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5. Second order partial differential equations in two variables

The general second order partial differential equations in two variables is of the form

∂u ∂u ∂2 u ∂2 u ∂2 u
F(x, y, u, , , 2 , , ) = 0.
∂x ∂y ∂x ∂x∂y ∂y 2

The equation is quasi-linear if†it is†linear

† in the
† highest order derivatives (second order),
†
that is if it is of the form

a(x, y, u, u x , u y )u xx + 2 b(x, y, u, u x , u y )u xy + c(x, y, u, u x , u y )u yy = d(x, y, u, u x , u y )

We say† that the†equation is semi-linear

† † †if the coefficients
† †a, b, c are independent
† † of u. That is if it
† †
takes the form

a(x, y) )u xx + 2b(x, y) u xy + c(x, y) u yy = d(x, y, u, u x , u y )

Finally, if the equation

† is semi-linear and d is a linear function † of†u, u x and u y , we say that the
† †
equation is linear. That is, when F is linear in u and all its derivatives.

We will consider the semi-linear equation above and attempt a change of variable to obtain a more
† †
convenient form for the equation.

Let x = f(x, y) , h = y(x, y) be an invertible transformation of coordinates. That is,

∂f ∂f
∂( x , h ) ∂x ∂y
= ≠ 0.
∂(x, y) ∂y ∂y
∂x ∂y

†
By the chain rule
†
u x = u x f x + uh y x, u y = u x f y + uh y y

† † † † † † † † † †
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( ) (
u xx = u x f xx + f x uxxf x + uxh y x + u h y xx + y x uhxf x + uhh y x )

† † † = uxxf x 2 + 2uxhf xy x †
+ u†hh y x 2†+ first order derivatives of u
†

Similarly,
†
u yy = uxxf y 2 + 2uxhf yy y + uhh y y 2 + first order derivatives of u

( )
u xy = uxxf xf y + uxh f xy y + f yy x + uhh y xy y + first order derivatives of u
† †

Substituting into the partial differential equation we obtain,

† †

A(x, h)u xx + 2B(x, h)u xh + C(x, h)u hh = D(x, h, u, u x , u h )

where
† † † † †
A(x, h) = af x 2 + 2bf x f y + cf y 2

B(x, h) = af x y x + b(f x y y + y x f y ) + cf y y y
† †† †
C(x, h) = ay x 2 + 2by x y y + cy y 2 .
† †† † † †† † †
It easily follows that
† † † †
2 2
Ê ∂( x , h ) ˆ 2
B – AC = (b – ac) Á ˜ .
Ë ∂(x, y) ¯

Therefore B 2 – AC has the 2

†same sign†as b – ac. We will now choose the new coordinates
x = f(x, y) , h = y(x, y) to simplify the partial†differential equation.
f(x, y) = constant ,y(x, y) = constant defines two families of curves in R2 . On a member of the
family
† f(x, y) = constant, we have † that

df
= f x + f y y ¢ = 0.
dx

Therefore substituting in the expression for A(x, h) we obtain

† ††
†
A(x, h) = a f y 2 y ¢2 – 2b f y 2 y ¢ + cf y 2

= f y 2 [a y ¢2 – 2b y ¢+ c ].
†† † †

† † †
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We choose the two families of curves given by the two families of solutions of the ordinary
differential equation

a y ¢2 – 2b y ¢+ c = 0.

This nonlinear ordinary differential equation is called the characteristic equation of the partial
2
differential equation and provided
† that a†≠ 0, b – ac > 0 it can be written as

† b ± b 2 - ac
y¢ =
a

For this choice of coordinates†A(x, h) = 0 and similarly it can be shown that C(x, h) = 0 also. The
†
partial differential equation becomes

2 B(x, h) u xh = D(x, h, u, u x , u h )

where it is easy to show that B(x, h) ≠ 0. Finally, we can write the partial differential equation in
the normal form
† † †

uxh = D(x, h, u, ux , uh )

The two families of curves f (x, y) = constant ,y (x, y)= constant obtained as solutions of the
characteristic equation are called characteristics and the semi-linear partial differential equation is
called hyperbolic if b 2 – ac > 0 whence it has two families of characteristics and a normal form as
given above.

If b 2 – a c †< 0, then the characteristic equation has complex solutions and there are no real
characteristics. The functions f(x, y), y(x, y) are now complex conjugates . A change of variable to
the real coordinates
†
x = f(x, y) + y(x, y), h = –i( f(x, y) – y(x, y))

results in the partial differential equation where the mixed derivative term vanishes,

u xx + u hh = D(x, h, u, u x , u h ).

