(Graduate Studies in Mathematics 120) Qing Han-A Basic Course in Partial Differential Equations-American Mathematical Society (2011) PDF

A Basic Course in
Partial Differential
'Equations
Qing Han
Graduate -Stijd'iaes,
in Math ati cs.
Volume 120
mer can'Mathematical SOciey
A Basic Course in
Equations
A Basic Course in
Equations
Qing Han
Graduate Studies
in Mathematics
Volume 120
American Mathematical Society

Providence, Rhode Island
EDITORIAL COMMITTEE
David Cox (Chair)
Rafe Mazzeo
Martin Scharlemann
Gigliola Stafl'ilani
2000 Mathematics Subject Classification. Primary 35-01.
For additional information and updates on this book, visit
www.ams.org/bookpages/gsm- 120
Library of Congress Cataloging-in-Publication Data

Han, Qing.
A basic course in partial differential equations / Qing Han.
p. cm. - (Graduate studies in mathematics ; v. 120)

Includes bibliographical references and index.
ISBN 978-0-8218-5255-2 (alk. paper)
1. Differential equations, Partial. I. Title.
QA377.H31819
2010
515'. 353-dc22
2010043189
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To Yansu, Raymond and Tommy
Contents
Preface
ix
Chapter 1. Introduction
1.1. Notation
1.2. Well-Posed Problems
1.3.
Overview
Chapter 2. First-Order Differential Equations

2.1. Nonchaxacteristic Hypersurfaces
2.2. The Method of Characteristics
2.3. A Priori Estimates
2.4.
Exercises
Chapter 3. An Overview of Second-Order PDEs

3.1.
Classifications
Energy Estimates
3.3. Separation of Variables
3.2.
3.4.
Exercises
Chapter 4. Laplace Equations

4.1. Fundamental Solutions
4.2. Mean-Value Properties
4.3. The Maximum Principle
4.4. Poisson Equations
4.5.
Exercises
1
1
3
5
9
10
16
30
43
47
48
58
67
86
89
90
105
112
133
143
vii
Contents
viii
Chapter 5. Heat Equations

5.1. Fourier Transforms
5.4.
Exercises
Chapter 6. Wave Equations

6.1. One-Dimensional Wave Equations
6.2. Higher-Dimensional Wave Equations
6.3. Energy Estimates
6.4.
Exercises
Chapter 7. First-Order Differential Systems

7.1. Noncharacteristic Hypersurfaces
7.2. Analytic Solutions
7.3. Nonexistence of Smooth Solutions
7.4.
Exercises
147
148
158
175
197
201
202
213
237
245
249
250
259
270
276
Chapter 8. Epilogue
8.1. Basic Linear Differential Equations
8.2. Examples of Nonlinear Differential Equations
279
Bibliography
289
Index
291
279
282
Preface
Is it really necessary to classify partial differential equations (PDEs) and to

employ different methods to discuss different types of equations? Why is it
important to derive a priori estimates of solutions before even proving the
existence of solutions? These are only a few questions any students who
just start studying PDEs might ask. Students may find answers to these
questions only at the end of a one-semester course in basic PDEs, sometimes
after they have already lost interest in the subject. In this book, we attempt
to address these issues at the beginning. There are several notable features
in this book.
First, the importance of a priori estimates is addressed at the beginning
and emphasized throughout this book. This is well illustrated by the chapter
on first-order PDEs. Although first-order linear PDEs can be solved by

the method of characteristics, we provide a detailed analysis of a priori
estimates of solutions in sup-norms and in integral norms. To emphasize the
importance of these estimates, we demonstrate how to prove the existence
of weak solutions with the help of basic results from functional analysis.
The setting here is easy, since L2-spaces are needed only. Meanwhile, all
important ideas are in full display. In this book, we do attempt to derive
explicit expressions for solutions whenever possible. However, these explicit
expressions of solutions of special equations usually serve mostly to suggest
the correct form of estimates for solutions of general equations.
The second feature is the illustration of the necessity to classify secondorder PDEs at the beginning. In the chapter on general second-order linear
PDEs, immediately after classifying second-order PDEs into elliptic, parabolic and hyperbolic type, we discuss various boundary-value problems and
initial/boundary-value problems for the Laplace equation, the heat equation
ix
Preface
and the wave equation. We discuss energy methods for proving uniqueness
and find solutions in the plane by separation of variables. The explicit
expressions of solutions demonstrate different properties of solutions of different types of PDEs. Such differences clearly indicate that there is unlikely
to be a unified approach to studying PDEs.
Third, we focus on simple models of PDEs and study these equations in
detail. We have chapters devoted to the Laplace equation, the heat equation
and the wave equation, and use several methods to study each equation.
For example, for the Laplace equation, we use three different methods to
study its solutions: the fundamental solution, the mean-value property and
the maximum principle. For each method, we indicate its advantages and
its shortcomings. General equations are not forgotten. We also discuss
maximum principles for general elliptic and parabolic equations and energy
estimates for general hyperbolic equations.
The book is designed for a one-semester course at the graduate level.
Attempts have been made to give a balanced coverage of different classes
of partial differential equations. The choice of topics is influenced by the
personal tastes of the author. Some topics may not be viewed as basic by
others. Among those not found in PDE textbooks at a comparable level

are estimates in L-norms and L2-norms of solutions of the initial-value
problem for the first-order linear differential equations, interior gradient estimates and differential Harnack inequality for the Laplace equation and the
heat equation by the maximum principle, and decay estimates for solutions
of the wave equation. Inclusions of these topics reflect the emphasis on
estimates in this book.
This book is based on one-semester courses the author taught at the University of Notre Dame in the falls of 2007, 2008 and 2009. During the writing
of the book, the author benefitted greatly from comments and suggestions of
many of his friends, colleagues and students in his classes. Tiancong Chen,
Yen-Chang Huang, Gang Li, Yuanwei Qi and Wei Zhu read the manuscript
at various stages. Minchun Hong, Marcus Khuri, Ronghua Pan, Xiaodong
Wang and Xiao Zhang helped the author write part of Chapter 8. Hairong
Liu did a wonderful job of typing an early version of the manuscript. Special
thanks go to Charles Stanton for reading the entire manuscript carefully and
for many suggested improvements.
I am grateful to Natalya Pluzhnikov, my editor at the American Mathematical Society, for reading the manuscript and guiding the effort to turn
it into a book. Last but not least, I thank Edward Dunne at the AMS for
his help in bringing the book to press.
Qing Han
Chapter 1
Introduction
This chapter serves as an introduction of the entire book.

In Section 1.1, we first list several notations we will use throughout this
book. Then, we introduce the concept of partial differential equations.
In Section 1.2, we discuss briefly well-posed problems for partial differential equations. We also introduce several function spaces whose associated
norms are used frequently in this book.
In Section 1.3, we present an overview of this book.
1.1. Notation
In general, we denote by x points in IRn and write x = (Xi,'. , x7) in terms
of its coordinates. For any x e IRn, we denote by lxi the standard Euclidean
norm, unless otherwise stated. Namely, for any x = (Xi,'' , x7 ), we have
1
Sometimes, we need to distinguish one particular direction as the time direction and write points in IRn+1 as (x, t) for x e IRn and t e JR. In this
case, we call x = (xi,'' , x7) E IRn the space variable and t e IR the time
variable. In R2, we also denote points by (x, y).
Let 1 be a domain in W, that is, an open and connected subset in

IRn. We denote by C(1) the collection of all continuous functions in 1, by
C(1) the collection of all functions with continuous derivatives up to order
m, for any integer m > 1, and by C(1) the collection of all functions with
continuous derivatives of arbitrary order. For any u e Cm(), we denote by
1
1. Introduction
Vmu the collection of all partial derivatives of u of order m. For m = 1 and

m = 2, we usually write Vmu in special forms. For first-order derivatives,
we write Vu as a vector of the form
Vu=(u51, ,u5).
This is the gradient vector of u. For second-order derivatives, we write V2u
in the matrix form
V2u =
ux1x1
ux2x1
uxlx2
uxlxn
ux2x2
ux2xn
uxnxl
uxnx2
uxnxn
This is a symmetric matrix, called the Hessian matrix of u. For derivatives of

order higher than two, we need to use multi-indices. A multi-index a E 7L+
is given by a = (al,.'. , a7) with nonnegative integers ai,
, a7. We write
n
IaI=a.
2=1
For any vector
= (1,
,fin ) C W, we denote
- tai
The partial derivative &u is defined by
as u = aSi . .. axn u,
and its order is I al. For any positive integer m, we define
1
2)
\IaI=m
In particular,
1
(Eu)
2=1
and
1
IV2ul =
uxix
i, j=1
A hypersurface in W is a surface of dimension n - 1. Locally, a Cnhypersurface can be expressed by {co = 0} for a Cn-function co with Vco
0.
Alternatively, by a rotation, we may take co(x) = xn -'b(x1,

, x_1) for a
Ctm-function b of n - 1 variables. A domain 11 C W is Cn if its boundary
Oh is a Cm-hypersurface.
A partial differential equation (henceforth abbreviated as PDE) in a

domain SZ C Rn is a relation of independent variables x e fZ, an unknown
function u defined in fZ, and a finite number of its partial derivatives. To
solve a PDE is to find this unknown function. The order of a PDE is the
order of the highest derivative in the relation. Hence for a positive integer
m, the general form of an mth-order PDE in a domain 1 C Rn is given by
, V'nu(x)) = 0
F(x, u, Vu(x), V2u(x),
for x E fZ.
Here F is a function which is continuous in all its arguments, and u is a
Ctm-function in fZ. A Cn-solution u satisfying the above equation in the
pointwise sense in SZ is often called a classical solution. Sometimes, we need
to relax regularity requirements for solutions when classical solutions are

not known to exist. Instead of going into details, we only mention that it
is an important method to establish first the existence of weak solutions,
functions with less regularity than Ctm and satisfying the equation in some
weak sense, and then to prove that these weak solutions actually possess the
required regularity to be classical solutions.
A PDE is linear if it is linear in the unknown functions and their derivatives, with coefficients depending on independent variables x. A general
mth-order linear PDE in SZ is given by
aa(x)aau = f (x) for x E fZ.

IoI<m
Here as is the coefficient of 0&u and f is the nonhomogeneous term of the

equation. A PDE of order m is quasilinear if it is linear in the derivatives of
solutions of order m, with coefficients depending on independent variables
x and the derivatives of solutions of order <m. In general, an mth-order
quasilinear PDE in SZ is given by
a (x, u, ... , Qm- l u) au = f(x, u, ... , Qm- l u) for x e c.
I&I =m
Several PDEs involving one or more unknown functions and their deriva-
tives form a partial differential system. We define linear and quasilinear

partial differential systems accordingly.
In this book, we will focus on first-order and second-order linear PDEs
and first-order linear differential systems. On a few occasions, we will diverge
to nonlinear PDEs.

What is the meaning of solving partial differential equations? Ideally, we
obtain explicit solutions in terms of elementary functions. In practice this is
only possible for very simple PDEs or very simple solutions of more general
1. Introduction
PDEs. In general, it is impossible to find explicit expressions of all solutions

of all PDEs. In the absence of explicit solutions, we need to seek methods to
prove existence of solutions of PDEs and discuss properties of these solutions.
In many PDE problems, this is all we need to do.
A given PDE may not have solutions at all or may have many solutions.
When it has many solutions, we intend to assign extra conditions to pick up
the most relevant solutions. Those extra conditions usually are in the form
of boundary values or initial values. For example, when we consider a PDE
in a domain, we can require that solutions, when restricted to the boundary,
have prescribed values. This is the so-called boundary-value problems. When
one variable is identified as the time and a part of the boundary is identified
as an initial hypersurface, values prescribed there are called initial values.
We use data to refer to boundary values or initial values and certain known
functions in the equation, such as the nonhomogeneous term if the equation
is linear.
Hadamard introduced the notion of well-posed problems. A given problem for a partial differential equation is well-posed if
(i) there is a solution;
(ii) this solution is unique;
(iii) the solution depends continuously in some suitable sense on the data
given in the problem, i.e., the solution changes by a small amount if the data
change by a small amount.
We usually refer to (i), (ii) and (iii) as the existence, uniqueness and
continuous dependence, respectively. We need to emphasize that the wellposedness goes beyond the existence and uniqueness of solutions. The continuous dependence is particularly important when PDEs are used to model
phenomena in the natural world. This is because measurements are always
associated with errors. The model can make useful predictions only if solutions depend on data in a controllable way.
In practice, both the uniqueness and the continuous dependence are

proved by a priori estimates. Namely, we assume solutions already exist
and then derive certain norms of solutions in terms of data in the problem.
It is important to note that establishing a priori estimates is in fact the first
step in proving the existence of solutions. A closely related issue here is the
regularity of solutions such as continuity and differentiability. Solutions of
a particular PDE can only be obtained if the right kind of regularity, or the
right kind of norms, are employed. Two classes of norms are used often,
sup-norms and L2-norms.
1.3. Overview
Let 1 be a domain in R. For any bounded function u in 1, we define

the sup-norm of u in 1 by
kLIL00() = sup IuI
For a bounded continuous function u in St, we may also write IuIc(c) instead
of IuILoo(c). Let m be a positive integer.
For any function u in St with
bounded derivatives up to order m, we define the C"''-norm of u in SZ by

IaI<m
If 1 is a bounded Cm-domain in Ian, then Cm (11), the collection of functions

which are Ctm in 1, is a Banach space equipped with the Cn-norm.
Next, for any Lebesgue measurable function u in 1, we define the L2norm of u in 1 by

2
(f
where integration is in the Lebesgue sense. The L2-space in 1 is the collecIIUIIL2() -
u2 dx
tion of all Lebesgue measurable functions in 1 with finite L2-norms and is

denoted by L2(1). We learned from real analysis that L2 (1) is a Banach
space equipped with the L2-norm.
Other norms will also be used. We will introduce them as needed.
The basic formula for integration is the formula of integration by parts.
Let 1 be a piecewise C1-domain in Ian and v = (v1,... , vn) be the unit

exterior normal vector to D1. Then for any u, v e C1(1) f1 C(1),
f uxZv dx = -
uvx2 dx +
fsp
uvv2 dS,
, n. Such a formula is the basis for L2-estimates.

for i = 1,
In deriving a priori estimates, we follow a common practice and use
the "variable constant" convention. The same letter C is used to denote
constants which may change from line to line, as long as it is clear from the
context on what quantities the constants depend. In most cases, we are not
interested in the value of the constant, but only in its existence.
1.3. Overview
There are eight chapters in this book.
The main topic in Chapter 2 is first-order PDEs. In Section 2.1, we introduce the basic notion of noncharacteristic hypersurfaces for initial-value
problems for first-order PDEs. We discuss first-order linear PDEs, quasilinear PDEs and general nonlinear PDEs. In Section 2.2, we solve initial-value
1. Introduction
problems by the method of characteristics if initial values are prescribed on

noncharacteristic hypersurfaces. We demonstrate that solutions of a system
of ordinary differential equations (ODES) yield solutions of the initial-value
problems for first-order PDEs. In Section 2.3, we derive estimates of solutions of initial-value problems for first-order linear PDEs. The L-norms
and the L2-norms of solutions are estimated in terms of those of initial values and nonhomogeneous terms. In doing so, we only assume the existence
of solutions and do not use any explicit expressions of solutions. These
estimates provide quantitative properties of solutions.
Chapter 3 should be considered as an introduction to the theory of

second-order linear PDEs. In Section 3.1, we introduce the Laplace equa-
tion, the heat equation and the wave equation. We also introduce their
general forms, elliptic equations, parabolic equations and hyperbolic equations, which will be studied in detail in subsequent chapters. In Section 3.2,
we derive energy estimates of solutions of certain boundary-value problems.
Consequences of such energy estimates are the uniqueness of solutions and
the continuous dependence of solutions on boundary values and nonhomogeneous terms. In Section 3.3, we solve these boundary-value problems in
the plane by separation of variables. Our main focus is to demonstrate different regularity patterns for solutions of different differential equations, the
Laplace equation, the heat equation and the wave equation.
In Chapter 4, we discuss the Laplace equation and the Poisson equation. The Laplace equation is probably the most important PDE with the
widest range of applications. In the first three sections, we study harmonic
functions (i.e., solutions of the Laplace equation), by three different methods: the fundamental solution, the mean-value property and the maximum
principle. These three sections are relatively independent of each other.
In Section 4.1, we solve the Dirichlet problem for the Laplace equation in
balls and derive Poisson integral formula. Then we discuss regularity of harmonic functions using the fundamental solution. In Section 4.2, we study
the mean-value property of harmonic functions and its consequences. In
Section 4.3, we discuss the maximum principle for harmonic functions and
its applications. In particular, we use the maximum principle to derive interior gradient estimates for harmonic functions and the Harnack inequality
for positive harmonic functions. We also solve the Dirichlet problem for the
Laplace equation in a large class of bounded domains by Perron's method.
Last in Section 4.4, we briefly discuss classical solutions and weak solutions
of the Poisson equation.
In Chapter 5, we study the heat equation, which describes the temperature of a body conducting heat, when the density is constant. In Section
5.1, we introduce Fourier transforms briefly and derive formally an explicit
1.3. Overview
expression for solutions of the initial-value problem for the heat equation.
In Section 5.2, we prove that such an expression indeed yields a classical
solution under appropriate assumptions on initial values. We also discuss
regularity of arbitrary solutions of the heat equation by the fundamental
solution. In Section 5.3, we discuss the maximum principle for the heat
equation and its applications. In particular, we use the maximum principle
to derive interior gradient estimates for solutions of the heat equation and
the Harnack inequality for positive solutions of the heat equation.
In Chapter 6, we study the n-dimensional wave equation, which represents vibrations of strings or propagation of sound waves in tubes for
n = 1, waves on the surface of shallow water for n = 2, and acoustic or
light waves for n = 3. In Section 6.1, we discuss initial-value problems and
various initial/boundary-value problems for the one-dimensional wave equation. In Section 6.2, we study initial-value problems for the wave equation
in higher-dimensional spaces. We derive explicit expressions of solutions in
odd dimensions by the method of spherical average and in even dimensions
by the method of descent. We also discuss global behaviors of solutions.
Then in Section 6.3, we derive energy estimates for solutions of initial-value
problems. Chapter 6 is relatively independent of Chapter 4 and Chapter 5
and can be taught after Chapter 3.
In Chapter 7, we discuss partial differential systems of first order and
focus on existence of local solutions. In Section 7.1, we introduce noncharacteristic hypersurfaces for partial differential equations and systems of
arbitrary order. We demonstrate that partial differential systems of arbitrary order can always be changed to those of first order. In Section 7.2,
we discuss the Cauchy-Kovalevskaya theorem, which asserts the existence of
analytic solutions of noncharacteristic initial-value problems for differential
systems if all data are analytic. In Section 7.3, we construct a first-order
linear differential system in R3 which does not admit smooth solutions in
any subsets of ]R3. In this system, coefficient matrices are analytic and the
nonhomogeneous term is a suitably chosen smooth function.
In Chapter 8, we discuss several differential equations we expect to study
in more advanced PDE courses. Discussions in this chapter will be brief.
In Section 8.1, we discuss basic second-order linear differential equations,
including elliptic, parabolic and hyperbolic equations, and first-order linear
symmetric hyperbolic differential systems. We will introduce appropriate
boundary-value problems and initial-value problems and introduce appropriate function spaces to study these problems. In Section 8.2, we introduce
several important nonlinear equations and focus on their background. This
chapter is designed to be introductory.
1. Introduction
Each chapter, except this introduction and the final chapter, ends with
exercises. Level of difficulty varies considerably. Some exercises, at the most
difficult level, may require long lasting efforts.
Chapter 2
First-Order Differential
Equations
In this chapter, we discuss initial-value problems for first-order PDEs. Main

topics include noncharacteristic conditions, methods of characteristics and
a priori estimates in L-norms and in L2-norms.
In Section 2.1, we introduce the basic notion of noncharacteristic hypersurfaces for initial-value problems. In an attempt to solve initial-value problems, we illustrate that we are able to compute all derivatives of solutions
on initial hypersurfaces if initial values are prescribed on noncharacteristic initial hypersurfaces. For first-order linear PDEs, the noncharacteristic
condition is determined by equations and initial hypersurfaces, independent
of initial values. However, for first-order nonlinear equations, initial values
also play a role. Noncharacteristic conditions will also be introduced for
second-order linear PDEs in Section 3.1 and for linear PDEs of arbitrary
order in Section 7.1, where multi-indices will be needed.
In Section 2.2, we solve initial-value problems by the method of characteristics if initial values are prescribed on noncharacteristic hypersurfaces.
For first-order homogeneous linear PDEs, special curves are introduced along
which solutions are constant. These curves are given by solutions of a system
of ordinary differential equations (ODEs), the so-called characteristic ODEs.
For nonlinear PDEs, characteristic ODEs also include additional equations
for solutions of PDEs and their derivatives. Solutions of the characteristic

ODEs yield solutions of the initial-value problems for first-order PDEs.
In Section 2.3, we derive estimates of solutions of initial-value problems
for first-order linear PDEs. The L-norms and the L2-norms of solutions
2. First-Order Differential Equations
10
are estimated in terms of those of initial values and nonhomogeneous terms.

In doing so, we only assume the existence of solutions and do not use any
explicit expressions of solutions. These estimates provide quantitative properties of solutions. In the final part of this section, we discuss briefly the existence of weak solutions as a consequence of the L2-estimates. The method
is from functional analysis and the Riesz representation theorem plays an
essential role.

Let St be a domain in ][8n and F = F(x, u, p) be a smooth function of
(x, u, p) E 12 x ]I8 x W. A first-order PDE in St is given by
F(x, u, Vu)= 0 for x E St.
(2.1.1)
Solving (2.1.1) in the classical sense means finding a smooth function u

satisfying (2.1.1) in St. We first examine a simple example.
Example 2.1.1. We consider in ][82 = {(x, t)} the equation
u + ut = 0.
This is probably the simplest first-order PDE. Obviously, u(x, t) = x - t
is a solution. In general, u(x, t) = uo(x - t) is also a solution for any C'function up. Such a solution has a physical interpretation. We note that
u(x, t) = uo (x - t) is constant along straight lines x - t = xo. By interpreting
x as location and t as time, we can visualize such a solution as a wave
propagating to the right with velocity 1 without changing shape. When
interpreted in this way, the solution u at later time (t > 0) is determined
uniquely by its value at the initial time (t = 0), which is given by uo(x).
The function uo is called an initial value.
U
u(',ti) u(',t2)
t2-tl
Figure 2.1.1. Graphs of u at different times t2 > t1.
11
In light of Example 2.1.1, we will introduce initial values for (2.1.1) and
discuss whether initial values determine solutions.
Let E be a smooth hypersurface in I[8Th with St fl E Ql. We intend to
prescribe u on E to find a solution of (2.1.1). To be specific, let uo be a given
smooth function on E. We will find a solution u of (2.1.1) also satisfying
u = uo on.
(2.1.2)
We usually call E the initial hypersurface and uo the initial vale or Cauchy
vale. The problem of solving (2.1.1) together with (2.1.2) is called the
initial-value problem or Cauchy problem. Our main focus is to solve such an
initial-value problem under appropriate conditions.
We start with the following question. Given an initial value (2.1.2) for
equation (p.1.1), can we compute all derivatives of u at each point of the
initial hypersurface E? This should be easier than solving the initial-value
problem (2.1.1)-(2.1.2).
To illustrate the main ideas, we first consider linear PDEs. Let S2 be a
domain in I[8n containing the origin and ai, b and f be smooth functions in
, n. We consider
St, for any i = 1,
n
ai(x)u-I- b(x)u = f(x) in ft
(2.1.3)
i=1
Here, ai and b are coefficients of uxi and u, respectively. The function f is

called the nonhomogeneous term. If f - 0, (2.1.3) is called a homogeneous
equation.
We first consider a special case where the initial hypersurface
is given
by the hyperplane {xn = 0}. For x E Rn, we write x = (x', xn) for x' =
x_1) E Rn-1. Let uo be a given smooth function in a neighborhood
of the origin in Rn-1. The initial condition (2.1.2) has the form
(x1,
(2.1.4)
u(x', 0) =
for any x' E Rn-1 sufficiently small.

Let u be a smooth solution of (2.1.3) and (2.1.4). In the following, we
will investigate whether we can compute all derivatives of u at the origin in
terms of the equation and the initial value. It is obvious that we can find
all x'-derivatives of u at the origin in terms of those of uo. In particular, we
have, for i = 1,
, n - 1,
u(0) =
To find u(0), we need to use the equation. We note that an is the coefficient
of uin (2.1.3). If we assume

(2.1.5)
an(0) L 0,
12
then by (2.1.3)
n-1
u(0) _ -
(ai(0)uxi(0) + b(o)u(o) - 1(0)).

Z-1
Hence, we can compute all first-order derivatives of u at 0 in terms of the

coefficients and the nonhomogeneous term in (2.1.3) and the initial value uo
in (2.1.4). In fact, we can compute all derivatives of u of any order at the
origin by using uo and differentiating (2.1.3). We illustrate this by finding
all the second-order derivatives. We first note that
ux2x (0) = uo,x2x (0),
for i, j = 1,
,n-i. To find uxkxn for k = 1,
with respect to xk to get
, n, we differentiate (2.1.3)
aiuxix
i=1
ai,xk ux2 + buxk + bxk u = fXk'
-I-
i=1
For k = 1, , n - 1, the only unknown expression at the origin is uxk xn ,

whose coefficient is an. If (2.1.5) holds, we can find uxkxn (0) for k _
1,
, n-1,
,n-i. Fork = n, with uxixn (0) already determined for i = 1,
we can find uxnxn (0) similarly. This process can be repeated for derivatives
of arbitrary order. In summary, we can find all derivatives of u of any order at the origin under the condition (2.1.5), which will be defined as the
noncharacteristic condition later on.
More generally, consider a hypersurface given by {co = 0} for a smooth
function So in a neighborhood of the origin with V p
0. Assume that
is normal to
passes through the origin, i.e., p(0) = 0. We note that
at each point of . Without loss of generality, we assume 7'xn (0) 0.
Then by the implicit function theorem, we can solve So = 0 around x = 0
for xn = b (x 1,
, x7_). Consider a change of variables
x H y = (xl,... , xn_ , SP(x)) .
This is a well-defined transform in a neighborhood of the origin. Its Jacobian
matrix J is given by
... ,y) _
a(,...
J = a(xl,
... , xn)
Hence det J(0) = cpXTh (0)
0.
Id
13
In the following, we denote by L the first-order linear differential operator defined by the left-hand side of (2.1.3), i.e.,
ai(x)u-I- b(x)u.
Lu =
(2.1.6)
i=1
By the chain rule,
>yk,xuyk.
lc=1
We write the operator L in the y-coordinates as
Lu =
a2(x(y))yk,xi
uyk + b(x(y))u.
In the y-coordinates, the initial hypersurface E is given by {yn = 0}. With

yam, = cp, the coefficient of uy, is given by
az
i=1
Hence, for the initial-value problem (2.1.3) and (2.1.2), we can find all deriva-
tives ofuatOEEif
0.
a2 Co) z Co)
2=1
is normal to E _ {gyp = 0}. When

We recall that Dip =
_ {x= 0} or (x) = x7, then Dip = (0,... , 0,1) and
a(x).
2=1
This reduces to the special case we discussed earlier.
Definition 2.1.2. Let L be a first-order linear differential operator as in

(2.1.6) in a neighborhood of xo E RT and E be a smooth hypersurface
containing xo. Then is noncharacteristic at xo if
(2.1.7)
>ai(xo)vi
0,
2=1
where v = (Vi,... , v7) is normal to E at xo. Otherwise, E is characteristic

at xo.
A hypersurface is noncharacteristic if it is noncharacteristic at every

point. Strictly speaking, a hypersurface is characteristic if it is not noncharacteristic, i.e., if it is characteristic at some point. In this book, we will
abuse this terminology. When we say a hypersurface is characteristic, we
mean it is characteristic everywhere. This should cause few confusions. In
14
I[82, hypersurfaces are curves, so we shall speak of characteristic curves and

noncharacteristic curves.
The noncharacteristic condition has a simple geometric interpretation.

If we view a = (al,.. , an) as a vector in 1[8n, then condition (2.1.7) holds if
and only if a(xo) is not a tangent vector to E at xo. This condition assures
that we can compute all derivatives of solutions at xp.
It is straightforward to check that (2.1.7) is maintained under C'-changes
of coordinates.
The discussion leading to Definition 2.1.2 can be easily generalized to

first-order quasilinear equations. Let SZ be a domain in W containing the
origin as before and a2 and f be smooth functions in SZ x R, for any i =
1,
, n. We consider
n
(2.1.8)
f(x,u) in ft
ai (x,
2=1
Again, we first consider a special case where the initial hypersurface E is

given by the hyperplane {xn = 0} and an initial value is given by (2.1.4) for
a given smooth function uo in a neighborhood of the origin in I[8n-1. Let u
be a smooth solution of (2.1.8) and (2.1.4). Then
u( O) =
for i = 1,
uo,xi (O) ,
, n - 1, and
n-1
- f(Ouo(O)))
u(O) = -__________
a(O,uo(O))
z=1
aj(O,uo(O))uxj(o)
if
an (O,uo(0)) L0.
Similar to (2.1.5), this is the noncharacteristic condition for (2.1.8) at the

origin if the initial hypersurface E is given by {xn = 0}.
In general, let xO be a point in ][8n and E be a smooth hypersurface
containing xo. Let uo be a prescribed smooth function on E and ai and f be
smooth functions in a neighborhood of (xO, u(xp)) E IISn X IIB, for i = 1,
, n.
Then for quasilinear PDE (2.1.8), E is noncharacteristic at xO with respect

to uo if
n
(2.1.9)
az (xo,uo(xo))vz
2=1
where v = (vi,... , vn) is normal to > at xo.
0,
15
There is a significant difference between (2.1.7) for linear PDEs and

(2.1.9) for quasilinear PDEs. For linear PDEs, the noncharacteristic condition depends on initial hypersurfaces and equations, specifically, the coefficients of first-order derivatives. For quasilinear PDEs, it also depends on
initial values.
Next, we turn to general nonlinear partial differential equations as in
(2.1.1). Let SZ be a domain in W containing the origin as before and let F
be a smooth function in SZ x It x R. Consider
F(x,u,Vu)=O inft
We ask the same question as for linear equations. Given an initial hypersurface Econtaining the origin and an initial value uo on E, can we compute
all derivatives of solutions at the origin? Again, we first consider a special
case where the initial hypersurface E is given by the hyperplane {xn = 0}
and an initial value is given by (2.1.4) for a given smooth function uo in a
neighborhood of the origin in
Il8n-1
Example 2.1.3. Consider
n
1
i=1
and
u(x', 0) = u0(x').
It is obvious that u = x2 is a solution for u0 (x') = x2, i = 1,
,n-
1.
However, if I V ' u0 (x') l 2 > 1, there are no solutions for such an initial value.
In light of Example 2.1.3, we first assume that there exists a smooth

function v in a neighborhood of the origin having the given initial value u0
and satisfying F = 0 at the origin, i.e.,
F(0, v(0), Vv(0)) = 0.
Now we can proceed as in the discussion of linear PDEs and ask whether we
can find urn at the origin. By the implicit function theorem, this is possible
if
F(0,v(0),Vv(0)) L 0.
This is the noncharacteristic condition for F = 0 at the origin.
Now we return to Example 2.1.3. We set
F(x, u, p) _ 1p12 - 1 for any p E I[8n.
We claim that the noncharacteristic condition holds at 0 with respect to uo

if
1.
16
In fact, let v = uo + cx, for a constant c to be determined. Then

IVv(O)12
By choosing
= IV'uo(O)I2 + c2.
1- Ivx'uo(o)12 o,
v satisfies the equation at x = 0. For such two choices of v, we have
F.(0, v(0), Vv(0)) = 2v(0) = 2c
0.
This proves the claim.
In general, let F = 0 be a first-order nonlinear PDE as in (2.1.1) in

a neighborhood of xo E R. Let E be a hypersurface containing xo and
uo be a prescribed function on E. Then E is noncharacteristic at xo E E
with respect to uo if there exists a function v such that v = uo on E,
F(xo, v(xo), Vv(xo)) = 0 and
n
0,
i=1
where v = (ii1,... , vn) is normal to
at xo.

In this section, we solve initial-value problems for first-order PDEs by the
method of characteristics. We demonstrate that solutions of any first-order
PDEs with initial values prescribed on noncharacteristic hypersurfaces can
be obtained by solving systems of ordinary differential equations (ODEs).
Let S 1 C Rn be a domain and F a smooth function in S 1 x R x Ian. The
general form of first-order PDEs in S1 is given by
F(x,u,Vu)=0 foranyxES1.
Let
be a smooth hypersurface in Rn with f1 SZ ; 0 and uo be a smooth

function on . Then we prescribe an initial value on by
u = uo
on
f1 S 1.
If S 1 is a domain containing the origin and is noncharacteristic at the

origin with respect to uo, then we are able to compute derivatives of u of
arbitrary order at the origin by discussions in the previous section. Next,
we investigate whether we can solve the initial-value problem at least in a
neighborhood of the origin.
Throughout this section, we always assume that S 1 is a domain containing
the origin and that the initial hypersurface is given by the hyperplane
{ xn = 0}. Obviously, { xn = 0} has (0,... , 0,1) as a normal vector field. If
17
x E W, we write x = (x', xn), where x' E R-1. Our goal is to solve the
initial-value problem
F(x, u, emu) = 0,
u(x',O) = UO(X).
2.2.1. Linear Homogeneous Equations. We start with first-order linear

homogeneous equations. Let ai be smooth in a neighborhood of 0 E I[8n,
i = 1,
, n, and uo be smooth in a neighborhood of 0 E I[8n-1. Consider
(2.2.1)
0,
2=1
u(x', 0) = uo(x').
By introducing a = (ai,''' , an), we simply write the equation in (2.2.1) as

a(x) . Vu = 0.
Here a(x) is regarded as a vector field in a neighborhood of 0 E R. Then

a(x) O is a directional derivative along a(x) at x. In the following, we
assume that the hyperplane {xn = 0} is noncharacteristic at the origin, i.e.,
an(0) L0.
Here we assume that a solution u of (2.2.1) exists. Our strategy is as follows.
For any x E I[8n close to the origin, we construct a special curve along which
u is constant. If such a curve starts from x and intersects ][8n-1 x {0} at (y, 0)
for asmall y E I[8n-i, then u(x) = uo(y). To find such acurve x = x(s), we
consider the restriction of u to it and obtain aone-variable function u(x(s)).
Now we calculate the s-derivative of this function and obtain
i=1
In order to have a constant value of u along this curve, we require

ds
(u(x(s))) =0.
A simple comparison with the equation in (2.2.1) yields

dx2
ds
= ai(x) for i = 1,
,n.
This naturally leads to the following definition.
Definition 2.2.1. Let a = a(x) : St - ][8n be a smooth vector field in SZ

and x = x(s) be a smooth curve in S2. Then x = x(s) is an integral curve of
a if
dx = a(x).
(2.2.2)
ds
18
The calculation preceding Definition 2.2.1 shows that the solution u of

(2.2.1) is constant along integral curves of the coefficient vector field. This
yields the following method of solving (2.2.1). For any x E ][near the
origin, we find an integral curve of the coefficient vector field through x by
solving
dx = a(x),
ds
(2.2.3)
x(0) = x.
If it intersects the hyperplane {x= 0} at (y, 0) for some y sufficiently small,

then we let u(x) = uo(y).
Since (2.2.3) is an autonomous system (i.e., the independent variable s
does not appear explicitly), we may start integral curves from initial hyperplanes. Instead of (2.2.3), we consider the system
dx
ds =
(2.2.4)
a(x),
x(0) = (y,O).
In (2.2.4), integral curves start from (y, 0). By allowing y E ][8n-1 to vary in
a neighborhood of the origin, we expect integral curves x(y, s) to reach any
x E IIBn in a neighborhood of the origin for small s. This is confirmed by the
following result.
Lemma 2.2.2. Let a be a smooth vector field in a neighborhood of the origin

with a(0) 74 0. Then for any sufficiently small y E Il8n-1 and any sufficiently
small s, the solution x = x(y, s) of (2.2.4) defines a diffeomorphism in a

neighborhood of the origin in IIBn.
Proof. This follows easily from the implicit function theorem. By standard
results in ordinary differential equations, (2.2.4) admits a smooth solution
x = x(y, s) for any sufficiently small (y, s) E IIBn-1 X IIg. We treat it as a
map (y, s) i- x and calculate its Jacobian matrix J at (y, s) _ (0, 0). By
x(y, 0) _ (y, 0), we have
ai(0)
.Tfnl -
ax
Id
ate,-i (0)
(y,s)=(0,0)
0
a(0)
Hence det J(0) = a(0) 74 0.
Therefore, for any sufficiently small x, we can solve
x(y, s) = x
19
uniquely for small y and s. Then u(x) = uo(y) yields a solution of (2.2.1).
Note that s is not present in the expression of solutions. Hence the value
Figure 2.2.1. Solutions by integral curves.
of the solution u(x) depends only on the initial value uo at (y, 0) and, meanwhile, the initial value uo at (y, 0) influences the solution u along the integral
curve starting from (y, 0). Therefore, we say the domain of dependence of
the solution u(x) on the initial value is represented by the single point (y, 0)
and the range of influence of the initial value at a point (y, 0) on solutions
consists of the integral curve starting from (y, 0).
For n = 2, integral curves are exactly characteristic curves. This can be
seen easily by (2.2.2) and Definition 2.1.2. Hence the ODE (2.2.2) is often
referred to as the characteristic ODE. This term is adopted for arbitrary

dimensions. We have demonstrated how to solve homogeneous first-order
linear PDEs by using characteristic ODEs. Such a method is called the
method of characteristics. Later on, we will develop a similar method to
solve general first-order PDEs.
We need to emphasize that solutions constructed by the method of characteristics are only local. In other words, they exist only in a neighborhood
of the origin. A natural question here is whether there exists a global solution for globally defined a and uo. There are several reasons that local
solutions cannot be extended globally. First, u(x) cannot be evaluated at
x E I[8n if x is not on an integral curve from the initial hypersurface, or equivalently, the integral curve from x does not intersect the initial hypersurface.
Second, u(x) cannot be evaluated at x E Il8n if the integral curve starting

from x intersects the initial hypersurface more than once. In this case, we
cannot prescribe initial values arbitrarily. They must satisfy a compatibility
condition.
Example 2.2.3. We discuss the initial-value problem for the equation in

Example 2.1.1. We denote by (x, t) points in IE82 and let uo be a smooth
20
function in 1I8. We consider
ut + uX= 0 in Il8 x (0, oo),

onTR.
It is easy to verify that {t = 0} is noncharacteristic. The characteristic ODE

and corresponding initial values are given by
dt
dx
ds
1'
ds
1'
and
t(0) = 0.
Here, both x and t are treated as functions of s. Hence
x(0) = XO,
x=s+xp, t=s.
By eliminating s, we have
x - t=xo.
This is a straight line containing (xo, 0) and with a slope 1. Along this
straight line, u is constant. Hence
u(x,t) = uo(x - t).
We interpreted the fact that u is constant along the straight line x - t = xo
in Example 2.1.1. With t as time, the graph of the solution represents a
wave propagating to the right with velocity 1 without changing shape. It is
clear that u exists globally in ll82.
2.2.2. Quasilinear Equations. Next, we discuss initial-value problems

for first-order quasilinear PDEs. Let 1 C Jn be a domain containing the
origin and a2 and f be smooth functions in SZ x J. For a given smooth
function uo in a neighborhood of 0 E JR
1, we consider
(2.2.5)
a2 (x, u)u= f(x,u),

z=1
u(x', 0) = uo(x').
Assume the hyperplane {xn = 0} is noncharacteristic at the origin with

respect to uo, i.e.,
an(0,uo(0)) 0.
Suppose (2.2.5) admits a smooth solution u. We first examine integral curves
dx
= a (x, u),
ds
x(0) _ (y, 0),
Contrary to the case of homogenous linear equations

where y E
we studied earlier, we are unable to solve this ODE since u, the unknown
21
function we intend to find, is present. However, viewing u as a function of

s along these curves, we can calculate how u changes. A similar calculation
as before yields
d
`uCx('S))) =
ds
dx2
2Gxi
Z=1
ds
a2(x, u)uxi = f(x,u).

Z=1
Then
du
= f(x,u),
ds
u(0) = uo(y)
Hence we have an ordinary differential system for x and u. This leads to

the following method for quasilinear PDEs.
Consider the ordinary differential system
dx
= a(x, u),
ds
du
= f(x,u),
ds
with initial values
x(0) _ (y, 0),

u(0) = uo(y),
where y e I[8"-1. In formulating this system, we treat both x and u as
functions of s. This system consists of n + 1 equations for n + 1 functions
and is the characteristic ODE of the first-order quasilinear PDE (2.2.5). By
solving the characteristic ODE, we have a solution given by
x = x(y,s), u = (y,s).
As in the proof of Lemma 2.2.2, we can prove that the map (y, s) H x is a
diffeomorphism. Hence, for any x e ]E8sufficiently small, there exist unique
y e IEBn-1 and s e ]E8 sufficiently small such that
x=
S)
Then the solution u at x is given by
u(x) = (V' S)
We now consider an initial-value problem for a nonhomogeneous linear
equation.
Example 2.2.4. We denote by (x, t) points in I[82 and let f be a smooth

function in ]E8 x (0, oo) and uo be a smooth function in I[8. We consider
ut - u = f
u(.,0)=uo
in I[8 x (0, oo),
onJR.
22
It is easy to verify that {t = 0} is noncharacteristic. The characteristic ODE

and corresponding initial values are given by
dt
du
dx
1'
as
as
as ds
and
t(O) = 0,
x(O) = XO,
u(0) = UO(XO).
Here, x, t and u are all treated as functions of s. By solving for x and t

first, we have
x=xp - s, t =s.
Then the equation for u can be written as
du
f(xo - s, s).
ds A simple integration yields
- T, T)
2G = 2Gp(xp) + f
By substituting xo and s by x and t, we obtain
ft
u(x,t) = 2Gp(x + t)'+
J0
f(x+t - T,T)CLT.
Next, we consider an initial-value problem for a quasilinear equation.
Example 2.2.5. We denote by (x, t) points in I182 and let uo be a smooth

function in I1t Consider the initial-value problem for Burgers' equation
ut -I- uu = 0
0) = uo
in It x (0, oo),
on I1t
It is easy to check that {t = 0} is noncharacteristic with respect to any u0.

The characteristic ODE and corresponding initial values are given by
dx
= u,
ds
dt
= 1,
ds
du
= 0,
ds
and
t(0) = 0, u(0) = UO(XO).

Here, x, t and u are all treated as functions of s. By solving for t and u first
and then for x, we obtain
x(O) = XO,
X = UO(XO)5 + XO,
t = s,
u = uo(xo).
By eliminating s from the expressions of x and t, we have

(2.2.6)
x = uo(xo)t -I- xo.
23
By the implicit function theorem, we can solve for xo in terms of (x, t) in a

neighborhood of the origin in 1E82. If we denote such a function by
xo = xo(x,t),
then we have a solution
u = up(xp(x,t)),
for any (x, t) sufficiently small. By eliminating xo and s from the expressions
of x, t and u, we may also write the solution u implicitly by
u = UO(x - Ut).
It is interesting to ask whether such a solution can be extended to ][82. Let

coo be the characteristic curve given by (2.2.6). It is a straight line in l[82 with
a slope 1/uo(xo), along which u is the constant uo(xo). For xo < xl with
uo(xo) > uo(xl), two characteristic curves coo and cal intersect at (X, T)
with
xo - x1
T=- uo(xo)
-
uo(xl).
Hence, u cannot be extended as a smooth solution up to (X, T), even as a

continuous function. Such a positive T always exists unless uo is nondecreasing. In a special case where up is strictly decreasing, any two characteristic
curves intersect.
xO
I
x1
Figure 2.2.2. Intersecting characteristic curves.
Now we examine a simple case. Let
uo (x) = -x.
Obviously, this is strictly decreasing. In this case, coo in (2.2.6) is given by
x=xo- xot,
and the solution on this line is given by u = -xo. We note that each coo
contains the point (x, t) _ (0, 1) and hence any two characteristic curves
24
intersect at (0, 1). Then, u cannot be extended up to (0, 1) as a smooth

solution. In fact, we can solve for xo easily to get
x
xO
u(x, t) = t x
1 - t
for any (x,t) E ][8 x (0, 1).
Clearly, u is not defined at t = 1.

In general, smooth solutions of first-order nonlinear PDEs may not exist
globally. When two characteristic curves intersect at a positive time T,

solutions develop a singularity and the method of characteristics breaks
down. A natural question arises whether we can define solutions beyond the
time T. We expect that less regular functions, if interpreted appropriately,
may serve as solutions.
For an illustration, we return to Burgers' equation and employ its divergence structure. We note that Burgers' equation can be written as
2
ut+ (2) =0.

This is an example of a scalar conservation law, that is, it is a first-order
quasilinear PDE of the form
(2.2.7)
where F :
I[8
ut -I-F(u)r = 0 in ll8 x (0, oo),

][8 is a given smooth function. By taking a C1-function cp
of compact support in I[8 x (0, oo) and integrating by parts the product of cp
and the equation in (2.2.7), we obtain
(2.2.8)
JRx (o,oo)
(ucpt +
dxdt = 0.
The integration by parts is justified since cp is zero outside a compact set

in I[8 x (0, oo). By comparing (2.2.7) and (2.2.8), we note that derivatives
are transferred from u in (2.2.7) to cp in (2.2.8). Hence, functions u with
no derivatives are allowed in (2.2.8). A locally bounded function u is called
an integral solution of (2.2.7) if it satisfies (2.2.8) for any C1-function cp of
compact support in ][8 x (0, oo). The function cp in (2.2.8) is often referred to
as a test function. In this formulation, discontinuous functions are admitted
to be integral solutions. Even for continuous initial values, a discontinuity

along a curve, called a shock, may develop for integral solutions. Conservation laws and shock waves are an important subject in PDEs. The brief
discussion here serves only as an introduction to this field. It is beyond the
scope of this book to give a presentation of conservation laws and shock
waves.
25
Now we return to our study of initial-value problems of general firstorder PDEs. So far in our discussion, initial values are prescribed on noncharacteristic hypersurfaces. In general, solutions are not expected to exist
if initial values are prescribed on characteristic hypersurfaces. We illustrate
this by the initial-value problem (2.2.5) for quasilinear equations. Suppose
the initial hyperplane {xn = 0} is characteristic at the origin with respect
to the initial value uo. Then
an(O,uo(O)) = 0.
Hence u(0) is absent from the equation in (2.2.5) when evaluated at x = 0.

Therefore, (2.2.5) implies
n-1
(0,u(0(0) = f(O,uo(O)).
(2.2.9)
Z=1
This is the compatibility condition for the initial value uo. Even if the origin
is the only point where {xn = 0} is characteristic, solutions may not exist in
any neighborhood of the origin for initial values satisfying the compatibility
condition (2.2.9). Refer to Exercise 2.5.
2.2.3. General Nonlinear Equations. Next, we discuss general firstorder nonlinear PDEs. Let St C Il8n be a domain containing the origin and
F = F(x, u, p) be a smooth function in (x, u, p) E St x I[8 x W. Consider
(2.2.10)
F(x, u, Du) = 0,
for any x e St, and prescribe an initial value on {xn = 0} by

(2.2.11)
u(x', 0) = wo(x ),
for any x' with (x', 0) E S2. Assume there is a scalar ao such that
F(0,uo(0),V'uo(0),ao) = 0.
The noncharacteristic condition with respect to uo and ao is given by
(2.2.12)
Fp(0, uo(0),
ao) # 0.
By (2.2.12) and the implicit function theorem, there exists a smooth function
such that a(0) = ao and
a(x') in a neighborhood of the origin in
(2.2.13)
F(x', 0, uo(x'),
a(x')) = 0,
for any x' E Il8n-1 sufficiently small. In the following, we will seek a solution
of (2.2.10)-(2.2.11) and
urn (x', O) =
for any x' small.
26
We start with a formal consideration. Suppose we have a smooth solution u. Set

(2.2.14)
p2 = uxi
for i = 1,
, n.
Then
(2.2.15)
F(x1,...
, xn, u, p1,
... , pn) = 0.
Differentiating (2.2.15) with respect to x2, we have

n
Fpj pj,xi + Fxi + Fuuxi = 0 for i = 1,... , n.

j=1
By
we obtain
n
F p2 xj = -Fx i - Faux i
(2.2.16)
1roj
for i = 1,
, n.
j=1
We view (2.2.16) as a first-order quasilinear equation for p2, for each fixed
i = 1,
, n. An important feature here is that the coefficient for p3 is

Fpj , which is independent of i. For each fixed i = 1,
, n, the characteristic
ODE associated with (2.2.16) is given by
dxj
for,-1,
ds
dp2
n,
- Fup2 - Fxi .
ds
We also have
du
ds
n
ux j
j=1
dx j
ds
pj F3.
j=1
Now we collect ordinary differential equations for x j , u and p2 .

The characteristic ODE for the first-order nonlinear PDE (2.2.10) is the
ordinary differential system
dxj
ds
dp2
(2.2.17)
ds
du
ds
- Fpj (x, u, p)
for j = 1,
, n,
= - Fu (x, u, p)p2 - Fxi (x, u, p)

n
pj Fpj (x, u, p)
j=1
for i = 1, , n,
27
With initial values at s = 0,
x(0) _ (y, 0),

u(0) = uo(y),
u (
0
p(O) =
fori=l
n-1
where y e ]R-1 is the initial value as in (2.2.11) and a is the function

chosen to satisfy (2.2.13). This is an ordinary differential system of 2n + 1
equations for the 2n + 1 functions x, u and p. Here we view x, u and p as
functions of s. Compare this with a similar ordinary differential system of
n + 1 equations for n -I-1 functions x and u for first-order quasilinear PDEs.
Solving (2.2.17) with (2.2.18) near (y,s) _ (0, 0), we have
x = x(y, S),
u_ P(y,S), p = p(y,S),
for any y and s sufficiently small. We will prove that the map (y, s) F- x
is a difFeomorphism near the origin in W. Hence for any given x near the
origin, there exist unique y e Rn-1 and s E IE8 such that
x = x().
Then we define u by
mi(x) _
s)Theorem
2.2.6. The function u defined above is a solution of (2.2.10)(2.2.11).
We should note that this solution u depends on the choice of the scalar
ao and the function a(xe).
Proof. The proof consists of several steps.
Step 1. The map (y, s) H x is a diffeomorphism near (0, 0). This is
proved as in the proof of Lemma 2.2.2. In fact, the Jacobian matrix of the
map (y, s) H x at (0,0) is given by
"'
ax
D(y,s) y=0,s=0
Where
0)
= F(0, u(0),
V'uo(0), ao).
0 by the noncharacteristic condition (2.2.12). By the

Hence det J(0)
implicit function theorem, for any x e 1[8n sufficiently small, we can solve
28
x = x(y, s) uniquely for y E I[8"-1 and s E ll8 sufficiently small. Then define
u(x) = o(y, s).

We will prove that this is the desired solution and
pz(y, s) _ Uxi(x(y, s))
for i =
1,...
, n.
Step 2. We claim that

F'(x(y,S),(P(y,S),p(y,S)) = 0,
for any y and s sufficiently small. Denote by f(s) the function in the lefthand side. Then by (2.2.18)
f(0) = F(y,O,uo(y),Vxiuo(y),a(y)) = 0.
Next, we have by (2.2.17)
df (S)
ds
ds
F(x(y,S),(P(y,S),p(y,S))
du
dpj
+
Fu
ds + :i:
ds
._1 Fps ds
dx2
Fx2
z=1
Fp j (- Fupj - F'x j) = 0.
pj Fp j +
Fx2 Fpi + Fu
j=1
j=1
i=1
Hence f(s) .= 0.
pz (y, s) = ux2 (x (y, s))
fori =
1,...
for any y and s sufficiently small. Let

1,... ,rt.
for i =
w2 (s) = ux2 (x(y, s)) - pz (y, s)
We will prove that

w2 (s) = 0
for any s small and i = 1,
, n.
We first evaluate w2 at s = 0. By initial values (2.2.18), we have w2(0) = 0
for i = 1,
, n - 1. Next, we note that, by (2.2.17),
du
(2.2.19) 0 =
ds
or
pjFp, =
j=1
ux
j=1
dxj
' ds
- pj Fp
Fps (ux j - pj) ,

j=1
n
O.
j=1
This implies w(0) = 0 since wi(0) = 0 for i = 1,

by the noncharacteristic condition (2.2.12).
, n -1,
and Fp, =0
29
Next, we claim that d is a linear combination of wj, j = 1,

dwi
ds
, n, i.e.,
for i = 1,
_1
, n,
for some functions a3, i, j = 1,

, n. Then basic ODE theory implies
wi - 0 for i = 1,
, n. To prove the claim, we first note that, by (2.2.17),
dwi
ds
uxixj
.-1
dx j
ds
dpi
ds
uxixj Fpj + Fupi + Fxz
._1
To eliminate the second-order derivatives of u, we differentiate (2.2.19) with
respect to xi and get

n
pjxi) +
Fpj (uxixj
j=1
(Fpj )xiwj = 0.
j=1
A simple substitution implies

dwi
ds
p xZ
p7 x2
j=1
u z
x2
j=1
By Step 2,
F(x,u(x),pi(x),... ,pn(X)) =0.

Differentiating with respect to xi, we have
n
Fxi + Fuuxi +
Fpj pj,xi = 0.
j=1
Hence
dwi
ds
_ - Fx2 - FuuxZ -
_1
(Fpj )xz w j + Fupi + Fxi
_ - Fuwi -
(Fpj )xiwj
j=1
or
dwi
ds
(FuSZ + (F))w.
j=1
This ends the proof of Step 3.

Step 2 and Step 3 imply that u is the desired solution.
To end this section, we briefly compare methods we used to solve firstorder linear or quasi-linear PDEs and general first-order nonlinear PDEs. In
solving a first-order quasi-linear PDE, we formulate an ordinary differential
30
system of n + 1 equations for n + 1 functions x and u. For a general firstorder nonlinear PDE, the corresponding ordinary differential system consists
of 2n + 1 equations for 2n +1 functions x, u and Du. Here, we need to take
into account the gradient of u by adding n more equations for Du. In other
words, we regard our first-order nonlinear PDE as a relation for (u, p) with
a constraint p = Du. We should emphasize that this is a unique feature

for single first-order PDEs. For PDEs of higher order or for first-order
partial differential systems, nonlinear equations are dramatically different
from linear equations. In the rest of the book, we concentrate only on linear
equations.

A priori estimates play a fundamental role in PDEs. Usually, they are the
starting point for establishing existence and regularity of solutions. To derive
a priori estimates, we first assume that solutions already exist and then
estimate certain norms of solutions by those of known functions in equations,
for example, nonhomogeneous terms, coefficients and initial values. Two

frequently used norms are L-norms and L2-norms. The importance of L2norm estimates lies in the Hilbert space structure of the L2-space. Once L2estimates of solutions and their derivatives have been derived, we can employ
standard results about Hilbert spaces, for example, the Riesz representation
theorem, to establish the existence of solutions.
In this section, we will use first-order linear PDEs to demonstrate how
to derive a priori estimates in L-norms and L2-norms. We first examine
briefly first-order linear ordinary differential equations. Let /3 be a constant
and f = f(t) be a continuous function. Consider
du
dt
-/3u=f(t).
A simple calculation shows that

u(t) = eatu(0) +
J0
et-3> f (s) ds.
For any fixed T > 0, we have
I< et (1uo1 + T sup If I
for any t E (0, T).
[o,T]
Here, we estimate the sup-norm of u in [0, T] by the initial value u(0) and
the sup-norm of the nonhomogeneous term f in [O, T].
Now we turn to PDEs. For convenience, we work in I[8 x (0, oo) and
denote points by (x, t), with x E ][8n and t E (0, oo). In many applications,
we interpret x as the space variable and t the time variable.
31
2.3.1. L-Estimates. Let ai, b and f be continuous functions in Tl
[0, oo) and uo be a continuous function in W. We assume that a =

an) satisfies
IaI < 1
(2.3.1)
in I[8n x [0, oo),
for a positive constant K. Consider

n
ut +
(2.3.2)
t)u
az(x,
t)
in I[8n x (0, oo),
i=1
2 (x, O) = Up(x)
in W.
It is obvious that the initial hypersurface {t = 0} is noncharacteristic. We

may write the equation in (2.3.2) as
ut + a(x, t) Vxu + b(x, t)u = f(x, t).

We note that a(x, t) V + 8t is a directional derivative along the direction
(a(x, t),1). With (2.3.1), it is easy to see that the vector (a(x, t),1) (starting
from the origin) is in fact in the cone given by
{(y,s): i'y
s} c W x R.
This is a cone opening upward and with vertex at the origin.
Figure 2.3.1. The cone with the vertex at the origin.
For any point P = (X, T) E ]E8n x (0, oo), consider the cone Ck(P)
(opening downward) with vertex at P defined by
Ck(P) _ {(x, t) : 0 < t < T, IcIx - X I< T - t}.
We denote by 83Ck(P) and 8_Ck(P) the side and bottom of the boundary,
respectively, i.e.,
83Ck(P) _ {(x,t): 0< t <T, KIx - X = T- t},

5_Ck(P) = {(x,0): KIX -X
T}.
32
We note that 8_Ck(P) is simply the closed ball in ]E8' x {0} centered at
(X,O) with radius T/rc. For any (x,t) E 83Ck(P), let a(x, t) be a vector
in I[8" satisfying (2.3.1). Then the vector (a(x, t),1), if positioned at (x, t),
points outward from the cone Ck(P) or along the boundary 83Ck(P). Hence
for a function defined only in Ck (P), it makes sense to calculate ut + a Vu
at (x, t), which is viewed as a directional derivative of u along (a(x, t),1) at
(x, t). This holds in particular when (x, t) is the vertex P.
Figure 2.3.2. The cone Ck (P) and positions of vectors.
Now we calculate the unit outward normal vector of 83Ck(P) \ {P}. Set
o(x,t)= klx-XI-(T-t).
Obviously, 83Ck(P) \ {P} is a part of {cp = 0}. Then for any (x, t) E
aSCk(P) \ {P},
= (V, t) = (k x-X
i Xv i).
Therefore, the unit outward normal vector v of 83Ck(P) \ {P} at (x, t) is

given by
x-X
Ix-XI'
For n = 1, the cone Ck(P) is a triangle bounded by the straight lines
X) = T - t and t = 0. The side of the cone consists of two line
U
k2+1
segments,
the left segment:
- ic(x - X) = T - t, 0 < t < T,

with a normal vector (-ic, 1),
and
the right segment:
ic(x - X) = T - t, 0 < t < T,

with a normal vector (ic, 1).
33
It is easy to see that the integral curve associated with (2.3.2) starting from P and going to the initial hypersurface I[8" x {0} stays in Ck(P).
In fact, this is true for any point (x, t) E Ck(P). This suggests that solutions in Ck(P) should depend only on f in Ck(P) and the initial value uo
on 8_Ck(P). The following result, proved by a maximum principle type
argument, confirms this.
Figure 2.3.3. The domain of dependence.
Theorem 2.3.1. Let ai, b and f be continuous functions in I[8" x [0, oo)
satisfying (2.3.1) and ua be a continuous function in R. Suppose u E
Cl(I[8" x (0,oo)) fl C(][87 ` x [0,oo)) is a solution of (2.3.2). Then for any
P = (X,T) E lI8" x (0,oo),
sup
Sup
IuoI +T sup Ie_tf I,
where Q is a nonnegative constant such that
> 0, we take ,Q = 0 and have
sup ui /3 and set
M = sup
iuoi,
a_ c,c(P)
F = sup
C,( P)
We will prove
ie_'tu(x,t)I < M + tF for any (x,t) E Ck(P).

