The method of characteristics for an IVP
MA 201: Partial Differential Equations
Lecture - 3
MA201 (2022): PDE
The method of characteristics for an IVP
Recall:
a(x, y )ux + b(x, y )uy = c(x, y )u + d(x, y ). (1)
The IVP for first-order linear PDE asks for a solution of (1) which has
given values on a curve Γ in R2 .
Let the initial curve Γ be described parametrically by the equations
x = x0 (s), y = y0 (s); s ∈ I, (2)
where x0 (s), y0 (s) are in C 1 (I ). Let u0 (s) = u(x0 (s), y0 (s)) be a given
function in C 1 (I ).
Consider the following three examples.
Example (Existence of a unique solution)
PDE: ux = cu + d(x, y ), c ∈ R; IC : u(0, y ) = y . (3)
The solution of the PDE is given by
Z x
u(x, y ) = e cx e −cξ d(ξ, y )dξ + u(0, y ) . (4)
0
MA201 (2022): PDE
The method of characteristics for an IVP
Note that the Cauchy data is prescribed on the y -axis. Thus, the unique
solution is Z x
cx −cξ
u(x, y ) = e e d(ξ, y )dξ + y .
0
Example (Non-uniqueness of solutions)
PDE: ux = cu, c ∈ R; IC : u(x, 0) = 2e cx . (5)
This Cauchy problem has infinitely many solutions:
u(x, y ) = e cx g (y ).
Now g (y ) should satisfy g (0) = 2. Thus, every function g (y ) satisfying
g (0) = 2 will be a solution to the IVP (5).
MA201 (2022): PDE
The method of characteristics for an IVP
Example (Non-existence of solutions)
PDE: ux = cu, c ∈ R; IC : u(x, 0) = sin x. (6)
The solution must satisfy
sin x = u(x, 0) = e cx g (0), ∀x ∈ R.
The above cannot hold and hence this Cauchy problem has no solution.
Remark: These examples clearly tell us that we cannot prescribe Cauchy
data on arbitrary curves in the xy -plane.
MA201 (2022): PDE
The method of characteristics for an IVP
The method of characteristics for an IVP
Let the initial curve Γ be given parametrically as:
x = x(s), y = y (s), u = u(s) for s ∈ I . (7)
Every value of s fixes a point on Γ through which a unique characteristic
curve passes. The family of characteristic curves determined by the
points of Γ may be parametrized as
x = x(t, s), y = y (t, s), u = u(t, s)
with t = 0 corresponding to the initial curve Γ.
That is, we have
x(0, s) = x(s), y (0, s) = y (s), u(0, s) = u(s).
MA201 (2022): PDE
The method of characteristics for an IVP
u Characteristics
Γ Curves
Figure : Characteristic curves and construction of the integral surface
MA201 (2022): PDE
The method of characteristics for an IVP
In other words, we note that the functions x(t, s) and y (s, t) are the
solutions of the characteristic system (for each fixed s)
d d
x(t, s) = a(x(t, s), y (t, s)), y (t, s) = b(x(t, s), y (t, s)) (8)
dt dt
with given initial values x(0, s) and y (0, s).
Suppose that
u(x(0, s), y (0, s)) = g (s), (9)
where g (s) is a given function. We obtain u(x(t, s), y (t, s)) as follows:
Let
u(t, s) = u(x(t, s), y (t, s)), c(t, s) = c(x(t, s), y (t, s)),
d(t, s) = d(x(t, s), y (t, s)).
and Z t
µ(t, s) = exp − c(t, s)dt . (10)
0
MA201 (2022): PDE
The method of characteristics for an IVP
That is, for each fixed s, we obtain
Z t
1
u(t, s) = µ(t, s)d(t, s)dt + g (s) . (11)
µ(t, s) 0
u(t, s) is the value of u at the point (x(t, s), y (t, s)).
Note: As s and t vary, the point (x, y , u) in the xyu-space, given by
x = x(t, s), y = y (t, s), u = u(t, s), (12)
traces out the surface of the graph of the solution u of PDE (1) which
meets the initial curve (9).
The equations (12) constitute the parametric form of the solution of (1)
satisfying the initial condition (9) (i.e., a surface in (x, y , u)-space that
contains the initial curve Γ).
MA201 (2022): PDE
The method of characteristics for an IVP
Remarks.
