Introduction and Basic Definitions

First-Order Partial Dierential Equations

MA 201: Partial Dierential Equations

Lecture - 1

MA201(2016):PDE

Introduction and Basic Definitions

First-Order Partial Dierential Equations

What is a dierential equation?

Recall n-th order ordinary dierential equation (ODE):
F (x, y (x), y (x), y (x), , y (n) (x)) = 0,
where y (x) =
Facts:

dy
dx ,

y (x) =

d 2y
dx 2 ,

, y (n) (x) =

(1)

dny
dx n .

In an ODE, there is only one independent variable (Here x) so that

all the derivatives appearing in the equation are ordinary derivatives

of the unknown function y (x).
The order of an ODE is the order of the highest derivative that
occurs in the equation.
Equation (1) is linear if F is linear in y , y , y , . . . , y (n) , with the

coecients depending on the independent variable x.

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Introduction and Basic Definitions

First-Order Partial Dierential Equations

Example
y (x) + 3y (x) + xy (x) = 0 (second-order, linear)
y (x) + 3y (x)y (x) + xy (x) = 0 (second-order, nonlinear)
y (x) + 3y (x) + xy 2 (x) = 0 (second-order, nonlinear)
y (x) + 5xy (x) + sin(x)y (x) = 0 (third-order, linear)

Theorem (Picards Theorem)

Let R : |x x0 | < a, |y y0 | < b be a rectangle. Let f (x, y ) be
continuous and bounded in R, i.e., there exists a number K such that
|f (x, y )| K (x, y ) R.
Further, let f satisfy the Lipschitz condition with respect to y in R, i.e.,
there exists a number M such that
|f (x, y2 ) f (x, y1 )| M|y2 y1 | (x, y1 ), (x, y2 ) R.
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Introduction and Basic Definitions

First-Order Partial Dierential Equations

Then, the IVP

y (x) = f (x, y ),

y (x0 ) = y0

(3)

has a unique solution y (x). This solution is defined for all x in the
interval
b
|x x0 | < , where = min{a, }.
K
Lets consider its generalization to a system of n first-order ODEs in n
unknowns
dyi (x)
= fi (x, y1 , . . . , yn ),
dx
satisfying the initial conditions

i = 1, . . . , n,

y1 (x0 ) = y10 , . . . , yn (x0 ) = yn0 ,

where y10 , . . . , yn0 are the given initial values.

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Introduction and Basic Definitions

First-Order Partial Dierential Equations

Theorem (Existence and uniqueness results)

Let Q be a box in Rn+1 defined by
Q : |x x0 | < a, |y1 y10 | < b1 , . . . , |yn yn0 | < bn .
Let each of the functions f1 , . . . , fn be continuous and bounded in Q, and
satisfy the following Lipschitz condition with respect to the variables
y1 , y2 , . . . , yn , i.e., there exists constants L1 , . . . , Ln such that
|f (x, y11 , . . . , yn1 ) f (x, y12 , . . . , yn2 )| L1 |y11 y12 | + + Ln |yn1 yn2 |
for all pairs of points (x, y11 , . . . , yn1 ), (x, y12 , . . . , yn2 ) Q.
Then there exists a unique set of functions y1 (x), . . . , yn (x) defined for x
in some interval |x x0 | < h, 0 < h < a such that y1 (x), . . . , yn (x) solve
(4)-(5).

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Introduction and Basic Definitions

First-Order Partial Dierential Equations

Definition
A partial dierential equation (PDE) for a function u(x1 , x2 , . . . , xn )
(n 2) is a relation of the form
F (x1 , x2 , . . . , xn , u, ux1 , ux2 , . . . , ux1 x1 , ux1 x2 , . . . , ) = 0,

(6)

where F is a given function of the independent variables x1 , x2 , . . . , xn ; of

the unknown function u and of a finite number of its partial derivatives.
The order of an equation:The order of a PDE is the order of the
highest derivative appearing in the equation. If the highest derivative is
of order m, then the equation is said to be of order m.
ut uxx = f (x, t) (second-order equation)
ut + uxxx + uxxxx = 0 (fourth-order equation)

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Introduction and Basic Definitions

First-Order Partial Dierential Equations

Definition (Classification)
A PDE is said to be linear if F is linear in the unknown function u

and its partial derivatives, with coecients depending on the

independent variables x1 , x2 , . . . , xn .
A PDE of order m is said to be quasi-linear if it is linear in the

derivatives of order m with coecients that depend on x1 , x2 , . . . , xn

and the derivatives of order < m.
A quasi-linear PDE of order m, where the coecients of derivatives

of order m are functions of the independent variables x1 , . . . , xn

alone is called a semi-linear PDE.
A PDE of order m is called fully nonlinear if it is not linear in the
derivatives of order m.