For the upper bound, we consider
w(x, t) =
t) - M - tF.
34

n
+(b + Q')w = -(b +fi') (M +tF) +e-Q't f - F.
wt +
2=1
Since b + /3' > 0, the right-hand side is nonpositive by the definition of M

and F. Hence
(b +,8')w < 0 in Ck(P).
wt + a
Let w attain its maximum in Ck(P) at (xO, to) E Ck(P). We prove

w(xo,to)
0.
First, it is obvious if (xO, to) E 8_Ck(P), since w(xo, to) = uo(xo)-M < 0 by
the definition of M. If (xO, to) E Ck(P), i.e., (xO, to) is an interior maximum
point, then
(Wt + a Vxw)I(0,t0) = 0.
If (xO, to) E 83Ck(P), by the position of the vector (a(xo, to), 1) relative to
the cone Ck(P), we can take the directional derivative along (a(xo, to), 1),
obtaining
(Wt + a Vxw)l(0,t0) 0.
Hence, in both cases, we obtain
(b + fi')wI(0,t0)
0.
Since b + /3' > 0, this implies w(xo, to) < 0. (We need the positivity of b + /3'
here!) Hence w(xo, to) < 0 in all three cases. Therefore, w < 0 in Ck(P), or
tF) for any (x, t) E Ck(P).

u(x, t) <
We simply let /3' -+ ,6 to get the desired upper bound. For the lower bound,
we consider
v(x, t) = e-Q'tu(x, t) + M + tF.

The argument is similar and hence omitted.
For n = 1, (2.3.2) has the form
ut + a(x, t)u + b(x, t)u = f(x, t).

In this case, it is straightforward to see that
(wt + aw') I (xo,to) ? 0,
if w assumes its maximum at (xO, to) E DSCK (P) . To prove this, we first note
that at +a and at - ate are directional derivatives along the straight lines
t - to = ic(x - xo) and t - to = -ic(x - xo), respectively. Since w assumes
its maximum at (xO, to), we have
1
>
)II(xo,to)
/
- 0, (wt--w)I
1
> 0.
(xo,to)
35
In fact, one of them is zero if (xO, to) E
{P}. Then we obtain
wt(xo,to) ? HwxI(xo,to) ? Iawxl(xo,to)

One consequence of Theorem 2.3.1 is the uniqueness of solutions of
(2.3.2).
Corollary 2.3.2. Let a2, b and f be continuous functions in I[8n x [0, oo)
satisfying (2.3.1) and uo be a continuous function in W. Then there exists
at most one Cl(Il8" x (0, oo)) fl C(W1 x [0, oo))-solution of (2.3.2).
Proof. Let ul and u2 be two solutions of (2.3.2). Then ul - u2 satisfies

(2.3.2) with f = 0 in Ck(P) and no = 0 on 8_Ck(P). Hence ul - u2 = 0 in
Ck(P) by Theorem 2.3.1.
Another consequence of Theorem 2.3.1 is the continuous dependence of

solutions on initial values and nonhomogeneous terms.
Corollary 2.3.3. Let a2, b, fl, f2 be continuous functions in I[8n x [0, oo) satisfying (2.3.1) and uol, u02 be continuous functions in W1. Suppose ul, u2 E
Cl(I[8n x (0, oo)) flC(W1 x [0, oo)) are solutions of (2.3.2), with fl, f2 replac-
ing f and u01iuo2 replacing uo, respectively. Then for any P = (X, T) E
R x (0,oo),
sup l- u2)I C
ck(p)
sup
a-ck(p)
Iuoi - u021 + T sup l- f2)I,

Ck(P)
where 3 is a nonnegative constant such that
b>-3
The proof is similar to that of Corollary 2.3.2 and is omitted.
Theorem 2.3.1 also shows that the value u(P) depends only on f in
C,c(P) and uo on 8_Ck(P). Hence
contains the domain of dependence
of u(P) on f, and 8_Ck(P) contains the domain of dependence of u(P) on

uo. In fact, the domain of dependence of u(P) on f is the integral curve
through P in
and the domain of dependence of u(P) on uo is the
intercept of this integral curve with the initial hyperplane {t = 0}. We now
consider this from another point of view. For simplicity, we assume that f
is identically zero in ][8n x (0, oo) and the initial value no at t = 0 is zero
outside a bounded domain Do C W. Then for any t> 0,
t) = 0 outside
Dt = {(x, t) : r'CIx - xol <t for some xp E Do}.
In other words, uo influences u only in U{t>o} D. This is the finite-speed

propagation.
36
n
Figure 2.3.4. The range of influence.
2.3.2. L2-Estimates. Next, we derive an estimate of the L2-norm of u in

terms of the L2-norms of f and uo.
Theorem 2.3.4. Let ai be C1 functions in Ian x [0, oo) satisfying (2.3.1), b
and f be continuous functions in Ian x [0, oo) and uo be a continuous function
in Rn . Suppose u E C1(Rn x (0, oo)) n C(RT x [0, oo)) is a solution of (2.3.2).
Then for any P = (X,T) E Ian x (O,oo),
uo dx + f
e-atu2 dxdt <
e-"t f 2 dxdt,
, (p)
, (p)
where a is a positive constant depending only on the C1 -norms of ai and the

sup-norm of b in Ck(P).
Proof. For a nonnegative constant a to be determined, we multiply the

equation in (2.3.2) by 2e-tu. In view of
2e-tuut
= (e-tu2)t + ae-tu2,
2aie-tuuxZ = (e_ataju2)xZ - e-tai,xZu2,

we have
n
(e-tu2)t +
(e_ataju2)xZ + e-t a +2b -
n
ai xZ
u2 = 2e-tuf
i=1
i=1
An integration in Ck (P) yields
e-t
sc,(P)
vt +
ai vi
u2 dS
i=1
-}- L
e-t
uo dx +
a -}- 2b -
Jc,(P)
u2 dxdt
2e-tu f dxdt,
37
/Icii,lB
where the unit exterior normal vector on 83Ck(P) is given by
(lJx,lJt)=(lJ1.,lJn,lJt)=j2
(2.3.1) and the Cauchy inequality, we have
IIk2 < vt,
\/1+
and hence
vt +
ai v2 > 0
on DSCk (P) .
i=1
Next, we choose a such that

n
a + 2b -
> 2 in Ck (P) .
i=1
Then
e-atu2 dxdt <
2C
,c (P)
uo dx +-
2e-atu
f dxdt.
,c (P)
Here we simply dropped the integral over DSCk (P) since it is nonnegative.
The Cauchy inequality implies
e-atu2 dxdt +-
2e-atu f dxdt <

C,c(P)
C,c(P)
We then have the desired result.
e-at f2 dxdt.
CA(P)
The proof illustrates a typical method of deriving L2-estimates. We

multiply the equation by its solution u and rewrite the product as a linear
combination of u2 and its derivatives. Upon integrating by parts, domain
integrals of derivatives are reduced to boundary integrals. Hence, the resulting integral identity consists of domain integrals and boundary integrals
of u2 itself. Derivatives of u are eliminated.
We note that the estimate in Theorem 2.3.4 is similar to that in Theorem 2.3.1, with the L2-norms replacing the L-norms. As consequences
of Theorem 2.3.4, we have the uniqueness of solutions of (2.3.2) and the
continuous dependence of solutions on initial values and nonhomogeneous
terms in L2-norms. We can also discuss domains of dependence and ranges
of influence using Theorem 2.3.4.
We now derive an L2-estimate of solutions in the entire space.
Theorem 2.3.5. Let ai be bounded C1 functions, b and f be continuous

functions in Rn x [0, oo) and uo be a continuous function in W. Suppose
38
U E Cl(][8n x (O,oo)) fl C(][8n x [0,oo)) is a solution of (2.3.2). For any

T> 0, if f E L2(][81 x (0, T)) and uo E L2(I[8n), then
e-tu2 dx -Ix{T}
<
e-tu2 dxdt
x (O,T)
e-t f2 dxdt,
uo dx -IR x (O,T)
]f8n
where a is a positive constant depending only on the C1 -norms of aZ and the

sip-norm of b in ][8n x (0,T).
Proof. We first take ic> 0 such that (2.3.1) holds. Take any t > T and
Figure 2.3.5. A domain of integration.
consider
D(t) = {(x, t) : iclxl <t- t, 0 <t <T}.

In other words,
D(O=Ck(0,t)fl{0<t<T}.
We denote by 8_D(E), 83D() and 8+D(t) the bottom, the side and the top
of the boundary, i.e.,
= {(x,0): iclxl <Ih

83D( _ {(x, t) iclxl = t - t, 0< t <T},
= {(x,T): iclxl <-T}.
:
We now proceed as in the proof of Theorem 2.3.4, with D() replacing Ck(P).
We note that there is an extra portion 8+D() in the boundary 8D(t'). A
39
similar integration over D() yields

e-tu2 dx +
e-atu2 dxdt
up dx +
<f
e-at f2 dxdt.
We note that t enters this estimate only through the domain D(). Hence,
we may let t -+ oo to get the desired result.
We point out that there are no decay assumptions on u as x -+ oo in

Theorem 2.3.5.
2.3.3. Weak Solutions. Anyone beginning to study PDEs might well ask,
what a priori estimates are good for. One consequence is of course the
uniqueness of solutions, as shown in Corollary 2.3.2. In fact, one of the
most important applications of Theorem 2.3.5 is to prove the existence of
a weak solution of the initial-value problem (2.3.2). We illustrate this with
the homogeneous initial value, i.e., uo = 0.
To introduce the notion of a weak solution, we fix a T> 0 and consider
functions in Rn x (0, T). Set
n
(2.3.3)
Lu = ut +
in Rn x (0, T).
+ bu
i=1
Obviously, L is a linear differential operator defined in Cl(]E8n x (0, T)). For

any u, v e Cl (][8n x (O, T)) f1 C(][8" x [O, T]), we integrate vLu in II8n x (O, T).
To this end, we write

n
vLu=ul -vt-
+ (uv)t +
by
(aiuv)x.
i=1
z=
i=1
This identity naturally leads to an introduction of the adjoint differential

operator L* of L defined by
n
L*v = -yt -
by = -yt i=1
b-
Then
n
(auv)x.
vLu = uL*v + (uV)t +

i=1
ai,xi
i=1
i=1
y.
40
We now require that u and v vanish for large x. Then by a simple integration
in Ian x (0, T), we obtain
vLu dxdt =
IISn x (O,T)
uL*v dxdt
IISn x (O,T)
+I
uv dx - /
uv dx.
JII8x{t=0}
We note that derivatives are transferred from u in the left-hand side to v in

the right-hand side. Integrals over {t = 0} and {t = T} will disappear if we
require, in addition, that uv = 0 on {t = 0} and {t = T}.
Definition 2.3.6. Let f and u be functions in L2(][8x (O, T)). Then u is

a weak solution of Lu =fin ]E8n x (O, T) if
(2.3.4)
uL*v dxdt =
x (O,T)
JIItT x (O,T)
fvdxdt,
for any Cl-functions v of compact support in I[8n x (O, T).
The functions v in (2.3.4) are called test functions. It is worth restating

that no derivatives of u are involved.
Now we are ready to prove the existence of weak solutions of (2.3.3) with
homogeneous initial values. The proof requires the Hahn-Banach theorem
and the Riesz representation theorem in functional analysis.
Theorem 2.3.7. Let ai be bounded C1 -functions in ][8n x (0, T), i = 1,
, n,
and b a bounded continuous function in IISn x (O, T). Then for any f e
L2 (]E8' x (0, T) ), there exists a u e L2 (]E8n x (0, T)) such that
Jllt x (O,T)
uL*v dxdt =
JII8n x (O,T)
fvdxdt,
for any v e Cl (][8n x (0, T)) fl C(I[8Th x [0, T]) with v(x, t) = 0 for any (x, t)
with large x and any (x, t) _ (x, T).

The function u in Theorem 2.3.7 is called a weak solution of the initialvalue problem
Lu = f in W1 x (0, T),
(2.3.5)
u=0 onIfn.
We note that test functions v in Theorem 2.3.7 are not required to vanish
on {t = 0}.
To prove Theorem 2.3.7, we first introduce some notation. We denote by
Co (I[8' x (0, T)) the collection of Cl-functions in ][8n x (0, T) with compact
support, and we denote by C( W x (O, T)) the collection of Cl-functions in
]E8n x (0, T) with compact support in x-directions. In other words, functions
41
in C( W x (O, T)) vanish for large x and for t close to 0 and T, and functions
in C( R x (O, T)) vanish only for large x.
We note that, with L in (2.3.3), we can rewrite the estimate in Theorem
2.3.5 as
IIUIIL2(unx(o,T))
C'(Ilu(', 0)IIL2(II$n) +
where C is a positive constant depending only on T, the C'-norms

of ai and the sup-norm of b in I[8n x (O, T). This holds for any u e
Cl(I[8n x (O, T)) f1 C(IEBn x [O, T)) with Lu E L2(][8n x (0, T)) and
L2(IEBn). In particular, we have
(2.3.6)
0) E
IkLIIL2(TEx(O,T))
for any u e Co (][8n x (O, T)) fl C(I[8n x [O, T)) with u = 0 on {t = 0}.
Proof of Theorem 2.3.7. In the following, we denote by
)L2(llnx(O,T))
the L2-inner product in I[8n x (0, T).

Now L* is like L, but the terms involving derivatives have opposite signs.
When we consider an initial-value problem for L* in IEBn x (O, T), we view
{t = T} as the initial hyperplane for the domain IEBn x (O, T). Thus (2.3.6)
also holds for L*, and we obtain
(2.3.7)
IIVIIL2(nx(O,T)) <
for any v e C( R x (O, T)) fl C(I[8n x (O, T]) with v = 0 on {t = T}, where
C is a positive constant depending only on T, the C1-norms of ai and the
sup-norm of b in W x (O, T). We denote by Cl(][8n x (O, T)) the collection
of functions v e C( W x (O, T)) f1 C(I[89 x (O, T]) with v = 0 on {t = T}.
Consider the linear functional F : L*Cl(IEBn x (0, T)) -+ ][8 given by
F(L*v) =
for any v E C1 (W x (0, T)). We note that F acting on L*v in the left-hand
side is defined in terms of v itself in the right-hand side. Hence we need to
verify that such a definition makes sense. In other words, we need to prove
that L*vl = L*v2 implies
(f, vl) L2 (fin x (O,T))
(f, v2) L2 (fin x (O,T) )'
for any v, v2 E C1(RTh x (0, T)). By linearity, it suffices to prove that L*v = 0
implies v = 0 for any v e Cl (][8n x (0, T) ). We note that it is a consequence
of (2.3.7). Hence, F is awell-defined linear functional on L*Cl(IEBn x (0, T)).
Moreover, by the Cauchy inequality and (2.3.7) again, we have
IF(L*v)I C If IIL2(TEThx(O,T))IIvIIL2(Ilx(O,T))
CII.fIIL2(TEnx(O,T))IIL*vIIL2(TE7 x(O,T))'
42
for any v E Cl (][8n x (O, T)). Therefore, F is awell-defined bounded linear

functional on the subspace L*Cl(ll8n x (O, T)) of L2(1[8x (0, T)). Thus we
apply the Hahn-Banach theorem to obtain a bounded linear extension of F
(also denoted by F) defined on L2(1l8n x (O, T)) such that
CII,fIIL2(Rnx(O,T))
IIF1I
Here, IF II is the norm of the linear functional F on L2(1l8n x (0, T)). By the
Riesz representation theorem, there exists a u E L2(1[8x (O, T)) such that
for any w E L2(1[8n x (0, T)),
F(w) _ (u, w)L2(RnX(OT))
and
IIUIIL2(Rnx(OT)) = IIFII.
In particular, we have
F(L*v) = (u, L*v)L2(Rn x (O,T))
for any v E al(IRTh x (0, T)), and hence by the definition of F,

(u, L*v)L2(Rn x (OAT)) = (f, v)L2(fi n x (O,T))'
Then u is the desired function.
Theorem 2.3.7 asserts the existence of a weak solution of (2.3.5). Now we

show that the weak solution u is a classical solution if u is Cl in 1[8n x (0, T)
and continuous up to {t = 0}. Under these extra assumptions on u, we

integrate uL*v by parts to get
uv dx =
vLu dxdt +-
fv dxdt,
Rn x {t=0}
Rn x (O,T)
Rn x (O,T)
for any v E Co (x (0, T)) f1 C (JRn x [0, T]) with v = 0 on {t = T }. There

are no boundary integrals on the vertical sides and on the upper side since
v vanishes there. In particular,
J1R'x (O,T)
vLu dxdt =
JIl8 x (O,T)
fv dxdt,
for any v E Co (1[8'x (O, T)). Since Co (I[8n x (O, T)) is dense in L2(118n x (O, T)),
we conclude that
Lu = f
in 1[8n x (O, T).
Therefore,
fRx{t=O}
uv dx = 0,
for any v E Co (I[8x (0, T)) fl C(][8Th x [0, T]) with v = 0 on {t = T}. This
implies
0)cp dx = 0
for any cp E Co (][8n)
2.4. Exercises
43
Again by the density of Co (W1) in L2 (R ), we conclude that
0) = 0 on Rn.
We note that a crucial step in passing from weak solutions to classical solutions is to improve the regularity of weak solutions.
Now we summarize the process of establishing solutions by using a priori
estimates in the following four steps:
Step 1. Prove a priori estimates.
Step 2. Prove the existence of a weak solution by methods of functional
analysis.
Step 3. Improve the regularity of a weak solution.
Step 4. Prove that a weak solution with sufficient regularity is a classical
solution.
In discussions above, we carried out Steps 1, 2 and 4. Now we make

several remarks on Steps 3 and 4. We recall that in Step 4 we proved that
weak solutions with continuous derivatives are classical solutions. The requirement of continuity of derivatives can be weakened. It suffices to assume
that u has derivatives in the L2-sense and to verify that the integration by
parts can be performed. Then we can conclude that Lu = f almost everywhere. Because of this relaxed regularity requirement, we need only prove
that weak solutions possess derivatives in the L2-sense in Step 3. The proof
is closely related to a priori estimates of derivatives of solutions. The brief
discussion here suggests the necessity of introducing new spaces of functions,
functions with derivatives in L2. These are the Sobolev spaces, which play
a fundamental role in PDEs. In subsequent chapters, Sobolve spaces will
come up for different classes of equations. We should point out that Sobolev
spaces and weak solutions are not among the main topics in this book. Their
appearance in this book serves only as an illustration of their importance.
2.4. Exercises
Exercise 2.1. Find solutions of the following initial-value problems in ][82:
(1) guy - u + xu = 0 with u(x, 0) = 2xeX2/2;

(2) uy + (1+ x2)u - u = 0 with u(x, 0) = arctan x.
Exercise 2.2. Solve the following initial-value problems:
(1) uy + u = u2 with u(x, 0) = h(x);

(2) uz +xu -F yuy =u with u(x, y, 0) = h(x, y).
44
Exercise 2.3. Let Bl be the unit disc in ][82 and a and b be continuous
functions in Bl with a(x, y)x + b(x, y)y > 0 on 8B1. Assume u is a C1solution of
a(x, y)ux +b(x, y)uy = -u in Bl.

Prove that u vanishes identically.
Exercise 2.4. Find a smooth function a = a(x, y) in ][82 such that, for the
equation of the form
+ a(x, y)Ux = 0,
there does not exist any solution in the entire ][82 for any nonconstant initial
value prescribed on {y = 0}.
Exercise 2.5. Let a be a number and h = h(x) be a continuous function

in ][8. Consider
yux + xuy = au,

u(x, 0) = h(x).
(1) Find all points on {y = 0} where {y = 0} is characteristic. What

is the compatibility condition on h at these points?
(2) Away from the points in (1), find the solution of the initial-value
problem. What is the domain of this solution in general?
(3) For the cases h(x) = x, a = 1 and h(x) = x, a = 3, check whether
this solution can be extended over the points in (1).
(4) For each point in (1), find all characteristic curves containing it.
What is the relation of these curves and the domain in (2)?
Exercise 2.6. Let a E ][8 be a real number and h = h(x) be continuous in
][8 and Cl in ][8 \ {0}. Consider
xux + yuy = au,

u(x,0) = h(x).
(1) Check that the straight line {y = 0} is characteristic at each point.
(2) Find all h satisfying the compatibility condition on {y = 0}. (Con-
sider three cases, a> 0, a = 0 and a < 0.)

(3) For a > 0, find two solutions with the given initial value on {y = 0}.
(This is easy to do simply by inspecting the equation, especially for
a=2.)
Exercise 2.7. In the plane, solve uy = 4u near the origin with u(x, 0) = x2
on {y = 0}.
2.4. Exercises
45
Exercise 2.8. In the plane, find two solutions of the initial-value problem
xux + yuy +
u(x,O) =
12 + uy) = u,
2
(1 - x2).
Exercise 2.9. In the plane, find two solutions of the initial-value problem
4u + uuy = u,
U I x,
1x2 _ -12
Exercise 2.10. Let az, b and f be continuous functions satisfying (2.3.1)

and u be a C'-solution of (2.3.2) in ][8Th x [0, oo). Prove that, for any P =
(X,T) e RTh x (0,oo),
sup le-tul <
sup
c,c(p)
Iuol +
sup Ie_Qtf i,
a
inf
b
in ][8n x [0, oo) satisfying
(2.3.1) and uo be a Cl-function in ][8n. Suppose u is a CZ-solution of (2.3.2)
in Ilgn x [0, oo). Prove that, for any P = (X, T) E ][8n x (0, oo),
hlC1(C,c(P)) _< C(I uoI cl(a_ck(P)) + If lC'(C,c(P))),
where C is a positive constant depending only on T and the C'-norms of a

and b in Ck(P).
Exercise 2.12. Let a be a C'-function in ][8 x [0, oo) satisfying

la(x,t)l
and let bz be continuous in ][8 x [0, oo), for i, j = 1, 2. Suppose (u, v) is a
Cl-solution in ][8 x (0, oo) of the first-order differential system
ut - a(x,t)v + bll(x,t)u + b12(x,t)v = fi(x, t),
vt - a(x,t)u + b21(x,t)U + b22(x,t)v = f2(X, t),
with
_ po(x), v(x, o) = vo(x).

Derive an LZ-estimate of (u, v) in appropriate cones.
U(x, o)
Chapter 3
An Overview of
Second-Order PDEs
This chapter should be considered as an introduction to second-order linear

PDEs.
In Section 3.1, we introduce the notion of noncharacteristics for initialvalue problems. We proceed here for second-order linear PDEs as we did
for first-order linear PDEs in Section 2.1. We show that we can compute all
derivatives of solutions on initial hypersurfaces if initial values are prescribed
on noncharacteristic initial hypersurfaces. We also introduce the Laplace
equation, the heat equation and the wave equation, as well as their general
forms, elliptic equations, parabolic equations and hyperbolic equations.
In Section 3.2, we discuss boundary-value problems for the Laplace equation and initial/boundary-value problems for the heat equation and the wave
equation. Our main tool is a priori estimates. For homogeneous boundary
values, we derive estimates of L2-norms of solutions in terms of those of nonhomogeneous terms and initial values. These estimates yield uniqueness of
solutions and continuous dependence of solutions on nonhomogeneous terms
and initial values.
In Section 3.3, we use separation of variables to solve Dirichlet problems
for the Laplace equation in the unit disc in R2 and initial/boundary-value
problems for the 1-dimensional heat equation and the 1-dimensional wave
equation. We derive explicit expressions of solutions in Fourier series and
discuss the regularity of these solutions. Our main focus in this section is to
demonstrate different regularity patterns for solutions. Indeed, a solution
of the heat equation is smooth for all t > 0 regardless of the regularity of
47
3. An Overview of Second-Order PDEs
48
its initial values, while the regularity of a solution of the wave equation is
similar to the regularity of its initial values. Such a difference in regularity
suggests that different methods are needed to study these two equations.
3.1. Classifications
The main focus in this section is the second-order linear PDEs. We proceed
as in Section 2.1.
bi and c be
Let S1 be a domain in W containing the origin and
continuous functions in S1, for i, j = 1,
, n. Consider a second-order
linear differential operator L defined by
n
(3.1.1)
Lu =
c(x)u
aij
i,j=1
in SZ.
i=1
u, respectively. We usually
Here a3, bi, c are called coefficients of
assume
, n. Hence, (a) is a symmetric matrix
for any i, j = 1,
=
in S1. For the operator L, we define its principal symbol by
n
for any x E St and E l[8n.

Let f be a continuous function in S2. We consider the equation
(3.1.2)
Lu = f (x) in St.
The function f is called the nonhomogeneous term of the equation. Let E

be the hyperplane {x= 0}. We now prescribe values of u and its normal
derivative on E so that we can at least find all derivatives of u at the origin.
Let uo, ul be functions defined in a neighborhood of the origin in
we prescribe
(3.1.3)
Now
u(x',O) = uo(x ), u(x", 0) = ui(x ),
for any x' E Rn-1 small. We call
the initial hypersurface and no, u1 the

initial values or Cauchy values. The problem of solving (3.1.2) together with
(3.1.3) is called the initial-value problem or the Cauchy problem.
Let u be a C2-solution of (3.1.2) and (3.1.3) in a neighborhood of the
origin. In the following, we will investigate whether we can compute all
derivatives of u at the origin in terms of the equation and initial values. It
is obvious that we can find all x'-derivatives of u and urn at the origin in
terms of those of uo and u1. In particular, we can find all first derivatives
at the origin in terms of appropriate
and all second derivatives, except
49
derivatives of uo and ul. In fact,

uxi (0) = uo,xi (0)
for i = 1,... ,n - 1,
urn (0) = ul (0)
and
uxzx (0) = uo,xZx (0) for i, j
uxnxn (0) = ul,xi (0) for i = 1,
= 1,... ,n - 1,
,n - 1.
To compute uxnxn (0), we need to use the equation. We note that ann is the
coefficient of uxnxn in (3.1.2). If we assume
a(0) # 0,
(3.1.4)
then by (3.1.2)
1
uxnxn (0) _ - a(0)
(0)
(i,j)(n,n)
b(0)u(0) + c(0)u(0) - 1(0)).
Hence, we can compute all first-order and second-order derivatives at 0 in

terms of the coefficients and nonhomogeneous term in (3.1.2) and the initial
values uo and ul in (3.1.3). In fact, if all functions involved are smooth, we
can compute all derivatives of u of any order at the origin by using uo, ul
and their derivatives and differentiating (3.1.2). In summary, we can find
all derivatives of u of any order at the origin under the condition (3.1.4),
which will be defined as the noncharacteristic condition later on.
Comparing the initial-value problem (3.1.2) and (3.1.3) here with the
initial-value problem (2.1.3) and (2.1.4) for first-order PDEs, we note that
there is an extra condition in (3.1.3). This reflects the general fact that two
conditions are needed for initial-value problems for second-order PDEs.
More generally, consider the hypersurface E given by {cp = 0} for a
smooth function cp in a neighborhood of the origin with Vcp 0. We note
that the vector field Vcp is normal to the hypersurface E at each point of
E. We take a point on E, say the origin. Then (0) = 0. Without loss of
generality, we assume cp(0) 0. Then by the implicit function theorem,
we can solve cp = 0 for xn = b(xl,
, x,i_1) in a neighborhood of the origin.
Consider the change of variables
x H y = (Xi,... , x_1, o(x)).
50
This is a well-defined transformation with a nonsingular Jacobian in a neighborhood of the origin. With
n
uxi =
yk,xi uyk
k=1
and
uxixj =
yk,xixj uyk
yk,xiY1,xj uykyl +
k=1
k,1=1
we can write the operator L in the y-coordinates as

n
k,1=1
i,j=1
Lu =
aij yk,xi yl,xj

n
k=1
i=1
bi yk,xi +
The initial hypersurface
ai j yk,xix j
uyk + Cu.
i,j=1
is given by {Yn = 0} in the y-coordinates. With
yn = gyp, the coefficient of uynyn is given by

n
aij
i,j=1
This is the principal symbol p(x; ) evaluated at
= o(x).
Definition 3.1.1. Let L be a second-order linear differential operator as

in (3.1.1) in a neighborhood of xo E W and be a smooth hypersurface
containing xo. Then is noncharacteristic at xo if
n
(3.1.5)
aij (xo)vivj
0,
i,j=1
Where v = (vi,... , vn) is normal to
at xo. Otherwise, it is characteristic
at xo.


mean it is characteristic everywhere. This should cause few confusions. In
R2, hypersurfaces are curves, so we shall speak of characteristic curves and
When the hypersurface is given by {gyp = 0} With V 0, its normal
vector field is given by V _ ........ , ). Hence we may take v =

V p (xo) in (3.1.5). We note that the condition (3.1.5) is preserved under
51
C2-changes of coordinates. Using this condition, we can find successively

the values of all derivatives of u at xo, as far as they exist. Then, we could
write formal power series at xo for solutions of initial-value problems. If the
initial hypersurface is analytic and the coefficients, nonhomogeneous terms
and initial values are analytic, then this formal power series converges to an
analytic solution. This is the content of the Cauchy-Kovalevskaya theorem,
which we will discuss in Section 7.2.
Now we introduce a special class of linear differential operators.
Definition 3.1.2. Let L be asecond-order linear differential operator as in

(3.1.1) defined in a neighborhood of xo E ][8n. Then L is elliptic at xo if
n
aij(xO)SiSj
0+
i,j=1
for any
E Rn \ {0}.
An operator L defined in St is called elliptic in S2 if it is elliptic at every

point in SZ.
According to Definition 3.1.2, linear differential operators are elliptic if

every hypersurface is noncharacteristic. We already assumed that (a23) is
an n x n symmetric matrix. Then L is elliptic at xo if (a23(xo)) is a definite
matrix-positive definite or negative definite.
We now turn our attention to second-order linear differential equations

in ][82, where complete classifications are available. Let S2 be a domain in ][82
and consider
2
(3.1.6)
Lu =
c(x)u = f(x)
-I-
z,j=1
in SZ.
i=1
Here we assume (a23) is a 2 x 2 symmetric matrix.
Definition 3.1.3. Let L be a differential operator defined in a neighborhood

of xo E 1[82 as in (3.1.6). Then
(1) L is elliptic at xo E SZ if det(a23(xo)) > 0;
(2) L is hyperbolic at xo E SZ if
<0;
(3) L is degenerate at xo E St if det(a23(xo)) = 0.
The operator L defined in S2 C IL82 is called elliptic (or hyperbolic) in SZ
if it is elliptic (or hyperbolic) at every point in St.

It is obvious that the ellipticity defined in Definition 3.1.3 coincides with
that in Definition 3.1.2 for n = 2.
52
For the operator L in (3.1.6), the symmetric matrix (a23) always has two
(real) eigenvalues. Then
L is elliptic if the two eigenvalues have the same sign;
L is hyperbolic if the two eigenvalues have different signs;
L is degenerate if at least one of the eigenvalues vanishes.
The number of characteristic curves is determined by the type of the

operator. For the operator L in (3.1.6),
there are two characteristic curves if L is hyperbolic;
there are no characteristic curves if L is elliptic.
We shall study several important linear differential operators in R2. The
first of these is the Laplacian. In R2, the Laplace operator 0 is defined by
Du = uxlxl + uX2X2.
It is easy to see that the Laplace operator is elliptic. In polar coordinates

xl = r cos 9,
x2 = r sin 9,
the Laplace operator 0 can be expressed by

1
Du = urr + -ur + 2 u99

r
r
The equation
Du = 0
is called the Laplace equation and its solutions are called harmonic functions.
By writing x = xl and y = x2, we can associate with a harmonic function

u(x, y) a conjugate harmonic function v(x, y) such that u and v satisfy the
first-order system of Cauchy-Riemann equations
uvy, uy=-vx.
Any such a pair gives an analytic function
1(z) = u(x, y) + iv(x, y)
of the complex argument z = x + iy, if we identify C with R2. Physically,

(u, -v) is the velocity field of an irrotational, incompressible flow. Conversely, for any analytic function f, functions u = Re f and v = Im f are
harmonic. In this way, we can find many nontrivial harmonic functions
in the plane. For example, for any positive integer k, Re(x + iy)' and
Im(x + iy)' are homogeneous harmonic polynomials of degree k. Next, with
es cos y + ies sin y, we know ex cos y and es sin y are harmonic
ez =
functions.
Although there are no characteristic curves for the Laplace operator,

initial-value problems are not well-posed.
53
Example 3.1.4. Consider the Laplace equation in ][82

uxx + uyy = 0,
with initial values prescribed on {y = 0}. For any positive integer k, set
uk(X,y) =
sin(kx)ekY.
Then uk is harmonic. Moreover,
uk y(x, y) = sin(kx)e'y,
uk,x(x, y) = cos(kx)e' ",
and hence
VuA(x, y)I2 =
Therefore,
and
y) +
y) = e2'y.
Ifor any x E ]E8 and any k,
Ias k -+oo, for any x E ][8 and y > 0.
There is no continuous dependence on initial values in C'-norms.

In R2, the wave operator D is given by
Du = ux2x2 - ux1x1.
It is easy to see that the wave operator is hyperbolic. It is actually called the
one-dimensional wave operator. This is because the wave equation flu =
0 in R2 represents vibrations of strings or propagation of sound waves in
tubes. Because of its physical interpretation, we write u as a function of two
independent variables x and t. The variable x is commonly identified with
position and t with time. Then the wave equation in R2 has the form
utt - uxx = 0
The two families of straight lines t = x + c, where c is a constant, are
characteristic.
The heat operator in R2 is given by
Lu = ux2 - ux1x1.
This is a degenerate operator. The heat equation ux2 - ux1x1 = 0 is satisfied
by the temperature distribution in a heat-conducting insulated wire. As

with the wave operator, we refer to the one-dimensional heat operator and
we write u as a function of the independent variables x and t. Then the
heat equation in R2 has the form
ut -
= 0.
It is easy to see that {t = 0} is characteristic. If we prescribe u(x, 0) _

uo(x) in an interval of {t = 0}, then using the equation we can compute all
derivatives there. However, uo does not determine a unique solution even
54
in a neighborhood of this interval. We will see later on that we need initial

values on the entire initial line {t = 0} to compute local solutions.
Many important differential operators do not have a definite type. In
other words, they are neither elliptic nor hyperbolic in the domain where
they are defined. We usually say a differential operator is of mired type if it
is elliptic in a subdomain and hyperbolic in another subdomain. In general,
it is more difficult to study equations of mixed type.
Example 3.1.5. Consider the Tricomi equation
uX2X2 +
in 1102
It is elliptic if x2 > 0, hyperbolic if x2 <0 and degenerate if x2 = 0.

Characteristic curves also arise naturally in connection with the propagation of singularities. We consider a simple case.
Let SZ be a domain in IR2, F be a continuous curve in SZ and w be a
continuous function in SZ \ F. For simplicity, we assume F divides SZ into two
parts, SZ+ and L. Take a point xo E F. Then w is said to have a jump at

xo across F if the two limits
w_ (x0) =
lim
w (x),
x-+xo, xEf _
w+ (xo) =
lim
x-+xo, XES2+
w (x)
exist. The difference

[w](xO) = w+(xO) - w_(xO)
is called the jump of w at xo across F. The function w has a jump across I'
if it has a jump at every point of t across F. If w has a jump across I', then
[w] is awell-defined function on F. It is easy to see that [w] = 0 on I' if w
is continuous in ft
Proposition 3.1.6. Let SZ be a domain in lEg2 and I' be a C1 -curve in

dividing S2 into two parts. Suppose
and u E C1(1Z) fl C2(S2 \ I') satisfies
2
cu = f
+
i, j=1
bi, c, f are continuous functions in SZ
in SZ \ F.
i=1
If 02u has a jump across F, then F is a characteristic curve.

Proof. Since u is C1 in SZ, we have
[u] _ [u1J _ [u2] = 0 on F.

Let the vector field (v1, 112) be normal to F. Then v2 axl - v13x2 is a directional
derivative along F. Hence on F

(v23X1 -
0,
55
0.
(v2ax1 -
v2[uxlxl] vl
0.
By the continuity of a3, bi, c and f in SZ, we have

0
all [ux1x1 ] + 2a12 [uX1X2] + a22
on I'.
Thus, the nontrivial vector ([u11J, [u12J, [u22]) satisfies a 3 x 3 homogeneous linear system on F. Hence the coefficient matrix is singular. That is,
on F
v2
det
-111
v2
-vl I = 0,
al l 2aa1212
all
a22
or
allvl + 2a12v1v2 + a22v2 = 0.

This yields the desired result.
LI
The Laplace operator, the wave operator and the heat operator can be
generalized to higher dimensions.
Example 3.1.7. The n-dimensional Laplace operator in Rn is defined by

n
Du =
i=1
and the Laplace equation is given by Du = 0. Solutions are called harmonic

functions. The principal symbol of the Laplace operator D is given by
II2,
for any E TP. Obviously, O is elliptic. Note that 0 is invariant under
rotations. If x = Ay for an orthogonal matrix A, then
n
uxixi i=1
uyiyi
i=1
For a nonzero function f, we call the equation Du = f the Poisson equation.

The Laplace equation has a wide variety of physical backgrounds. For
example, let u denote a temperature in equilibrium in a domain SZ C W
with the flux density F. Then for any smooth subdomain S1' C SZ, the net
flux of u through DSZ' is zero, i.e.,
aii'
56
where v is the unit exterior normal vector to 11'. Upon integration by parts,
we obtain
divFdx=J
F = 0 in 1
since SZ' is arbitrary. In a special case where the flux F is proportional to

the gradient Vu, we have
F = -aVu,
for a positive constant a. Here the negative sign indicates that the flow is
from regions of higher temperature to those of lower one. Now a simple
substitution yields the Laplace equation
Du = div(Vu) = 0.
Example 3.1.8. We denote points in n+1 by

operator in n+1 is given by
xn, t). The heat
Lu=ut - Lu.
It is often called the n-dimensional heat operator. Its principal symbol is
given by
p(x, t,, T) _ -II2,

e W and T E ]R. A hypersurface {(xi,... , xn, t) = 0} is non-
for any
characteristic for the heat operator if, at each of its points,
- IV 'I2 0.
Likewise, a hypersurface {(x, t) = 0} is characteristic if pxcp = 0 and cpt
0 at each of its points. For example, any horizontal hyperplane {t = to}, for
a fixed t0 E III, is characteristic.
The heat equation describes the evolution of heat. Let u denote a temperature in a domain 1Z C W with the flux density F. Then for any smooth
subdomain SZ' C 1, the rate of change of the total quantity in SZ' equals the
negative of the net flux of u through 811', i.e.,
d
u dx = -
dt
faQ'
where v is the unit exterior normal vector to 11'. Upon integration by parts,
we obtain
tJ
st
u dx = -
Js
div F dx.
This implies
ut = - div F
in 11,
57
since SZ' is arbitrary. In a special case where the flux F is proportional to

the gradient Du, we have
F = -aVu,
for a positive constant a. Now a simple substitution yields
ut = a div(Du) = aDu.
This is the heat equation if a = 1.
Example 3.1.9. We denote points in Ian+1 by (xi,
, xn, t).
The wave
operator Eli in Ian+1 is given by
Ellu = utt - Oxu.
It is often called the n-dimensional wave operator. Its principal symbol is

given by
p(x,t;S,T) = T2 ISI2
for any E Il8n and T E R. A hypersurface {p(xi,'.. , xn, t) = 0} is noncharacteristic for the wave operator if, at each of its points,
Pt
- VPL 0.
For any (xO, to) E IlSn x 1[8, the surface
Ix - x12 = (t - to)2
is characteristic except at (moo, to). We note that this surface, smooth except
at (xO, to), is the union of two cones. It is usually called the characteristic
cone.
Figure 3.1.1. The characteristic cone.
To interpret the wave equation, we let u(x, t) denote the displacement
in some direction of a point x E 1 C Ian at time t > 0. For any smooth

subdomain f' C 1, Newton's law asserts that the product of mass and the
acceleration equals the net force, i.e.,
4udx= -
si
58
where F is the force acting on Q' through aQ' and the mass density is taken
to be 1. Upon integration by parts, we obtain
d2
dt2
u dx = SZ
div F dx.
SZ
This implies
utt = - div F in Q,
since Q' is arbitrary. In a special case F = -aDu for a positive constant a,
we have
utt = a div(Du) = aDu.

This is the wave equation if a = 1.
The heat equation and the wave equation can be generalized to parabolic equations and hyperbolic equations in arbitrary dimensions. Again,
we denote points in
by (Xi,'.. , xn, t). Let a23, b2, c and f be functions
, n. We assume (a23) is an n x n
defined in a domain in
i, j = 1,
positive definite matrix in this domain. An equation of the form
n
ut -
a( x,
b2 (x,
t)u
t)
2=1
2=1
is parabolic, and an equation of the form

n
utt -
b2 (x,
aZj (x,
2=1
t)u = f(x,t)
2=1
is hyperbolic.

In this section, we discuss the uniqueness of solutions of boundary-value
problems for the Laplace equation and initial/boundary-value problems for
the heat equation and the wave equation. Our main tool is the energy
estimates. Specifically, we derive estimates of L2-norms of solutions in terms
of those of boundary values and/or initial values.
We start with the Laplace equation. Let Q C W be a bounded C1domain and (p be a continuous function on 9Q. Consider the Dirichlet
boundary-value problem for the Laplace equation:
Du = 0 in Q,
u = (p
on 9Q.
We now prove that a CZ-solution, if it exists, is unique. To see this, let ul

and u2 be solutions in C2(St) fl Cl(S2). Then, the difference w = ul - u2
59
satisfies
Ow = 0
inn,
w=0 on aSZ.
We multiply the Laplace equation by w and write the resulting product as
n
- IVwI2.
0 =wow =
2=1
An integration by parts in SZ yields
0=- J
IVwI 2 dx
si
asp
w av dS.
With the homogeneous boundary value w = 0 on aSZ, we have

IVwI2dx = 0,
and then Ow = 0 in ft Hence w is constant and this constant is zero since w

is zero on the boundary. Obviously, the argument above applies to Dirichlet
problems for the Poisson equation. In general, we have the following result.
Lemma 3.2.1. Let S2 C ll8n be a bounded C' -domain, f be a continuous

function in SZ and cp be a continuous function on aSZ. Then there exists at
most one solution in C2(SZ) fl Cl(SZ) of the Dirichlet problem
Du = f inn,
u = cp
on aSt.
By the maximum principle, the solution is in fact unique in C2 (SZ)f1C(St),
as we will see in Chapter 4.

Now we discuss briefly the Neumann boundary-vale problem, where
we prescribe normal derivatives on the boundary. Let Eli be a continuous
function on BSt. Consider
Du = 0
inn,
au _
av
on aSZ.
We can prove similarly that solutions are unique up to additive constants

if SZ is connected. We note that if there exists a solution of the Neumann
problem, then Eb necessarily satisfies
bdS=O.
This can be seen easily upon integration by parts.
60
Next, we derive an estimate of a solution of the Dirichlet boundary-value

problem for the Poisson equation. We need the following result, which is
referred to as the Poincare lemma.
Lemma 3.2.2. Let St be a bounded Cl -domain in Il8n and u be a Cl -function
in St with u = 0 on BSt. Then
11U11L2(Il) < diam(1)IIVuIIL2(St)
Here diam(St) denotes the diameter of SZ and is defined by
diam(S2) = sup x x,yESl
Proof. We write IRn =

x Ilk. For any xo E IRn-1, let lxo be the straight
line containing xo and normal to W-1 x {0}. Consider those xo such that
lxo n SZ
0. Now lxo (1 11 is the union of a countable collection of pairwise
disjoint open intervals. Let I be such an interval. Then I C SZ and I has
the form
I = {(xo, xn) : a < xn < b},
where (x'0, a), (x'0, b) E 9i Since u(xo, a) = 0, then
IISn-1
xn
u(xo, xn) =
uxn (xo, s)ds
for any xn E (a, b).
xn
wn-1
Figure 3.2.1. An integration along l.
The Cauchy inequality yields

u2 (xo, xn) < (xn
- a)
uxn (xo, s) ds
for any xn E (a, b).
By a simple integration along I, we have

b
f u2 (xo, xn) dxn < (b - a)2

a
uxn (xo, xn) dxn.

a
61
By adding the integrals over all such intervals, we obtain

u2 (x p, xn) dxn < C2,
l
, nc
xo
uxn (x p, xn) dxn,

l
, nc
xo
where Cxo is the length of lxo in ft Now a simple integration over xo yields
the desired result.
Now consider
Du = f
(3.2.1)
in S2,
u=0 on51.
We note that u has a homogeneous Dirichlet boundary value on BSt.
Theorem 3.2.3. Let SZ C 1[8be a bounded C1 -domain and f be a continuous function in S2. Suppose u E C2(11) fl Cl(St) is a solution of (3.2.1).
Then
IIUIIL2(cl) + IIVUIIL2(cl)
cII f II L2(c),
where C is a positive constant depending only on St.
Proof. Multiply the equation in (3.2.1) by u and write the resulting product
in the left-hand side as
n
(uu)xZ - I Du12.
2G02G =
i=1
Upon integrating by parts in 11, we obtain
fudS_
f IVuI2dx = fufdx.
av
t
With u = 0 on 852, we have
fIvuI2dx
=-
fu f dx.
The Cauchy inequality yields
(L1vu12dx)2= (fufdx)2fu2dx.ff2dx.
By Lemma 3.2.2, we get
dx < (diam(1O)2ff2dx.
t
Using Lemma 3.2.2 again, we then have

u2 dx < (diam(11))
This yields the desired estimate.
62
Now we study initial/boundary-value problems for the heat equation.

Suppose S2 is a bounded C'-domain in ][8n, f is continuous in St x [0, oo) and
uo is continuous in St. Consider
ut - Du = f in S2 x (0, oo),
u(.,0) = uo
(3.2.2)
in S2,
u=0 onax(0,oo).
The geometric boundary of S2 x (0, oo) consists of three parts, S2 x {0},
8S2 x (0, oo) and aS2 x {0}. We treat S2 x {0} and aS2 x (0, oo) differently
and refer to values prescribed on S2 x {0} and 8SZ x (0, oo) as initial valves
and boundary values, respectively. Problems of this type are usually called
initial/boundary-value problems or mired problems. We note that u has a
homogeneous Dirichlet boundary value on 81Z x (0, oo). We now derive an
estimate of the L2-norm of a solution. For each t > 0, we denote by u(t)
the function defined on SZ by u(t) =
t).
Theorem 3.2.4. Let SZ be a bounded Cl-domain in IEgn, f be continuous in
St x [0, oo) and uo be continuous in St. Suppose u E C2(SZ x (0, oo)) f1 C1(1 2 x
[0,oo)) is a solution of (3.2.2). Then

Pt
IC 1U112() +J Ids for any t > 0.

0
Theorem 3.2.4 yields the uniqueness of solutions of (3.2.2). In fact, if
f - 0 and uo - 0, then u - 0. We also have the continuous dependence

on initial values in L2-norms. Let fl, f2 be continuous in SZ x [0, oo) and
uol, u02 be continuous in ft. Suppose ul, u2 E C2(S2x (0, oo))f1C1(S2x [0, oo))
are solutions of (3.2.2) with fl, uol and f2, u02 replacing f, uo, respectively.
Then for any t > 0,
t
I- 262(t)IIL2(SZ)
IIuoi - u02IIL2(SZ) + I- f2(s)IIL2() (LAS.
Proof. We multiply the equation in (3.2.2) by u and write the product in

the left-hand side as
uut - uDu = 2 (u2)t -
IVuI2.
i=1
Upon integration by parts in S2 for each fixed t > 0 and u(t) = 0 on 9, we

have
2 dt
f u2(t) dx +
Idx = f f(t)u(t) dx.
An integration in t yields, for any t> 0,
fu2(t)dx+2fflVul2dxds = fudx+2fffudxds.
63
Set
E(t) = I
(E(t))2 + 2ftf 1Vu12 dads = (E(0))2 + 2ft
Js
fudxds.
Differentiating with respect to t, we have
2E(t)E'(t) < 2E(t)E'(t) + 2 f IVu(t)12 dx =2 f f(t)u(t) dx
2f(t)st)
t
'
= 2E(t)Il.f(t)IIz,2(st)
Hence
E'(t) c If(t)IIL2().
Integrating from 0 to t gives the desired estimate.
Now we study initial/boundary-value problems for the wave equation.

Suppose SZ is a bounded Cl-domain in ][8n, f is continuous in SZ x [0, oo), uo
is Cl in St and ui is continuous in SZ. Consider
utt - 0u= f
in St x (0, oo),
0) _ uo, ut(',0) = ul in St,
(3.2.3)
u=0 onD1x(0,oo).
Comparing (3.2.3) with (3.2.2), we note that there is an extra initial condition on Ut in (3.2.3). This relates to the extra order of the t-derivative in
the wave equation.
Theorem 3.2.5. Let St be a _bounded C' -domain in ][8n, f be continuous

in SZ x [0, oo), uo be Cl in S2 and ul be continuous in SZ. Suppose U E
CZ(St x (0,oo)) fl Cl(S2 x [0,oo)) is a solution of (3.2.3). Then for any
t>0,
(IIUt(t)II2() + I
IIi2(sl))2
- (Ilullli2(sz) + Iloxuolli2(sl)) 2
t
0
and
IIIU0IIL2(cz) +t(Ilu1lli2(sl) + Iloxuolli2(sl))2

+ / (t-s)IIf(s)IIL2()ds.
0
As a consequence, we also have the uniqueness and continuous dependence on initial values in L2-norms.
64
Proof. Multiply the equation in (3.2.3) by Ut and write the resulting product in the left-hand side as
n
z=1
Upon integration by parts in 12 for each fixed t> 0, we obtain
dx -
2 dt ,f but (t) +
Ut(t) aU (t)
ds = f f(t)ut(t) dx.
Note that Ut = 0 on 81 Z x (0, oo) since u = 0 on 81 t x (0, oo). Then

2 dt
f (u(t) + Idx - ft f(t)ut(t) dx.
Define the energy by
E(t) _
dx.
(mot (t) + I
If f - 0, then
Hence for any t > 0,
E(t) = E(0) =
ft (u + IVuoI2) dx.
This is the conservation of energy. In general,
ft
E(t) = E(0) + 2
Jo ffutdxds.
To get an estimate of E(t), set
J(t) _ (E(t)) 2.
Then
t
(J(t))2 = (J(0))2 + 2
0
fut dxds.
By differentiating with respect to t and applying the Cauchy inequality, we

get
2J(t)J'(t) =
2f f(t)ut(t)dx < 211.f (t)11zz(Q)IIut(t)11z,z(Q)

2J(t)II.f(t)11L2(Q)
Hence for any t > 0,
J'(t)
IIf(t)11L2(Q).
Integrating from 0 to t, we obtain
J(t)
J(0)
65
This is the desired estimate for the energy. Next, to estimate the L2-norm
of u, we set
(F(t))2
= f u2(t) dx.
A simple differentiation yields
2F(t)F'(t) = 2J u(t)ut(t)dx < 211u(t)IIL2(st)IIut(t)IIL2(st)

= 2F(t) IIut(t) IIL2().
Hence
F'(t) IJ(0) + f
t
Ids.
Integrating from 0 to t, we have
I<_ IIU0IIL2(c) +tJ(o) + f t f t

0
Idsdt'.
By interchanging the order of integration in the last term in the right-hand

side, we obtain the desired estimate on u.
LI
There are other forms of estimates on energies. By squaring the first

estimate in Theorem 3.2.5 and applying the Cauchy inequality, we obtain
f (u(t)
+ Idx < 2f (ui + Idx

ft f
+ 2t
J Js
f 2 dads.
Integrating from 0 to t, we get
ft
f (ut + Idxds < 2t f (ui + Idads

+ t2
f 2 dads.
Next, we briefly review methods used in deriving estimates in Theorems

3.2.3-3.2.5. In the proofs of Theorems 3.2.3-3.2.4, we multiply the Laplace
equation and the heat equation by u and integrate the resulting product
over 1, while in the proof of Theorem 3.2.5, we multiply the wave equation
by ut and integrate over ft It is important to write the resulting product

as a linear combination of u2, u2, IVUI2 and their derivatives. Upon integrating by parts, domain integrals of derivatives are reduced to boundary
integrals. Hence, the resulting integral identity consists of domain integrals
and boundary integrals of u2, u2 and IVUI2. Second-order derivatives of
66
u are eliminated. These strategies also work for general elliptic equations,
parabolic equations and hyperbolic equations. Compare methods in this
section with those used to obtain L2-estimates of solutions of initial-value
problems for first-order linear PDEs in Section 2.3.
To end this section, we discuss an elliptic differential equation in the
entire space. Let f be a continuous function in TR. We consider
-Du + u = f
(3.2.4)
in ][8n.
Let u be a C2-solution in TR. Next, we demonstrate that we can obtain

estimates of L2-norms of u and its derivatives under the assumption that u
and its derivatives decay sufficiently fast at infinity.
To obtain an estimate of u and its first derivatives, we multiply (3.2.4)
by u. In view of
n
uDu =
(uuxk)xk
-I
12
k=1
we write the resulting product as

VuJ2 + U2
(uuxk)xk = fu.
We now integrate in TR. Since u and uxk decay sufficiently fast at infinity,
we have
f (JVuJ2+u2)dx=f
Rigorously, we need to integrate in BR and let R -+ oo after integrating by
parts. By the Cauchy inequality, we get
22n
fudx<fu2 dx + J
A simple substitution yields
(2JVuJ2+u2)dx<fIl8
Hence, the L2-norm of f controls the L2-norms of u and Du. In fact, the
L2-norm of f also controls the L2-norms of the second derivatives of u. To
see this, we take square of the equation (3.2.4) to get
(L\u)2
- 2uL\u + U2 = f2.
67
We note that
n
k,1=1
k,1=1
k,1=1
k,1=1
k,1=1
(Lu)2
n
n
)mil
k,1=1
Hence
I v2ul2
(uxkxkux3xl
+ 2 IVuI2 + u2+
k,1=1
k,1=1
= f2
-2
k=1
Integration in ll8Th yields
(3.2.5)
(IVu+ 2IDuI2 + u2) dx = f f2 dx.
Therefore, the L2-norm of f controls the L2-norms of every second deriva-
tives of u, although f is related to u by Du, which is just one particular

combination of second derivatives. As we will see, this is the feature of
elliptic differential equations.
We need to point out that it is important to assume that u and its

derivatives decay sufficiently fast. Otherwise, the integral identity (3.2.5)
does not hold. By taking f = 0, we obtain u = 0 from (3.2.5) if u and its

derivatives decay sufficiently fast. We note that u(x) =eel is a nonzero
solution of (3.2.4) for f = 0.

In this section, we solve boundary-value problems for the Laplace equation
and initial/boundary-value problems for the heat equation and the wave
equation in the plane by separation of variables.
3.3.1. Dirichlet Problems. In this subsection we use the method of separation of variables to solve the Dirichlet problem for the Laplace equation
in the unit disc in ll82. We will use polar coordinates
x= r cos 8,
y= r sin B
in 1[82, and we will build up solutions from functions that depend only on
r and functions that depend only on B. Our first step is to determine all
harmonic functions u in ][82 having the form
u(r, B) = f(r)g(6),
68
where f is defined for r > 0 and g is defined on S1. (Equivalently, we can

view g as a 2ii--periodic function defined on ][8.) Then we shall express the
solution of a Dirichlet problem as the sum of a suitably convergent infinite
series of functions of this form.
In polar coordinates, the Laplace equation is
Lu
-(rur)r + -uoo = 0.
Thus the function u(r, B) = f(r)g(0) is harmonic if and only if

1
(rf/(r))/9(e)
+ r f (r)9 (e) _ 0,
that is,
(fh'(r) + rf/(r)J 9(e) +

When u(r, 8)
r f(r)g"(0) =0.
0, this equation is equivalent to
r (f/Il r) +
r
f(r)
r1)
g"(0)
g(0)
The left-hand side of this equation depends only on r and the right-hand
side depends only on 8. Thus there is a constant A such that
(f 11(r) + lf
f(r)
=A=
_g)
Hence
f(r) = 0 for r > 0,
f11(r) + r f'(r) and
g" (e) + Ag (e) = 0
for 0 E S1.
Our next step is to analyze the equation for g. Then we shall recall
some facts about Fourier series, after which we shall turn to the equation
for f. The equation for g describes the eigenvalue problem for - de on 1.
This equation has nontrivial solutions when A = k2, k = 0,1, 2, . When
A = 0, the general solution is g(0) = ao, where ao is a constant. For A = k2,
k = 1, 2,
, the general solution is
g(0) = ak cos k0 + bk sin k0,
where aj and bk are constants. Moreover, the normalized eigenfunctions

1
1
,
cos k0,
sin k0,
k = 1, 2,
form an orthonormal basis for L2 (S1) . In other words, for any v e L2 (S1),
00
v(0)=
(akcos k9 + bksin k9) ,
ao -I-
k=i
where
ap =
69
J 1 v(9) d9,
v(e) cos k9 d8,
and for k = 1, 2,
ak =
bk =
v(B) sin kB dB.
This series for v is its Fourier series and ao, ak, bk are its Fourier coefficients.
The series converges in L2 (S1) . Moreover,
1
1- a0 +
+ bk)
k=1
As for f, when A = 0 the general solution is

f(r) = co + do log r,
where co and do are constants. Now we want u(r, B) = f(r)g(0) to be

harmonic in IR2, thus f must remain bounded as r tends to 0. Therefore we
must have do = 0, and so
f(r)=co
is a constant function. For A = k2, k = 1, 2,
,the general solution is
f(r) = ckrk + dkr_k,

where cj and dk are constants. Again f must remain bounded as r tends to
0, so dk = 0 and
f(r) = ckrk.
In summary, a harmonic function u in l[82 of the form u(r, B) = f(r)g(0) is

given by
u(r, B) = ap,
or by
u(r, 8) = akrk cos k8 + bkr"' sin k8,
for k = 1, 2,
where ao, ak, bk are constants.
Remark 3.3.1. Note that r'' cos k8 and r'' sin k8 are homogenous harmonic
polynomials of degree k in JR2. Taking z = x + iy, we see that
r cos k8 + irk sin k8 = r1 eZ '0 = (x +
and hence
r cos kB = Re(x + iy)k,
r'' sin kB = Im(x + iy)k.
70
Now, we are ready to solve the Dirichlet problem for the Laplace equation in the unit disc B1 C R2. Let cp be a function on O`1B1 = S1 and
consider
Du = 0 in B1,
(3.3.1)
u = co
on S1.
We first derive an expression for the solution purely formally. We seek

a solution of the form
u(r, 8) =
(3.3.2)
ao +
= j
(ark cos k8 + bark sin k9).
k=1
The terms in the series are all harmonic functions of the form f(r)g(0) that
we discussed above. Thus the sum u(r, B) should also be harmonic. Letting
r = 1 in (3.3.2), we get
00
cp(6) = u(1, B) =
ao + 1
(ak cos k9 + bk sin k6).
k=i
Therefore, the constants ao, ak and bk, k = 1, 2,
should be the Fourier
coefficients of cp. Hence,

P(e) den
(3.3.3)
a0
and for k = 1, 2,
ak =
(3.3.4)
bk _
o(e)Los ke de,
o(e) sin k8 d8.
Theorem 3.3.2. Suppose cp E L2(S1) and u is given by (3.3.2), (3.3.3) and

(3.3.4). Then u is smooth in Bl and satisfies
Du = 0 in B1.
Moreover,
Proof. Since cp E L2(S1), we have

00
1k011L2(s1) = a + I:(a + b) <

k=o
In the following, we fix an R E (0, 1).
00.
71
First, we set
Iakrk cos k9 -}- bark sin k91.
Soo(r, 8) _
k=1
By (3.3.2), we have
u(r,G)I
Soo(r,G).
IaoI +
To estimate Soo, we note that, for any r E [0, R] and any 8 E S1,
(a +
Soo(r, e)
2 Rk.
k=1
By the Cauchy inequality, we get

a
0o
o0
(a + bk)
S'oo(r, B)
k=1
R2k
<00.
k=1
Hence, the series defining u in (3.3.2) is convergent absolutely and uniformly

in BR. Therefore, u is continuous in BR.
Next, we take any positive integer m and any nonnegative integers m1
and m2 with m1 + m2 = m. For any r E [0, R] and any 9 E 51, we have

formally
00
m1
ax ay 'n2 u(r, 9) =
ax 'nl ay 'n2 (akrk cos k9 - bkrk sink9 ) .

k=1
In order to justify the interchange of the order of differentiation and summation, we need to prove that the series in the right-hand side is convergent
absolutely and uniformly in BR. Set
(3.3.5)
5152 (akrk cos k9 + bkrk sin k9)
Sm1m2 (r, 9) =
k=1
(We note that this is Soo defined earlier if m1 = m2 = 0.) By using rectangular coordinates, it is easy to check that, for k < m,
515 2 (akrk cos k9 + bkrk sin k9) = 0,
and fork > m,

aTf18y 2 (akrk cos kB -{- bkrk sin kB)
<k(k-1)...(k-m+1)(a+b)
Hence, for any r E [0, R] and any 8 E
00
(a + b) 2 kmRk-m.
1
5m1m2 (r, e)
k=m
72
By the Cauchy inequality, we have

1
00
a2 + bl 2
Smim2 (r, 8) ;
00
k2mR2(k-m)
kI
k=m
< oo.
k=m
This verifies that the series defining a1 a2 u is convergent absolutely and

uniformly in BR, for any ml and m2 with ml + m2 > 1. Hence, u is smooth
in BR for any R < 1 and all derivatives of u can be obtained from term-byterm differentiation in (3.3.2). Then it is easy to conclude that Du = 0.
We now prove the L2-convergence. First, by the series expansions of u
and gyp, we have
w(r, e) - (e) _
00
(ajcosk9 + bk sin k9)(r' - 1),

k-1
and then
f Iu(r e) - (9)I2d9 = (ak +

1
(rk
- l)a
k=l
We note that rk -+ 1 as r -+ 1 for each fixed k > 1. For a positive integer

K to be determined, we write
K
I- (O)I2dO = (a + bk) (rk - 1)2

Is'
00
For any
> 0, there exists a positive integer K = K(E) such that

00
(a+b)<.
k=x+1
Then there exists a 6> 0, depending on E and K, such that
(a+b)(rk_1)2<E for any r E (1 - S,1),
k=1
since the series in the left-hand side consists of finitely many terms. Therefore, we obtain
I- (e)I2 de < ZE for any r E (1-8,1).
This implies the desired L2-convergence as r -+ 1.
73
We note that u is smooth in Bl even if the boundary value co is only L2.

