In mathematics, an equation that contains partial derivatives, expressing a process of change that depends on more than one independent variable. It can be read as a statement about how a process evolves without specifying the formula defining the process. Given the initial state of the process (such as its size at time zero) and a description of how it is changing (i.e., the partial differential equation), its defining formula can be found by various methods, most based on integration. Important partial differential equations include the heat equation, the wave equation, and Laplace's equation, which are central to mathematical physics.
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This relation implies that the values u(x,y) are independent of x. Hence the general solution of this equation is
where f is an arbitrary function of y. The analogous ordinary differential equation is
which has the solution
where c is any constant value (independent of x). These two examples illustrate that general solutions of ordinary differential equations involve arbitrary constants, but solutions of partial differential equations involve arbitrary functions. A solution of a partial differential equation is generally not unique; additional conditions must generally be specified on the boundary of the region where the solution is defined. For instance, in the simple example above, the function can be determined if is specified on the line .
An example of pathological behavior is the sequence of Cauchy problems (depending upon n) for the Laplace equation
with initial conditions
where n is an integer. The derivative of u with respect to y approaches 0 uniformly in x as n increases, but the solution is
This solution approaches infinity if nx is not an integer multiple of π for any non-zero value of y. The Cauchy problem for the Laplace equation is called ill-posed or not well posed, since the solution does not depend continuously upon the data of the problem. Such ill-posed problems are not usually satisfactory for physical applications.
Especially in (mathematical) physics, one often prefers use of del (which in cartesian coordinates is written ) for spatial derivatives and a dot for time derivatives, e.g. to write the wave equation (see below) as
where u(t,x) is temperature, and α is a positive constant that describes the rate of diffusion. The Cauchy problem for this equation consists in specifying , where f(x) is an arbitrary function.
General solutions of the heat equation can be found by the method of separation of variables. Some examples appear in the heat equation article. They are examples of Fourier series for periodic f and Fourier transforms for non-periodic f. Using the Fourier transform, a general solution of the heat equation has the form
where F is an arbitrary function. In order to satisfy the initial condition, F is given by the Fourier transform of f, that is
If f represents a very small but intense source of heat, then the preceding integral can be approximated by the delta distribution, multiplied by the strength of the source. For a source whose strength is normalized to 1, the result is
and the resulting solution of the heat equation is
This is a Gaussian integral. It may be evaluated to obtain
This result corresponds to a normal probability density for x with mean 0 and variance 2αt. The heat equation and similar diffusion equations are useful tools to study random phenomena.
Here u might describe the displacement of a stretched string from equilibrium, or the difference in air pressure in a tube, or the magnitude of an electromagnetic field in a tube, and c is a number that corresponds to the velocity of the wave. The Cauchy problem for this equation consists in prescribing the initial displacement and velocity of a string or other medium:
where f and g are arbitrary given functions. The solution of this problem is given by d'Alembert's formula:
This formula implies that the solution at (t,x) depends only upon the data on the segment of the initial line that is cut out by the characteristic curves
that are drawn backwards from that point. These curves correspond to signals that propagate with velocity c forward and backward. Conversely, the influence of the data at any given point on the initial line propagates with the finite velocity c: there is no effect outside a triangle through that point whose sides are characteristic curves. This behavior is very different from the solution for the heat equation, where the effect of a point source appears (with small amplitude) instantaneously at every point in space. The solution given above is also valid if t is negative, and the explicit formula shows that the solution depends smoothly upon the data: both the forward and backward Cauchy problems for the wave equation are well-posed.
This is equivalent to
and hence the quantity ru satisfies the one-dimensional wave equation. Therefore a general solution for spherical waves has the form
where F and G are completely arbitrary functions. Radiation from an antenna corresponds to the case where G is identically zero. Thus the wave form transmitted from an antenna has no distortion in time: the only distorting factor is 1/r. This feature of undistorted propagation of waves is not present if there are two spatial dimensions.
Solutions of Laplace's equation are called harmonic functions.
and it follows that
Conversely, given any harmonic function in two dimensions, it is the real part of an analytic function, at least locally. Details are given in Laplace equation.
Petrovsky (1967, p. 248) shows how this formula can be obtained by summing a Fourier series for φ. If r<1, the derivatives of φ may be computed by differentiating under the integral sign, and one can verify that φ is analytic, even if u is continuous but not necessarily differentiable. This behavior is typical for solutions of elliptic partial differential equations: the solutions may be much more smooth than the boundary data. This is in contrast to solutions of the wave equation, and more general hyperbolic partial differential equations, which typically have no more derivatives than the data.
