Module 3: Second-Order Partial Dierential Equations

In Module 3, we shall discuss some general concepts associated with second-order linear PDEs. These types of PDEs arise in connection with various physical problems such as the motion of a vibration string, heat ow, electricity, magnetism and uid dynamics. The second-order partial dierential equations are classied into three dierent types. Further, the simplied canonical/normal forms are obtained for second order linear equations in two independent variables. The lectures are organized as follows. The rst lecture is devoted to the classication of second-order linear PDEs in two or more independent variables. These equations are classied into hyperbolic, parabolic and elliptic types. The reduction to the canonical form (or normal form) of second order equations in two independent variables are discussed in the second lecture. Finally, the third lecture is devoted to wellposedness, superposition principle and method of factorization for these types of equations.

MODULE 3: SECOND-ORDER PARTIAL DIFFERENTIAL EQUATIONS

Lecture 1

Classication of Second-Order PDEs

Classication of PDEs is an important concept because the general theory and methods of solution usually apply only to a given class of equations. Let us rst discuss the classication of PDEs involving two independent variables.

Classication with two independent variables

Consider the following general second order linear PDE in two independent variables: A 2u 2u 2u u u + B + C +D +E + F u + G = 0, 2 2 x xy y x y (1)

where A, B , C , D, E , F and G are functions of the independent variables x and y . The equation (1) may be written in the form Auxx + Buxy + Cuyy + f (x, y, ux , uy , u) = 0, where (2)

u u 2u 2u 2u , uy = , uxx = , u = , u = . yy xy x y x2 xy y 2 Assume that A, B and C are continuous functions of x and y possessing continuous partial ux = derivatives of as high order as necessary. The classication of PDE is motivated by the classication of second order algebraic equations in two-variables ax2 + bxy + cy 2 + dx + ey + f = 0. (3)

We know that the nature of the curves will be decided by the principal part ax2 + bxy + cy 2 i.e., the term containing highest degree. Depending on the sign of the discriminant b2 4ac, we classify the curve as follows: If b2 4ac > 0 then the curve traces hyperbola. If b2 4ac = 0 then the curve traces parabola. If b2 4ac < 0 then the curve traces ellipse. With suitable transformation, we can transform (3) into the following normal form x2 y 2 2 = 1 (hyperbola). a2 b 2 x = y (parabola). x2 y 2 + 2 = 1 (ellipse). a2 b

MODULE 3: SECOND-ORDER PARTIAL DIFFERENTIAL EQUATIONS

Linear PDE with constant coecients. Let us rst consider the following general linear second order PDE in two independent variables x and y with constant coecients: Auxx + Buxy + Cuyy + Dux + Euy + F u + G = 0, (4)

where the coecients A, B, C, D, E, F and G are constants. The nature of the equation (4) is determined by the principal part containing highest partial derivatives i.e., Lu Auxx + Buxy + Cuyy . (5)

For classication, we attach a symbol to (5) as P (x, y ) = Ax2 + Bxy + Cy 2 (as if we have replaced x by
x

and y by

y ).

Now depending on the sign of the discriminant (B 2 4AC ),

the classication of (4) is done as follows: B 2 4AC > 0 = Eq. (4) is hyperbolic B 2 4AC = 0 = Eq. (4) is parabolic B 2 4AC < 0 = Eq. (4) is elliptic (6) (7) (8)

Linear PDE with variable coecients. The above classication of (4) is still valid if the coecients A, B, C, D, E and F depend on x, y . In this case, the conditions (6), (7) and (8) should be satised at each point (x, y ) in the region where we want to describe its nature e.g., for elliptic we need to verify B 2 (x, y ) 4A(x, y )C (x, y ) < 0 for each (x, y ) in the region of interest. Thus, we classify linear PDE with variable coecients as follows: B 2 (x, y ) 4A(x, y )C (x, y ) > 0 at (x, y ) = Eq. (4) is hyperbolic at (x, y ) B 2 (x, y ) 4A(x, y )C (x, y ) = 0 at (x, y ) = Eq. (4) is parabolic at (x, y ) B 2 (x, y ) 4A(x, y )C (x, y ) < 0 at (x, y ) = Eq. (4) is elliptic at (x, y ) (9) (10) (11)

Note: Eq. (4) is hyperbolic, parabolic, or elliptic depends only on the coecients of the second derivatives. It has nothing to do with the rst-derivative terms, the term in u, or the nonhomogeneous term. EXAMPLE 1. 1. uxx + uyy = 0 (Laplace equation). Here, A = 1, B = 0, C = 1 and B 2 4AC = 4 < 0. Therefore, it is an elliptic type.

