Quasi-linear First-Order PDEs

Formation of quasi-linear First-Order PDEs

General solution quasi-linear First-Order PDEs
The method of Lagrange
Solving a Cauchy Problem

MA 201: Partial Differential Equations

Lecture - 3

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 Quasi-linear First-Order PDEs
Formation of quasi-linear First-Order PDEs
General solution quasi-linear First-Order PDEs
The method of Lagrange
Solving a Cauchy Problem

A first order quasi-linear PDE is of the form

∂u ∂u
a(x, y , u) + b(x, y , u) = c(x, y , u). (1)
∂x ∂y

Let us assume that an integral surface u = u(x, y ) of (1) can be found.

Writing this integral surface in implicit form as

F (x, y , u) = u(x, y ) − u = 0.

Note that the gradient vector ∇F = hux , uy , −1i is normal to the integral
surface F (x, y , u) = 0. Equation (1) may be written as

aux + buy − c = ha, b, ci · hux , uy , −1i = 0. (2)

This shows that the vector ha, b, ci and the gradient vector ∇F are
orthogonal. In other words, the vector ha, b, ci lies in the tangent plane
of the integral surface u = u(x, y ) at each point in the (x, y , u)-space
where ∇F 6= 0.
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 Quasi-linear First-Order PDEs
Formation of quasi-linear First-Order PDEs
General solution quasi-linear First-Order PDEs
The method of Lagrange
Solving a Cauchy Problem

At each point (x, y , u), the vector (a, b, c) determines a direction in

(x, y , u)-space called the characteristic direction. If the parametric form
of these curves is

x = x(t), y = y (t), and u = u(t), (3)

then we must have

dx
= a(x(t), y (t), u(t)),
dt
dy
= b(x(t), y (t), u(t)), (4)
dt
du
= c(x(t), y (t), u(t)),
dt
because (dx/dt, dy /dt, du/dt) is the tangent vector along the curves.
The solutions of (4) are called the characteristic curves of the quasi-linear
equation (1).

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 Quasi-linear First-Order PDEs
Formation of quasi-linear First-Order PDEs
General solution quasi-linear First-Order PDEs
The method of Lagrange
Solving a Cauchy Problem

Remarks.
• Assume that a(x, y , u), b(x, y , u) and c(x, y , u) are sufficiently
smooth and do not all vanish at the same point. Then, the theory of
ODE ensures that a unique characteristic curve passes through each
point (x0 , y0 , u0 ).
• The IVP for (1) requires that u(x, y ) be specified on a given curve in
(x, y )-space which determines a curve Γ in (x, y , u)-space referred to
as the initial curve. To solve this IVP, pass a characteristic curve
through each point of the initial curve Γ. These curves generate a
surface known as integral surface. This integral surface is the
solution of the IVP.
• The characteristic equations (4) for x and y are not, in general,
uncoupled from the equation for u and hence differ from those in
the linear case.
• The characteristics equations (4) can be expressed in the
nonparametric form as
dx dy du
= = . (5)
a(x, y , u) b(x, y , u) c(x, y , u)
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 Quasi-linear First-Order PDEs
Formation of quasi-linear First-Order PDEs
General solution quasi-linear First-Order PDEs
The method of Lagrange
Solving a Cauchy Problem

Theorem
If φ = φ(x, y , u) and ψ = ψ(x, y , u) are two given functions of x, y and
u and if G (φ, ψ) = 0, where G is an arbitrary function of φ and ψ, then
u = u(x, y ) satisfies a first order PDE

∂u ∂(φ, ψ) ∂u ∂(φ, ψ) ∂(φ, ψ)

+ = (6)
∂x ∂(y , u) ∂y ∂(u, x) ∂(x, y )

where  
∂(φ, ψ)  φx φy

= .

