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Pde Caracteristicas
Pde Caracteristicas
Similarly amount of contaminant that flows through a plane cross section at x during the
time between t1 and t2 is Z t2
u(x, t)AV dt
t1
∂t (uA) + ∂x (uAV ) = 0.
ut + aux = 0, t ≥ 0, x ∈ R
u(x, 0) = h(x), x ∈ R
where a ∈ R is a constant.
We see this equation as directional derivative of a function u(x, t) in the direction (1, a).
So if we consider the function g : R → R2
F 0 (t) = ux a + ut = 0
Therefore F (t) = F (0) = u(g(0)) = u(x0 , 0). Therefore the solution u(x, t) is
Figure 1:
So we see that we can try to integrate along the directions along which the directional deriva-
tive is constant. Using this we can also solve non-homogeneous problem like
represents a line in R2 : s → (x(s), t(s)) passes through (x, t). Then define
This implies
Z 0 Z t
F (0) − F (−t) = f (x + as, t + s)ds = f (x + (s − t)a, s)ds
−t 0
Therefore, Z t
u(x, t) = h(x − at) + f (x + (s − t)a, s)ds, x ∈ R, t ≥ 0.
0
where a, b, c are continuous functions in x, y, u. Let u(x, y) be the solution and let z = u(x, y)
be the graph of u. That is, the level surface S : u(x, y) − z = 0. Let z0 = u(x0 , y0 ). The
normal to this surface at a point (x0 , y0 , z0 ) is N = (ux , uy , −1) at (x0 , y0 ).
The equation in (5.1) implies that the vector V0 = (a, b, c) is perpendicular to the normal N .
Hence V0 must lie on the tangent plane to the surface z = u(x, y). So our aim is to find the
surface z = u(x, y) knowing that the vector field {a(x, y, z), b(x, y, z), c(x, y, z)} lies on the
tangent place. Such surface is called Integral surface.
Cauchy Problem: Given a curve Γ in R3 , find a function u(x, y) satisfying (5.1) such that
the level surface z = u(x, y) contains Γ. In other words, find u(x, y) satisfying
aux + buy = c in U
(5.2)
u(x, y) = h(x, y) on γ
with t ≥ 0 and s ∈ I ⊂ R.
Also let the initial space curve is Γ = {(x(s, 0), y(s, 0), z(s, 0))}. Therefore from the given
initial condition u(x, y) = h on γ implies z(s, 0) = h(x(s, 0), y(s, 0)) = h(s). We may assume
that x(s, 0) = f (s) and y(s, 0) = g(s).
dx
= a(x(s, t), y(s, t)z(s, t)), x(s, 0) = f (s)
dt
dy
= b(x(s, t), y(s, t), z(s, t)), y(s, 0) = g(s)
dt
dz
= c(x(s, t), y(s, t), z(s, t)), z(s, 0) = h(s)
dt
We can solve this system of equations uniquely(Picard’s theorem) for all small t under the
assumption that (a, b, c) are C 1 functions. The curves so obtained are called characteristic
curves. We will find the surface as union of these curves obtained from the above ODE system.
Then at each point (x0 , y0 , z0 ) the tangent plane contains the vector V (x0 , y0 , z0 ) = (a, b, c).
In otherwords, smooth union of characteristic curves is the Integral surface.
5 FIRST ORDER PARTIAL DIFFERENTIAL EQUATIONS 5
Now to obtain the surface in the variables x, y we need to invert the map (x, y) → (s, t).
For this we use Inverse function theorem. The above map is invertible near t = 0 if the
Jacobian
∂x ∂y
∂s ∂s
J = 6= 0 at t = 0.
∂x ∂y
∂t ∂t
Theorem 5.2.2. Let γ be a non-characteristic curve and let a, b, c are C 1 functions. Then
the Cauchy problem in (5.2) has a solution in a neighbourhood of the initial curve γ.