MODULE 3: SECOND-ORDER PARTIAL DIFFERENTIAL EQUATIONS

2. ut = uxx (Heat equation). Here, A = 1, B = 0, C = 0. B 2 4AC = 0. Thus, it is of parabolic type. 3. utt uxx = 0 (Wave equation). In this case, A = 1, B = 0, C = 1 and B 2 4AC = 4 > 0. Hence, it is of hyperbolic type. 4. uxx + xuyy = 0, x = 0 (Tricomi equation). B 2 4AC = 4x. Given PDE is

hyperbolic for x < 0 and elliptic for x > 0. This example shows that equations with variable coecients can change form in the dierent regions of the domain.

Classication with more than two variables

Consider the second-order PDE in general form:

n n i=1 j =1

u 2u aij + bi + cu + d = 0, xi xj xi
n i=1

(12)

where the coecients aij , bi , c and d are functions of x = (x1 , x2 , , xn ) alone and u = u(x1 , x2 , , xn ). Its principal part is L
n n i=1 j =1

aij

2 . xi xj

(13)

It is enough to assume that A = [aij ] is symmetric if not, let a ij = 1 2 (aij + aji ) and rewrite L
n n i=1 j =1 2u xi xj 2u xj xi . As in two-space u replacing x by xi ). i

a ij

2 . xi xj

(14)

Note that

dimension, let us attach a quadratic form P

with (14) (i.e.,

P (x1 , x2 , , xn ) =

n n i=1 j =1

aij xi xj .

(15)

Since A is a real valued symmetric (aij = aji ) matrix, it is diagonalizable with real eigenvalues 1 , 2 , . . . , n (counted with their multiplicities). In other words, there exists a corresponding set of orthonormal set of n eigenvectors, say 1 , 2 , , n with R =

MODULE 3: SECOND-ORDER PARTIAL DIFFERENTIAL EQUATIONS

[1 , 2 , , n ] as column vectors such that 1 2 RT AR = n

=D

(16)

We now classify (12) depending on sign of eigenvalues of A: (a) If i > 0 i or i < 0 i then (12) is elliptic type. (b) If one or more of the i = 0 then (12) is parabolic type. (c) If one of the i < 0 or i > 0, and all the remaining have opposite sign then (12) is said to be of hyperbolic type. EXAMPLE 2. 1. 2 u = uxx + uyy + uzz = 0. In this case, i = 1 > 0 for all i = 1, 2, 3. It is an elliptic PDE since all eigenvalues are of one sign. 2. It is an easy exercise to check that ut 2 u = 0 is of parabolic type. 3. The equation utt 2 u = 0 is of hyperbolic type. EXAMPLE 3. Classify ux1 x1 + 2(1 + cx2 )ux2 x3 = 0. To symmetrize, write it as ux1 x1 + (1 + cx2 )ux2 x3 + (1 + cx2 )ux3 x2 = 0
T A c i.e., x x x2 = 0, where 1 A= 0

0 0 0

x1

0 1 + cx2

1 + cx2 x = x2 0 x3

Eigenvalues are 1 = 1, 2 = 1 + cx2 , 3 = (1 + cx2 ) and normalized eigenvectors 1 0 0 1 = 2 0 2 = 1/2 3 = 1/ 1/ 2 1/ 2 0

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So

0 0 R= 2 0 1/2 1/ 0 1/ 2 1/ 2 1 1 0 0 0 0 0 (1 + cx2 ) =D

Note that R = RT = R1 .

RT AR = 0 1 + cx2

1 1 Equation is parabolic if x2 = 1 c (c = 0), hyperbolic if x2 > c and x2 < c . For c = 0,

1 = 2 = 1 and 3 = 1, it is hyperbolic type. Practice Problems 1. Classify the following equations into hyperbolic, elliptic or parabolic type. (A) 5uxx 3uyy + (cos x)ux + ey uy + u = 0. (B) ex uxx + ey uyy u = 0. (C) xuxx + uyy = 0. (D) 8uxx + uyy ux + [log(2 + x2 )]u = 0. (E) sin2 xuxx + sin 2xuxy + cos2 xuyy = x. 2. Classify the following equations into elliptic, parabolic, or hyperbolic type. (A) uxx + 2uyz + (cos x)uz ey u = cosh z. (B) uxx + 2uxy + uyy + 2uzz (1 + xy )u = 0. (C) ez uxy uxx = log[x2 + y 2 + z 2 + 1]. 3. Determine the regions where uxx 2x2 uxz + uyy + uzz = 0 is of hyperbolic, elliptic and parabolic.
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