Introduction and Basic Definitions

First-Order Partial Differential Equations

Formation of PDE

Syllabus: MA 201-Partial Differential Equations (PDE)

Fourier series, half-range Fourier series, Fourier transforms, finite sine and cosine
transforms;
First order partial differential equations, solutions of linear and quasilinear first order
PDEs, method of characteristics;
Classification of second-order PDEs, canonical form; Initial and boundary value
problems involving wave equation and heat conduction equation, boundary value
problems involving Laplace equation and solutions by method of separation of variables;
Initial-boundary value problems in non-rectangular coordinates.
Laplace and inverse Laplace transforms, properties, convolutions; Solution of ODEs and
PDEs by Laplace transform; Solution of PDEs by Fourier transform.

References:
(i) I. N. Sneddon, Elements of Partial Differential Equations, McGraw Hill, 1957.
(ii) S. J. Farlow, Partial Differential Equations for Scientists and Engineers, Dover
Publications, 1993.
(iii) K. Sankara Rao, Introduction to Partial Differential Equations, 3rd Ed., Prentice
Hall of India, 2011.

MA201(2019):PDE
Introduction and Basic Definitions
First-Order Partial Differential Equations
Formation of PDE

MA 201: Lecture - 1
Introduction and Classification of PDE
Sneddon: Chapter 2 (Section 1 and 2)

MA201(2019):PDE
Introduction and Basic Definitions
First-Order Partial Differential Equations
Formation of PDE

Let us recall the general form of the nth order ordinary differential
equation(ODE):

F (x, y (x), y 0 (x), y 00 (x), · · · , y (n) (x)) = 0, (1)

dy d 2y dny
where y 0 (x) = dx , y 00 (x) = dx 2 , · · · , y (n) (x) = dx n . Facts:
• In an ODE, there is only one independent variable x so that all the
derivatives appearing in the equation are ordinary derivatives of the
unknown function y (x).
• The order of an ODE is the order of the highest derivative that
occurs in the equation.
• Equation (1) is linear if F is linear in y , y 0 , y 00 , . . . , y (n) , with the
coefficients depending on the independent variable x.

MA201(2019):PDE
Introduction and Basic Definitions
First-Order Partial Differential Equations
Formation of PDE

Example

• y 00 (x) + 3y 0 (x) + xy (x) = 0 (second-order, linear)

• y 00 (x) + 3y (x)y 0 (x) + xy (x) = 0 (second-order, nonlinear)
• y 00 (x) + 3y 0 (x) + xy 2 (x) = 0 (second-order, nonlinear)
• y 000 (x) + 5xy 0 (x) + sin(x)y (x) = 0 (third-order, linear)

Theorem (Picard’s Theorem)

[ Let R : |x − x0 | < a, |y − y0 | < b be a rectangle. Let f (x, y ) be
continuous and bounded in R, i.e., there exists a number K such that

|f (x, y )| ≤ K ∀(x, y ) ∈ R.

Further, let f satisfy the Lipschitz condition with respect to y in R, i.e.,

there exists a number M such that

|f (x, y2 ) − f (x, y1 )| ≤ M|y2 − y1 | ∀(x, y1 ), (x, y2 ) ∈ R. (2)

MA201(2019):PDE
Introduction and Basic Definitions
First-Order Partial Differential Equations
Formation of PDE

Then, the IVP

y 0 (x) = f (x, y ), y (x0 ) = y0 (3)
has a unique solution y (x). This solution is defined for all x in the
interval
b
|x − x0 | < α, where α = min{a, }.
K
Let’s consider its generalization to a system of n first-order ODEs in n
unknowns

dyi (x)
= fi (x, y1 , . . . , yn ), i = 1, . . . , n, (4)
dx
satisfying the initial conditions

y1 (x0 ) = y10 , . . . , yn (x0 ) = yn0 , (5)

where y10 , . . . , yn0 are the given initial values.

MA201(2019):PDE
Introduction and Basic Definitions
First-Order Partial Differential Equations
Formation of PDE

Theorem (Existence and uniqueness results)

Let Q be a box in Rn+1 defined by

Q : |x − x0 | < a, |y1 − y10 | < b1 , . . . , |yn − yn0 | < bn .