If the velocity field is solenoidal (that is, ), then the equation may be simplified to
Many problems of Mathematical Physics are formulated as initial-boundary value problems.
as well as the initial conditions
The method of separation of variables for the wave equation
leads to solutions of the form
where the constant k must be determined. The boundary conditions then imply that X is a multiple of sin kx, and k must have the form
where n is an integer. Each term in the sum corresponds to a mode of vibration of the string. The mode with n=1 is called the fundamental mode, and the frequencies of the other modes are all multiples of this frequency. They form the overtone series of the string, and they are the basis for musical acoustics. The initial conditions may then be satisfied by representing f and g as infinite sums of these modes. Wind instruments typically correspond to vibrations of an air column with one end open and one end closed. The corresponding boundary conditions are
The method of separation of variables can also be applied in this case, and it leads to a series of odd overtones.
The general problem of this type is solved in Sturm-Liouville theory.
if t>0 and (x,y) is in D. The boundary condition is if is on . The method of separation of variables leads to the form
which in turn must satisfy
The latter equation is called the Helmholtz Equation. The constant k must be determined in order to allow a non-trivial v to satisfy the boundary condition on C. Such values of k2 are called the eigenvalues of the Laplacian in D, and the associated solutions are the eigenfunctions of the Laplacian in D. The Sturm-Liouville theory may be extended to this elliptic eigenvalue problem (Jost, 2002).
There are no generally applicable methods to solve non-linear PDEs. Still, existence and uniqueness results (such as the Cauchy-Kovalevskaya theorem) are often possible, as are proofs of important qualitative and quantitative properties of solutions (getting these results is a major part of analysis). Computational solution to the nonlinear PDEs, the Split-step method, exist for specific equations like nonlinear Schrödinger equation.
Nevertheless, some techniques can be used for several types of equations. The h-principle is the most powerful method to solve underdetermined equations. The Riquier-Janet theory is an effective method for obtaining information about many analytic overdetermined systems.
In some cases, a PDE can be solved via perturbation analysis in which the solution is considered to be a correction to an equation with a known solution. Alternatives are numerical analysis techniques from simple finite difference schemes to the more mature multigrid and finite element methods. Many interesting problems in science and engineering are solved in this way using computers, sometimes high performance supercomputers.
Except for the Dym equation and the Ginzburg-Landau equation, the above equations are linear in the sense that they can be written in the form Au = f for a given linear operator A and a given function f. Other important non-linear equations include the Navier-Stokes equations describing the flow of fluids, and Einstein's field equations of general relativity.
Also see the list of non-linear partial differential equations.
where the coefficients A, B, C etc. may depend upon x and y. This form is analogous to the equation for a conic section:
If there are n independent variables x1, x2 , ..., xn, a general linear partial differential equation of second order has the form
The classification depends upon the signature of the eigenvalues of the coefficient matrix.
where the coefficient matrices Aν and the vector B may depend upon x and u. If a hypersurface S is given in the implicit form
where φ has a non-zero gradient, then S is a characteristic surface for the operator L at a given point if the characteristic form vanishes:
The geometric interpretation of this condition is as follows: if data for u are prescribed on the surface S, then it may be possible to determine the normal derivative of u on S from the differential equation. If the data on S and the differential equation determine the normal derivative of u on S, then S is non-characteristic. If the data on S and the differential equation do not determine the normal derivative of u on S, then the surface is characteristic, and the differential equation restricts the data on S: the differential equation is internal to S.
has m real roots λ1, λ2, ..., λm. The system is strictly hyperbolic if these roots are always distinct. The geometrical interpretation of this condition is as follows: the characteristic form Q(ζ)=0 defines a cone (the normal cone) with homogeneous coordinates ζ. In the hyperbolic case, this cone has m sheets, and the axis ζ = λ ξ runs inside these sheets: it does not intersect any of them. But when displaced from the origin by η, this axis intersects every sheet. In the elliptic case, the normal cone has no real sheets.
which is called elliptic-hyperbolic because it is elliptic in the region x < 0, hyperbolic in the region x > 0, and degenerate parabolic on the line x = 0.
The method of separation of variables will yield particular solutions of a linear PDE on very simple domains such as rectangles that may satisfy initial or boundary conditions.
is reducible to the Heat equation
by the change of variables (for complete details see Solution of the Black Scholes Equation):
Because any superposition of solutions of a linear PDE is again a solution, the particular solutions may then be combined to obtain more general solutions.
If the domain is finite or periodic, an infinite sum of solutions such as a Fourier series is appropriate, but an integral of solutions such as a Fourier integral is generally required for infinite domains. The solution for a point source for the heat equation given above is an example for use of a Fourier integral.
A non-local boundary value problem for third-order linear partial differential equation of composite type.(Report)
Sep 01, 2009; 1 Introduction The first investigation of the boundary-value problems for the simple composite type equation of the third order...