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# 2.

2 JOURNAL OF IDENTITY
Journal: Journal of Computational and Applied Mathematics
Title: Solution Of Linear Partial Differential Equations By Lie Algebraic Methods
Athour: Fernando Casas
ISSN: 76 (1996) 159-170
Years: 1996
2.4 Resume of journal
1. Introduction
InthispaperweuseLieagebraicmethodstoobtainexplicitexpressionsthatapproximatethesolution
(provideditexists)oftheCauchyproblemdefinedby

f (t ; x ) =A ( t ; x ) f (t ; x ) , f ( 0 ; x )=g(x )
t
wherex=(xl,x2....,Xm)ERm,gisanarbitraryboundedanalyticfunctiondefinedinsomeopendomainin
Rmand
m m m

bij (t ) xi + c ( t ) x i x j+ d j ( t ) + e ( t ) x j +h (t)
x j i , j=1 ij j=1 x j j=1 j
m

x i x j i
aij ( t ) +
, j=1
m
A ( t ; x )=
i , j=1
Thecoefficients aij ,etc.ofthedifferentialoperatorA(t;x)aredefinedinanopenintervalofthet
axiscontainingtheoriginandarecomplexvaluedboundedanalyticfunctions.
Problemsofthistypeappearfrequentlyinthemathematicalphysicsliterature.Theyincludeparticular
cases o f the timedependent linear Fokker Planck equation, the Schrrdinger equation with time
dependentpotentialsandtheHelmholtzequationintheapproximationofparaxialwavebeams,justto
quoteafewexamples.
OneshouldnotethatA(t;x)isanelementofaLiealgebra H finitedimensionnunderthebracket
operation [ B 1 , B1 ]=B1 B 2B 2 B1 where B 1 , B2 H and denotes the operator
composition.

f ( t ; x )=U ( t ) f ( 0 ; x )=e tA g( x)

totheconstantcoefficientsoftheoperator A(x).Onenaturalmethodofcalculatingthe{f i}isto
differentiate(4)withrespecttotandthensolvetheresultfordfi/dt,whichyieldsasystemofnonlinear
ordinarydifferentialequationswithconstantcoefficientsthatcanbeeasilyintegrated.Thistechniquecan
begeneralized tothecaseo fexplicitly timedependentoperators A(t;x), althoughnowtheordinary
differential equations that determine the functions fi(t) in Eq. (4) cannot be solved, in general, by
Inthispaperwepresentamodifiedversionoftheabovealgorithm,basedentirelyonLiealgebraic
methods,forsolvingapproximatelytheCauchyproblem(1)whenthecoefficientsofAare arbitrary
functionsoftime.Asaresult,noordinarydifferentialequationsforthefunctionsf i(t)mustbesolved.The
method consists of finding a lowdimensional faithful matrix representation Q ^ of the Lie algebra
H andthenapplyingLiealgebraictechniquestoobtainthesolutionofthecorrespondingimageof
ourpartialdifferentialequationin Q ^ .IftheassociatedLiegroupsarealsoisomorphic,onecangetin
astraightwayexplicitexpressionsforthefunctions fi(t) appearinginEq.(4),andthusaclosedform
solution for the Cauchy problem (1). This algorithm can easily be implemented for computational
purposesforanyparticularexampleconsidered.
Conventionally, the solution o f Eq. (1) is formally written in the applications as a timeordered
exponentialoperator

[ ( )]
1 t 1 t1 tn1

U ( t ) =P exp A ( x ) ds =I + dt 1 dt 2 dt n A ( t 1 ) A ( tn )
0 a=1 0 0 0

Secondly, it is not easy to evaluate the action o f the operator U(t) on f (t ; x) and to study the
influenceofthesinglefactorsA1onthetimeevolutionoff(t;x).Ontheotherhand,fromEq.(4)wemay
gaininsightintothepropertiesof U(t)throughaknowledgeofthespectralpropertiesoftheindividual
operatorsA1.Wecanalsoconsiderphysicalsituationswherethiskindofparameterizationisofparticular
value.
Here,weassumethatthesolutiontotheCauchyproblemdefinedbyEq.(1)isuniquelydetermined,at
leastfortsufficientlysmall,providedtheinitialdata g( x) ischoseninsomeappropriatespaceof
U ( t ) g(x )
functionsZ.Theresultingflow willthenbeonthegivenfunctionspaceZ.Theverification
f ( t ; x )=
shallnotconsiderinthiswork.Herewewillobtainresultswhichareofaformalnature,butnevertheless
willhavedirectpracticalapplications.

2.Thealgebraicmethod

SupposethelinearoperatorA(t;x)canbeexpressedintheform

n
A ( t ; x )= a 1 ( t ) A 2 ( x ) , n finite
i=1
wherethe a1 ( t ) (i=1.....n)arescalarfunctionsoftime,and A1,A2,...,An aretimeindependent
operatorsthat:formabasisoftheLiealgebra~underthebracketoperation.
Letussupposewehavefoundalowdimensionalfaithfulmatrixrepresentation Q ^ , Z .Usingthis
isomorphismwecanconsidertheassociatedequation
d f ^
=A (t) f
dt
whichwillbereferredastheimageequationof(1)inthematrixrepresntation.Here ^
A ( t ) isthe
^
s s matriksin Q imageof A ( t ; x ) Z and f S .Equivalently,wecanconsiderthe
linearequation