Naturally, we ask whether u in Theorem 3.3.2 is continuous up to 8B1, or,
more generally, whether u is smooth up to 8B1. We note that a function is
smooth in Bl if all its derivatives are continuous in B.
Theorem 3.3.3. Suppose cp E COO(S1) and u is given by (3.3.2), (3.3.3)

and (3.3.4). Then u is smooth in Bl with u(1,.) = co.
Proof. Let m1 and m2 be nonnegative integers with m1 + m2 = m. We

need to prove that the series defining a'n19 2u(r, B) converges absolutely
and uniformly in B1. Let Smlm2 be the series defined in (3.3.5). Then for
any r E [0,1] and B E S 1,
00
(a + by2km.
Smim2(r,6)
To prove that the series in the right-hand side is convergent, we need to

improve estimates of ak and bk, k = 1, 2,
(3.3.4) and integrations by parts, we have
By definitions of ak and bk in
f (e)cos k9 d8 = - f
ak _
bk _
---
/ (e si
p(B) sin k9 dB = 7=Jco (B)
k9 dB
d8.
Hence, {kbk, -kak} are the coefficients of the Fourier series of cps, so
00
k=1
By continuing this process, we obtain for any positive integer 2,

kae(a +
iicoML2(S1) < oo.
k=1
Hence by the Cauchy inequality, we have for any r E [0, 1] and B E S1,
00
1
(a + b) 2m
Smlm2 (r, e)
k=1
OO
k2(m+1) (a
00
k-2
(i
This implies
Smlm2 (r, e) < Cm IIm+1) IIL2(S1)
where Cm is a positive constant depending only on m. Then the series

defining 9' 92 u converges absolutely and uniformly in 131. Therefore,
aml ay 1 u is continuous in B1.
74
By examining the proofs of Theorem 3.3.2 and Theorem 3.3.3, we have

the following estimates. For any integer m> 0 and any R E (0, 1),
IkIICm(R)
cm,RII(PIIL2(S1),
where C,,,,,R is a positive constant depending only on m and R. This estimate

controls the Cm-norm of u in BR in terms of the L2-norm of co on S1. It is
referred to as an interior estimate. Moreover, for any integer m > 0,

m+l
IIUIICm(.i) < Cm
jj
II(PIIL2(S1),
i=0
where C,,,, is a positive constant depending only on m. This is referred to as

a global estimate.
If we are interested only in the continuity of u up to aBl, we have the

following result.
Corollary 3.3.4. Suppose co E C1(S1) and u is given by (3.3.2), (3.3.3) and

(3.3.4). Then u is smooth in Bl, continuous in Bl and satisfies (3.3.1).
Proof. It follows from Theorem 3.3.2 that u is smooth in B1 and satisfies

Du = 0 in B1. The continuity of u up to aBl follows from the proof of
0
Theorem 3.3.3 with ml = m2 = 0.
The regularity assumption on co in Corollary 3.3.4 does not seem to be
optimal. It is natural to ask whether it suffices to assume that co is in C(S1)
instead of C1 (S1). To answer this question, we need to analyze pointwise
convergence of Fourier series. We will not pursue along this direction in this
book. An alternative approach is to rewrite the solution u in (3.3.2). With
the explicit expressions of ao, a/c, b in terms of cp as in (3.3.3) and (3.3.4),
we can write
(3.3.6)
u(r, B) =
Js1
K(r, B,
) dry,
where
00
+rkcosk(9_).
K(r,9,)=
k=1
The integral expression (3.3.6) is called the Poisson integral formula and the
function K is called the Poisson kernel. We can verify that
(3.3.7)
K(r, 8, r1) =
1-r2
2ir
1 - 2r cos(B - ri) + r2
We leave this verification as an exercise. In Section 4.1, we will prove that

u is continuous up to aBl if co is continuous on aBl. In fact, we will derive
Poisson integral formulas for arbitrary dimension and prove they provide
75
solutions of Dirichlet problems for the Laplace equation in balls with continuous boundary values.
Next, we compare the regularity results in Theorems 3.3.2-3.3.3. For
Dirichlet problems for the Laplace equation in the unit disc, solutions are
always smooth in B1 even with very weak boundary values, for example,
with L2-boundary values. This is the interior smoothness, i.e., solutions are
always smooth inside the domain regardless of the regularity of boundary
values. Moreover, solutions are smooth up to the boundary if boundary
values are also smooth. This is the global smoothness.
3.3.2. Initial/Boundary-Value Problems. In the following, we solve

initial/boundary-value problems for the 1-dimensional heat equation and
the 1-dimensional wave equation by separation of variables, and discuss
regularity of these solutions. We denote by (x, t) points in [0, ir] x [0, oo),
with x identified as the space variable and t as the time variable.
We first discuss the 1-dimensional heat equation. Let uo be a continuous
function in [0, ir]. Consider the initial/boundary-value problem
ixxO in(0,ir)x(0,oo),
(3.3.8)
u(x, 0) = uo(x) for x E (0, ir),

u(0, t) = u(ir, t) = 0 for t E (0,oo).
Physically, u represents the temperature in an insulated rod with ends kept

at zero temperature.
We first consider
= 0 in (0,ir) x (0,oo),
(3.3.9)
u(0, t) = ufr, t) = 0 for t E (0,oo).
We intend to find its solutions by separation of variables. Set
u(x, t) = a(t)w(x)
for (x,t) E (0,ir) x (0,oo).
Then
a'(t)w(x) - a(t)w"(x) = 0,
and hence
w"(x)
w(x)
Since the left-hand side is a function of t and the right-hand side is a function
ap(t)
a(t)
of x, there is a constant A such that each side is -A. Then
a (t) + fa(t) = 0 for t E (O,oo),

and
w"(x) -I- Aw(x) = 0

(3.3.10)
w(0) = w(ir) = 0.
for x E (0, ir),
76
We note that (3.3.10) describes the homogeneous eigenvalue problem for

,
dx in (0, 7r). The eigenvalues of this problem are Ak = k2, k = 1, 2,
and the corresponding normalized eigenfunctions
wk(x) = 1 / 2 sin kx
Vr
form a complete orthonormal set in L2(0, 71). For any v E L2(0, 7r), the
Fourier series of v with respect to { sinkx} is given by
v (x) _ I-)vksinkx,
where
v _ -2
f"
Jo
v(x) sin kx dx.
The Fourier series converges to v in L2(0, 7r), and

oo
V I I LZ (0,ir) _
For k=
vk
let
uk(x, t) = ak(t)wk(x)
be a solution of (3.3.9). Then ap(t) satisfies the ordinary differential equation
ap(t) + k2ak(t) = 0.
Thus, ak(t) has the form
ak(t) =aye-z t
where aj is constant. Therefore, for k = 1, 2,
uk(x, t) _
, we have
ake-kzt sin kx for (x,t) E (0,) x (0,oo).
We note that uk satisfies the heat equation and the boundary value in (3.3.8).
In order to get a solution satisfying the equation, the boundary value and
the initial value in (3.3.8), we consider an infinite linear combination of uk
and choose coefficients appropriately.
We emphasize that we identified an eigenvalue problem (3.3.10) from
the initial/boundary-value problem (3.3.8). We note that - in (3.3.10)

originates from the term evolving spatial derivative in the equation in (3.3.8)
and that the boundary condition in (3.3.10) is the same as that in (3.3.8).
Now, let us suppose that
(3.3.11)
u(x, t) _ /Yake_1c2tsinkx
77
solves (3.3.8). In order to identify the coefficients a, k = 1, 2,

calculate formally:
, we
u(x, 0) _ I-Laks1nkx,
but we are given the initial condition u(x, 0) = uo(x) for x e (0, it). Thus
we take the constants ak, k = 1, 2, , to be the Fourier coefficients of uo
with respect to the basis {/sin kx} of LZ(0, it), i.e.,
Jo
(3.3.12)
uo(x) sin kx dx
for k = 1, 2,
Next we prove that u in (3.3.11) indeed solves (3.3.8). To do this, we need
to prove that u is at least C2 in x and Cl in t and satisfies (3.3.8) under

appropriate conditions on uo. We first have the following result.
Theorem 3.3.5. Suppose uo E L2(0, it) and u is given by (3.3.11) and

(3.3.12). Then u is smooth in [0,ir] x (0,oo) and
ut -
= 0 in (0, it) x (0, oo),

u(0, t) = u(ir, t) = 0 for t e (0, oo).
Moreover,
t 0 I- uOIILz(p,) = O.
Proof. Let i and j be nonnegative integers. For any x e [0, it] and t e
(0,oo), we have formally
axa u(x, t) =
ak
k=1
dt
(e-k2t)
dxz
sin kx).
absolutely and uniformly for any (x, t) E [0, it] x [to, oo), for an arbitrarily
fixed to > 0. Set
00
(3.3.13)
SZ (x,t) _
_k2t
ak dt3 (e
dZ
) x2 (sin
kx)
Fix to > 0. Then for any (x, t) E [0, it] x [to, oo),
Sz.7(x,t)
laki
k=1
12t
Since uo e L2(0,it), we have
k=1
ki-1-2j
laki k2to
k=1
e
78
Then the Cauchy inequality implies, for any (x, t) E [0, it] x [to, oo),
00
(3.3.14)
00 k2i+4j
Sid (x, t) C
k=1
IIUOIIL2(O,),
e2k2to
k=1
where C0 is a positive constant depending only on i, j and to. This verifies

that the series defining
t) is convergent absolutely and uniformly
for (x, t) E [0, it] x [to, oo), for any nonnegative integers i and j. Hence u is
smooth in [0, it] x [to, oo) for any t0 > 0. Therefore, all derivatives of u can
be obtained from term-by-term differentiation in (3.3.11). It is then easy to
conclude that u satisfies the heat equation and the boundary condition in
(3.3.8).
We now prove the L2-convergence. First, from the series expansions of

u and u0, we see that
ak(e- t - 1)sin kx,

2
u(x, t) - up(x
and then
Iu(x,t) - uo(x) I2 dx =
e-k2t
_ 1112
k=1
We note that e-k2t -+ 1 as t -+ 0 for each fixed k > 1. For a positive integer
K to be determined, we write
J/'
- up(x) I2dx =
ak2 e
k2t
_ 1)2 +
ak2 (e k2t _ 1)2.

k=K+1
k=1
For any S > 0, there exists a positive integer K = K(s) such that
k=K+1
Then there exists a b > 0, depending on s and K, such that

K
a e-k2t
- 1)2 <5
for any t E (0, b),
k=1
since the series in the left-hand side consists of finitely many terms. Therefore, we obtain
J0
Iu(x, t) - uo(x)12 dx <2s for any t e (0, b).
This implies the desired L2-convergence as t -+ 0.
79
In fact, (3.3.14) implies the following estimate. For any integer m > 0
and any to > 0,
IIUIICm([O,ir] X [to,oo))
Cm,to IIuo IIL2(0,ir),
where Cm,to is a positive constant depending only on m and to. This estimate
controls the C"2-norm of u in [0, ?f] x [to, oo) in terms of the L2-norm of uo
on (0, ii). It is referred to as an interior estimate (with respect to t). We
note that u becomes smooth instantly after t = 0 even if the initial value uo
is only L2.
Naturally, we ask whether u in Theorem 3.3.5 is continuous up to

{ t = 0}, or, more generally, whether u is smooth up to {t = 0}. First,
we assume that u is continuous up to {t = 0}. Then uo E C[0, it]. By comparing the initial value with the homogeneous boundary value at corners,
we have
= 0,
Utj(it) = 0.
Next, we assume that u is C2 in x and Cl in t up to {t = 0}. Then

uo E C2 [0, it]. By the homogeneous boundary condition and differentiation
with respect to t, we have
ut(O,t) = 0,
ut(ii,t) = 0
fort > 0.
Evaluating at t = 0 yields
ut(0,0) = 0,
Ut(ii,0) = 0.
Then by the heat equation, we get
u(0, 0) = 0,
u(ir, 0) = 0,
and hence
u(0)=0,
ug(71)=o.
If u is smooth up to {t = 0}, we can continue this process. Then we have a

necessary condition
(3.3.15)
uo2e)(0) =0,
uo2e)(it) =0 for any Q = 0, 1,
Now, we prove that this is also a sufficient condition.
Theorem 3.3.6. Suppose up E CO[0, it] and u is given by (3.3.11) and

(3.3.12). If (3.3.15) holds, then u is smooth in [0,ir] x [0,oo), and u(,0) _
uo.
Proof. Let i and j be nonnegative integers. We need to prove that the

series defining
t) converges absolutely and uniformly for (x, t) E
80
[0, it] x [0, oo).
be the series defined in (3.3.13). Then for any
Let
x E [0,ir] and t > 0,

Sij (x, t) <
kZ+2j I ak I .
k=1
To prove that the series in the right-hand side is convergent, we need to

improve estimates of ak, the coefficients of Fourier series of u0. With (3.3.15)
for = 0, we have, upon simple integrations by parts,
ir
ak =
-2
uo(x) sin kx dx =
o
u0(x)
0
7f
pir
cos x
k
dx
sin /<'r
We note that values at the endpoints are not present since u(0) = uo (lr) = 0
in the first integration by parts and sin kx = 0 at x = 0 and x = it in the

second integration by parts. Hence for any in > 1, we continue this process
with the help of (3.3.15) for = 0,
, [(m - 1)/2] and obtain
ak = (-1)
m2
(x)
kx
if in is odd,
dx
and
aj _ (-1) 2 1/
v
if in is even.
dx
Jo
In other words, {kmak} is the sequence of coefficients of the Fourier series

of m) with respect to {/sin kx} or {/cos kx}, where in determines
uniquely the choice of positive or negative sign and the choice of the sine or
the cosine function. Then, we have

00
a/
U0
L2(O,ir)
k=1
Hence, by the Cauchy inequality, we obtain that, for any (x, t) E [0, 7r] x
[0, oo) and any in,
00
(x, t)i+2j I ak I
00
k2mak
k=1
00
2
k2(i+2j-m)
k=1
k=1
By taking m = i + 2 j + 1, we get
Si (x , t) < Ci u(m)
II
I L2 0
where Ci j is a positive constant depending only on i and j. This implies

that the series defining axat u(x, t) converges absolutely and uniformly for
(x, t) E [0, ir] x [0, oo). Therefore, axat u is continuous in [0, ir] x [0, oo). D
81
If we are interested only in the continuity of u up tot = 0, we have the

following result.
Corollary 3.3.7. Suppose up E Cl [0, it] and u is given by (3.3.11) and

(3.3.12). If uo(0) = uo(it) = 0, then u is smooth in [0, it] x (0, oo), continuous
in [0,it] x [0,oo) and satisfies (3.3.8).
Proof. It follows from Theorem 3.3.5 that u is smooth in [0, it] x (0, oo)
and satisfies the heat equation and the homogeneous boundary condition in
(3.3.8). The continuity of u up tot = 0 follows from the proof of Theorem
3.3.6withi=j=0andm=1.
The regularity assumption on uo in Corollary 3.3.7 does not seem to

be optimal. It is natural to ask whether it suffices to assume that uo is in
C[0, it] instead of in Cl [0, it]. To answer this question, we need to analyze
pointwise convergence of Fourier series. We will not pursue this issue in this
book.
Now we provide another expression of u in (3.3.11). With explicit expressions of ak in terms of uo in (3.3.12), we can write
(3.3.16)
u(x,t) =
G(x, y; t)uo(y) dy,
J0
where
G(x, y; t) = -
r k=1 e
sin kx sin Icy,
for any x, y e [0, it] and t> 0. The function G is called the Green's function
of the initial/boundary-value problem (3.3.8). For each fixed t > 0, the
series for G is convergent absolutely and uniformly for any x, y e [0, it].
In fact, this uniform convergence justifies the interchange of the order of
summation and integration in obtaining (3.3.16). The Green's function G
satisfies the following properties:
(1) Symmetry: G(x, y; t) = G(y, x; t).

(2) Smoothness: G(x, y; t) is smooth in x, y e [0, it] and t> 0.
(3) Solution of the heat equation: Gt - G= 0.

(4) Homogeneous boundary values: G(0, y; t) = G(it, y; t) = 0.
These properties follow easily from the explicit expression for G. They
imply that u in (3.3.16) is a smooth function in [0, it] x (0, oo) and satisfies the heat equation with homogeneous boundary values. We can prove
directly with the help of the explicit expression of G that u in (3.3.16) is
0) = uo under appropriate assumpcontinuous up tot = 0 and satisfies
tions on uo. We point out that G can also be expressed in terms of the
82
fundamental solution of the heat equation. See Chapter 5 for discussions of

the fundamental solution.
Next we discuss initial/boundary-value problems for the 1-dimensional
wave equation. Let uo and ul be continuous functions on [0, ir]. Consider
= 0 in (0, it) x (0, oo),
Utt (3.3.17)
u(x,0) = uo(x), ut(x,0) = ul(x)
for x E (0, ir),
u(0, t) = u(ir, t) = 0 for t E (0,oo).

We proceed as for the heat equation, first considering the problem
(3.3.18)
utt -
= 0 in (0,ir) x (0,oo),
t) = 0 for t E (0, oo),
u(0, t) =
and asking for solutions of the form
u(x,t) = c(t)w(x).
An argument similar to that given for the heat equation shows that w must
be a solution of the homogeneous eigenvalue problem for -ate on (0, ir). The
and the corresponding
eigenvalues of this problem are Ak = k2, k = 1, 2,
normalized eigenfunctions
wk(x) = 1 / -sin kx
V 7r
,let
form a complete orthonormal set in L2(0, it). For k = 1, 2,

uk(x, t) = ck(t)wk(x)
be a solution of (3.3.18). Then ca(t) satisfies the ordinary differential equation

c(t) + k2Ck(t) = 0.
Thus, ck(t) has the form

ck (t) = ak cos lit + bk sin lit,
where ak and bk are constants. Therefore, for k = 1, 2,
, we have
uk(x, t) _ /(ak cos kt + bk sin kt) sin kx.

Now, let us suppose that
(3.3.19)
u(x, t) _ / - , (ak cos kt + bk sin kt) sin kx
83
solves (3.3.17). In order to identify the coefficients ak and bk, k = 1, 2,

we calculate formally:
u(x, 0) _ 'l/ - Laksin kx,

but we are given the initial condition u(x, 0) = uo(x) for x e (0, it). Thus
we take the constants ak, k = 1, 2,
, to be the Fourier coefficients of uo
with respect to the basis { \ sin kx} of L2(0, it), i.e.,
/3.3.20)
l
a = U- f uOl x sin kx dx for k=
>
>...
Differentiating (3.3.19) term by term, we find
ut(x, t) _
(-kak sin kt + kbk cos kt) sin kx,
and evaluating at t = 0 gives

ut (x, 0) _
V_>-kbksinkx.
k=1
From the initial condition ut (x, 0) = u1(x), we see that kbk, for k = 1, 2,
,
are the Fourier coefficients of u1 with respect to the basis {
sin lax} of
L (0, ir), i.e.,
(3.3.21)
/-2
u (x)
0
sin kx
k
dx
for k =
We now discuss the regularity of u in (3.3.19). Unlike the case of the

heat equation, in order to get differentiability of u now, we need to impose
similar differentiability assumptions on initial values. Proceding as for the
heat equation, we note that if u is a C2-solution, then
uo(o) = o, ul (o) = o, uo (o) = o,
(3.3.22)
uo(lr) = 0, u(ir) = 0, ug(ir) = 0.
Theorem 3.3.8. Suppose uo e C3[0, it], ul e C2[0, it] and u is defined by

(3.3.19), (3.3.20) and (3.3.21). If uo, ul satisfy (3.3.22), then u is C2 in
[0,it] x [0,oo) and is a solution of (3.3.17).
Proof. Let i and j be two nonnegative integers with 0 < i + j < 2. For any
x e [0, it] and t e (0, oo), we have formally
t) _
d
-
-(ak cos kt + bk sin kt) -. (sin kx).

dx z
dti
k=1
84
absolutely and uniformly for any (x, t) E [0, 7r] x [0, oo). Set
00
TZj(x, t) _ >
dt
I
(akcos kt + bksin kt)
Zi
(sin kx)
k-1
Hence, for any (x, t) E [0, 7r] x [0, oo),

kz+3(a + b 2 .
7'z (x,t)
To prove the convergence of the series in the right-hand side, we need to

improve estimates for ak and bk. By (3.3.22) and integration by parts, we
have
2
ak =
ir
/o uo(x) sin kx dx =
71
ir
Vu
bk=4IJ
ux
sin lcx
k
dx =
710
2
uo (x)
241(x)
cos lax
3
sin k x
k3
dx,
dx.
In other words, {k3ak} is the sequence of Fourier coefficients of -uo'(x) with
respect to {- cos kx}, and {k3bk} is the sequence of Fourier coefficients of
-u(x) with respect to
sinkx}. Hence
(k6ak +
IIuo
+11 ui Lz(O,,r)
k=1
By the Cauchy inequality, we obtain that, for any (x, t) E [0, 71] x [0, oo),
0o
T(x, t)
o0
<oo.
+ b2k))
< ( k=1
. (k=1
)
Therefore, u is CZ in [0, 7r] x [0, oo) and any derivative of u up to order two
may be calculated by a simple term-by-term differentiation. Thus u satisfies
(3.3.17).
By examining the proof, we have

3
IIUIIC2([O,]x[0,oo))
Io
O
II'i
II'(Z) IIL2(O,) +
i=o
i=o
where C is a positive constant independent of u.

In fact, in order to get a CZ-solution of (3.3.1?), it suffices to assume
uo e C2[0, 71], ul e Cl [0,71] and the compatibility condition (3.3.22). We
85
will prove this for a more general initial/boundary-value problem for the
wave equation in Section 6.1. See Theorem 6.1.3.
Now, we compare the regularity results for solutions of initial/boundaryvalue problems in Theorems 3.3.5, 3.3.6 and 3.3.8. For the heat equation
in Theorem 3.3.5, solutions become smooth immediately after t = 0, even
for L2-initial values. This is the interior smoothness (with respect to time).
We also proved in Theorem 3.3.6 that solutions are smooth up to {t = 0}
if initial values are smooth with a compatibility condition. This property
is called the global smoothness. However, solutions of the wave equation
exhibit a different property. We proved in Theorem 3.3.8 that solutions
have a similar degree of regularity as initial values. In general, solutions of
the wave equation do not have better regularity than initial values, and in
higher dimensions they are less regular than initial values. We will discuss
in Chapter 6 how solutions of the wave equation depend on initial values.
To conclude, we point out that the methods employed in this section to
solve initial/boundary-value problems for the 1-dimensional heat equation
and wave equation can actually be generalized to higher dimensions. We
illustrate this by the heat equation. Let St be a bounded smooth domain in
][fin and uo be an L2-function in St. We consider
ut-Lu=0 inIIx(0,oo),
u(.,0) = uo in 12,
(3.3.23)
u=0 onaIIx(0,oo).
To solve (3.3.23) by separation of variables, we need to solve the eigenvalue
problem of -O in St with homogeneous boundary values, i.e.,
0o +
in u
p=0 on aS2.
This is much harder to solve than its 1-dimensional counterpart (3.3.10).
Nevertheless, a similar result still holds. In fact, solutions of (3.3.24) are
given by a sequence (Ak, cpk), where Ak is a nondecreasing sequence of positive numbers such that Ak -+ oo as k -+ oo and cps is a sequence of smooth
functions in 12 which forms a basis in L2(11). Then we can use a similar

method to find a solution of (3.3.23) of the form
u(x, t) _
for any (x, t) E S2 x (0, oo).

k=1
We should remark that solving (3.3.24) is a complicated process. We need to

work in Sobolev spaces, spaces of functions with L2-integrable derivatives.
A brief discussion of Sobolev spaces can be found in Subsection 4.4.2.
86
3.4. Exercises
Exercise 3.1. Classify the following second-order PDEs:
n
(1)
= 0.
:i:
1<i<j<n
i=1
(2)
uxi x j =
0.
1<i<j<n
Exercise 3.2.
(1) Let (r, 8) be polar coordinates in R2, i.e.,
x=rcos8, y=rsin8.
Prove that the Laplace operator 0 can be expressed by
1
r2
Du = urr + -ur +
uee
(2) Let (r, 8, q5) be spherical coordinates in R3, i.e.,

z = r cos 8.
y = r sin 8 sin co,
x = r sin 8 cos co,
Prove that the Laplace operator 0 can be expressed by

Du
r Dr (r2 ar) + r2 sin 8 8
(sin e ae I
52u
+ r2 sin2 8 5P2
Exercise 3.3. Discuss the uniqueness of the following problems using energy
methods:
(1)
(2)
Jzu_u3=f in S2,
lu= cp
on 852;
JL\u_ufu2(y)dy=f
in St,
lu=p
on aSl.
Exercise 3.4. Let St be a bounded C'-domain in ][8n and u be a CZ-function

in St x [0, T] satisfying
ut - Du = f
in S2 x (0, oo),
u(.,0)=u in1,
u=0 onDIIx(0,oo).
Prove
fvu(.,t)I2dx
sup+0tT
u2 dxdt
0
<
St
rT
dx +
J J f 2 dxdt),
n
where C is a positive constant depending only on ft
3.4. Exercises
87
Exercise 3.5. Prove that the Poisson kernel in (3.3.6) is given by (3.3.7).
Exercise 3.6. For any uo E L2(0, 7r), let u be given by (3.3.11). For any
nonnegative integers i and j, prove
sup I-+0 as t - oo.
I< t
Exercise 3.7. Let G be defined as in (3.3.16). Prove

1
for any x, y E [0,] and t>0.
Exercise 3.8. For any uo E L2(0, 7r), solve the following problem by separation of variables:
ut -
= 0 in (0,7r) x (0, oo),
u(x, 0) = uo (x) for any x E (0, 7r),
U(0, t) =
t) = 0 for any t E (0,oo).
Exercise 3.9. For any uo E L2(0, 7r) and f E L2((0, 7r) x (0, oo)), find a
formal explicit expression of a solution of the problem
ut - uxx = f in (0, 7r) x (0, oo),

u(x, 0) = uo(x) for any x E (0, 7r),
u(0, t) = u(7r, t) = 0 for any t E (0, oo).
Exercise 3.10. For any uo, ul E L2(0, 7r) and f E L2((0, 7r) x (0, oo)), find
a formal explicit expression of a solution of the problem
utt - uxx = f in (0, 7r) X (0, oo),

u(x, 0) = uo(x), ut(x, 0) = ul(x) for any x E (0, 7r),
u(0, t) = u(7r, t) = 0 for any t E (0,oo).
Exercise 3.11. Let T be a positive constant, St be a bounded C1-domain

in 1[8n and u be C2 in x and Cl in t in SZ x [O, T]. Suppose u satisfies
ut - Du = 0 in St x (0, T),
U(,T)0 in1,
U=0 onaclx(0,T).
Prove that u = 0 in S2 x (0, T).
Hint: The function J(t) =log f u2(x, t) dx is a decreasing convex function.
Exercise 3.12. Classify homogeneous harmonic polynomials in ][83 by following the steps outlined below. Let (r, 8, q5) be spherical coordinates in ][83.
(Refer to Exercise 3.2.) Suppose u is a homogeneous harmonic polynomial
cp) for some function Qm defined in
of degree m in ll83 and set u =
2.
88
(1) Prove that Q,,,, satisfies

1a/
m (m + 1)Qm. +
I s i n 9 aQ
sin 8 8B
aB
y,,,
l+
sine 8
2
aQ'"
,=0
(2) Prove that, if Qom,, is of the form f(6)g(), then

Qm(6, gyp) _ (Acoskcp + B sin
k
dm+k
fm,k(/t) = (1 - 2) 2 dm,+k C1 -
2r"'
for E [-1,1],
(3) Sketch the zero set of Qm on S2 according to k = 0, 1 < k < m -1

and k = m.
Chapter 4
Laplace Equations
The Laplace operator is probably the most important differential operator

and has a wide range of important applications.
In Section 4.1, we discuss the fundamental solution of the Laplace equation and its applications. First, we introduce the important notion of Green's
functions, which are designed to solve Dirichlet boundary-value problems.
Due to the simple geometry of balls, we are able to find Green's functions in
balls and derive an explicit expression of solutions of the Dirichlet problem
in balls, the so-called Poisson integral formula. Second, we discuss regularity
of harmonic functions using the fundamental solution. We derive interior

gradient estimates and prove that harmonic functions are analytic.
In Section 4.2, we study the mean-value property of harmonic functions.
First, we demonstrate that the mean-value property presents an equivalent
description of harmonic functions. Due to this equivalence, the mean-value
property provides another tool to study harmonic functions. To illustrate
this, we derive the maximum principle for harmonic functions from the
mean-value property.
In Section 4.3, we discuss harmonic functions using the maximum principle. This section is independent of Section 4.1 and Section 4.2. The
maximum principle is an important tool in studying harmonic functions, or
in general, solutions of second-order elliptic differential equations. In this

section, the maximum principle is proved based on the algebraic structure
of the Laplace equation. As an application, we derive a priori estimates for
solutions of the Dirichlet boundary-value problem. We also derive interior
gradient estimates and the differential Harnack inequality. As a final application, we solve the Dirichlet problem for the Laplace equation in a large
class of bounded domains by Perron's method.
89
4. Laplace Equations
90
We point out that several results in this chapter are proved by multiple
methods. For example, interior gradient estimates are proved by three methods: the fundamental solution, the mean-value property and the maximum
principle.
In Section 4.4, we discuss the Poisson equation. We first discuss regularity of classical solutions using the fundamental solution. Then we discuss
weak solutions and solve the Dirichlet problem in the weak sense. The
method is from functional analysis, and the Riesz representation theorem
plays an essential role. The presentation in this part is brief. The main
purpose is to introduce notions of weak solutions and Sobolev spaces.

The Laplace operator 0 is defined on C2-functions u in a domain in W by
n
Du =
i=1
The equation Du = 0 is called the Laplace equation and its C2-solutions are
called harmonic functions.
4.1.1. Green's Identities. One of the important properties of the Laplace

equation is its spherical symmetry. As discussed in Example 3.1.7, the
Laplace equation is preserved by rotations about some point in Rn, say
the origin. Hence, it is plausible that there exist special solutions that are
invariant under rotations. We now seek harmonic functions u in Rn which
are radial, i.e., functions depending only on r = lxi. Set
v(r) = u(x).
Foranyi=1, ,nandxz40,weget
xi
= v' (r)-,
r
uxixi =
x2
2+
r
v,(r)
-r1 - x3r
,
Du=v + n-1
v =0.
r
(logv')'+
n-1
r
=0,
(log(r'v'))' = 0.
91
A simple integration then yields, for n = 2,
for any r > 0,
v(r) = Cl + C2 log r
and for n > 3,
for any r > 0,

where c2 are constants for i = 1, 2, 3, 4. We note that v (r) has a singularity
at r = 0 as long as it is not constant. For reasons to be apparent soon, we
are interested in solutions with a singularity such that
c4r2-n
v (r) = C3 +
au
aBr 01
dS=1 foranyr>0.
In the following, we set Cl = C3 = 0 and choose C2 and C4 accordingly. In

fact, we have
and
1
C4 =
(2 - n)wn'
where wn is the surface area of the unit sphere in R.
Definition 4.1.1. Let I' be defined for x e Rn \ {0} by
log x for n = 2,
I'(x) _
and
for n> 3.
IxI2-n
r(x)
(2 -
The function I' is called the fundamental solution of the Laplace operator.
We note that I' is harmonic in Ilgn \ {0}, i.e.,
Or=O lriRn\l0I,
and
ar
v dS=1 foranyr>0.
f
Moreover, r has a singularity at the origin. By a simple calculation, we
Br
have, for any i, j = 1,
,n and any x
I'( x) =
0,
1
wn x n
and
rxi x3 =
wn
x2
jxn S
nxjx3
IXIn+2
We note that r and its first derivatives are integrable in any neighborhood
of the origin, even though r has a singularity there. However, the second
derivatives of r are not integrable near the origin.
92
To proceed, we review several integral formulas. Let S2 be a Cl-domain
in IIand v = (v1,.. ,v) be the unit exterior normal to 852. Then for any
u, v e Cl (S2) fl C(S2) and i = 1,
,n,
[uv dx = J
Js
uvv2 dS -
dx.
Jsi
asp
This is the integration by parts in higher-dimensional Euclidean space. Now

for u to
for any w E C2(S2) fl Cl(S2) and v e Cl(SZ) fl C(SZ), substitute
get
(vwxixi + vxi wxi) dx =
By summing up for i = 1,
vwxi U2 dS.
fsp
, n, we get Green's formula,
L (vzw + Vv Ow) dx = J
v dS.
For any v, w e C2(S2) fl C' (1), we interchange v and w and subtract to get
a second version of Green's formula,
Js
(vL\w
Dv
- wOv) dx = Jasp (Dw
v
wav)
dS.
\ av -
Taking v - 1 in either version of Green's formula, we get
Jsi
Ow dx =
Jasp
aw dS.
8v
We note that all these integral formulas hold if SZ is only a piecewise C1domain.
Now we prove Green's identity, which plays an important role in discussions of harmonic functions.
Theorem 4.1.2. Suppose S2 is a bounded Cl-domain in II8n and that u e

Cl(S2) fl C2(SZ). Then for any x e SZ,
u(x) =
I'(x - y)Dyu(y) dy
- Jas
IF(x-y)--(y)-u(y)--(x-y)JdSy.
y
Proof. We fix an x E S2 and write I' = I'(x - ) for brevity. For any r > 0
such that Br(x) C S2, the function I' is smooth in S2 \ Br(x). By applying
Green's formula to u and I' in St \ Br(x), we get
J\Br(x)
(r_
(Fzu - uDI') dy = f
+
av
f
.Iag,.cX>
avyl
r au - u ar) dsy,
aU
avy
93
where v is the unit exterior normal to 8(SZ\B,.(x)). Now DI' = 0 in St\Br(x),

so letting r -+ 0, we have
av
v
Js I'Du dyasp= f 1F--u1dS+lim
y/
asT (x)
av
IF--uldS.
v
y
For n > 3, by the definition of I', we get
Br (x)
r au
dSy
aU
r2-n
I
/asr()
(2 - n)wn J
aU dsy
max Iv'uH+o as r-+0,
<
8u
and
u
aBr (x)
ar
avy
dSy =
wnr
n_ 1
u dSy
as r-+0,
aBr (x)
where v is normal to DBr (x) and points to x. This implies the desired result
0
for n > 3. We proceed similarly for n = 2.
Remark 4.1.3. We note that
-1--(x-y)dS=l,
Jest avy
for any x E S2. This can be obtained by taking u - 1 in Theorem 4.1.2.
If u has a compact support in SZ, then Theorem 4.1.2 implies
F(x - y)zu(y) dy.
u(x) _
By computing formally, we have
u(x) =
Jci
F(x - y)u(y) dy.
In the sense of distributions, we write
LyF(xy)Ox.
Here S is the Dirac measure at x, which assigns unit mass to x. The term
"fundamental solution" is reflected in this identity. We will not give a formal
definition of distribution in this book.
4.1.2. Green's Functions. Now we discuss the Dirichlet boundary-value

problem using Theorem 4.1.2. Let f be a continuous function in SZ and cp a
continuous function on aSZ. Consider
(4.1.11
-'
Du = f
in S2,
u= cp on BSt.
Lemma 3.2.1 asserts the uniqueness of a solution in C2(S2) n C1 (fl). An

alternative method to obtain the uniqueness is by the maximum principle,
94
which will be discussed later in this chapter. Let u E CZ(SZ) fl Cl(S2) be

a solution of (4.1.1). By Theorem 4.1.2, u can be expressed in terms of f
and cp, with one unknown term aU on BSZ. We intend to eliminate this term
by adjusting F. We emphasize that we cannot prescribe av on 811 together
with u on BSt.
For each fixed x E SZ, we consider a function
2S2
(x,.) E CZ(SZ) fl Cl(S2)
with DyI(x, y) = 0 in St. Green's formula implies
0= f (x, y)Du(y) dy Set
((x y) au (y) -
y)J dSy.
(x,y) = F(x - y) - (x,y).

By a substraction from Green's identity in Theorem 4.1.2, we obtain, for
any x E S2,
u(x)
(x,y)u(y) dy -Jest
- u(y) avy (x y)J dSy.
appropriately so that ry(x, ) = 0 on BSt. Then, av on 811 is

eliminated from the boundary integral. The process described above leads
to the important concept of Green's functions.
We will choose
To summarize, for each fixed x E SZ, we consider
(x,.) E Cl(S2)f1C2(St)
such that
y) = 0 for any y E SZ,
(4.1.21
-'
(x,y) = I'(x - y)
for any y E BSZ.
The existence of 1 in general domains is not the main issue in our discussion
here. We will prove later that 'I(x, ) is smooth in St for each fixed x if it
exists. (See Theorem 4.1.10.)
Definition 4.1.4. The Green's function G for the domain St is defined by

C(x,y) = F(x y) -
for any x, y Eli with x # y.

In other words, for each fixed x E SZ, G(x, ) differs from I'(x - ) by a
harmonic function in SZ and vanishes on BSt. If such a G exists, then the
solution u of the Dirichlet problem (4.1.1) can be expressed by
(4.1.3)
u(x) =
G(x, y) f (y) dy +
J ci
cp(y)
y (x, y) dSy.
We note that the Green's function G(x, y) is defined as a function of

y E SZ \ {x} for each fixed x E SZ. Now we discuss properties of G as a
function of x and y. As was mentioned, we will not discuss the existence
of the Green's function in general domains. However, we should point out
95
that the Green's function is unique if it exists. This follows from Lemma
3.2.1 or Corollary 4.2.9, since the difference of any two Green's functions is
harmonic, with vanishing boundary values.
Lemma 4.1.5. Let G be the Green's function in 12. Then G(x, y) = G(y, x)
for any x, y E 1 2 with x
y.
Proof. For any x1, X2 E 1 2 with xl

x2i taker > 0 small enough that
BT(xl) C St, BT(x2) C St and Br(xl) f1 Br(x2) = Ql. Set G(y) = G(xi, y) and
F(y) = I'(x2 - y) for i = 1, 2. By Green's formula in 1 2 \ (Br(Xi) U Br(x2)),
we get
(GizG2_G2zGi)dY=f (Gl a 2 - G2 aG1 I dSy

sp
/
\(BT(Xi)UBr(Xz))
aG2
8G1
aGl
aG2
av
fdS+
LBr(X2)
dSy,
av
where v is the unit exterior normal to B(St\ (Br(Xi) UBr(x2))). Since Gi(y)
is harmonic for y # xi, i = 1, 2, and vanishes on BSt, we have
cds+ dso.
acll
DG 2e
DG1
Gl av
G2 8v
- G2
v J
sT(Xi) C Gl 8v - G2 8v
aBr(X2)
Now we replace Gl in the first integral by I'1 and replace G2 in the second
integral by I'2. Since Gl - I'1 is C2 in St and G2 is C2 in 1 2 \ B,. (x2 ), we have
G1
((Gl
ac2
- rl)av - G2
a(G1-r1)1 dSy
av
as r
0.
I dSy
as r
0.
Similarly,
asr(X2)
(Gla(G 8v
r2) - (G2 - I'a)
Therefore, we obtain
r1
B,.(xi)
aG2
Dv
- G2
art
Dv
(cl av2 - r2 as 1) dsy
dSy +
o,
aBr(x2)
as r -+ 0. On the other hand, by explicit expressions of r1 and F2, we have

aGl
aG2
r2
dSy
o,
r1
dSy
o,
Dv
av
aB,.(xi)
LBr(X2)
and
/'
G28I'1
Dv
dSy
G2(xi), -f p
VV
dSy
as r -+ 0. These limits can be proved similarly as in the proof of Theorem

4.1.2. We point out that v points to xi on aB,.(xi), for i = 1, 2. We then
obtain G2(xl) - Gl(x2) = 0 and hence G(x2, xl) = G(xl, x2).
96
Finding a Green's function involves solving a Dirichlet problem for the

Laplace equation. Meanwhile, Green's functions are introduced to yield an
explicit expression of solutions of the Dirichlet problem. It turns out that
we can construct Green's functions for some special domains.
4.1.3. Poisson Integral Formula. In the next result, we give an explicit

expression of Green's functions in balls. We exploit the geometry of balls in
an essential way.
Theorem 4.1.6. Let G be the Green's function in the ball BR C W.

(1) In case n > 3,
(lyI2-n _ R2-n1l
s
(2 - n)Wn
for any y e BR \ {0}, and

n-2 Iy
G(x, y) - (2 - n)wn (IY
IRI2 x12-n
- xl2-n - \ /
for anyxEBR\{O} andyEBR\{x}.

(2) In case n = 2,
G(O, y) -
flog ICI -log R)
for any y e BR \ {0}, and
(lxi ly (log y - x- log
IRI2xl
\'\
for any x E BR \ {0} and y E BR \ {x}.

Proof. By Definition 4.1.4, we need to find
first. For x = 0,
r(o - y) =
1
(2 - n)wn
in (4.1.2). We consider n > 3

y2-Th.
Hence we take
cT(O,y)=
(2 - n)w
RTh,
for any y e BR. Next, we fix an x e BR \ {0} and let X = R2x/1x12.

Obviously, we have X BR and hence I'(y - X) is harmonic for y e BR.
For any y e BBR, by
xl
we have DOxy
xl'
R
DOyX. Then for any y E aBR,
xl
Iy - x
97
and hence,
iy-xi= lRi
(4.1.4)
This implies
R n-2
r(y-X),
r(y-x)- IxIJ
for any x E BR \ {0} and y E BBR. Then we take

R n-2
(x,y)=
\iT)
F(y-X),
for any x E BR \ {0} and y E BR \ {x}. The proof for n = 2 is similar and
O
is omitted.
Figure 4.1.1. The reflection about the sphere.
Next, we calculate normal derivatives of the Green's function on spheres.
Corollary 4.1.7. Let G be the Green's function in BR. Then
8G/
8vy
`x
y)
R2- 1x12
- WRI x - yln
for any x E BR and y E BBR.
Proof. We first consider n > 3. With X = R2x/1x12 as in the proof of

Theorem 4.1.6, we have
CT(x,y)=
R n2
- xI2n
for any x E BR \ {0} and y e BR \ {x}. Hence we get, for such x and y,
1
yZ _ xi
R n-2
GYi(XY)=_11n_)
yti _ XZ
ly-xi
98
By (4.1.4) in the proof of Theorem 4.1.6, we have, for any x E BR \ {0} and
y E aBR,
yz
Ra _ Ixl a
This formula also holds when x = 0. With vz = y2/R for any y E BBR, we
obtain
DC
2_I I2
This yields the desired result for n > 3. The proof for n = 2 is similar and
is omitted.
Denote by K(x, y) the function in Corollary 4.1.7, i.e.,
Rz
K(x,y) =
(4.1.5)
Ixlz
WnRI x - yIn
for any x E BR and y e BBR. It is called the Poisson kernel.
Lemma 4.1.8. Let K be the Poisson kernel defined by (4.1.5). Then

(1) K(x, y) is smooth for any x E BR and y E aBR;
(2) K(x, y) >0 for any x E BR and y E BBR;
(3) for any fixed xo E 8BR and 6> 0,
K(x, y) = 0 uniformly in y E 8BR \ Bb(xo);
lim
x-+xo,IxI<R
y) = 0 for any x E BR and y E aBR;

(5) faBR K(x, y) dSy = 1 for any x E BR.
(4)
Proof. First, (1), (2) and (3) follow easily from the explicit expression for K
as in (4.1.5), and (4) follows easily from the definition K(x, y) = a G(x, y)
and the fact that G(x, y) is harmonic in x. Of course, we can also verify
(4) by a straightforward calculation. An easy derivation of (5) is based on
(4.1.3). By taking a C2(BR) harmonic function u in (4.1.3), we conclude
f
that
u(x) =
K(x, y)u(y) dSy for any x E BR.
JaBR
Then we have (5) by taking u - 1.
Now we are ready to solve the Laplace equation in balls, with prescribed
Dirichlet boundary values.
Theorem 4.1.9. Let cp be a continuous function on 8BR and u be defined

by
(4.1.6)
u(x) = f
K(x, y)cp(y) dSy

BR
for any x E BR,
99
where K is the Poisson kernel given by (4.1.5). Then u is smooth in BR

and Du = 0 in BR. Moreover, for any xo E BBR,
lim u(x) = cp(xo).
Proof. By Lemma 4.1.8(1) and (4), we conclude easily that u defined by

(4.1.6) is smooth and harmonic in BR. We need only prove the convergence
of u up to the boundary BBR. We fix xo E 8BR and take an x E BR. By

Lemma 4.1.8(5), we have
(xO)= f
dSy.
asR
Then
u(x)
(xO) _
aR
(xO)) dSy = Ii + I2,
K(x,
where
...,
I1=
...
I2=
aBRnB5 (xo)
aBR\Ba (xo)
for a positive constant S to be determined. For any 6> 0, we can choose

S = 6(6) > 0 small so that
I'() -
(xo)I <6
for any y E 8BR fl Ba(xo), because cp is continuous at xo. Then by Lemma

4.1.8(2) and (5),
IIiI <f BRnBa (moo) K(x,y) I cp(y) Next, set M = maxaBR
(xO) I dSy <6.
By Lemma 4.1.8(3), we can find a S' > 0 such
that
K(x' y) C
e
2MwRn-1'
for any x E BR f1 Bay (xo) and any y E 8BR \ Ba (xo). We note that S' depends
on 6 and S = S(e), and hence only on 6. Then

1I21
Idsy < 6.
BR\Ba (moo)
Hence
I'u(x) - (xO)I <26,

for any x E BRf1Ba' (xO). This implies the convergence of u at xo E BBR.
100
We note that the function u in (4.1.6) is defined only in BR. We can

extend u to aBR by defining u = cp on aBR. Then u e CO(BR) fl C(BR).
Therefore, u is a solution of
Du = 0 in BR,
u = co on aBR.
The formula (4.1.6) is called the Poisson integral formula, or simply the
Poisson formula.
For n = 2, with x = (r cos B, r sin B) and y = (R cos ij, R sin ij) in (4.1.6),
we have
u(r cos B, r sin B) =
12ir f
2ir
K(r, B, ri)cp(Rcosri, Rsinrj) dry,
where
K(r, B, ri) =
R2
- r2
RZ - 2Rr cos(B - ri) + r2
Compare with (3.3.6) and (3.3.7) in Section 3.3.

Now we discuss properties of the function defined in (4.1.6). First, u(x)
in (4.1.6) is smooth for lxi < R, even if the boundary value cp is simply
continuous on aBR. In fact, any harmonic function is smooth. We will
prove this result later in this section.
Next, by letting x = 0 in (4.1.6), we have
,fnl =
wnRn-1
u(y) dSy.
aBR
We note that wnRn-1 is the surface area of the sphere BBR. Hence, values
of harmonic functions at the center of spheres are equal to their average over
spheres. This is the mean-value property.
Moreover, by Lemma 4.1.8(2) and (5), u in (4.1.6) satisfies
min co < u < max co in BR.
aBR
aBR
In other words, harmonic functions in balls are bounded from above by their
maximum on the boundary and bounded from below by their minimum on
the boundary. Such a result is referred to as the maximum principle. Again,
this is a general fact, and we will prove it for any harmonic function in any
bounded domain.
The mean-value property and the maximum principle are the main topics
in Section 4.2 and Section 4.3, respectively.
101
4.1.4. Regularity of Harmonic Functions. In the following, we discuss regularity of harmonic functions using the fundamental solution of the
Laplace equation. First, as an application of Theorem 4.1.2, we prove that
harmonic functions are smooth.
Theorem 4.1.10. Let St be a domain in I[8n and u E C2(St) be a harmonic

function in 12. Then u is smooth in f.
Proof. We take an arbitrary bounded C1-domain f' in 11 such that 11' C 11.
Obviously, u is C1 in 11' and Du = 0 in 11'. By Theorem 4.1.2, we have
u(x)=-
Jai-
(F(x_Y)(Y)_u(y) a y (x -
dsy,
for any x E 11'. There is no singularity in the integrand, since x E 11' and
D
y E 911'. This implies easily that u is smooth in 11'.
We note that, in its definition, a harmonic function is required only to
be C2. Theorem 4.1.10 asserts that the simple algebraic relation Du = 0
among some of second derivatives of u implies that all partial derivatives of
u exist. We will prove a more general result later in Theorem 4.4.2 that u
is smooth if Du is smooth.
Harmonic functions are not only smooth but also analytic. We will prove
the analyticity by estimating the radius of convergence for Taylor series of
harmonic functions. As the first step, we estimate derivatives of harmonic
functions. For convenience, we consider harmonic functions in balls. The
following result is referred to as an interior gradient estimate. It asserts
that first derivatives of a harmonic function at any point are controlled by
its maximum absolute value in a ball centered at this point.
Theorem 4.1.11. Suppose u E C(BR(xp)) is harmonic in BR(xp) C ][8n.

Then
IVu(xo)I
R B( o)
lulu
where C is a positive constant depending only on n.
Proof. Without loss of generality, we may assume xo = 0.

We first consider R = 1 and employ a local version of Green's identity.
Take a cutoff function co E Co (Bg14) such that cp = 1 in B1,2 and 0 < cp < 1.
For any x E B1,4i we write I' = I'(x - ) temporarily. For any r > 0 small
102
enough, applying Green's formula to u and cpI' in Bl \ B,.(x), we get

u0(cpI')) dy =
si\BT()
Jasl
+
(cor- ua(a )
aBT(X)
av - u a(a r
where v is the unit exterior normal to a(Bl \ Br(x)). The boundary integral
over aBl is zero since cp = a = 0 on 8B1. In the boundary integral over
we may replace cp by 1 since Br(x) C B1,2 if r G 1/4. As shown in
the proof of Theorem 4.1.2, we have
arl
(Du
u(x)=hmi
iP--u---dS,
r-+0 aBT av
av J
where v is normal to BB,. (x) and points toward x. For the domain integral,
the first term is zero since Du = 0 in Bl. For the second term, we have
o(ar) =
yr + nor.
We note that DP = 0 in Bl \ Br(x) and that the derivatives of cp are zero

for Ii < 1/2 and 3/4 < < 1 since cp is constant there. Then we obtain
u(x) _ -f
y) +
VyI'(x
- y)) dye
for any x E B114. We note that there is no singularity in the integrand for
lxi <1/4 and 1/2 < y <3/4. (This also gives an alternative proof of the
smoothness of u in B114.) Therefore,
vu(x) _ -
J2 <IyI<q u(y)
y)
VV,,P(x - y)) dy,

for any x E B114. Hence, we obtain
lfor any x E
B1
where C is a positive constant depending only on n. We obtain the desired

result by taking x = 0.
The general case follows from a simple dilation. Define
u(x) = u(Rx) for any x E Bl.

Then u is a harmonic function in Bl. By applying the result we just proved
to u, we obtain
l< csup
B1
Since Du(0) = RDu(0), we have the desired result.
103
We note that the proof above consists of two steps. We first prove the
desired estimate for R = 1 and then extend such an estimate to arbitrary
R by a simple scaling. Such a scaling argument is based on the following
fact: If u is a harmonic function in BR, then u(x) = u(Rx) is a harmonic
function in Bl. We point out that this scaling argument is commonly used
in studying elliptic and parabolic differential equations.
Next, we estimate derivatives of harmonic functions of arbitrary order.
Theorem 4.1.12. Suppose u E C(BR(xa)) is harmonic in BR(XO) C 118'x.
Then for any multi-index a with al = m,
cmem-lml
IDau(xo)I
max lul,
Drn
Proof. The proof is by induction on m > 1. The case of m = 1 holds by

Theorem 4.1.11. We assume it holds for m and consider m + 1. Let v be an
arbitrary derivative of u of order m. Obviously, it is harmonic in BR(xo).
For any 8 E (0, 1), by applying Theorem 4.1.11 to v in B(1-B)R(xo), we get
lVv(xo)l
B(lma,x(xo) IvI.
I1 8)R
For any x E B(1-e)R(xo), we have BBR(x) C BR(xo). By the induction

assumption, we obtain
<
C"2e"2-lm!
(9R)m
max ui,
BOR(X)
for any x E B(l_o)R(xo), and hence

Cmem-im!
max
Therefore,
IvI <
(9R)m
max uI.
BR(xo)
G+m+lem-lml
lVv(xo)
(1 - 9)9R-'
max uI.
Rxo
By taking 8 = ,nt+l , we have
<
(l -e)e This implies
(1+ mJ (m+1)<e(m+1).
cm+le m(m + 1)!
max lul.
R
BR(XO)
Hence the desired result is established for any derivatives of u of order
m+1.
104
As a consequence of the interior estimate on derivatives, we prove the

following compactness result.
Corollary 4.1.13. Let SZ be a bounded domain in IlBn, M be a positive

constant and {uk} be a sequence of harmonic functions in SZ such that
sup ukl < M for any k.

s
Then there exist a harmonic function u in SZ and a subsequence {uk' } such

that
uk' -+ u uniformly in 1' as k' - oo,
for any SZ' with 1' C fZ.
Proof. Take any SZ' with 1' C SZ and set d = dist (SZ', aSZ) . For any x E SZ',
we have Bd(x) C fZ. By applying Theorem 4.1.12 to uk in Bd(x), we get,

for any integer m > 1,
< Cm
-m
<
Vmuk
(x) I
sup uk I
Bd (X)
- Cmd
M,
where Cm is a positive constant depending only on n and m. Hence

max I Vmuk I < Cmd-mM.
S
For any 2 = 0, 1,
,the mean-value theorem implies

VQuk(x)
- DQUk(y)I
C2+11Z-E-1MIx _ yl,
for any k= 1, 2, , and any x, y E SZ'.

Next, we take a sequence of domains {ll} with SZ C Std+i C
and d3 = dist(St3, aSZ) < 1/j. Then
Q-iMlx _ yl,
IDeuk(x) VQUk(y)I
C SZ
ce+id
for any 2 = 0, 1,
,and any x, y E 52,. By Arzela's theo, any k = 1, 2,
rem and diagonalization, we can find a function u in SZ and a subsequence
{uk'} such that
uk' - u in the Ct-norm in SZ as k' -+ oo,

for any j = 1, 2,
and any = 0,1,
Du = 0 in each l from Duk' = 0.
By taking = 2, we then get
As shown in the proof, uk' converges to u in Ct(SZ') for any SZ' with
1' dl and any

Now we are ready to prove that harmonic functions are analytic. Real
analytic functions will be studied in Section 7.2. Now we simply introduce
the notion. Let u be a (real-valued) function defined in a neighborhood of
105
x0 E R. Then u is analytic near x0 if its Taylor series about x0 is convergent

to u in a neighborhood of x0, i.e., for some r > 0,
1
u(x) =
a u(xo) (x - xo)
for any x E B,.(xo).
Theorem 4.1.14. Harmonic functions are analytic.

Proof. Let S2 be a domain in I[8' and u be a harmonic function in St. For
any fixed xo E S2, we prove that u is equal to its Taylor series about xp in
a neighborhood of xo. To do this, we take BZR(xo) C S2 and h e Il87 with
R. For any integer m > 1, we have, by the Taylor expansion,
m-1 1
u(xo + h) = u(xo) +
+ ... + jtnaxn)i u] (xO) + R,,,(h),
where
[(ha, + ... + h3)rn U] (xO + Oh),
Rm(h) =
for some B E (0, 1). Note that xo + h e BR(xo) for Ihi <R and that R,,,,(h)
consists of nterms of derivatives of u of order m. By applying Theorem
4.1.12 to u in BR(xp + 8h), we obtain
R
<
m' nm '
CCneih11
RJ
Rm
Rmax
B
C o) lul
max lul.
2R(X0)
Then for any h with Cneihi <R/2, RR,,,(h) -f 0 as m -f oo. Hence,

00
+ ... + h3j2 u] (xO),
u(x0 + h) =
z-O
for any h with Ihi < (2Cne)-1R.

It is a simple consequence of the Poisson integral formula that the mean
value of a harmonic function over a sphere is equal to its value at the center.
Indeed, this mean-value property is equivalent to harmonicity. In this section, we briefly discuss harmonic functions using the mean-value property.
The fundamental solution and the Poisson integral formula are not used
to prove the equivalence of harmonicity and the mean-value property. We
point out that the mean-value property is special and cannot be generalized
to solutions of general elliptic differential equations. Many results in this
106
section were either proved in the previous section or will be proved in the
next section.
We first define the mean-value property. There are two versions of the
mean-value property, mean values over spheres and mean values over balls.
Definition 4.2.1. Let St be a domain in II8" and u be a continuous function
in ft Then
(i) u satisfies the mean-value property over spheres if for any Br(x) C St,
u(x)=
u(y)dS;
``'mar
(ii) u satisfies the mean-value property over balls if for any BT(x) C St,
n
u(x) =
u(y) dy,
n
wnr
Br
where wn is the surface area of the unit sphere in W.
We note that wnrr_l is the surface area of the sphere OBr(x) and that
wnrn/n is the volume of the ball Br (x) .
These two versions of the mean-value property are equivalent. In fact,
if we write (i) as
- 1 f s r(x) u(y) dsy,

Wn
we can integrate with respect to r to get (ii). If we write (ii) as

u(x)rTh =
Wn
u(y) dy,
r(a)
we can differentiate with respect to r to get (i).

By a change of variables, we also write mean-value properties in the
following equivalent forms: for any Br(X) C St,
u(x) =
1Wn 8B1 u(x - ry) dSy

J
or
u(x)=-
u(x+ry)dy.
A function satisfying mean-value properties is required only to be continuous to start with. However, a harmonic function is required to be C2.
We now prove that these two requirements are actually equivalent.
Theorem 4.2.2. Let 1 2 be a domain in II8" and u be a function in 12.
(i) If u E C2(1) is harmonic in 12, then u satisfies the mean-value property in S2.
107
(ii) If U E C(St) satisfies the mean-value property in St, then u is smooth

and harmonic in St.
Proof. Take any ball Br(X) C St. Then for any u E C2(1t) and any p E
(0, r), we have
adS - pn-1
Dudy =
B(2)
(y)
a(x -pw)dSw
Bl
vp
u(x +
= per'-i a
aP
(i) Let u E C2(1t) be harmonic in St. Then for any p E (0, r),
a
-s---
u(x+pw)dS=0.
asl
Integrating from 0 to r, we obtain
f u(x -I- rw)dS. _

sl
and hence
asl
u(x dSw =
11/ u(x+rw)dS.
u(x)=Wn 8B1
This yields the desired mean-value property.