So the solution exists near the initial curve γ. The characteristic equations are
dx
= 2, x(s, 0) = s
dt
dy
= 3, y(s, 0) = 0
dt
dz
= 0, z(s, 0) = g(s)
dt
The solution is
x(s, t) = 2t + s, y(s, t) = 3t, z(s, t) = g(s)
dx
= 1, x(s, 0) = s
dt
dy
= 1, y(s, 0) = 0
dt
dz
= 0, z(s, 0) = g(s)
dt
u(x, y) = z = g(x − y)
Therefore on y = x, u(x, x) = g(0). That is, solution of the problem exists if and only
u(x, x) = g(x)= constant. In this case note that g(x − y) solves the equation ux + uy = 0 for
any function g. If the initial condition is u(x, x) = 5 then 5 + (x − y)k , k ≥ 0 are all solutions.
So the characteristic problem does not admit solution for all initial values. If solution exists,
then there are infinitely many solutions.
The first order equation aux + buy = c is called semi linear equation if a = a(x, y), b = b(x, y)
and c = c(x, y, u).
A parametrization of initial curve is {(s, 0, h(s)), s ∈ R}. The characteristic equations are
5 FIRST ORDER PARTIAL DIFFERENTIAL EQUATIONS 7
dx
= 1, x(s, 0) = s
dt
dy
= 2, y(s, 0) = 0
dt
dz
= z 2 , z(s, 0) = g(s)
dt
The Jacobian J is
x y 1 2
s s
J = = =6 0.
x t yt 1 0
Therefore
−1 1
y = 2t, x = t + s, and =t−
z h(s)
Inverting the variables, we get
y y h(s)
t= , s = x − , and z = .
2 2 1 − th(s)
h(x − y2 )
u(x, y) = z = )
1 − y2 h(x − y2
y y
which is defined upto 1 − h(x − ) 6= 0. ///
2 2
Example 5.2.6. Characteristic problem:
Consider the initial problem
x2
2
ux + xuy = u , x, y ∈ R u x, = g(x).
2
c
Show that solution exists if and only if g(x) = 1−cx
2
A Parametrization of the initial curve is {(s, s2 , g(s)) : s ∈ R}. The Jacobian J is equal to
x y 1 s
s s
J = = = 0.
xt yt 1 s
So the problem is characteristic problem. As earlier let us consider the initial condition
u(0, y) = h(y), y ∈ R
This space curve can be parametrized as {(0, s, h(s)); s ∈ R}. Then the The characteristic
5 FIRST ORDER PARTIAL DIFFERENTIAL EQUATIONS 8
equations are
dx
= 1, x(s, 0) = 0
dt
dy
= x, y(s, 0) = s
dt
dz
= z 2 , z(s, 0) = h(s)
dt
x2
h(y − 2 )
u(x, y) = z = 2 .
1 − xh(y − x2 )
x2 2 h(0)
Therefore on y = 2 , u(x, x2 ) = 1−xh(0) . Hence solution of the given problem exists if
c
g(x) = .
1 − xc
In this case there are infinitely many solutions exists, a family of them is
x2
c + f (y − 2 )
u(x, y) = x2
1 − x(c + f (y − 2 )
uux + ut = 0 (5.3)
This is seen as an idealistic case of 1-d Navier Stokes equations with no pressure gradient
∂v ∂v ∂2v
ρ + ρv −µ 2 =0
dt ∂x ∂x
where ρ is the density, v is velocity and µ is the viscosity of fluid. When the viscosity of the
fluid is assumed to be almost zero, this would lead to an equation of the form (5.3). In this
case the initial value problem looks like
dx
= z, x(s, 0) = s
dt
dy
= 1, y(s, 0) = 0
dt
dz
= 0, z(s, 0) = h(s)
dt
Now let γ1 be the characteristic curve at s1 with starting speed as h(s1 ) and let γ2 be the
characteristic curve at s2 with starting speed h(s2 ). If these curves intersect, then
s1 + h(s1 )y = s2 + h(s2 )y
Therefore
s1 − s2
y=t=
h(s2 ) − h(s1 )
So y > 0 if s1 > s2 and h(s2 ) > h(s1 ). That is if h is decreasing function, then the character-
istic lines intersect at a point y > 0. This phenomena is called Gradient catastrope.