∂(x, y )  ψx ψy 

Remarks.
• Since G is an arbitrary function that leads to equation (6), so G is
called the general solution for the equation.
• This gives an idea to find the general solution for the quasi-linear
equation
∂u ∂u
a(x, y , u) + b(x, y , u) = c(x, y , u).
∂x ∂y
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 Quasi-linear First-Order PDEs
Formation of quasi-linear First-Order PDEs
General solution quasi-linear First-Order PDEs
The method of Lagrange
Solving a Cauchy Problem

How to prove it?

• Differentiate G (φ, ψ) = 0 with respect to x and y respectively:

Gφ φx + ux φu ) + Gψ ψx + ux ψu ) = 0, (7)
Gφ φy + uy φu ) + Gψ ψy + uy ψu ) = 0. (8)

• Nontrivial solutions for ∂G ∂G

∂φ = Gφ and ∂ψ = Gψ can be found if
 
 φx + ux φu ψx + ux ψu 
 
=0
 ψy + uy ψu ψy + uy ψu 


• Expanding this determinant gives first-order, quasi-linear equation

(6).

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 Quasi-linear First-Order PDEs
Formation of quasi-linear First-Order PDEs
General solution quasi-linear First-Order PDEs
The method of Lagrange
Solving a Cauchy Problem

Remarks (contd.)
• Consider following quasi-linear equation:

∂u ∂u
a(x, y , u) + b(x, y , u) = c(x, y , u). (9)
∂x ∂y
• Consider following equation with general solution G (φ, ψ) = 0:

∂u ∂(φ, ψ) ∂u ∂(φ, ψ) ∂(φ, ψ)

+ = . (10)
∂x ∂(y , u) ∂y ∂(u, x) ∂(x, y )

• Both equation will be identical if we select φ = φ(x, y , u) and

ψ = ψ(x, y , u) in such way that

∂(φ, ψ) ∂(φ, ψ) ∂(φ, ψ)

a= , b= , c= .
∂(y , u) ∂(u, x) ∂(x, y )

• What is (φ, ψ)?

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 Quasi-linear First-Order PDEs
Formation of quasi-linear First-Order PDEs
General solution quasi-linear First-Order PDEs
The method of Lagrange
Solving a Cauchy Problem

Theorem (The method of Lagrange)

The general solution of the quasi-linear PDE (9) is

F (u1 , u2 ) = 0, (11)

where F is an arbitrary function, the functions u1 (x, y , u) = c1 and

u2 (x, y , u) = c2 form a solution of the equations

dx dy du
= = . (12)
a b c

Proof. Observe that

du1 = u1,x dx + u1,y dy + u1,u du = 0,

du2 = u2,x dx + u2,y dy + u2,u du = 0.

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 Quasi-linear First-Order PDEs
Formation of quasi-linear First-Order PDEs
General solution quasi-linear First-Order PDEs
The method of Lagrange
Solving a Cauchy Problem

For any (x, y , u) satisfying equation (12), thus, we must have

au1,x + bu1,y + cu1,u = 0,

au2,x + bu2,y + cu2,u = 0.

Solving these equations for a, b and c, we obtain

a b c
∂(u1 ,u2 )
= ∂(u1 ,u2 )
= ∂(u1 ,u2 )
. (13)
∂(y,u) ∂(u,x) ∂(x,y)

This completes the rest of the proof.

Remark
Any expression involving u1 and u2 is an integral surface for (9).

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 Quasi-linear First-Order PDEs
Formation of quasi-linear First-Order PDEs
General solution quasi-linear First-Order PDEs
The method of Lagrange
Solving a Cauchy Problem

Example
Find the general integral/general solution of xux + yuy = u.
Solution. The associated system of equations are
dx dy du
= = .
x y u
From the first two relations, we have
dx dy x
= =⇒ ln x = ln y + ln c1 =⇒ = c1 .
x y y
Similarly,
du dy u
= =⇒ = c2 .
u y y
x
Take u1 = y and u2 = uy . The general integral is given by
x u
F ( , ) = 0,
y y
where F is an arbitrary function.
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 Quasi-linear First-Order PDEs
Formation of quasi-linear First-Order PDEs
General solution quasi-linear First-Order PDEs
The method of Lagrange
Solving a Cauchy Problem

Example
Find the general integral of the equation

u(x + y )ux + u(x − y )uy = x 2 + y 2 .

