Chapter 3

Second Order Linear Equations

Ayman H. Sakka
Department of Mathematics
Islamic University of Gaza
Second semester 2013-2014

Second-order partial differential equations for an known function u(x, y) has the form
F (x, y, u, ux , uy , uxx , uxy , uyy ) = 0.
A second-order PDE is linear if it can be written as
A(x, y)uxx + B(x, y)uxy + C(x, y)uyy + D(x, y)ux + E(x, y)uy + F (x, y)u = G(x, y). (1)
In this chapter we will study equation (1). We assume that A, B, and C are functions with continuous
second-order derivatives in a domain Ω ⊆ R2 and they do not vanish simultaneously in Ω.

3.1 Classification of linear PDEs of second order

Second-order linear equation (1) can be classified into three distinct types: hyperbolic, parabolic,
and elliptic equations. Equations of the same type share many exclusive qualitative properties. We
will show that using a certain transformation any equation of a particular type can be transformed
into a canonical form which is associated with its type.
Definition. (Hyperbolic, Parabolic, and Elliptic PDE )
Consider the second-order linear equation (1).
(1) We define the discriminant of equation (1) to be ∆(x, y) = B 2 − 4AC.
(a) If ∆(x, y) > 0 at a point (x, y), then equation (1) is said to be hyperbolic at (x, y).
(b) If ∆(x, y) < 0 at a point (x, y), then equation (1) is said to be elliptic at (x, y).
(c) If ∆(x, y) = 0 at a point (x, y), then equation (1) is said to be parabolic at (x, y).
(2) Equation (1) is said to be hyperbolic, elliptic, or parabolic in a domain Ω ⊆ R2 if it is, respec-
tively, hyperbolic, elliptic, or parabolic at every point of Ω.
Example 1. Classify the following PDEs as hyperbolic, elliptic, or parabolic.
(1) uxx + 2uxy + uyy − ux + xuy = 0.
(2) x2 uxx − y 2 uyy = xy.
(3) uxx + uxy + 2uyy = ux − 3yu.
Solution:

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Canonical forms of second-order linear equations
We can use nonsingular transformation

ξ = ξ(x, y), η = η(x, y)

to transform equation (1) into simpler forms.

Lemma 1. The type of a linear second-order PDE is invariant under a nonsingular transformation
ξ = ξ(x, y), η = η(x, y).

Proof.

Definition. (Canonical forms of linear second-order equations )

(1) The canonical form of a hyperbolic PDE is

uξη = H(ξ, η, u, uξ , uη ).

(2) The canonical form of an elliptic PDE is

uξξ + uηη = H(ξ, η, u, uξ , uη ).

(3) The canonical form of a parabolic PDE is

uξξ = H(ξ, η, u, uξ , uη ).

Theorem 1. (Canonical form of hyperbolic equations )

Suppose that equation (1) is hyperbolic in a domain Ω. There exists a coordinate system (ξ, η) in
which the equation has the canonical form

uξη = H(ξ, η, u, uξ , uη ).

Proof.

Remark. In order to solve a PDE

φx − λφy = 0,
we solve
dy
=λ
dx
to obtain
φ(x, y) = c.

Example 1. Show that the partial differential equation

2uxx + 3uxy + uyy + xux + u = 0

is hyperbolic and find an equivalent partial differential equation in canonical form.

Solution:

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Theorem 2. (Canonical form of parabolic equations )
Suppose that equation (1) is parabolic in a domain Ω. There exists a coordinate system (ξ, η) in
which the equation has the canonical form

uξξ = H(ξ, η, u, uξ , uη ).

Proof.

Remark. In the above theorem we may choose ξ(x, y) = x.

Example 1. Show that the partial differential equation

x2 uxx − 2xyuxy + y 2 uyy + xux = x2 + uy

is a parabolic equation and find its canonical form.

Solution:

Theorem 3. (Canonical form of elliptic equations )

Suppose that equation (1) is elliptic in a domain Ω. There exists a coordinate system (ξ, η) in which
the equation has the canonical form

uξξ + uηη = H(ξ, η, u, uξ , uη ).

Proof.