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Introduction and Basic Definitions

First-Order Partial Dierential Equations

Example (Some well-known PDEs)

The Laplaces equation in n dimensions:

u :=

n
!
2u
i =1

xi2

= 0 (second-order, linear, homogeneous)

The Poisson equation:

u = f (second-order, linear, nonhomogeneous)

The heat equation:

u
ku = 0 (k = const. > 0) (second-order, linear, homogeneous)
t
The wave equation:

2u 2
c u = 0 (c = const. > 0) (second-order, linear, homogeneous)
t 2
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Introduction and Basic Definitions

First-Order Partial Dierential Equations

The Transport equation:

u u
+
= 0 (first-order, linear, homogeneous)
t
x
The Burgers equation:

u
u
+u
= 0 (first-order, quasilinear, homogeneous)
t
x
Semi-linear equation

xuux + yuuy = x 2 + y 2 , x > 0, y > 0.

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Introduction and Basic Definitions

First-Order Partial Dierential Equations

First-order PDEs: A first order PDE in two independent variables x, y

and the dependent variable u can be written in the form
F (x, y , u,
For convenience, set
p=

u u
,
) = 0.
x y

u
,
x

q=

(7)

u
.
y

Equation (7) then takes the form

F (x, y , u, p, q) = 0.
First-order PDEs arise in many applications, such as
Transport of material in a fluid flow.
Propagation of wave-fronts in optics.

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Introduction and Basic Definitions

First-Order Partial Dierential Equations

Classification of first-order PDEs

If (7) is of the form
a(x, y )

u
u
+ b(x, y )
= c(x, y )u + d(x, y )
x
y

then it is called linear first-order PDE.

If (7) has the form

a(x, y )

u
u
+ b(x, y )
= c(x, y , u)
x
y

then it is called semilinear because it is linear in the leading

(highest-order) terms u
and u
. However, it need not be linear in u.
x
y
If (7) has the form
a(x, y , u)

u
u
+ b(x, y , u)
= c(x, y , u)
x
y

then it is called quasi-linear PDE. Here the function F is linear in

u
u
the derivatives x
and y
with the coecients a, b and c depending
on the independent variables x and y as well as on the unknown u.
u
If F is not linear in the derivatives x
and u
, then (7) is said to be
y
nonlinear.
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Introduction and Basic Definitions

First-Order Partial Dierential Equations

Linear PDE ! Semi-linear PDE ! Quasi-linear PDE ! PDE

Example
xux + yuy = u (linear)
xux + yuy = u 2 (semi-linear)
ux + (x + y )uy = xy (linear)
uux + uy = 0 (quasi-linear)
xux2 + yuy2 = 2 (nonlinear)

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Introduction and Basic Definitions

First-Order Partial Dierential Equations

How first-order PDEs occur?

The applications of conservation principles often yield first-order
PDEs.
Two-parameter family of surfaces: Let
f (x, y , u, a, b) = 0

(9)

represent a two-parameter family of surfaces in R3 , where a and b

are arbitrary constants. Dierentiating (9) with respect to x and y
yields the relations
f
f
+p
= 0,
x
u
f
f
+q
= 0.
y
u

(10)
(11)

Eliminating a and b from (9), (10) and (11), we get a relation of the
form
F (x, y , u, p, q) = 0,
(12)
which is a first-order PDE for the unknown function u of two
independent variables.
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Introduction and Basic Definitions

First-Order Partial Dierential Equations

Example
The equation
x 2 + y 2 + (u c)2 = a2 ,

(13)

where a and c are arbitrary constants, represents the set of all spheres
whose centers lie on the u-axis. Dierentiating (13) with respect to x, we
obtain
"
#
u
x + (u c)
= 0.
(14)
x
Dierentiating (13) with respect to y to have
y + (u c)

u
= 0.
y

(15)

Eliminating the arbitrary constant c from (14) and (15), we obtain the
first-order PDE
u
u
y
x
= 0.
(16)
x
y

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Introduction and Basic Definitions

First-Order Partial Dierential Equations

Unknown function of known functions

Unknown function of a single known function
Let
u = f (g ),

(17)

where f is an unknown function and g is a known function of two

independent variables x and y .
Dierentiating (17) with respect to x and y yields the equations
ux = f (g )gx

(18)

uy = f (g )gy ,

(19)

and

respectively. Eliminating f (g ) from (18) and (19), we obtain

gy ux gx uy = 0,
which is a first-order PDE for u.

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Introduction and Basic Definitions

First-Order Partial Dierential Equations

Example
The surfaces described by an equation of the form
u = f (x 2 + y 2 ),

(20)

where f is an arbitrary function of a known function g (x, y ) = x 2 + y 2 .

Dierentiating (20) with respect to x and y , it follows that
ux = 2xf (g );

uy = 2yf (g ),

df
where f (g ) = dg
. Eliminating f (g ) from the above two equations, we
obtain a first-order PDE
yux xuy = 0.

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Introduction and Basic Definitions

First-Order Partial Dierential Equations

Unknown functions of two known functions

Let
u = f (x ay ) + g (x + ay ),

(21)

where a > 0 is a constant. With v (x, y ) = x ay and

w (x, y ) = x + ay , we write (21) as
u = f (v ) + g (w ).
Dierentiating (22) w. r. t. x and y yields
p = ux = f (x ay ) + g (x + ay ),
q = uy = af (x ay ) + ag (x + ay )
Eliminating f (v ) and g (w ), we get
qy = a 2 px .
In terms of u, the above first-order PDE is the well-known wave
equation
uyy = a2 uxx .
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