Solution. The characteristic equations are

dx dy du
= = 2 .
u(x + y ) u(x − y ) x + y2
Each of these ratios is equivalent to
dx dy du dx dy du
y +x −u =0=x −y −u .
dt dt dt dt dt dt
Consequently, we have
u2 1
d{xy − } = 0 and d{ (x 2 − y 2 − u 2 )} = 0.
2 2
Integrating we obtain
2xy − u 2 = c1 and x 2 − y 2 − u 2 = c2 ,
where c and c are arbitraryIIT constants.
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 Quasi-linear First-Order PDEs
Formation of quasi-linear First-Order PDEs
General solution quasi-linear First-Order PDEs
The method of Lagrange
Solving a Cauchy Problem

Thus, the general solution is

F (2xy − u 2 , x 2 − y 2 − u 2 ) = 0,
where F is an arbitrary function.
Integral surfaces through a given curve / Solving an IVP
• Suppose we have found two solutions
u1 (x, y , u) = c1 , u2 (x, y , u) = c2 (14)
of the auxiliary equations
dx dy du
= = .
a b c
• Any solution of the corresponding quasi-linear equation (9) is of the
form
F (u1 , u2 ) = 0 (15)
• Now, we want to find the integral surface which passes through the
given curve C whose parametric equations are
x(0) = x0 (s), y (0) = y0 (s), u(0) = u0 (s),
where s is a parameter.
IIT Guwahati MA201(2016):PDE
 Quasi-linear First-Order PDEs
Formation of quasi-linear First-Order PDEs
General solution quasi-linear First-Order PDEs
The method of Lagrange
Solving a Cauchy Problem

• Recall that for any (x, y , u) on the integral surface, we have

u1 (x, y , u) = c1 , u2 (x, y , u) = c2 (16)

• In particular, we must have

u1 {x0 (s), y0 (s), u0 (s)} = c1 , u2 {x0 (s), y0 (s), u0 (s)} = c2 . (17)

• We eliminate the single variable s to obtain a relation of the type

G (c1 , c2 ) = 0 = G (x, y , u). (18)

• Example: Find an integral surface of the quasi-linear PDE

x(y 2 + u)p − y (x 2 + u)q = (x 2 − y 2 )u

which contains the straight line x + y = 0, u = 1.
• The auxiliary equations are

dx dy du
= = 2 .
x(y 2 + u) −y (x 2 + u) (x − y 2 )u
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 Quasi-linear First-Order PDEs
Formation of quasi-linear First-Order PDEs
General solution quasi-linear First-Order PDEs
The method of Lagrange
Solving a Cauchy Problem

• Taking
y dx + x dy du
= 2
xy 3 3
+ xyu − yx − yxu (x − y 2 )u
will ultimately give rise to

d(xy ) du
=− ,
xy u
• The solution is
xyu = c1 . (19)
• Similarly taking

x dx + y dy du
= 2 ,
x 2y 2 + x 2u − y 2x 2 − y 2u (x − y 2 )u

x 2 + y 2 − 2u = c2 . (20)

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 Quasi-linear First-Order PDEs
Formation of quasi-linear First-Order PDEs
General solution quasi-linear First-Order PDEs
The method of Lagrange
Solving a Cauchy Problem

• For the initial curve x + y = 0, u = 1, we have the parametric

equations
x0 (s) = s, y0 (s) = −s, u0 (s) = 1.
• Substituting these values in (19) and (20)

−s 2 = c1 , 2s 2 − 2 = c2 ,

and eliminating s from them:

2c1 + c2 + 2 = 0.

• The desired integral surface is

x 2 + y 2 + 2xyu − 2u + 2 = 0.

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 Quasi-linear First-Order PDEs
Formation of quasi-linear First-Order PDEs
General solution quasi-linear First-Order PDEs
The method of Lagrange
Solving a Cauchy Problem

Theorem (Existence and uniqueness result)

Let a(x, y , u), b(x, y , u) and c(x, y , u) in (1) have continuous partial
derivatives with respect to x, y and u variables. Let the initial curve Γ be
described parametrically as

x = x(s), y = y (s), and u(s) = u(x(s), y (s)).