(ii) Let u E C(12) satisfy the mean-value property. For the smoothness,
we prove that u is equal to the convolution of itself with some smooth

function. To this end, we choose a smooth function b in [0, 1] such that b
is constant in [0, E] and b = 0 in [1 - e,1] for some E E (0,1/2), and
fi
wJ rte'-1b(r) dr = 1.
0
The existence of such a function can be verified easily. Define cp(x) = b(IxI).
Then cp E C(B1) and

cp d x = 1.
B1
Next, we define cob (x) =
cp () for any E> 0. Then supp cpe C B6. We
claim that
u(x) =
Jci
x) dye
for any x E St with dist(x, a12) > E. Then it follows easily that u is smooth.
Moreover, by (4.2.1) and the mean-value property, we have, for any Br(X) C
S2,
Du dy = r"-i ar
This implies Du = 0 in St.
JaBI
u(x -I- rw) dSw = 7'n-1 a (wu(x)) = 0.
108
Now we prove the claim. For any x e SZ and e < dist(x, 81Z), we have,
by a change of variables and the mean-value property,
- x) dy =
=1
=
(x + ez)cp(z) dz
l
ff
u(x + erw)(rw)r1 dSdr

B1
f1
E fB6 u(x +y) P (e ) dy
JB u(x +
b(r)rn-1
J0
u(x + erw) dSw dr

8B1
f1
= u(x)wJ e(r)r"-1 dr = u(x).

0
This proves the claim.

By combining both parts of Theorem 4.2.2, we have the following result.
Corollary 4.2.3. Harmonic functions are smooth and satisfy the meanvalue property.
Next, we prove an interior gradient estimate using the mean-value property.
Theorem 4.2.4. Suppose u E C(BR(xp)) is harmonic in BR(xp) C R.

Then
IVu(xo)I C n max lul.

R BR(So)
We note that Theorem 4.2.4 gives an explicit expression of the constant

C in Theorem 4.1.11.
Proof. Without loss of generality, we assume u E C1(BR (xo)) . Otherwise,

we consider u in Br (xo) for any r <R, derive the desired estimate in Br (xo )
and then let r -+ R. Since u is smooth, L (u) = 0. In other words,

satisfies the mean-value property.
is also harmonic in BR (xo) . Hence
Upon a simple integration by parts, we obtain
n
n
2(
xo =
)
wn R
2n f
u(y) dy
R (x0)
wn R
u(y)vz dS'y
BR (xo )
and hence
(xo)I <
n
WnR
IaBR<lu(y)I ds
n
max
wn RnaBR (xo)
n -max Iui.
IuI.WnR<_
R BR (x0 )
109
When harmonic functions are nonnegative, we can improve Theorem

4.2.4.
Theorem 4.2.5. Suppose u E C(BR(xp)) is a nonnegative harmonic function in BR(xo) C R. These

IV'u(xo)I
This result is referred to as the differential Harnack inequality. It has

many important consequences.
Proof. As in the proof of Theorem 4.2.4, from integration by parts and the
nonnegativeness of u, we have
IC n f
wnR" aBR(xo)
nu(xo),
R
where in the last equality we used the mean-value property.
As an application, we prove the Liouville theorem.
Corollary 4.2.6. Any harmonic function in ][8n bounded from above or

below is constant.
Proof. Suppose u is a harmonic function in Rn with u > c for some constant

c. Then v = u - c is a nonnegative harmonic function in R. Let x E Rn be
an arbitrary point. By applying Theorem 4.2.5 to v in BR(x) for any R> 0,
we have
IC Rv(x)
By letting R -+ oo, we conclude that Vv(x) = 0. This holds for any x E ][8Th.
Hence v is constant and so is u.
As another application, we prove the Harnack inequality, which asserts

that nonnegative harmonic functions have comparable values in compact
subsets.
Corollary 4.2.7. Let u be a nonnegative harmonic function in BR(xp) C

][8Th. Then
u(x) < Cu(y) for any x, y E B 2 (xp),

Proof. Without loss of generality, we assume that u is positive in BR (xo) .
Otherwise, we consider u -I- s for any constants > 0, derive the desired
110
estimate for u + e and then let e -f 0. For any x e BR/2(xo), we have

BR/2(x) C BR(xo). By applying Theorem 4.2.5 to u in BR/2(x), we get
IVu(x)I c
2ri
R u(x),
or
IVlogu(x)I <
For any x, y e BR/2(xp), a simple integration yields

log u(y)
fi
logu(tx + (1 - t)y) dt
J
(x-y).
f1
O logu(tx + (1 - t)y) dt.

0
Since tx + (1 - t)y e BR/2(xo) for any t e [0,1] and Ix - y < R, we obtain

1
log
GG
2n.
Therefore
u(x) <
e2nu(y)
This is the desired result.

In fact, Corollary 4.2.7 can be proved directly by the mean-value property.
Another proof of Corollary 4.2.7. First, we take any B4,.(x) C BR(xo)

and claim that
u(x)
for any x, x E Br(). To see this, we note that Br(x) C B3r(x) C B4r(x) for
any x, x E Br(). Then the mean-value property implies
n
udy <
udy = 3nu x .
ux= n
W nr
Br (x)
W nr
B3r (x)
Next we take r = R/8 and choose finitely many x1,

, xpr e BR/2 (xo )
such that {Br(j)}i covers BR/2 (xo) . We note that B4r (xi) C BR (xo) , for
any i = 1,
, N, and that N is a constant depending only on n.
E BR/2, for some
For any x, y e BR/2 (xo) , we can find x1,
,x
k < N, such that any two consecutive points in the ordered collection of
x, x1,
xk, y belong to a ball in {Br(j)}i. Then we obtain
u(x) < 3nu(x1) < 32nu(x2) <
... <
3nku(xk) < 3n(k+1)u(y)
Then we have the desired result by taking C = 3n(N+1) .
111
As the final application of the mean-value property, we prove the strong

maximum principle for harmonic functions.
Theorem 4.2.8. Let 1 be a bounded domain in Rn and u E C(SZ) be harmonic in 1. Then u attains its maximum and minimum only on 9f unless
u is constant. In particular,
inf u < u < sup u
asp
in IL
asp
Proof. We only discuss the maximum of u. Set M = maxi u and

D={xE1
: u(x)=M}.
C D,
It is obvious that D is relatively closed; namely, for any sequence
if
the continuity of u.
x
xE
Next we show that D is open. For any x0 E D, we take r > 0 such that
Br (x0) C fZ. By the mean-value property, we have
M=u(xO)=wnr
nn
udy<
Br(x0)
n
Wnr n
Mdy=M.
This implies u = M in Br (x0) and hence Br (x0) C D. In conclusion, D is

both relatively closed and open in fZ. Therefore either D = 0 or D = fZ. In
other words, u either attains its maximum only on aSZ or u is constant.
A consequence of the maximum principle is the uniqueness of solutions
of the Dirichlet problem in a bounded domain.
Corollary 4.2.9. Let 1 2 be a bonded domain in I[8n. Then for any f E C(SZ)
and cp E C(81Z), there exists at most one solution u E C2(S2) fl C(SZ) of the
problem
Du = f
u = cp
in S2,
on aSt.
Proof. Let w be the difference of any two solutions. Then Ow = 0 in 1

and w = 0 on E11. Theorem 4.2.8 implies w = 0 in 1.
Compare Corollary 4.2.9 with Lemma 3.2.1, where the uniqueness was
proved by energy estimates for solutions u E C2(1) fl Cl (11).
The maximum principle is an important tool in studying harmonic func-
tions. We will study it in detail in Section 4.3, where we will prove the
maximum principle using the algebraic structure of the Laplace equation
and discuss its applications.
112

One of the important methods in studying harmonic functions is the maximum principle. In this section, we discuss the maximum principle for a
class of elliptic differential equations slightly more general than the Laplace
equation. As applications of the maximum principle, we derive a priori estimates for solutions of the Dirichlet problem, and interior gradient estimates
and the Harnack inequality for harmonic functions.
4.3.1. The Weak Maximum Principle. In the following, we assume SZ

is a bounded domain in R. We first prove the maximum principle for
subharmonic functions without using the mean-value property.
Definition 4.3.1. Let u be a C2-function in St. Then u is a subharmonic

(or superharmonic) function in 1 2 if Du > (or <) 0 in St.
Theorem 4.3.2. Let St be a bounded domain in ][8and u e C2(1t) fl C(St)

be subharmonic in ft Then u attains on 81 2 its maximum in St, i. e.,
max u = max u.
asp
Proof. If u has a local maximum at a point xo in St, then the Hessian matrix
(V2u(xo)) is negative semi-definite. Thus,
Lu(xo) = tr(V2u(xo)) <0.

Hence, in the special case that Du > 0 in 12, the maximum value of u in 12
is attained only on BSt.
We now consider the general case and assume that 1 2 is contained in the
ball BR for some R> 0. For any e > 0, consider
u(x) = u(x) - E(R2 - 1x12).

Then
Dub = Du + 2ns > 2ns > 0 in 1.

By the special case we just discussed, u6 attains its maximum only on aSZ
and hence
max u6 = max u6 .
asp
Then
max u < max u6 + sR2 = max u6 + sR2 < max u + sR2.
asp
asp
We have the desired result by letting s -+ 0 and using the fact that 31 C
SZ.
113
A continuous function in SZ always attains its maximum in 11. Theorem

4.3.2 asserts that any subharmonic function continuous up to the boundary
attains its maximum on the boundary aSZ, but possibly also in ft Theorem
4.3.2 is referred to as the weak maximum principle. A stronger version asserts
that subharmonic functions attain their maximum only on the boundary. We
will prove the strong maximum principle later.
Next, we discuss a class of elliptic equations slightly more general than
the Laplace equation. Let c and f be continuous functions in 1. We consider
Du +cu = f
in S2.
Here, we require u e C2(St). The function c is referred to as the coefficient

of the zeroth-order term. It is obvious that u is harmonic if c = f = 0.
A C2-function u is called a subsolution (or supersolution) if Du + cu > f
(or Du + cu < f). If c = 0 and f = 0, subsolutions (or supersolutions) are

subharmonic (or superharmonic).
Now we prove the weak maximum principle for subsolutions.
Recall that u+ is the nonnegative part of u defined by u+ = max{0, u}.
Theorem 4.3.3. Let S2 be a bounded domain in IESn and c be a continuous

function in SZ with c < 0. Suppose u e C2(S2) fl C(St) satisfies
Du +cu > 0 in 1.
Then u attains on aSZ its nonnegative maximum in SZ, i. e.,
max u < max u+.
-asp
Proof. We can proceed as in the proof of Theorem 4.3.2 with simple modifications. In the following, we provide an alternative proof based on Theorem
4.3.2. Set SZ+ _ {x E S2; u(x) > 0}. If S2+ = fD, then u < 0 in St, so u+ - 0.
If S2+
0, then
Du = Du + cu - cu > -cu > 0
in SZ+ .
Theorem 4.3.2 implies
maxis=maxis=maxis+.
asp
If c - 0 in 1, Theorem 4.3.3 reduces to Theorem 4.3.2 and we can draw

conclusions about the maximum of u rather than its nonnegative maximum.
A similar remark holds for the strong maximum principle to be proved later.
We point out that Theorem 4.3.3 holds for general elliptic differential
equations. Let a23, b2 and c be continuous functions in S1 with c < 0. We
114
assume
a(x)j >
for any x E St and any
z,j=1
for some positive constant A. In other words, we have a uniform positive

lower bound for the eigenvalues of (a) in SZ. For u e C2(St) fl C(St) and
f e C(St), consider the uniformly elliptic equation
n
biu+ cu = f in f
Lu
i,j=1
i=1
Many results in this section hold for uniformly elliptic equations.

As a simple consequence of Theorem 4.3.3, we have the following result.
Corollary 4.3.4. Let St be a bounded domain in I[8n and c be a continuous

function in St with c < 0. Suppose u E C2(St) fl C(St) satisfies
Du + cu > 0
inn,
u<0 on BSZ.
Then u < 0 in SZ.
More generally, we have the following comparison principle.
Corollary 4.3.5. Let St be a bonded domain in 1[8' and c be a continuous

function in St with c < 0. Suppose u, v E C2(SZ) f1 C(SZ) satisfy
Du + cu > Ov + cv inn,
u < v on BSZ.
Then u<v in S2.

Proof. The difference w = u - v satisfies Ow + cw > 0 in SZ and w <0 on
Df Then Corollary 4.3.4 implies w < 0 in f.
0
The comparison principle provides a reason that functions u satisfying
Du + cu > f are called subsolutions. They are less than a solution v of

Ov + cv = f with the same boundary values.
In the following, we simply say by the maximum principle when we apply
Theorem 4.3.3, Corollary 4.3.4 or Corollary 4.3.5.
A consequence of the maximum principle is the uniqueness of solutions
of Dirichlet problems.
Corollary 4.3.6. Let St be a bonded domain in W and c be a continuous

,function in S2 with c < 0. For any f E C(St) and cp E C(D), there exists at
115
most one solution u e C2 (S2) fl C(S2) of
Du + cu = f
in S2,
u = cp
on 852.
Proof. Let u1iu2 E C2(1Z) fl C(Sl) be two solutions. Then w = ul - u2

satisfies
inn,
Ow + cw = 0
w=0
on 0.
By the maximum principle (applied to w and -w), we obtain w = 0 and

hence ul = u2 in 12.
The boundedness of the domain S1 is essential, since it guarantees the

existence of the maximum and minimum of u in ft The uniqueness may
not hold if the domain is unbounded. Consider the Dirichlet problem
Du = 0
in SZ
u=0 on acI,
where St = ][8n \ Bl. Then a nontrivial solution u is given by
flogixi
1 x-1
for n = 2;
for n > 3.
Note that u(x) -+ oo as lxi -3 0o for n = 2 and u is bounded for n > 3.

Next, we consider the same problem in the upper half-space SZ = {x E I[8
xn > 0}. Then u(x) = xis a nontrivial solution, which is unbounded.

These examples demonstrate that uniqueness may not hold for the Dirichlet
problem in unbounded domains. Equally important for uniqueness is the

x (0, it) C ][8n,
condition c < 0. For example, we consider S2 = (0, it) x
and
u(x) _
sin x.
z=1
Then u is a nontrivial solution of the problem
inn,
u=0 on acI.
Du + nu = 0
In fact, such a u is an eigenfunction of 0 in SZ with zero boundary values.
116
4.3.2. The Strong Maximum Principle. The weak maximum principle

asserts that subsolutions of elliptic differential equations attain their nonnegative maximum on the boundary if the coefficients of the zeroth-order
term is nonpositive. In fact, these subsolutions can attain their nonnegative
maximum only on the boundary, unless they are constant. This is the strong
maximum principle. To prove this, we need the following Hopf lemma.
For any C1-function u in SZ that attains its maximum on 31, say at
xo E 31, we have av (xO) > 0. The Hopf lemma asserts that the normal
derivative is in fact positive if u is a subsolution in fZ.
Lemma 4.3.7. Let B be an open ball in l[8n with xo E aB and c be a

continuous function in B with c < 0. Suppose u E C2(B) fl Cl(B) satisfies
Du + cu > 0 in B.
Assume u(x) < u(xo) for any x E B and u(xo) > 0. Then
0'
where v is the exterior unit normal to B at xp.
Proof. Without loss of generality, we assume B = BR for some R> 0. By

the continuity of u up to DBR, we have
u(x) < u(xo)
for any x E BR.
For positive constants a and E to be determined, we set
w(x) =
e-R2
and
v(x) = u(x) - u(x0) + EW(x).

We consider wand v in D = BR \ BR!2.
Figure 4.3.1. The domain D.
117
A direct calculation yields

Ow -I- cw =
>
e-alxl2
(42112 - 2na + c - ce-R2
e-alxl2C4a21x12
- 2na -I- c
where we used c < 0 in BR. Since R/2 < x < R in D, we have

Ow -I- cw >
e-alxl2
(a2R2 - 2na + c) > 0
in D,
if we choose a sufficiently large. By c < 0 and u(xo) > 0, we obtain, for any
L\v + cv = Du + cu + E(L\w -}- cw) - cu(xp) > 0 in D.
We discuss v on 8D in two cases. First, on aBR/2i we have u - u(xo) <0,
and hence u - u(xo) < - for some
> 0. Note that w < 1 on aBR/2.
Then for such an , we obtain v <0 on 8BR/2. Second, for x E BBR, we

have w(x) = 0 and u(x) < u(xo). Hence v(x) < 0 for any x E 8BR and
v(xo) = 0. Therefore, v < 0 on 8D.
In conclusion,
Ov + cv > 0 in D,
v<0 on DD.
By the maximum principle, we have
v<0 in D.
In view of v(x0) = 0, then v attains at x0 its maximum in D. Hence, we
obtain
-(xO)
0,
and then
8u(xo)
> -Eaw(xo) =
8v
av
0.
Remark 4.3.8. Lemma 4.3.7 still holds if we substitute for B any bounded
C1-domain which satisfies an interior sphere condition at x0 E DSZ, namely,
if there exists a ball B C SZ with x0 E DB. This is because such a ball B
is tangent to DSZ at x0. We note that the interior sphere condition always
holds for C2-domains.
Now, we are ready to prove the strong maximum principle.
Theorem 4.3.9. Let SZ be a bounded domain in ][8n and c be a continuos

function in SZ with c < 0. Suppose u E C2(SZ) fl C(SZ) satisfies
Du + cu > 0
in ft
118
Figure 4.3.2. Interior sphere conditions.
Then u attains only on D1 its nonnegative maximum in SZ unless u is a

constant.
Proof. Let M be the nonnegative maximum of u in Sl and set

D = {x E
u(x) = M}.
We prove either D = 0 or D = S2 by a contradiction argument. Suppose D
is a nonempty proper subset of ft It follows from the continuity of u that
D is relatively closed in ft. Then S2 \ D is open and we can find an open ball
D
B c 1\D D such that 8B fl D # 0. In fact, we may choose a point x* E 1\D
with dist(x*, D) < dist(x*, 812) and then take the ball centered at x* with
radius dist(x*, D). Suppose xo E 8B fl D.
:
Figure 4.3.3. The domain Sl and its subset D.
Obviously, we have
Du + cu > 0 in B,
and
u(x) < u(xo)
for any x E B and u(xo) = M > O.
By Lemma 4.3.7, we have
8v(x0) '
0'
119
where v is the exterior unit normal to B at xo. On the other hand, xo is

an interior maximum point of SZ . This implies Du (xo) = 0, which leads to a
contradiction. Therefore, either D = 0 or D = S1. In the first case, u attains
only on aSZ its nonnegative maximum in 1; while in the second case, u is
constant in 1.
The following result improves Corollary 4.3.5.
Corollary 4.3.10. Let St be a bounded domain in I[8" and c be a continuous

function in St with c < 0. Suppose u E C2(11) fl C(SZ) satisfies
Du + cu > 0
in S2,
u<0 on D11.
Then either u < 0 in SZ or u is a nonpositive constant in 11.
We now consider the Neumann problem.
Corollary 4.3.11. Let St be a bounded C' -domain in ][8" satisfying the

interior sphere condition at every point of aSZ and c be a continuous function
in SZ with c < 0. Suppose u E C2(11) fl Cl(SZ) is a solution of the boundaryvalue problem
Du -I- cu = f
au - cp
av
in St,
on BSZ,
for some f E C(St) and cp E C(aSZ). Then u is unique if c

up to additive constants if c - 0.
0 and is unique
Proof. We assume f = 0 in 1 and p = 0 on aSZ and consider

Du -+- cu = 0
au
Si)
in 1,
= 0 on aSZ.
We will prove that u = 0 if c 0 and that u is constant if c - 0.

We first consider the case c
0 and prove u = 0 by contradiction.
Suppose u has a positive maximum at xo E 1. If u is a positive constant,
then c - 0 in 1, which leads to a contradiction. If u is not a constant, then
xo E aSZ and u (x) 0, which contradicts the homogeneous boundary
condition. Therefore, u has no positive maximum and hence u < 0 in 1.

Similarly, -u has no positive maximum and then u > 0 in 1. In conclusion,
u = 0 in 1.
We now consider the case c - 0. Suppose u is a nonconstant solution.
Then its maximum in SZ is attained only on 511 by Theorem 4.3.9, say at xo E
120
aSZ. Lemma 4.3.7 implies a (xo) > 0, which contradicts the homogeneous
LI
boundary value. This contradiction shows that u is constant.
4.3.3. A Priori Estimates. As we have seen, an important application of

the maximum principle is to prove the uniqueness of solutions of boundaryvalue problems. Equally or more important is to derive a priori estimates.
In derivations of a priori estimates, it is essential to construct auxiliary

functions. We will explain in the proof of the next result what auxiliary
functions are and how they are used to yield necessary estimates by the
maximum principle. We point out that we need only the weak maximum
principle in the following discussion.
We now derive an a priori estimate for solutions of the Dirichlet problem.
Theorem 4.3.12. Let 1 2 be a bounded domain in ]IBn, c and f be continuous

functions in St with c < 0 and cp be a continuous function on 852. Suppose
U E C2(12) fl C(St) satisfies
Du + cu = f in St,
u = cp
on aSl.
Then
sup ui < sup kol + Csup If I
asp
where C is a positive constant depending only on n and diam(St).
Proof. Set
F=suplfl, 4=supIcpl
s
asp
Then
(t+c)(u)=f -F in1,
fu = fcp
on 852.
Without loss of generality, we assume St C BR, for some R> 0. Set
> 0 in 1 since BR C ft Then, by the property c < 0 in 1,
we have
Ov+cv = -F+cv <-F.

We also have v >
on DIZ. Hence v satisfies
Ov+cv<-F in1,
v>4 onc91.
121
Therefore,
(L+c)(u) > (L+c)v
fu < v
in S2,
on BSZ.
By the maximum principle, we obtain
fu < v
in St,
and hence u < v in 12. Therefore,
Ifor any x E SZ.

0

If St = BR(xo), then we have
sup u < sup
BR (X0 )
R2
cp P +
8BR (Xo )
sup
2n BR (X0
f.
This follows easily from the proof.

The function v in the proof above is what we called an auxiliary function.
In fact, auxiliary functions were already used in the proof of Lemma 4.3.7.
4.3.4. Gradient Estimates. In the following, we derive gradient estimates, estimates of first derivatives. The basic method is to derive a differential equation for Vu 12 and then apply the maximum principle. This is
the Bernstein method.
There are two classes of gradient estimates, global gradient estimates
and interior gradient estimates. Global gradient estimates yield estimates
of gradients Du in 1 in terms of Du on 91, as well as u in 1, while interior
gradient estimates yield estimates of Du in compact subsets of 1 in terms
of u in 1. In the next result, we will prove the interior gradient estimate for
harmonic functions. Compare with Theorem 4.1.11 and Theorem 4.2.4.
Theorem 4.3.13. Suppose u E C(B1) is harmonic in B1. Then

sup Du < C sup u ,
B1
8B1
Proof. Recall that u is smooth in B1 by Theorem 4.1.10. A direct calculation yields

n
2,j=1
+2
0(iouI2) = 2
2
2=1
2,j=1
where we used Du = 0 in B1. We note that Vu 2 is a subharmonic function.

Hence we can easily obtain an estimate of Du in B1 in terms of Du on DB1.
122
This is the global gradient estimate. To get interior estimates, we need to

introduce a cutoff function. For any nonnegative function cp E Co(Bl), we
have
n
o('IouI2) = (o)IVuI2 +4
7''xiuxjuxixj +
i,j=1
?,j=1
By the Cauchy inequality, we get

2
4 I (0xi ux j uxi x j I < 27' uxi x
+ rn- 7' xi ux
Then
0. To interpret
E Co(Bl). Then
IVuI2 > -CIDuI2,
We note that the ratio VcpI2/cp makes sense only when cp
this ratio in Bl, we take cp = 2 for some
(7l2IVuI2) > (2zr -
where C is a positive constant depending only on
and n. Note that
0(u2) = 2IDuI2 + 2uDu = 2IVuI2,

since u is harmonic. By taking a constant a large enough, we obtain
(7l2IVuI2 + au2) > (2a - C)IDuI2 > 0.
au2) <
Bl
au2).
8B1
In choosing E Co (Bl), we require in addition that r - 1 in B112. With

= 0 on 8B1i we get
sup IVuI2 < cx sup u.
B112
0B1
This is the desired estimate.

As consequences of interior gradient estimates, we have interior estimates
on derivatives of arbitrary order as in Theorem 4.1.12 and the compactness
as in Corollary 4.1.13. The compactness result will be used later in Perron's
method.
Next we derive the differential Harnack inequality for positive harmonic
functions using the maximum principle. Compare this with Theorem 4.2.5.
Theorem 4.3.14. Suppose u is a positive harmonic function in Bl. Then

sup D log u
C,
B112
123
Proof. Set v = log u. A direct calculation yields
Ov = -IOvI2.
Next, we prove an interior gradient estimate for v. By setting w = IVvI2,
we get
Ow + 2
n
vx i x j .
vxi wxi = 2
2,j=1
2=1
As in Theorem 4.3.13, we need to introduce a cutoff function. First, by

2
n
vxi xi
n
2
vxi
xi ,
CT
i=1
i=1
we have
n
2n
vxixj >
(4.3.1)
i=1
i, j=1
2
vxixi
> - (ov)2
n
Ivvl4
w2
Take a nonnegative function cp E Co (Bl). A straightforward calculation

yields
n
0(cow) + 2
v2ix
vxi (pw)xi =
+4
i,j=1
i=1
xivxj vxixj
i,j=1
+2w
xivxi + ()w.
i=1
The Cauchy inequality implies

2
(n
4 17' xi vxj vxi x j
2
pvxi
x j+
vx j.
Then
n
(w) + 2
v (w) >
v. - 2IVIIVvI3
z,j=1
z=1
+ (o _
41
l21
IovI2
in the right-hand side instead of dropping

Here we keep one term of
it entirely as in the proof of Theorem 4.3.13. To make sense of IVcpI2/cp in
Bl, we take cp = rfor some r E Co(Bl). In addition, we require that r = 1

in B112. We obtain, by (4.3.1),
n
0(i14w) +
i=1
87I3IV1'IIIVvI3 +
131 01I2)IVvl2.
124
We note that the right-hand side can be regarded as a polynomial of degree

4 in
with a positive leading coefficient. Other coefficients depend on
i and hence are bounded functions of x. For the leading term, we save half
of it for a later purpose. Now,
2n t4
- 8IVIt3 + 4(- 131
-C for any t E ILB,
where C is a positive constant depending only on n and
t=
Hence with
we get
n
O (4w)
v (4w)
>
z=1
2n
4w2
- C.
We note that q4w is nonnegative in Bl and zero near 8B1. Next, we assume
that r/4w attains its maximum at xo E Bl. Then
0 and 0(r74w) <
0 at xo. Hence
4w2(xo) <C.
If w(xo) > 1, then

C. Otherwise
ing these two cases, we obtain
q4w < C*
ii4(xo). By combin-
in B1,
where C* is a positive constant depending only on n and i. With the

definition of w and i = 1 in B112, we obtain the desired result.
The following result is referred to as the Harnack inequality. Compare

it with Corollary 4.2.7.
Corollary 4.3.15. Suppose u is a nonnegative harmonic function in Bl.

Then
u(xl) < Cu(x2) for any X1, X2 E B112,

The proof is identical to the first proof of Corollary 4.2.7 and is omitted.
We note that u is required to be positive in Theorem 4.3.14 since log u is
involved, while u is only nonnegative in Corollary 4.3.15.
The Harnack inequality describes an important property of harmonic
functions. Any nonnegative harmonic functions have comparable values in
a proper subdomain. We point out that the Harnack inequality in fact

implies the strong maximum principle: Any nonnegative harmonic function
in a domain is identically zero if it is zero somewhere in the domain.
125
4.3.5. Removable Singularity. Next, we discuss isolated singularity of

harmonic functions. We note that the fundamental solution of the Laplace
operator has an isolated singularity and is harmonic elsewhere. The next
result asserts that an isolated singularity of harmonic functions can be removed, if it is "better" than that of the fundamental solution.
Theorem 4.3.16. Suppose u is harmonic in BR \ {0} C Il8and satisfies

u(x) _
Jo(logx), n=2, as x -4 0.
lo(1x12_Th), n> 3
Then u can be defined at 0 so that it is harmonic in BR.
Proof. Without loss of generality, we assume that u is continuous in 0 <
x <R. Let v solve

Ov = 0 in BR,
v=u on aBR.
The existence of v is guaranteed by the Poisson integral formula in Theorem
4.1.9. Set M = maxaBR
We note that the constant functions fM are
obviously harmonic and -M < v < M on aBR. By the maximum principle,
we have -M < v < M in BR and hence,
lvl< M in BR.
Next, we prove u =vin BR \ {0}. Set w = v - u in BR \ {0} and MT =
maxas,. wi for any r <R. We only consider the case n > 3. First, we have
rn-2
<W(X)<Mr'
Mr
for any x e aBr U aBR. It holds on BBr by the definition of Mr and on
aBR since w = 0 on aBR. Note that w and IxI2-n are harmonic in BR \ B,..
Then the maximum principle implies
rn-2
rn-2
xl n-2'
IxI
and hence
rn-2
Iw(X)IMr
xl n-2'
for any x e BR \ B,.. With
M,. = max v - u < max v + max iuI <M + max

asr
asr
asr
asr
we then have
rn-2
ic Ixln-2M+ IxIri_2
(r2maxiui),
126
0, we taker < lxi and then let

r -+ 0. By the assumption on u, we obtain w(x) = 0. This implies w = 0
O
and hence u =vin BR \ {0}.
for any x E BR \ B,.. Now for each fixed x
4.3.6. Perron's Method. In this subsection, we solve the Dirichlet problem for the Laplace equation in bounded domains by Perron's method. Essentially used are the maximum principle and the Poisson integral formula.
The latter provides the solvability of the Dirichlet problem for the Laplace
equation in balls.
We first discuss subharmonic functions. By Definition 4.3.1, a C2function v is subharmonic if Ov > 0.
Lemma 4.3.17. Let S2 be a domain in Il8n and v be a C2-function in SZ.

Then Ov > 0 in S2 if and only if for any ball B C S2 and any harmonic
function w E C(B),
v < w on aB implies v < w in B.
Proof. We first prove the only if part. For any ball B C S2 and any
harmonic function w E C(B) with v < w on aB, we have
Ov > Ow in B,
v < w on 8B.
By the maximum principle, we have v < w in B.
Now we prove the if part by a contradiction argument. If Ov < 0

somewhere in I, then Ov < 0 in B for some ball B with B C ft Let w
solve
Ow = 0 in B,
w = v on aB .
The existence of w in B is implied by the Poisson integral formula in Theorem 4.1.9. We have v <w in B by the assumption. Next, we note that
Ow = 0 > Ov in B,
w=v on aB.
We have w <v in B by the maximum principle. Hence v = w in B, which
contradicts Ow > Ov in B. Therefore, Ov > 0 in SZ.
El
Lemma 4.3.17 leads to the following definition.
Definition 4.3.18. Let S2 be a domain in Il8n and v be a continuous function

in SZ. Then v is subharmonic (superharmonic) in St if for any ball B C S2
and any harmonic function w E C(B),
v < (>) w on aB implies v < (>) w in B.
127
We point out that in Definition 4.3.18 subharmonic (superharmonic)

functions are defined for continuous functions. We now prove a maximum
principle for such subharmonic and superharmonic functions.
Lemma 4.3.19. Let St be a bounded domain in ][8n and u, v E C(S2). Suppose u is subharmonic in 12 and v is superharmonic in St with u < v on aS2.
Then u < v in St.
Proof. We first note that u - v <0 on 852. Set M =
v) and
D={xEII: u(x)-v(x)=M}C11.
Then D is relatively closed by the continuity of u and v. Next we prove that
D is open. For any xo E D, we taker < dist(xo, 811). Let u and v solve,
respectively,
Lu=0 inB(xo),
u =u on aBr(xp),
and
z=0 0
in Br(xp),
v = v on aBr(xp).
The existence of u and v in Br(xo) is implied by the Poisson integral formula

in Theorem 4.1.9. Definition 4.3.18 implies
i<v inB(xo).
Hence,
2 -v u-v In Br(xp).
Next,
z(u-'i)=O inB(xo),
-1=u-v onaB(xo).
With u - v < M on aB,.(xo), the maximum principle implies u - v < M in
BT(xp). In particular,
Hence, (u - v)(xo) = M and then u - v has an interior maximum at xo. By
the strong maximum principle, u - v -Min BT(xo). Therefore, u - v = M
on 8Br(xo). This holds for any r < dist(xo, 812). Then, u-v =Min B,.(xo)
and hence Br(xo) C D. In conclusion, D is both relatively closed and open
in 12. Therefore either D = Ql or D = 12. In other words, u - v either attains
its maximum only on aS2 or u - v is constant. Since u < v in BSZ, we have
D
u < v in 11 in both cases.
128
The proof in fact yields the strong maximum principle: Either u < v in
St or u - v is constant in SZ.
Next, we describe Perron's method. Let SZ be a bounded domain in
I[8n and cp be a continuous function on BSt. We will find a function u E
C(St) fl C(St) such that
Du = 0
(4.3.2)
u = cP
in SZ,
on Dt
Then for any v E C(SZ) which is

Suppose there exists a solution u =
subharmonic in SZ with v < P on au, we obtain, by Lemma 4.3.19,
inf
Hence for any x E SZ
u(x) =sup{v(x) : v E C(S2) is subharmonic in St

and v < P on DSZ } .
We note that the equality holds since u is obviously an element of the set
in the right-hand side. Here, we assumed the existence of the solution u.
In Perron's method, we will prove that the function u defined in (4.3.3) is
indeed a solution of (4.3.2) under appropriate assumptions on the domain.
The proof consists of two steps. In the first step, we prove that u(), is
harmonic in SZ. This holds for arbitrary bounded domains. We note that u
in (4.3.3) is defined only in SZ. So in the second step, we prove that u() has
a limit on au and this limit is precisely gyp. For this, we need appropriate
assumptions on Dt
Before we start our discussion of Perron's method, we demonstrate how
to generate greater subharmonic functions from given subharmonic functions.
Lemma 4.3.20. Let v e C(SZ) be a subharmonic function in St and B be a

ball in 12 with B C 12. Let w be defined by
w=v inSZ\B,
and
Ow=O in B.
Then w is a subharmonic function in 12 and v < w in 12.
The function w is called the harmonic lifting of v (in B).
Proof. The existence of w in B is implied by the Poisson integral formula

in Theorem 4.1.9. Then w is smooth in B and is continuous in f We also
have v < w in B by Definition 4.3.18.
129
Next, we take any B' with B' C SZ and consider a harmonic function
u e C(B') with w < u on DB'. By v < w on DB', we have v <u on DB'.
Then, v is subharmonic and u is harmonic in B' with v < u on DB'. By
Lemma 4.3.19, we have v < u in B'. Hence w < u in B' \ B. Next, both w
and u are harmonic in B f1 B' and w < u on 5(B f1 B'). By the maximum
principle, we have w < u in B f1 B'. Hence w < u in B'. Therefore, w is
subharmonic in SZ by Definition 4.3.18.
Lemma 4.3.20 asserts that we obtain greater subharmonic functions if

we preserve the values of subharmonic functions outside the balls and extend
them inside the balls by the Poisson integral formula.
Now we are ready to prove that u in (4.3.3) is a harmonic function in
Lemma 4.3.21. Let S2 be a bounded domain in ][8' and cp be a continuous

function on 852. Then u defined in (4.3.3) is harmonic in SZ.
Proof. Set
S,={v: v E C(S2) is subharmonic in SZ and v < cp on 8St}.
Then for any x E SZ,
u(x) =sup{v(x) : v e
In the following, we simply write <S =
Step 1. We prove that u is well defined. To do this, we set

m = min co,
812
M=maxco.
asp
We note that the constant function m is in s and hence the set s is not
empty. Next, the constant function M is obviously harmonic in SZ with
co < M on 511. By Lemma 4.3.19, for any v e s,
v<M inf
Thus u is well defined and u <M in 11.
Step 2. We prove that s is closed by taking maximum among finitely
, v E s and set
many functions in S. We take arbitrary vl ,
v=max{vl, ,vk}.
It follows easily from Definition 4.3.18 that v is subharmonic in 11. In fact,
we take any ball B C SZ and any harmonic function w e C(B) with v < w
, k. Since v2 is subharmonic, we
on SB. Then v2 <w on SB, for i = 1,
get v2 <w in B, so v < w in B. We conclude that v is subharmonic in 11.
Hence v E s.
130
Step 3. For any Br (x0) C SZ, we prove that u, is harmonic in Br (x0)

First, by the definition of u(,c, there exists a sequence of functions vi E s
such that
lira vi (xo) =
i-+oo
We point out that the sequence {vi} depends on x0. We may replace vi
above by any v2 E s with v2 > v2 since
vi (x0) < ?Ii (x0) < u (x0) .
Replacing, if necessary, vi by max{m, v} E s, we may also assume
m < vi <
in ft
Z.
For the fixed Br(x0) and each vi, we let wi be the harmonic lifting in Lemma
4.3.20. In other words, wi = vi in 1 \ Br (x0) and Owi = 0 in Br (x0) . By
Lemma 4.3.20, wi E s and vi < wi in fZ. Hence,
lim wi (xo) =
i-+oo
and
m < wi < u in 1 ,
for any i = 1, 2,
In particular, {w} is a bounded sequence of harmonic
functions in Br (x0) . By Corollary 4.1.13, there exists a harmonic function w
in Br (x0) such that a subsequence of {w}, still denoted by {w}, converges

to w in any compact subset of Br (x0) . We then conclude easily that
w < u in Br (x0) and w (x0) = u (x0) .

We now claim u = w in Br (x0) To see this, we take any x E Br (x0) and
proceed similarly as before, with x replacing x0. By the definition of u(,c,
there exists a sequence of functions vi E s such that
lim vi (x) =
.
i-+oo
Replacing, if necessary, vi by max{vi, wi} E s, we may also assume

wi < vi < u(p
in ft
Z.
For the fixed Br(x0) and each vi, we let wi be the harmonic lifting in Lemma
4.3.20. Then, wi E s and vi < wi in 1. Moreover, wi is harmonic in Br (x0)
and satisfies
lim wi (x) =
i-oo
and
m < wz < vz < w2 < u inn,

for any i = 1, 2, . By Corollary 4.1.13, there exists a harmonic function
zu in Br(X) such that a subsequence of zuz converges to w in any compact
subset of B,.(xo). We then conclude easily that
w < w < u in Br(X) and w(xo) = w(xo) =
131
and
w(x) =
Next, we note that w-w is a harmonic function in B,.(xo) with a maximum
attained at xp. By applying the strong maximum principle tow - win

Br(xo), we conclude that w - iu is constant, which is obviously zero. This
implies w =win B,.(xo), and in particular, w(x) = w(x) =
We
then have w = u, in B,.(xo) since x is arbitrary in B,.(xo). Therefore, u,, is

harmonic in B,.(xo).
We note that u in Lemma 4.3.21 is defined only in ft. We have to

discuss limits of u( x) as x approaches the boundary. For this, we need to
impose additional assumptions on the boundary aSt.
Lemma 4.3.22. Let cp be a continuous function on 8St and u be the function defined in (4.3.3). For some xo E aS2, suppose woo E C(SZ) is a subharmonic function in S2 such that
(4.3.4)
woo (xo) = 0,
woo (x) <0 for any x e 81Z \ {xo}.
Then
Imo
Proof. As in the proof of Lemma 4.3.21, we set
S _ {v: v e C(St) is subharmonic in SZ and v <p on 8SZ}.
We simply write w =woo and set M = maxa

Let E be an arbitrary positive constant. By the continuity of cp at xp,
there exists a positive constant S such that
ko(x) - p(xo)
for any x e aSZ fl Bb(xo). We then choose K sufficiently large so that
-Kw(x)
2M,
for any x e 8St \ Bb(xo). Hence,
ko-2(xo)IE-Kw on a.
Since cp(xo)-e+Kw(x) is a subharmonic function in SZ with cp(xo)-E+Kw <
cp on BSZ, we have cp(xo) - e + Kw E S. The definition of u implies
p(xo)-E+Kw<u, inn.
On the other hand, cp(xo) + E - Kw is a superharmonic in SZ with cp(xo) +
E - Kw > cp on SZ. Hence for any v e
we obtain, by Lemma 4.3.19,
v<p(xo)+E-Kw inft
132
Again by the definition of u(p, we have
u, <p(xO) + E - Kw in
Therefore,
This implies
I- cp(xo)I < E.
lim sup
x-*xo
We obtain the desired result by letting e -4 0.
The function woo satisfying (4.3.4) is called a barrier function. As shown

in the proof, woo provides a barrier for the function u, near xo.
We note that u, in Lemma 4.3.21 is defined only in St. It is natural
cp(xo) for xo E 852. If (4.3.4) is
to extend u(p to 8St by defining
satisfied for xo, Lemma 4.3.22 asserts that u, is continuous at xo. If (4.3.4)
is satisfied for any xo E BSZ, we then obtain a continuous function u, in S2.
Barrier functions can be constructed for a large class of domains St.
Take, for example, the case where f satisfies the exterior sphere condition
at xo E aSt in the sense that there exists a ball B,.o (yo) such that
f2 n Br (Yo) _ 0,
SZ n BTO (yo) _ {xO}.
To construct a barrier function at xo, we set
woo (x) = I'(x - yo) - I'(xp - yp)
for any x E S2,
where I' is the fundamental solution of the Laplace operator. It is easy to

see that woo is a harmonic function in St and satisfies (4.3.4). We note that
the exterior sphere condition always holds for C2-domains.
Figure 4.3.4. Exterior sphere conditions.
Theorem 4.3.23. Let S2 be a bounded domain in ][8n satisfying the exterior

sphere condition at every boundary point. Then for any cp E C((9S2), (4.3.2)
admits a solution u E CO(12) fl C(12).
133
In summary, Perron's method yields a solution of the Dirichlet problem

for the Laplace equation. This method depends essentially on the maximum
principle and the solvability of the Dirichlet problem in balls. An important
feature here is that the interior existence problem is separated from the
boundary behavior of solutions, which is determined by the local geometry
of domains.

In this section, we discuss briefly the Poisson equation. We first discuss
regularity of classical solutions using the fundamental solution. Then we
discuss weak solutions and introduce Sobolev spaces.
4.4.1. Classical Solutions. Let SZ be a domain in W` and f be a continuous function in SZ. The Poisson equation has the form
Du = f
(4.4.1)
inn.
If u is a smooth solution of (4.4.1) in SZ, then obviously f is smooth. Con-
versely, we ask whether u is smooth if f is smooth. At first glance, this

does not seem to be a reasonable question. We note that Du is just a linear
combination of second derivatives of u. Essentially, we are asking whether
all partial derivatives exist and are continuous if a special combination of
second derivatives is smooth. This question turns out to have an affirmative
answer.
To proceed, we define
(4.4.2)
w f(x)
F(x - y)f(y) dy,
where F is the fundamental solution of the Laplace operator as in Definition

4.1.1. The function W f is called the Newtonian potential of f in f We will
write w f, to emphasize the dependence on the domain f It is easy to see

that W f is well defined in W if SZ is a bounded domain and f is a bounded
function, although F has a singularity. We recall that the derivatives of F
have asymptotic behavior of the form
vr(x - y)
Ix_In_1' v2r(x - y)
x-y
as y -+ x. By differentiating under the integral sign formally, we have

DxZw f(x) =
D F(x - y)f(y) dy,
for any x e W1 and i = 1,
, n. We note that the right-hand side is a

well-defined integral and defines a continuous function of x. We will not
use this identity directly in the following and leave its proof as an exercise.
Assuming its validity, we cannot simply differentiate the expression of Dxi w f
134
F. In fact, extra
to get second derivatives of W f due to the singularity of
conditions are needed in order to infer that W f is C2. If W f is indeed CZ and
Ow f =fin Sl, then any solution of (4.4.1) differs from W f by an addition
of a harmonic function. Since harmonic functions are smooth, regularity of
arbitrary solutions of (4.4.1) is determined by that of W f.
Lemma 4.4.1. Let 1 2 be a bonded domain in 12, f be a bounded function in
for some integer
1 2 and W f be defined in (4.4.2). Assume that f E
k > 2. Then W f E Ck(S2) and Ow f =fin 12. Moreover, if f is smooth in

12, then W f is smooth in ft
Proof. For brevity, we write w = W f.

We first consider a special case where f has a compact support in St.
For any x E 12, we write
w(x) =f F(x-y)f(y)dy.
We point out that the integration is in fact over a bounded region. Note that
I' is evaluated as a function of x - yI. By the change of variables z = y - x,
we have
w(x) _
I'(z) f (z + x) dz.
Rn
By the assumption, f is at least Cl. By a simple differentiation under the

integral sign and an integration by parts, we obtain
w( x) =
I'(z) f(z + x) dz =
I'(z) fx (z + x) dz
_ -f I'zy (z) f (z -I- x) dz.

n
For f E
for some k > 2, we can differentiate under the integral
sign to get
fn
Fzi (z)aa f (z + x) dz,
for any a E Z+ with al < k - 1. Hence, w is Ck in 1. Moreover, if f is

smooth in 1, then w is smooth in 1. Next, we calculate Ow if f is at least
C'. For any x E 1, we have
n
Ow(x) =
(x) = i=1
Rn
Fzi (z)fzi (z
i=1
= - lim
e-*O R \B i=1
Fzi (z) fzi (z
x) dz.
x) dz
135
We note that f(. +x) has a compact support in ][8Th. An integration by parts
implies
Ow(x) _
(z)f (z + x) dSz,
- E o Jaaf 8v
where v is the unit exterior normal to the boundary 8BE of the domain
][8" \ BE, which points toward the origin. With r = Izi, we obtain
Ow(x) = Eo
aaE
= lim
ar
W1
1
(z)f(z + x) dSz
aJ6 f(z -I- x) dSz = f(x),
by the explicit expression of F.

Next, we consider the general case. For any xo E St, we prove that w
is C' and Ow = f in a neighborhood of xo. To this end, we taker G

dist(xo, aSt) and a function cp E Co (B,.(xo)) with cp - 1 in B,.12(x0). Then
we write
w(x) = f I'(x - y) (1- P(y)) 1(y)
f r(x t
(y)
= wl(x) + wll(x).
The first integral is actually over 1 2 \ B,.12 (xo) since cp - 1 in B,.12 (xo) . Then
there is no singularity in the first integral if we restrict x to Br14(xo). Hence,
wj is smooth in Br/4(xo) and Owj = 0 in Br14(xo). For the second integral,
cp f is a C1-1-function of compact support in ft We can apply what we just
proved in the special case to cp f. Then w jI is C' in 1 2 and OwII = cp f.

Therefore, w is a C1-function in B,.14(xo) and
Ow(x) = 'p(x)f(x) = f(x),

for any x E B,./4(xo). Moreover, if f is smooth in St, so are wII and w in
Lemma 4.4.1 is optimal in the C-category in the sense that the smoothness of f implies the smoothness of W f. However, it does not seem optimal
concerning finite differentiability. For example, Lemma 4.4.1 asserts that
W f is C2 in St if f is Cl in St. Since f is related to second derivatives of wf,
it seems natural to ask whether W f is C2 in St if f is continuous in St. We
will explore this issue later.
We now prove a regularity result for general solutions of (4.4.1).
Theorem 4.4.2. Let 1 2 be a domain in Il8n and f be continuous in ft Sup-
pose u E CZ(St) satisfies Du =fin ft If f E Ck-1(1t) for some integer

k > 3, then u E C'(St). Moreover, if f is smooth in 1, then u is smooth in
ft
136
Proof. We take an arbitrary bounded subdomain 1' in 1 and let w 1,c' be
the Newtonian potential of f in SZ'. By Lemma 4.4.1, if f E C'() for

some integer k > 3, then w f,cl' is Cc in 1' and Ow f,ci' = f in SZ'. Now we
set v = u - w f,cl' . Since u is C2 in SZ', so is v. Then, Ov = Du - Ow f,cl/ = 0
in ft'. In other words, v is harmonic in SZ', and hence is smooth in 1' by
Theorem 4.1.10. Therefore, u = v + w f,cl' is Cc in SZ'. It is obvious that if
f is smooth in 1, then w1,' and hence u are smooth in SZ'.
Theorem 4.4.2 is an optimal result concerning the smoothness. Even

though Du is just one particular combination of second derivatives of u, the
smoothness of Du implies the smoothness of all second derivatives.
Next, we solve the Dirichlet problem for the Poisson equation.
Theorem 4.4.3. Let 1 be a bounded domain in ]Rn satisfying the exterior

sphere condition at every boundary point, f be a bounded Cl function in
S1 and cp be a continuous function on of Then there exists a solution
u E C2 (1Z) f1 C(Z) of the Dirichlet problem
Du = f in 1,
u=cp onaf
Moreover, if f is smooth in SZ, then u is smooth in 11.
Proof. Let w be the Newtonian potential of f in SZ. By Lemma 4.4.1 for

k = 2, w E C2(SZ) fl C(S2) and Ow =fin SZ. Now consider the Dirichlet
problem
Ov = 0
inn,
v = cp -w on BSt.
Theorem 4.3.23 implies the existence of a solution v E C(1) fl C(St). (The
exterior sphere condition is needed in order to apply Theorem 4.3.23.) Then
u = v + w is the desired solution of the Dirichlet problem in Theorem 4.4.3.
If f is smooth in SZ, then u is smooth there by Theorem 4.4.2.
Now we raise a question concerning regularity of the lowest order in the
classical sense. What is the optimal assumption on f to yield a C2-solution
u of (4.4.1)? We note that the Laplace operator O acts on C2-functions

and Du is continuous for any C2-function u. It is natural to ask whether
the equation (4.4.1) admits any C2-solutions if f is continuous. The answer
turns out to be negative. There exists a continuous function f such that

(4.4.1) does not admit any C2-solutions.
Example 4.4.4. Let f be a function in Bi C Il82 defined by f(0) = 0 and
x -x f
f(x) = 21x12 1
(_logx)h/2 + 4(-log Ixl)3/2 J'
137
for any x E Bl \ {0}. Then f is continuous in Bl. Consider
Du = f in B1.
(4.4.3)
Define u in Bl by u(0) = 0 and
u(x) _ (xi - x2)(-log xI)1/2,

for any x E Bl \ {0}. Then u E C(B1) fl C(Bl \ {0}). A straightforward
calculation shows that u satisfies (4.4.3) in Bl \ {0} and
lim
u is not in C2(B1). Next, we prove that (4.4.3) has no C2-solutions.

The proof is based on Theorem 4.3.16 concerning removable singularities
of harmonic functions. Suppose, to the contrary, that there exists a C2solution v of (4.4.3) in Bl. For a fixed R E (0, 1), the function w = u - v
is harmonic in BR \ {0}. Now u E C(BR) and v E C2(BR), so w E C(BR).
Thus w is continuous at the origin. By Theorem 4.3.16, w is harmonic in
BR and therefore belongs to CZ(BR). In particular, u is CZ at the origin,
which is a contradiction.
Example 4.4.4 illustrates that the C2-spaces, or any C'-spaces, are not
adapted to the Poisson equation. A further investigation reveals that solutions in this example fail to be C2 because the modulus of continuity of f
does not decay to zero fast enough. If there is a better assumption than the
continuity of f, then the modulus of continuity of V2u can be estimated.
Better adapted to the Poisson equation, or more generally, the elliptic differential equations, are Holder spaces. The study of the elliptic differential
equations in Holder spaces is known as the Schauder theory. In its simplest
form, it asserts that all second derivatives of u are Holder continuous if Du
is. It is beyond the scope of this book to give a presentation of the Schauder
theory.
4.4.2. Weak Solutions. In the following, we discuss briefly how to extend

the notion of classical solutions of the Poisson equation to less regularized
solutions, the so-called weak solutions. These functions have derivatives
only in an integral sense and satisfy the Poisson equation also in an integral
sense. The same process can be applied to general linear elliptic equations,
or even nonlinear elliptic equations, of divergence form.
To introduce weak solutions, we make use of the divergence structure or
variation structure of the Laplace operator. Namely, we write the Laplace
operator as
Du = div(Vu).
138
In fact, we already employed such a structure when we derived energy estimates of solutions of the Dirichlet problem for the Poisson equation in
Section 3.2.
Let St be a bounded domain in W and f be a bounded continuous

function in Q. Consider
-Du = f
(4.4.4)
in Q.
We intentionally put a negative sign in front of Du. Let u e C2(S2) be a

solution of (4.4.4). Take an arbitrary cp e Co(St). By multiplying (4.4.4) by
cp and then integrating by parts, we obtain
(4.4.5)
pu pcp dx =
J[fdx.
In (4.4.5), cp is referred to as a test function. We note that upon integrating

by parts, we transfer one derivative for u to test functions. Hence we only
need to require u to be Cl in (4.4.5). This is the advantage in formulating
weak solutions.
If u E CZ(S2) satisfies (4.4.5) for any cp e Co(S2), we obtain from (4.4.5),
upon a simple integration by parts,
- J cp0u dx = J f cp dx for any cp E Co (S2).
si
This implies easily
-Du = f
in S2.
In conclusion, a C2-function u satisfying (4.4.5) for any cp e Co (S2) is a

classical solution of (4.4.4).
We now raise the question whether less regular functions u are allowed
in (4.4.5). For any cp e C( Q), it is obvious that the integral in the lefthand side of (4.4.5) makes sense if each component of Vu is an integrable
function in Q. This suggests that we should introduce derivatives in the
integral sense.
Definition 4.4.5. For i = 1,
, n, an integrable function u in Q is said to

have a weak x2-derivative if there exists an integrable function v2 such that
(4.4.6)
uSo
dx = -
vjcp dx
for any co E Co (Q).
Here v2 is called a weak x2 -derivative of u and is denoted by uxi , the same

way as for classical derivatives.
It is easy to see that weak derivatives are unique if they exist. We also
point out that classical derivatives of C1-functions are weak derivatives upon
a simple integration by parts.
139
Definition 4.4.6. The Sobolev space Hl (St) is the collection of L2-functions

in SZ with L2-weak derivatives in SZ.
The superscript 1 in the notation Hl (St) indicates the order of differentiation. In general, functions in Hl (St) may not have classical derivatives.
In fact, they may not be continuous.
We are ready to introduce weak solutions.
Definition 4.4.7. Let f e L2(S2) and u e Hl(S2). Then u is a weak solution

of -Du =fin SZ if (4.4.5) holds for any cp e Co (S2), where the components
of Du are given by weak derivatives of u.
We now consider the Dirichlet problem for the Poisson equation with
the homogeneous boundary value,
-Du = f inn,
(4.4.71
'
on a.
u=0
We attempt to solve (4.4.7) by methods of functional analysis. It is natural
to start with the set

C = {u E Cl (St) fl C(SZ) : u = 0 on 8S2}.
We note that the left-hand side of (4.4.5) provides an inner product in C.

To be specific, we define the Ho -inner product by
(u,v)H1() = f u. Vvdx,
Jcz
for any u, v e C. It induces a norm defined by

1
IIuIIH)
\f Dudx I/
This is simply the L2-norm of the gradient of u, and it is referred to as the

Ho -norm. Here in the notation H, the supercript 1 indicates the order of
differentiation and the subscript 0 refers to functions vanishing on aSt. The
Poincare inequality in Lemma 3.2.2 has the form
(4.4.8)
IIuIIL2(cl) $
foranyuEC.
For f e L2(St), we define a linear functional F on C by
(4.4.9)
F(cp) =
fdx,
cz
for any cp e C. By the Cauchy inequality and (4.4.8), we have

I<_ III IIL2(cZ)II(PIIL2(cZ) <_ cII.fIIL2()IIpIIHo().
140
This means that F is a bounded linear functional on C. If C were a Hilbert

space with respect to the Ho -inner product, we would conclude by the Riesz
representation theorem that there exists a u E C such that
(u, So)xo(st) =
for any cp E C. Hence, u satisfies (4.4.5). With u = 0 on 852, u is interpreted

as a weak solution of (4.4.7).
However, C is not complete with respect to the Ho-norm, for the same
reason that C(SZ) is not complete with respect to the LZ-norm. For the
remedy, we complete C under the Ho-norm.
Definition 4.4.8. The Sobolev space Ho (11) is the completion of Co (S2)

under the Ho-norm.
We point out that we may define H(11) by completing C under the

Ho-norm. It yields the same space.
The space Ho (11) defined in Definition 4.4.8 is abstract. So what are the
elements in Ho (11)? The next result provides an answer.
Theorem 4.4.9. The space Ho (1) is a subspace of Hl (S2) and is a HilbeTt

space with respect to the Ho -inner product.
Proof. We take a sequence {uk} in C0 1(f) which is a Cauchy sequence in
the Ho (11)-norm. In other words, {uk, } is a Cauchy sequence in LZ(SZ), for
any i = 1,
, n, such that
, n. Then there exists a vz E L2 (S2), for i = 1,
uk,xi - v2 in L2 (S2) as k - oo.

By (4.4.8), we obtain
Iluk - ul II L2(S2) < Cu - ul IIHo(S2)
This implies that {uk} is a Cauchy sequence in LZ(St). We may assume for
some u E LZ(SZ) that
uk- u
in L2(S2) as k - oo.
Such a convergence illustrates that elements in Ho (11) can be identified as

LZ-functions. Hence we have established the inclusion Ho(SZ) C L2(SZ).
Next, we prove that u has LZ-weak derivatives. Since uk E C(11), upon a
simple integration by parts, we have
ukSOx
dx = -
uk,X co dx
for any SP E C0'(11).
By taking k - oo, we obtain easily
dx = - f vzcp dx for any cp E Co (11).
141
Therefore, v2 is the weak xi-derivative of u. Then u e Hl (S2) since v2 E

L2(S2). In conclusion, Ho(S2) C Hl(St).
With weak derivatives replacing classical derivatives, the inner product
well defined for functions in H0' (a). We then conclude that

Ho (St) is complete with respect to its induced norm '
It is easy to see by approximations that (4.4.8) holds for functions in
H).
Now we can prove the existence of weak solutions of the Dirichlet problem for the Poisson equation with homogeneous boundary value.
Theorem 4.4.10. Let St be a bounded domain in ][8n and f e L2(1t). Then
the Poisson equation -Du = f admits a weak solution u E H().

The proof is based on the Riesz representation theorem, and major steps
are already given earlier.
Proof. We define a linear functional F on Ho (S2) by
F(cp) = ffdx,
for any cp e H0'(1). By the Cauchy inequality and (4.4.8), we have
If IIL2(IOIIcOIIL2(cz) <_
Hence, F is a bounded linear functional on Ho (S2). By the Riesz representation theorem, there exists a u e Ho (S2) such that
(u, co)xo(st) =
for any cp e Ho (St). Therefore, u is the desired function.
According to Definition 4.4.7, u in Theorem 4.4.10 is a weak solution
of -Du = f. Concerning the boundary value, we point out that u is not

defined on 8S2 in the pointwise sense. We cannot conclude that u = 0 at
each point on D. The boundary condition u = 0 on 8S2 is interpreted
precisely by the fact that u e Ho (St), i.e., u is the limit of a sequence of
Co (S2)-functions in the Ho-norm. One consequence is that uIaI is a welldefined zero function in L2(8). Hence, u is referred to as a weak solution
of the Dirichlet problem (4.4.7).
Now we ask whether u possesses better regularity. The answer is affirmative. To see this, we need to introduce more Sobolev spaces. We first
point out that weak derivatives as defined in (4.4.6) can be generalized to
higher orders. For any a e 7L+ with al = m, an integrable function u in S2
142
is said to have a weak xa-derivative if there exists an integrable function va

such that
dx = (-1)'"' f vcp dx for any cp E Co (SZ).

t
Here va is called a weak xa -derivative of u and is denoted by Dan, the same

notation as for classical derivatives. For any positive integer m, we denote
by Hm (1) the collection of L2-functions with L2-weak derivatives of order
up to m in 11. This is also a Sobolev space. The superscript m indicates the
order of differentiation.
We now return to Theorem 4.4.10. We assume, in addition, that 11 is
a bounded smooth domain. With f e L2(1), the solution u in fact is a

function in H2(1). In other words, u has L2-weak second derivatives uxix3,
for i, j = 1,
,n. Moreover,
uxixi = f a.e. in 11.

i=1
In fact, if f e HIc(SZ) for any k > 1, then u e H2(S2). This is the L2-theory
for the Poisson equation. We again encounter an optimal regularity result.
If Du is in the space HIc(SZ), then all second derivatives are in the same
space. It is beyond the scope of this book to give a complete presentation
of the L2-theory.
An alternative method to prove the existence of weak solutions is to
minimize the functional associated with the Poisson equation. Let 12 be a
bounded domain in IlBn. For any Cl-function u in 12, we define the Dirichlet
energy of u in St by
E(u) _
Js IVuI2 dx.
For any f e L2(12), we consider
J(am) = E(u) - f fu dx = 1 f IVuI2 dx - f fu dx.

