Linear First-Order PDEs

MA 201: Partial Differential Equations

Lecture - 3

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 Linear First-Order PDEs

Linear First-Order PDEs

We consider the following first-order linear PDE in Ω ⊂ R2

a(x, y )ux + b(x, y )uy = c(x, y )u + d(x, y ), (1)

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

What are we looking for? We are looking for the solution.

What is a solution for equation (1)?

Definition
A function u of the independent variables x and y is a solution to
(1) if u and its partial derivatives appearing in (1) satisfy (1)
identically for (x, y ) in some region Ω ⊂ R2 .

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Characterization for the solution

• Explicit Solution: A function u given explicitly in terms of x and y

satisfying PDE

a(x, y )ux + b(x, y )uy = c(x, y )u + d(x, y ). (2)

In such case, the solution is denoted by u = u(x, y ) that is u is

given explicitly in terms of independent variables x and y .

• Implicit Solution: In more general terms, we are looking for an

expression F (x, y , u) = 0 involving x, y and u which leads to
equation (2). In such case, we get an implicit form of the
solution.

• Observe that explicit solution u = u(x, y ) or implicit form of the

solution F (x, y , u) = 0 geometrically represents a surface in R3 .
This is known as integral surface or solution surface.

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Figure : Image of an integral surface

Remark: Thus, any point (x, y , u) on the integral surface will satisfy the
equation
a(x, y )ux + b(x, y )uy = c(x, y )u + d(x, y ).

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Solution Curve: Parametric Form

A curve on the solution surface is called a solution curve.

• Suppose C is a solution curve. Then any point (x, y , u) on the

curve C will satisfy the equation

a(x, y )ux + b(x, y )uy = c(x, y )u + d(x, y ). (3)

Next, we make an attempt to reduce equation (3) to a simple

form.

HOW? Think of reducing the PDE (3) into an ODE along C .

This process is known as ’METHOD of CHARACTERISTICS’

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Method of Characteristics
• On the curve C , we make following transformation

x = x(t), y = y (t), u = u(t), (4)

with t ∈ I , I is a suitable interval.

Figure : Parametric form of a solution curve C

• The equations in (4) are called parametric equations of C and t is

called a parameter.
• We can think of C as being traced out by a moving particle whose
position at time t is (x, y , u) = (x(t), y (t), u(t)).
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• Under the transformation x = x(t), y = y (t), u = u(t),

• Coefficient functions reduces to

a = a(x, y ) = a(x(t), y (t)) = a(t),
b = b(t), c = c(t); d = d(t).

• PDE (3) takes the following form:

a(t)ux + b(t)uy = c(t)u(t) + d(t) (5)

• Since u is a function of x and y , apply Chain rule to have

du dx dy
= ux + uy (6)
dt dt dt

• Comparing equations (5) and (6), we have the linear ODE

du
= c(t)u(t) + d(t). (7)
dt
• Provided
dx dy
= a(t) & = b(t).
dt dt
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Characteristic Curves
Hence, we have following system of ODEs
dx
= a(x(t), y (t)) = a(t), (8)
dt
dy
= b(x(t), y (t)) = b(t), (9)
dt
du
= c(t)u(t) + d(t). (10)
dt
Remarks.
• The ODEs (8)-(10) are known as the characteristic equations for the
PDE
aux + buy = cu + d. (11)
The solution curves of the characteristic equation are the
characteristic curves for (11).
• The approach described above is called the method of
characteristics.

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Figure : Integral surface corresponding to aux + buy = cu + d.

Suppose u(x, y ) − u = 0 or F (x, y , u) = 0 is the integral surface.

Let C be a solution curve (characteristic curve) on the integral surface.
Let P(x, y , u) = P(x(t), y (t), u(t)) be a point on the curve C with

OP = r = r(t).

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Figure : Tangent Vector

• Clearly, OP = r(t) = hx(t), y (t), u(t)i.

• Then the tangent vector to the curve at P(x(t), y (t), u(t)) is r0 (t)
and is given by
r0 (t) = hx 0 (t), y 0 (t), u 0 (t)i. (12)

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Figure : Tangent and normal vectors to curve C at P(x, y , u).

Observe that
• Normal to the surface F (x, y , u) = 0 is given by ∇F = hux , uy , −1i

• ha, b, cu + di · hux , uy , −1i = 0 along C .