Example 1. Show that the partial differential equation

uxx + x2 uyy = yuy

is elliptic in the region x 6= 0 and find an equivalent canonical form.

Solution:

Remark. Second-order partial differential equations in more than two independent variables can
also be classified into types, including parabolic, elliptic, and hyperbolic. However, it is not usually
possible to reduce such equations to simple canonical forms.

Exercises
(1) Classify the each of following PDEs as hyperbolic, parabolic, or elliptic and find an equivalent
PDE in canonical form.

(a) uxx + 2uxy + uyy = ux − xuy

(b) uxx + 2uxy + 5uyy = 3ux − yu
(c) 3uxx + 10uxy + 3uyy = 0
(d) uxx + 6uxy + uyy − 4uux = 0
(e) 4uxx − 8uxy + 4uyy = 1

(2) Determine where the given PDE is hyperbolic, parabolic, or elliptic.

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 (a) uxx + 2yuxy + 5uyy = 15x + 2y
(b) x2 uxx + 4y uyy − u = 0
(c) x2 y uxx + xy uxy − y 2 uyy = 0
(d) xy uxx − x uxy + uyy − uux = 3
(e) sin x uxx + 2 cos x uxy + sin x uyy = 0
(f ) x ln x uxx + 4uyy − ux + 3xyu = 0
(g) uxx + x uxy + y uyy = 0

(3) Consider the Tricomi PDE

y uxx + uyy = 0.

(a) Show that the equation is hyperbolic when y < 0, parabolic when y = 0, and elliptic when
y > 0.
(b) Find an equivalent PDE in canonical from when y < 0.
(c) Find an equivalent PDE in canonical from when y = 0.
(d) Find an equivalent PDE in canonical from when y > 0.

(4) Find regions in which

x2 uxx + 4uyy = u
hyperbolic, parabolic, and elliptic. In each region, find an equivalent PDE in canonical form.

(5) Show that

y 2 uxx − 2xy uxy + x2 uyy = 0
is everywhere parabolic. Find an equivalent PDE in canonical form valid in regions not con-
taining points on the x−axis.

(6) Show that  

2 1 2 1
uxx + x uxy − x + uyy = 0
2 4
is hyperbolic in the entire xy−plane and find its canonical form

(7) Show that

x uxy + y uyy = 0
is hyperbolic when x 6= 0 and find its canonical form

(8) Consider

A(x, y)uxx + B(x, y)uxy + C(x, y)uyy + D(x, y)ux + E(x, y)uy + F (x, y)u = G(x, y),

A, B, C, D, E, F are constants.

(a) Show that if the equation is hyperbolic, then its canonical form is

uξη + auξ + buη + cu = H(ξ, η),

where a, b, c are constants.

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 (b) Show that if the equation is parabolic, then its canonical form is

uξξ + auξ + buη + cu = H(ξ, η),

where a, b, c are constants.

(c) Show that if the equation is elliptic, then its canonical form is

uξξ + uηη + auξ + buη + cu = H(ξ, η),

where a, b, c are constants.

(d) Show that the first-order derivative terms uξ and uη in (a), (b), and (c) can be eliminated
by a change of dependent variable

w(ξ, η) = epξ+qη u(ξ, η)

for appropriate constants p and q.

(9) Use the results of Exercise (8) to find a simplified canonical form for each of the following PDEs:

(a) uxx + 2uxy + 5uyy − 3ux = 0.

(b) uxx + 2uxy + uyy − ux + uy = 0.
(b) uxx + 6uxy + uyy − 4ux = 0.

3.2 General Solution of Second-order linear PDEs

In this section we will study methods for solving second-order linear partial differential equations:

A(x, y)uxx + B(x, y)uxy + C(x, y)uyy + D(x, y)ux + E(x, y)uy + F (x, y)u = G(x, y). (2)

A simple special case of equation (2) occurs when A, B, C, D, E, F are constants. In such case
equation (2) is called second-order linear PDEs with constant coefficients.

Definition. (General solution )

Consider the second-order linear PDE

L(u) = A(x, y)uxx + B(x, y)uxy + C(x, y)uyy + D(x, y)ux + E(x, y)uy + F (x, y)u = G(x, y)

(a) The general solution of the homogenous second-order linear PDE

L(u) = 0

is the solution containing two arbitrary functions of one variable.