2
For any u e C' (II) fl C(S2), we consider Cl-perturbations of u which leave

the boundary values of 'a unchanged. We usually write such perturbations
in the form of u + cp for cp e C(1). We now compare J(u + cp) and J(u).
A straightforward calculation yields
J(u + cp) = J(u) + E(cp) + f Vu. pcp dx - f f cp dx.

t
We note that E(cp) > 0. Hence, if u is a weak solution of -Du = f, we

have, by (4.4.5),
J(u + cp) > J(u) for any cp E Co (SZ).
4.5. Exercises
143
Therefore, u minimizes J among all functions with the same boundary value.
Now we assume that u minimizes J among all functions with the same
boundary value. Then for any cp E Co (St),
J(u -}- Ecp) > J(u)
for any .
In other words,
j() - J(u + (p)

has a minimum at = 0. This implies j'(0) = 0. A straightforward calculation shows that u satisfies (4.4.5) for any cp E C(). Therefore, u is a weak
solution of -Du = f. In conclusion, u is a weak solution of -Du = f if and
only if u minimizes J among all functions with the same boundary value.
The above calculation was performed for functions in C' (a). A similar calculation can be carried out for functions in Ho (a). Hence, an alternative
way to solve (4.4.7) in the weak sense is to minimize J in Ho (a). We will
not provide details in this book.
The weak solutions and Sobolev spaces are important topics in PDEs.
The brief discussion here serves only as an introduction. A complete presentation will constitute a book much thicker than this one.
4.5. Exercises
Exercise 4.1. Suppose u(x) is harmonic in some domain in I[8n. Prove that
v(x) _
is also harmonic in a suitable domain.
\j/
Exercise 4.2. For n = 2, find the Green's function for the Laplace operator
on the first quadrant.
Exercise 4.3. Find the Green's function for the Laplace operator in the
upper half-space {xn > 0} and then derive a formal integral representation
for a solution of the Dirichlet problem
L\u=0 in{x>0},
u=cp on{xn=0}.
Exercise 4.4.
(1) Suppose u is a nonnegative harmonic function in

BR(X0) C W. Prove by the Poisson integral formula the following
Harnack inequality:
n-2 R- ru(xo)
R )Th2 R+ r
R1
/ -C
R-r
where r = Ix - xal <R.
u(x) (
144
(2) Prove by (1) the Liouville theorem: If u is a harmonic function in

I[8n and bounded above or below, then u is constant.
Exercise 4.5. Let u be a harmonic function in ]E8' with fRn IuIdx < oo for
some p E (1, oo). Prove that u - 0.
Exercise 4.6. Let m be a positive integer and u be a harmonic function in

I[8" with u(x) = O(ixim) as lxi -+ oo. Prove that u is a polynomial of degree
at most m.
Exercise 4.7. Suppose u E C(Bt) is harmonic in Bi = {x E Bi : x> 0}

with u = 0 on {xn = 0} fl Bl. Prove that the odd extension of u to Bl is
harmonic in Bl.
Exercise 4.8. Let u be a C2-solution of
Lu=0 inRTh\BR,
u=0 on aBR.
Prove that u - 0 if
.
lim
u(x)
IxI-+oo In xi
=0 form=2,
lim u(x) = 0 for n > 3.
IxI-goo
Exercise 4.9. Let S2 be a bounded C'-domain in I[8" satisfying the exterior

sphere condition at every boundary point and f be a bounded continuous
function in St. Suppose u E C2(1) f1 C1(1t) is a solution of
Du = f inn,
u=0 on 852.
Prove that
as av
I < C sup .f
where C is a positive constant depending only on n and S2.

Exercise 4.10. Let S2 be a smooth bounded domain in ]EBn, c be a continuous
function in S2 with c < 0 and a be a continuous function on 81 2 with a > 0.
Discuss the uniqueness of the problem
Du + cu = f in
'9"
1,
+ au = cp on 852.
Exercise 4.11. Let S2 be a bounded C1-domain and let P and a be continuous functions on 91 with a > ao for a positive constant ao. Suppose
4.5. Exercises
145
U E CZ (SZ) f1 Cl (S2) satisfies
-Du + u3 = 0 in Q,
av + au = cp on aSt.
Prove that
1
iul <_
a0
eix lpI.
Exercise 4.12. Let f be a continuous function in BR. Suppose u E

CZ(BR) f1 C(BR) satisfies
Du = f in BR.
Prove that
Vu(O)I
lul +
Ra
BRX If I
Hint: In B, set
v(x
x) =
(u(x
x) - u(x , -x)).
Consider an auxiliary function of the form
w(x , xn) = Alx'I2 + Bxn + Cxn.

Use the comparison principle to estimate v in BR and then derive a bound
for v(0).
Exercise 4.13. Let u be a nonzero harmonic function in Bl C I[8' and set
N(r) = r fsr VuI2dx for any r E (0 , 1) .

a
f8Br u dS
(1) Prove that N(r) is a nondecreasing function in r E (0, 1) and identify
lim N(r).
(2) Prove that, for any 0 < r < R < 1,
1
Rn-1
u2dS <
IUBR
(T
RR
2N ( R )
rn-1
u2dS.
Remark: The quantity N(r) is called the frequency. The estimate in (2) for
R = 2r is referred to as the doubling condition.
Exercise 4.14. Let St be a bounded domain in ][8n and f be a bounded

function in SZ. Suppose w1 is the Newtonian potential defined in (4.4.2).
146
(1) Prove that wf e
and
f aI'(x - y)f (y) dye
,n.
(2) Assume, in addition, that f is Ca in Sl for some a e (0, 1), i.e., for
for any x E ][8n and i = 1,
any x, y E Sl,
1.f (x)
- f()I
-yea.
Prove that W f E C2(1), Ow f =fin SZ and the second derivatives

of W f are ca in St.
Chapter 5
Heat Equations
The n-dimensional heat equation is given by ut - Du = 0 for functions

u = u(x, t), with x e IRn and t e III. Here, x is the space variable and
t the time variable. The heat equation models the temperature of a body
conducting heat when the density is constant. Solutions of the heat equation
share many properties with harmonic functions, solutions of the Laplace

equation.
In Section 5.1, we briefly introduce Fourier transforms. The Fourier

transform is an important subject and has a close connection with many
fields of mathematics, especially with partial differential equations. In the
first part of this section, we discuss basic properties of Fourier transforms
and prove the important Fourier inversion formula. In the second part, we
use Fourier transforms to discuss several differential equations with constant
coefficients, including the heat equation, and we derive explicit expressions
for their solutions.
In Section 5.2, we discuss the fundamental solution of the heat equation
and its applications. We first discuss the initial-value problem for the heat
equation. We prove that the explicit expression for its solution obtained
formally by Fourier transforms indeed yields a classical solution under appropriate assumptions on initial values. Then we discuss regularity of arbitrary solutions of the heat equation using the fundamental solution and
derive interior gradient estimates.
In Section 5.3, we discuss the maximum principle for the heat equation
and its applications. We first prove the weak maximum principle and the
strong maximum principle for a class of parabolic equations more general
than the heat equation. As applications, we derive a priori estimates of solutions of the initial/boundary-value problem and the initial-value problem.
147
5. Heat Equations
148
We also derive interior gradient estimates by the maximum principle. In

the final part of this section, we study the Harnack inequality for positive
solutions of the heat equation. We point out that the Harnack inequality for
the heat equation is more complicated than that for the Laplace equation
we discussed earlier.
As in Chapter 4, several results in this chapter are proved by multiple methods. For example, interior gradient estimates are proved by two
methods: the fundamental solution and the maximum principle.

The Fourier transform is an important subject and has a close connection
with many fields of mathematics. In this section, we will briefly introduce
Fourier transforms and illustrate their applications by studying linear differential equations with constant coefficients.
5.1.1. Basic Properties. We define the Schwartz class s as the collection

of all complex-valued functions u e C (Rn) such that x133 u(x) is bounded
in Ian for any c,,@ E Z, i.e.,
<00.
sup I
xEIE
In other words, the Schwartz class consists of smooth functions in Ian all of
whose derivatives decay faster than any polynomial at infinity. It is easy to
e_Ix12
is in the Schwartz class.
check that u(x) =
Definition 5.1.1. For any u e s, the Fourier transform u of u is defined

by
fln
(27r)2
eu(x) dx
for any
E 1[8n.
We note that the integral on the right-hand side makes sense for u e S.
In fact,
Il)I
(2ir)
or
sup lul
n
f Iu(x)Idx for any
Jfln
<
e Ian,
1
n IIE
(27r)2
This suggests that Fourier transforms are well defined for L1-functions. We
will not explore this issue in this book.
We now discuss properties of Fourier transforms. First, it is easy to
see that the Fourier transformation is linear, i.e., for any u1, u2 E s and
cl, c2 E C,
(ciul + C2u2r= C1 u1 + C2u2.
149
The following result illustrates an important property of Fourier transforms.
Lemma 5.1.2. Let u E S. Then u E S and for any multi-indices a, /3 E 7L+,
= ()9)
and
= (-i)"31x'3u(e).
Proof. Upon integrating by parts, we have
f e_&au(x) dx
(27r)2
f (i eu(x) dx = (ie)(e).
(27r)2
Next, it follows easily from the definition of u that u E C(][8n). Then we

have
v u(S) _
(21)
v'
ti
(27r)2
Jan
P
e-u(x) dx
(-ix)eu(x) dx=(_Z)IQIxQu(e)
JR
The interchange of the order of differentiation and integration is valid beS, we take any two multi-indices a and ,6.
cause x'3u E S. To prove
is bounded in W. For this, we first note
It suffices to prove that a8
that
raie =(i)
ax/3u(e) = (i)IH13I (ie)axt3u(e)
=(_i)H&(xI3u) ()
(21)
(-i)IaI+IQI fTh ea (xu(x)) dx.
Hence
sup I
&1() I
<_
1 n
(271-)2
f l a (xu(x)) I dx <0,
-n
since each term in the integrand decays faster than any polynomial because
xQu E S.
The next result relates Fourier transforms to translations and dilations.

Lemma 5.1.3. Let u E S, a E IIBn, and k E I[8 \ {0}. Then
u. - a) () =
5. Heat Equations
150
and
Proof. By a simple change of variables, we have
u(. - a)() =
(2r)
fRn
e_u(x - a) dx
f e_u(x) dx =
(2ir)
JR
By another change of variables, we have
(2ir)
(27r)
dx
x
We then obtain the desired results.
LI
For any u, v E S, it is easy to check that u * v E S, where u * v is the

convolution of u and v defined by
f u(x - y)v(y) dy.
(u * v)(x)
=
Lemma 5.1.4. Let u, v E S. Then
= (2r)(I().
Proof. By the definition of the Fourier transform, we have
f e_u * v(x) dx
(271-)2 JR
__ (271-) 2
f e-Z
(21)
R
2
u(x - y)v(y) dy) dx
1 n
(2ir)
(f
y)ev(y) dydx
y) dxJ dy
l) f ev(y) dy = (2)).
The interchange of the order of integrations can be justified by Fubini's
theorem.
151
To proceed, we note that

00
e-x2
dx = .
f00
The next result will be useful in the following discussions.
Proposition 5.1.5. Let A be a positive constant and u be the function

defined in Rn by
u(x) = e-AHz.
Then
2G() =
I2
n e 4A .
(2A) 2
Proof. By the definition of Fourier transforms, we have

n
dx -
(2ir) 2
Rn
00
i
k=1 (27x)2
e-zx1-Axe
dxk.
-00
Hence it suffices to compute, for any 1) E R,
e-Ztl1- A ts2
(27r) 2 1-00
dt.
After the change of variables s = t/A, we have

00
e
-2t7-At2
oo
= e- A
2
dt
-(tV `1+Z -)2 dt
00
00
00
e 4A
Vn
2ds =
4A
dz,
IL
- o0
where L is the straight line Im z = ij/2/A in the complex z-plane. By the

Cauchy's integral theorem and the fact that the integrand decays at the
exponential rate as Re z -+ 00, we have
e_z2
00
dz =
- oo
Hence
00
1
1
(2ir)2
e_t2
1-00 e
dt = .
- (2A)a e 4A .
dt _
_!L
Therefore,
1
(2ir) 2
Rn
ex-2 dx =
(2A) 2
e4A M2
U
We now prove the Fourier inversion formula, one of the most important
results in the theory of Fourier transforms.
5. Heat Equations
152
Theorem 5.1.6. Suppose u E S. Then

u(x) =
(5.1.1)
(2r)2n
1
f n eu(e) d
The right-hand side of (5.1.1) is the Fourier transform of u evaluated

at -x. Hence, u(x) _ (u)" (-x). It follows that the Fourier transformation
u H u is a one-to-one map of S onto S.
A natural attempt to prove (5.1.1) is to use the definition of Fourier
transforms and rewrite the right-hand side as
1
dy d
eZ
(2
However, as an integral in terms of (y, ) E W x Rn, it is not absolutely

convergent.
Proof. Letting A = 1/2 in Proposition 5.1.5, we see that if

uo(x) _
(5.1.2)
then
uo(1)= e
Since up(x) = uo(-x), we conclude (5.1.1) for u = uo. Now we prove (5.1.1)
for any u E S.
We first consider u E S with u(0) = 0. We claim that there exist

vi,
, vn E S such that
n
for any x E ][8.
xj4Jj(x)
2G(x) _
j=1
To see this, we note that
f
u(x) =
1 t (u(tx)) dt =
j=1
for some w E C(][8n), j = 1,

Bl, we write
xJ
, n.
u(tx) dt =
j=1
By taking cc E C( W) with cc = 1 in
u(x) = cp(x)u(x) + (1 - cp(x))u(x)
(X)WX) +
We note that functions in the parentheses are in S, for j = 1,

proves the claim. Lemma 5.1.2 implies
I)
= j=1
, n. This
153
We note that v E S by Lemma 5.1.2. Upon evaluating the right-hand side

of (5.1.1) at x = 0, we obtain
1n
S 2= (`,7f)2 fRn
(2ir) 2 JRfl
=0.
-1
We conclude that (5.1.1) holds at x = 0 for all u e S with u(0) = 0.

We now consider an arbitrary u e S and decompose
= (O)
+ (u -
where uo is defined in (5.1.2). First, (5.1.1) holds for uo and hence for
Next, since u - (O) o is zero at x = 0, we see that (5.1.1) holds
for u - u(0)uo at x = 0. We obtain (5.1.1) for u at x = 0. Next, for any

xo E Il8, we consider v(x) = u(x + xo). By Lemma 5.1.3,
Then by (5.1.1) for v at x = 0,

1
xo) = v(O) =
v)d =
(2ir) 2f2
(2ir
1
2 JRn
e0ui(e) d.
This proves (5.1.1) for u at x = xo.
Motivated by Theorem 5.1.6, we define v for any v E s by
v(x) =
(271)2
e Il8"`.
The function v is called the inverse Fourier transform of v. It is obvious

that u(x) = u(-x). Theorem 5.1.6 asserts that u = (u)v.
Next, we set, for any u, v E
(u, v)L2(Rn) =
fn
uv dx.
The following result is referred to as the Pars eval formula.
Theorem 5.1.7. Suppose u, v e S. Then

(u, v)L2(Rn) = (2G, v)L2(lRn).
5. Heat Equations
154
Proof. We note
(2;,
11)L2 (Rn)
RTh
2 Jl
/
IRn
(f
fTh
u(x) 1 /
dxl
dx
u(x)(x) dx = (u, V)L2(Rn),
where we applied Theorem 5.1.6 to v. The interchange of the order of

integrations can be justified by Fubini's theorem.
O
As a consequence, we have Plancherel's theorem.
Corollary 5.1.8. Suppose u E S. Then
IIUIIL2 (RTh) = IkLIIL2 (Rn).
In other words, the Fourier transformation is an isometry in S with

respect to the LZ-norm.
Based on Corollary 5.1.8, we can extend Fourier transforms to L2(][8n).
Note that the Fourier transformation is a linear operator from S to S and

that S is dense in L2(]R). For any u E L2(][8n), we can take a sequence
{uk} C S such that
Uk -+ u in L2 (Wi) as k -+ oo.
Corollary 5.1.8 implies

lU/c - ulIIL2(lIFm) - IIUk1IIL2(Rm) - Iluk - ulIILa(IIgn)
Then, {uk} is a Cauchy sequence in L2(][8n) and hence converges to a limit

in LZ(IlSn). This limit is defined as u, i.e.,
u/c-3u inL2(W) ask-oo.

It is straightforward to check that u is well defined, independently of the
choice of sequence {u/c}.
5.1.2. Examples. The Fourier transform is an important tool in studying

linear partial differential equations with constant coefficients. We illustrate
this by two examples.
Example 5.1.9. Let f be a function defined in W. We consider

(5.1.3)
-Du +u = f
in IlS".
155
Obviously, this is an elliptic equation. We obtained an energy identity in

Section 3.2 for solutions decaying sufficiently fast at infinity. Now we attempt to solve (5.1.3).
We first seek a formal expression of its solution u by Fourier transforms.
In doing so, we will employ properties of Fourier transforms without justifications. By taking the Fourier transform of both sides in (5.1.3), we obtain,
by Lemma 5.1.2,
(1+ iei2e) = 1(e).
(5.1.4)
Then
1(C)
l+lEl
By Theorem 5.1.6,
u(x) =
(5.1.5)
ei
f)
1+ICI
It remains to verify that this indeed yields a classical solution under appropriate assumptions on f. Before doing so, we summarize the simple process
we just carried out. First, we apply Fourier transforms to equation (5.1.3).
Basic properties of Fourier transforms allow us to transfer the differential
(27r)2
RTh
equation (5.1.3) for u to an algebraic equation (5.1.4) for u. By solving

this algebraic equation, we have an expression for u in terms of f. Then,
by applying the Fourier inversion formula, we obtain u in terms of f. We
should point out that it is not necessary to rewrite u in an explicit form in
terms of f.
Proposition 5.1.10. Let f E S and u be defined by (5.1.5). Then u is a

smooth solution of (5.1.3) in S. Moreover,
(lull + 2IVu12 + IV2u12) dx =
If I2 dx.
Proof. We note that the process described above in solving (5.1.3) by

Fourier transforms is rigorous if f E S. In the following, we prove directly
from (5.1.5) that u is a smooth solution. By Lemma 5.1.2, f E S for f E S.
Then f/(1 + Cl2) E S. Therefore, u defined by (5.1.5) is in S by Lemma
5.1.2. For any multi-index a E 7L+, we have
3&u(x) =
(iC)&f(C)
(27r)2
f RTh
eZX
1+2 d.
In particular,
ou(x) _
uxkxk(x) _ k=1
(27r
eX 1e121(e) dC,
1+1C12
RTh
5. Heat Equations
156
and hence
-u(x) + u(x) =
(271)2
f ef() d.
n
By Theorem 5.1.6, the right-hand side is 1(x).

To prove the integral identity, we obtain from (5.1.4) that
II2 + 2II2IuI2 + 1e141u12 =
I2.
By writing it in the form

n
IuI2+2IuI2+
112,
bkSi
k=1
k,1=1
we have, by Lemma 5.1.2,

n
k=1
k,1=1
IuI2+2II2+
A simple integration yields
k=1
k,1=1
II2+2II2+
By Corollary 5.1.8, we obtain
1R
l
I
l
2+2u2+
k=1
dx =
k,1=1
This is the desired identity.
IfI2dx.
D
Example 5.1.11. Now we discuss the initial-value problem for the nonhomogeneous heat equation and derive an explicit expression for its solution.
Let f be a continuous function in 1[8n x (0, oo) and uo a continuous function
in R. We consider
1bt - 026 = ,f
(5.1.6)
lri RmX (0,00),
u(.,0)=uo onR.
Although called an initial-value problem, (5.1.6) is not the type of initialvalue problem we discussed in Section 3.1. The heat equation is of the second
order, while only one condition is prescribed on the initial hypersurface

{t = 0}, which is characteristic.
Suppose u is a solution of (5.1.6) in C2(][8x (0, oo)) fl C(ll8Th x [0, oo)).
We now derive formally an expression of u in terms of Fourier transforms. In
157
the following, we employ Fourier transforms with respect to space variables

only. With an obvious abuse of notation, we write
^ , t) =
u(
(27r)2
fn
e-
u(x, t) dx.
We take Fourier transforms of both sides of the equation and the initial
condition in (5.1.6) and obtain, by Lemma 5.1.2,
ut + II2u =f in Rn x (0, oo),

uo
on Rn.
E W as a parameter.
This is an initial-value problem for an ODE with

Its solution is given by
, t) =
s) ds.
Now we treat t as a parameter instead. For any t> 0, let K(x, t) satisfy
K t) _
e-IEIZt.
(27r)2
Then
,
t) _ (2)(,
t - s).f (, s) ds.
Therefore Theorem 5.1.6 and Lemma 5.1.4 imply
u(x, t) =
(5.1.7)
K(x - y, t)up(y) dy
K(x - y, t - s) f(y, s) dyds,
J J
for any (x, t) E I[8n x (0, oo). By Theorem 5.1.6 and Proposition 5.1.5, we
have
K (x, t) =
(2) n fRfl
e e,
ZX' _I I2t d
or
(5.1.8)
K(x, t) _
(47rt) 2
1x12
4t ,
for any (x, t) E ][8n x (0, oo). The function K is called the fundamental
solution of the heat equation.
The derivation of (5.1.7) is formal. Having derived the integral formula
for u, we will prove directly that it indeed defines a solution of the initialvalue problem for the heat equation under appropriate assumptions on the
initial value uo and the nonhomogeneous term f. We will pursue this in the
next section.
5. Heat Equations
158

In this section, we discuss the heat equation using the fundamental solution.
We first discuss the initial-value problem for the heat equation. We prove
that the explicit expression for its solution obtained formally by Fourier
transforms indeed yields a classical solution under appropriate assumptions
on initial values. Then we discuss regularity of solutions of the heat equation.
Finally we discuss solutions of the initial-value problem for nonhomogeneous
heat equations.
The n-dimensional heat equation is given by
ut - Du=O,
(5.2.1)
for u = u(x, t) with x E ][8n and t E R. We note that (5.2.1) is not preserved
by the change t H -t. This indicates that the heat equation describes
an irreversible process and distinguishes between past and future. This
fact will be well illustrated by the Harnack inequality, which we will derive
later in the next section. Next, (5.2.1) is preserved under linear transforms
x' _ Ax and t' _ A2t for any nonzero constant A, which leave the quotient
1x12/t invariant. Due to this fact, the expression x12/t appears frequently in
connection with the heat equation (5.2.1). In fact, the fundamental solution
has such an expression.
If u is a solution of (5.2.1) in a domain in ][8n x I[8, then for any (xo, to)
in this domain and appropriate r > 0,

uxo,r(x, t) = u(xo + rx, to + r2t)
is a solution of (5.2.1) in an appropriate domain in Rn x R.

In the following, we denote by C2" the collection of functions which are
C2 in x and C1 in t. These are the functions for which the heat equation is
well defined classically.
5.2.1. Initial-Value Problems. We first discuss the initial-value problem

for the heat equation. Let uo be a continuous function in R. We consider
(,.2.21
ut-L U=0 inRm x (0,00),

U(.,0)=UO onR.
We will seek a solution u E C2'1(][8n x (0, oo)) fl C(I[8n x [0, oo)).
We first consider a special case where uo is given by a homogeneous

polynomial P of degree d in R. We now seek a solution u in I[8n x (0, oo)
which is a p-homogeneous polynomial of degree d, i.e.,
u(Ax, A2t) _ Adu(x, t),
159
for any (x, t) E ][8n x (0, oo) and A> 0. To do this, we expand u as a power
series of t with coefficients given by functions of x, i.e.,
u(x,t) =
ak(x)tk.
k=0
Then a straightforward calculation yields
a0=P, ak =
for any k > 1.
Therefore for any k > 0,
iiskp.
ak _
Since P is a polynomial of degree d, it follows that [d/2}+1 p = 0, where

[d/2] is the integral part of d/2, i.e., [d/2] = d/2 if d is an even integer and
[d/2] _ (d - 1)/2 if d is an odd integer. Hence
[z]
u(x't)
kP(x)tk'
k-o
We note that u in fact exists in I[8x R. For n = 1, let ud be a p-homogeneous

polynomial of degree d in ][8 x ][8 satisfying the heat equation and ud(x, 0) _
xd. The first five such polynomials are given by
ul(x,t) =x,
U2(X, t) = x2 + 2t,
263x, t) = x3 + 6xt,
u4(x, t) = x4 + 12x21 + 12t2,
us(x, t) = x5 + 20x3t + 60xt2.
We now return to (5.2.2) for general uo. In view of Example 5.1.11, we

set, for any (x,t) E ll8Th x (0,oo),
(5.2.3)
K (x, t) =
if
4t
(4irt)
and
(5.2.4)
u(x, t) =
K(x - y, t)uo(y) dy.
In Example 5.1.11, we derived formally by using Fourier transforms that any

solution of (5.2.2) is given by (5.2.4). Having derived the integral formula
for u, we will prove directly that it indeed defines a solution of (5.2.2) under
appropriate assumptions on the initial value up.
Definition 5.2.1. The function K defined in I[8n x (0, oo) by (5.2.3) is called
the fundamental solution of the heat equation.
5. Heat Equations
160
We have the following result concerning properties of the fundamental

solution.
Lemma 5.2.2. Let K be the fundamental solution of the heat equation defined by (5.2.3). Then
(1) K(x, t) is smooth for any x E 1[8n and t> 0;
(2) K(x, t) > 0 for any x E 1[8n and t> 0;
(3) (at - 0)K(x, t) = 0 for any x E ][8n and t> 0;
(4)
K(x, t)dx = 1 for any t > 0;
(5) for any 6> 0,
lim
t-+O+ Rn\B5
K(x, t) dx = 0.
Proof. Here (1) and (2) are obvious from the explicit expression of K in
(5.2.3). We may also get (3) from (5.2.3) by a straightforward calculation.
For (4) and (5), we simply note that
K(x, t)dx =
?t2
f l>2f
e-'' dry.
This implies (4) for S = 0 and (5) for 6> 0.
= K(.,t2)
Figure 5.2.1. Graphs of fundamental solutions for t2 > ti > 0.
Now we are ready to prove that the integral formula derived by using
Fourier transforms indeed yields a classical solution of the initial-value problem for the heat equation under appropriate assumptions on u0.
Theorem 5.2.3. Let uo be a bounded continuous function in I[8n and u be

defined by (5.2.4). Then u is smooth in I[8n x (0, oo) and satisfies
'1dt - 026 = 0
29Z Rn X (0,00).
161
Moreover, for any xo E
u(x,t) = uo (xo)
lira
(x,t)-+(xo,U)
We note that the function u in (5.2.4) is defined only fort > 0. We can
extend u to {t = 0} by setting
0) = uo on ][87. Then u is continuous
up to {t = 0} by Theorem 5.2.3. Therefore, u is a classical solution of the
initial-value problem (5.2.2).
The proof of Theorem 5.2.3 proceeds as that of the Poisson integral

formula for the Laplace equation in Theorem 4.1.9.
Proof. Step 1. We first prove that u is smooth in Ian x (0, oo). For any
multi-index a e Z+ and any nonnegative integer k, we have formally
a at u(x, t) = f a at x(x - y, t)up(y) dy.

n
In order to justify the interchange of the order of differentiation and integration, we need to check that, for any nonnegative integer m and any
t>0,
Ix - yltme
mat
12
Jdy < oo.
This follows easily from the exponential decay of the integrand if t > 0.
Hence u is a smooth function in 1[87 x (0, oo). Then by Lemma 5.2.2(3),
(Ut - Du)(x,t) = f (Kt -
y,t)uo(y) dy = 0.
We point out for future references that we used only the boundedness of uo.
Step 2. We now prove the convergence of u(x, t) to uO(xO) as (x,t) (xO, 0). By Lemma 5.2.2(4), we have
uO(xO)
f K(x - y, t)uo(xo) dy.
Then
u(x,t) - uO(xO)
= f nK(x -
y,t)(uo(y)
uo(xo)) dy = I1 + I2,
where
Ii =
. .
fB5(xo)
...,
I2Wz\BS (xo)
for a positive constant S to be determined. For any given e > 0, we can

choose S = S(e) > 0 small so that
Iuo(y) - uo(xo)J <,
5. Heat Equations
162
for any y E Bb(xp), by the continuity of uo. Then by Lemma 5.2.2(2) and
4)
Ilil <
Ba(xo)
K(x - y, t)Iuo(y) - uo(xo)I dy < s.
Since uo is bounded, we assume that IuoI <M for some positive constant
M. We note that Ix - I > 6/2 for any y E ][8Th \ Bb(xo) and x E Bb12(xo).
By Lemma 5.2.2(5), we can find a b' > 0 such that
Lfl\B6 (xo)
K(x-y,t)dy
for any x E Bb12(xo) and t E (0, S'), where S' depends on s and S = S(s),
and hence only on e. Then
1I21 <
f"\Ba (moo)
K(x -
Iuo(xo)I)
s.
Therefore,
Iu(x,t) -uo(0)I 2s,

for any x E Ba12(xo) and t E (0, S'). We then have the desired result.
Under appropriate assumptions, solutions defined by (5.2.4) decay as

time goes to infinity.
Proposition 5.2.4. Let up E Ll(I[8) and u be defined by (5.2.4). Then for
anyt>0,
su
(4irt)2
Iuoldx.
The proof follows easily from (5.2.4) and the explicit expression for the
fundamental solution K in (5.2.3).
Now we discuss a result more general than Theorem 5.2.3 by relaxing
the boundedness assumption on uo. To seek a reasonably more general assumption on initial values, we examine the expression for the fundamental
solution K. We note that K in (5.2.3) decays exponentially in space variables with a large decay rate for small time. This suggests that we can allow
an exponential growth for initial values. In the convolution formula (5.2.4),
a fixed exponential growth from initial values can be offset by the fast exponential decay in the fundamental solution, at least for a short period of
time. To see this clearly, we consider an example. For any a > 0, set
G(x,t)=
(1 - 4at) 2
el
4t1X12
for any x E RT and t < 1/4a. It is straightforward to check that
Gt-OG=O.
163
Note that
G(x, 0) =
for any x E Rn.
Hence, viewed as a function in Rn x [0,1/4a), G has an exponential growth
initially for t = 0, and in fact for any t < 1/4a. The growth rate becomes
arbitrarily large as t approaches 1/4a and G does not exist beyond t = 1/4a.
Now we formulate a general result. If uo is continuous and has an exponential growth, then (5.2.4) still defines a solution of the initial-value
problem in a short period of time.
Theorem 5.2.5. Suppose up E C(Rn) satisfies
uC Mc2 for any x E IlBn,

for some constants M, A > 0. Then u defined by (5.2.4) is smooth in Rn x
(0, 4A ) and satisfies
ut - L u = 0
in IRn X
0,
4A
Moreover, for any xo E Rn,

lim
u (x, t) = uo (xo) .
(x,t)-+(xo,o)
The proof is similar to that of Theorem 5.2.3.
Proof. The case A = 0 is covered by Theorem 5.2.3. We consider only

A> 0. First, by the explicit expression for K in (5.2.3) and the assumption
on uo, we have
I<-
(4irt) 2
1n
dy.

2
44AtIY
1-4Atx + 1 - 4At IxI
2
.
Hence for any (x, t) E Rn x (0,1/(4A)), we obtain

<
<
1k!
n e 1-4At ICI
(4irt) 2
- (1-4At) 2
1-4At
1n
4t
1-4At
2
I
dy
12
e 1-4At
A
The integral defining u in (5.2.4) is convergent absolutely and uniformly for

1/(4A)], for any > 0 small. Hence, u is continuous
(x, t) E Il8n x
5. Heat Equations
164
in Il8x (0,1/(4A)). To show that u has continuous derivatives of arbitrary

order in Il8x (0,1/(4A)), we need only verify
Ix _
dy < oo,
fRn
for any m > 0. The proof form > 1 is similar to that for m = 0 and we
omit the details.
Next, we need to prove the convergence of u(x, t) to up(xp) as (x, t) O
(xO, 0). We leave the proof as an exercise.
Now we discuss properties of the solution u given by (5.2.4) of the initial-
value problem (5.2.2). First for any fixed x E ll8n and t> 0, the value of
u(x, t) depends on the values of uo at all points. Equivalently, the values of
up near a point xo E I[8n affect the value of u(x, t) at all x as long as t> 0.
We interpret this by saying that the effects travel at an infinite speed. If the
initial value uo is nonnegative everywhere and positive somewhere, then the
solution u in (5.2.4) at any later time is positive everywhere. We will see

later that this is related to the strong maximum principle.
Next, the function u(x, t) in (5.2.4) becomes smooth fort > 0, even if
the initial value uo is simply bounded. This is well illustrated in Step 1 in
the proof of Theorem 5.2.3. We did not use any regularity assumption on uo
there. Compare this with Theorem 3.3.5. Later on, we will prove a general
result that any solutions of the heat equation in a domain in ][8n x (0, oo)
are smooth away from the boundary. Refer to a similar remark at the end
of Subsection 4.1.2 for harmonic functions defined by the Poisson integral
formula.
We need to point out that (5.2.4) represents only one of infinitely many
solutions of the initial-value problem (5.2.2). The solutions are not unique
without further conditions on u, such as boundedness or exponential growth.
In fact, there exists a nontrivial solution u E C (1Rn x ][8) of ut - Du = 0,
with u - 0 for t <0. In the following, we construct such a solution of the

one-dimensional heat equation.
Proposition 5.2.6. There exists a nonzero smooth function u E C (R x

[0, oo)) satisfying
=0
u(.,0)=0
in Ilk x [0, oo),

on Ilk.
Proof. We construct a smooth function in Il8 x II8 such that ut

=0
in Il8 x ][8 and u - 0 for t < 0. We treat {x = 0} as the initial curve and
165
attempt to find a smooth solution of the initial-value problem

ut - uxx = 0 in R x R,
u(0, t) = a(t), ux (0, t) = 0 for t E R,
for an appropriate function a in R. We Write u as a power series in x:
u(x, t) = >ak(t)xk.
=o
Making a simple substitution in the equation ut = uxx and comparing the
coefficients of powers of x, we have
a''_2=k(k-1)ak foranyk>2.
Evaluating u and ux at x = 0, we get
ao=a,
a1=0.
Hence for any k > 0,
a2k(t) =
(2k)!
a(k)(t),
and
a2k+i (t) = 0.
Therefore, we have a formal solution
00
k=O
We need to choose a(t) appropriately so that u(x, t) defined above is a

smooth function and is identically zero fort < 0. To this end, we define
a(t) _
eU
fort > 0,
tort < U.
Then it is straightforward to verify that the series defining u is absolutely

convergent in ][8 x R. This implies that u is continuous. In fact, we can prove
that series defining arbitrary derivatives of u are also absolutely convergent
in Il8 x Ilk. We skip the details and leave the rest of the proof as an exercise.
Next, we discuss briefly terminal-value problems. For a fixed constant

T > 0, we consider
ut - uxx = 0 in Ilk x (0, T),

T) = cp
on R.
Here the function co is prescribed at the terminal time T. This problem is

not well posed. Consider the following example. For any positive integer m,
let
um(x, t) = em2(T -t) sin(mx),
5. Heat Equations
166
solves this problem with the terminal
for any (x, t) E Il8 x [O, T). Then

value
sin(mx),
corn(x) =
for any x E ]E8. We note that

sup kPrnI = 1
and for any t e [0, T),

em2(T-t)
-f oo as m -f oo.
There is no continuous dependence of solutions on the values prescribed at

the terminal time T.
5.2.2. Regularity of Solutions. Next, we discuss regularity of solutions

of the heat equation with the help of the fundamental solution. We will do
this only in special domains.
For any (xO, to) E ][U x ][8 and any R> 0, we define
QR(xo, t0) = BR(xo) X (to - R2, to].
We point out that subsets of the form QR(xo, to) play the same role for the
heat equation as balls for the Laplace equation. If u is a solution of the heat
equation ut - Du = 0 in QR(O), then

uR(x, t) = u(Rx, RZt)
is a solution of the heat equation in Q1(0).
R2
Figure 5.2.2. The region QR (xo, to).
For any domain D in IRn x Ilt, we denote by C2" (D) the collection of
functions in D which are C2 in x and C1 in t.
We first have the following regularity result for solutions of the heat
equation.
167
Theorem 5.2.7. Let u be a C2" -solution of ut - Du = 0 in QR(xo, to) for

some (xO, to) E ][8' x 1[8 and R> 0. Then u is smooth in QR(xo, to).
Proof. For simplicity, we consider the case (xO, to) _ (0,0) and write
QR = BR x (-R2,0].
Without loss of generality, we assume that u is bounded in QR. Otherwise,
we consider u in Qr for any r <R.
We take an arbitrarily fixed point (x, t) E QR and claim that
u(x, t) = 'BR K( x - y, t + R2)u(y, -R2) dy

t
avy
1 Rz asR K(x-y,t-s)(y,s)
-u(y, s) -(x (x - y, t - s)J dSyds.

y
We first assume this identity and prove that it implies the smoothness of u.
We note that the integrals in the right-hand side are only over the bottom
and the side of the boundary of BR x (-R2, t]. The first integral is over
BR x {-R2}. For (x, t) E QR, it is obvious that t + R2 > 0 and hence
there is no singularity in the first integral. The second integral is over
8BR x (-R2, t]. By the change of variables r = t - s, we can rewrite it as
t+R2
T a lye t - T -
t - T)
5K
dSydT.
There is also no singularity in the integrand since x E BR, y E SBR, and

r > 0. Hence, we conclude that u is smooth in QR.
We now prove the claim. Let K be the fundamental solution of the heat
equation as in (5.2.3). Denoting by (y, s) points in QR, we set
K(y, s) = K(x - y, t - s) =
(47-(t-s))2
Ix-y12
e 4W
)
for s< t.
Then
R3+zk=o.
Hence,
0 = K(us - Dyu) _ (uk)8 +
(uky2
z=i
7t
= (uk)8 +
(uky2 - Kuy2)y2
2=1
u(Ks + DyK)
5. Heat Equations
168
For any e > 0 with t - e > -R2, we integrate with respect to (y, s) in
BR x (-R2, t - e). Then
BR
K(x - y, e)u(y, t - e) dy
= f K(x - y, t - (-R2))u(y, -R2) dy

R
Ii
R2
FK(X
- y,t -
avy
BR
-u(y, s)
0K
(x - y,t - s)] dSds.
Now it suffices to prove that

lim
EGO BR
K(x - y, e)u(y, t - e)dy = u(x, t).
The proof proceeds similarly to that in Step 2 in the proof of Theorem 5.2.3.
The integral here over a finite domain introduces few changes here. We omit
the details.
Now we prove interior gradient estimates.
Theorem 5.2.8. Let u be a bounded C2" -solution of ut - Du = 0 in

QR(xo, to) for some (xO, to) E IIBn x ][8 and R> 0. Then
I c sup
ui,
R QR(xo,to)
Proof. We consider the case (xO, to) _ (0,0) and R = 1 only. The general
case follows from a simple translation and dilation. (Refer to Lemma 4.1.11
for a similar dilation for harmonic functions.) In the following, we write
Q,. = Br x (-r2, 0] for any r E (0, 1].
We first modify the proof of Theorem 5.2.7 to express u in terms of the
fundamental solution and cutoff functions. We denote points in Qi by (y, s).
Let K be the fundamental solution of the heat equation given in (5.2.3). As
in the proof of Theorem 5.2.7, we set, for any fixed (x, t) E Ql/4,
K(y, s) = K(x - y, t - s) =
(47r(t_s))2
By choosing a cutoff function cp e C (Q,) with supp cp C

in Q12, we set
v = cpK.
for s <t.
and cp - 1
169
We need to point out that v(y, s) is defined only for s < t. For such a
function v, we have
n
Q = 4J(263 - Dy4l) _ (uv)8 + 2G1JyZ -
u(ZJs +
i=1
For any e > 0, we integrate with respect to (y, s) in Bl x (-1, t-e). We note
that there is no boundary integral over Bl x {-1} and aBl x (-1, t - e),
since cp vanishes there. Hence
f (u)(y,t - ')K(x - y, e) dy = f
l
x(83 +
)(R)dyds.
i x (-L,t-E)
Then similarly to the proof of Theorem 5.2.3, we have, as e -+ 0,
(x, t)u(x, t) = f
u(as +
dyds.
l x (-1,t)
In view of
k8+zk=o,
we obtain for any (x, t) E Q1/4 that
u(x, t) =
JB1 x (-it)
u((cps + Dycp)K + 2Vycp VyK) dyds.
We note that each term in the integrand involves a derivative of cp, which is
zero in Q1/2 since cp - 1 there. Then the domain of integration D is actually
given by
D = B4 x (-(3/4)2, t] \ B2 x (-(1/2)2, t].

The distance between any (y, s) E D and any (x, t) E Q1/4 has a positive
lower bound. Therefore, the integrand has no singularity in D. (This gives
an alternate proof of the smoothness of u in Q1/4.)
D2
D2 t
Dl
Figure 5.2.3. A decomposition of D for n = 1.
Next, we have, for any (x, t) E Q1/4,
vxu(x, t) =
u((cps + Dycp)vxK + 2pycp vxV R) dyds.

D
5. Heat Equations
170
Let C be a positive constant such that

2lVy(pl $ C,
Iosl + IVcoI C C.
Hence
t)I C C Df (IvkI + IVVkDIuIdyds.

By the explicit expression for K, we have
- ynI 1e c _Ix
(t - s) 2+
Io KI
and
-gtys)
l rylx-'LJI2+(t-S)
(t-s)2 e
Obviously, for any (x, t) E Q1/4 and any (y, s) E D,
x-yJ<1, 0<t-s<1.
Therefore, for any (x, t) E Q1/4,
2
t) I
C
i=1
(t
n+z e
s) 2
_ Ix-yI2
4(t-s) I()I dyds.
Now we claim that, for any (x, t) E Q1/4, (y, s) E D and i = 1, 2,

1
n
(t-s)2+z
_ Ix-yI2
4(t-s)
C.
Then we obtain easily for any (x, t) E Q1/4 that

t) I < c sup lul .
Q1
To prove the claim, we decompose D into two parts,
Dl = BZ x (-(3/4)2, _(1/2)2),
DZ = (B3\Bl) x (-(3/4)2, t).

4
We first consider Dl. For any (x, t) E Q1/4 and (y, s) E Dl, we have
t-s> g,1
and hence
1
.e - 4(t-s)
Ix-yI2
(t-s) 2
n+Z
82
Next, we consider D2. For any (x, t) E Q1/4 and (y, s) E D2, we have
13\2
y-x> 4, 0<t-s< 1I
171
and hence, with r = (t - s)-1,

1
1
(t - s) n2 +i e 4(t-s) < (t - s) n2 +i e
-'
44
= T 2 +Ze
- C,
a
for any 'r> (4/3)2. This finishes the proof of the claim.
Next, we estimate derivatives of arbitrary order.
Theorem 5.2.9. Let u be a bounded C2" -solution of ut - Du = 0 in
Im
QR(xo, to) for some (xO, to) E ]E8n x ][8 and R> 0. Then for any nonnegative
integers m and k,
R + 21
nkem+2k-1(m + 2k)!
sup
IUI,
QR(xo,to)

Proof. For x-derivatives, we proceed as in the proof of Theorem 4.1.12 and
obtain that, for any c e Z+ with Ic I = m,
C'mem-1 ml
I au (x0 ,t0) I
Rm
sup
IUI.
QR(xo,to)
For t-derivatives, we have ut = Du and hence at u = Du for any positive

integer k. We note that there are r terms of x-derivatives of u of order 2k
in OJu. Hence
I nk
This implies the desired result easily.
max
IIQI=m+2/c
The next result concerns the analyticity of solutions of the heat equation
on any time slice.
Theorem 5.2.10. Let u be a C2" -solution of ut - Du = 0 in QR(xo, to) for

t) is analytic in BR(xo) for
some (xo, to) E ]E8n x ][8 and R> 0. Then
t) is
any t e (to - R2, to]. Moreover, for any nonnegative integer k, at
analytic in BR(xp) for any t e (to - R2, to].
The proof is identical to that of Theorem 4.1.14 and is omitted. In

general, solutions of ut - Du = 0 are not analytic in t. This is illustrated by
Proposition 5.2.6.
5. Heat Equations
172
5.2.3. Nonhomogeneous Problems. Now we discuss the initial-value

problem for the nonhomogeneous equation. Let f be continuous in ll8x
(O,oo). Consider
ut - Du = f
lri ll8n X (0, oo),
u(.,O)=O
onRTh.
Let K be the fundamental solution of the heat equation as in (5.2.3),

1
K(x, t) _
1x12
(4irt) 2
e- 4t
for any (x,t) E I[8Th x (O,oo). Define
(5.2.5)
u(x, t) =
fJ
K(x - y, t - s) f (y, s) dyds,
for any (x, t) E ][8n x (0, oo). If f is bounded in ll8n x (0, oo), it is straightforward to check that the integral in the right-hand side of (5.2.5) is well
defined and continuous in (x, t) E ll8Th x (0, oo). By Lemma 5.2.2(4), we have
t
I< sup Iflff K(y, s ) dyds = t

x (o,t)
sup
If I
11n x (o,t)
Hence
ast-+0.
fn
To discuss whether u is differentiable, we note that
1
x2 _ 1j
(x, t) _ - (4irt) n2 2t e 4t
(x,t) =
(xx _ Szj
4t2
(4irt)
Ii
4t
2t
For any t> 0, by the change of variables x = 2z/, we have

IK(x, t) I dx =
e -Iz12 1z2I dz =
-7r2/ n
Vt
1
n
in
and
1
J IKxx(x,t)Idx=
n
Hence
E Ll(I[8n x (O, T)) and

formal differentiation of (5.2.5) yields
(5. 2.6)
u(x, t) _
z2 zi -
bi j
edz.
L1(Il8' x (O, T)) for any T> 0. A
ff
(x - y, t - s) f (y, s) dyds.
fl
173
We denote by I the integral in the right-hand side. If f is bounded in

1[8Th x (0,oo), then
ff
t
sup
If I
R X (o,t)
(x - y, t - s) I dyds
n
1
ds =
If I Jo
2\/
sup
If I
(t - s)
(,t)
R
Hence, the integral in the right-hand side of (5.2.6) is well defined and continuous in (x, t) E 1[8n x (0, oo). We will justify (5.2.6) later in the proof
of Theorem 5.2.11 under extra assumptions. Even assuming the validity
of (5.2.6), we cannot continue differentiating (5.2.6) to get the second xderivatives of u if f is merely bounded, since
Ll (][8' x (0, T)) for
any T > 0. In order to get the second x-derivatives of u, we need extra
assumptions on f.
x (o ,t)
Theorem 5.2.11. Let f be a bounded continuous function in ][8n x (0, oo)

with bounded and continuous 0 f in ][8Th x (0, oo) and u be defined by (5.2.5)
for (x, t) E I[8n x (0, oo). Then u is C2" in 1[8Th x (0, oo) and satisfies
ut - Du = f
in 1[8" x (0, oo),
and for any xo E Ian,
u(x, t) = 0.
lim
(x,t)-+(xo,O)
Moreover, if f is smooth with bounded derivatives of arbitrary order in W x

(0, oo), then u is smooth in Rn x (0, oo).
Proof. We first assume that f and V f are continuous and bounded in

I[8' x (0, oo). By the explicit expression for K and the change of variables
y = x + 2z t - s, we obtain from (5.2.5) that
u(x, t) =
(5.2.7)
7r 2
ff
eII2 f (x + 2z
s) dzds,
for any (x, t) E 1[8n x (0, oo). It follows easily that the limit of u(x, t) is zero
ast-*0.
u(x,
t) =
x2
72
e-Izl2Dx2,f(x
1n
o2
t- s s) dzds
+ 2z,
2 t-s af (x + 2z
1
72
n
Upon integrating by parts, we have
uxi(x, t) =
n
?f 2
Rn
z2
t-5
f(x + 2z t
s) dzds.
s, s) dzds.
5. Heat Equations
174
(We note that this is (5.2.6) by the change of variables y = x + 2z t - s.)

A differentiation under the integral signs yields
1n ff _Iz12
e
7r2
z2
t-5
fXj (x + 2z t
- s, s) dzds.
A similar differentiation of (5.2.7) yields
ut(x, t) =
1n
7.2
e_Iz12f
(x, t) dz
n
7T 2
e_I zl2
z2
n 2=1
(x + 2z t
- s, s) dzds.
In view of the boundedness of V f , we conclude that ut and Ux x3 are
continuous in (x, t) E Rn x (0, oo). We note that the first term in the righthand side of ut (x, t) is simply f(x, t). Hence,
n
ut (x, t) - 0U (x, t) = ut (x, t) -
Cx t) = f(x,t),
i=1
for any (x,t) E IIS"' x (0,oo).
If f has bounded x-derivatives of arbitrary order in II8Th x (0, oo), by

(5.2.7) we conclude that x-derivatives of U of arbitrary order exist and are
continuous in I[8x (0, oo). By the equation Ut = 0U + f, we then conclude
that ut and all its x-derivatives exist and are continuous in ll8n x (0, oo).
Next,
utt = Dut + ft = 0
+1) + ft.
Hence wtt and all its x-derivatives exist and are continuous in I[8x (0, oo).
Continuing this process, all derivatives of u exist and are continuous in

W1x(0,oo).
U
By combining Theorem 5.2.3 and Theorem 5.2.11, we conclude that,
under the assumptions on uo and f as above, the function u given by
w(x, t) =
K(x - y, t)uo (y) dy

t
+1!
K(x-y,t-s)f(y,s)dyds
en
is a solution of
26t - L2G = f
lri fin" X (0,00),
U(,0)U0 onR.
Theorem 5.2.11 is optimal in the C-category in the sense that the
smoothness of f implies the smoothness of U. However, it is not optimal
175
concerning finite differentiability. In the equation ut - Du = f, f is re-
lated to the second x-derivatives and the first t-derivative of u. Theorem

5.2.11 asserts that the continuity of f and its first x-derivatives implies the
continuity of Vu and ut. It is natural to ask whether the continuity of
f itself is sufficient. This question has a negative answer, and an example
can be constructed by modifying Example 4.4.4. Hence, spaces of functions
with continuous derivatives are not adequate for optimal regularity. What
is needed is the Holder spaces adapted to the heat equation, referred to as
the parabolic Holder spaces. The study of the nonhomogeneous heat equation, or more generally, nonhomogeneous parabolic differential equations, in
parabolic Holder spaces is known as the parabolic version of the Schauder
theory. It is beyond the scope of this book to give a presentation of the
Schauder theory. Refer to Subsection 4.4.1 for discussions of the Poisson
equation.

In this section, we discuss the maximum principle for a class of parabolic
differential equations slightly more general than the heat equation. As applications of the maximum principle, we derive a priori estimates for mixed
problems and initial-value problems, interior gradient estimates and the Harnack inequality.
5.3.1. The Weak Maximum Principle. Let D be a domain in Il8Th x R.

The parabolic boundary apD of D consists of points (xO, to) E 8D such that
Br(X) x (to - r2, to] contains points not in D, for any r > 0. We denote by
C2" (D) the collection of functions in D which are C2 in x and Cl in t.
We often discuss the heat equation or general parabolic equations in

cylinders of the following form. Suppose St C Il8" is a bounded domain. For
any T> 0, set
StT=Stx(O,T]={(x,t): xESt,O<t<T}.
We note that StT includes the top portion of its geometric boundary. The
parabolic boundary BpStT of StT is given by
(s X {t = o}) u (asp X (0,T]) u (asp X {o}).
In other words, parabolic boundary consists of the bottom, the side and the
bottom corner of the geometric boundary.
For simplicity of presentation, we will prove the weak maximum principle
only in domains of the form 12T. We should point out that the results in
this subsection hold for general domains in Rx R.
We first prove the weak maximum principle for the heat equation, which
asserts that any subsolution of the heat equation attains its maximum on
5. Heat Equations
176
the parabolic boundary. Here, a C2" (T)-function u is a subsolution of the

heat equation if ut - Du < 0 in SZT.
Theorem 5.3.1. Suppose U E C2"(S2T) fl C(S2T) satisfies
ut-Du<0 inS2T.
Then u attains on 8PS2T its maximum in S2T, i. e.,
maxis = max u.
ap T
Proof. We first consider a special case where ut - Du < 0 and prove that
u cannot attain in StT its maximum in StT. Suppose, to the contrary, that
there exists a point Po = (xo, to) E StT such that
u(Po) =maxis.
Then
0 and the Hessian matrix
is nonpositive definite.
Moreover, ut(Po) = 0 if to e (O, T), and ut(Po) > 0 if to = T. Hence

ut - Du > 0 at Po, which is a contradiction.
We now consider the general case. For any s > 0, let
U6(X,t) =U(x,t)-Et.
Then
(D,-L)U6=ut-ou-E<0.
By the special case we just discussed, u6 cannot attain in SZT its maximum.
Hence
max u6 = max u6 .
8p T
Then
max u (x, t) = max(u6 (x, t) + Et)) < max u (x, t) + ET
= max u6 (x, t) + ET < max u(x, t) + sT.

ap T
ap cT
Letting E - 0, we obtain the desired result.
Next, we consider a class of parabolic equations slightly more general

than the heat equation. Let c be a continuous function in SZT. Consider
Lu = ut - Du -I- cu in S2T.
We prove the following weak maximum principle for subsolutions of L. Here,
a C2"(StT)-function u is a subsolution of L if Lu < 0 in SZT. Similarly, a

C2'1 (T)-function u is a supersolution of L if Lu > 0 in S2T.
177
Theorem 5.3.2. Let c be a continuous function in SZT with c > 0. Suppose

u E C2'1(S2T) fl C(SZT) satisfies
ut-DU+cu<0
in S2T.
Then u attains on apI T its nonnegative maximum in SZT, i. e.,

m_ax u_< max u+ .
ap T
SZT
We note that u+ is the nonnegative part of u given by u+ = max{0, u}.

The proof of Theorem 5.3.2 is a simple modification of that of Theorem 5.3.1
and is omitted.
Now, we consider a more general case.
Theorem 5.3.3. Let c be a continuous function in S2T with c > -co for a
nonnegative constant co. Suppose u E C2" (SZT) fl C(S2T) satisfies
ut - Du + cu
in S2T,
u<0 onD ZT.

Then u < 0 in SZT.
Continuous functions in 12T always have global minima. Therefore, c >

-co in S2T for some nonnegative constant co if c is continuous in S2T. Such
a condition is introduced to emphasize the role of the minimum of c.
Proof. Let v(x, t) = e-c0tu(x, t). Then u = c0tv and

ut - Du + cu = eC0t (vt - Ov -I- (c -I- co)v).
Hence
vt -Ov+ (c+co)v <0.

With c + co > 0, we obtain, by Theorem 5.3.2, that
m_ax v < max v+ = max
ap T
SZT
ap T
e-C0tu+
= 0.
Hence u < 0 in SZT .
The following result is referred to as the comparison principle.
Corollary 5.3.4. Let c be a continuous function in SZT with c > -co for a
nonnegative constant co. Suppose u, v E C2"(S2T) f1 C(T) satisfy
ut - Du - cu < vt - Ov - cv
u<v onD fZT.
Then u<vinlT.
in S2T,
5. Heat Equations
178
In the following, we simply say by the maximum principle when we apply

Theorem 5.3.2, Theorem 5.3.3 or Corollary 5.3.4.
Before we discuss applications of maximum principles, we compare maximum principles for elliptic equations and parabolic equations. Consider
Leu = -Du + c(x)u
in SZ
and
Lpu = ut - Du + c(x, t)u in I T - I x (O,T).

We note that the elliptic operator Le here has a form different from those
in Section 4.3.1, where we used the form 0 + c. Hence, we should change
the assumption on the sign of c accordingly. If c > 0, then
Leu < 0 = u attains its nonnegative maximum on aSZ,
Lpu < 0 = u attains its nonnegative maximum on apSZT.
If c - 0, the nonnegativity condition can be removed. For c > 0, comparison
principles can be stated as follows:
Leu<LevinSZ, u<vonaSZ
u<vinSZ,
Lpu < Lpv in QT, u < v on D I T = u < v in I T.

In fact, the comparison principle for parabolic equations holds for c > -CO,
for a nonnegative constant co.
In applications, we need to construct auxiliary functions for comparisons. Usually, we take x12 or
for elliptic equations and Kt + 1x12 for
parabolic equations. Sometimes, auxiliary functions are constructed with
the help of the fundamental solutions for the Laplace equation and the heat
equation.
5.3.2. The Strong Maximum Principle. The weak maximum principle asserts that subsolutions of parabolic equations attain on the parabolic
boundary their nonnegative maximum if the coefficient of the zeroth-order
term is nonnegative. In fact, these subsolutions can attain their nonnegative maximum only on the parabolic boundary, unless they are constant
on suitable subsets. This is the strong maximum principle. We shall point
out that the weak maximum principle suffices for most applications to the
initial/boundary-value problem with values of the solutions prescribed on
the parabolic boundary of the domain.
We first prove the following result.
Lemma 5.3.5. Let (xo, to) be a point in ][8n x ][8, R and T be positive
constants and Q be the set defined by
Q = BR(XO) x (to - T, ta].
179
Suppose c is a continuous function in Q and u e C2"(Q) fl C(Q) satisfies
ut - Du + cu > 0 in Q.
If u > 0 in Q and
u(xo,to -T) >0,

then
u(x, t) >0 for any (x,t) e Q.

Lemma 5.3.5 asserts that a nonnegative supersolution, if positive somewhere initially, becomes positive everywhere at all later times. This can be
interpreted as infinite-speed propagation.
Proof. Take an arbitrary t* E (to - T, to]. We will prove that

u(x, t*) > 0 for any x E BR(xo).
Without loss of generality, we assume that xo = 0 and t* = 0. We take

a > 0 such that to - T = -aR2 and set
D = BR x (-cR2,0].
By the assumption u(0, -aR2) > 0 and the continuity of u, we can assume
that
u(x, -aR2) > m for any x E BER,
for some constants m > 0 and E (0, 1). Here, m can be taken as the
(positive) minimum of
-aR2) on BER
Now we set
(
Do={(x,t)EBRx(-aR2,0]:
Ixl2-1
l
It is easy to see that
t<R2 CD.
Don{t=0}=BR, Doff{t=-aR2}=BER
Set
2
wl (t)
t + R2
1w2(x,t) = wl(t) - 1x12 =
a t +R2-1x12,
and for some j3 to be determined,

w = w1
We will consider w 1, W2 and w in D0.
5. Heat Equations
180
Figure 5.3.1. The domain D0.
We first note that e2R2 < wl < R2 and w2 > 0 in Do. A straightforward
calculation yields
wt - _Qurl Q-18tw1w2 -I- 2wiw2atw2
2(1 - e2)W1w21
= wi Q_1 (-Q(1 a
and
Ow = wi (2w20w2 -I- 2IOw2I2) = W18 (-4flW2 + 81x12).
Since 1x12 = wl - w2, we have
Ow = wi (8w1 - (4n -I- 8)2v2) = wi

Therefore,
wt - Ow + cw = w1 _1
1(8w?
- (4n + 8)w1w2).
(((1_E2))2
a
-I- 4n -I- 8
w1w2 -8w?
Hence
wt - 0 2v -I- c2v < -wi
(((1_ e2) - R21c1) w2

(2(1 - E2)
1
21
+ 4n +8) 2v1w2 -I- 82v1).
The expression in the parentheses is a quadratic form in wl and w2 with a

positive coefficient of wi. Hence, we can make this quadratic form nonnegative by choosing Q sufficiently large, depending only on e, a, R and sup id.
Hence,
wt - Ow + cw < 0 in Do.
181
Note that the parabolic boundary apDO consists of two parts
and 2
given by
lxi <ER, t = -cR2},
= {(x,t)
_ {(xt): Ixl2 _
' t = R2, -R2

2
For (x, t) E El, we have t = -aR2 and lxi < ER, and hence
w(x, -aR) _
(E2R2)-Q(E2R2
_ Ix12)2
(ER)-2Q+4
Next, on 2, we have w = 0. In the following, we set
v = m(ER)24w in Do,
where m is the minimum of u over
defined earlier. Then
vt - Ov + cv < 0 in Do,
and
v m on El and u > 0 on E2. In conclusion,
vt - Ov + cv < Ut - pu + cu in Do,
v mE2Q-4 (1
- IR2 )
for any x E BR.
This implies the desired result.
We point out that the final estimate in the proof yields a lower bound
of u over BR x {0} in terms of the lower bound of u over BER x {-cJl2}.
This is an important estimate.
Now, we are ready to prove the strong maximum principle.
Theorem 5.3.6. Let S2 be a bounded domain in ][8n and T be a positive

constant. Suppose c is a continuous function in S2 x (0, T] with c > 0, and
x (0, T]) satisfies
ue
ut - Du + cu < 0 in St x (0, T].