The initial curve Γ has a continuous tangent vector and

dy dx
J(s) = a[x(s), y (s), u(s)] − b[x(s), y (s), u(s)] 6= 0 (21)
ds ds
on Γ. Then, there exists a unique solution u = u(x, y ), defined in some
neighborhood of the initial curve Γ, satisfies (1) and the initial condition
u(x(s), y (s)) = u(s).

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 Quasi-linear First-Order PDEs
Formation of quasi-linear First-Order PDEs
General solution quasi-linear First-Order PDEs
The method of Lagrange
Solving a Cauchy Problem

Example
∂u ∂u
PDE: u + = 0; IC: u(x, 0) = f (x).
∂x ∂y

• Step 1. (Finding characteristic curves)

To solve the IVP, we parameterize the initial curve as
x0 (s) = s, y0 (s) = 0, u0 (s) = f (s).
The characteristic equations are
dx dy du
= u, = 1, = 0.
dt dt dt
Let the solutions be denoted as x(t, s), t(t, s), and u(t, s). We
immediately find that
u(t, s) = c3 (s), x(t, s) = ut + c1 (s), y (t, s) = t + c2 (s),
where ci , i = 1, 2, 3 are constants to be determined using IC.
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 Quasi-linear First-Order PDEs
Formation of quasi-linear First-Order PDEs
General solution quasi-linear First-Order PDEs
The method of Lagrange
Solving a Cauchy Problem

• Step 2. (Applying IC) The initial conditions at t = 0 are given by

x(0) = s, y (0) = 0, u(0) = f (s).
Using these conditions, we obtain
x(t, s) = ut + s, y (t, s) = t, u(t, s) = f (s).
• Step 3. (Writing the parametric form of the solution)
The solutions are thus given by
x(t, s) = ut + s = f (s)t + s, y (t, s) = t, u(t, s) = f (s).
• Step 4. (Expressing u(t, s) in terms of u(x, y ))
Applying the transversality condition, we find that J = −1 6= 0,
along the entire initial curve. We can immediately solve for s(x, y )
and t(x, y ) to obtain
s(x, y ) = x − tf (s), t(x, y ) = y .
Since t = y and s = x − tf (s) = x − yu, the solution can also be
given in implicit form as
u = f (x − yu).
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 Quasi-linear First-Order PDEs
Formation of quasi-linear First-Order PDEs
General solution quasi-linear First-Order PDEs
The method of Lagrange
Solving a Cauchy Problem

Example
∂u ∂u
PDE: (y + u) +y = x − y ; IC: u(x, 1) = 1 + x.
∂x ∂y

Observe that the Jacobian

 
 2+s 1 
J =  = −1 6= 0.
1 0 
Therefore, we conclude that there exists an integral surface at least in
the vicinity of Γ.
The characteristics equations and initial conditions are:
dx dy du
(i) = y + u, (ii) = y , (iii) = x − y.
dt dt dt
x0 (s) = s, y0 (s) = 1, u0 (s) = 1 + s.

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 Quasi-linear First-Order PDEs
Formation of quasi-linear First-Order PDEs
General solution quasi-linear First-Order PDEs
The method of Lagrange
Solving a Cauchy Problem

From (ii), we immediately have y (t, s) = e t .

Adding (i) and (iii), we get

d
(u + x) = (u + x) ⇒ u(t, s) + x(t, s) = (1 + 2s)e t .
dt
From (i), we again obtain

dx
+ x = (2 + 2s)e t ⇒ x(s, t) = (1 + s)e t − e −t ,
dt
and
u(t, s) = se t + e −t .
Noting that
x − y = se t − e −t ,
we finally get
u(x, y ) = 2/y + (x − y ).
Note that the solution is not global (it becomes singular on the x-axis),
but it is well defined near the initial curve.
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