(b) If uh is the general solution of homogenous PDE L(u) = 0 and up is any particular solution of
the non-homogenous PDE L(u) = G(x, y), then u = uh + up is called the general solution of
non-homogenous PDE L(u) = G(x, y).

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General solution by direct integration
Some PDEs can be solved by direct integrations.

Example 1. Find the solution of the PDE

uxy = 6xy 2 .

Solution:

Example 2. Solve the PDE

uyy = ey
subject to the conditions
uy (x, 0) = x2 , u(x, 0) = ex .

Solution:

General solution by reduction to ODE

If a give PDE contains partial derivatives with respect to only one independent variable, then it can
be solved using methods of ordinary differential equations.

Example 1. Find the general solution of the PDE

uyy − 4uy + 3u = 0.

Solution:

Example 2. Solve the PDE

xuxy + 2uy = y 2 .

Solution:

Example 3. Consider the PDE

uxx + uxy − 2uyy + 1 = 0.

(a) Reduce the equation to canonical form and find its general solution.

(b) Find the solution u(x, y) satisfying the conditions u(x, 0) = uy (x, 0) = x.

Solution:

Constant coefficient equation Auxx + Buxy + Cuyy = 0

The equation
Auxx + Buxy + Cuyy = 0, (3)
where A, B, C are constants, can be solved by transforming it to canonical form.

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(1) If the equation (3) is hyperbolic, then the transformations

ξ = y + λ1 x, η = y + λ2 x,

where λ1,2 are the roots of the characteristic equation

Aλ2 + Bλ + C = 0,

transform equation (3) into its canonical form

uξη = 0.

It follows that the solution is

u(x, y) = f (ξ) + g(η) = f (y + λ1 x) + g(y + λ2 x),

where f and g are arbitrary functions.

(2) If the equation (3) is parabolic, then the transformations

ξ = x, η = y + λx,

where λ is the root of the characteristic equation

Aλ2 + Bλ + C = 0,

transform equation (3) into its canonical form

uξξ = 0.

It follows that the solution is

u(x, y) = ξf (η) + g(η) = xf (y + λx) + g(y + λx),

where f and g are arbitrary functions.

(3) If the equation (3) is elliptic, then the transformations

ξ = y + λ1 x, η = y + λ2 x,

where λ1,2 are the roots of the characteristic equation

Aλ2 + Bλ + C = 0,

transform equation (3) into its canonical form

uξξ + uηη = 0.

It follows that the solution is

u(x, y) = f (ξ) + g(η) = f (y + λ1 x) + g(y + λ2 x),

where f and g are arbitrary functions. The proof of this form can be achieved by direct
substitution.

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Example 1. Find the general solution of the partial differential equation

uxx + 4uxy + 4uyy = 0.

Solution:

Example 2. Find the general solution of the wave equation

utt = c2 uxx , c > 0.

Solution:

Example 3. Find the general solution of the equation

uxx + 9uyy = 0.

Solution:

Example 4. Find the general solution of the equation

uxx − uxy − 2uyy = sin y.

Solution:

Exponential-type solutions
By comparison with ordinary differential equations, we may look for solutions of

Auxx + Buxy + Cuyy + Dux + Euy + F u = 0,

where A, B, C, D, E, F are constants, in the form

u(x, y) = eαx+βy .

Substituting into the equation one get

Aα2 + Bαβ + Cβ 2 + Dα + Eβ + F = 0.

Solving for β in terms of α, one may obtain a particular solution

u(x, y) = k1 eαx+β1 (α)y + k2 eαx+β2 (α)y ,

where k1 and k2 are arbitrary constants. The particular solution can be used to guess the general
solution.

Example 1. Find an exponential-type solution of the PDE

uxx − uyy − 2ux + u = 0.

Then suggest a general solution and verify it.

Solution:

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Example 2. Find an exponential-type solution of the PDE

uxx − 2uxy + uyy − 2uy + 2ux + u = 0

and use it to find the general solution.

