation, where the eect of a point source appears
(with small amplitude) instantaneously at every point in
space. The solution given above is also valid if t < 0,
2
1
and the explicit formula shows that the solution depends
u(t, x) =
e t eix d.
2
smoothly upon the data: both the forward and backward
This is a Gaussian integral. It may be evaluated to obtain Cauchy problems for the wave equation are well-posed.
(
)
1
x2
u(t, x) =
exp
.
4t
2 t
This result corresponds to the normal probability density Where heat-like equation means equations of the form:
for x with mean 0 and variance 2t. The heat equation
and similar diusion equations are useful tools to study
u
random phenomena.
+ f (x, t)u + g(x, t)
= Hu
t
4.2
Wave equation in one spatial dimen- where H is a SturmLiouville operator subject to the
boundary conditions:
sion
The wave equation is an equation for an unknown function u(t, x) of the form
u(x, 0) = h(x).
Then:
2
utt = c uxx .
If:
an (t)Xn (x)
u(x, t) =
an (0) =
u(0, x) = f (x),
ut (0, x) = g(x),
1
u(t, x) = 12 [f (x ct) + f (x + ct)]+
2c
x+ct
g(y) dy.
f (x)g(x)w(x) dx.
(f, g) =
a
xct
This formula implies that the solution at (t,x) depends only 4.4 Spherical waves
upon the data on the segment of the initial line that is cut
out by the characteristic curves
Spherical waves are waves whose amplitude depends only
upon the radial distance r from a central point source. For
such waves, the three-dimensional wave equation takes
x ct = constant, x + ct = constant,
the form
4 EXAMPLES
4.5.2 A typical boundary value problem
[
]
2
2
utt = c urr + ur .
r
This is equivalent to
A typical problem for Laplaces equation is to nd a solution that satises arbitrary values on the boundary of a
domain. For example, we may seek a harmonic function
that takes on the values u() on a circle of radius one. The
solution was given by Poisson:
(ru)tt = c2 [(ru)rr ] ,
2
1
1 r2
(r,
)
=
u( )d .
and hence the quantity ru satises the one-dimensional
2
2 0 1 + r 2r cos( )
wave equation. Therefore a general solution for spherical
Petrovsky (1967, p. 248) shows how this formula can
waves has the form
be obtained by summing a Fourier series for . If r <
1, the derivatives of may be computed by dierentiating under the integral sign, and one can verify that is
1
u(t, r) = [F (r ct) + G(r + ct)] ,
analytic, even if u is continuous but not necessarily dierr
entiable. This behavior is typical for solutions of elliptic
where F and G are completely arbitrary functions. Radi- partial dierential equations: the solutions may be much
ation from an antenna corresponds to the case where G more smooth than the boundary data. This is in conis identically zero. Thus the wave form transmitted from trast to solutions of the wave equation, and more general
an antenna has no distortion in time: the only distorting hyperbolic partial dierential equations, which typically
factor is 1/r. This feature of undistorted propagation of have no more derivatives than the data.
waves is not present if there are two spatial dimensions.
4.5
ux = vy ,
vx = uy ,
t + ux + vy + wz = 0.
In the one-dimensional case where u is not constant and
is equal to , the equation is referred to as Burgers equation.
vxx + vyy = 0.
Conversely, given any harmonic function in two dimensions, it is the real part of an analytic function, at least
locally. Details are given in Laplace equation.
iut + puxx + q|u|2 u = iu
4.11
Vibrating string
4.9
n
,
L
X (L) = 0.
u(t, L) = 0,
u(0, x) = f (x),
ut (0, x) = g(x).
1
utt = uxx + uyy ,
c2
if t>0 and (x,y) is in D. The boundary condition is u(t,x,y)
= 0 if (x,y) is on C. The method of separation of variables
leads to the form
vxx + vyy + k 2 v = 0.
CLASSIFICATION
Classication
5.1
5.2
2. B 2 AC = 0 : equations that are parabolic at every point can be transformed into a form analogous
to the heat equation by a change of independent variables. Solutions smooth out as the transformed time
variable increases. The EulerTricomi equation has
parabolic type on the line where x = 0.