• By implicit function theorem, if the Jacobian
∂(x, y )
J =
∂(t, s)
∂x ∂y ∂y ∂x
= −
∂t ∂s ∂t ∂s
a b
= 6= 0 (13)
(x0 )s (y0 )s
dy0
on Γ, where (x0 )s = dxds , (y0 )s = ds , then x = x(t, s) and
0
y = y (t, s) can be inverted to give s and t as (smooth) functions of
x and y , i.e., s = s(x, y ) and t = t(x, y ).
The resulting function U(x, y ) = u(t(x, y ), s(x, y )) satisfies PDE (1)
in a neighbourhood of the curve Γ (in view of
u ′ (t) − c(t)u(t) = d(t) and the initial condition (7)) and is the
unique solution of the IVP.
• The condition (13) is called transversality condition.
MA201 (2022): PDE
The method of characteristics for an IVP
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.
Solution.
• Step 1.(Finding characteristic curves)
To apply the method of characteristics, parametrize the initial curve
C as follows: as follows:
x = s, y = 0, u = f (s). (14)
The family of characteristic curves x((t, s), y (t, s)) are determined
by solving the ODEs
d d
x(t, s) = c, y (t, s) = 1.
dt dt
The solution of the system is
x(t, s) = ct + c1 (s) and y (t, s) = t + c2 (s).
MA201 (2022): PDE
The method of characteristics for an IVP
• Step 2. (Applying IC)
Using the initial conditions
x(0, s) = s, y (0, s) = 0,
we find that
c1 (s) = s, c2 (s) = 0,
and hence
x(t, s) = ct + s and y (t, s) = t.
• Step 3. (Writing the parametric form of the solution)
Comparing with (1), we have c(x, y ) = 0 and d(x, y ) = 0.
Therefore, using (10) and (11), we find that
d(t, s) = 0, µ(t, s) = 1.
Since u(x(0, s), y (0, s)) = u(s, 0) = g (s) = f (s), we obtain
u(t, s) = f (s).
Thus, the parametric form of the solution of the problem is given by
x(t, s) = ct + s, y (t, s) = t, u(t, s) = f (s).
MA201 (2022): PDE
The method of characteristics for an IVP
• Step 4. (Expressing u(s, t) in terms of U(x, y ))
Expressing s and t as s = s(x, y ) and t = t(x, y ), we have
s = x − cy , t = y.
We now write the solution in the explicit form as
U(x, y ) = u(t(x, y ), s(x, y )) = f (x − cy ).
Clearly, if f (x) is differentiable, the solution U(x, y ) = f (x − cy )
satisfies the given PDE as well as the initial condition.
• Remarks.
The above example characterizes unidirectional wave motion with
velocity c.
If c > 0, the entire initial wave form f (x) moves to the right without
changing its shape with speed c (if c < 0, the direction of motion is
reversed).
MA201 (2022): PDE
The method of characteristics for an IVP
Example
PDE: −yux + xuy = 0
Side Condition: u(s, s 2 ) = s 3 , (s > 0).
Solution.
• Step 1. (Finding characteristic curves (x(t, s), y (t, s)))
Solve
d d
x(t, s) = −y (t, s), y (t, s) = x(t, s)
dt dt
with initial conditions x(0, s) = s, y (0, s) = s 2 .
The general solution is
x(t, s) = c1 (s) cos(t)+c2 (s) sin(t), y (t, s) = c1 (s) sin(t)−c2 (s) cos(t).
MA201 (2022): PDE
The method of characteristics for an IVP
• Step 2. (Applying IC)
Using ICs, we find that
c1 (s) = s, c2 (s) = −s 2 ,
and hence
x(t, s) = s cos(t) − s 2 sin(t) and y (t, s) = s sin(t) + s 2 cos(t).
• Step 3. (Writing the parametric form of the solution)
Comparing with (1), we note that c(x, y ) = 0 and d(x, y ) = 0.
Therefore, using (10) and (11), it follows that
d(t, s) = 0, µ(t, s) = 1.
In view of the given condition curve and u = u(t, s), we obtain
u(x(s, 0), y (s, 0)) = u(s, s 2 ) = g (s) = s 3 , u(t, s) = s 3 .
Thus, the parametric form of the solution of the problem is given by
x(t, s) = s cos(t)−s 2 sin(t), y (t, s) = s sin(t)+s 2 cos(t), u(t, s) = s 3 .
MA201 (2022): PDE
The method of characteristics for an IVP
• Step 4. (Expressing u(s, t) in terms of U(x, y ))
It is left as an exercise to show that
1 h p i3/2
U(x, y ) = √ −1 + 1 + 4(x 2 + y 2 ) .
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MA201 (2022): PDE