Solution:

Example 3. Find a solution u(x, y) = eαx+β of the PDE

uxx + uyy − 2uy + u = 0

and use it to find the general solution.

Solution:

Remark. In some cases the exponential-type solutions may produce a set of useful particular solu-
tions, but fail to suggest a general solution.

Example 4. Determine a solution for the PDE

uxx + uyy + 4u = 0

by letting u(x, y) = eαx+β . Can you propose a general solution?

Solution:

Exercises
(1) Use direct integration to find the general solution of each of the following the PDEs:

(a) xuxy + 2uy = y 2 .

(b) uyy = x2 + y 2 .
(c) uyy − xuy = x2 .
x
(d) uxy = + 1.
y
(e) xuxx = ux + x2 y 2 .
(f ) y 2 uyy + 2yuy = 1.
(g) yuxy + ux = cos(x + y) − y sin(x + y).
sin x
(h) xuxy + 2uy = x
.

(2) Use methods of ODE to find the general solution of each of the following PDEs

(a) xuxy + 3uy = y 3

(b) uyy − 4uy + 3u = 0
(c) x2 uxx + 5xux + 4u = 0.

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(3) Find a solution of the PDE
uxy = x2 y
satisfying the conditions
uy (0, y) = y 2 , u(x, 1) = cos x.

(4) Solve the following boundary value problems

(a) uxy = 0, ux (x, 0) = cos x, u( π2 , y) = sin y.

(b) uxx = cos x, u(0, y) = y 2 , u(π, y) = π sin y.
(c) uyx = (1 + x2 )y 2 , uy (0, y) = y 3 , u(x, 2) = cos x.

(5) Classify the following equations as hyperbolic, parabolic, or elliptic and solve them.

(a) uxx + 2uxy − 3uyy = 0.

(b) uxx − 2uxy + uyy = 0.
(c) uxx + auyy = 0, a > 0.
(d) uxx − 2uxy + 2uyy = 0.

(5) Reduce each of following equations to its canonical form and obtain the general solution.

(a) y 2 uxx − 2yuxy + uyy = ux + 6y.

x+y
(b) xuxx − (x + y)uxy + yuyy = x−y
(ux − uy ).
(c) uxx + auyy = 0, a > 0.
(d) uxx − 2uxy + 2uyy = 0.

(6) Find an exponential-type solution of the following PDEs and use it to find the general solution.

(a) uxx + 2uxy + uyy + uy + ux = 0.

(b) 4uxx − uyy − 2ux + 4uy = 0.
(c) 4uxx − uyy − 4ux + 2uy = 0.
(d) 2uxx − 2uxy + uyy + 4u = 0.
(e) uxx − 2uxy + uy − u = 0.

(7) Find the general solution for each of the following equations:

(a) uxx − 2uxy + 3uyy = ex .

(b) uxx − uxy − 2uyy = sin y.
(c) 4uxx − 8uxy + 4uyy = 1.
(d) uxx − 2ux − uy = x + y.
(e) uxx + 4uxy + uyy + ux + uy = 3e2x + xy.
(e) uxx + uyy = x + yey .

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(8) Use the transformation w = (x − y)u to simplify the Euler-Poisson-Darboux equation

(x − y)uxy − ux + uy = 0

and solver it.

(9) (a) Show that the transformations ξ = ln x, η = ln y transform the equation

Ax2 uxx + Bxyuxy + Cy 2 uyy + Dxux + Eyuy + F u = G(x, y),

where A, B, C, D, E, F are constants, into an equation with constant coefficients.

(b) Use part (a) to solve the following equations
(i) x2 uxx − y 2 uyy = xy.
(ii) x2 uxx − xyuxy − xux = 1.

3.3 The wave equation

The homogeneous wave equation in one (spatial) dimension has the form

utt − c2 uxx = 0, a < x < b, t > 0, (4)

where c ∈ R is called the wave speed. Equation (4) is hyperbolic equation. The transformations

ξ = x + ct, η = x − ct,

transform equation (4) into its canonical form

uξη = 0.

It follows that the general solution of (4) is given by

u(x, y) = φ(x + ct) + ψ(x − ct),

where φ and ψ are arbitrary functions.

