1 5.

Second order partial differential equations in two variables The general second order partial differential equations in two variables is of the form

u u 2 u 2 u 2 u F(x, y, u, , , 2 , , ) = 0. x y x xy y 2

The equation is quasi-linear if it is linear order derivatives (second order), in the highest that is if it is of the form

a(x, y, u, u x , u y )u xx + 2 b(x, y, u, u x , u y )u xy + c(x, y, u, u x , u y )u yy = d(x, y, u, u x , u y )

We say that the equation is semi-linear if the coefficients a, b, c are independent of u. That is if it takes the form

a(x, y) )u xx + 2b(x, y) u xy + c(x, y) u yy = d(x, y, u, u x , u y )

Finally, if the equation and d is a linear function u, u x and u y , we say that the is semi-linear of equation is linear. That is, when F is linear in u and all its derivatives. We will consider the semi-linear equation above and attempt a change of variable to obtain a more convenient form for the equation. Let x = f(x, y) , h = y(x, y) be an invertible transformation of coordinates. That is, f ( x , h ) x = ( x , y ) y x u x = u x f x + uh y x, u y = u x f y + uh y y f y 0. y y

By the chain rule

2 u xx = u x f xx + f x uxxf x + uxh y x + u h y xx + y x uhxf x + uhh y x

Similarly,

2 = uxxf x 2 + 2uxhf xy x + u hh y x + first order derivatives of u

u yy = uxxf y 2 + 2uxhf yy y + uhh y y 2 + first order derivatives of u u xy = uxxf xf y + uxh f xy y + f yy x + uhh y xy y + first order derivatives of u Substituting into the partial differential equation we obtain, A(x, h)u xx + 2B(x, h)u xh + C(x, h)u hh = D(x, h, u, u x , u h )

where

A(x, h) = af x 2 + 2bf x f y + cf y 2 B(x, h) = af x y x + b(f x y y + y x f y ) + cf y y y C(x, h) = ay x 2 + 2by x y y + cy y 2 . ( x , h ) 2 2 2 B AC = (b ac) . ( x , y )

It easily follows that

Therefore B 2 AC has the as b 2 ac. We will now choose the new coordinates same sign x = f(x, y) , h = y(x, y) to simplify the partial differential equation. f(x, y) = constant ,y(x, y) = constant defines two families of curves in R2 . On a member of the family f(x, y) = constant, we have that df = f x + f y y = 0. dx Therefore substituting in the expression for A(x, h) we obtain A(x, h) = a f y 2 y 2 2b f y 2 y + cf y 2 = f y 2 [a y 2 2b y + c ].

3 We choose the two families of curves given by the two families of solutions of the ordinary differential equation a y 2 2b y + c = 0. This nonlinear ordinary differential equation is called the characteristic equation of the partial differential equation and provided 0, b 2 ac > 0 it can be written as that a b 2 - ac a

y =

For this choice of coordinatesA(x, h) = 0 and similarly it can be shown that C(x, h) = 0 also. The partial differential equation becomes 2 B(x, h) u xh = D(x, h, u, u x , u h ) where it is easy to show that B(x, h) 0. Finally, we can write the partial differential equation in the normal form uxh = D(x, h, u, ux , uh )

The two families of curves f (x , y ) = constant ,y (x, y )= constant obtained as solutions of the characteristic equation are called characteristics and the semi-linear partial differential equation is called hyperbolic if b 2 ac > 0 whence it has two families of characteristics and a normal form as given above. If b 2 a c < 0, then the characteristic equation has complex solutions and there are no real characteristics. The functions f(x, y), y(x, y) are now complex conjugates . A change of variable to the real coordinates

x = f(x, y) + y(x, y), h = i( f(x, y) y(x, y))

results in the partial differential equation where the mixed derivative term vanishes,

u xx + u hh = D(x, h, u, u x , u h ).

In this case the semi-linear is called elliptic if b 2 ac < 0. Notice that the partial differential equation left hand side of the normal form is the Laplacian. Thus Laplaces equation is a special case of an elliptic equation (with D = 0).

4 b has only one family of solutions a y(x, y) = constant. We make the change of variable If b 2 ac = 0 , the characteristic equation y = Then A(x, h) = a B(x, h) = ay x + by y C(x, h) = ay x + 2by x y y + cy y = Also since y(x, y) = constant,
2 2

x = x, h = y(x, y).

( ay x + by y )2 - ( b 2 - ac )y y 2 a

B( x , h )2 a

ay x + by y b B( x , h ) 0 = y x + y y y = y x + y y = = a a a

2 Therefore B(x, h) = 0, C (x , h) = 0, A( x, h) 0 and the normal form in the case b ac = 0 is

A(x, h) u xx = D(x, h, u, ux , uh ) or finally uxx = D(x, h, u, u x , u h )

The partial differential equation is called parabolic in the case b 2 a = 0. An example of a parabolic partial differential equation is the equation of heat conduction u 2 u u = u(x, t). k 2 = 0 where t x
Example 1. Classify the following linear second order partial differential equation and find its general solution .

xyu xx + x 2 u xy yu x = 0.

x 2 2 In this example b2 ac = partial differential equation is hyperbolic provided x 0, and parabolic 0 \ the 2
for x = 0. For x 0 the characteristic equations are

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b b 2 x - ac =
2

y = If y = 0, y = constant. If y =

2 = 0 or x y xy

x Therefore two families of characteristics are , x 2 y 2 = constant. y

x = x 2 y 2 , h = y.

Using the chain rule a number of times we calculate the partial derivatives
= ux 2 x + uh 0 = 2xux ux uxx = 2 u x + 2x(ux x 2 x + ux h 0) = 2ux + 4 x 2 ux x uxy = 2x u xx ( -2y ) + uxh 1 = 4xyux x + 2xux h . Substituting into the partial differential equation we obtain the normal form

Integrating this equation with respect to h

u x h = 0 (provided x 0).

u x = f(x ), where f is an arbitrary function of one real variable. Integrating again with respect to x u (x , h ) =

f (x ) dx + G(h) = F(x) + G(h)

where F, G are arbitrary functions of one real variable. Reverting to the original coordinates we find the general solution u(x, y) = F(x2 y2 ) + G(y) -------------------------------------------------------------

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Example 2. Classify, reduce to normal form and obtain the general solution of the partial differential equation x2 uxx + 2xyuxy + y 2 uyy = 4x2 For this equation b 2 ac = ( xy ) 2 x2 y2 = 0 \ the equation is parabolic everywhere in the plane ( x , y ) . The characteristic equation is y' = Therefore there is one family of characteristics Let x = x and h = b xy y = 2 = . a x x

y = constant. x

y . Then using the chain rule, x

-y y u x = ux 1 + u h = u u x 2 x x2 h
uy = ux 0 + u h

1 1 = uh x x - y uhx 1 + uhh 2 x
+ 2y x u

- y 2y y uxx = u x x 1 + u xh + 3 uh 2 2 x x x
=u 2y x
2

xx

xh

y x

2 4

hh

3 h

u yy =

1 1 uhx 0 + uhh = 2 uh h x x x
1 1

uyx =

y 1 + u u hx hh - 2 x x

1 1 y u u u . x xh x3 hh x 2 h

Substituting into the partial differential equation we obtain the normal form

u x x = 4.

Integrating with respect to x u x = 4 x + f(h ) where f is an arbitrary function of a real variable. Integrating again with respect to x u(x, h) = 2x2 + xf(h)+ g(h), Therefore the general solution is given by u(x, y) = 2x2 + xf y + g y x x where f, g are arbitrary functions of a real variable.

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