If for some (x*, t*) E SZ x (O, T],
u(x*, t*) = sup u > 0,

six (o,T]
5. Heat Equations
182
u(x, t) = u(x*, t*)
for any (x, t) E Sl x (0, t*).
M= sup u> 0,
1 x (O,T]
v=M-u in1x(0,TJ.
Then v(x*, t*) = 0, v > 0 in 1 2 x (0,TJ and
vt - Ov + cv > 0 in St x (O, T].

We will prove that v(xo, to) = 0 for any (xO, to) E Sl x (0, t*).
To this end, we connect (xO, to) and (x*, t*) by a smooth curve ry C
Sl x (0, TJ along which the t-component is increasing. In fact, we first connect
xo and x* by a smooth curve -yo = yo(s) C St, for s E [0, 1], with yo(O) = xo
and yo(l) = x*. Then we may take ry to be the curve given by (yo(s), st* +
(1 - s)to). With such a -y, there exist a positive constant R and finitely
(x*, t*)
Figure 5.3.2. y and the corresponding covering.
many points (xk, tk) on y, for k = 1,

that
N, with (xN, tN) _ (x*, t*), such
N-1
-y c U
=o
x {tk,tk + RZ] c 12 x (0, T].
We may require that tk = tk_1 -}- RZ for k = 0,

, N - 1.
If v(xo, to) > 0, then, applying Lemma 5.3.5 in BR(xo) x [to, tp -}- R2],
we conclude that
v(x, t) > 0 in BR(xo) x (to, to + RZJ,

and in particular, v(xl, ti) > 0. We may continue this process finitely many
times to obtain v(x*, t*) = v(xN, tN) > 0. This contradicts the assumption.
O
Therefore, v(xo, to) = 0 and hence u(xo, to) = M.
183
Related to the strong maximum principle is the following Hopf lemma

in the parabolic version.
Lemma 5.3.7. Let (xO, to) be a point in ][8n x ][8, R and r be two positive
constants and D be the set defined by
D = {(x, t)E I[8n X R: It c to}.

Suppose c is a continuous function in D with c > 0, and u e C2" (D) fl C(D)
satisfies
ut-Du+cu<0 in D.
Assume, in addition, for some x e ]I8n with x - xol = R, that
u(x, t) < u(x, to) for any (x, t) E D and u(x, to) > 0,
u(x, t) < u(x, to) for any (x, t) E D with Ix - xol < R.
If Vu is continuous up to (x, to), then
v = (x - xo)/Ix - xol
Proof. Without loss of generality, we assume that (xO, to) _ (0, 0). Then
D={(x,t)E][8Thx][8: IxI2-t<R2, t<0}.

By the continuity of u up to aD, we have
u(x, t) < u(x, 0) for any (x, t) E D.
For positive constants a and e to be determined, we set
w(x, t) = e_2_7t) and
v(x, t) = u(x, t) - u(x, 0) + ew(x, t).

We consider w and v in
{(xt)
A direct calculation yields
- 2m a - a - c) - ce-RZ
G -e-aI2-t) (42IxI2 - 2na - rya - c),
wt - Ow + cw =
(4a2IxI2
where we used c > 0 in D. By taking into account that R/2 < IxI < R in
Do and choosing a sufficiently large, we have
4a2IxI2
- 2na - u7a - c > 0 in Do,
5. Heat Equations
184
Figure 5.3.3. The domain D0.
and hence
wt - Ow +cw < 0 in Do.

Since c> 0 and u(x, 0) > 0, we obtain for any s> O that
vt - Ov + cv = ut - Du + cu + e(wt - Ow +cw) - cu(x, 0) < 0 in Dp.
The parabolic boundary BDo consists of two parts E1 and E2 given by
E1 =
E2 =
{(x,t): IxI2-t < R2, t < 0, ixl= ZR ,

J
{(x,t):
-rat = R2, t < 0, lxi? 2R}.
First, on E1i we have u - u(x, 0) <0, and hence u - u(x, 0) <-s for some
s> 0. Note that w < 1 on El. Then for such an e, we obtain v <0 on E1.
Second, for (x,t) E E2, we have w(x, t) = 0 and u(x, t) < u(x, 0). Hence
v(x, t) < 0 for any (x, t) E E2 and v(x, 0) = 0. Therefore, v < 0 on E2. In
conclusion,
vt - Ov + cv < 0 in Do,
v<0
v<0 in Do.
Then, by v(x, 0) = 0, v attains at (x, 0) its maximum in Do. In particular,
v (x, 0) < v (x, 0)
for any x e BR \ B 2 R.
Hence, we obtain
and then
>
au
(x, 0) _
av
13w
-sa(x,
0) _
v
2scxRe_
R2
> 0.
185
To conclude our discussion of the strong maximum principle, we briefly

compare our approaches for elliptic equations and parabolic equations. For
elliptic equations, we first prove the Hopf lemma and then prove the strong
maximum principle as its consequence. See Subsection 4.3.2 for details. For
parabolic equations, we first prove infinite speed of propagation and then
obtain the strong maximum principle as a consequence. It is natural to ask
whether we can prove the strong maximum principle by Lemma 5.3.7, the
parabolic Hopf lemma. By an argument similar to the proof of Theorem

4.3.9, we can conclude that, if a subsolution u attains its nonnegative maximum at an interior point (x0, to) E 1 x (0, T], then u is constant on 1 x {t0}.
In order to conclude that u is constant in SZ x (0, t0) as asserted by Theorem
5.3.6, we need a result concerning the t-derivative at the interior maximum
point, similar to that concerning the x-derivative in the Hopf lemma. We

will not pursue this issue in this book.
5.3.3. A Priori Estimates. In the rest of this section, we discuss applications of the maximum principle. We point out that only the weak maximum
principle is needed.
As the first application, we derive an estimate of the sup-norms of solutions of initial/boundary-value problems with Dirichlet boundary values.
Compare this with the estimate in integral norms in Theorem 3.2.4.
As before, for a bounded domain 1 C Rn and a positive constant T, we
set
12T=12x(0,T]={(x,t): xE12,0<t<T}.
Theorem 5.3.8. Let c be continuous in StT with c > -CO for a nonnegative
constant co. Suppose u e C2" (fT) fl C(T) is a solution of
ut - Du -I- cu = f
in StT,
u(.,0)=u
onf,
u = cp
on 8S2 x (0, T),
for some f e C(ST), uo E C(St) and cp e C(aSZ x [0, T]). Then
sup ui < epT (max sup iuoi,
sup
asp X (o,T)
cz
i(ioi } -I- Tsup ill

siT
Proof. Set Lu = ut - Du -+- Cu and
B = max sup iuoI, sup

ci
asp X (o,T)
F = sup if I.
ciT
5. Heat Equations
186
Then
L(fu) < F in StT,
fu 0 and eC0t > 1 in S2T, we have
Lv = (co + c)ec0t(B + Ft) + ecOtF > F in StT

and
v>B on3f.
Hence,
L(fu) < Lv in StT,
fu < v
on apS2T.
fu < v
in StT.
Therefore,
Iu(x, t) I < e0t(B + Ft)

This implies the desired estimate.
for any (x,t) E S2T.

O
Next, we derive a priori estimates of solutions of initial-value problems.
Theorem 5.3.9. Let c be continuous in I[8n x (O, T] with c > -co for a
nonnegative constant co. Suppose u e C2"(]E8n x (O, T]) fl C(II87 x [O, T]) is
a bounded solution of
ut - Du + cu = f
in ]E8" x (0, T],
onTW,
Then
for some bounded f e C(II8n x (O, T]) and uo E

sup
Ian x (O,T)
U I < ecOT
(sup lUol + T sup
II
R x (o,T)
If
We note that the maximum principle is established in bounded domains

such as S2 x (0, T]. In studying solutions of the initial-value problem where
solutions are defined in W x (0, T], we should first derive suitable estimates
of solutions in BR x (0, T] and then let R -f oo. For this purpose, we need to
impose extra assumptions on u as x -f oo. For example, u is assumed to be
bounded in Theorem 5.3.9 and to be of the exponential growth in Theorem
5.3.10.
187
Proof. Set Lu = ut - Du -I- cu and
F= sup
1Rx (o,T]
fl,
Il2
Then
L(fu) < F in ]I8" x (O, T],
fu 0, consider
w (x, t) = eC0t (B + Ft) + VR (x, t)
in BR x (0, T],
where vR is a function to be chosen. By c + co > 0 and eC0t > 1, we have

Lw = (c + co)eC0t (B + Ft) + eCOtF + LvR > F + LvR
in BR x (0, T].
Moreover,
w(.,0) = B+VR(.,0) in BR,

and
w
yR
on EJBR X (0, T].
We will choose vR such that

LvR > 0 in BR x (0, T],
inBR,
vR > fu on 8BR X [0, T].
To construct such a vR, we consider
vR(x, t)
=Rept(2nt + IxI2).
Obviously, vR > 0 for t = 0 and vR > M on ixi = R. Next,

LvR = R2 ept(c -I- co)(2nt + ixi2) >0 in BR X (O, T].
With such a vR, we have
L(fu) < Lw in BR X (O, T],

fu < w on ap(BR x (O,T]).
Then the maximum principle yields fu < w in BR x (O, T]. Hence for any
(x,t) E BR x (0, T],
iu(x, t)l < eC0t(B + Ft) +
R2
eC0t(2nt + ix12).
Now we fix an arbitrary (x, t) E Il8n x (O, T]. By choosing R> lxi and then
letting R -+ oo, we have
lu(x,t)I :; ecot(B+Ft).
5. Heat Equations
188
This yields the desired estimate.

Next, we prove the uniqueness of solutions of initial-value problems for
the heat equation under the assumption of exponential growth.
Theorem 5.3.10. Let u E C2"(Il8n x (0, T]) fl C(Il8n x [O, T]) satisfy
Ut-LU=O inR7'x(O,T],
onR7.
Suppose, for some positive constants M and A,
Iu(x,t)I
for any (x,t) E Il8' x (0,T]. Then u - 0 in Il8n x [
Proof. For any constant a > A, we prove that
u=0 inRn x
0,
4a
We then extend u = 0 in the t-direction successively to [4 , 4 ],
,untilt=T.
[ 4 , 4
For any constant R> 0, consider

Ixl2
vR(x, t) =
n e1-4t,
(1 - 4at) 2
for any (x, t) E BR x (0,1/4a). We note that vR is modified from the

example we discussed preceding Theorem 5.2.5. Then
atvR O vR =
in
BR
R x (o,
4a
Obviously,
0) > 0 =
Next, for any (x, t) E DBR x (0,1 /4a),
in BR.
Me' 2 > u(x, t).
vR(x, t) >
In conclusion,
fu < vR on 8P (BR x `10,
ll
fu<vR inBRx
Therefore,
I< vR(x, t)
for any (x,t) E BR x (o,
4a)
189
Now we fix an arbitrary (x, t) E ]I8" x (0,1/4a) and then choose R > xI
We note that vR(X, t) -+ 0 as R -+ oo, since a > A. We therefore obtain
u(x,t)=0.
5.3.4. Interior Gradient Estimates. We now give an alternative proof,
based on the maximum principle, of the interior gradient estimate. We do
this only for solutions of the heat equation. Recall that for any r > 0,
Qr = Br X (r2,0].
Theorem 5.3.11. Suppose u E C2"(Q1) fl C(Ql) satisfies
ut-Du=O inQl.
Then
sup I Vu I < C sup Iui,

aPQi
where C is a positive constant depending only on rL.
The proof is similar to that of Theorem 4.3.13, the interior gradient

estimate for harmonic functions.
Proof. We first note that u is smooth in Q by Theorem 5.2.7. A straightforward calculation yields
n
(at - )IVuI2 = -2
(ut
+2
i,j=1
n
i=1
= -2
z,j=1
To get interior estimates, we need to introduce a cutoff function. For any

smooth function cp in C(Q1) with suppcp C
we have
(at - o)(ploxul2) _ (pt n
-4
( uu- 2cp
i,j=1
i,j=1
Now we take cp = rj2 for some r) E C(Q1) with r) - 1 in Q1/2 and supp r) C
Q3/4. Then
(at -
(2rnt - 2rjL
j_
- 8j
i,j=1
i,j=1
By the Cauchy inequality, we obtain
I`8j
2r)2
WT ' +
9
5. Heat Equations
190
Hence,
ioxui2
(at -
<
C is a positive constant depending only on r and n. Note that
2u(ut - Du) _
(at - L)(u2) _
By taking a constant a large enough, we get
au2) <(C -
(at -
<0.
sup(i2IDyuI2 + au2) < sup (2IVuI2 +au2).

Qi
aPQi
This implies the desired result since ri = 0 on 8Q1 and ri = 1 in Q1/2.
5.3.5. Harnack Inequalities. For positive harmonic functions, the Harnack inequality asserts that their values in compact subsets are comparable.
In this section, we study the Harnack inequality for positive solutions of the
heat equation. In seeking a proper form of the Harnack inequality for solutions of the heat equation, we begin our discussion with the fundamental
solution.
We fix an arbitrary e Rn and consider for any (x, t) E Rn x (0, oo),
1
u(x, t) =
(4irt) 2
e-
Ix-12
4t
Then u satisfies the heat equation ut - Ou = 0 in Rn x (0, oo). For any

(x1, t1) and (x2, t2) E Rn x (0,oo),
n
_u(x2, t2)
26(x1, t1)
(t2
t1
Ix2_I2
4t2
Ixl_I2
4tl
Recall that
(p+q)2
p2
a+b
q2
+ b'
for any a, b > 0 and any p, q e R, and the equality holds if and only if
by = aq. This implies, for any t2 > tl > 0,
1x2
t2
< 1x2 -x112 + Ixi - IZ

t2 _ tl
tl
and the equality holds if and only if
e=
12x1 - t1 x2
t2 - t1
191
Therefore,
-ti
t2
u(xi, ti) $
1x2-x112
4(t2-tl)u(x2, t2),
for any x i , x2 E W and any t2 > ti > 0, and the equality holds if is chosen
as above. This simple calculation suggests that the Harnack inequality for
the heat equation has an "evolution" feature: the value of a positive solution
at a certain time is controlled from above by the value at a later time. Hence,
if we attempt to establish the estimate
u(xi, ti) < Cu(x2, t2),
the constant C should depend on t2/ti, 1x2 - x i , and most importantly
(t2 - ti)-i(> 0).

Suppose u is a positive solution of the heat equation and set v = log u.
In order to derive an estimate for the quotient
u(xi, ti)
u(x2, t2)
it suffices to get an estimate for the difference
v(xi, ti) - v(x2, t2).

To this end, we need an estimate of vt and IVvI. For a hint of proper
forms, we again turn our attention to the fundamental solution of the heat
equation.
Consider for any (x, t) E W x (0, oo),
1
u(x, t ) =
ne
_ 1x12
4t
(4irt)2
Then
v(x, t) = l og u (x, t)
and hence
n
vt
_ - 2 l og( 4t) -
1x12
2t + 4t2 '
2
I
4t
'
x
v
2t
Therefore,
2t +
vt
IVVI2.
We have the following differential Harnack inequality for arbitrary positive solutions of the heat equation.
Theorem 5.3.12. Suppose u E C2'1(Il8n x (O, T]) satisfies
ut = Du,
u>0
in Il8" x (O, T].
Then v = log u satisfies

Vt +
VV
in RTh x (0,T].
5. Heat Equations
192
The differential Harnack inequality implies the Harnack inequality by a

simple integration.
Corollary 5.3.13. Suppose u E C2>1(II8n x (0, T]) satisfies
ut = Du,
u > 0 in ][8n x (O, T].
Then for any (Xi, tl), (x2, t2) E II87 x (0, TJ with t2 > ti > 0,
u(xl,tl)
t2
u(x2, t2)
\ti j
11x2-x112
4(t - ti)
Proof. Let v = log u be as in Theorem 5.3.12 and take an arbitrary path

x = x(t) for t E [t1, t2] with x(t) = x2, i = 1, 2. By Theorem 5.3.12, we
have
dtv(x(t),
t) = vt + Ov dt > IVvI2 - v dt - 2t
d> -t
By completing the square, we obtain
tv(x(t), t)
I dI
2t
Then a simple integration yields

t2
v(xl, tl) < v(x2i t2) - Z
-4
log t?1
dx
dt.
dt
tl
To seek an optimal path which makes the last integral minimal, we require
d2x
dt 2
=0
along the path. Hence we set, for some a, b E W,
x(t) = at + b.
Since x2 = at + b, i = 1, 2, we take
x2 xi
a=
b = t2xi
t2 - ti
tix2
t2 - ti
Then,
t2
tl
dx
dt = 1x2-x112
t2-tl
dt
2
v(xi,ti)
v(x2,t2) - n log t? + 1 1x2 - xl
or
u(xl,t1) <
u(x2,t2)
This is the desired estimate.
ti
-tl
t2
ex
t2 - tl
12- xll2
4(t2 - ti)
0
193
Now we begin to prove the differential Harnack inequality. The basic

idea is to apply the maximum principle to an appropriate combination of
derivatives of v. In our case, we consider IVvI2 - vt and intend to derive an
upper bound. First, we derive a parabolic equation satisfied by IVVI2 - Vt. A
careful analysis shows that some terms in this equation cannot be controlled.
So we introduce a parameter a e (0, 1) and consider
vt instead.
After we apply the maximum principle, we let a -4 1. The proof below is

probably among the most difficult ones in this book.
Proof of Theorem 5.3.12. Without loss of generality, we assume that u

is continuous up to {t = 0}. Otherwise, we consider u in Il8n x [E, T] for any
constant s E (O, T) and then let E -4 0. We divide the proof into several
steps. In the following, we avoid notions of summations if possible.
Step 1. We first derive some equations involving derivatives of v = log u.
A simple calculation yields
vt = Ov -I-
IVvI2.
Consider w = Ov . Then
Wt = Ovt =
(zV + 1= Ow -I- OIOvI2.
Since
21V2v12 + 20V 0(Ov) = 21V2v12 -I- 20V Ow,

we have
(5.3.1)
Note that Vv is to be controlled and appears as a coefficient in the equation

(5.3.1). So it is convenient to derive an equation for VV. Set iu = IVVI2.
Then,
iut = 20v Ovt = 2Vv 0(Ov + IVvI2)

= 2VV V(LV) + 2VV Vw
= IVVI2 - 2102v12 + 20V Oiu
= Oiu + 20V Therefore,

(5.3.2)
Note that, by the Cauchy inequality,

n
1V2V12 =
i,j=1
V.
n
i=1
(Vxx)i
i=1
= n-1 (oV)2.
5. Heat Equations
194
Hence, (5.3.1) implies

2
-w2.
n
Step 2. For a constant a E (0, 1), set
f=
Vt.
Then
f = IVvI2 - Ov - IVvI2 = -Ov - (1 - a)lOvl2
= -w - (1- c)t,
and hence by (5.3.1) and (5.3.2),
ft-LV-2Vv'Vf=-2oIV2vI2.
Next, we estimate 102v12 by f. Note that
- vt)2 - n ((1 - a)1vv12 +
n (lVvI2
IV2vI2>
1(f2 + 2(1 - )lVvl2f + (1- )2IVvI4)

>
+ 2(1 - )IVvI2f).
We obtain
(5.3.3)
ft-Of
<-2n (f2+2(1-a)IVvI2f).
We should point out that 1Vv12 in the right-hand side plays an important
role later on.
Step 3. Now we introduce a cutoff function cp E C( W) with cp > 0
and set
g=
We derive a differential inequality for g. Note that
9t = Pf +
t f VcP,
09 = too f + 2tvp V f + t fog.
195
Then,
9t -
f = v9 -
v-s,
(vg -
tcp0 f = Dg - 2
g)
=g-2.Vg+(2
)g.
Multiplying (5.3.3) by t2cp2 and substituting It, V f and L f by above equalities, we obtain
09) -I- 2t(Vcp - (ppv) Vg
< g Jcp
l
2a
- ng
+ t (2
4a(1 - a)
n
OcP
2Vcp pv/
To eliminate IVvI from the right-hand side, we complete the square for the
last two terms. (Here we need a < 1! Otherwise, we cannot control the
expression -2V(p Vv in the right-hand side.) Hence,
tcP(gt - D9) + 2t(Vcp - (pOv) Vg
v2
2n1V12
-DAP+4a(1
(p
l
)3'
whenever g is nonnegative. We point out that there are no unknown expressions in the right-hand side except g. By choosing cp =
r > 0, we get
r
tr12(9t - Og) -I-- 2t(2rlVil
<g
2
- iJZVv)
'
V9
- 2a g + t 6V7 -2i&+ a(1-a)'

I
I2
e Co (B1), with
1 in Bi12. For any fixed R > 1, we consider
whenever g is nonnegative. Now we fix a cutoff function
0<
1 in Bl and
Then
(6IvI2 -
-I-
a(1- a)
IVI2) (x)
a(in a)
= R2
CR)
Therefore, we obtain that in BR x (0, T),
Dg) +
Ctl
(2a
Vg < g 1 - n g -I- RZ
5. Heat Equations
196
whenever g is nonnegative. Here, C is a positive constant depending only

on a and r)o. We point out that the unknown expression Vv in the left-hand
side appears as a coefficient of Vg and is unharmful.
(5.3.4)
2Z
l---+-->
in BR x (O, T].
Note that g vanishes on the parabolic boundary of BR x (0, T) since g = trj2 f .
Suppose, to the contrary, that
2a
Cat
h-1- ng+
R2
has a negative minimum at (xO, to) E BR x (0, T]. Hence,
h(xo,to) < 0,
and
ht < 0, Oh = 0, Oh > 0 at (xo, to).

Thus,
9(xo, to) > 0,
and
gt > 0, Vg=0, Og < 0 at (xp, tp).

Then at (xO, to), we get
0<
Og) + 2t(2i1Vi1- i12Vv) Vg
2c
Cat"
This is a contradiction. Hence (5.3.4) holds in BR x (0, T).

(5.3.5)
1- 2n tr)2(aiVvi2 - vt) + R2
> 0 in BR x (0,T].
For any fixed (x, t) E Ilgn x (O, T], choose R> lxi. Recall that r,i =
and rjo = 1 in B112. Letting R -+ oo, we obtain
2c
2
1--t(ciVVi
-Vt) 0.
72
We then let a -+ 1 and get the desired estimate.
We also have the following differential Harnack inequality for positive

solutions in finite regions.
5.4. Exercises
197
Theorem 5.3.14. Suppose u e
x (0, 1]) satisfies
ut - Du = 0, u > 0 in Bl x (0, 1].

Then for any a e (0,1), v = log u satisfies
vt - a(VvI2 +
C > 0 in B112 x (0, 1],

2at +
where C is a positive constant depending only on n and a.
Proof. We simply take R = 1 in (5.3.5).

Now we state the Harnack inequality in finite regions.
Corollary 5.3.15. Suppose u e C2"(B1 x (0, 1]) satisfies
ut - Du = 0, u > 0 in Bl x (0, 1].

Then for any (xi, tl), (x2, t2) E B112 x (0, 1] with t2 > ti,
u(xl, tl) < Cu(x2, t2),
where C is a positive constant depending only on n, t2/ti and (t2 - t1)'.

The proof is left as an exercise.
We point out that u is assumed to be positive in Theorem 5.3.14 and

only nonnegative in Corollary 5.3.15.
The Harnack inequality implies the following form of the strong maxi-
mum principle: Let u be a nonnegative solution of the heat equation ut Du = 0 in Bl x (0, 1]. If u(xo, to) = 0 for some (xO, to) E Bl x (0, 1], then
u = 0 in Bl x (0, to]. This may be interpreted as infinite-speed propagation.
5.4. Exercises
Exercise 5.1. Prove the following statements by straightforward calculations:
(1) K(x, t) = t 2 e- 4t satisfies the heat equation for t> 0.

n
alxl2
(2) For any a > 0, G(x, t) = (1- 4at)- 2 e 1-4t satisfies the heat equation for t < 1/4a.
Exercise 5.2. Let uo be a continuous function in I[8n and u be defined in

(5.2.4). Suppose uo(x) -+ 0 uniformly as x -+ oo. Prove
lim u(x, t) = 0 uniformly in x.
t-+oo
Exercise 5.3. Prove the convergence in Theorem 5.2.5.
5. Heat Equations
198
Exercise 5.4. Let uo be a bounded and continuous function in [0, oo) with
uo(0) = 0. Find an integral representation for the solution of the problem
ut - u= 0
for x > 0, t > 0,
for x> 0,
u(0, t) = 0 fort > 0.
u(x, 0) = uo (x)
Exercise 5.5. Let u E C2"(][8x (-oo, 0)) be a solution of

in fin' X (-00,0).
2Gt - 02G = 0
Suppose that for some nonnegative integer m,

lU(X,t)l
C(1 + lxi +
for any (x, t) E II8"` x (-oo, 0). Prove that u is a polynomial of degree at
most m.
Exercise 5.6. Prove that u constructed in the proof of Proposition 5.2.6 is
smooth in ][8 x R.
Exercise 5.7. Let St be a bounded domain in ][8n and uo E C(St). Suppose

U E C2"(1 t x (0, oo)) fl C(SZ x [0, oo)) is a solution of
ut - Du = 0 in S2 x (0, oo),
U(,0)U0 on1,
ii=0 onD1x(0,oo).
Prove that
sup Jt) l < Ce-ut sup lUol for any t> 0,
st
where and C are positive constants depending only on n and SZ.
Exercise 5.8. Let St be a bounded domain in R, c be continuous in SZ x

[0, T] with c > -co for a nonnegative constant co, and uo be continuous in
St with uo > 0. Suppose U E C2"(1 Z x (0, T]) fl C(St x [0, T]) is a solution of
ut - Du -I- cu = -u2 in 1 2 x (0, T],
U(,0)U0 on1,
U=0 onD1x(0,T).
Prove that
0 1(St x (O, T]) fl
C(S2 x [O, T]) is a solution of
ut - Du = e-U - 1(x) in St x (O, T],
u(',0)=u onh,
U=(p onOhx(0,T).
Prove that
-M < u < TeM + M in SZ x (O, T],

where
M = T sup f + sup { sup IUoI,
sup
cp }
as)x(o,T)
I. s
Exercise 5.10. Let Q = (0,1) x (0, oo) and uo E Cl [0, l] with uo(0) _
uo(l) = 0. Suppose U E C3" (Q) fl Cl(Q) is a solution of
ut - uxx= 0 in Q,
U(., 0) = U0
on (0,1),
U(0,.)=U(l,.)=0 on(0,oo).
Prove that
sup ux I < sup U.

Q
[0,l]
Exercise 5.11. Let 12 be a bounded domain in W. Suppose ul,
,Urn E
C21(S2 x (0, T]) r1 C(SZ x [0, T]) satisfy
Otui = Dui
for i = 1,
in SZ x (0, T],
, m. Assume that f is a convex function in R"2. Prove that
sup f(Ui, ,Urn) <
f(U,,... ,Urn).
sup
8 (SZ x (O,T] )
S2 x (O,T]
Exercise 5.12. Let uO be a bounded continuous function in TR?. Suppose

U E C2" (W x (0, T]) n C(W x [0, T]) satisfies
ut-1u=0 inW' x (0,T],

0) = u0
on TW .
Assume that u and Du are bounded in W x (0, T]. Prove that

sup
t)I <
2tsup
n duo
for any t E (O, T].
Hint: With IU0 <M in W, consider

w = u2 + 2t1
M2.
200
Exercise 5.13. Prove Corollary 5.3.15.
5. Heat Equations
Chapter 6
Wave Equations
The n-dimensional wave equation is given by utt - Du = 0 for functions
u = u(x, t), with x E R and t E R. Here, x is the space variable and

t the time variable. The wave equation represents vibrations of strings or
propagation of sound waves in tubes for n = 1, waves on the surface of
shallow water for n = 2, and acoustic or light waves for n = 3.
In Section 6.1, we discuss the initial-value problem and mixed problems
for the one-dimensional wave equation. We derive explicit expressions for
solutions of these problems by various methods and study properties of these
solutions. We illustrate that characteristic curves play an important role in
studying the one-dimensional wave equation. They determine the domain

of dependence and the range of influence.
In Section 6.2, we study the initial-value problem for the wave equation
in higher-dimensional spaces. We derive explicit expressions for solutions in
odd dimensions by the method of spherical averages and in even dimensions
by the method of descent. We study properties of these solutions with
the help of these formulas and illustrate the importance of characteristic
cones for the higher-dimensional wave equation. Among applications of
these explicit expressions, we discuss global behaviors of solutions and prove
that solutions decay at certain rates as time goes to infinity. We will also
solve the initial-value problem for the nonhomogeneous wave equation by
Duhamel's principle.
In Section 6.3, we discuss energy estimates for solutions of the initialvalue problem for a class of hyperbolic equations slightly more general than
the wave equation. We introduce the important concept of space-like and
time-like hypersurfaces. We demonstrate that initial-value problems for hyperbolic equations with initial values prescribed on space-like hypersurfaces
201
6. Wave Equations
202
are well posed. We point out that energy estimates are fundamental and
form the basis for the existence of solutions of general hyperbolic equations.

In this section, we discuss initial-value problems and initial/boundary-value
problems for the one-dimensional wave equation. We first study initial-value
problems.
6.1.1. Initial-Value Problems. For f E C(I[8 x (0, oo)), cp E C2(][8) and

E Cl(Il8), we seek a solution u E C2(][8 x [0, oo)) of the problem
utt - uxx = f in It x (0,00),
onllt
We will derive expressions for its solutions by several different methods.
Throughout this section, we denote points in I[8 x (0, oo) by (x, t). How-
ever, when (x, t) is taken as a fixed point, we denote arbitrary points by

(y,s).
The characteristic curves for the one-dimensional wave equation are
given by the straight lines s = fy + c. (Refer to Section 3.1 for the detail.) In particular, for any (x, t) E ][8 x (0, oo), there are two characteristic
curves through (x, t) given by
s-y=t-x and s+y=t+x.

These two characteristic curves intercept the x-axis at (x-t, 0) and (x+t, 0),
respectively, and form a triangle Ci (x, t) with the x-axis given by
Cl(x,t)={(y,s):
This is the cone we introduced in Section 2.3 for n = 1. We usually refer to
C, (x, t) as the characteristic triangle.
We first consider the homogeneous wave equation
(6.1.2)
u1-u=0 in ][8 x (0, oo).
We introduce new coordinates
along characteristic curves by
=x-t, r=x+t.
In the new coordinates, the wave equation has the form
0.
By a simple integration, we obtain
u(,r) = g() + h(i),

for some functions g and h in Il8. Therefore,
(6.1.3)
u(x, t) = g(x - t) + h(x + t).
203
This provides a general form for solutions of (6.1.2).
As a consequence of (6.1.3), we derive an important formula for the

solution of the wave equation. Let u be a C2-solution of (6.1.2). Consider a
parallelogram bounded by four characteristic curves in ll8 x (0, oo), which is
referred to as a characteristic parallelogram. (This parallelogram is in fact
a rectangle.) Suppose A, B, C, D are its four vertices. Then
tl
D
X
Figure 6.1.1. A characteristic parallelogram.
(6.1.4)
u(A) + u(D) = u(B) + u(C).
In other words, the sums of the values of u at opposite vertices are equal.
This follows easily from (6.1.3). In fact, if we set A = (XA, tA), B = (XB, tB),
C = (xc, tc) and D = (XD, tD), we have
xB - tB = xA - tA,
xB + tB = XD + tD,
and
xC-tC=xD-tD, xC+ tC=x,q+ t,q.

We then get (6.1.4) by (6.1.3) easily. An alternative method to prove (6.1.4)
rj)-coordinates, where A, B, C, D are the vertices of
is to consider it in
a rectangle with sides parallel to the axes. Then we simply integrate u,

which is zero, in this rectangle to get the desired relation.
We now solve (6.1.1) for the case f - 0. Let u be a C2-solution which
is given by (6.1.3) for some functions g and h. By evaluating u and ut at
t = 0, we have
U(X, 0) = g(X) + h(X) =
ut(x, 0) _ -g'(x) + h'(x) _ fi(x).
6. Wave Equations
204
Then
g'(x) =
he(x) = 2cp (x) +

A simple integration yields
g(x) =
(x) - LX
for a constant c. Then a substitution into the expression of u(x, 0) implies
fs
h(x) =
(x) +
(s)ds - C.
0
Therefore,
u(x, t) = 2
(6.1.5)
t) + cp(x + t)) + 2
t t (s)
ds.
t) for
This is d'Alembert's formula. It clearly shows that regularity of
0) and is 1-degree better
any t> 0 is the same as that of the initial value
than
0). There is no improvement of regularity.
We see from (6.1.5) that u(x, t) is determined uniquely by the initial
values in the interval [x - t, x + t] of the x-axis, which is the base of the
characteristic triangle Cl (x, t). This interval is the domain of dependence
for the solution u at the point (x, t). We note that the endpoints of this
interval are cut out by the characteristic curves through (x, t). Conversely,
the initial values at a point (xO, 0) of the x-axis influence u(x, t) at points
(x, t) in the wedge-shaped region bounded by characteristic curves through
(xO, 0), i.e., for xo - t <x < xo + t, which is often referred to as the range
of influence.
tl
Figure 6.1.2. The domain of dependence and the range of influence.
Next, we consider the case f - 0 and co . 0 and solve (6.1.1) by the

method of characteristics. We write
Utt - UXX = (3 + '9X)(t9t -
By setting v = ut for first-order PDEs,
we decompose (6.1.1) into two initial-value problems

2Gt - 26y = 7J
(6.1.6)
205
111 RX (0,00),
U(.,0)=0 on ][8,
and
vt + v = 0 in III x 0, oo ,
(f M 71
v(.,0)=b onR.
The initial-value problem (6.1.7) was discussed in Example 2.2.3. Its solution
is given by
v(x,t) = b(x - t).

The initial-value problem (6.1.6) was discussed in Example 2.2.4. Its solution
is given by
U(x, t)
(x + t - 2r) dr.
By a change of variables, we obtain

1
fx+t
U(x,t)=
b(s)ds.
/
x-t
This is simply a special case of d'Alembert's formula (6.1.5).
Now we derive an expression of solutions in the general case. For any
2
(x, t) E Il8 x (0, oo), consider the characteristic triangle
Cl(x, t) _ {(y, s) : y - xI <t - s, s > 0}.
The boundary of Ci (x, t) consists of three parts,

L ={(y,s)
L_
= {(y,s)
s=-y+x+t, 0<s<t},
s=y-x+t, 0<s<t},
and
Lo={(y,0): x-t<y<x+t}.
We note that L+ and L_ are parts of the characteristic curves through (x, t).
Let v = (v1, 1)2) be the unit exterior normal vector of 8C1 (x, t). Then
v=
1(1, 1)//
on L,
(-1, i)/J
((0,-i)
on L_,
onL0.
Upon integrating by parts, we have
6. Wave Equations
206
x-t
x+t
Figure 6.1.3. A characteristic triangle.
fdyds =
i (x,t)
(utt - uxx) dyds =

i (x,t)
1
f+
(ut - ux) dl -}-
VG
(UtV2 - uxvl) dl
ci (x,t)
f_
(Ut + ux) dl
VG
x+t
ut(s, 0) ds,
x-t
where the orientation of the integrals over L+ and L_ is counterclockwise.

Note that (8t - 8x)// is a directional derivative along L+ with unit length
and with direction matching the orientation of the integral over L+. Hence
(ut -
J+
dl = u(x, t) - u(x + t, 0).
On the other hand, fat + ate)// is a directional derivative along L_ with

unit length and with direction opposing the orientation of the integral over
L_. Hence
1
do = - (u(x - t,0) - u(x, t)).
(ut +
Therefore, a simple substitution yields

x+t
(s)ds
(6.1.8)
+-2
1
x+(t-T)
/ /
0
x-(t-T)
f(y,'r)dyd'r.
Theorem 6.1.1. Let m > 2 be an integer, cp E C'n(I[8),b e C"'' -1(I[8)

and f E C"'-1(I[8 x [0, oo)). Suppose u is defined by (6.1.8). Then u E
C"'L(Il8 x (0, oo)) and
utt - u = f
in ][8 x (0, oo).
207
Moreover, for any xp E ]I8,
u(x, t) = cp(xp),
lim
(x,t)-a (xo,O)
ut(x, t) _ b(xo).
lim
(x,t)-; (moo ,O)
Hence, u defined by (6.1.8) is a solution of (6.1.1). In fact, u is Ctm in

R x [0,oo).
The proof is a straightforward calculation and is omitted. Obviously,
CZ-solutions of (6.1.1) are unique.
Formula (6.1.8) illustrates that the value u(x, t) is determined by f in

the triangle Cl (x, t), by b on the interval [x - t, x + t] x {0} and by cp at the
two points (x + t, 0) and (x - t, 0).
In fact, without using the explicit expression of solutions in (6.1.8), we
can derive energy estimates, the estimates for the LZ-norms of solutions of
(6.1.1) and their derivatives in terms of the LZ-norms of cp, L, and f. To
obtain energy estimates, we take any constants 0 < T < t and use the
domain
{(x,t): IxI<-t,0<t<T}.
We postpone the derivation until the final section of this chapter.
6.1.2. Mixed Problems. In the following, we study mixed problems. For

simplicity, we discuss the wave equation only, with no nonhomogeneous
terms.
First, we study the half-space problem. Let cp E CZ[0, oo), b E C' [O, oo)
and a E C2 [0, oo). We consider
utt -
= 0 in (0, oo) x (0, oo),
u(.,0)=
(6.1.9)
on ,oo),
u(0, t) = a(t) fort > 0.

We will construct a CZ-solution under appropriate compatibility conditions.
We note that the origin is the corner of the region (0, oo) x (0, oo). In order
to have a C2-solution u, the initial values cp and b and the boundary value
a have to match at the corner to generate the same u and its first-order and
second-order derivatives when computed either from cp and b or from a. If
(6.1.9) admits a solution which is C2 in [0, oo) x [0, oo), a simple calculation
shows that
(6.1.10)
(0)
a(0),
/'(0)
= a'(O),
"(0)
= a"(O).
This is the compatibility condition for (6.1.9). It is the necessary condition

for the existence of a C2-solution of (6.1.9). We will show that it is also
sufficient.
6. Wave Equations
208
We first consider the case a - 0 and solve (6.1.9) by the method of

reflection. In this case, the compatibility condition (6.1.10) has the form
/'(0) = 0,
o(O) = 0,
o"(O) = 0.
Now we assume that this holds and proceed to construct a CZ-solution of

(6.1.9). We extend cp and /i to 1[8 by odd reflection. In other words, we set
for x > 0
fco(x)
-cp(-x) for x <0,

(x) =
fi(x)
{ -(-x)
for x > 0
for x <0.
Then cp and b are C2 and Ci in I[8, respectively. Let u be the unique

C2-solution of the initial-value problem
utt -
= 0 in I[8 x (0, oo),
ut(,0)=1
inJR.
We now prove that u(x, t) is the solution of (6.1.9) when we restrict x to

[0, oo). We need only prove that
u(0,t)=0 foranyt>0.
In fact, for v(x, t) _ -u(-x, t), a simple calculation yields
vtt - v= 0
in I[8 x (0, oo),
v is also a C2-solution of the initial-value problem for the

wave equation with the same initial values as u. By the uniqueness, u(x, t) _
v(x, t) _ -u(-x, t) and hence u(0, t) = 0. In fact, u is given by d'Alembert's
formula (6.1.5), i.e.,
+t
u(x, t) = ((x + t) + (x - t)) +
(s) ds.
By restricting (x, t) to [0, oo) x [0, oo), we have, for any x > t > 0,
u(x, t) = ((x + t) + (x - t)) +
L-Ft
ds,
and foranyt>x>0,
(6.1.11)
u(x, t) = Z ((x + t) - cp(t - x)) +
/' +t
J _ (s) ds,
since cp and b are odd in 1[8. We point out that (6.1.11) will be needed in
solving the initial-value problem for the wave equation in higher dimensions.
209
Now we consider the general case of (6.1.9) and construct a solution in

[0, oo) x [0, oo) by an alternative method. We first decompose [0, oo) x [0, oo)
into two regions by the straight line t = x. We note that t = x is the

characteristic curve for the wave equation in the domain [0, oo) x [0, oo)
passing through the origin, which is the corner of [0, oo) x [0, oo). We will
solve for u in these two regions separately. First, we set
11i_ {(x, t): x > t > o},

and
112={(x,t): t>x>0}.
We denote by ul the solution in Stl. Then, ul is determined by (6.1.5) from
the initial values. In fact,
Ui (x, t) = ((x + t) + (x - t)) +
x+t
sb(s) ds,
/
-'Jx-t
for any (x, t) E Sll. Set for x > 0,

2x
ry(x) = ul(x, x) = Z ((2x) + (0)) +
2f
(s) ds.
We note that '-y(x) is the value of the solution u along the straight line t = x
for x > 0. Next, we consider
utt - uXX= 0 in SZ2i

u(0, t) = a(t), u(x, x) = y(x).
We denote its solution by u2. For any (x, t) E 112, consider the characteristic
and (t
t
In
parallelogram with vertices (x, t), (0, t - x), (t
other words, one vertex is (x, t), one vertex is on the boundary {x = 0} and
the other two vertices are on {t = x}. By (6.1.4), we have
u2 (x , t) + u 2 I
t-x tt- x ) =u
2
2
2
2
t+x
(0t-x)+u \ t+x
2
2
,
2 (
Hence
u2(x,t) =a(t- x)-ryl(t-2x I +ryl x2 t

= a(t - x) + 2 (p(x + t) - p(t - x)) +-
f_
x+t
(s)ds,
for any (x, t) E 112. Set u = ul in hi and u = u2 in 112. Now we check that
u, ut, ux, utt, uxx, utx are continuous along {t = x}. By a direct calculation,
6. Wave Equations
210
Figure 6.1.4. Division by a characteristic curve.
we have
ui(x, t)It= - u2(x, t)It= = ry(0) - a(0) _ p(0) - a(0)

ui(x, t)It= - 3xU2(X, t)It= = -b(0) + cV(0),
aui(x,t)It= - au2(x,t)It= = d'(O) - cV'(O).
Then (6.1.10) implies
9xu1= axtL2i
= u2,
It is easy to get at'Ul =

{t = x}. Similarly, we get
on {t = x}.
on {t = x} by ul = u2 and
8xtu2 and attui =
8xu2 on
on {t = x}.
Therefore, u is CZ across t = x. Hence, we obtain the following result.
Theorem 6.1.2. Suppose cc e C2[0, oo), b e Cl [0, oo), a e C2 [0, oo) and
the compatibility condition (6.1.10) holds. Then there exists a solution u E
c2([0, oo) X [0,oo)) of (6.1.9).
We can also derive a priori energy estimates for solutions of (6.1.9). For
any constants T> 0 and xo > T, we use the following domain for energy
estimates:
{(x,t): 0<x<xo-t,0<t<T}.
Now we consider the initial/boundary-value problem. For a positive
constant l > 0, assume that cc E C2[0, l], b E Cl [0,1] and a, Q E C2 [0, oo).
Consider
= 0 in (0,1) x (0, oo),
tt -
(6.1.12)
_ cc, ut(',O) _
on [0, l],
u(0, t) = a(t), u(l, t) _ /3(t) fort > 0.
O)
The compatibility condition is given by

w(o) _ mo(o), b(a)
c(l) = /3(0),
_ a'(o). v'(o) _ (o),
(l) = /3'(O), c"(l)
= f3"(O).
211
We first consider the special case a = /3 - 0. We discussed this case

using separation of variables in Section 3.3 if l = ir. We now construct
solutions by the method of reflection. We first extend cp to [-l, 0] by odd
reflection. In other words, we define
x _ Ico(x)
for x E [0, l],
(-(p(-x) for x E [-l, 0].

We then extend cp to ](8 as a 21-periodic function. Then cp is odd in R. We
extend b similarly. The extended functions cp and b are C2 and Cl on ](8,
respectively. Let u be the unique solution of the initial-value problem
utt -
= 0 in IE8 x (0, oo),
onR.
We now prove that u(x, t) is a solution of (6.1.12) when we restrict x to
[0, l]. We need only prove that
(0, t) = 0, u(l, t) = 0 for any t> 0.

The proof is similar to that for the half-space problem. We prove that
u(0, t) = 0 by introducing v(x, t) _ -u(-x, t) and prove u(l, t) = 0 by

introducing w(x, t) _ -u(2l - x, t).
We now discuss the general case and construct a solution of (6.1.12) by
an alternative method. We decompose [0,1] x [0, oo) into infinitely many
regions by the characteristic curves through the corners and through the
intersections of the characteristic curves with the boundaries. Specifically,
we first consider the characteristic curve t = x. It starts from (0, 0), one of
the two corners, and intersects the right portion of the boundary x = l at
(l, l). Meanwhile, the characteristic curve x + t = l starts from (l, 0), the
other corner, and intersects the left portion of the boundary x = 0 at (0, l).
These two characteristic curves intersect at (l/2, 1/2). We then consider the
characteristic curve t-x = l from (0, l) and the characteristic curve t+x = 21
from (l, l). They intersect the right portion of the boundary at (l, 21) and the
left portion of the boundary at (0, 21), respectively. We continue this process.
We first solve for u in the characteristic triangle with vertex (l/2, l/2). In
this region, u is determined by the initial values. Then we can solve for u
by forming characteristic parallelograms in the triangle with vertices (0, 0),
(l/2, 1/2) and (0, l) and in the triangle with vertices (l, 0), (l/2, l/2) and (l, l).
In the next step, we solve for u again by forming characteristic parallelogram
in the rectangle with vertices (0, l), (l/2, l/2), (l, l) and (l/2, 3l/2). We note
that this rectangle is a characteristic parallelogram. By continuing this
process, we can find u in the entire region [0,1] x [0, oo).
6. Wave Equations
212
Figure 6.1.5. A decomposition by characteristic curves.
Theorem 6.1.3. Suppose cp e C2 [0, l], E Cl [0, l], a, Q E CZ [0, oo) and
the compatibility condition (6.1.13) holds. Then there exists a solution u e
C2([0, l] x [O,oo)) of (6.1.12).
Theorem 6.1.3 includes Theorem 3.3.8 in Chapter 3 as a special case.

Now we summarize various problems discussed in this section. We em-
phasize that characteristic curves play an important role in studying the

one-dimensional wave equation.
First, presentations of problems depend on characteristic curves. Let 12
be a piecewise smooth domain in ][82 whose boundary is not characteristic.
In the following, we shall treat the initial curve as a part of the boundary
and treat initial values as a part of boundary values. We intend to prescribe
appropriate values on the boundary to ensure the well-posedness for the
wave equation. To do this, we take an arbitrary point on the boundary
and examine characteristic curves through this point. We then count how
many characteristic curves enter the domain 1 2 in the positive t-direction.
In this section, we discussed cases where SZ is given by the upper half-space
ll8 x (0, oo), the first quadrant (0, oo) x (0, oo) and I x (0, oo) for a finite
interval I. We note that the number of boundary values is the same as
the number of characteristic curves entering the domain in the positive tdirection. In summary, we have
ult=o = P, utIt=o = '/' for initial-value problems;
ult=o = o, utIt=o = '/', uIx=o = a for half-space problems;
uIt=o = (P, utIt=o = '/', uIx=o = a, Ix=1 = Q
for initial/boundary-value problems.
213
Figure 6.1.6. Characteristic directions.
Second, characteristic curves determine the domain of dependence and

the range of influence. In fact, as illustrated by (6.1.5), initial values propagate along characteristic curves.
Last, characteristic curves also determine domains for energy estimates.
We indicated domains of integration for initial-value problems and for halfspace problems. We will explore energy estimates in detail in Section 6.3.

In this section, we discuss the initial-value problem for the wave equation in
higher dimensions. Our main task is to derive an expression for its solutions
and discuss their properties.
6.2.1. The Method of Spherical Averages. Let cp E C2(R) and b E

Cl(I[8n). Consider
'att (6.2.1)
= 0 in R x (0, oo),
u(',0)- o, ut(',0)_ b
Ori fin'.
We will solve this initial-value problem by the method of spherical averages.

We first discuss briefly spherical averages. Let w be a continuous func-
tion in R. For any x E Rn and r > 0, set

1
W (x; r) = wnr n_ 1
w (y) dSy
UBr (X)
where wn is the surface area of the unit sphere in R. Then W (x; r) is the
average of w over the sphere DBr (x) . Now, w can be recovered from W by
To
W (x; r) = w(x)
for any x E IlBn.
6. Wave Equations
214
Next, we suppose u is a C2-solution of (6.2.1). For any x E Ian, t> 0

and r > 0, set
1
U(x;r,t) =
(6.2.2)
Wnrn-1
(x;r) =
u(y, t) dSy
DBr
nr n_1 Br (x) co(y) dSy,

W(x;r) =
WT' farx (y) dSp.
(fi_2
t), cp
In other words, U(x; r, t), J(x, r) and W(x, r) are the averages of
and /i over the sphere aBr(x), respectively. Then U determines u by
lim U(x; r, t) = u(x, t).

Now we transform the differential equation for u to a differential equation
for U. We claim that, for each fixed x e Ian, U(x; r, t) satisfies the EulerPoisson-Darboux equation
(6.2.4)
Utt
= Urr+
Ur forr>Oandt>0,
with initial values
U(x; r, 0) _ J(x; r), Ut(x; r, 0) _ W(x; r) for r > 0.
It is worth pointing out that we treat x as a parameter in forming the

equation (6.2.4) and its initial values. To verify (6.2.4), we first write
U(x; r, t) =
1
GJn
u(x + rw, t) dSw.
By differentiating under the integral sign and then integrating by parts, we

have
Ur =
(,Jn
au
if
Iwl=1
cvnr n- 1
(x + rw, t) dSw =
au
cvnrn -1 aBr(x)
(y, t) dSy
Du(y, t) dy.
Then by the equation in (6.2.1),
r n-1 Ur =
Wn
fBr (x)
Du(y, t) dy =
Wn Br (x)
utt (y, t) dy
215
Hence
(rn_1
UT )T
Wn
1
Wn
&Br(x)
att
utt(y, t) day
JBBr (x) u (y, t) dSy = rn-1 Utt .
For the initial values, we simply have for any r > 0,
U(x, r,0) =
Wr
Ut(x;r,0) =war _1
(y)dS,
8Br (x)
dSy.
BB,. (x)
6.2.2. Dimension Three. We note that the Euler-Poisson-Darboux equation is a one-dimensional hyperbolic equation. In general, it is a tedious process to solve the corresponding initial-value problems for general n. However,
this process is relatively easy for n = 3. If n = 3, we have
Utt=UTT+
Hence for r > 0 and t> 0,
(rU)tt = (rU).
We note that rU satisfies the one-dimensional wave equation. Set
U(x;r,t) = rU(x; r, t)
and
(x;r) = r1(x; r),
1Y(x; r) = rW(x; r).
Then for each fixed x E Il83,
UtUTT forr>Oandt>0,
x; r), Ut(x;r,0) _ lY(x; r) for r >0,
U(x;0,t)=0 fort > 0.
U(x;r,0) _
This is a half-space problem for U studied in Section 6.1. By (6.1.11), we

obtain formally for any t > r> 0,
U(x; r, t) = 2 ((x; r + t) -
t - r)) + 2
T+C
(x; s) ds.
-T
Hence,
U(x; r, t) _
r ((t+r)(x;t+r) - (t-r)(x;t-r))
1
t+ T
f+_ ,.
6. Wave Equations
216
Letting r -+ 0, we obtain
u(x, t) = li o U(x; r, t) = 8t (tI(x; t)) -F tiY(x; t).
Note that the area of the unit sphere in R3 is 4ir. Then

1
(x;t)
W(x; t) =
dsy,
b(y) dsy.
Therefore, we obtain formally the following expression of a solution u of

(6.2.1):
(6.2.5)
u(x, t) = at
47rt
Bt(x)
(y) dsy + 4-j
) dsy,
for any (x, t) E I[83 x (0, oo). We point out that we did not justify the
compatibility condition in applying (6.1.11). Next, we prove directly that
(6.2.5) is indeed a solution u of (6.2.1) under appropriate assumptions on cp
and zb.
Theorem 6.2.1. Let k > 2 be an integer, cP E Ck+1(IL83) and /i E Ck(It3)

Suppose u is defined by (6.2.5) in I[83 x (0,oo). Then u E
x (0,oo))
and
utt - Du = 0 in R3 x (0, oo).
lim
(x,t)-+(xo,o)
u(x, t) = So(xo),
lim
(x,t)-+(xo,o)
ut(x, t) = b(xo).
In fact, u can be extended to a C1-function in R3 x [0, oo). This can be

easily seen from the proof below.
Proof. We will consider cp = 0. By (6.2.5), we have
u(x, t) = tiY(x, t),
where
x't
b(y) dSy.
By the change of coordinates y = x + wt, we write
W(x,t) =
f(x+tw)dS.wl=1
217
In this form, u(x, t) is defined for any (x, t) E ][83 x [0, oo) and
0) = 0.
Since Eb e Ck(][83), we conclude easily that Vu exists and is continuous in
, k. In particular,
Il83 x [0, oo), for i = 0, 1,
u(x, t) = 4
(x+tw)dS.
JIwl=1
For t-derivatives, we take (x, t) E Il83 x (0, oo). Then

utt = 2't + tWtt.
W(x,t)
= 41i=
-(x+tw)dS.
x [0, oo) and ut 0) = 'b.

Hence, ut (x, t) is defined for any (x, t) E
,k - 1. After
Moreover, Vxut is continuous in R3 x (0, oo), for i = 0,1,
the change of coordinates y = x + wt and an integration by parts, we first
have
LB(X) 8v
(y) dsy
1f
st(y)
Then
tt = -
JBt(x)
2
utt =
aBt(x)
&y4'(y)
dsy
(y) dSp.
aBt(x)
By setting y = x + wt again, we have
i9Bt(x)
xb(x +
dSW = Du.
x [0, oo)).
This implies easily that u E
A similar calculation works for zb = 0.
We point out that there are other methods to derive explicit expressions
for solutions of the wave equation. Refer to Exercise 6.8 for an alternative
approach to solving the three-dimensional wave equation.
By the change of variables y = x + tw in (6.2.5), we have
u(x, t) = at
JWi=1
(x+tw)dS)+f
4ir J
A simple differentiation under the integral sign yields
u(x, t) =
4J
IWI=1
((x+tw)+tV(x+tw) w +
(x+tw)dS.
6. Wave Equations
218
Hence
u(x't)
((y) +
(y
- x) + t(y)) dsy,
for any (x, t) E ][83 x (0, oo). We note that u(x, t) depends only on the initial
values co and b on the sphere 8Bt(x).
6.2.3. Dimension Two. We now solve initial-value problems for the wave
equation in Il82 x (0, oo) by the method of descent. Let cp E C2(R2) and
b E Cl(][82). Suppose u E C2(][82 x (0, oo))f1C1(Il82 x [0, oo)) satisfies (6.2.1),
i.e.,
utt - Du = 0 in ][82 x (0, oo),

0) = cp,
0) = zb
on I[82.
Any solutions in ][82 can be viewed as solutions of the same problem in

][83, which are independent of the third space variable. Namely, by setting
x = (x, x3) for x = (X1,X2) E I[82 and
u(x, t) = u(x, t),

we have
iLtt - LTL = 0 in R3 x (0, oo),
IL(.,0)=@,
t(,0)=
onR3,
where
By (6.2.5), we have
u(x, t) = at
1J
4lrt aBt()
) dsy +4it1 f st(er)
) dsy,
where y = (yl,y2,y3) _ (y> y3) The integrals here are over the surface
8Bt(x) in ][83. Now we evaluate them as integrals in ][82 by eliminating y3.
For x3 = 0, the sphere Iy - x =tin ][83 has two pieces given by
CJs=f
and its surface area element is
1
dSy- _ (1 +
(ay2y3)2) 2 dyidya
= yt2
-
- xl2
dy.
219
(y)
u(x, t) = 2 at
t2 _ Iy_ xla dy
JBt(x)
(6.2.6)
/'
2 it JBt(x)
1
t2 - I - xl2
dy,
for any (x, t) E 1182 x (0, oo). We put the factor 1/2 separately to emphasize
that it is the area of the unit disc in II82.
Theorem 6.2.2. Let k > 2 be an integer, cp E Ck+l (][82) and 'i/i E C (][82) .
Suppose u is defined by (6.2.6) in ][82 x (0, oo). Then u e C'(][82 x (0, oo))
and
utt - Du = 0 in ][82 x (0, oo).

Moreover, for any xo E ][82,
lim
u(x, t) = co (xo ),
(x,t)-+(xo,o)
ut (x, t) =
lim
(xO).
(x,t)-+(xo,o)
This follows from Theorem 6.2.1. Again, u can be extended to a Ckfunction in 1182 x [0, oo).
By the change of variables y = x + tz in (6.2.6), we have
u(x, t) - at
cp(x - tz)
lB1
dz -
1 - 1z12
(x - tz)
dz.
1-
A simple differentiation under the integral sign yields
u(x, t) =
2f
cp(x + tz) + tOcp(x + tz) z +
-I- tz)
1 _ Izl2
dz.
Hence
1
u(x, t) = 2
(y - a;) + t2'/i(y)
t2 JB()
t2 - I
dy,
for any (x, t) E ][82 x (0, oo). We note that u(x, t) depends on the initial
values co and i in the solid disc Bt(x).
6.2.4. Properties of Solutions. Now we compare several formulas we

obtained so far. Let u be a C2-solution of the initial-value problem (6.2.1).
6. Wave Equations
220
We write un for dimension n. Then for any (x, t) E ][8x (0, oo),
x+t
ui(x,t) = ((x+t)+(x -t)) + 2ft

x=
u2(x't)
2 t2
u3(x't)
4urt2
+tVcp(y)
cy
(y)dy,
l2
x)
+t2b(y) dy
Bt(
(
Bt (x)
(y) + V(y)' (y - x) + t(y)) dSy.
These formulas display many important properties of solutions u.