For a fixed t0 > 0, the graph of the function ψ(x − ct0 ) has the same shape as the graph of
the function ψ(x), except that it is shifted to the right by a distance ct0 . Therefore, the function
ψ(x − ct) represents a wave moving to the right with velocity c, and it is called a forward wave. The
function φ(x + ct) is a wave traveling to the left with the same speed, and it is called a backward
wave. Indeed c can be called the wave speed. Thus any solution of the wave equation is the sum of
two such traveling waves.
Let us further discuss the general solution (4). Consider the (x, t) plane. The following two
families of lines
x − ct = constant, x + ct = constant,
are called the characteristics of the wave equation. For the wave equation, the characteristics are
straight lines in the (x, t) plane with slopes ±1/c.

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The Cauchy problem and d’Alembert’s formula
The Cauchy problem for the one-dimensional homogeneous wave equation is given by
utt − c2 uxx = 0, − ∞ < x < ∞, t > 0,
(5)
u(x, 0) = f (x), ut (x, 0) = g(x), − ∞ < x < ∞,
where f and g are given functions.
A solution of this problem can be interpreted as the amplitude of a sound wave propagating in a
very long and narrow pipe, which in practice can be considered as a one-dimensional infinite medium.
This system also represents the vibration of an infinite (ideal) string. The initial conditions f, g are
given functions that represent the amplitude u, and the velocity ut of the string at time t = 0. A
classical (proper) solution of the Cauchy problem (5) is a function u that has continuous second-order
partial derivatives for all t > 0 and such that (5) is satisfied.
Recall that the general solution of the wave equation is of the form
u(x, y) = φ(x + ct) + ψ(x − ct),
where φ and ψ are arbitrary functions. Our aim is to find φ and ψ such that the initial conditions
u(x, 0) = f (x), ut (x, 0) = g(x), − ∞ < x < ∞,
are satisfied. The first condition u(x, 0) = f (x) gives
φ(x) + ψ(x) = f (x). (6)
The second condition ut (x, 0) = h2 (x) gives
cφ0 (x) − cψ 0 (x) = g(x). (7)
To solve the two equations (6) and (7) we differentiate equation (6) to obtain
φ0 (x) + ψ 0 (x) = f 0 (x). (8)
Multiplying (8) by c and adding to equation (7) we obtain
2cφ0 (x) = g(x) + cf 0 (x). (9)
Therefore, Z x
1 1
φ(x) = f (x) + g(z)dz + k,
2 2c 0
where k is a constant. Now equation (6) gives
Z x
1 1
ψ(x) = φ(x) − g(z)dz − k.
2 2c 0

Substituting these two expressions for f and g back into the solution formula
u(x, t) = φ(x + ct) + ψ(x − ct),
we find
1 x+ct
Z
1
u(t, x) = [f (x + ct) + f (x − ct)] + g(z)dz.
2 2c x−ct
In this manner, we have arrived at d’Alembert’s solution to the initial value problem for the wave
equation on the entire line.

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Theorem 4. (d’Alembert’s solution )
The solution to the initial value problem

utt − c2 uxx = 0, − ∞ < x < ∞, t > 0,

u(x, 0) = f (x), ut (x, 0) = g(x), − ∞ < x < ∞,

is given by Z x+ct
1 1
u(t, x) = [f (x + ct) + f (x − ct)] + g(z)dz.
2 2c x−ct

Remark. In order that the formula

Z x+ct
1 1
u(t, x) = [f (x + ct) + f (x − ct)] + g(z)dz,
2 2c x−ct

define a classical solution to the wave equation, f 00 and g 0 must be continuous. However, the formula
itself makes sense for more general initial conditions. We will continue to treat the resulting functions
as solutions as they do fit under the more general concept of weak solution.

Example 1. Use d’Alembert’s formula to find the solution of the Cauchy problem

utt − uxx = 0, − ∞ < x < ∞, t > 0,

u(x, 0) = sin x, ut (x, 0) = x2 , − ∞ < x < ∞.

Solution:

Example 2. Use d’Alembert’s formula to find the solution of the Cauchy problem

utt − 4uxx = 0, − ∞ < x < ∞, t > 0,

u(x, 0) = e−x , ut (x, 0) = 0, − ∞ < x < ∞.

