CHAPTER 2

The Diusion Equation

In this chapter we study the one-dimensional diusion equation
u
t
=

2
u
x
2
+ p(x, t),
which describes such physical situations as the heat conduction in a one-dimensional
solid body, spread of a die in a stationary uid, population dispersion, and other
similar processes. In the last section we will also discuss the quasilinear version
of the diusion equation, known as, the Burgers equation
u
t
+ u
u
x

2
u
x
2
= p(x, t)
which arises in the context of modelling the motion of a viscous uid as well as
trac ow.
We begin with a derivation of the heat equation from the principle of the
energy conservation.
2.1. Heat Conduction
Consider a thin, rigid, heat-conducting body (we shall call it a bar) of length
l. Let (x, t) indicate the temperature of this bar at position x and time t, where
0 x l and t 0. In other words, we postulate that the temperature of the
bar does not vary with the thickness. We assume that at each point of the bar
the energy density per unit volume is proportional to the temperature, that is
(x, t) = c(x)(x, t), (2.1.1)
where c(x) is called heat capacity and where we also assumed that the mass
density is constant throughout the body and normalized to equal one. Although
the body has been assumed rigid, and with constant mass density, its material
properties, including the heat capacity, may vary from one point to another.
23
24 2. THE DIFFUSION EQUATION
To derive the homogeneous heat-conduction equation we assume that there
are no internal sources of heat along the bar, and that the heat can only enter
the bar through its ends. In other words, we assume that the lateral surface
of the bar is perfectly insulated so no heat can be gained or lost through it.
The fundamental physical law which we employ here is the law of conservation
of energy . It says that the rate of change of energy in any nite part of the
bar is equal to the total amount of heat owing into this part of the bar. Let
q(x, t) denote the heat ux that is the rate at which heat ows through the body
at position x and time t, and let us consider the portion of the bar from x to
x +x. The rate of change of the total energy of this part of the bar equals the
total amount of heat that ows into this part through its ends, namely

t
_
x+x
x
c(z)(z, t)dz = q(x +x, t) + q(x, t). (2.1.2)
We use here commonly acceptable convention that the heat ux q(x, t) > 0 if the
ow is to the right.
In order to obtain the equation describing the heat conduction at an arbitrary
point x we shall consider the limit of (2.1.2) as x 0. First, assuming that
the integrand c(z)(z, t) is suciently regular, we are able to dierentiate inside
the integral. Second, dividing both sides of the equation by x, invoking the
Mean-Value Theorem for Integrals, and taking x 0 we obtain the equation
c(x)

t
=
q
x
(2.1.3)
relating the rate of change of temperature with the gradient of the heat ux. We
are ready now to make yet another assumption; a constitutive assumption which
relates the heat ux to the temperature. Namely, we postulate what is known as
Fouriers Law of Cooling, that the heat ows at the rate directly proportional to
the (spatial) rate of change of the temperature. If in addition we accept that the
heat ows, as commonly observed, from hot to cold we get that
q(x, t) = (x)

x
. (2.1.4)
where the proportionality factor (x) > 0 is called the thermal conductivity.
Notice the choice of the sign in the denition of the heat ux guarantees that if
2.1. HEAT CONDUCTION 25
the temperature is increasing with x the heat ux is negative and the heat ows
from right to left, i.e., from hot to cold.
Combining (2.1.3) and (2.1.4) produces the partial dierential equation
c(x)

t
=

x
((x)

x
), 0 < x < l, (2.1.5)
governing the heat ow in a inhomogeneous ( is in general point dependent) one-
dimensional body. However, if the bar is made of the same material throughout,
whereby the heat capacity c(x) and the thermal conductivity (x) are point
independent, (2.1.5) reduces to

t
=

x
2
, 0 < x < l, (2.1.6)
where
=

c
. (2.1.7)
This equation is known as the heat equation, and it describes the evolution
of temperature within a nite, one-dimensional, homogeneous continuum, with
no internal sources of heat, subject to some initial and boundary conditions.
Indeed, in order to determine uniquely the temperature (x, t), we must specify
the temperature distribution along the bar at the initial moment, say (x, 0) =
g(x) for 0 x l. In addition, we must tell how the heat is to be transmitted
through the boundaries. We already know that no heat may be transmitted
through the lateral surface but we need to impose boundary conditions at the ends
of the bar. There are two particularly relevant physical types of such conditions.
We may for example assume that
(l, t) = (t) (2.1.8)
which means that the right hand end of the bar is kept at a prescribed temperature
(t). Such a condition is called the Dirichlet boundary condition. On the other
hand, the Neumann boundary condition requires specifying how the heat ows
out of the bar. This means prescribing the ux
26 2. THE DIFFUSION EQUATION
q(l, t) = (l)

x
(l, t) = (t). (2.1.9)
at the right hand end. In particular, (t) 0 corresponds to insulating the right
hand end of the bar. If both ends are insulated we deal with the homogeneous
Neumann boundary conditions.
Remark 2.1. Other boundary conditions like the periodic one are also pos-
sible.
2.2. Separation of Variables
The most basic solutions to the heat equation (2.1.6) are obtained by using
the separation of variables technique, that is, by seeking a solution in which the
time variable t is separated from the space variable x. In other words, assume
that
(x, t) = T(t)u(x), (2.2.1)
where T(t) is a x-independent function while u(x) is a time-independent function.
Substituting the separable solution into (2.1.6) and gathering the time-dependent
terms on one side and the x-dependent terms on the other side we nd that the
functions T(t) and u(x) must solve an equation
T

T
=
u

u
. (2.2.2)
The left hand side of equation (2.2.2) is a function of time t only. The right hand
side, on the other hand, is time independent while it depends on x only. Thus,
both sides of equation (2.2.2) must be equal to the same constant. If we denote
the constant as and specify the initial condition
(x, 0) = u(x), 0 x l, (2.2.3)
we obtain that
(x, t) = e
t
u(x) (2.2.4)
solves the heat equation (2.1.6) provided we are able to nd u(x) and such that
u

= u (2.2.5)
2.2. SEPARATION OF VARIABLES 27
along the bar. This is an eigenvalue problem for the second order dierential
operator K
d
2
dt
2
with the eigenvalue and the eigenfunction u(x). The
particular eigenvalues and the corresponding eigenfunctions will be determined
by the boundary conditions that u inherits from . Once we nd all eigenval-
ues and eigenfunctions we will be able to write the general solution as a linear
combinations of basic solutions (2.2.4).
Homogeneous Boundary Conditions.
Let us consider a simple Dirichlet boundary value problem for the heat con-
duction in a (uniform) bar held at zero temperature at both ends, i.e.,
(0, t) = (l, t) = 0, t 0, (2.2.6)
where initially
(x, 0) = g(x), 0 < x < l. (2.2.7)
This amounts, as we have explained earlier, to nding the eigenvalues and the
eigenfunctions of (2.2.5) subject to the boundary conditions
u(0) = u(l) = 0. (2.2.8)
Notice rst that as evident from the form of the equation (2.2.5) the eigenvalues
must be real. Also, it can be easily checked using the theory of second order
ordinary linear dierential equations with constant coecients that if 0,
then the boundary conditions (2.2.8) yield only the trivial solution u(x) 0.
Hence, the general solution of the dierential equation (2.2.5) is a combination
of trigonometric functions
u(x) = a cos x + b sin x (2.2.9)
where we let =
2
with > 0. The boundary condition u(0) = 0 implies that
a = 0. Because of the second boundary condition
u(l) = b sin l = 0 (2.2.10)
l must be an integer multiple of . Thus, the eigenvalues and the eigenfunctions
of the eigenvalue problem (2.2.5) with boundary conditions (2.2.8) are

i
=
_
i
l
_
2
, u
i
(x) = sin
i
l
x, i = 1, 2, 3, . . . . (2.2.11)
28 2. THE DIFFUSION EQUATION
The corresponding basic solutions (2.2.4) to the heat equation are

i
(x, t) = exp
_

i
2

2
l
2
t
_
sin
i
l
x, i = 1, 2, 3, . . . . (2.2.12)
By linear superposition of these basic solutions we get a formal series
(x, t) =

i=1
a
i
u
i
(x, t) =

i=1
exp
_

i
2

2
l
2
t
_
sin
i
l
x. (2.2.13)
Assuming that the series converges we have a general series solution of the heat
equation with the initial temperature distribution
(x, 0) = g(x) =

i=1
a
i
sin
i
l
x. (2.2.14)
This is a Fourier sine series on the interval [0, l] of the initial condition g(x)
1
. Its
coecients a
i
can be evaluated explicitly thanks to the remarkable orthogonality
property of the eigenfunctions. Indeed, it is a matter of a simple exercise on
integration by parts to show that
_
l
0
sin
k
l
x sin
n
l
xdx = 0 (2.2.15)
only if n = k, and that
_
l
0
sin
2
k
l
x =
l
2
. (2.2.16)
Multiplying the Fourier series of g(x) by the k-th eigenfunction and integrating
over the interval [0, l] one gets that
a
k
=
2
l
_
l
0
g(x) sin
k
l
xdx, k = 1, 2, 3, . . . . (2.2.17)
Example 2.2. Consider the initial-boundary value problem
(0, t) = (2, t) = 0, (x, 0) = g(x) =
_
_
_
x, 0 x 1,
x + 2, 1 x 2,
(2.2.18)
for the heat equation for a homogeneous bar of length 2. The Fourier coecients
of g(x) are
a
2k+2
0, a
2k+1
= (1)
k
8
(2k + 1)
2

2
, k = 0, 1, 2, . . . . (2.2.19)
1
Fourier series are introduced and treated extensively in Appendix B
2.2. SEPARATION OF VARIABLES 29
The resulting series solution is
(x, t) = 8

i=0
(1)
i
(2i + 1)
2

2
exp
_

(2i + 1)
2

2
t
4
_
sin(i +

2
)x. (2.2.20)
Notice rst that although the initial data is piecewise dierentiable the solution
is smooth for any t > 0. Also, as long as the initial prole is integrable (e.g.,
piecewise continuous) on [0, 2] its Fourier coecients are uniformly bounded,
namely:
|a
k
|
_
2
0
|g(x) sin kx| dx
_
2
0
|g(x)| dx M. (2.2.21)
Consequently, the series solution (2.2.20) is bounded by an exponentially decaying
time series
|(x, t)| M

i=0
exp
_

(2i + 1)
2

2
t
4
_
. (2.2.22)
This means that solution decays to the zero temperature prole, a direct conse-
quence of the fact that both ends are hold at zero temperature.
This simple example shows that in the case of homogeneous boundary con-
ditions any initial heat distributed throughout the bar will eventually dissipate
away. Moreover, as the Fourier coecients in (2.2.20) decay exponentially as
t , the solution gets very smooth despite the fact that the initial data was
not. In fact, this is an illustration of the general smoothing property of the heat
equation.
Theorem 2.3. If u(t, x) is a solution to the heat equation with the initial
condition such that its Fourier coecients are uniformly bounded, then for all
t > 0 the solution is an innitely dierentiable function of x. Also, u(t, x) 0
as t , in such a way that there exists K > 0 such that |u(t, x)| < Ke

2
t/l
2
for all t t
0
> 0.
The smoothing eect of the heat equation means that it can be eectively used
to de-noise signals by damping the high frequency modes. This, however, means
also that it is impossible to reconstruct the initial temperature by measuring the
temperature distribution at some later time. The heat equation cannot be run
backwards in time. There is no temperature distribution at t < 0 which would
30 2. THE DIFFUSION EQUATION
produce a non-smooth temperature distribution at t = 0. Had we tried to run it
backwards, we would only get noise due to the fact that the Fourier coecients
grow exponentially as t < 0. The backwards heat equation is ill possed.
Inhomogeneous Boundary Conditions.
There is a simple homogenization transformations that converts a homoge-
neous heat equation with inhomogeneous Dirichlet boundary conditions
(0, t) = (t), (l, t) = (t), t 0, (2.2.23)
into an inhomogeneous heat equation with homogeneous Dirichlet boundary con-
ditions. Suppose
(x, t) = (x, t) (t) +
(t) (t)
l
x (2.2.24)
where (x, 0) = g(x). (x, t) is a solution of a homogeneous heat equation if and
only if (x, t) satises the inhomogeneous equation

t


2

t
2
=

l
x

(2.2.25)
subject to the initial condition
(x, 0) = g(x) (0) +
(0) (0)
l
x, (2.2.26)
where
(0, t) = (0, l) = 0. (2.2.27)
Note that (x, t) is a solution to the homogeneous heat equation if and only if
the Dirichlet boundary conditions are constant. As the homogeneous boundary
conditions are essential in being able to superpose basic solutions (eigensolutions)
the Fourier series method can be used now in conjunction with the separation of
variables to obtain solutions of (2.2.25).
Example 2.4. Consider

t


2

t
2
= x cos t, 0 < x < 1, t > 0, (2.2.28)
subject to the initial condition
(x, 0) = x, (2.2.29)
2.2. SEPARATION OF VARIABLES 31
and the following homogeneous boundary conditions:
(0, t) =

x
(1, t) = 0, t > 0. (2.2.30)
First, let us look for a solution of the homogeneous version of (2.2.28) with the
given boundary conditions (2.2.30) using the separation of variables method. To
this end the reader can easily show that the eigenfunctions are:
u
i
(x) = sin
i
x,
i
=
(2i + 1)
2
, i = 0, 1, 2 . . . . (2.2.31)
By the analogy with the form of the solution to the homogeneous heat equation
let us suppose a solution of (2.2.28) as a series of eigenfunctions
(x, t) =

i=0

i
(t) sin
i
x. (2.2.32)
Also, represent the right-hand side of (2.2.28) as a series of eigenfunctions. Namely,
write
x cos t =
_

i=0
b
i
sin
i
x
_
cos t, (2.2.33)
where
b
i
=
_
1
0
x sin
i
xdx =
(1)
i

2
i
. (2.2.34)
Substituting the solution (2.2.32) with (2.2.33) for its right hand side we are able
to show that the unknown functions
i
(t) satisfy an inhomogeneous ordinary
dierential equation
d
i
dt
+
2
i

i
=
(1)
i

2
i
cos t. (2.2.35)
Using the method of undetermined coecients it is easy to obtain its solution

i
(t) = Ae

2
i
t
+ (1)
i
[
cos t
1 +
4
i
+
sin t

2
i
(1 +
4
i
)
]. (2.2.36)
From the initial condition (2.2.29) and using (2.2.32) one can calculate that
A =
(1)
i+1
(
4
i

2
i
+ 1)

2
i
(
4
i
+ 1)
. (2.2.37)
This enables us to construct the solution (2.2.32).
32 2. THE DIFFUSION EQUATION
Periodic Boundary Conditions.
Heat ow in a circular ring is governed by the same homogeneous heat equa-
tion as is heat conduction in a rod (2.1.6), however, this time subject to periodic
boundary conditions
(, t) = (, t),

x
(, t) =

x
(, t), t 0, (2.2.38)
where < x < is the angular variable, and where we assume that the heat
can only ow along the ring as no radiation of heat from one side of the ring to
another is permitted
2
.
Beneting from the separation of variables technique we are seeking a solution
in the form (x, t) = e
t
u(x). Assuming for simplicity that = 1, we arrive, as
before, at the associated eigenvalue problem
d
2
u
dx
2
+ u = 0, u() = u(), u

() = u

(). (2.2.41)
Its solutions are combinations of trigonometric sine and cosine functions
u
i
(x) = a
i
cos ix + b
i
sin ix, i = 0, 1, 2, . . . , (2.2.42)
with the eigenvalues

i
= i
2
, i = 0, 1, 2, . . . . (2.2.43)
The resulting innite series solution is
(x, t) =
1
2
a
0
+

i=1
e
i
2
t
[a
i
cos ix + b
i
sin ix] . (2.2.44)
If we postulate the initial condition (x, 0) = g(x) the coecients a
i
and b
i
must
be such that
g(x) =
1
2
a
0
+

i=1
[a
i
cos ix + b
i
sin ix] , (2.2.45)
2
The heat conduction equation for a heated ring can easily be derived from the two-
dimensional heat equation

t
=

2

x
2
+

2

y
2
(2.2.39)
by rewriting its right hand side in polar coordinates (r, )

t
=
1
r

r
_
r

r
_
+
1
r
2

2
, (2.2.40)
and assuming that the solution is r independent.
2.3. UNIQUENESS OF SOLUTIONS 33
which is precisely the Fourier series of the initial condition g(x) provided
a
i
=
1

g(x) cos ixdx, b

i
=
1

g(x) sin ixdx, i = 0, 1, 2, . . . . (2.2.46)

2.3. Uniqueness of Solutions
In this section we investigate the uniqueness of solutions to the initial-boundary
value problem for the heat equation. To this end let us consider solutions of the
homogeneous heat equation

t
=

2

x
2
, 0 < x < l, 0 < t < , (2.3.1)
with the initial condition
(x, 0) = g(x), (2.3.2)
and the boundary conditions
(0, t) = (t), (l, t) = (t). (2.3.3)
Suppose that
1
and
2
are two solutions of (2.3.1) both satisfying the initial
condition (2.3.2) and boundary conditions (2.3.3). As the equation (2.3.1) is
linear the function (x, t)
1

2
is also a solution but with the zero initial
prole and the homogeneous boundary conditions.
Let us multiply (2.3.1) by (x, t) and integrate the resulting equation with
respect x on the interval [0, l] to obtain
_
l
0

t
dx =
_
l
0

x
2
dx. (2.3.4)
Assuming that (x, t) is regular enough, and integrating the right-hand side by
parts we reduce the relation (2.3.4) to
1
2
d
dt
_
l
0

2
dx =

l
0

_
l
0
_

x
_
2
dx =
_
l
0
_

x
_
2
dx 0. (2.3.5)
Let
I(t)
1
2
_
l
0

2
dx 0. (2.3.6)
Then,
I(t) I(0) =
_
t
0
_
l
0
_

x
_
2
dxdt 0. (2.3.7)
34 2. THE DIFFUSION EQUATION
However, I(0) = 0 implying that I(t) 0. On the other hand according to its
denition I(t) 0. Hence, I(t) 0. This is possibly only if (x, t) 0 proving
that
1
(x, t) =
2
(x, t) everywhere. Note that the same technique can be used
to prove uniqueness of solutions to other boundary value problems as long as

x
= 0 at x = 0 and x = l.
2.4. Fundamental Solutions
The idea of the fundamental solution of a partial dierential equation is an
extension of the Greens function method for solving boundary value problems of
ordinary dierential equations. To set the stage for further considerations let us
briey review the main points of the that method
3
.
Consider a homogeneous boundary value problem for the linear ordinary dif-
ferential equation
L(u) = (x ), u(0) = u(l) = 0, 0 < x < l, (2.4.1)
where L(u) denotes a linear second-order dierential operator actig on the func-
tion u(x) dened on [0, l] interval, while (x )

(x) is the (Dirac) delta

function at . Note that if the boundary conditions are inhomogeneous we can
use the homogenization transformation (2.2.24) to transform the problem into
one with the homogeneous boundary conditions and a dierent inhomogeneous
right hand side.
Let u(x, ) = G(x, ) denote the solution to (2.4.1). This is the Greens
function of this particular boundary value problem. Once we found this solution
we can use linearity to obtain the general solution of
L(u) = f(x), u(0) = u(l) = 0, 0 < x < l, (2.4.2)
in the form of the superposition integral . Indeed, let
u(x)
_
l
0
G(x, )f()d. (2.4.3)
3
Details can be found in Section 1.2
2.4. FUNDAMENTAL SOLUTIONS 35
It is easy to see that u(x) solves the boundary value problem (2.4.2) as
L(u) =
_
l
0
L
x
(G)(x, )f()d =
_
l
0
(x )f()d = f(x) (2.4.4)
and the boundary conditions are satised. L
x
(u) denotes here the partial dier-
ential operator induced by L. We will try to use the same idea in the context of
the heat equation.
Consider rst the initial value problem for the heat conduction in an innite
homogeneous bar subjected initially to a concentrated unit heat source applied
at a point y. We assume for simplicity that the thermal diusivity = 1. This
requires solving the heat equation with the initial condition
u(x, 0) = (x y), < x < . (2.4.5)
To avoid any specic boundary conditions but to guarantee the uniqueness of
solutions (see Section 2.3) we require the solution to be square integrable at all
times, that is
_

|u(x, t)|
2
dx < for all t 0. (2.4.6)
This, in fact, implies that the solution vanishes at innity.
Let us now take the complex separable solution to the heat equation
u(x, t) = e
k
2
t
e
ikx
, (2.4.7)
where, as there are no boundary conditions, there are no restrictions on the choice
of frequencies k. Mimicking the Fourier series superposition solution when there
are innitely many frequencies allowed we may combine these solutions into a
Fourier integral (see Appendix B.5)
u(x, t) =
1

2
_

e
k
2
t
e
ikx

y
(k)dk (2.4.8)
to realize, provided we can dierentiate under the integral, that it solves the heat
equation. Moreover, the initial condition is also satised as
u(x, 0) =
1

2
_

e
ikx

y
(k)dk = (x y), (2.4.9)
36 2. THE DIFFUSION EQUATION
where

y
(k) denotes the Fourier transform of the delta function (x y), that is

y
(k) =
1

2
e
iky
. (2.4.10)
Combining (2.4.9) with (2.4.10) we nd that the fundamental solution of the heat
equation is
F(x y, t) =
1
2
_

e
k
2
t
e
ik(xy)
dk =
1
2

t
e
(xy)
2
4t
. (2.4.11)
It is worth pointing out here that although the individual component of the
Fourier series (2.4.8) are not square integrable the resulting fundamental solu-
tion (2.4.11) is. Another interesting derivation of the fundamental solution based
on the concept of the similarity transformation can be found in [Kevorkian].
Remark 2.5. It is important to point out here that one of the drawbacks of
the heat equation model is - as evident from the form of the fundamental solution
- that the heat propagates at innite speed. Indeed, a very localized heat source
at y is felt immediately at the entire innite bar because the fundamental solution
is at all times nonzero everywhere.
With the fundamental solution F(x y, t) at hand we can now adopt the
superposition integral formula (2.4.3) to construct the solution to the heat con-
duction problem of an innite homogeneous bar with the an arbitrary initial
temperature distribution u(x, 0) = g(x) as
u(x, t) =
1
2

t
_

e
(xy)
2
4t
g(y)dy. (2.4.12)
That is, the general solution is obtained by a convolution of the initial data
with the fundamental solution. In other words, the solution with the initial
temperature prole g(x) is an innite superposition over the entire bar of the
point source solutions of the initial strength
g(y) =
_

(x y)g(x)dx. (2.4.13)
2.4. FUNDAMENTAL SOLUTIONS 37
Inhomogeneous Heat Equation for the Innite Bar.
The Greens function method can also be used to solve the inhomogeneous
heat conduction problem
u
t


2
u
x
2
= p(x, t), < x < , t > 0, (2.4.14a)
where the bar is subjected to a heat source p(x, t) which may vary in time and
along its length. We impose the zero initial condition
u(x, 0) = 0, (2.4.14b)
and some homogeneous boundary conditions. The main idea behind this method
is to solve rst the heat equation with the concentrated source applied instanta-
neously at a single moment, and to use the method of superposition to obtain
the general solution with an arbitrary source term. We therefore begin by solving
the heat equation (2.4.14a) with the source term
p(x, t) = (x y)(t s). (2.4.15)
It represents a unit heat input applied instantaneously at time s and position y.
We postulate the same homogeneous initial and boundary conditions as in the
general case. Let
u(x, t) = G(x y, t s) (2.4.16)
denote the solution to this problem. We will refer to it as the general fundamental
solution or a Greens function. Thanks to the linearity of the heat equation the
solution of the general problem is given by the superposition integral
u(x, t) =
_
t
0
_

G(x y, t s)p(y, s)dyds, (2.4.17)

where the forcing term may be also rewritten by the superposition formula as
p(x, t) =
_

0
_

p(y, s)(t s)(x y)dyds. (2.4.18)

If we replace the zero initial condition by u(x, 0) = f(x), then once again due to
the linearity of the dierential equation we may write the solution as a combina-
tion of a solution to the homogeneous equation with inhomogeneous initial data
38 2. THE DIFFUSION EQUATION
and the solution with the homogeneous initial condition but a nonzero forcing
term
u(x, t) =
_

F(x y, t)f(y)dy +
_
t
0
_

G(x y, t s)p(y, s)dyds. (2.4.19)

To nd the general fundamental solution in an explicit form let us take the
Fourier transform with respect to variable x of both sides of the dierential equa-
tion (2.4.14a) with the forcing term (2.4.15). Using (2.4.10) we nd that
d u
dt
+ k
2
u =
1

2
e
iky
(t s), (2.4.20)
where u(k, t) denotes the Fourier transform of u(x, t), and where k is viewed as
a parameter. This is an inhomogeneous rst order linear ordinary dierential
equation for the Fourier transform of u(x, t) with the initial condition
u(k, 0) = 0 for s > 0. (2.4.21)
Using the integrating factor method with the integrating factor e
k
2
t
we obtain
that
u(k, t) =
1

2
e
k
2
(ts)iky
(t s), (2.4.22)
where (t s) is the usual step function. The Greens function is than obtained
by the inverse Fourier transform
G(x y, t s) =
1

2
_

e
ikx
u(k, t)dk. (2.4.23)
Using the formula (2.4.11) of the fundamental solution we deduce that
G(x y, t s) =
(t s)
2
_

e
ik(xy)+k
2
(ts)
dk (2.4.24)
=
(t s)
2
_
(t s)
exp
_

(x y)
2
4(t s)
_
.
The general fundamental solution (Greens function) is just a shift of the fun-
damental solution for the initial value problem at t = 0 to the starting time
t = s. More importantly, its form shows that the eect of a concentrated heat
source applied at the initial moment is the same as that of a concentrated initial
temperature.
2.4. FUNDAMENTAL SOLUTIONS 39
Finally, the superposition integral (2.4.17) gives us the solution
u(x, t) =
_
t
0
_

p(y, s)
2
_
(t s)
exp
_

(x y)
2
4(t s)
_
dsdy (2.4.25)
of the heat conduction problem for the innite homogeneous bar with a heat
source.
Heat Equation for the Semi-innite Bar.
To illustrate how the Greens function method can be applied in the case of
the semi-innite domain we consider the heat equation with the concentrated
forcing term
u
t


2
u
x
2
= (x y)(t), 0 x < , t > 0 (2.4.26a)
and impose the zero initial condition, i.e., u(x, 0) = 0, and the homogeneous
boundary conditions
u(0, t) = 0, lim
x
u(x, t) = 0. (2.4.26b)
As we have remarked earlier the eect of such a concentrated instantaneous heat
source is the same as that of the concentrated initial distribution. Thus, the only
dierence between this case and the case of the fundamental solution (2.4.5) is
the imposition of the boundary condition at x = 0. One possible way to tackle
this diculty is to consider in place of this semi-innite problem such an innite
domain problem in which the homogeneous boundary condition at x = 0 is
permanently satised.
Hence, consider the heat conduction problem for an innite homogeneous bar
with (t)[(x y) (x +y)] as the forcing term, homogeneous initial condition,
and the homogeneous boundary conditions at innities. In other words, in the
innite domain we apply a unit strength source at x = y, and simultaneously
a negative source of unit strength at x = y. This approach is known as the
method of images. Once again, due to the linearity of the heat equation and
that of the forcing term, the temperature prole at t > 0 will be the sum of
two fundamental solutions F(x y, t) and F(x +y, t) each corresponding to one
of the source terms. In particular, due to the skew-symmetry of these solutions
the combined solution will always be vanishing at x = 0. Moreover since all the
40 2. THE DIFFUSION EQUATION
boundary conditions of the original problem (2.4.26a) are satised, and since the
second source term (t)(x + y) is outside of the original semi-innite domain,
the Greens function
G(x y, t) F(x y, t) F(x + y, t) (2.4.27)
is the solution of (2.4.26a), where the fundamental solution F is dened by (2.4.11).
In conclusion, the solution of the inhomogeneous heat conduction problem for
a semi-innite bar
u
t


2
u
x
2
= p(x, t), 0 x < , t > 0, (2.4.28)
with the initial condition u(x, 0) = 0 and the homogeneous boundary condi-
tions (2.4.26b) has the form
u(x, t) =
_
t
0
_

0
p(y, s)
2
_
(t s)
_
exp
_

(x y)
2
4(t s)
_
exp
_

(x + y)
2
4(t s)
__
dyds.
(2.4.29)
Example 2.6. Suppose that a semi-innite homogeneous bar is initially heated
to a unit temperature along a nite interval [a, b], where a > 0. Assume also that
at x = 0 the temperature is held at zero (by attaching an innite rod of this
temperature) and vanishes at innity. This corresponds to the following initial
value problem for the heat equation:
u
t
=

2
u
x
2
, u(x, 0) = (x a) (x b) =
_

_
0, if 0 < x < a,
1, if a < x < b,
0, if x > b,
(2.4.30a)
with the homogeneous boundary conditions
u(0, t) = 0, lim
x
u(x, t) = 0, t > 0.
The method of images and the superposition formula (2.4.12) yield the solution
u(x, t) =
1
2

t
__
b
a
e

(xy)
2
4t
dy +
_
b
a
e

(xy)
2
4t
_
dy (2.4.31)
=
1
2
_
erf
_
x a
2

t
_
+ erf
_
x + a
2

t
__

1
2
_
erf
_
x b
2

t
_
+ erf
_
x + b
2

t
__
,
2.5. BURGERS EQUATION 41
where the error function
erfz
2

_
z
0
e

2
d. (2.4.32)
Note that the error function is odd and that its asymptotic value at innity is 1.
2.5. Burgers Equation
In this last section we will study the quasilinear version of the diusion equa-
tion
u
t
+ u
u
x

2
u
x
2
= 0, > 0, (2.5.1)
to show how the solution methods developed in previous sections for the heat
equation may be used to obtain solutions for other equations. Also, Burgers
equation is a fundamental example of an evolution equation modelling situations
in which viscous and nonlinear eects are equally important. Moreover, it plays
somewhat important role in discussing discontinuous solutions (shocks) of the
one-dimensional conservation law
u
t
+ u
u
x
= 0, (2.5.2)
a topic which will not be discussed here (see for example [Knobel], [Smoller]).
We start by looking at ways at which the methods for solving the initial-
boundary value problems of heat equations can be used to solve (2.5.1).
The Cole-Hopf Transformation.
This is a change of dependent variable w = W(u) which enables us to trans-
form Burgers equation into the linear diusion equation studied already in this
chapter. Let
u 2
w
x
w
, (2.5.3)
where w
x
denotes partial dierentiation. Calculating all derivatives and substi-
tuting them into (2.5.1) yields
w
x
(w
xx
w
t
) w(w
xx
w
t
)
x
= 0. (2.5.4)
In particular, if w(x, t) solves the diusion equation
w
xx
w
t
= 0, (2.5.5)
the function u(x, t) given by (2.5.3) satises Burgers equation (2.5.1).
42 2. THE DIFFUSION EQUATION
Initial Value Problem on the Innite Domain.
Let us consider the following initial value problem:
u
t
+ u
u
x

2
u
x
2
= 0, u(x, 0) = g(x), < x < , (2.5.6)
and suppose that we are looking for the solutions which satisfy the corresponding
diusion equation (2.5.5). According to (2.5.3), the initial condition for the new
variable w(x, 0) must be such that
g(x)w(x, 0) = 2w
x
(x, 0). (2.5.7)
The general solution of this linear ordinary dierential equation for w(x, 0) is
w(x, 0) = Aexp
_

1
2
_
x
0
g(s)ds
_
, (2.5.8)
where A is a constant, and where we assume that the integral exists. Hence, we
essentially need to solve the following initial value problem for the homogeneous
diusion equation with the inhomogeneous initial condition:
w
xx
w
t
= 0, w(x, 0) = h(x), < x < . (2.5.9)
Its solution has the form of (2.4.12) :
w(x, t) =
1
2

t
_

e
(xy)
2
4t
h(y)dy (2.5.10)
where we replaced t by t Note that the parameter may be eliminated from
the equation, and so from the solution, by an appropriate scaling of variables.
We retain it, however, so we one can later study the asymptotic behavior of
solutions when 0. Dierentiating with respect to x and using the Cole-Hopf
formula (2.5.3) we compute that
u(x, t) =
_

(xy)
t
exp
_
(xy)
2
4t
_
h(y)dy
_

exp
_
(xy)
2
4t
_
h(y)dy
, (2.5.11)
where
h(y) exp
_

1
2
_
x
0
g(s)ds
_
, (2.5.12)
as the constant A cancels out.
2.5. BURGERS EQUATION 43
Boundary Value Problem on a Finite Interval .
Using separation of variables method, we solve here the following initial-
boundary value problem:
u
t
+ u
u
x

2
u
x
2
= 0, u(x, 0) = g(x), 0 < x < a, (2.5.13a)
u(0, t) = u(a, t) = 0, t > 0. (2.5.13b)
After Cole-Hope transformation we obtain the corresponding initial-boundary
value problem for the diusion equation:
w
t
w
xx
= 0, w(x, 0) = Ah(x), 0 < x < a, (2.5.14a)
w
x
(0, t) = w
x
(a, t) = 0, t > 0. (2.5.14b)
As the boundary condition are homogeneous the solution w(x, t) can easily be
derived (see page 27) as
w(x, t) =
a
0
2
+

k=1
a
k
e
(
k
a
)
2
t
cos
k
a
x, (2.5.15)
where
a
k
=
2A
a
_
a
0
h(x) cos
k
a
xdx. (2.5.16)
From the Cole-Hope transformation formula (2.5.3) one now gets the solution to
the initial vale problem (2.5.13)
u(x, t) = 2

k=1
ka
k
exp
_
(
k
a
)
2
t

sin
k
a
x
a
0
2
+

k=1
a
k
exp
_
(
k
a
)
2
t

cos
k
a
x
(2.5.17)
Example 2.7. Consider Burgers equation
u
t
+ uu
x
u
xx
= 0, < x, , (2.5.18)
with the the piecewise initial condition
u(x, 0) = 2(x) 1 =
_
_
_
1, if x < 0
1, if x > 0.
(2.5.19)
The initial condition of the associated diusion equation (2.5.5) may now be
obtained from (2.5.7):
w(x, 0) = Ae
1
2
|x|
. (2.5.20)
44 2. THE DIFFUSION EQUATION
The solution w(x, t) takes the form of (2.4.12) with t replaced by t. Namely,
w(x, t) =
1
2

t
_

e
(xy)
2
4t
e
|y|
2
dy. (2.5.21)
Therefore, the solution of the original initial value problem is given by (2.5.11):
u(x, t) =
_

(xy)
t
exp
_
(xy)
2
4t
_
)e
|y|
2
dy
_

exp
_
(xy)
2
4t
_
e
|y|
2
dy
. (2.5.22)
Integrating independently from to 0 and from 0 to , and using the substi-
tution
=
(x y t)
2

t
,
respectively, we nally obtain
u(x, t) =
e

erfc
_
xt
2

t
_
erfc
_

x+t
2

t
_
e

erfc
_
xt
2

t
_
+ erfc
_

x+t
2

t
_, (2.5.23)
where the complimentary error function
erfc(z) 1 erf(z) =
2

_

z
e

2
d. (2.5.24)