Figure 3:
That is if h0 (s0 ) < 0 at any s0 , then the solution does not exist ”globally”. On the other
hand if h0 (s0 ) ≥ 0, then solution exists globally. Given the original physical model, we can
5 FIRST ORDER PARTIAL DIFFERENTIAL EQUATIONS 10
interpret as: If the initial velocity of the fluid flow form a non-decreasing function of position,
then the fluid moves out in a smooth fashion. If the initial velocity is decreasing function,
then the fluid flow undergo a ”Shock” that correspond to collision of particles. That is the
integral surface folds itself.
dx
= z, x(s, 0) = s
dt
dy
= y, y(s, 0) = 1
dt
dz
= x, z(s, 0) = 2s
dt
d d
(x + z) = x + z, and (x − z) = z − x
dt dt
Therefore
x + z = 3set , x − z = −set
3 1 3 1
x = set − se−t , z = set + se−t , y = et
2 2 2 2
Hence
3y 2 + 1
u(x, y) = x
3y 2 − 1
We have the following important example where the initial condition is only continuous func-
tion.
5 FIRST ORDER PARTIAL DIFFERENTIAL EQUATIONS 11
Example 5.3.2. Find the solution of the initial value problem near the initial curve:
1 x<0
uy + uux = 0, x ∈ R, y > 0, u(x, 0) = h(x) = 1 − x x ∈ (0, 1)
0
x>1
x(s, t) = s + th(s)
s+t s≤0
= s + t(1 − s) s ∈ (0, 1),
s s≥1
For y < 1, the characteristic lines does not intersect. So given a point (x, y) with y < 1, we
can draw the backward through characteristics
x−y x<y
s = x−y
1−y y≤x<1
x x≥1
s = x − y, s ≤ 1 =⇒ x ≤ y
x−y
s = x − y + ys, s ∈ (0, 1) =⇒ s =
1−y
5 FIRST ORDER PARTIAL DIFFERENTIAL EQUATIONS 12
s = x, s ≥ 1 =⇒ x ≥ 1
Therefore,
1
x<y<1
u(x, y) = h(s) = 1 − x−y
1−y y≤x≤1
0 x≥1
Propagation of discontinuities
There are situations where the initial condition has a discontinuity. In this case we cannot
expect the solution to be classical (C 1 ) solution. One such problem is Riemann problem. To
understand the propagation of the discontinuity along the characteristic curve let us consider
the following problem:
uy + uux = 0, x ∈ R, y > 0,
1 x < 0,
u(x, 0) = h(x) =
0 x > 0.
The characteristic lines does not intersect. It is important to understand how one can define
the solution in this type of situations. We can use integration by parts to define the so called
generalized solutions or weak solutions.
We recall the following integration by parts formula: Let Ω ⊂ R2 be an open set. Then
Z Z Z
uvx1 dx = uvη1 ds − vux1 dx
Ω ∂Ω Ω
where η1 is the first component of the unit outward normal η̂ = (η1 , η2 ) to ∂Ω and the first
integral on the right hand side is the line integral. We will study the weak solutions in the
later section.
General solution
Theorem 5.3.4. Suppose there exist functions φ and ψ such that φ(x, y, z) and ψ(x, y, z) are
constant along
dx dy dz
= = . (5.4)
a b c
Then F (φ, ψ) = 0 is the general solution of aux + buy = c, where F is such that Fφ2 + Fψ2 6= 0.
Proof. Let x(t), y(t), z(t) be the solution of (5.4) and let φ(x(t), y(t), z(t)) = c1 , ψ(x(t), y(t), z(t)) =
5 FIRST ORDER PARTIAL DIFFERENTIAL EQUATIONS 14
c2 for some constants c1 and c2 . Then the differential of φ and ψ are zero. Therefore,
φx dx + φy dy + φz dz = 0
ψx dx + ψy dy + ψz dz = 0.
Therefore
a −b c
= = (5.5)
φy ψz − ψy φz φx ψz − φz ψx φx ψy − φy ψx
Since z = z(x, y), we have F = F (φ, ψ) = 0 is a function of x, y. Therefore its total derivative
is zero. That is
dF = Fx dx + Fy dy = 0 =⇒ Fx = 0, Fy = 0
Fy = Fφ (φy + φz zy ) + Fφ (ψy + ψz zy ) = 0.
Since (Fφ )2 + (Fψ )2 6= 0, the above system has non-trivial solution. That is
φ +φ z ψ +ψ z
x z x x z x
= 0.