Solution:

Example 3. Consider the Cauchy problem

utt − 9uxx = 0, − ∞ < x < ∞, t > 0,

u(x, 0) = f (x), ut (x, 0) = g(x), − ∞ < x < ∞,

where 
1, |x| ≤ 2;
f (x) = g(x) =
0, |x| > 2.

(a) Find u(x, t).

(b) Find u(0, 31 ).

Solution:

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Exercises
Use d’Alembert’s formula to find the solution of the following Cauchy problems
(a) utt − uxx = 0, − ∞ < x < ∞, t > 0,
1
u(x, 0) = 1+x 2, ut (x, 0) = 0, − ∞ < x < ∞.
(b) utt − uxx = 0, − ∞ < x < ∞, t > 0,
u(x, 0) = x, ut (x, 0) = 1, − ∞ < x < ∞.
(c) utt − 16uxx = 0, − ∞ < x < ∞, t > 0,
2
u(x, 0) = ln(1 + x ), ut (x, 0) = 2, − ∞ < x < ∞.
(d) utt − 4uxx = 0, − ∞ < x < ∞, t > 0,
u(x, 0) = sin x, ut (x, 0) = cos x, − ∞ < x < ∞.
(e) utt − uxx = 0, − ∞ < x < ∞, t > 0,
1
u(x, 0) = 1+x2
, ut (x, 0) = 0, − ∞ < x < ∞.
(f ) utt − uxx = 0, − ∞ < x < ∞, t > 0,
u(x, 0) = 0, ut (x, 0) = sinh(2x), − ∞ < x < ∞.
(g) utt − 16uxx = 0, − ∞ < x < ∞, t > 0,

 0, −∞ < x < −1;
u(x, 0) = 1, −1 ≤ x ≤ 1; , ut (x, 0) = 0, − ∞ < x < ∞.
0, x > 1,


(h) utt − c2 uxx = 0, − ∞ < x < ∞, t > 0,

u(x, 0) = 0, ut (x, 0) = e−|x| , − ∞ < x < ∞.

3.4 Separation of variables

Separation of variables is a useful method for solving partial differential equations. In this method
we look for solutions in the form of a product of functions of a single independent variable:
u(x1 , x2 , · · · ) = f1 (x1 )f2 (x2 ) · · · .
Example 1. Find a solution of the equation
ut = 4uxx
using the separation of variables method.
Solution:
Example 2. Find solutions of the equation
ut = a2 (uxx + uyy ),
where a is a constant, in the form
u(t, x, y) = T (t)X(x)Y (y).

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 Solution:

Example 3. Find a solution the equation

uxx − utt = 0

in the form
u(x, t) = X(x)T (t)
such that
u(x, 0) = u(0, t) = 0.

Solution:

Remarks.

(1) In most cases a bounded solution will be required. The separations constants must be selected
to satisfy this requirement.

(2) The method of separation of variables is valuable for solving a number of important problems in
mathematical physics. However, it fails for many partial differential equations and boundary
value problems. Type of the equation and forms of the boundary conditions are all important
for the success of the method.

Example 1. Determine if the equation

(x + y)uxx + uyy = 0

has a solution in the form

u(x, y) = X(x)Y (y)
or not.

Solution:

Exercises
(1) Determine whether the following equations can be solved be the method of separation of vari-
ables. If the equation is solvable by the method of separation of variables, then solve the
equation.

(a) uxy − u = 0.
(b) uxy = 0.
(c) uxx − uyy − 2uy = 0.
(d) uxx − uyy + 2ux − 2uy + u = 0.
(e) uxx − uxy + uyy = 2x.
(f ) utt − uxx = 0.
(g) ut = uxx .
(h) uxx − uxy + uyy = 0.

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 (i) t2 utt − x2 uxx = 0.

(2) Find a solution for the following boundary value problems

(a) utt − uxx = 0, u(x, 0) = u(0, t) = 0.

(b) uxx − uyy − 2uy = 0, ux (0, y) = u(x, 0) = 0.
(c) ut = uxx , ux (0, t) = 0.

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