According to these expressions, the value of u at (x, t) depends on the
values of cp and b on the interval [x - t, x + t] for n = 1 (in fact, on cp only at
two endpoints), on the solid disc Bt(x) of center x and radius tfor n = 2, and
on the sphere 8Bt(x) of center x and radius tfor n = 3. These regions are
the domains of dependence of solutions at (x, t) on initial values. Conversely,
Figure 6.2.1. The domain of dependence.
the initial values cp and b at a point xo on the initial hypersurface t = 0

influence u at the points (x, t) in the solid cone Ix - xol < t for n = 2 and
only on the surface Ix
I = t for n = 3 at a later time t.
The central issue here is that the solution at a given point is determined
by the initial values in a proper subset of the initial hypersurface. An important consequence is that the process of solving initial-value problems for the
wave equation can be localized in space. Specifically, changing initial values
outside the domain of dependence of a point does not change the values of
solutions at this point. This is a unique property of the wave equation which
distinguishes it from the heat equation.
Before exploring the difference between n = 2 and n = 3, we first note
that it takes time (literally) for initial values to make influences. Suppose
that the initial values cp, rb have their support contained in a ball B,.(xo).
221
Figure 6.2.2. The range of influence.
Then at a later time t, the support of

t) is contained in the union of all
balls Bt(x) for x E B,.(xo). It is easy to see that such a union is in fact the
ball of center xo and radius r + t. The support of u spreads at a finite speed.
To put it in another perspective, we fix an x B,.(xo). Then u(x, t) = 0 for
t < Ix - xoI - r. This is a finite-speed propagation.
For n = 2, if the supports of cp and /i are the entire disc B,.(xo), then the
support of
t) will be the entire disc B,.+t(xo) in general. The influence
from initial values never disappears in a finite time at any particular point,
like the surface waves arising from a stone dropped into water.
For n = 3, the behavior of solutions is different. Again, we assume that
the supports of cp and are contained in a ball B,.(xo). Then at a later
t) is in fact contained in the union of all spheres
time t, the support of
8Bt(x) for x E B,.(xo). Such a union is the ball Bt+,.(xo) fort < r, as in
the two-dimensional case, and the annular region of center xo and outer and
inner radii t + r and t - r, respectively, fort > r. This annular region has
a thickness 2r and spreads at a finite speed. In other words, u(x, t) is not
zero only if
t - r < Ix - XOl <t+ r,

or
Ix-xo-r<t< Ix-xoI+r.
Therefore, for a fixed x E ][83, u(x, t) = 0 for t < Ix - xol - r (corresponding
to finite-speed propagation) and fort > Ix - xol + r. So, the influence
from the initial values lasts only for an interval of length 2r in time. This
phenomenon is called Huygens' principle for the wave equation. (It is called
the strong Huygens' principle in some literature.)
In fact, Huygens' principle holds for the wave equation in every odd space
dimension nexcept n = 1 and does not hold in even space dimensions.
6. Wave Equations
222
Figure 6.2.3. The range of influence for n = 2.
Figure 6.2.4. The range of influence for n = 3.
Now we compare regularity of solutions for n = 1 and n = 3. For n = 1,

0) and one order better than
the regularity of u is clearly the same as
ut 0). In other words, u E Cn and ut E cm initially at t = 0 guarantee
u E Cm at a later time. However, such a result does not hold for n = 3. The
formula for n = 3 indicates that u can be less regular than the initial values.
There is a possible loss of one order of differentiability. Namely, U E CIc
and ut E Cc initially at t = 0 only guarantee u E Cc at a later time.
Example 6.2.3. We consider an initial-value problem for the wave equation
in JR3 of the form
utt - Du = 0 in Il83 x (0, oo),

u(.,0)=0, Ut(',O)=l/) onJR3.
Its solution is given by
u(x, t) =
1f
aBt(x)
b(y) dsy,
for any (x, t) E I[g3 x (0, oo). We assume that zb is radially symmetric, i.e.,
b(x) = h(IxI) for some function h defined in [0, oo). Then
u(0' t)
4irt
fBt b(y) dSy = th(t).
223
For some integer k > 3, if b(x) is not C' at lxi = 1, then h(t) is not
Ck at t = 1. Therefore, the solution u is not Cc at (x, t) _ (0, 1). The
physical interpretation is that the singularity of initial values at lxi = 1
propagates along the characteristic cone and focuses at its vertex. We note
that (x, t) _ (0, 1) is the vertex of the characteristic cone {(x, t) t = 1- ixi}
which intersects {t = 0} at lxi = 1.
:
This example demonstrates that solutions of the higher-dimensional

wave equation do not have good pointwise behavior. A loss of differentiability in the pointwise sense occurs. However, the differentiability is preserved
in the L2-sense. We will discuss the related energy estimates in the next
section.
6.2.5. Arbitrary Odd Dimensions. Next, we discuss how to obtain explicit expressions for solutions of initial-value problems for the wave equation
in an arbitrary dimension. For odd dimensions, we seek an appropriate combination of U (x; r, t) and its derivatives to satisfy the one-dimensional wave
equation and then proceed as for n = 3. For even dimensions, we again use
the method of descent.
Let n > 3 be an odd integer. The spherical average U(x; r, t) defined by
(6.2.2) satisfies
(6.2.7)
Utt _ Urr + n- 1 Ur,

r
for any r > 0 and t> 0. First, we write (6.2.7) as

1
Utt = - (1'Urr + (n - 1)Ur).

(rU)rr = rUrr + 2Ur,
Utt = r ((rU)rr + (n - 3)UT),
(6.2.8)
(rU)tt = (rU)rr + (n - 3)Ur
If n = 3, then rU satisfies the one-dimensional wave equation. This is how

we solved the initial-value problem for the wave equation in dimension three.
By differentiating (6.2.7) with respect to r, we have
Urtt = Urrr +
n-1 Urr - n-1 fir
r
r2
= r2 (r2Urrr+(n_1)rUrr_(n_1)Ur).
Since
(r2Ur)rr = r2Urrr + 4rUrr + 2Ur,
6. Wave Equations
224
we obtain
UTtt = r2 ((r2U)rr + (n - 5)rUTT - (n + 1)UT),

or
(6.2.9)
(r2U,.)tt =
(r2Ur)rr T
(n - 5)rU,.,. - (n + 1)UT.
The second term in the right-hand side of (6.2.9) has acoefficient n - 5,

which is 2 less than n - 3, the coefficient of the second term in the righthand side of (6.2.8). Also the third term involving Ur in the right-hand
side of (6.2.9) has a similar expression as the second term in the right-hand
side of (6.2.8). Therefore an appropriate combination of (6.2.8) and (6.2.9)
eliminates those terms involving (Jr. In particular, for n = 5, we have
(r2Ur + 3rU)tt = (r2Ur + 3rU)TT
In other words, r2U,.+3rU satisfies the one-dimensional wave equation. We
can continue this process to obtain appropriate combinations for all odd
dimensions. Next, we note that
r2UT + 3rU = r (r3U)T.
It turns out that the correct combination of U and its derivatives for arbitrary odd dimension n is given by
la
r ar
n-3
2
(r2U).
We first state a simple calculus lemma.

Lemma 6.2.4. Let m be a positive integer and v = v(r) be a C"17'+1 _ function
on (0, oo). Then for any r > 0,

d2
id
m-1
(r2v(r))
(m1-ire-1
(r21v(r)) _
(1) (-) (-f)

(2)
"`-1
r dr)
id
"n'
- (-f)
dv
(r2(r));
z=o
where c,,,,,z is a constant independent of v, for i = 0, 1,
, m - 1, and
Imo-1.g...(2m-1).
The proof is by induction and is omitted.
Now we let n > 3 be an odd integer and write n = 2m + 1. Let cc E

C"`(][8n) and 'b E C1(Il8'1). We assume that u E C"`+1(I[8n x [0, oo)) is a
solution of the initial-value problem (6.2.1). Then U defined by (6.2.2) is
Cn+1, and
225
and W defined by (6.2.3) are Cm and Cm-1, respectively. For
R, r>0 and t>0, set
la
m-1
(r2mU(x; r, t)),
U(x;r,t) = (r ar-)
(6.2.10)
and
m-1
(x;r) = _1
p`1
(x;r) = _1
p`1
(r2m(x;r)),
r ar
m-1
r ar
(r2m-iW(x;r)).
We now claim that for each fixed x E Ian,
Utt - Urr = 0 in (0,oo) x (0,oo),
U(x;r,O) =
(x; r), Ut (x; r, 0) = 'i'(x; r)
for r > 0,
U(x;0,t) =0 fort >0.

This follows by a straightforward calculation. First, in view of (6.2.4) and
n=2m+1,wehaveforanyr>Oandt>0,
-r1Dra (r 2m Ur) = r 2m-1 Urr + 2mr2m- 2 Ur
= r2m-1(Urr + n - 1 Ur) _r2m-1 Utt
Then by (6.2.10) and Lemma 6.2.4(1), we have
()
15
Urr =
()
1
m-1
r ar
5m-1
(r2U) =
(T2rn_iU) = Utt.
The initial condition easily follows from the definition of U, 1 and 'I'. The
boundary condition U(x; 0, t) = 0 follows from Lemma 6.2.4(2).
Asforn=3, we have foranyt>r>0,

U(x;r,t) = 2
(x;t+r) - (x;t -r)) + 2
Jt-r
W(x; s) ds.
Note that by Lemma 6.2.4(2),

m-1
U(x;r,t) =
m-1
ai
cr,ir2+1
2=0
(r2mU(x; r,
ari U(x; r, t).
6. Wave Equations
226
Hence
lim
im U(x, r, t) = u(x t).
r t = 1U(x;
)
r-+0 Cm,Or
u(x, t) =
Cm,O
lim
Cm, p
2r
( (x; t - r) - (x; t - r)) -
r+t
2r t_r
(x;s)ds)
t (x t) + (x;t)).
Using n =2m+ 1, the expression for Cm,p in Lemma 6.2.4 and the definitions
of and 'I', we can rewrite the last formula in terms of co and b. Thus, we
obtain for any x E Ian and t > 0,
1 1(a(1a
u(xt)=_L
Cn,
(6.2.11)
n-3
2
la
+
(fUBXds)
t
n-3
2
tat
wn t
UBt (x)
where n is an odd integer, wn is the surface area of the unit sphere in Ian
and
(6.2.12)
We note that c3 = 1 and hence (6.2.11) reduces to (6.2.5) for n = 3.

Now we check that u given by (6.2.11) indeed solves the initial-value
problem (6.2.1).
Theorem 6.2.5. Let n > 3 be an odd integer and k > 2 be an integer.

and u is defined in (6.2.11).
Suppose o E Cn21+1c(Il8n), b E
Then u E C'(Il8n x (0, oo)) and

2ltt - 02l = O
21Z Itn X (0,00).
Moreover, for any xo E IlBn,

lim
u(x, t) = cp(xo),
lim
ut(x, t) = vb(xo).
In fact, u can be extended to a CI-function in Ian x [0, oo).

Proof. The proof proceeds similarly to that of Theorem 6.2.1. We consider
cp = 0. Then for any (x,t) E Ian x (0,oo),
/
n-3
u`x'tJ
Cn,
(tn-2W(x,t)),
227
where
1
Wnt
5Bt (x)
By Lemma 6.2.4(2), we have

n-3
2
u(x, t) =
cn-1,Zt Z+1
Cn
2=0
at2
(x, t).
Note that cn in (6.2.12) is c(n_1)/2,o in Lemma 6.2.4. By the change of

coordinates y = x -I- wt, we write
1
(x+tw)dS.
Wn
IWI=1
Therefore,
a2
ati
W (x, t) =
a2
IwI=1 avi
Wn
(x -I- tw) dSw .
Hence, u(x, t) is defined for any (x, t) E ItSn x [0, oo) and
0) = 0. Since
3+1(W
),
we conclude easily that Vu exists and is continuous in
E Cn2
, k. For t-derivatives, we conclude similarly that
W x [0, oo), for i = 0,1,
ut (x, t) is defined for any (x, t) E W x [0, oo) and ut 0) = b. Moreover,
Vu t is continuous in W x (0, oo), for i = 0,1,
a dS
Wntn-1
k - 1. In particular,
aL
5Bt (x)
Wntn-1
Bt (x)
bdy'
Next,
11
LW(x, t) =
Wn
L'b(x + tw) dS
IW1=1
O d
1
Wnt1
J5Bt(x)
Hence
Du(x, t) _
la
n-3
2
tat
0 dsy
Wnt
LB(X)
On the other hand, Lemma 6.2.4(1) implies
utt =
Cn
(j)
la
at
n-1
2
(t1w).
6. Wave Equations
228
Hence
utt =
Wncn
(13'\ 2n-1
tat
n-3
1a
0bds
tat
t aBt(x)
This implies that utt - Du = 0 at (x, t) E l[8n x (0, oo) and then u E
WnCn
x [O,oo)).
= 0 in a similar way.
We can discuss the case
6.2.6. Arbitrary Even Dimensions. Let n > 2 be an even integer with

it = 2m - 2, <p e Cm'(Rn) and b E Cm-1(Rn) We assume that u E
C""'(IlBn x [0, oo)) is a solution of the initial-value problem (6.2.1). We will
use the method of descent to find an explicit expression for u in terms of cp
and /i.
By setting x = (x, xn+l) for x = (Xi,.. , xn) E IISn and
'a(, t) = u(x, t),

we have
utt - Oxu = 0 in Rn+1 x (0, oo),

0) = cp,
t(,0)=
on W+1,
where
b() = b(x).
= o(x),
As n + 1 is odd, by (6.2.11), with n -I-1 replacing n, we have

u(x, t) =
(aia(tat
n-2
2
cn+1
(13\(
+
(L1 t f8Bt()
) dSy
n-2
2
tat
Wn+1 t
x
J8Bt()
dsv/
where y =
yn, yn+1) = (y, yn+1) The integrals here are over the
surface aBt (x) in Rn+1. Now we evaluate them as integrals in Rn by eliminating
For xn+1 = 0, the sphere I y - x = t in Rn+1 has two pieces
given by
yn+1.
2Jn+1 = t2 - I y and its surface area element is
dS-y - (1+I0 yyn+ll212 dy =
t
dy.
t2_ly_xl2
229
Hence
1
Wlt [
(,0(J)
P(y)
Wn+l
f t(x) /t2 - y nf
flWfl
Wfl JBt(x)
t2
dy.
- x12
We point out that wn/n is the volume of the unit ball in
A similar
expression holds for b. By a simple substitute, we now get an expression of
u in terms of cp and b. We need to calculate the constant in the formula.
Therefore, we obtain for any x E W and t > 0,
22
ux't- 1() t at
Wn JBt(x)
(6.2.13)
(P(y)
n-2
18
b(y)
(r:
+ tat
Wn
t2 _ Iq - xl2
Bt(x) /t2-Iy-xI2
where n is an even integer, wn/n is the volume of the unit ball in Ian and cn
is given by
Cn
In fact, we have
ncn+1wn+1
2wn
en=2 4 n.
We note that c2 = 2 and hence (6.2.13) reduces to (6.2.6) for n = 2.
Theorem 6.2.6. Let n be an even integer and k > 2 be an integer. Suppose

E
and u is defined in (6.2.13). Then u e
cP E
Cc(I[8Th x (0,oo)) and
utt - Du = 0 in Itn x (0, oo) .

Moreover, for any xo E Ilgn
lim
u(x, t) = Sp(xo),
ut(x, t) = b(xo).
lim
(x,t)-*(xo,o)
(x,t)-*(xo,o)
This follows from Theorem 6.2.5. Again, u can be extended to a Cfunction in Ian x [0,oo).
6.2.7. Global Properties. Next, we discuss global properties of solutions

of the initial-value problem for the wave equation. First, we have the following global boundedness.
Theorem 6.2.7. For n > 2, let b be a smooth function in Ian and u be a

solution of
utt - Du = 0 in
x (0, oo),
u(.,0)=0, u(,0)=b
onTRTh.
6. Wave Equations
230
Then for any t > 0,

n-1
I< C IIoZlbIILI(Rn),
i=0
Solutions not only are bounded globally but also decay as t -+ oo for
n > 2. In this aspect, there is a sharp difference between dimension 1

and higher dimensions. By d'Alembert's formula (6.1.5), it is obvious that
solutions of the initial-value problem for the one-dimensional wave equation
do not decay as t - oo. However, solutions in higher dimensions have a
different behavior.
Theorem 6.2.8. For n > 2, let b be a smooth function in ]I8n and u be a

solution of
26tt - 0'ib = 0
in n X (0, 00),
ut(',0)='i/.' onW.
Then for any t> 1,
[z]
lt)ILO(II2") <Cit
IIVIIL1(Rm),
X21
i=0
Decay estimates in Theorem 6.2.8 are optimal for large t. They play an
important role in the studies of global solutions of nonlinear wave equations.
We note that decay rates vary according to dimensions.
Before presenting a proof, we demonstrate that t-1 is the correct decay
rate for n = 3 by a simple geometric consideration. By (6.2.5), the solution
u is given by
1
(y) dsy,
u(x' t)
LB(X)
for any (x, t) E 1[83 x (0, oo). Suppose zb is of compact support and supp b C
BR for some R> 0. Then

u(x, t) =
1f
b(y) dSy.
A simple geometric argument shows that for any x E ][83 and any t> 0,
Area(BR n aBt(x)) < CR2,

where C is a constant independent of x and t. Hence,
2
Iu(x,t)I
-sup kbl.
R3
231
This clearly shows that u(x, t) decays uniformly for x E ][83 at the rate of t-1
as t -3 00. The drawback here is that the diameter of the support appears
explicitly in the estimate. The discussion for n = 2 is a bit complicated and
is left as an exercise. Refer to Exercise 6.7.
We now prove Theorem 6.2.7 and Theorem 6.2.8 together. The proof is
based on explicit expressions for u.
Proof of Theorems 6.2.7 and 6.2.8. We first consider n = 3. By assuming that /i is of compact support, we prove that for any t > 0,
Iu(x,t)I c
2'PIIr,1(R3)
and for any t> 0,

Iu(x,t)I
By (6.2.5), the solution u is given by
u(xt)=_J
b(x+tw)dS,
for any (x, t) E ][83 x (0, oo). Since b has compact support, we have
1005
ib(x+tw)=-J
Then
u(x, t) _ -
-b(x+sw)ds.
LL1=i 8s
(x+sw)dSds.
For s > t, we have t < s2/t and hence
lu(x, t) <
sW)I dSwds <_

2
IlVIIL1(R3).
Iwl=1
For the global boundedness, we first have
2z/i(x+sw)ds.
Then
u(x, t) =
S as2
b(x + sW) dSWds.
Hence
l
<
1J
47r
s2
J IWI=1
I V2'V(x + sW)I dSWds <
1
47r
We now discuss general '/i. For any (x, t) E ][83 x (0, oo), we note that u
depends on b only on 8Bt(x). We now take a cutoff function r,i E C( R3)
with r,, = 1 in Bt+l (x), r,, = 0 in Il83 \ Bt+2 (x) and a uniform bound on Vi.
We can obtain the
Then in the expression for u, we may replace /i by
6. Wave Equations
232
desired estimates by repeating the argument above. We simply note that

derivatives of r have uniform bounds, independent of (x, t) E ][83 x (0, oo).
Now we consider n = 2. By assuming that b is of compact support, we
prove that for any t> 0,
and for any t> 1,
IC
2Y` (IkbIILl(R2) + IIV'bIIL1(R2))
The general case follows similarly to the case of n = 3. By (6.2.6) and a

change of variables, we have
u(x, t) =
1 Jft
(x + rw) dSdr.
t2 - r2 J11=1
As in the proof for n = 3, we have for r > 0,
(x+rw)dSw=_ff
JwI=1
wI=1
aS
(x+ sw) dSds,
and hence
(x+rw)dS
<
s fwI=1
1w1=1
sw)f dSWds
Therefore,
Pt
Iu(x,t)I
IIVIIL1(R2)
For the decay estimate, we write u as
u(x,t) =
t21 r2 dr
JO
jte
4 IIVIIL1(R2).
ft)
-e
where s > 0 is a positive constant to be determined. We can estimate

similarly to the above. In fact,
121J1
=
Jt-e
f
rJ
- r2
1
t2
(x+rw)dSdr
1=1
t-E
t2 - r
dr
( R2) .
I2
233
A simple calculation yields

1
t2 - r2
Jt
t-E
dr=Jt
[
dr
(t + r)(t-r)
t-E
It-E
UT=
2\/
Hence,
ForI,wehave
t-E
Ill! =
t2 r r2
<
-1
ft-E
t2 - (t -
fI
E)2
(x+rw)dSdr
f
r 'WI_1 IJ
zit1 - 2
Iu(x,t)I
V2Et_E21R2) +
For any t> 1, we take e = 1/2 and obtain the desired result.
We leave the proof for arbitrary n as an exercise.
6.2.8. Duhamel's Principle. We now discuss the initial-value problem

for the nonhomogeneous wave equation. Let cp and b be C2 and C1 functions
in Rn, respectively, and f be a continuous function in Rn x (0, oo). Consider
2Gtt - 026 = f
(6.2.14)
lri fin' X (0,00),
Ut(',0)=/)
onlfttm.
For f - 0, the solution u of (6.2.14) is given by (6.2.11) for n odd and by

(6.2.13) for n even. We note that there are two terms in these expressions,
one being a derivative in t. This is not a coincidence.
We now decompose (6.2.14) into three problems,
(Fi_2.7.ril
.
utt - Du = 0 in Ifn x (0, oo),

0) = cp, u(.,0)=0 on Itn,
utt - Ou = 0 in Ifn x (0, oo),
(6.2.16)
u(.,0)=0,
on lltn,
6. Wave Equations
234
and
utt - Du = f
(621 7'
in ][8n x (0, oo),
u(.,O)=O, t(',O)=O onW.
Obviously, a sum of solutions of (6.2.15)-(6.2.17) yields a solution of (6.2.14).
(-1
For any /i E C[ 2 H-1(W`), set for (x,t) E ]I8' x (O,oo),
M. (x, t) -
(6.2.18)
1 81
'ra-3
2
t at)
cn
cent Jast(X)
dS
if n > 3 is odd, and

(6.2.19)
Mp(x, t =
1 fia
cn,
n-2
2
(j)at
In
'b(y)
d
y
t2 - l y - xl2
G`7flgt(x)
if n > 2 is even, where wn is the surface area of the unit sphere in Rn and
1 .3
Cn =
(n - 2) fore > 3 odd,
124n
for n > 2 even.
We note that [ 2 ] + 1 = n 21 if n is odd, and [ 2 ] + 1 = n 2 2 if n is even.
Theorem 6.2.9. Let m > 2 be an integer, b E C[ 2 l+m-1(Rn) and set u =

Mp. Then u E Cn (Rn x (0, oo)) and
utt - Du = 0 in Wn x (0, oo)

lim
u (x, t) = 0,
(x,t)-+(xo,o)
lim
ut (x, t) _ 'ib(xo).
(x,t)-+(xo,o)
Proof. This follows easily from Theorem 6.2.5 and Theorem 6.2.6 for p = 0.
As we have seen, u is in fact cm in Rn x [0, oo).
LI
We now prove that solutions of (6.2.15) can be obtained directly from

those of (6.2.16).
Theorem 6.2.10. Let m > 2 be an integer, P E C[ 2 H m (W) and set u =
atM
Then u E Cn (Rn x (0, oo)) and
utt - Du = 0 in
Wn
x (0, oo) .

lim
(x,t)-+(xo,o)
u (x, t) = cp (xo) ,
lim
(x,t)-+(xo,o)
ut (x, t) = 0.
235
Proof. The proof is based on straightforward calculations. We point out

that u is C"2 in Ian x [0, oo). By the definition of
t), we have
attMc - OMB =0 in Ian x (0, oo),
M(.,0)=0,
on Ian.
0) = cP
Then
attu - Du = ('9tt - 0)atM(p = at(attM -OMB) = 0 in RTh x (0,00),

and
aM,(,t)(,0) = (
on RTh,
0) =
8tu(', U) =
0) = 0 on Rn.
We have the desired result.
The next result is referred to as Duhamel's principle.
Theorem 6.2.11. Let m > 2 be an integer, f e C[ 2 H m-1(Rn x [0, oo)) and

u be defined by
t
u(x,t) _ f
Mf(x,t - T)CLT,
where f.7- = f(.,r). Then u e C"`(IE8Th x (0,00)) and
utt - Du = f
in ]L8mx (0, oo).
Moreover, for any xo E IE8,

lim
u(x, t) = 0,
(x,t)-+(xo,O)
lira
ut (x, t) = 0.
(x,t)-+(xo,O)
Proof. The regularity of u easily follows from Theorem 6.2.9. We will verify
that u satisfies utt - Du = f and the initial conditions. For each fixed T > 0,
w(x, t) = MfT (x, t - T) satisfies
Wtt - LtW = 0
in R x (r, oo),
f(.,r) on R.
= 0,
We note that the initial conditions here are prescribed on {t = T}. Then
ut = MfT (x, t - T) I T=t +
f
0
atMfT (x, t - T) dT
6. Wave Equations
236
and
utt = aMf(, t - T) ITt +

= f(xt)+f
aM fT (x, t - T) dT
M fT(x,t-T)dT
t
= f(xt)+fMfT(xt_r)dr
= f(x,t)+zu.
Hence utt - Du =fin I[8n x (0, oo) and
0) = 0,
0) = 0 in IlBn.
As an application of Theorem 6.2.11, we consider the initial-value problem (6.2.17) for n = 3. Let u be a CZ-solution of
utt - Du = f
in 1[83 x (0> oo)>
u(',O)=O, Ut(,0)0 onR3.

By (6.2.18) for n = 3, we have for any z/> E CZ(I[83),
M(x't)
(y)dS.
4Rt fBt(x)
Then, by Theorem 6.2.11,
u(x, t) =
J0
t MfT (x, t - T) dT =
14 oJ t - T JaBt-T
t
f(y,r)dSdr.
By the change of variables T = t - s, we have
u(x t) _
f(y,t-s)
JO J8Bs(x)
dSvds.
Therefore,
(6.2.20)
u(x, t) =
Bt(x)
f(y, iy I
dy>
for any (x, t) E I183 x (0, oo). We note that the value of the solution u at
(x, t) depends on the values of f only at the points (y, s) with
0<s<t.
This is exactly the backward characteristic cone with vertex (x, t).
Theorem 6.2.12. Let m> 2 be an integer, f E C( R x [0, oo)) and u be

defined by (6.2.20). Then u e Cm (R3 x (0, oo)) and
utt - Du = f in R x (0, oo).

Moreover, for any xo E I183,
lim
(x,t)-+(xo,o)
u(x, t) = 0,
lim
(x,t)-+(xo,o)
ut (x, t) = 0.
237

In this section, we derive energy estimates of solutions of initial-value problems for a class of hyperbolic equations slightly more general than the wave
equation.
Before we start, we demonstrate by a simple case what is involved. Suppose u is a CZ-solution of
Utt-LU=O inRmx(O,oo).
We assume that
0) have compact support. By finite-speed
0) and
propagation,
t) also has compact support for any t > 0. We multiply
the wave equation by Ut and integrate in BR x (0, t). Here we choose R
sufficiently large such that BR contains the support of
s), for any s e
(0, t). Note that
ututt - utoU =
Z (mot + I
2-1
Then a simple integration in BR x (0, t) yields

Z
JRnX{t} (U+ IVxUI2)dX = 12 J
(mot + 0xU) dx.
This is conservation of energy: the LZ-norm of derivatives at each time slice
is a constant independent of time. For general hyperbolic equations, conservation of energy is not expected. However, we have the energy estimates:
the energy at later time is controlled by the initial energy.
Let a, c and f be continuous functions in II8" x [0, oo) and co and /i be
continuous functions in IIBn. We consider the initial-value problem
(6.3.1)
Utt - aLu + cu = f in ][8n x (0, oo),

0) = cp,
in ][8n.
0)
We assume that a is a positive function satisfying

(6.3.2)
A < a(x, t) < A for any (x,t) E ][8" x [0,oo),
for some positive constants A and A. For the wave equation, we have a = 1
and c = 0 and hence we can choose A = A = 1 in (6.3.2).
In the following, we set
1
For any point P = (X, T) E ][8n x (0, oo), consider the cone Ck(P) (opening
downward) with vertex at P defined by
Ck(P) _ {(x, t) : 0 < t < T, Ic!x - X I< T - t}.
6. Wave Equations
238
As in Section 2.3, we denote by DSCk (P) and a_ Ck (P) the side and bottom
of the boundary, respectively, i.e.,
xI= T - t},
asck(P)_ { (x, t): o < t < T,
a_ck(P) _ {(x, o): ,'iIx - x < T}.
We note that a_Ck(P) is simply the closed ball in ][8x {0} centered at
(X, 0) with radius T/ic.
Figure 6.3.1. The cone Ck (P) .
Theorem 6.3.1. Let a be Ci, c and f be continuous in I[8n x [0, oo), and
let cp be Ci and zb be continuous in I[8n. Suppose (6.3.2) holds and u E
C2(I[8x (0, oo)) fl Ci(I[8x [0, oo)) is a solution of (6.3.1). Then for any
point P = (X,T) E W` x (0,oo) and any 'i > io,
f
<f
e-t(u2 + ut + alVul2) dxdt

w(P)
(cp2 - 2 + alOcpI2) dx -
Jc,c(P)
f 2 dxdt,
where rip is a positive constant depending only on n, A, the C'-norm of a

and the L -norm of c in Ck(P).
Proof. We multiply the equation in (6.3.1) by 2e-'tut and integrate in

Ck(P), for a nonnegative constant r to be determined. First, we note that
239
and
n
-2e-taut0u = -2e-'taut
uxix2
i=1
n
(- 2(e
tautux2)xZ + 2e-tauxZutx2 -+ 2e
(- 2(e
tautux2)xZ
taxtiutuxti)
i=1
n
+ (e-tau)t +
i=1
+
where we used 2uut= (U.)t. Therefore, we obtain
r/e-tau- e '7tatu) ,
(e_tautux)xi + e-t(ut + aIVuI2)
(e-'tut -f- e-taIVuI2)t - 2

i=1
n
2e-tcuut
+
i=1
= 2e-'tut f.
We note that the first two terms in the left-hand side are derivatives of
quadratic expressions in Vu and ut and that the next three terms are
quadratic in Vxu and ut. In particular, the third term is a positive quadratic
form. The final term in the left-hand side involves u itself. To control this
term, we note that
(e-tu2)t + r/e-tu2
- 2e-tuut = 0.
Then a simple addition yields

(e_t(U2+U? -t- aIVuI2))t
- i=1
ut + aIVuI2) = RHS,
where
n
RHS =
a-'tat I VuI2
(c - 1)uut -+ 2e-'tut f.
i=1
The first three terms in RHS are quadratic in ut, ux2 and u. Now by (6.3.2)
and the Cauchy inequality, we have
2
<
2
I
2
I
ut2 + 1 au2z
and similar estimates for other three terms in RHS. Hence

f2,
RHS <
ut + aIVuI2) +
6. Wave Equations
240
where r7o is a positive constant which can be taken as
o = -A1 sup ati + n + 11

- sup IVaI + sup ci +2.
C(P)
C(P)
ck(P)
Then a simple substitution yields

n
(e_t(u2 + ut + aIDuI2))t - Z
(il
ut +
Upon integrating over
(-X10)
f 2.
we obtain
e-t(u2 + ut + aIDuI2) dxdt
+ fsc,c(p) e-(u2 + ut + aIDul2)vt - 2 2=1

Ja_ck(P)
d5
(u2+u+alVul2)dx+fe-t f 2 dxdt,
w(P)
where the unit exterior normal vector on 83Ck(P) is given by
(x-X
kIx-XI'1
We need only prove that the integrand for 83Ck(P) is nonnegative. We

claim that
BI - (u+alVul2)vt - 2
autuv2 >0 on
To prove this, we first note that, by the Cauchy inequality,

22
n 7b
(2)
In 7L
=IVUI\/1
-vt.
i=1
i=1
With vt = 1/ 1 + k2, we have
BI >
1+2
(ut +aIDuI2 - 2kaIutl IBy
(6.3.2) and ic = 1/JX, we have ic/Ei < 1. Hence
BI >
1 - k2 (ut + alDul2
0.
Therefore, the boundary integral on 83Ck(P) is nonnegative and can be

discarded.
241
A consequence of Theorem 6.3.1 is the uniqueness of solutions of (6.3.1).

We can also discuss the domain of dependence and the range of influence as
in the previous section.
We note that the cone Ck(P) in Theorem 6.3.1 plays the same role as
the cone in Theorem 2.3.4. The constant ic is chosen so that the boundary
integral over 83Ck(P) is nonnegative and hence can be dropped from the
estimate.
Similar to Theorem 2.3.5, we have the following result.
Theorem 6.3.2. Let a be Cl, c and f be continuous in Il8n x [0, oo), and
let cp be Cl and b be continuous in ][8n. Suppose (6.3.2) holds and u E
C2(I[8n x (0, oo)) fl Cl(][8n x [0, oo)) is a solution of (6.3.1). For a firmed
b E L2(][8n), then for any rj > rjo,
T> 0, if f E L2(][8n x (0, T)) and cp,
e_t(u2 + u + aIVuI2) dx
+
m)
e-t(u2 + ut + aIVuI2) dxdt
<f (p2 + 2 + aIVcpl2) dx + f
e-t f 2 dxdt,
x (O,T)
where ijo is a positive constant depending only on n, A, the C1-norm of a

and the L-norm of c in W x [0, T].
Usually, we call ut + aIDuI2 the energy density and its integral over
Il8n x {t} the energy at time t. Then Theorem 6.3.2 asserts, in the case of
c = 0 and f = 0, that the initial energy (the energy at t = 0) controls the
energy at later time.
Next, we consider the initial-value problem in general domains. Let SZ
be a bounded domain in W and h_ and h+ be two piecewise C1-functions
in SZ with h_ <h + in SZ and h_ = h+ on 311. Set
D= {(x,t): h_(x) <t c h+(x), x e S2}.

Let a be Cl and c be continuous in D. We assume that
A<a<A in D.
We now consider
(6.3.3)
utt - aDu + cu = f in D.
6. Wave Equations
242
]fin
Figure 6.3.2. A general domain.
We can perform a similar integration in D as in the proof of Theorem 6.3.1

and obtain
f8D e-t (2 + u+ aIVuI2)v+t - 2

-I- (-X70) f
<
Ja- n
autuxiv+2 dS
i=1
e-t(u2 + ut + aIVuI2) dxdt
e-t ((2 + ut + aIVuI2)v_t - 2
autuxiv_i dS
i=1
e t f2 dxdt,
-{-
Where v = (vi,
, vn, vt) are unit normal vectors pointing in the positive t-direction along 9D. We are interested in whether the integrand for
a+D is nonnegative. As in the proof of Theorem 6.3.1, we have, by the
Cauchy inequality,
1
_ IVuI\/1 - v+t.
?Lx v+i
i=1
Then it is easy to see that

n
(mot + aIVuI2)v+t
-2
z=1
>_ (ut -I- aI0uI2)v+t - 2/a(1 - v+t) ' \1IutI ' IVuI > 0 on a+D
if
v+t >
all - v+t)
This condition can be written as

(6.3.4)
v+t >
1+a
on B+D.
243
In conclusion, under the condition (6.3.4), we obtain
dS + (-X70) ID e-t(u2 + ut + aIDuI2) dxdt
Jr D
e-t
+
((U2 + ut + aIDuI2)v_t - 2
autuxiv_i
dS
f2 dxdt.
JD
If we prescribe u and ut on 3_D, then Vu can be calculated on 3_D in

terms of u and ut. Hence, the expressions in the right-hand side are known.
In particular, if u = 'at = 0 on 3_D and f = 0 in D, then u = 0 in D.

Now we introduce the notion of space-like and time-like surfaces.
Definition 6.3.3. Let
be a C1-hypersurface in Rn x R+ and v = (vim, vt)

be a unit normal vector field on with vt > 0. Then is space-like at (x, t)
for (6.3.3) if
vt (x, t) >
a(x, t)
1 +a(x,t)'
E is time-like at (x, t) if
vt (x, t) <
a(x, t)
l+a(x,t)
If the hypersurface E is given by t = t(x), it is easy to check that E is

space-like at (x,t(x)) if
IVt.(rll
Now we consider the wave equation
utt - Du = f.
With a = 1, the hypersurface E is space-like at (x, t) if vt(x, t) > 1//. If
(6.3.5)
E is given by t = t(x), then E is space-like at (x, t(x)) if
I< 1.
In the following, we demonstrate the importance of space-like hypersurfaces

by the wave equation.
Let E be aspace-like hypersurface for the wave equation. Then for

any (xO, to) E E, the range of influence of (x0, to) is given by the cone
{(x, t) : t - to > lx - xoI} and hence is always above E. This suggests that
prescribing initial values on space-like surfaces yields awell-posed problem.
6. Wave Equations
244
Figure 6.3.3. A space-like hypersurface.
Figure 6.3.4. An integral domain for space-like initial hypersurfaces.
In fact, domains of integration for energy estimates can be constructed accordingly.
Next, we discuss briefly initial-value problems with initial values prescribed on a time-like hypersurface. Consider
utt = u+ uyy for x > 0 and y, t e III,

u=
1.sin my,
au
1.sin my on {x = 0}.
m2
ax m
Here we treat {x = 0} as the initial hypersurface, which is time-like for the
wave equation. A solution is given by
1
um x , y) = m2 em5 sin my.
Note that
um40, DUm
ax
on {x=0} asm-+oo.
Meanwhile, for any x > 0,

sup I
)I=
ems
oo
as m - 00.
m2
Ilga
Therefore, there is no continuous dependence on the initial values.
6.4. Exercises
245
To conclude this section, we discuss a consequence of Theorem 6.3.2. In

Subsection 2.3.3, we proved in Theorem 2.3.7 the existence of weak solutions
of the initial-value problem for the first-order linear PDEs with the help
of estimates in Theorem 2.3.5. By a similar process, we can prove the
existence of weak solutions of (6.3.1) using Theorem 6.3.2. However, there
is a significant difference. The weak solutions in Definition 2.3.6 are in L2
because an estimate of the L2-norms of solutions is established in Theorem
2.3.5. In the present situation, Theorem 6.3.2 establishes an estimate of the
L2-norms of solutions and their derivatives. This naturally leads to a new
norm defined by
1
(u2 + ut + Idxdt
IIUIIH1(Rnx(OT)) = (LX
The superscript 1 in Hl indicates the order of derivatives. With such a

norm, we can define the Sobolev space Hl (][8n x (O, T)) as the completion
of smooth functions of finite Hl-norms with respect to the H1-norm. Obviously, Hl(][8n x (O, T)) defined in this way is complete. In fact, it is a Hilbert
space, since the Hl-norm is naturally induced by an Hl-inner product given
by
(u, v)H1(Rn x (o,T)) _
(uv + Utvt + Vu Vv) dxdt.

n x (O,T)
Then we can prove that (6.3.1) admits a weak Hl-solution in ][8n x (O, T) if
cp =
= 0. We will not provide the details here. The purpose of this short
discussion is to demonstrate the importance of Sobolev spaces in PDEs. We
refer to Subsection 4.4.2 for a discussion of weak solutions of the Poisson
equation.
6.4. Exercises
Exercise 6.1. Let l be a positive constant, cp e C2([0, l]) and b e C'([0, l]).
Consider
Utt - Usa; = 0
in (0, 1) X (0, oo),
u(.,0) = (,o, u(',0) = b in [0,1],

u(0, t) = 0, u5(l, t) = 0 fort > 0.
Find a compatibility condition and prove the existence of a C2-solution
under such a condition.
6. Wave Equations
246
Exercise 6.2. Let cpl and cp2 be C2-functions in {x < 0} and {x > 0},
respectively. Consider the characteristic initial-value problem
utt -
= 0 fort > lxi,
u(x, -x) = (P1 (X) for x <0,

u(x, x) = cp2(x) for x >0.
Solve this problem and find the domain of dependence for any point (x, t)
with t> lxi.

Exercise 6.3. Let cpl and cp2 be C2-functions in {x > 0}. Consider the
Goursat problem
utt - u=0 for 0 < t < x,

for x > 0.
u(x, 0) = cpl(x), u(x, x) = cp2(x)
Solve this problem and find the domain of dependence for any point (x, t)
with 0 < t <x.

Exercise 6.4. Let a be a constant and cp and
which vanish near x = 0. Consider
be C2-functions on (0, oo)
utt-u=0 forx>0, t>0,

u(x, 0) = cp(x), ut(x, 0) _ b(x)
for x> 0,
u(0, t) =
a
for a L -1 and prove that in general there exist no solutions
for a = -1.
Exercise 6.5. Let a be a constant with al < 1. Prove that the wave
equation
utt - L u= 0 in R3 x R
is preserved by a Lore ntz transformation, i.e., a change of variables given by
s=
t - axl
1-a2'
xl - at
Y1=
1- a2'
yz=xi fori=2, 3.
Exercise 6.6. Let A be a positive constant and i4' E C2(]I82). Solve the
following initial-value problems by the method of descent:
utt = Du + AZU in 1[82 x (0, oo),
u(.,0)=0,
0) _ i/i
on ]182,
6.4. Exercises
247
and
utt = Du - A2u in Il82 x (0, oo),
u(.,0)=0,
onR2.
Hint: Use complex functions temporarily to solve the second problem.
Exercise 6.7. Let b be a bounded function defined in ]E82 with /i = 0 in

][82 \ Bl. For any (x, t) E ][82 x (0, oo), define
utx, t =
)
27r
Bt(u)
y)
t2 - IY - xI
dy.
(1) For any a e (0, 1), prove
supIu(',t)I
Bat
CSUPII foranyt> 1,
t Il2z
where C is a positive constant depending only on a.

(2) Assume, in addition, that zb = 1 in Bl. For any unit vector e E Il82,
find the decay rate of u(te, t) as t -+ oo.
Exercise 6.8. Let cp e C2(R3) and zb e C1(Il83).
Suppose that u E
C2(Il83 x [0, oo)) is a solution of the initial-value problem
u-/u=0 in ][83 x (0, oo),

onR3.
(1) For any fixed (xO, to) E Il83 x (0, oo), set for any x e Bto (xo) \ {xo},
v(x)
(Vxu(xo
IJ
IIx-xpl2ut`x'tJ)
t=to-Ix-xol
Prove that div v = 0.

(2) Derive an expression of u(xo, to) in terms of cp and zb by integrating
div v in Bto (xO) \ BE (xo) and then letting e - 0.
Remark: This exercise gives an alternative approach to solving the initialvalue problem for the three-dimensional wave equation.
Exercise 6.9. Let a be a positive constant and u be a CZ-solution of the

characteristic initial-value problem
utt - Du = 0 in {(x, t) E ][83 x (0,00): t> lxi > a},

u(x, lxi) = 0 for lxi > a.
(1) For any fixed (xo, to) E Il83 x Il8+ with to > Ixol > a, integrate dive
(introduced in Exercise 6.8) in the region bounded by ix-xol+ lxi _
to, lxi = a and lx - xoi = e. By letting e -+ 0, express u(xp, to) in

terms of an integral over BBa.
6. Wave Equations
248
(2) For any w e 2 and r > 0, prove that the limit
lim (ru(rw,r+'r))
T-+00
exists and the convergence is uniform for w e 2 and r E (0, To], for
any fixed TO>0.
Remark: The limit in (2) is called the radiation field. 1
Exercise 6.10. Prove Theorem 6.2.7 and Theorem 6.2.8 for n > 2.
Exercise 6.11. Set QT = {(x, t)
0 < x < 1, 0 < t < T}. Consider the
equation
Lu - 2utt + 3ut +
= 0.
(1) Give a correct presentation of the boundary-value problem in QT.

(2) Find an explicit expression of a solution with prescribed boundary
values.
(3) Derive an estimate of the integral of u + ut in QT.

Hint: For (2), divide QT into three regions separated by characteristic curves
from (0, 0). For (3), integrate an appropriate linear combination of utLu and
to make integrands on [0,1] x {t} and {l} x [0, t] positive definite.
Exercise 6.12. For some constant a > 0, let f be a C1-function in a 0. Consider the characteristic initial-value problem for the
wave equation
utt - Du = f (x, t) in a < lxi < t +a,

u = cp(x, t)
on lxl> a, t =
ixi- a,
u='b(x,t) onx=a, t>0.

Derive an energy estimate in an appropriate domain in a < lxi <t -I- a.
1F. G. Friedlander, On the radiation field of pulse solutions of the wave equation, Proc. Roy.
Soc. A, 269 (1962), 53-65.
Chapter 7
First-Order Differential
Systems
In this chapter, we discuss partial differential systems of the first order and
focus on local existence of solutions.
In Section 7.1, we introduce the notion of noncharacteristic hypersurfaces for initial-value problems. We proceed here for linear partial differential equations and partial differential systems of arbitrary order similarly
to how we did for first-order linear PDEs in Section 2.1 and second-order
linear PDEs in Section 3.1. We show that we can compute all derivatives of
solutions on initial hypersurfaces if initial values are prescribed on noncharacteristic initial hypersurfaces. We also demonstrate that partial differential
systems of arbitrary order can always be transformed to those of the first
order.
In Section 7.2, we discuss analytic solutions of the initial-value problem
for first-order linear differential systems. The main result is the CauchyKovalevskaya theorem, which asserts the local existence of analytic solutions
if the coefficient matrices and the nonhomogeneous terms are analytic and
the initial values are analytic on analytic noncharacteristic hypersurfaces.

The proof is based on the convergence of the formal power series of solutions.
In this section, we also prove a uniqueness result due to Holmgren, which

asserts that the solutions in the Cauchy-Kovalevskaya theorem are the only
solutions in the C-category.
In Section 7.3, we construct a first-order linear differential system in
R3 that does not admit smooth solutions in any subsets of R3. In this
system, the coefficient matrices are analytic and the nonhomogeneous term
249
7. First-Order Differential Systems
250
is a suitably chosen smooth function. (For analytic nonhomogeneous terms

there would always be solutions by the Cauchy-Kovalevskaya theorem). We
need to point out that such a nonhomogeneous term is proved to exist by a
contradiction argument. An important role is played by the Baire category
theorem.

The main focus in this section is on linear partial differential systems of
arbitrary order.
7.1.1. Linear Partial Differential Equations. We start with linear partial differential equations of arbitrary order and proceed here as in Sections
2.1 and 3.1.
Let 1 be a domain in 1Rn containing the origin, m be a positive integer
and as be a continuous function in 1, for cx e Z+ with of < in. Consider

an mth-order linear differential operator L defined by
(7.1.1)
aa(x)aau in 1.
Lu =
IaI<m
Here, as is called the coefficient of aau.
Definition 7.1.1. Let L be a linear differential operator of order m as in

(7.1.1) defined in 1 C 1R7. The principal part Lo and the principal symbol p
of L are defined by
aa(x)aau
Lou =
in SZ,
IaI=m
and
aa(x)r,
IaI=m
for any XES2and EIlBn.

The principal part Lo is a differential operator consisting of terms involving derivatives of order m in L, and the principal symbol is a homogeneous polynomial of degree m with coefficients given by the coefficients of
Lo. Principal symbols play an important role in discussions of differential
operators.
We discussed first-order and second-order linear differential operators
in Chapter 2 and Chapter 3, respectively. Usually, they are written in the
forms
Lu =
a2
i=1
b(x)u
in 1,
and
251
Lu =
bi (x)u+ c(x)u in ft
aij
i,j=1
i=1
Their principal symbols are given by

n
ai(x)i
p(xi) =
i=1
and
n
p(xiS)
i,j=1
for any x E St and e E l[8. For second-order differential operators, we

usually assume that (a) is a symmetric matrix in ft
Let f be a continuous function in ft. We consider the equation
Lu = f (x)
(7.1.2)
in S2.
The function f is called the nonhomogeneous term of the equation.

Let E be a smooth hypersurface in St with a unit normal vector field
v = (vi, , vn). For any integer j > 1, any point xp E E and any C-function u defined in a neighborhood of xo, the jth normal derivative of u
at xo is defined by
au
avj
U a u=
U1 1 ... Un n 1 ... n n2G
We now prescribe the values of u and its normal derivatives on so that

we can find a solution u of (7.1.2) in ft Let u0, u1,
, ur_1 be continuous
functions defined on . We set
Ur _iu
= u1, ... ,
(7.1.3)
u = u0,
= um-1 on I'.
OU
the initial hypersurf ace and u0,

,
We call
1 the initial values or
Cauchy values. The problem of solving (7.1.2) together with (7.1.3) is called
the initial-value problem or Cauchy problem.
We note that there are m functions u0, u1,
, ur_1 in (7.1.3). This reflects the general fact that m conditions are needed for initial-value problems
for PDEs of order m.
As the first step in discussing the solvability of the initial-value problem
(7.1.2)-(7.1.3), we intend to find all derivatives of u on . We consider a

special case where is the hyperplane {xn = 0}. In this case, we can take
v = en and the initial condition (7.1.3) has the form
(7.1.4)
0) = uo, U
0) = u1, ... , am 1 u(., 0) =
urn_1
on Rn-1.
252
Ian-1 and u be a smooth

Let u0, ui,
, u,n_i be smooth functions on
solution of (7.1.2) and (7.1.4) in a neighborhood of the origin. In the following, we investigate whether we can compute all derivatives of u at the
origin in terms of the equation and initial values. We write x = (x', xn) for
x' E Rn-1. First, we can find all x'-derivatives of u at the origin in terms of
those of u0. Next, we can find all x'-derivatives of urn at the origin in terms
of those of ui. By continuing this process, we can find all x'-derivatives

of u, urn ,
, Dm 1 u at the origin in terms of those of uO, u i ,
, um- i
In particular, for derivatives up to order m, we find all except am u. To
find DU(O), we need to use the equation. We note that a(0,... ,O,m) is the
coefficient of Dm u in (7.1.2). If we assume
(7.1.5)
a(0,... ,0,m)(0) 4 0,
then by (7.1.2),
DU(0) = -
a(0)a u (0) - f(0)
a(O,... ,O,m) (o)
0 m)
Hence, we can compute all derivatives up to order m at 0 in terms of

the coefficients and nonhomogeneous term in (7.1.2) and the initial values
u0, ui,
, ur_i in (7.1.4). In fact, we can compute the derivatives of u of
arbitrary order at the origin. For an illustration, we find the derivatives of
u of order m + 1. By (7.1.5), a(0,... ,O,m) is not zero in a neighborhood of the
origin. Hence, by (7.1.2),
1
CL(0,... ,0,m)
a a u - f
\a(0,... ,0,m)
By evaluating at x E Ian-i x {0} close to the origin, we find am u(x) for

x E n-1 x {0} sufficiently small. As before, we can find all x'-derivatives
of DU at the origin. Hence for derivatives up to order m + 1, we find all
except D +iu. To find D +iu(0), we again need to use the equation. By
differentiating (7.1.2) with respect to xn, we obtain
a(O,...,O,m)
n u + ... = f,
a1
where the dots denote a linear combination of derivatives of u whose values

on Ian-1 x {0} are already calculated in terms of the derivatives of u0, ui,
, u,n_i, f and the coefficients in the equation. By (7.1.5) and the above
equation, we can find am +i u (0) . We can continue this process for derivatives
of arbitrary order. In summary, we can find all derivatives of u of any

order at the origin under the condition (7.1.5), which will be defined as the
noncharacteristic condition later on.
253
In general, consider the hypersurface given by {(p = 0} for a smooth

function co in a neighborhood of the origin with
0. We note that the
vector field Vcp is normal to the hypersurface at each point of . We take
a point on , say the origin. Then (p(0) = 0. Without loss of generality,

0. Then by the implicit function theorem, we
we assume that coffin (0)
can solve co = 0 for xn = '/'(xl ,
Consider the change of variables
, xn_ 1) in a neighborhood of the origin.
x H y = (Xi,... , xn_i, co(x))

This is a well-defined transformation with a nonsingular Jacobian in a neighborhood of the origin. With
n
uyn + terms not involving uyn ,
y,X2 uy _
=1
and in general, for any a e Z+ with al = m,
au = ai
9u = (Pi
oEy u + terms not involving 5u,
we can write the operator L in the y-coordinates as
Lu =
co ,13 u + terms not involving 13u.
a (x(y)) coi
Jai=rn
The initial hypersurface is given by {yn = 0} in the y-coordinates. With

yn = co, the coefficient of am u is given by
a (x)coi ... 70X
IaI=rn
This is the principal symbol p(x; ) evaluated at
_ V(p(x).
Definition 7.1.2. Let L be a linear differential operator of order m defined

as in (7.1.1) in a neighborhood of xo E W and be a smooth hypersurface
containing xo. Then E is noncharacteristic at xo if
(7.1.6)
p(xo; v) =
as (xo) v
0,
I_m
where v = (ill,..' , vn) is normal to
at xo. Otherwise,
is characteristic
at x0.

mean it is characteristic everywhere. This should cause no confusion. In

112, hypersurfaces are curves, so we shall speak of characteristic curves and
254
When the hypersurface
vector field is given by
is given by {cp = 0} with Vcp 0, its normal

Vcp = (,'.. , j. . Hence we may take v =
V p(xo) in (7.1.6). We note that the condition (7.1.6) is preserved under

C"2-changes of coordinates. By this condition, we can find successively the
values of all derivatives of u at xo, as far as they exist. Then, we could

write formal power series at xo for solutions of initial-value problems. If the
initial hypersurface is analytic and the coefficients, nonhomogeneous terms
and initial values are analytic, then this formal power series converges to an
analytic solution. This is the content of the Cauchy-Kovalevskaya theorem,
which we will discuss in Section 7.2.
Now we introduce a special class of linear differential operators.
Definition 7.1.3. Let L be a linear differential operator of order m defined

as in (7.1.1) in a neighborhood of xo E ][8'1. Then L is elliptic at xo if
0,
IaI=m
for any
E I[8n \ {0}.
A linear differential operator defined in SZ is called elliptic in SZ if it is

elliptic at every point in 1.
According to Definition 7.1.3, linear differential operators are elliptic if
every hypersurface is noncharacteristic.
Consider a first-order linear differential operator of the form
n
a2 (x)u+ b(x)u in SZ C R.
Lu =
2=1
Its principal symbol is given by
2=1
for any x e SZ and any e W1. Hence first-order linear differential equations with real coefficients are never elliptic. Complex coefficients may yield
elliptic equations. For example, take a1 = 1/2 and a2 = i/2 in IR2. Then
az = (awl + i32)/2 is elliptic.
The notion of ellipticity was introduced in Definition 3.1.2 for secondorder linear differential operators of the form
n
Lu =
b2(x)u+ c(x)u in SZ C R.
+
2,j=1
2=1
255
The principal symbol of L is given by
p(x; ) _
z,j=1
for any x E SZ and any
E ][8n. Then L is elliptic at x E S2 if

0
for any
E Il8" \ {0}.
z,j=1
If (aj(x)) is areal-valued n x n symmetric matrix, L is elliptic at x if (a,(x))

is a definite matrix at x, positive definite or negative definite.
7.1.2. Linear Partial Differential Systems. The concept of noncharacteristics can be generalized to linear partial differential equations for vector-
valued functions. Let m, N > 1 be integers and S1 C Rn be a domain. A

smooth N x N matrix A in SZ is an N x N matrix whose components are
smooth functions in ft Similarly, a smooth N-vector u is a vector of N
components which are smooth functions in ft Alternatively, we may call
them a smooth N x N matrix-valued function and a smooth N-vector-valued
function, or a smooth RN-valued function, respectively. In the following, a
function may mean a scalar-valued function, a vector-valued function, or a
matrix-valued function. This should cause no confusion. Throughout this
chapter, all vectors are in the form of column vectors.
Let Aa be a smooth N x N matrix in SZ, for each cx e Z+ with Ic <m.
Consider a linear partial differential operator of the form
(7.1.7)
Lu =
Aa (x)aau
in SZ,
I aI<m
where u is a smooth N-vector in ft Here, Aa is called the coefficient matrix

of &u.
We define principal parts, principal symbols and noncharacteristic hypersurfaces similarly to those for single differential equations.
Definition 7.1.4. Let L be a linear differential operator defined in St C ][8n
as in (7.1.7). The principal part Lo and the principal symbol p of L are

defined by
Aa(x)aau inn,
Lpu =
IaI=m
and
det
for any x E S2 and
E IlBn.
A(x)r
\IaI=m
256
Definition 7.1.5. Let L be a linear differential operator defined in a neighborhood of xo E ][8n as in (7.1.7) and E be a smooth hypersurface containing
xo. Then E is noncharacteristic at xo if
A(xo)va
p(xo; v) = det
0,
\IaI=rn
where v = (v1,.. , vn) is normal to E at xo. Otherwise, E is characteristic

at xp.
Let f be a smooth N-vector in 11. We consider the linear differential

equation
Lu = f (x) in 11.
(7.1.8)
The function f is called the nonhomogeneous term of the equation. We

often call (7.1.8) a partial differential system, treating (7.1.8) as a collection
of partial differential equations for the components of U.
Let E be a smooth hypersurface in 11 with a normal vector field v and
let u0, u1,
,
be smooth N-vectors on E. We prescribe
am-1
au
= ul, ... , m-1u = um-1 on .
(7.1.9)
u = u0i
ov
av
We call E the initial hypersurf ace and u0 i
the initial values or
,
Cauchy values. The problem of solving (7.1.8) together with (7.1.9) is called
the initial-value problem or Cauchy problem.
We now examine first-order linear partial differential systems. Let A1,
,
An and B be smooth N x N matrices in a neighborhood of x0 E R.
Consider a first-order linear differential operator

n
Lu =
AiUX2 + Bu.
i=1
A hypersurface E containing x0 is noncharacteristic at x0 if

n
det
(vA(xo))
; 0,
i=1
where v = (vi,... , v1) is normal to E at the x0.

We now demonstrate that we can always reduce the order of differential
systems to 1 by increasing the number of equations and the number of

components of solution vectors.
Proposition 7.1.6. Let L be a linear differential operator defined in a

neighborhood of x0 E Rn as in (7.1.7), E be a smooth hypersurface containing
x0 which is noncharacteristic at x0 for the operator L, and u0, u1,
, um-1
257
be smooth on E. Then the initial-value problem (7.1.8)-(7.1.9) in a neighborhood of xo is equivalent to an initial-value problem for afirst-order differential system with appropriate initial values prescribed on E, and E is
a noncharacteristic hypersurface at xo for the new first-order differential
system.
Proof. We assume that xo is the origin. In the following, we write x =

(x', xn) E Ian and a = (a', an) E Z.
Step 1. Straightening initial hypersurfaces. We assume that is given by
{gyp = 0} for a smooth function P in a neighborhood of the origin with coffin
0. Then we introduce a change of coordinates x = (x', xn) - (x', (x)).
In the new coordinates, still denoted by x, the hypersurface is given by
{xn = 0} and the initial condition (7.1.9) is given by
D u(x', 0) = u3(x') for j = 0,1,
,m-
1.
Step 2. Reductions to canonical forms and zero initial values. In the new
coordinates, {xn = 0} is noncharacteristic at 0. Then, the coefficient matrix
,o,rn) is nonsingular at the origin and hence also in a neighborhood of
the origin. Multiplying the partial differential system (7.1.8) by the inverse
of this matrix, we may assume that A(o, ,o,rn) is the identity matrix in a
neighborhood of the origin. Next, we may assume
=0 for j =0,1, ,m-1.

To see this, we introduce a function v such that
rn-1 1
-u( x
u(x) = v(x) +
j=0
Then the differential system for v is the same as that for u with f replaced
by
m-1
A(x)Da (-ui(x')x).
1(x) j=0
Moreover,
D v (x', 0) = 0 for j = 0,1,
,m- 1.
With Step 1 and Step 2 done, we assume that (7.1.8) and (7.1.9) have
the form
au-
m-1
Aau = f,
n=o ' I <rn-n
With
D u(x', 0) = 0
for j = 0,1,
,m-1.
258
Step 3. Lowering the order. We now change this differential system to

an equivalent system of order m - 1. Introduce new functions
U0=u,
UZ = uxi for i = 1,
, n,
and
T
TT
U=(U" ,U1,...,Un)
(7.1.10)
where T indicates the transpose. We note that U is a column vector of

(n + 1)N components. Then
, n - 1.
Ui,xn = Un,xi for i = 1,
U,xn = Un,
Hence
(7.1.11)
am-1 U0
(7.1.12)
am
U =0,
n
- am-2
xn
lug-axiam 2Un=0
To get an (m-1)th-order differential equation for U, we write the equation

for u as
m-1
u = f.
Aaaau +
an=1 Ia' I <m-an
I a'I <m
We substitute Un = uxn in the first two terms in the left-hand side to get
m-2
(7.1.13)
ax 1 Un +
A(a
Aa as Un +
an=0 a' I <m-an -1
u = f.
a' I <m
In the last summation in the left-hand side, any mth-order derivative of u can
, n -1,
be changed to an (m -1)th-order derivative of UZ for some i = 1,
since no derivatives with respect to xn are involved. Now we can write a

differential system for U in the form
m-2
(7.1.14)
ax -1U +
Aa1)5aU
an=0 a'l<m-an-1
The initial value for U is given by
axnu(x',0) =0
for j =0,1, ,m-2.
Hence, we reduce the original initial-value problem for a differential system

of order m to an initial-value problem for the differential system of the form
(7.1.14) of order m - 1.
Now let U be a solution of (7.1.14) with zero initial values. By writing
U as in (7.1.10), we prove that U is a solution of the initial-value problem
for the original differential system of order m. To see this, we first prove
that Ui =
259
for i = 1,
, n. By (7.1.11) and the initial conditions for
U, we have
m-2
aXn
(Un - Up,) - 0,
and on { xn = 0},
=0 for j =0, ,m-3.
Next, for i = 1,
This easily implies Un
am 1UZ-%, am 2Un=t9
1U2
,n-
1,
-D,t9 1U0 =t9
By (7.1.12) and the initial conditions, we have

am-1(Ui
- D Up) = 0,
n
and on {xn = 0}
=0 for j =0, ,m-2.

for i = 1, , n - 1. Substituting Ui =
Hence, Ui =
for i =
1,
, n, in (7.1.13), we conclude that Up is a solution for the original mthorder differential system.
Now, we can repeat the procedure to reduce m to 1.
We point out that straightening initial hypersurfaces and reducing initial
values to zero are frequently used techniques in discussions of initial-value
problems.