3. B 2 AC > 0 : hyperbolic equations retain any discontinuities of functions or derivatives in the initial
data. An example is the wave equation. The motion
of a uid at supersonic speeds can be approximated
with hyperbolic PDEs, and the EulerTricomi equation is hyperbolic where x > 0.
If there are n independent variables x1 , x , ..., xn, a general linear partial dierential equation of second order
has the form
Lu =
Auxx + 2Buxy + Cuyy + (lower order terms) = 0,
n
n
i=1 j=1
ai,j
2u
xi xj
where the coecients A, B, C etc. may depend upon x The classication depends upon the signature of the
and y. If A2 + B 2 + C 2 > 0 over a region of the xy eigenvalues of the coecient matrix ai,j..
plane, the PDE is second-order in that region. This form
is analogous to the equation for a conic section:
1. Elliptic: The eigenvalues are all positive or all negative.
Ax2 + 2Bxy + Cy 2 + = 0.
More precisely, replacing x by X, and likewise for other
variables (formally this is done by a Fourier transform),
converts a constant-coecient PDE into a polynomial of
the same degree, with the top degree (a homogeneous
polynomial, here a quadratic form) being most signicant
for the classication.
Just as one classies conic sections and quadratic forms
into parabolic, hyperbolic, and elliptic based on the
discriminant B 2 4AC , the same can be done for
5.4
5.3
Systems of rst-order equations and case, this cone has m sheets, and the axis = runs inside these sheets: it does not intersect any of them. But
characteristic surfaces
Lu =
=1
If a PDE has coecients that are not constant, it is possible that it will not belong to any of these categories but
rather be of mixed type. A simple but important example is the EulerTricomi equation
u
+ B = 0,
x
(x1 , x2 , . . . , xn ) = 0,
where has a non-zero gradient, then S is a characteristic surface for the operator L at a given point if the
5.5
characteristic form vanishes:
(
Q
,...,
x1
xn
= det
A
x
=1
]
= 0.
The geometric interpretation of this condition is as follows: if data for u are prescribed on the surface S, then it
may be possible to determine the normal derivative of u
on S from the dierential equation. If the data on S and
the dierential equation determine the normal derivative
of u on S, then S is non-characteristic. If the data on S
and the dierential equation do not determine the normal derivative of u on S, then the surface is characteristic, and the dierential equation restricts the data on S:
the dierential equation is internal to S.
6 Analytical
PDEs
methods
to
solve
6.2
Method of characteristics
Fundamental solution
Inhomogeneous equations can often be solved (for constant coecient PDEs, always be solved) by nding the
fundamental solution (the solution for a point source),
In special cases, one can nd characteristic curves on then taking the convolution with the boundary conditions
which the equation reduces to an ODE changing co- to get the solution.
ordinates in the domain to straighten these curves allows
This is analogous in signal processing to understanding a
separation of variables, and is called the method of charlter by its impulse response.
acteristics.
Main article: Method of characteristics
6.3
Integral transform
Because any superposition of solutions of a linear, homogeneous PDE is again a solution, the particular solutions
An integral transform may transform the PDE to a sim- may then be combined to obtain more general solutions.
pler one, in particular a separable PDE. This corresponds if u1 and u2 are solutions of a homogeneous linear pde in
to diagonalizing an operator.
same region R, then u= c1u1+c2u2 with any constants c1
An important example of this is Fourier analysis, which and c2 is also a solution of that pde in that same region....
diagonalizes the heat equation using the eigenbasis of sinusoidal waves.
If the domain is nite or periodic, an innite sum of solutions such as a Fourier series is appropriate, but an inSee also the list of nonlinear partial dierential
tegral of solutions such as a Fourier integral is generally
equations.
required for innite domains. The solution for a point
source for the heat equation given above is an example There are no generally applicable methods to solve nonfor use of a Fourier integral.
linear PDEs. Still, existence and uniqueness results (such
as the CauchyKowalevski theorem) are often possible,
as
are proofs of important qualitative and quantitative
6.4 Change of variables
properties of solutions (getting these results is a major
Often a PDE can be reduced to a simpler form with a part of analysis). Computational solution to the nonlinear
known solution by a suitable change of variables. For ex- PDEs, the split-step method, exist for specic equations
like nonlinear Schrdinger equation.
ample the BlackScholes PDE
V
1
2V
V
+ 2 S 2 2 + rS
rV = 0
t
2
S
S
is reducible to the heat equation
2u
u
=
x2
by the change of variables (for complete details see
Solution of the Black Scholes Equation at the Wayback
Machine (archived April 11, 2008))
7.1
9
Galerkin nite element method (DGFEM), Element-Free
Galerkin Method (EFGM), Interpolating Element-Free
Galerkin Method (IEFGM), etc.