• What can you say about the vector ha(t), b(t), c(t)u(t) + d(t)i?
It is a tangent vector to C at P(x(t), y (t), u(t)).
• r0 (t) = hx 0 (t), y 0 (t), u 0 (t)i is also a tangent vector to C at
P(x(t), y (t), u(t)).
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Characteristic Curves
Hence, we have following system of ODEs
dx
= a(x(t), y (t)) = a(t), (13)
dt
dy
= b(x(t), y (t)) = b(t), (14)
dt
du
= c(t)u(t) + d(t). (15)
dt
Remarks.
• Thus any point P(x, y , u) = P(x(t), y (t), u(t)) on the solution
curve C are given by
Z t Z t
x(t) = x(0) + a(s)ds, y (t) = y (0) + b(s)ds. (16)
0 0

• What about u(t)?

t Rt
Z
c(s)ds
u(t)R(t) = u(0) + d(s)R(s)ds, R(t) = e − 0 . (17)
0

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Characteristic Curves
• Thus location of point P(x, y , u) = P(x(t), y (t), u(t)) on the
solution curve C is known completely provided the point
(x(0), y (0), u(0)) is given.

• Now onwards, (x(0), y (0), u(0)) will denote any given point on
the solution surface. We call it as initial point.

• For n numbers of initial points Pn on the integral surface, we

determine n numbers of solution curves. Is it enough to
generate whole solution surface? NO

• Suppose Γ is a curve on the integral surface passing through

all those initial points. We call Γ an initial curve on the
integral surface.

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Figure : Characteristic curves and construction of the integral surface

• Considering each characteristic curve passing through the

points on initial curve, we can construct the integral surface.
• Where does the initial curve intersect the solution
(characteristic) curve? They intersect at (x(0), y (0), u(0)).
WHY?
• Because solution curve passes through (x(0), y (0), u(0)) and
any given point is denoted by (x(0), y (0), u(0)), and the initial
curve passes through all given points.
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Parametric Form of the Initial Curve

Let the initial curve Γ be given parametrically as:
Γ = {(x, y , u) ∈ S : S is the solution surface}
= {(x0 (τ ), y0 (τ ), u0 (τ )) : for some τ belongs to an interval J}.

• Using our notation, we obtain

x(0) = x0 (τ ), y (0) = y0 (τ ), u(0) = u0 (τ ). WHY ?

• Again any point P(x, y , u) = P(x(t), y (t), u(t)) on the solution

curve C is given by
Z t Z t
x = x(t) = x(0) + a(s)ds = x0 (τ ) + x(s)ds = x(t, τ ),
0 0
Z t Z t
y = y (t) = y (0) + b(s)ds = y0 (τ ) + b(s)ds = y (t, τ ),
0 0
Rt
Z t
1 
d(s)R(s)ds = u(t, τ ), R(t) = e − 0 c(s)d

u = u(t) = u0 (τ ) +
R(t) 0

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Cauchy’s problem or IVP for first-order linear PDEs: Find integral

surface of the PDE
aux + buy = cu + d
containing a initial curve

Γ = {(x0 (τ ), y0 (τ ), u0 (τ )) : s ∈ J}.

Notation Overloaded:

x = x(t) = x(t, τ ), y = y (t) = y (t, τ ), u = u(x, y ) = u(t, τ ).

Example
Determine the solution the following IVP:
∂u ∂u
+c = 0, u(x, 0) = f (x),
∂y ∂x

where f (x) is a given function and c is a constant.

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Solution.
• Step 1.(Write the parametric form of the initial curve)
Γ = {(x, y , u) ∈ S : S is the solution surface & u = u(x, y ) = f (x), y =
= {(τ, 0, f (τ )) : τ ∈ J} = {(x0 (τ ), y0 (τ ), u0 (τ )) : τ ∈ J}.
• Step 2.(Write the Initial Conditions)
x(0) = x0 (τ ) = τ, y (0) = y0 (τ ) = 0, u(0) = u0 (τ ) = f (τ ).
• Step 3.(Solve the Characteristic Equations)
dx
= a(t) = c, x(0) = τ,
dt
dy
= b(t) = 1, y (0) = 0,
dt
du
= 0, u(0) = f (τ ).
dt
Thus, the parametric form of the solution of the problem is given by
x = ct + τ, y = t, u = f (τ ).
• Step 4.(If possible express u in terms of x and y )
u = f (τ ) = f (x − ct) = f (x − cy ).
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Remarks.
• The parametric representation of the integral surface might hide
further difficulties. The difficulty lies in the inversion of the
transformation from the plane (t, τ ) to the plane (x, y ).

• By implicit function theorem, if the Jacobian

∂y
∂(x, y )  ∂x
 

J = ∂t
=  ∂x ∂t 
∂y
∂(t, τ ) ∂τ ∂τ

 
 a b 
=  ∂x0 (τ ) ∂y0 (τ )  6= 0
 (18)
∂τ ∂τ

on Γ, then t and τ can be expressed in terms of x and y .

• The condition (18) is called transversality condition.

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