For a given first-order linear partial differential system in a neighborhood of
xp E Rn and an initial value up prescribed on a hypersurface containing
xp, we first intend to find a solution u formally. To this end, we need to

determine all derivatives of u at xp, in terms of the derivatives of the initial value up and of the coefficients and the nonhomogeneous term in the
equation. Obviously, all tangential derivatives (with respect to ) of u are
given by derivatives of up . In order to find the derivatives of u involving
the normal direction, we need help from the equation. It has been established that, if is noncharacteristic at xp, the initial-value problem leads
to evaluations of all derivatives of u at xp. This is clearly a necessary first
step to the determination of a solution of the initial-value problem. If the
coefficient matrices and initial values are analytic, a Taylor series solution
could be developed for u. The Cauchy-Kovalevskaya theorem asserts the
convergence of this Taylor series in a neighborhood of xp.
To motivate our discussion, we study an example of first-order partial
differential systems which may admit no solutions in any neighborhood of
260
the origin, unless the initial values prescribed on analytic noncharacteristic

hypersurfaces are analytic.
Example 7.2.1. Let g = g(x) be areal-valued function in ]l8. Consider the

partial differential system in ][8+ _ {(x, y) : y> 0},
uy + v = 0,
(7.2.1)
with initial values given by
u=g(x),v=0 on{y=0}.
We point out that (7.2.1) is simply the Cauchy-Riemann equation in C _ 1182.
It can be written in the matrix form

(1 0 (u
\0 1) t\V
(0
i(u
-(0
\-i 0) \v) -
Note that {y = 0} is noncharacteristic. In fact, there are no characteristic

curves. To see this, we need to calculate the principal symbol. By taking
_ ('1, '2) E ][82, we have
(O
-f- bl
(0i
O)
- (S2
S11
O)
The determinant of this matrix is i + , which is not zero for any

0.
Therefore, there are no characteristic curves. We now write (7.2.1) in a
complex form. Suppose we have a solution (u, v) for (7.2.1) with the given
initial values and let w = u + iv. Then
w(.,0)=g
onIR.
Therefore, w is (complex) analytic in the upper half-plane and its imaginary

part is zero on the x-axis. By the Schwaxtz reflection principle, w can be
extended across y = 0 to an analytic function in C = It82. This implies
in particular that g is (real) analytic since

0) = g. We conclude that
(7.2.1) admits no solutions with the given initial value g on {y = 0} unless
g is real analytic.
Example 7.2.1 naturally leads to discussions of analytic solutions.
7.2.1. Real Analytic Functions. We introduced real analytic functions

in Section 4.2. We now discuss this subject in detail.
For (real) analytic functions, we need to study convergence of infinite
series of the form
261
where the ca are real numbers defined for all multi-indices a e Z. Throughout this section, the term convergence always refers to absolute convergence.
Hence, a series a ca is convergent if and only if > ca < oo. Here, the
summation is over all multi-indices a e Z.
Definition 7.2.2. A function u : Ian - R is called analytic near xo E Ian if

there exist an r > 0 and constants {Ua} such that
ua(x - xo)a for x E Br(xp).
u(x) =
a
If u is analytic near xo, then u is smooth near xo. Moreover, the constants ua are given by
1
ua = -8au(xa) for a E Z.
a!
Thus u is equal to its Taylor series about xo, i.e.,
x E B,.(xo).
u(x) _
a
For brevity, we will take xo = 0.

Now we discuss an important analytic function.
Example 7.2.3. For r> 0, set
Then
00
k=O
(k)a
lal_k
This power series is absolutely convergent for lxi < r// since
00
Ixil + ... + Ixn
lal! a _
a rllal
k-0
for lxii +... + IxI < Ixlv4 < r. We also note that
8u(0) = ra
for a E 7G+.
We point out that all derivatives of u at 0 are positive.

An effective method to prove analyticity of functions is to control their
derivatives by the derivatives of functions known to be analytic. For this,
we introduce the following terminology.
262
Definition 7.2.4. Let u and v be smooth functions defined in Br C Rn, for

some r > 0. Then v majorizes u in Br, denoted by v >> u or u << v, if
for any a E Z.
av (0) > I
We also call v a majorant of u in Br.

The following simple result concerns the convergence of Taylor series.
Lemma 7.2.5. Let u and v be smooth functions in Br. If v>> u and the
Taylor series of v about the origin converges in B,., then the Taylor series
of u about the origin converges in Br.
Proof. We simply note that
a I< 8av(0) Ix" I < oo
for x E B,..
Hence we have the desired convergence for u.
Next, we prove that every analytic function has a majorant.
Lemma 7.2.6. If the Taylor series of u about the origin is convergent to u
in Br and 0 < s/ < r, then u has an analytic majorant in

Proof. Set y = s(1,
,1). Then, II = s/ < r and
1
a
a constant C such that for any a E 7L+,

1
a.
u(o)y
< C,
and in particular,
a a"u(0)
C
y1
yn
C laP
s
a.
Now set
v (x) - s _ (x1 Cs
+ ... + xn)
=C
lal! x .
sk I a.
Then v is analytic in B81 and majorizes u.
So far, our discussions are limited to scalar-valued functions. All definitions and results can be generalized to vector-valued functions easily. For
example, a vector-valued function u =
UN) is analytic if each of its
components is analytic. For vector-valued functions u = (Ui,... , UN) and
We have the following results for compositions of functions.
263
Lemma 7.2.7. Let u, v be smooth functions in a neighborhood of 0 E Il8n

with range in ][8"z and f,g be smooth functions in a neighborhood of 0 E Il8"`
with range in I[8N, with u(0) = 0, f(0) = 0, u <C v and f <G g. Then
fo'u<Ggov.
Lemma 7.2.8. Let u be an analytic function near 0 E I[8n with range in ][8""'
and f be an analytic function near u(0) E Il8"` with range in RN. Then f on
is analytic near 0 E IIBn.
We leave the proofs as exercises.
7.2.2. Cauchy-Kovalevskaya Theorem. Now we are ready to discuss

real analytic solutions of initial-value problems. We study first-order quasilinear partial differential systems of N equations for N unknowns in
{(x, t) } with initial values prescribed on the noncharacteristic hyperplane
{t=0}.
Let A1,
, An be smooth N x N matrices in Rn+1+N, F be a smooth
N-vector in Rn+1+N and uo be a smooth N-vector in R. Consider
n
(7.2.2)
ut =
Aj (x, t, u)ux + F(x, t, u),

j=1
with
(7.2.3)
0) = uo.
, A, F and uo are analytic in their arguments and

We assume that Al,
seek an analytic solution u. We point out that {t = 0} is noncharacteristic for (7.2.2). Noncharacteristics was defined for linear differential systems
in Section 7.1 and can be generalized easily to quasilinear differential systems. We refer to Section 2.1 for such a generalization for single quasilinear
differential equations.
The next result is referred to as the Cauchy-Kovalevskaya theorem.
Theorem 7.2.9. Let uo be an analytic N-vector near 0 E Il8", and let Al,
, Abe analytic N x N matrices and F be an analytic N-vector near

(0,0, o(0)) E I[8"+1+N Then the problem (7.2.2)-(7.2.3) admits an analytic
solution u near 0 E 1[8"+1
Proof. Without loss of generality, we assume uo = 0. To this end, we

introduce v by v(x, t) = u(x, t) - uo(x). Then the differential system for v
is similar to that for u. Next, we add t as an additional component of u by
introducing un,+l such that uN+l,t = 1 and unr+l 0) = 0. This increases
the number of equations and the number of components of the solution
, A, and
vector in (7.2.2) by 1 and at the same time deletes t from Al,
264
F. For brevity, we still denote by N the number of equations and the number
of components of solution vectors.
In the following, we study
n
F(x,u),
ut =
(7.2.4)
j=1
with
0) = 0,
(7.2.5)
, An are analytic N x N matrices and F is an analytic N-vector

in a neighborhood of the origin in Rn+N. We seek an analytic solution u
in a neighborhood of the origin in Rn+1. To this end, we will compute
derivatives of u at 0 E Rn+l in terms of derivatives of A1,
, An and F at
(0,0) E Rn+N and then prove that the Taylor series of u at 0 converges in a
neighborhood of 0 E n+1. We note that t does not appear explicitly in the
right hand side of (7.2.4).
Since u=0 on {t = 0}, we have
where A1,
au(0)=0
For any i = 1,
for any a E Z+ .
, n, by differentiating (7.2.4) with respect to xZ, we get

n
uxZt
j=1
In view of (7.2.5), we have
u(O) = F(0,0).
More generally, we obtain by induction
99u(0) = aaF(0, 0) for any a E Z.

Next, for any a E Z+, we have
n
+F
aaat u = aaatut = aaat

j=1
= as
(Aj
j=1
t + Aj,uutu j) + Fuut
Here we used the fact that Aj and F are independent of t. Thus,

n
aaa2u(o) = as
Fuut
j=1
(x,t,u)=O
265
The expression in the right-hand side can be worked out to be a polynomial

with nonnegative coefficients in various derivatives of A1,
, An and F and
the derivatives
with 1/31 +1 < Ic +2 and l < 1.
More generally, for any c E Z+ and k > 0, we have
aaatu(0) =
(7.2.6)
Btu -
pa,k(axauA1,...
where pa,k is a polynomial with nonnegative coefficients and the indices

y, /3,1 range over
IWe
/3 E Z+, y E Z+ and l E Z+ with I r I+ I
I a I+ k -1,
is considered as a polynomial in the

point out that pa,k
We denote by pa,k (IDDAi I , ) the value of
components of
are replaced by their absolute values.
pa,k when all components
Since pa,k has nonnegative coefficients, we conclude that
spa,
axaryAn, axaryF,
< pa,k(I axauA1I, ... , IaxauAnl,'9 9 F', I axatul )
(7.2.7)
t u -o
We now consider a new differential system

n
vt =
(7.2.s)
G(x, v),
Bj (x,
j=1
0,
Bn are analytic N x N matrices and G is an analytic N-vector

, Bn and G
in a neighborhood of the origin in R -1 . We will choose B1,
such that
where B1,
(7.2.9)
B> >A for j = 1,
Hence, for any (r,'y)

(0)
, rz
and C >>F.
> Ifor
j = 1,... , n,
and
I
The above inequalities should be understood as holding componentwise.

Let v be a solution of (7.2.8). We now claim that
IDDu0I < aat v (0) for any (c,k) E 7L+ 1
266
The proof is by induction on the order of t-derivatives. The general step

follows since
l ax at u(0) I = pa,k (a'1aP'A1 , ... , ax au An, ax au F, aaalu)
<pa,k(laaAl1,...
pa,k(axau-'-'l,' .. , axauBn,
aaaly) x t u =o
= axat v(0),
where we used (7.2.6), (7.2.7) and the fact that pa,k has nonnegative coefficients. Thus
(7.2.10)
v >> u.
It remains to prove that the Taylor series of v at 0 converges in a neighborhood of 0 E Rn+1.

To this end, we consider
B1
Bn
Cr
T - (xl + ... +
xnvl 1
xn+vl+...+vNv
1
1
and
G
Cr
r-(x1+...+xfl+v1+...+vN))
1
for positive constants C and r, with lxi + lvi < r/ n -F- N. As demonstrated
in the proof of Lemma 7.2.6, we may choose C sufficiently large and r
sufficiently small such that (7.2.9) holds.
Set
v=w
for some scalar-valued function w in a neighborhood of 0 E I[Sn+l
(7.2.8) is reduced to
wt =
Cr
r-(x1+...+xn+Nw)
Then
wxi
i=1
w(.,0) = 0.
This is a (single) first-order quasilinear partial differential equation. We now
seek a solution w of the form
w(x1 i ... , xn, t) = ti (x1 + ... + xn, t).
267
Then w = w (z, t) satisfies

Wt =
Cr
r - z - Nw (nNwz + 1),
w(, o) = o.
By using the method of characteristics as in Section 2.2, we have an explicit
solution
w(z, t) _
(n + 1)N
{r -
z- [(r - z)2 - 2Cr(n + 1)Nt] 2 },
and hence
1
w(x, t) _
(n+ 1)N
{r_xi_ [(r_xi)2_2Cr(n+l)Nt]
This function is analytic near the origin and its Taylor series about the
origin is convergent for I (x, t) I < s, for sufficiently smalls > 0. Hence, the
corresponding solution v of (7.2.8) is analytic and its Taylor series about

the origin is convergent for I(x, t) I < s. By Lemma 7.2.5 and (7.2.10), the
Taylor series of u about the origin is convergent and hence defines an analytic
function for (x, t) J < s, which we denote by u. Since the Taylor series of
the analytic functions ut and

A3 (x,
u) have the same
coefficients at the origin, they agree throughout the region (x, t) < s.
At the beginning of the proof, we introduced an extra component for the
solution vector to get rid of t in the coefficient matrices of the differential
system. Had we chosen to preserve t, we would have to solve the initial-value
problem
Wt=
Cr
r - z - t - Nw (nNt+1),
w(, o) = o.
It is difficult, if not impossible, to find an explicit expression of the solution
w.
7.2.3. The Uniqueness Theorem of Holmgren. The solution given

in Theorem 7.2.9 is the only analytic solution since all derivatives of the
solution are computed at the origin and they uniquely determine the analytic
solution. A natural question is whether there are other solutions, which are
not analytic.
Let A0i A1,
An and B be analytic N x N matrices, and let F be
an analytic N-vector in a neighborhood of the origin in Rn+l and uo be an
268
analytic N-vector in a neighborhood of the origin in W. We consider the

initial-value problem for linear differential systems of the form
Aj(x, t)u+ B(x, t)u = F(x, t),
Ao(x, t)ut +
(7.2.11)
j=1
u(x, 0) = uO(x).
The next result is referred to as the local Holmgren uniqueness theorem.

It asserts that there do not exist nonanalytic solutions.
Theorem 7.2.10. Let Ao, Al ,

, Aand B be analytic N x N matrices and
F be an analytic N-vector near the origin in ][8n+1 and uo be an analytic
N-vector near the origin in W. If {t = 0} is noncharacteristic at the

origin, then any C' -solution of (7.2.11) is analytic in a sufficiently small
neighborhood of the origin in Il81
For the proof, we need to introduce adjoint operators. Let L be a differential operator defined by
n
Lu = Ao(x, t)ut +
Ai(x, t)uxi + B(x, t)u.

i=1
For any N-vectors u and v, we write

n
vTLu
= (vTAou)t + (vTAiu)xi - ((Av)t +
(Av)xi i=1
i=1
We define the adjoint operator L* of L by

n
L*v = - (4v)t -
(ATv)x2 + BTv
i=1
n
= - 4vt -
AT vxi +
i=1
BT - Ao t
i=1
Then
vT Lu
(vTAiu)xi + (L*v)Tu.
= (vTAou)t +
z=1
Proof of Theorem 7.2.10. We will prove that any C1-solution u of Lu =

0 with a zero initial value on {t = 0} is in fact zero. We introduce an analytic
change of coordinates so that the initial hypersurface {t = 0} becomes a

paraboloid
t= 1x12.
For any
> 0, we set
= {(x,t) : 1x12< t < }.
269
We will prove that u = 0 in SZ for a sufficiently small e. In the following, we

denote by a+SZ and a_ SZ the upper and lower boundary of
respectively,
i.e.,
ac = {(x,t)
x2 < t =
a_cz6={(x,t): 1x12=t<e}.
We note that det(Ao(0)) L 0 since E is noncharacteristic at the origin.
Hence Ao is nonsingular in a neighborhood of the origin. By multiplying
the equation in (7.2.11) by A1, we assume Ao = I.
Figure 7.2.1. A parabola.
For any N-vector v defined in a neighborhood of the origin containing

we have
0 = f vT Lu dxdt = f UT L*v dxdt +
f+s uvT dx.
There is no boundary integral over a_ SZ since u = 0 there. Let Pk =

Pk(x) be an arbitrary polynomial in Rn , k = 1,
, N, and form P =
(F1,... , PN). We consider the initial-value problem
L*v = 0 in Br,
v=P onBrf1{t=e},
where BT is the ball in
with center at the origin and radius r. The
principal part of L* is the same as that of L, except a different sign and a
transpose. We fix r so that {t = e} f1 BT is noncharacteristic for L*, for each
small e. By Theorem 7.2.9, an analytic solution v exists in BT for a small.
We need to point out that the domain of convergence of v is independent
of P, whose components are polynomials. We choose a small such that
SZe C BT . Then we have
J916
270
By the Weierstrass approximation theorem, any continuous function in a

compact domain can be approximated in the L-norm by a sequence of
polynomials. Hence,
U. w dx = 0,
for any continuous function w on D1 n Br. Therefore, u = 0 on D1 for

any small e and hence in 11,.
10
Theorem 7.2.9 guarantees the existence of solutions of initial-value problems in the analytic setting. As the next example shows, we do not expect
any estimates of solutions in terms of initial values.
Example 7.2.11. In R2, consider the first-order homogeneous linear differential system (7.2.1),
uy + v = 0,
Note that all coefficients are constant. As shown in Example 7.2.1, {y = 0}
is noncharacteristic. For any integer k > 1, consider
uk(x, y) = sin(kx)eky, vk(x, y) = cos(kx)eky
for any (x,y) E IL82.
Then (Uk, vk) satisfies (7.2.1) and on {y = 0},
uk(x, 0) = sin(kx), vk(x, 0) = cos(kx)
for any x E ][8.
Obviously,
uk (x, 0) -I- vk (x, 0) = 1
for any x E ][8,
and for any y> 0,

sup (u(x,y) -}- vk(x, y)) = e21 -+ oo as k -+ oo.
zE1R
Therefore, there is no continuous dependence on initial values.

In this section, we construct a linear differential equation which does not
admit smooth solutions anywhere, due to Lewy. In this equation, the coefficients are complex-valued analytic functions and the nonhomogeneous term
is a suitably chosen complex-valued smooth function. We need to point
out that such a nonhomogeneous term is proved to exist by a contradiction
argument. This single equation with complex coefficients for a complexvalued solution is equivalent to a system of two differential equations with
real coefficients for two real-valued functions.
Define a linear differential operator L in Il83 = {(x, y, z) } by
(7.3.1)
Lu = u + iuy - 2i(x + iy)uz.
271
We point out that L acts on complex-valued functions.

The main result in this section is the following theorem.
Theorem 7.3.1. Let L be the linear differential operator in ]E83 defined in

(7.3.1). Then there exists an f E C(R3) such that Lu = f has no C2solutions in any open subset of ]E83.
Before we prove Theorem 7.3.1, we rewrite L as a differential system of

two equations with real coefficients for two real-valued functions. By writing
u = v + iw for real-valued functions v and w, we can write L as a differential
operator acting on vectors (v, w)T. Hence
(vs - w,,, + 2(yvz + xwz)
wX + vy + 2(ywz - xvz)
L w
In the matrix form, we have
L(=(
+(
-1(v
(2y 2x(v
By a straightforward calculation, the principal symbol is given by
p(P; ) = (1 + 2y)2 + (2 - 2X3)2,

for any P = (x, y, z) E II83 and
2, 3) E I[83. For any fixed P E I[83, p(P; )
is a nontrivial quadratic polynomial in II83. Therefore, if f is an analytic
function near P, we can always find an analytic solution of Lu = f near P.

In fact, we can always find an analytic hypersurface containing P which is
noncharacteristic at P. Then by prescribing analytic initial values on this
hypersurface, we can solve Lu = f by the Cauchy-Kovalevskaya theorem.
Theorem 7.3.1 illustrates that the analyticity of the nonhomogeneous term
f is necessary in solving Lu = f even for local solutions.
We first construct a differential equation which does not admit solutions
near a given point.
Lemma 7.3.2. Let (xO, yo, zo) be cc point in I[83 and L be the differential op-
erator defined in (7.3.1). Suppose h = h(z) is areal-valued smooth function

in z e ]E8 that is not analytic at zo. Then there exist no C1 -solutions of the
equation
Lu = h'(z - 2yox + 2xoy)

in any neighborhood of (ceO, yon zo)
Proof. We first consider the special case xo = yo = 0 and prove it by

contradiction. Suppose there exists a C1-solution u of
Lu = h'(z)
272
in a neighborhood of (0,0, zO), say

x (zo - R, zo + R) C ll82 x ][8,
SZ =
for some R> 0. Set

v(r, (9, z) =
8,
sin (9, z).
As a function of (r, (9, z), v is Cl in (0, R) x ll8 x (zO - R, zo + R) and is

continuous at r = 0 with v(0, (9,z) = 0. Moreover, u is 2ir-periodic in 8. A
straightforward calculation yields
Lu = 2vr + ? ve - 2ivz = h'(z).
Consider the function

f2ir
V(r, z) =
v(r, (9, z) dB.

0
J - R, zo + R), is continuous up to r = 0
Then V is Cl in (r, z) E (0, R) x (zo
with V(0, z) = 0, and satisfies
r
Vz - iV,. =
rve - 2ivz)
f2 (v,. +
d8 =
Define
W= V(r,z) -iirh(z).
Then W is Cl in (0, R) x (zo - R, zo + R), is continuous up to r = 0,
and satisfies Wz -I- iW,. = 0. Thus W is an analytic function of z + it for
(r, z) E (0, R) x (zo - R, zo + R), continuous at r = 0, and has a vanishing
real part there. Hence we can extend W as an analytic function of z + it to
(r, z) E (-R, R) x (zO - R, zo + R). Hence -irh(z), the imaginary part of
W(0, z), is real analytic for z E (zO - R, zo + R).
Now we consider the general case. Set
x=x-xo, j=y-yo, z=z-2yox+2xoy,

and
= u(x, y, z)
Then u(x, y, z) is C1 in a neighborhood of (0,0, zo). A straightforward calculation yields

ux + guy - 22(x + i )uz = h'(z).
We now apply the special case we have just proved to u.
0
In the following, we let h = h(z) be areal-valued periodic smooth function in I[8 which is not real analytic at any z E R. We take a sequence of
points Pk _ (xk, yk, zk) E I[83 which is dense in ll83 and set
Pry = 2(IxkI + ykI),
273
and
2-ke_.
ck =
We also denote by the collection of bounded infinite sequences 'r =

(a1, a2, ) of real numbers a2. This is a Banach space with respect to the
norm
fHieoo = suP lakl
k
For any r = (al, a2,
)E
fT(x,y,z) _
(7.3.2)
we set
in R.
akckh'(z - 2ykx + 2xky)

k=1
We note that fT depends on r linearly. This fact will be needed later on.
Lemma 7.3.3. Let fT be defined as in (7.3.2) for some r E 2. Then

fT E C (R3). Moreover, for any a e 7G+,
(-s-) lpas
Proof. We need to prove that all formal derivatives of fT converge uniformly

in II83. Set
Mk = sup IzER
Then Mk <00 since h is periodic. Hence for any a e 7G+ with a = m,

I
IITIICkMm+1Pk
2-k IftIIooMm+ipe-p < 2-kIITIIeooMm+l
(rn)rn
e
In the last inequality, we used the fact that the function f(r) = r"te-"'
in [0, oo) has a maximum mT"e-T" at r = m. This implies the uniform
convergence of the series for 8"fT
We introduce a Holder space which will be needed in the next result.

Let E (0, 1) be a constant and St C ][81 be a domain. We define C"`(St)
as the collection of functions u e Cl (St) with
Vu(x) - Vu(y) <
yV`
for any x, y e SZ,
where C is a positive constant. We define the C1"-norm in St by
IuIc1i(cl) = sup u +sup IVul +

S2
SZ
sup
x,yESt,x#y
Vu(x) - Vu(y)
I x - yl
We will need the following important compactness property.
274
Lemma 7.3.4. Let 1 2 be a domain in I[8n, and E (0,1) and M > 0

Suppose {uk} is a sequence of functions in C"`(12) with
IIukIIc1(c) <_ M for any k. Then there exist a function u e C"(1) and
be constants.
a subsequence {uk' } such that uk' -+ u in C' (1) for any bounded subset 1
with Sty C St and I<M.
Proof. We note that a uniform bound of C'-norms of uk implies that uk

and their first derivatives are equibounded and equicontinuous in 1. Hence,
U
the desired result follows easily from Arzela's theorem.
We point out that the limit is a C"`-function, although the convergence

is only in C1.
Next, we set
Bk,m = B 1 (Pk) .
We fix a constant E (0, 1).
Definition 7.3.5. For positive integers m and k, we denote by Ek,m the

collection of T E O such that there exists a solution u E C1'(Bk,m) of
Lu = f-,-
in Bk,m,
with
u(Pk) = 0, IUIC1)IL(Bkm) < m,

where fT is the function defined in (7.3.2).
We have the following result concerning Ek,m.
Lemma 7.3.6. For any positive integers k and m, ek,m is closed and
nowhere dense in .
We recall that a subset is nowhere dense if it has no interior points.
Proof. We first prove that Ek,m is closed. Take any Ti, T2,
E ek,m and
T E O such that
-TIIPO = 0.
By Lemma 7.3.3, we have

p IfT3 - fT l C IITj - T I I2 SUB I/ilL
For each j, let u3 E C1'(Bk,m) be as in Definition 7.3.5 for

in Bk,m, u3(Pk) = 0 and
IUjIc1)1(Bkm) < m.
i.e., Lug = fT.9
275
By Lemma 7.3.4, there exist a u E C1 '(Bk,m) and a subsequence {u3i} such
that u3' converges uniformly to u together with its first derivatives in any
compact subset of Bk,m. Then, Lu = fT in Bk,m, u(Pk) = 0 and
k1IC1tL(Bk,m) < m.
Hence r E ek,m. This shows that ek,m is closed.
Next, we prove that ek,m has no interior points. To do this, we first

denote by 1 E the bounded sequence all of whose elements are zero,
except the lath element, which is given by lick. By (7.3.2), we have f_
h' (z - 2ykx + 2xk y) . By Lemma 7.3.2, there exist no C1-solutions of Lu = f
in any neighborhood of Pk.
For any r E ek,m, we claim that
T + Eli
for any E. We will prove this by contradiction. Suppose r + Eli E ek,m

for some E. Set T = T + Eli and let u and u be solutions of Lu = fT and
Lu = fT, respectively, as in Definition 7.3.5. Set v = (u - u) /E. Then v is a
C1'-solution of Lv = fin Bk,m. This leads to a contradiction, for ICI can
be arbitrarily small.
D
Now we are ready to prove Theorem 7.3.1.
Proof of Theorem 7.3.1. Let p E (0, 1) be the constant as in the definition of ek,m. We will prove that for some r E O, the equation Lu = fT
admits no C1"-solutions in any domain S1 C R3. If not, then for every
T E O there exist an open set SZT C R3 and a u E C1 " (11T) such that
Lu = fT
in
SZT .
By the density of {Pk} in R3, there exists a Pk E SZT for some k > 1. Then
Bk,m C i- for all sufficiently large m. Next, we may assume u(Pk) = 0.

Otherwise, we replace u by u - u(Pk). Then, for m sufficiently large, we
have
IUIcl,IL(Bk) < m.
This implies r E ek,m. Hence
_
k,m=1
Therefore, the Banach space O is a union of a countable set of closed

0
nowhere dense subsets. This contradicts the Baire category theorem.
276
7.4. Exercises
Exercise 7.1. Classify the following 4th-order equation in R3:
23u + 233u + E4u - 2332u+3u = f.

Exercise 7.2. Prove Lemma 7.2.7 and Lemma 7.2.8.
Exercise 7.3. Consider the initial-value problem
uu-u-u=0 inRx(0,oo),
u(x, 0) = x, ut(x, 0) _ -x.
Find a solution as a power series expansion about the origin and identify
this solution.
Exercise 7.4. Let A be an N x N diagonal C1-matrix on Il8 x (0, T) and

f : I[8 x (O, T) x I[8N Il8N be a CZ-function. Consider the initial-value
problem for u : Il8 x (O, T) -+ RN of the form
ut + A(x, t)u = f(x, t, u) in Il8 x (0, T),

with
U(,0)0 onR.
Under appropriate conditions on f, prove that the above initial-value problem admits a Cl-solution by using the contraction mapping principle.
Hint: It may be helpful to write it as a system of equations instead of using
a matrix form.
Exercise 7.5. Set D = {(x, t)
x > 0, t > 0} C ][82 and let a be Cl, b2

be continuous in D, and cp, '/' be continuous in [0, oo) with cp(O) _
Suppose (u, v) E Cl (D) fl C(D) is a solution of the problem
:
ut +au +b11u+b,2v = 1
v + b12u + b22v = g,
with
u(x, 0) = cp(x) for x >0 and v(0, t) _
fort >0.
(1) Assume a(0, t) < 0 for any t > 0. Derive an energy estimate for
(u, v) in an appropriate domain in D.
(2) Assume a(0, t) < 0 for any t> 0. For any T> 0, derive an estimate
for sup[o,T] I')I in terms of sup-norms of f, g, cp and
'r/'.
(3) Discuss whether similar estimates can be derived if a(0, t) is positive
for some t> 0.
7.4. Exercises
277
Exercise 7.6. Let a, bz be analytic in a neighborhood of 0 E ][82 and cp, b

be analytic in a neighborhood of 0 E R. In a neighborhood of the origin in
][82 = {(x,t)}, consider
f,
v + b12u + b22v = g,
with the condition

u(x, 0) = cp(x) and v(0, t) _
(1) Let (u, v) be a smooth solution in a neighborhood of the origin.

Prove that all derivatives of u and v at 0 can be expressed in terms
f, g, cp and 'i/j' at 0.
of those of a,
(2) Prove that there exists an analytic solution (u, v) in a neighborhood
of 0Ell82.
Chapter 8
Epilogue
In the final chapter of this book, we present a list of differential equations we

expect to study in more advanced PDE courses. Discussions in this chapter
will be brief. We mention several function spaces, including Sobolev spaces
and Holder spaces, without rigorously defining them.
In Section 8.1, we talk about several basic linear differential equations of
the second order, including elliptic, parabolic and hyperbolic equations, and
linear symmetric hyperbolic differential systems of the first order. These

equations appear frequently in many applications. We introduce the appropriate boundary-value problems and initial-value problems and discuss the
correct function spaces to study these problems.
In Section 8.2, we discuss more specialized differential equations. We introduce several important nonlinear equations and focus on the background
of these equations. Discussions in this section are extremely brief.

In this section, we discuss several important linear differential equations.
We will focus on elliptic, parabolic and hyperbolic differential equations of
the second order and symmetric hyperbolic differential systems of the first
order.
8.1.1. Linear Elliptic Differential Equations. Let SZ be a domain in

Rn and a3,, bi and c be continuous functions in 1. Linear elliptic differential
equations of the second order are given in the form
n
(8.1.1)
i,j=1
aijux+
biu-I- cu = f
in SZ,
i=1
279
8. Epilogue
280
where the az satisfy

n
for any x E St and
E ][8n,
z,j=1
for some positive constant A. The equation (8.1.1) reduces to the Poisson
equation if aZ3 = SZ and bi = c = 0. In many cases, it is advantageous to
write (8.1.1) in the form
n
(au) x +
(8.1.2)
i,j=1
biux2 + cu = f
in SZ,
i=1
by renaming the coefficients bi. The equation (8.1.2) is said to be in the

divergence form. For comparison, the equation (8.1.1) is said to be in the
nondivergence form.
Naturally associated with the elliptic differential equations are boundaryvalue problems. There are several important classes of boundary-value prob-
lems. In the Dirichlet problem, the values of solutions are prescribed on the
boundary, while in the Neumann problem, the normal derivatives of solutions are prescribed.
In solving boundary-value problems for elliptic differential equations, we
work in Holder spaces C' and Sobolev spaces Wk,P. Here, k is a nonnegative integer, p> 1 and a e (0, 1) are constants. For elliptic equations in the
divergence form, it is advantageous to work in Sobolev spaces H' =
due to their Hilbert space structure.
W',2
8.1.2. Linear Parabolic Differential Equations. We denote by (x, t)

points in Rn x R. Let D be a domain in Rn x Ilk and aij, bi and c be
continuous functions in D. Linear parabolic differential equations of the
second order are given in the form
n
ut -
(8.1.3)
biux2 + cu = f
aij uxzx +
i,j=1
in D,
i=1
where the aij satisfy

n
aij (x, t)ij >
for any (x,t) E D and
i,j=1
for some positive constant A. The equation (8.1.3) reduces to the heat
equation if az3 = b2j and bi = c = 0.
Naturally associated with the parabolic differential equations are initialvalue problems and initial/boundary-value problems. In initial-value problems, D = ][8n x (0, oo) and the values of solutions are prescribed on IEBn x {0}.
In initial/boundary-value problems, D has the form SZ x (0, oo), where SZ is
281
a bounded domain in
appropriate boundary values are prescribed on
aSZ x (0, oo) and the values of solutions are prescribed on SZ x {0}. Many
results for elliptic equations have their counterparts for parabolic equations.
8.1.3. Linear Hyperbolic Differential Equations. We denote by (x, t)

points in W x TI. Let D be a domain in W x IIS and a3, bi and c be continuous
functions in D. Linear hyperbolic differential equations of the second order
are given in the form
n
utt -
(8.1.4)
i,j=1
where the
biuxi + cu = f in D,
aijuxZxj +
i=1
satisfy
n
aij (x, t) i j
I I2
for any (x,t) ED and e E Ilgn,
i,j=1
for some positive constant A. The equation (8.1.4) reduces to the wave
equation if
= Si j and bi = c = 0.
Naturally associated with the hyperbolic differential equations are initialvalue problems. We note that {t = 0} is a noncharacteristic hypersurface
for (8.1.4). In initial-value problems, D = W x (0, oo) and the values of
solutions together with their first t-derivatives are prescribed on IIST x {0}.
Solutions can be proved to exist in Sobolev spaces under appropriate assumptions. Energy estimates play fundamental roles in hyperbolic differential equations.
8.1.4. Linear Symmetric Hyperbolic Differential Systems. We denote by (x, t) points in W x TI. Let N be a positive integer, A0, A1,
An
and B be continuous N x N matrices and f be continuous N-vector in

W x TI. We consider a first-order linear differential system in W x IIS of the
form
n
(8.1.5)
Aout +
Akuxk + Bu = f.
We always assume that Ao(x, t) is nonsigular for any (x, t), i.e.,
det(Ao(x, t))
0.
Hence, the hypersurface {t = 0} is noncharacteristic. Naturally associated

with (8.1.5) are initial-value problems.
If N = 1, the system (8.1.5) is reduced to a differential equation for
a scalar-valued function u, and the initial-value problem for (8.1.5) can be
solved by the method of characteristics. For N > 1, extra conditions are
needed.
8. Epilogue
282
The differential system (8.1.5) is symmetric hyperbolic at (x, t) if Ao (x, t),

Al (x, t),
, A(x, t) are symmetric and Ao(x, t) is positive definite. It is
symmetric hyperbolic in ][8n x ][8 if it is symmetric hyperbolic at every point
in RTh X R.
For N> 1, the symmetry plays an essential role in solving initial-value

problems for (8.1.5). Symmetric hyperbolic differential systems in general
dimensions behave like single differential equations of a similar form. We
can derive energy estimates and then prove the existence of solutions of the
initial-value problems for (8.1.5) in appropriate Sobolev spaces.
We need to point out that hyperbolic differential equations of the second
order can be transformed to symmetric hyperbolic differential systems of the
first order.

In this section, we introduce some nonlinear differential equations and sys-
tems and discuss briefly their background. The aim of this section is to
illustrate the diversity of nonlinear partial differential equations. We have
no intention of including here all important nonlinear PDEs of mathematics
and physics.
8.2.1. Nonlinear Differential Equations. We first introduce some important nonlinear differential equations.
The Hamilton-.Iacobi equation is a first-order nonlinear PDE for a function u = u(x, t),
u+H(Du,x) =0.
This equation is derived from Hamiltonian mechanics by treating u as the
generating function for a canonical transformation of the classical Hamiltonian H = H(p, x). The Hamilton-Jacobi equation is important in identifying
conserved quantities for mechanical systems. Apart of its characteristic
ODE is given by
x2 = Hpi(p x)
pi = -Hxi (p, x)
This is referred to as Hamilton's ODE, which arises in the classical calculus
of variations and in mechanics.
In continuum physics, a conservation law states that a particular measurable property of an isolated physical system does not change as the system
evolves. In mathematics, a scalar conservation law is a first-order nonlinear
PDE
Ut + (F(u)) =0.
283
Here, F is a given function in R and u = u(x, t) is the unknown function

in R x R. It reduces to the inviscid Burgers' equation if F(u) = u2/2.
In general, global smooth solutions do not exist for initial-value problems.
Even for smooth initial values, solutions may develop discontinuities, which
are referred to as shocks.
Minimal surfaces are defined as surfaces with zero mean curvature. The
minimal surface equation is a second-order PDE for u = u(x) of the form
div
1=0.
1+ IThis
is a quasilinear elliptic differential equation. Let St be a domain in IE8Th.
For any function u defined in S2, the area of the graph of u is given by
A(u)
1 +IVuI2dx.
The minimal surface equation is the Euler-Lagrange equation of the area

functional A.
A Monge-Ampere equation is a nonlinear second-order PDE for a function u = u(x) of the form
det(VZU)
= f(x),
where f is a given function defined in ][8n. This is an elliptic equation if

u is strictly convex. Monge-Ampere equations arise naturally from many
problems in Riemannian geometry and conformal geometry. One of the
simplest of these problems is the problem of prescribed Gauss curvature.
Suppose that S2 is a bounded domain in ][8Th and that K is a function defined
in St. In the problem of prescribed Gauss curvature, we seek a hypersurface
of IE8n+1 as a graph y = u(x) over x E S2 so that at each point (x, w(x)) of
the surface, the Gauss curvature is given by K(x). The resulting partial
differential equation is
det(V2u) = K(x)(1 + DuI2)P.

Scalar reaction-diffusion equations are second-order semilinear parabolic
differential equations of the form
ut - aLu = f(u),
where u = u(x, t) represents the concentration of a substance, a is the diffusion coefficient and f accounts for all local reactions. They model changes of
the concentration of substances under the influence of two processes: local
chemical reactions, in which the substances are transformed into each other,
and diffusion, which causes the substances to spread out in space. They
8. Epilogue
284
have a wide range of applications in chemistry as well as biology, ecology

and physics.
In quantum mechanics, the Schrodinger equation describes how the quantum state of a physical system changes in time. It is as central to quantum
mechanics as Newton's laws are to classical mechanics. The Schrodinger
equation takes several different forms, depending on physical situations. For
a single particle, the Schrodinger equation takes the form
i26t = -/.u -I- Vu,
where u = u(x, t) is the probability amplitude for the particle to be found

at position x at time t, and V is the potential energy. We allow u to be
complex-valued. In forming this equation, we rescale position and time so
that the Planck constant and the mass of the particle are absent. The
nonlinear Schrodinger equation has the form
jut = -026 + IcIuI2u,
where ,c is a constant.
The Korteweg-de cries equation (KdV equation for short) is a mathematical model of waves on shallow water surfaces. The KdV equation is a
nonlinear, dispersive PDE for a function u = u(x, t) of two real variables,
space x and time t, in the form
It admits solutions of the form v(x - ct), which represent waves traveling to
the right at speed c. These are called soliton solutions.
8.2.2. Nonlinear Differential Systems. Next, we introduce some nonlinear differential systems.
In fluid dynamics, the Euler equations govern inviscid flow. They are
usually written in the conservation form to emphasize the conservation of
mass, momentum and energy. The Euler equations are a system of firstorder PDEs given by
pt + V. (pu) = 0,
(pu)t + V (u (pu)) + Op = 0,
(pE)t + V (u(pE + p)) =0,

where p is the fluid mass density, u is the fluid velocity vector, p is the
pressure and E is the energy per unit volume. We assume
E=e+
Z IuI2,
285
where e is the internal energy per unit mass and the second term corresponds
to the kinetic energy per unit mass. When the flow is incompressible,
If the flow is further assumed to be homogeneous, the density p is constant and does not change with respect to space. The Euler equations for
incompressible flow have the form
ut + u Vu = - Vp,
In forming these equations, we take the density p to be 1 and neglect the
equation for E.
The Navier-Stokes equations describe the motion of incompressible and
homogeneous fluid substances when viscosity is present. These equations
arise from applying Newton's second law to fluid motion under appropri-
ate assumptions on the fluid stress. With the same notation for the Euler
equations, the Navier-Stokes equations have the form
where v is the viscosity constant. We note that (incompressible) Euler

equations correspond to the (incompressible) Navier-Stokes equations with
zero viscosity. It is a Millennium Prize Problem to prove the existence
and smoothness of solutions of the initial-value problem for Navier-Stokes
equations.
In differential geometry, a geometric low is the gradient flow associated
with a functional on a manifold which has a geometric interpretation, usually
associated with some extrinsic or intrinsic curvature. A geometric flow is

also called a geometric evolution equation.
The mean curvature flow is a geometric flow of hypersurfaces in Euclidean space or, more generally, in a Riemannian manifold. In mean curvature flows, a family of surfaces evolves with the velocity at each point on the
surface given by the mean curvature of the surface. For closed hypersurfaces
in Euclidean space Rn+1, the mean curvature flow is the geometric evolution
equation of the form
Ft = Hz',
where F(t) : M ][8n+1 is an embedding with an inner normal vector field

v and the mean curvature H. We can rewrite this equation as
Ft = O9(t)F
8. Epilogue
286
where g (t) is the induced metric of the evolving hypersurface F(t). When
expressed in an appropriate coordinate system, the mean curvature flow
forms a second-order nonlinear parabolic system of PDEs for the components
of F.
The Ricci flow is an intrinsic geometric flow in differential geometry

which deforms the metric of a Riemannian manifold. For any metric g on a
Riemannian manifold M, we denote by Ric its Ricci curvature tensor. The
Ricci flow is the geometric evolution equation of the form
atg = -2Ric.
Here we view the metric tensor and its associated Ricci tensor as functions
of a variable x e M and an extra variable t, which is interpreted as time. In
local coordinate systems, the components Rj3 of the Ricci curvature tensor
can be expressed in terms of the components g2j of the metric tensor g and
their derivatives up to order 2. When expressed in an appropriate coordinate
system, the Ricci flow forms a second-order quasilinear parabolic system of
PDEs for gig. The Ricci flow plays an essential role in the solution of the
Poincare conjecture, a Millennium Prize Problem.
In general relativity, the Einstein field equations describe how the curvature of spacetime is related to the matter/energy content of the universe.
They are given by
G = T,
where G is the Einstein tensor of a Lorentzian manifold (M, g), or spacetime,

and T is the stress-energy tensor. The Einstein tensor is defined by
1
G= Ric - - Sg,
2
where Ric is the Ricci curvature tensor and S is the scalar curvature of
(M, g). While the Einstein tensor is a type of curvature, and as such relates
to gravity, the stress-energy tensor contains all the information concerning
the matter fields. Thus, the Einstein field equations exhibit how matter acts
as a source for gravity. When expressed in an appropriate gauge (coordinate system), the Einstein field equations form a second-order quasilinear
hyperbolic system of PDEs for components g2j of the metric tensor g. In
general, the stress-energy tensor T depends on the metric g and its first
derivatives. If T is zero, then the Einstein field equations are referred to as
the Einstein vacuum field equations, and are equivalent to the vanishing of
the Ricci curvature.
Yang-Mills theory, also known as non-Abelian gauge theory, was formulated by Yang and Mills in 1954 in an effort to extend the original concept
of gauge theory for an Abelian group to the case of a non-Abelian group and
has great impact on physics. It explains the electromagnetic and the strong
287
and weak nuclear interactions. It also succeeds in studying the topology of

smooth 4-manifolds in mathematics. Let M be a Riemannian manifold and
P a principal G-bundle over M, where G is a compact Lie group, referred
to as the gauge group. Let A be a connection on P and F be its curvature.
Then the Yang-Mills functional is defined by
Fl2dV9.
fM
The Yang-Mills equations are the Euler-Lagrange equations for this functional and can be written as
dAF = 0,
where dA is the adjoint of dA, the gauge-covariant extension of the exterior
derivative. We point out that F also satisfies
dAF=O.
This is the Bianchi identity, which follows from the exterior differentiation
of F. In general, Yang-Mills equations are nonlinear. It is a Millennium
Prize Problem to prove that a nontrivial Yang-Mills theory exists on R and
has a positive mass gap for any compact simple gauge group G.
8.2.3. Variational Problems. Last, we introduce some variational problems with elliptic characters. As we know, harmonic functions in an arbitrary domain 1 C IiSn can be regarded as minimizers or critical points of the
Dirichlet energy
IVuI2 dx.
This is probably the simplest variational problem.

There are several ways to generalize such a problem. We may take a
function F : W - IIS and consider
F(Vu) dx.
It is the Dirichlet energy if F(p) _ p12 for any p E W. When F(p) _

the integral above is the area of the hypersurface of the graph
y = u(x) in ][fin x lit. This corresponds to the minimal surface equation we
Vi +
have introduced earlier.

Another generalization is to consider the Dirichlet energy,
IVuI2dx,
IiSm with an extra requirement

for vector-valued functions u : c c 1 n
that the image u(1) lies in a given submnifold of IIS'n. For example, we
may take this submanifold to be the unit sphere in IISm. Minimizers of such
a variational problem are called minimizing harmonic maps. In general,
8. Epilogue
288
minimizing harmonic maps are not smooth. They are smooth away from
a subset E, referred to as a singular set. The study of singular sets and
behavior of minimizing harmonic maps near singular sets constitutes an
important subject.
One more way to generalize is to consider the Dirichlet energy,
IVuI2 dx,
for scalar-valued functions u : 1 2 C ][8n - ][8 with an extra requirement that

u > in St for a given function 'i/j'. This is the simplest obstacle problem or
free boundary problem, where /i is an obstacle. Let u be a minimizes and

set A = {x E St; u(x) > fi(x)}. It can be proved that u is harmonic in A.
The set 8A in S2 is called the free boundary. It is important to study the
regularity of free boundaries.
Bibliography
[1]
Alinhac, S., Hyperbolic Partial Differential Equations, Springer, 2009.
[2]
Carlson, J., Jaffe, A., Wiles, A. (Editors), The Millennium Prize Problems, Clay
Math. Institute, 2006.
[3] Chen, Y.-Z., Wu, L.-C., Second Order Elliptic Equations and Elliptic Systems, Amer.
Math. Soc., 1998.
[4] Courant, R., Hilbert, D., Methods of Mathematical Physics, Vol. II, Interscience Publishers, 1962.
[5] DiBenedetto, E., Partial Differential Equations, Birkhauser, 1995.
[6] Evans, L., Partial Differential Equations, Amer. Math. Soc., 1998.
[7] Folland, G., Introduction to Partial Differential Equations, Princeton University

Press, 1976.
[8] Friedman, A., Partial Differential Equations, Holt, Rinehart, Winston, 1969.
[9] Friedman, A., Partial Differential Equations of Parabolic Type, Prentice-Hall, 1964.
[10] Garabedian, P., Partial Differential Equations, Wiley, 1964.
[11] Gilbarg, D., Trudinger, N., Elliptic Partial Differential Equations of Second Order
(2nd ed.), Springer, 1983.
[12] Han, Q., Lin, F.-H., Elliptic Partial Differential Equations, Amer. Math. Soc., 2000.
[13] Hormander, L., Lectures on Nonlinear Hyperbolic Differential Equation, Springer,
1996.
[14] Hormander, L., The Analysis of Linear Partial Differential Operators, Vols. 1-4,
Springer, 1983-85.
[15] John, F., Partial Differential Equations (4th ed.), Springer, 1991.
[16] Lax, P., Hyperbolic Partial Differential Equations, Amer. Math. Soc., 2006.
[17] Lieberman, G. M., Second Order Parabolic Partial Differential Equations, World Scientific, 1996.
[18] MacRobert, T. M., Spherical Harmonics, An Elementary Treatise on Harmonic Functions with Applications, Pergamon Press, 1967.
[19] Protter, M., Weinberger, H., Maximum Principles in Differential Equations, PrenticeHall, 1967.
289
290
Bibliography
[20] Rauch, J., Partial Differential Equations, Springer, 1992.

[21] Schoen, R., Yau, S.-T., Lectures on Differential Geometry, International Press, 1994.
[22] Shatah, J., Struwe M., Geometric Wave Equations, Amer. Math. Soc., 1998.
[23] Smoller, J., Shock Waves and Reaction-Diffusion Equations, Springer, 1983.
[24] Strauss, W., Partial Differential Equations: An Introduction, Wiley, 1992.
[25] Taylor, M., Partial Differential Equations, Vols. I-III, Springer, 1996.
Index
a priori estimates, 4
adjoint differential operators, 39, 268
analytic functions, 105, 261
auxiliary functions, 121
Bernstein method, 121
Burgers' equation, 22
Cauchy problems, 11, 48, 251, 256
Cauchy values, 11, 48, 251, 256
Cauchy-Kovalevskaya theorem, 263
characteristic cones, 57
characteristic curves, 14, 50, 253
characteristic hypersurfaces, 13, 14, 16,
50, 253, 256
noncharacteristic hypersurfaces, 13,
14, 16, 50, 253, 256
characteristic ODEs, 19, 21, 26
characteristic triangle, 202
compact supports, 41
comparison principles, 114, 119, 177
compatibility conditions, 25, 79, 83,
207, 210
conservation laws, 24, 282
conservation of energies, 64, 237
convergence of series, 105, 260
absolute convergence, 260
convolutions, 150
d'Alembert's formula, 204

decay estimates, 230
degenerate differential equations, 51
diameters, 60
differential Harnack inequalities
heat equations, 191

Laplace equations, 109, 122
Dirichlet energy, 142
Dirichlet problems, 58, 93, 111
Green's function, 94
domains, 1
domains of dependence, 19, 35, 204, 220
doubling condition, 145
Duhamel's principle, 235
eigenvalue problems, 75, 85
Einstein field equations, 286
elliptic differential equations, 51, 254,
279
energy estimates
first-order PDEs, 37
heat equations, 62
wave equations, 63, 238, 241
Euclidean norms, 1
Euler equations, 284
Euler-Poisson-Darboux equation, 214
exterior sphere condition, 132
finite-speed propagation, 35, 221
first-order linear differential systems,
281
first-order linear PDEs, 11

initial-value problems, 31
first-order quasilinear PDEs, 14
Fourier series, 76
Fourier transforms, 148
inverse Fourier transforms, 153
frequency, 145
291
Index
292
fundamental solutions
heat equations, 157, 159
Laplace equations, 91
Holmgren uniqueness theorem, 268

Hopf lemma, 116, 183
hyperbolic differential equations, 51, 58,
Goursat problem, 246

gradient estimates
interior gradient estimates, 101, 108,
hypersurfaces, 2
281
121, 168, 189
gradients, 2
Green's formula, 92
Green's function, 81, 94
Green's function in balls, 96
Green's identity, 92
half-space problems, 207
Hamilton-Jacobi equation, 282
harmonic functions, 52, 90
conjugate harmonic functions, 52
converegence of Taylor series, 105
differential Harnack inequalities, 109,
122
doubling condition, 145

frequency, 145
Harnack inequalities, 109, 124
interior gradient estimates, 101, 108,
121
Liouville theorem, 109

mean-value properties, 106
removable singularity, 125
subharmonic functions, 113, 126
superharmonic functions, 126
harmonic lifting, 128
Harnack inequalities, 109, 124, 192, 197
122, 191, 196
heat equations
n dimensions, 56
1 dimension, 53
analyticity of solutions, 171
192, 196
fundamental solutions, 157, 159

Harnack inequalities, 197
initial/boundary-value problems, 62,
75
interior gradient estimates, 168, 189

maximum principles, 176
strong maximum principles, 181
subsolutions, 176
supersolutions, 176
weak maximum principles, 176
Hessian matrices, 2
infinite-speed propagation, 179

initial hypersurfaces, 11, 48, 251, 256
initial values, 11, 48, 251, 256
initial-value problems, 251, 256
first-order PDEs, 11, 16
second-order PDEs, 48
initial/boundary-value problems
heat equations, 62, 75
integral curves, 18
integral solutions, 24
integration by parts, 5
interior sphere condition, 117
KdV equations, 284
Laplace equations, 52, 55
fundamental solutions, 91
Green's identity, 92
Poisson integral formula, 100
Poisson kernel, 98
strong maximum principles, 117
weak maximum principles, 113
linear differential systems
mth-order, 255
first-order, 281
linear PDEs, 3
mth-order, 250
first-order, 11
second-order, 48
Liouville theorem, 109
loss of differentiations, 222
majorants, 262
strong maximum principles, 111, 117,
181
weak maximum principles, 112, 113,

176
mean curvature flows, 285

mean-value properties, 106
method of characteristics, 19
method of descent, 218
method of reflections, 208, 211
method of spherical averages, 213
Index
minimal surface equations, 283

minimizing harmonic maps, 288
mixed problems, 62
Monge-Ampere equations, 283
multi-indices, 2
Navier-Stokes equations, 285
Neumann problems, 59
Newtonian potential, 133
noncharacteristic curves, 14, 50, 253
noncharacteristic hypersurfaces, 13, 14,
16, 50, 253, 256
nonhomogeneous terms, 11, 48, 251, 256

normal derivatives, 251
parabolic boundaries, 175

parabolic differential equations, 58, 280
Parseval formula, 153
partial differential equations (PDEs), 3
elliptic PDEs, 51
hyperbolic PDEs, 58
linear PDEs, 3
mixed type, 54
parabolic PDEs, 58
quasilinear PDEs, 3
partial differential systems, 256
Perron's method, 126
Plancherel's theorem, 154
Poincare lemma, 60
Poisson equations, 55, 133
weak solutions, 139
Poisson integral formula, 75, 100
Poisson kernel, 75, 98
principal parts, 250, 255
principal symbols, 48, 250, 255
propagation of singularities, 54
quasilinear PDEs, 3
first-order, 14
radiation field, 248
range of influence, 19, 35, 204, 220
reaction-diffusion equations, 283
removable singularity, 125
Ricci flows, 286
Schrodinger equations, 284
Schwartz class, 148
second-order linear PDEs, 48
in the plane, 51
elliptic PDEs, 51, 279
hyperbolic PDEs, 58, 281
parabolic PDEs, 58, 280
293
separation of variables, 67
shocks, 24
Sobolev spaces, 139, 140, 142
space variables, 1
space-like surfaces, 243
subharmonic functions, 113, 126
subsolutions, 113
heat equation, 176
subharmonic functions, 113
supersolutions, 113
heat equation, 176
symmetric hyperbolic differential
systems, 282
Taylor series, 105, 261
terminal-value problems, 165
test functions, 24
time variables, 1
time-like surfaces, 243
Tricomi equation, 54
uniform ellipticity, 114

wave equations
n dimensions, 57, 213, 233
1 dimension, 53, 202
2 dimensions, 218
3 dimensions, 215
decay estimates, 230
energy estimates, 237
half-space problems, 207
initial-value problems, 202, 213, 233
initial/boundary-value problems, 63,
82, 210
radiation field, 248
weak derivatives, 138, 142
weak solutions, 40, 139, 245
Weierstrass approximation theorem, 270
well-posed problems, 4
Yang-Mills equations, 287
Yang-Mills functionals, 287
This is a textbook for an introductory graduate course on partial differential

equations. Han focuses on 'Linear equations of first and second order. An important feature of his treatment is that the majority of the techniques are applicable
more generally. In particular, Han emphasizes a priori estimates throughout the
text, even for those equations that can be solved explicitly. Such estimates are
indispensable tools for proving the existence and uniqueness of solutions to PDEs,
being especially important for nonlinear equations.The estimates are also crucial
to establishing properties of the solutions, such as the continuous dependence on
parameters.
Han's book is suitable for students interested in the mathematical theory of partial.
differential equations, either as an overview of the subject or as an introduction
leading to further study.
ISBN 978-0-8218-5255-2
For additional information

and updates on this book, visit
www.ams.org/bookpages/gsm-120
9
780821 1852552
GSM/ 120
AMS on the Web
www.ams.org

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A Basic Course in

mer can'Mathematical SOciey

American Mathematical Society

For additional information and updates on this book, visit

Library of Congress Cataloging-in-Publication Data

p. cm. - (Graduate studies in mathematics ; v. 120)

To Yansu, Raymond and Tommy

Chapter 2. First-Order Differential Equations

Chapter 3. An Overview of Second-Order PDEs

Chapter 4. Laplace Equations

Chapter 5. Heat Equations

Chapter 6. Wave Equations

Chapter 7. First-Order Differential Systems

Is it really necessary to classify partial differential equations (PDEs) and to

on first-order PDEs. Although first-order linear PDEs can be solved by

others. Among those not found in PDE textbooks at a comparable level

This chapter serves as an introduction of the entire book.

Let 1 be a domain in W, that is, an open and connected subset in

Vmu the collection of all partial derivatives of u of order m. For m = 1 and

This is a symmetric matrix, called the Hessian matrix of u. For derivatives of

For any vector

Alternatively, by a rotation, we may take co(x) = xn -'b(x1,

1.2. Well-Posed Problems

A partial differential equation (henceforth abbreviated as PDE) in a

to relax regularity requirements for solutions when classical solutions are

aa(x)aau = f (x) for x E fZ.

Here as is the coefficient of 0&u and f is the nonhomogeneous term of the

tives form a partial differential system. We define linear and quasilinear

1.2. Well-Posed Problems

PDEs. In general, it is impossible to find explicit expressions of all solutions

In practice, both the uniqueness and the continuous dependence are

Let 1 be a domain in R. For any bounded function u in 1, we define

For any function u in St with

bounded derivatives up to order m, we define the C"''-norm of u in SZ by

If 1 is a bounded Cm-domain in Ian, then Cm (11), the collection of functions

Next, for any Lebesgue measurable function u in 1, we define the L2norm of u in 1 by

tion of all Lebesgue measurable functions in 1 with finite L2-norms and is

Let 1 be a piecewise C1-domain in Ian and v = (v1,... , vn) be the unit

, n. Such a formula is the basis for L2-estimates.

problems by the method of characteristics if initial values are prescribed on

Chapter 3 should be considered as an introduction to the theory of

In this chapter, we discuss initial-value problems for first-order PDEs. Main

for solutions of PDEs and their derivatives. Solutions of the characteristic

2. First-Order Differential Equations

are estimated in terms of those of initial values and nonhomogeneous terms.

2.1. Noncharacteristic Hypersurfaces

F(x, u, Vu)= 0 for x E St.

Solving (2.1.1) in the classical sense means finding a smooth function u

Example 2.1.1. We consider in ][82 = {(x, t)} the equation

Figure 2.1.1. Graphs of u at different times t2 > t1.

2.1. Noncharacteristic Hypersurfaces

ai(x)u-I- b(x)u = f(x) in ft

Here, ai and b are coefficients of uxi and u, respectively. The function f is

We first consider a special case where the initial hypersurface

for any x' E Rn-1 sufficiently small.

of uin (2.1.3). If we assume

2. First-Order Differential Equations

(ai(0)uxi(0) + b(o)u(o) - 1(0)).

Hence, we can compute all first-order derivatives of u at 0 in terms of the

ai,xk ux2 + buxk + bxk u = fXk'

For k = 1, , n - 1, the only unknown expression at the origin is uxk xn ,

This is a well-defined transform in a neighborhood of the origin. Its Jacobian

2.1. Noncharacteristic Hypersurfaces