MULTIVARIABLE CALCULUS

MATH S-21A

Unit 9: Partial derivatives

Lecture
9.1. Functions of several variables can be differentiated with respect to each variable:

Definition: If f (x, y) is a function of the two variables x and y, the partial

∂
derivative ∂x f (x, y) is defined as the derivative of the function g(x) = f (x, y)
with respect to x, where y is kept a constant. The partial derivative with respect
to y is the derivative with respect to y where x is fixed.

∂
9.2. The short hand notation fx (x, y) = ∂x f (x, y) is convenient. When iterating
∂ ∂
derivatives, the notation is similar: we write for example fxy = ∂x ∂y
f . The num-
ber fx (x0 , y0 ) gives the slope of the graph sliced at (x0 , y0 ) in the x direction. The
second derivative fxx is a measure of concavity in that direction. The meaning of fxy
is the rate of change of the x-slope if you move the cut along the y-axis.

9.3. The notation ∂x f, ∂y f was introduced by Carl Gustav Jacobi. Before that, Josef
Lagrange used the term “partial differences”. For functions of three or more variables,
the partial derivatives are defined in the same way. We write for example fx (x, y, z) or
fxxz (x, y, z).

Theorem: Clairaut’s theorem: If fxy and fyx are both continuous,

then fxy = fyx .

9.4. Proof. Following Euler, we first look at the difference quotients and say that if
the “Planck constant” h is positive, then fx (x, y) = [f (x+h, y)−f (x, y)]/h. For h = 0,
we mean the usual partial derivative fx . Comparing the two sides of the equation for
fixed h > 0 shows:

hfx (x, y) = f (x + h, y) − f (x, y) hfy (x, y) = f (x, y + h) − f (x, y).

h2 f xy (x, y) = f (x+h, y +h)−f (x, y +h)−(f (x+h, y)−f (x, y)) h2 fyx (x, y) = f (x+h, y +h)−f (x+h, y)−(f (x, y +h)−f (x, y))
 Multivariable Calculus

9.5. Without having taken any limits we established an identity which holds for all
h > 0: the discrete derivatives fx , fy satisfy the relation fxy = fyx for any h > 0. We
could fancy it as ”quantum Clairaut” formula. If the classical derivatives fxy , fyx
are both continuous, it is possible to take the limit h → 0. The classical Clairaut’s
theorem can be seen as a “classical limit”. The quantum Clairaut holds however for
all functions f (x, y) of two variables. Not even continuity is needed. 1

9.6. An equation for an unknown function f (x, y) which involves partial derivatives
with respect to at least two different variables is called a partial differential equa-
tion. We abbreviate PDE. If only the derivative with respect to one variable appears,
it is an ordinary differential equation, abbreviated ODE.

Examples
9.7. For f (x, y) = x4 − 6x2 y 2 + y 4 , we have fx (x, y) = 4x3 − 12xy 2 , fxx = 12x2 −
12y 2 , fy (x, y) = −12x2 y + 4y 3 , fyy = −12x2 + 12y 2 and see that ∆f = fxx + fyy = 0. A
function which satisfies ∆f = 0 is also called harmonic. The equation fxx + fyy = 0
is a PDE:
Definition: A partial differential equation (PDE) is an equation for an
unknown function f (x, y) which involves partial derivatives with respect to more
than one variables.

9.8.
The wave equation ftt (t, x) = fxx (t, x) governs the motion of light or
sound. The function f (t, x) = sin(x − t) + sin(x + t) satisfies the wave
equation.

The heat equation ft (t, x) = fxx (t, x) describes diffusion of heat or

1 −x2 /(4t)
spread of an epidemic. The function f (t, x) = √
t
e satisfies the
heat equation.

The Laplace equation fxx + fyy = 0 determines the shape of a mem-

brane. The function f (x, y) = x3 − 3xy 2 is an example satisfying the
Laplace equation.

The advection equation ft = fx is used to model transport in a wire.

2
The function f (t, x) = e−(x+t) satisfies the advection equation.

1For
a full proof of Clairaut’s theorem, see
www.math.harvard.edu/˜knill/teaching/math22a2018/handouts/lecture14.pdf .
 The Burgers equation ft + f fx = fxx describes waves at the beach
√ 1 −x2 /(4t)
e
which break. The function f (t, x) = t √t 1 −x2 /(4t) satisfies the Burgers
x
1+ t
e
equation.

The eiconal equation fx2 + fy2 = 1 is used to see the evolution of

wave fronts in optics. The function f (x, y) = cos(x) + sin(y) satisfies
the eiconal equation.

The KdV equation ft + 6f fx + fxxx = 0 models water waves in a

a2
narrow channel. The function f (t, x) = 2
cosh−2 ( a2 (x − a2 t)) satisfies
the KdV equation.

i~
The Schrödinger equation ft = f
2m xx
is used to describe a quan-
~ 2
tum particle of mass m. The function f (t, x) = ei(kx− 2m k t) solves the
Schrödinger equation. [Here i2 = −1 is the imaginary i and ~ is the
Planck constant ~ ∼ 10−34 Js.]

Can you match the graphs f (t, x) with the equations which satisfy this equation?

9.9. In all examples, we just see one possible solution to the partial differential equa-
tion. There are in general many solutions and additional initial or boundary conditions
then determine the solution uniquely. If we know f (0, x) for the Burgers equation, then
the solution f (t, x) is determined.
 Multivariable Calculus

Homework
This homework is due on Tuesday, 7/14/2020.
sin(t+x)
Problem 9.1: Verify that f (t, x) = cos2 (t + x) + ee is a solution
of the transport equation ft (t, x) = fx (t, x).

Problem 9.2: a) Verify that f (x, y) = sin(x)(cos(7y) + sin(7y)) satisfies

the Klein Gordon equation uxx − uyy = 48u. This PDE is useful in
quantum mechanics.
(x− t ) √2
b) Verify that 4 arctan(e 2 3 ) satisfies the Sine Gordon equation
utt −uxx = − sin(u). Use technology. (If you can do it without technology,
feel free to send it to Oliver for admiration).

Problem 9.3: Verify that for any real constant b, the function
−bt
f (x, t) = e cos(x + t) satisfies the driven transport equation ft (x, t) =
fx (x, t) − bf (x, t) This PDE is sometimes called the advection equation
with damping b.

Problem 9.4: The differential equation

ft = f − xfx − x2 fxx
is a version of the infamous Black-Scholes equation. Here f (x, t) is
the prize of a call option and x the stock prize and t is time. Find a
function f (x, t) solving it which depends both on x and t. Do not use
examples f (x, t) = x or f (x, t) = et that depend only on one variable.
But get inspired by them.

Problem 9.5: The partial differential equation ft + f fx = fxx is called

Burgers equation and describes waves at the beach. In higher dimen-
sions, it leads to the Navier-Stokes equation which are used to describe
the weather. Verify that
1 3/2 x2
xe− 4t


t
f (t, x) q 2
1 − x4t
t
e +1
solves the Burgers equation. You also here might want to get help with
technology.

Oliver Knill, knill@math.harvard.edu, Math S-21a, Harvard Summer School, 2020