^ (t )
dU
=^ ^ (t) , U
A (t) U ^ ( t )= I^
dt

## When ^I is the s s identity matrix, f ( t )=U

^ ( t ) f ( 0 ) and the matriks ^
A (t) can be
written as
n
^
A ( t ) = a1 ( t ) ^
Ai
i=1
Wei and Norman have shown that if ^ (t)
U is solution of Eq (8), then there exist a
neighborhood of t=0 where it can be represented in the form
^ ( t ) =exp ( f 1 ( t ) ^
U A1 ) exp ( f 2 ( t ) ^
A2 ) ( f n ( t ) ^
An ) ,
Finally,bycomputingexplicitlytheflows
i
f i A
( exp g ) ( x ) , i=1 ,n ,
( )

## weobtainaformalexpressionforthesolutionoftheEq.(1)inaneighborhoodof t=0 intermsof

theunknownfunctionsfi(t).
InthegeneralcaseofatimedependentoperatorA(t;x) Z thesetofdifferentialequationsthat
The approximation scheme we adopt here is to apply the socalled Fer factorization to the matrix
equation(8).Themainfeaturesofthismethodhavebeenanalyzedinthereference,whereitsproperties
asasymplecticintegrationalgorithmhavealsobeenestablishedforHamiltoniansystemsofordinary
differential equations. In particular, it allows to construct explicit convergent approximations to the
solutionoftheinitialvalueproblem(8)inaneighborhoodoft=0,sothat,oncethissolutionhasbeen

ThegeneralcharacteristicsoftheFerfactorizationareincludedinthefollowingresult:

Theorem2.1.
WhenthefunctionsinvolvedinEq.(14)belongtoasolvableLiealgebra,thenafiniteproductof
^ (t).Otherwise,intheapplications,wemusttruncate
exponentialsisattainedforthelinearoperator U
^n= I^ Thusweobtainan
^ (t)inthenthterm, n=1,2, bydoing U
theinfiniteproductfor U
approximateexpressionfortheevolutionoperatorintheform

where gn isafunctionthattendstoaconstantasnincreases.Therefore,therateofconvergenceofthe
procedureisveryfast.
toobtainapproximatesolutionstothelinearequation(8),andconsequently,convergentexpressionsfor
thecharacteristicorderingfunctionsfi(t)ofEq.(10).Theseexpressionsarevalidinaneighborhoodoft=
andtheerrorboundoftheapproximation.
Forconcludingthissection,wecansummarisetheproposedalgebraicmethodforsolvingtheCauchy
problem(1)asthefollowingcomputationalalgorithm:
Step I: Identify the algebra involved in the problem and a lowdimensional faithful matrix repre
sentation.
StepII:ApplytheFerfactorizationtotheimageequation(7)inthatmatrixrepresentation.
StepIII:Obtaintheorderingfunctionsfi(t)bycomparisonwiththecorrespondingWeiNorman
representation(Eq.(10)).
StepIV:Computeexplicitlytheflows(12)andfinallytheactionoftheoperator U(t)(Eq.(11))onthe
function9(x).
3.Examples
Forthesakeofillustration,inthissectionweapplythesuccessivestepsoftheabovealgorithmtosolve
somephysicallyimportantlinearpartialdifferentialequationsofparabolictypewhosecoefficientsare
arbitraryfunctionsoftime.

Asafirstapplicationwetake
2
A ( t ; x )=a ( t ) +b ( t ) x +d ( t ) + h(t)

wherethenotation = hasbeenused.ThiscorrespondstoaonedimensionalFokkerPlanck(or
y
forwardKolmogorov)equationwhosediffusionanddriftcoefficientsarebotharbitraryfunctionsoftime.
Itisusedinastochastictreatmentofagivenmacroscopicsystem.Morespecifically,theFokkerPlanck
equation isan equationof motion for the distribution function f(t;x) of the fluctuatingmacroscopic
variablesthatdescribethesystem.
Ifweidentifytheoperatorsaregivenby
[ A 2 , A 3 ]=A 3
[ A 2 , A 4 =2 A 4 [ A 3 , A 4 =0
And therefore the sub algebra L A2 , A 3 , A 4 is solvable. It is easy sentation for these
operators is provided by
Thesameexpressionscanbeobtained,ofcourse,bywrittingdownandsolvingthedifferential
equationssatisfiedbythefunctionsf~(t).ThisispossibleherebecausetheLiealgebrainvolvedis
solvable.

Finally,byusingtheeasilyderivableexpressions

## 4. Summary and conclusions

In this paper we have considence an algorithm based entrly Lie algebric methods for
obtaining closed form of the cauchy problem bya wide class of linear petial differential
equation. When this paper is applied, the solution is written as a finite product of exponential
depending on certain ordering function f1 for whicch convergent approximations are obtained
in a implicit form. This technique can be viewed as a useful alternative to more conventional
methods.
Application of the methods requires the identification of the finite dimensional
algebra involved in the PDE and a low dimensional matrix representaion of the generators of
the algenra. In this representation we consider and solve the image equation of four PDE by
means of Fers factorization, thus obtaining convergent expression for the ordering function f1
in the terms quadratures.
Some advantages of this procedure are at hand. First, thereis no formal distinction is
treating equations of the some finite dimensional Lie algebra. Second, the solution is
represented in factorized form, which allows the treatment of each individual factor and
avoids the use of time ordered exponential. Third, this metod can be, at least formally,
extended to algebras with higher dimensionality without any conceptual problem, although
technical difficulties may appear. Finaly, the algorithm is computationally well adapted and
rather general in its applications.