φy + φz zy ψy + ψz zy
Then again thank s to (5.5) this is equal to saying azx + bzy = c. ///
Therefore φ(x, y, z) = x2 − z 2 .
Also
y y
Therefore d( ) =⇒ ψ = .
x+z x=z
Therefore the general solution is
y
u2 = x2 + f ( ).
x+u
Here we point out that the general solution does not represent all solutions.
5 FIRST ORDER PARTIAL DIFFERENTIAL EQUATIONS 15
F (x, y, u, ux , uy ) = 0
We introduce two more variables p = ux , and q = uy . So we have the five variable function
F (x, y, z, p, q) = 0
Then
dF dx
=a =
dp dt
dF dy
=b =
dq dt
dF dF dz
p +q = ap + bq = c =
dp dq dt
dx dy dz
= Fp , = Fq , = pFp + qFq (5.6)
dt dt dt
dp d
= ux (x, y) = uxx x0 (t) + uxy y 0 (t) = Fp px + Fq qx
dt dt
But we don’t want px and qx . Differentiating the equation F = 0 with respect to x, we get
Fx + Fz zx + Fp px + Fq qx = 0
That is
Fp px + Fq qx = −Fx − Fz p
Therefore
dp dq
= −Fx − pFz , and = −Fy − Fz q (5.7)
dt dt
These five equations in (5.5) and (5.7) form characteristic strip. The initial condition u(γ) = h
gives
x(s, 0) = f (s), y(s, 0) = g(s), z(s, 0) = h(s)
5 FIRST ORDER PARTIAL DIFFERENTIAL EQUATIONS 16
But such p0 and q0 may not be few. There could be infinitely many. Also
be satisfied on the initial curve. So p0 , q0 are such that (5.8) and (5.9) holds.
ux uy = u, x, y ∈ R, u(0, y) = y 2 .
p0 0 + q0 1 = 2s, p0 q0 − h = 0 =⇒ p0 2s − s2 = 0
dx
= Fp = q, x(s, 0) = 0
dt
dy
= Fq = p, y(s, 0) = s
dt
dz
= pFp + qFq = pq + pq = 2pq = 2z, z(s, 0) = s2
dt
dp s
= −Fx − Fz p = −p, p(s, 0) =
dt 2
dq
= q, q(s, 0) = 2s
dt
dx
= 2set =⇒ x = 2set − 2s
dt
dy 1 s
= p = set +
dt 2 2
Therefore
x
+ 2y = 2set
2
5 FIRST ORDER PARTIAL DIFFERENTIAL EQUATIONS 17
dx dy dz dp dq
= q, = p, = 2z, =p = q.
dt dt dt dt dt
On integrating we get
p = c1 et , q = c2 et , z = c1 c2 e2t + c3 , x = c2 et + b, and y = c1 et + a
Therefore
u(x, y) = z = (x − b)(y − a) + c3
p
p = c1 et , q = c2 et =⇒ = a and pq = z
q
5 FIRST ORDER PARTIAL DIFFERENTIAL EQUATIONS 18
This implies
√
r
z
p = ± az q = ±
a
From the strip condition, we get
dz dx dy
=p +q
dt dt dt r
√ dx z dy
= ± az ±
dt a dt
Integrating this
√ √ y
2 z = ±( ax + √ ) + c3
a
Therefore
1 √ y
u(x, y) = b + ( ax + √ )2
2 a
is a complete integral if a > 0. (check!).
In the above example, in both complete integral, No choice of a and b will give trivial solution
u = 0. But u = 0 is also a solution. This motivates us to study
Singular solutions
In this section we study how to build more complicated solutions for nonlinear first order
PDEs. We will construct these new solutions as envelopes of complete integrals.
∂u
(x, y, a1 , a2 ) = 0, x ∈ U, a ∈ A, i = 1, 2...n
∂ai
can be solved for the parameter a and has solution a1 = φ(x, y), a2 = ψ(x, y). That is
∂u
(x, y, φ(x, y), ψ(x, y)) = 0, i = 1, 2, ..., n.
∂ai
Then we call the function v(x) = u(x, y, φ(x), ψ(x)), the envelope of the functions {u(., a)}a∈A .