Let each of the functions f1 , . . . , fn be continuous and bounded in Q, and

satisfy the following Lipschitz condition with respect to the variables
y1 , y2 , . . . , yn , i.e., there exists constants L1 , . . . , Ln such that

|fi (x, y11 , . . . , yn1 ) − fi (x, y12 , . . . , yn2 )| ≤ L1 |y11 − y12 | + · · · + Ln |yn1 − yn2 |

for all pairs of points (x, y11 , . . . , yn1 ), (x, y12 , . . . , yn2 ) ∈ Q and for
i = 1, ..., n.
Then there exists a unique set of functions y1 (x), . . . , yn (x) defined for x
in some interval |x − x0 | < h, 0 < h < a such that y1 (x), . . . , yn (x) solve
(4)-(5).

MA201(2019):PDE
Introduction and Basic Definitions
First-Order Partial Differential Equations
Formation of PDE

Definition
A partial differential equation (PDE) for a function u(x1 , x2 , . . . , xn )
(n ≥ 2) is a relation of the form

F (x1 , x2 , . . . , xn , u, ux1 , ux2 , . . . , ux1 x1 , ux1 x2 , . . . , ) = 0, (x1 , ..., xn ) ∈ Ω ⊂ R n

(6)
where F is a given function of the independent variables x1 , x2 , . . . , xn ; of
the unknown function u and of a finite number of its partial derivatives.

Definition (Solution of a PDE)

A function φ(x1 , . . . , xn ) is a solution to (6) if φ and its partial derivatives
appearing in (6) satisfy (6) identically for x1 , . . . , xn in some region
Ω ⊂ Rn .

MA201(2019):PDE
Introduction and Basic Definitions
First-Order Partial Differential Equations
Formation of PDE

Order of a PDE:
The order of a PDE is the order of the highest derivative appearing in the
equation. If the highest derivative is of order m, then the equation is said
to be of order m.

ut − uxx = f (x, t) (second-order equation)

ut + uxxx + uxxtt = 0 (fourth-order equation)
ut + uxxt + uxx = 0 (third-order equation)

MA201(2019):PDE
Introduction and Basic Definitions
First-Order Partial Differential Equations
Formation of PDE

Classification of PDE
Definition (Linear PDE)
A PDE is said to be linear if F is linear in the unknown function u and its
partial derivatives, with coefficients depending on the independent
variables x1 , x2 , . . . , xn .
General form of first order linear PDE (in two independent variables):

aux + buy = cu + d

where a,b,c,d, are functions of x, y .

Example
• xux + yuy = u.
• The Transport equation: ∂u
∂t + ∂u
∂x = 0.
• ux + (x + y )uy = xy .

MA201(2019):PDE
Introduction and Basic Definitions
First-Order Partial Differential Equations
Formation of PDE

General form of second order linear PDE (in two

independent variables):

auxx + buxy + cuyy + dux + fuy + gu = h

where a,b,c,d,e,f,g,h are functions of x, y .

Example
• The Laplace’s equation: uxx + uyy = 0.
• The heat equation: ∂u
∂t − kuxx = 0, k > 0.
• The wave equation: ∂2u 2
∂t 2 − c uxx = 0.

MA201(2019):PDE
Introduction and Basic Definitions
First-Order Partial Differential Equations
Formation of PDE

Definition (Semi-linear PDE)

A PDE is said to be semi-linear if F is linear in all partial derivatives of
the unknown function u, with coefficients depending only on the
independent variables x1 , x2 , . . . , xn .
General form of first order semi-linear PDE (in two independent
variables):
aux + buy = c

where a,b are functions of x, y and c is function of x, y , u.

Example

xux + yuy = u 2 .

Exercise: Write general form of second order semi-linear PDE.

MA201(2019):PDE
Introduction and Basic Definitions
First-Order Partial Differential Equations
Formation of PDE

Definition (Quasi-linear PDE)

A PDE of order m is said to be quasi-linear if it is linear in the derivatives
of order m with coefficients that depend on x1 , x2 , . . . , xn and the
derivatives of order < m.
General form of first order quasi-linear PDE (in two independent
variables):
aux + buy = c

where a,b,c are functions of x, y , u.

Example (The Burger’s equation:)
∂u ∂u
+u = 0.
∂t ∂x

Exercise: Write general form of second order quasi-linear PDE.

MA201(2019):PDE
Introduction and Basic Definitions
First-Order Partial Differential Equations
Formation of PDE

Linear PDE $ Semi-linear PDE $ Quasi-linear PDE.