6.8
From 1870 Sophus Lie's work put the theory of dierential equations on a more satisfactory foundation. He
showed that the integration theories of the older mathematicians can, by the introduction of what are now
called Lie groups, be referred to a common source; and
that ordinary dierential equations which admit the same
innitesimal transformations present comparable diculties of integration. He also emphasized the subject of
transformations of contact.
A general approach to solve PDEs uses the symmetry property of dierential equations, the continuous
innitesimal transformations of solutions to solutions (Lie
theory). Continuous group theory, Lie algebras and
dierential geometry are used to understand the structure
of linear and nonlinear partial dierential equations for
generating integrable equations, to nd its Lax pairs, recursion operators, Bcklund transform and nally nding
exact analytic solutions to the PDE.
The nite element method (FEM) (its practical application often known as nite element analysis (FEA)) is a
numerical technique for nding approximate solutions of
partial dierential equations (PDE) as well as of integral
equations. The solution approach is based either on eliminating the dierential equation completely (steady state
problems), or rendering the PDE into an approximating
system of ordinary dierential equations, which are then
numerically integrated using standard techniques such as
Eulers method, RungeKutta, etc.
Symmetry methods have been recognized to study differential equations arising in mathematics, physics, engi7.3
neering, and many other disciplines.
6.9
Semianalytical methods
The adomian decomposition method, the Lyapunov articial small parameter method, and Hes homotopy perturbation method are all special cases of the more general
homotopy analysis method. These are series expansion
methods, and except for the Lyapunov method, are independent of small physical parameters as compared to the
well known perturbation theory, thus giving these methods greater exibility and solution generality.
10
10
References
Adomian, G. (1994). Solving Frontier problems of
Physics: The decomposition method. Kluwer Academic Publishers.
EXTERNAL LINKS
Courant, R. & Hilbert, D. (1962), Methods of Mathematical Physics II, New York: Wiley-Interscience.
Solin, P.; Segeth, K. & Dolezel, I. (2003), HigherOrder Finite Element Methods, Boca Raton: Chapman & Hall/CRC Press, ISBN 1-58488-438-X.
Gershenfeld, N. (1999), The Nature of Mathematical Modeling (1st ed.), New York: Cambridge University Press, New York, NY, USA, ISBN 0-52157095-6.
Krasilshchik, I.S. & Vinogradov, A.M., Eds.
(1999), Symmetries and Conserwation Laws for Differential Equations of Mathematical Physics, American Mathematical Society, Providence, Rhode Island,USA, ISBN 0-8218-0958-X.
Krasilshchik, I.S.; Lychagin, V.V. & Vinogradov,
A.M. (1986), Geometry of Jet Spaces and Nonlinear Partial Dierential Equations, Gordon and
Breach Science Publishers, New York, London,
Paris, Montreux, Tokyo, ISBN 2-88124-051-8.
Vinogradov, A.M. (2001), Cohomological Analysis
of Partial Dierential Equations and Secondary Calculus, American Mathematical Society, Providence,
Rhode Island,USA, ISBN 0-8218-2922-X.
10 External links
Partial Dierential Equations: Exact Solutions at
EqWorld: The World of Mathematical Equations.
11
Partial Dierential Equations: Index at EqWorld:
The World of Mathematical Equations.
Partial Dierential Equations: Methods at EqWorld:
The World of Mathematical Equations.
Partial Dierential Equations in Cleve Moler: Numerical Computing with MATLAB
Example problems with solutions at exampleproblems.com
Partial
Dierential
world.wolfram.com
Equations
at
math-
12
11
11
11.1
11.2
Images
11.3
Content license