∂u
(x, y, a1 , a2 ) = 0, x ∈ U, a ∈ A, i = 1, 2...n
∂ai
5 FIRST ORDER PARTIAL DIFFERENTIAL EQUATIONS 19
///
u2x + u2y = 1 + 2u
dx dy dp dq
= 2p, = 2q, = 2p, = 2q
dt dt dt dt
p
solving this we get q = a and p2 + q 2 − 1 − 2z = 0, This implies
(1 + a2 )q 2 = 1 + 2z
Therefore r
1 + 2z 1 + 2z
p = ±a 2
, q=±
1+a 1 + a2
Now from the strip condition
dz dx dy
=p +q
dt dt
r dt
1 + 2z
=± (adx + dy)
1 + a2
Integrating
√ ax + y
1 + 2z = ± √ ±b
1 + a2
Therefore 2
1 ax + y 1
u(x, y, a, b) = √ +b −
2 1 + a2 2
5 FIRST ORDER PARTIAL DIFFERENTIAL EQUATIONS 20
ax + y
ua = 0, ub = 0 =⇒ √ + b = 0.
1 + a2
To generate more solutions from the complete integral, we vary the above construction.
Choose an open set A0 ⊂ R and any C 1 function h : A0 → R, so that the graph of h
lies within A.
Definition 5.4.7. The general integral (depending on h) is the envelope v(x) of the functions
u(x, y, a, b) = (x − a)(y − b) = xy + ab − ay − bx
u(x, y, a, a) = xy + a2 − ay − ax
x+y
ua = 2a − y − x = 0 =⇒ a = φ(x, y) =
2
Therefore
(x + y)2 x + y x+y 1
u(x, y, φ(x, y)) = xy + − y− x = − (x − y)2 .
4 2 2 4
Definition 5.5.1. We call any bounded measurable function u(x, t) as a weak solution if
Z ∞Z ∞ Z ∞
(uvt + (f (u))vx ) dxdt = u(x, 0)v(x, 0) dx
0 −∞ −∞
It is easy to see that all classical solutions are weak solutions. But not all weak solutions
are classical solutions. If u is a weak solution, then it need not be even continuous. Suppose
u(x, t) is a weak solution of (5.11) such that u(x, t) is discontinuous across a curve x = x(t),
but u(x, t) is smooth on either side of x(t). Let u− (x, t) be the limit of u approaching (x, t)
from the left and let u+ (x, t) be the limit of u approaching x(t) from right. We claim that
such a curve x(t) cannot be arbitrary.
Proof. Let D− = {(x, t) : 0 < t < ∞, −∞ < x < x(t)} and D+ − = {(x, t) : 0 < t <
∞, x(t) < x < ∞}. Then if u(x, 0) = 0, we have by divergence theorem on D− we get
ZZ ZZ Z
u− vn2 + f (u− )vn1 ds
[uvt + f (u)vx ] dxdt = − [ut + (f (u))x ] vdxdt +
D− D− x=x(t)
(5.13)
where n = (n1 , n2 ) is the outward unit normal to D− . Similarly,
ZZ ZZ Z
u+ vn2 + f (u+ )vn1 ds
[uvt + f (u)vx ] dxdt = − [ut + (f (u))x ] vdxdt −
D+ D+ x=x(t)
(5.14)
By assumption ut + (f (u))x = 0 in D− and D+ . Therefore from (5.11) and (5.13) we get
5 FIRST ORDER PARTIAL DIFFERENTIAL EQUATIONS 22
Z Z
u− vn2 + f (u− )vn1 ds = u+ vn2 + f (u+ )vn1 ds
x=x(t) x=x(t)
This implies
n2 f (u− ) − f (u+ )
− =
n1 u− − u+
On the curve x = x(t),
dx 1 n2
= 0 =− .
dt x (t) n1
Hence the result. ///
Recall the example in 5.3.2. We defined the classical solution for t < 1(take y = t). Now
beyond the line y = 1, we assume that the solution is smooth on either side of a curve x = x(t).