Definition (Non-linear PDE)

A PDE of order m is called fully nonlinear if it is not linear in the
derivatives of order m.

Example

xux2 + yuy2 = 2.

MA201(2019):PDE
Introduction and Basic Definitions
First-Order Partial Differential Equations
Formation of PDE

First-order PDEs: A first order PDE in two independent variables x, y

and the dependent variable u can be written in the form
∂u ∂u
F (x, y , u, , ) = 0. (7)
∂x ∂y
For convenience, set
∂u ∂u
p= , q= .
∂x ∂y
Equation (7) then takes the form

F (x, y , u, p, q) = 0. (8)

First-order PDEs arise in many applications, such as

• Transport of material in a fluid flow .

ut + uux = 0

MA201(2019):PDE
Introduction and Basic Definitions
First-Order Partial Differential Equations
Formation of PDE

How first-order PDEs occur?

Consider the following two parameters family of surfaces in R3

f (x, y , u, a, b) = 0, (9)

where a and b are arbitrary constants. Differentiating (9) with respect to

x and y yields a relations
∂f ∂f
+p = 0, (10)
∂x ∂u
∂f ∂f
+q = 0. (11)
∂y ∂u

Eliminating a and b from (9), (10) and (11), we get a relation of the form

F (x, y , u, p, q) = 0, (12)

which is a PDE for the unknown function of two independent variables.

MA201(2019):PDE
Introduction and Basic Definitions
First-Order Partial Differential Equations
Formation of PDE

Example
The equation
x 2 + y 2 + (u − c)2 = r 2 , (13)
where r and c are arbitrary constants, represents the set of all spheres
whose centers lie on the u-axis.
Differentiating (13) with respect to x, we obtain

∂u
x + (u − c) = 0. (14)
∂x
Differentiating (13) with respect to y to have

∂u
y + (u − c) = 0. (15)
∂y

Eliminating the arbitrary constant c from (14) and (15), we obtain

first-order PDE
∂u ∂u
y −x = 0. (16)
∂x ∂y

MA201(2019):PDE
Introduction and Basic Definitions
First-Order Partial Differential Equations
Formation of PDE

• Unknown function of known functions

• Unknown function of a single known function
Let
u = f (g ), (17)
where f is an unknown function and g is a known function of two
independent variable x and y .
Differentiating (17) with respect to x and y yield the equations

ux = f 0 (g )gx (18)

and
uy = f 0 (g )gy , (19)
0
respectively. Eliminating f (g ) from (18) and (19), we obtain

gy ux − gx uy = 0,

which is a first-order PDE for u.

MA201(2019):PDE
Introduction and Basic Definitions
First-Order Partial Differential Equations
Formation of PDE

Example
The surfaces described by an equation of the form

u = f (x 2 + y 2 ), (20)

where f is an arbitrary function of a known function g (x, y ) = x 2 + y 2 .

Differentiating (20) with respect to x and y , it follows that

ux = 2xf 0 (g ); uy = 2yf 0 (g ),

where f 0 (g ) = dg
df
. Eliminating f 0 (g ) from the above two equations, we
obtain a first-order PDE
yux − xuy = 0.

MA201(2019):PDE
Introduction and Basic Definitions
First-Order Partial Differential Equations
Formation of PDE

• Unknown functions of two known functions

Let
u = f (x − ay ) + g (x + ay ), (21)
where a > 0 is a constant. With v (x, y ) = x − ay and
w (x, y ) = x + ay , we write (21) as

u = f (v ) + g (w ). (22)

Differentiating (22) w. r. t. x and y yields

p = ux = f 0 (x − ay ) + g 0 (x + ay ),
q = uy = −af 0 (x − ay ) + ag 0 (x + ay )

Eliminating f 0 (v ) and g 0 (w ), we get

qy = a2 px .

In terms of u, the above first-order PDE is the well-known wave

equation
uyy = a2 uxx .
MA201(2019):PDE
Introduction and Basic Definitions
First-Order Partial Differential Equations
Formation of PDE

Exercises:

Find the associated PDE by eliminating the arbitrary constants:

(i) z = (x + a)(y + b).
(ii) 2z = (ax + y )2 + b.

Find the associated PDE by eliminating the arbitrary function f :

(i) z = xy + f (x 2 + y 2 ).
(ii) z = x + y + f (xy ).

MA201(2019):PDE