In this case the semi-linear

†partial
† differential equation is called elliptic if b 2 – ac < 0. Notice that the
† †
left hand side of the normal form is the Laplacian. Thus Laplaces equation is a special case of an
elliptic equation (with D = 0).
†
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b
If b 2 – ac = 0 , the characteristic equation y ¢ =
has only one family of solutions
a
y(x, y) = constant. We make the change of variable

† † x = x, h = y(x, y).

Then

A(x, h) = a

B(x, h) = ay x + by y

2 2 (ay x + by y )2 - (b 2 - ac)y y 2 B( x , h )2
C(x, h) = ay x + 2by x y y + cy y = =
† † a a

Also since y(x, y) = constant,

† † † † † ay x + by y †
b B( x , h )
0 = y x + y y y¢ = y x + y y = =
a a a

2
Therefore B(x, h) = †0, C(
†x†, h) =†0, A(†
x, h) ≠†0 and the normal
† form in the case b – ac = 0 is
A(x, h) u xx = D(x, h, u, ux , uh )
†
or finally
†
uxx = D(x, h, u, u x , u h )

The partial differential equation is called parabolic in the case b 2 – a = 0. An example of a parabolic
† †
partial differential equation is the equation of heat conduction

∂u ∂2 u † u = u(x, t).
– k 2 = 0 where
∂t ∂x

Example 1. Classify the following linear second order partial differential equation and find its general solution .
† †
xyu xx + x 2 u xy – yu x = 0.

Ê x 2 ˆ2
In this example b2 – ac = Á ˜ ≥ 0 \ the†partial differential equation is hyperbolic provided x ≠ 0, and parabolic
Ë 2¯ † † †
for x = 0.

For x ≠ 0 the characteristic equations are

†
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2 2
x x
2 ±
b ± b - ac 2 2 = 0 or x
y¢ = =
a xy y

If y ¢ = 0, y = constant.

x †
If y ¢ = † Therefore two families
, x 2 – y 2 = constant. † of characteristics are
y
†
x = x 2 – y 2 , h = y.
† † †the chain rule a number of times we calculate the partial derivatives
Using

† ux †= ux 2x + uh 0 = 2xux
uxx = 2u x + 2x(ux x 2x + ux h 0) = 2ux + 4x 2 ux x

( )
uxy = 2x u xx (-2y) + uxh 1 = – 4xyux x + 2xux h .

Substituting into the partial differential equation we obtain the normal form
†
u x h = 0 (provided x ≠ 0).

Integrating this equation with respect to h

u x = f(x ),

where f is an arbitrary function of one real variable. Integrating again with respect to x

u(x, h ) = Ú f (x ) dx + G(h) = F(x) + G(h)

where F, G are arbitrary functions of one real variable. Reverting to the original coordinates we find the general
solution †
u(x, y) = F(x2 – y2 ) + G(y)

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Example 2. Classify, reduce to normal form and obtain the general solution of the partial differential equation

x2 uxx + 2xyuxy + y 2 uyy = 4x2

For this equation b 2 – ac = (xy) 2 – x2 y2 = 0 \ the equation is parabolic everywhere in the plane (x, y). The
characteristic equation is

b xy y
y' = = 2 = .
a x x

y
Therefore there is one family of characteristics = constant.
x

y
Let x = x and h = . Then using the chain rule,
x

Ê -y ˆ y
u x = ux 1 + u h Á ˜= u – u
Ë x 2 ¯ x x2 h

Ê 1ˆ 1
uy = ux 0 + u h Á ˜ = uh
Ë x¯ x
†
Ê -y ˆ 2y y Ê Ê -y ˆ ˆ
uxx = u x x 1 + u xh Á ˜ + 3 uh – 2 Á uhx 1 + uhh Á 2 ˜ ˜
Ëx ¯ x
2
x Ë Ë x ¯¯
†
2
2y y 2y
=u – u + u + u
xx 2 xh 4 hh 3 h
† x x x
†

1Ê Ê 1 ˆˆ 1
† u yy †
= Á†uhx 0†+ uhh Á † ˜˜ = 2 uh h
† xË † Ë x ¯¯ x

1 1Ê Ê y ˆˆ
uyx = – u + Á u†
hx 1 + uhh Á - 2 ˜˜
† x
2 h xË Ë x ¯¯

1 y 1
= u – u – u .
x xh x3 hh x 2 h
† † †
Substituting into the partial differential equation we obtain the normal form

† † u x x = 4.
†
Integrating with respect to x

u x = 4 x + f(h )

where f is an arbitrary function of a real variable. Integrating again with respect to x

u(x, h) = 2x2 + xf(h)+ g(h),

Therefore the general solution is given by

u(x, y) = 2x2 + xf y + g y () ()
x x

where f, g are arbitrary functions of a real variable.

† †
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