We note that u− 0, u= 1. BY Rankine-Hugoniot condition,
f (u− ) − f (u+ ) 1
x0 (t) = − +
=
u −u 2
5 FIRST ORDER PARTIAL DIFFERENTIAL EQUATIONS 23
We can even define weak solution in case the initial condition has discontinuity like in the
example 5.3.3. In the first case
1 t
x0 (t) = , x(0) = 0 =⇒ x =
2 2
The solution is
1 t
x< 2
u(x, y) =
0 t
x> 2
In the second case, the wave on the right moves faster and the wave on the left moves
slower. So there is no shock. In this case one can define continuous solution which are called
rarefaction wave solution like
0 x≤0
u1 (x, y) = xt 0 ≤ x ≤ t
1 x ≥ t
But even in this case one can introduce shock and define shock wave solution as
0 x < t
2
u2 (x, y) =
1 x > t
2
The solution u2 is NOT physically feasible solution. But the solution in u1 is more realistic
which is known as entropy solution.
5.6 Problems
1. Solve the given IVP and determine the values of x and y for which it exists;
2. Solve the given IVP and determine the values of x,y and z for which it exists:
3. Solve the given IVP and determine the values of x and y for which it exists;
√
(a) ux + u2 uy = 1, u(x, 0) = 1 (b) ux + uuy = 0, u(x, 0) = x2 + 1
√
5. Consider the equation ux + uy = u. Derive the general solution u(x, y) = (x + f (x −
y))2 /4. Observe that the trivial solution u(x, y) ≡ 0 is not covered by the general
solution.
6. Solve the IVP a(u)ux + uy = 0 with u(x, 0) = h(x), and show that solution become
singular for some y > 0 unless a(h(s)) is a nondecreasing function of s.
x2
7. Solve u2x + yux − u = 0 with initial condition u(x, 1) = 4 + 1.
8. Solve u = xux + yuy + (u2x + u2y )/2 with initial condition u(x, 0) = (1 − x2 /2)
9. Consider u = u2x + u2y with the initial condition u(x, 0) = ax2 . For what positive
constants a is there a solution? Is it unique? Find all solutions.
10. Show that family of spheres Sa given by (x − a)2 + y 2 + z 2 = 1 has as its envelope ζ the
unit cylinder y 2 + z 2 = 1.
11. Consider c2 (u2x + u2y ) = 1, where c = c(x, y). Derive the characteristic equations. In the
special case c = |x| with initial condition u(x, 0) = 0, find the solution to be
p
x2 + y 2 + y
u(x, y) = − log , for x > 0
x
12. Consider the eikonal equation in three dimensions u2x + u2y + u2z = 1
(a) Solve the initial value problem with u = k = constant on the plane αx + βy + z = 0
(b) Find a complete integral.
(a) ux uy = z, u = xy + ab + (ab)(xy)
(b) u2x + u2y = 1 u = (xy)(cos a. sin a) + b
5 FIRST ORDER PARTIAL DIFFERENTIAL EQUATIONS 25
where u0 > 0. There is a weak solution u(x, y) that has a jump discontinuity along a
curve x = ξ(y). Find this curve and describe the weak solution.
16. Find a simple wave equation u(x, y) = u( xy ) for (G(u))x + uy = 0, when G(u) = u4 /4.
Use this to define a continuous weak solution of the problem for y > 0 that satisfies
(
0 x>0
h(x) =
−1 x < 0,
where u0 < 0. In addition to the rarefaction solution described in the text, show that
there is a weak solution with a shock along x = u0 y/2.
dq dq
18. A reasonable model for low-density traffic is dρ ρx + ρt = 0 with dρ = c, where c is a
constant.
19. If ρmax denotes the maximum density of cars on a highway(i.e. under bumper-to-bumper
ρ
conditions), then a reasonable relation between q and ρ is given by G(ρ) = cρ(1 − ρmax )
where the constant c is the free speed of the highway (cf. Exercise 16). Suppose the
initial density is (
1
ρ(x, 0) = 2 ρmax x<0
ρmax x > 0,
Find the shock curve and describe the weak solution. Interpret your result for the traffic
flow.
20. Using G(ρ) as in Exercise above, describe the traffic flow after a long red light turns
5 FIRST ORDER PARTIAL DIFFERENTIAL EQUATIONS 26
In particular, find the density at the green light, ρ(0, t), while the light remains green.
Describe the weak solution. Show that there is only one shock as t is large.
REFERENCES: