AMSI Jan. 14 – Feb.

8, 2008

Partial Differential Equations

Jerry L. Kazdan
Copyright c 2008 by Jerry L. Kazdan
 Contents

Chapter 1. Introduction 1
1. Functions of Several Variables 2
2. Classical Partial Differential Equations 2
3. Ordinary Differential Equations, a Review 4
Chapter 2. First Order Linear Equations 9
1. Introduction 9
2. The Equation uy = f (x, y) 9
3. A More General Example 11
4. A Global Problem 14
5. Appendix: Fourier series 18
Chapter 3. The Wave Equation 23
1. Introduction 23
2. One space dimension 23
3. Two and three space dimensions 27
4. Energy and Causality 29
5. Variational Characterization of the Lowest Eigenvalue 33
6. Smoothness of solutions 35
7. The inhomogeneous equation. Duhamel’s principle. 35
Chapter 4. The Heat Equation 39
1. Introduction 39
2. Solution for Rn 39
3. Initial-boundary value problems for a bounded region, part 1 42
4. Maximum Principle 43
5. Initial-boundary value problems for a bounded region, part 2 45
6. Appendix: The Fourier transform 46
Chapter 5. The Laplace Equation 49
1. Introduction 49
2. Poisson Equation in Rn 49
3. Mean value property 50
4. Poisson formula for a ball 53
5. Existence and regularity for −∆u + u = f on Tn 55
6. Harmonic polynomials and spherical harmonics 56
7. Dirichlet’s principle and existence of a solution 57
Chapter 6. The Rest 63

iii
 CHAPTER 1

Introduction

Partial Differential Equations (PDEs) arise in many applications to physics, geometry,

and more recently the world of finance. This will be a basic course.
In real life one can find explicit solutions of very few PDEs – and many of these are
infinite series whose secrets are complicated to extract. For more than a century the
goal is to understand the solutions – even though there may not be a formula for the
solution.
The historic heart of the subject (and of this course) are the three fundamental linear
equations: wave equation, heat equation, and Laplace equation along with a few
nonlinear equations such as the minimal surface equation and others that arise from
problems in the calculus of variations.
We seek insight and understanding rather than complicated formulas.

Prerequisites: Linear algebra, calculus of several variables, and basic ordinary dif-
ferential equations. In particular I’ll assume some experience with the Stokes’ and
divergence theorems and a bit of Fourier analysis. Previous acquaintantance with
normed linear spaces will also be assumed. Some of these topics will be reviewed a
bit as needed.

References: For this course, the most important among the following are the texts
by Strauss and Evans.
Strauss, Walter A., Partial Differential Equations: An Introduction, New York, NY:
Wiley, 1992.
John, Fritz. Partial Differential Equations, 4th ed., Series: Applied Mathematical
Sciences, New York, NY: Springer-Verlag.
Axler, S., Bourdin, P., and Ramey, W., Harmonic Function Theory, accessible at
http://www.axler.net/HFT.pdf.
Courant, Richard, and Hilbert, David, Methods of Mathematical Physics, vol II.
Wiley-Interscience, New York, 1962.
Evans, L.C., Partial Differential Equations, American Mathematical Society, Provi-
dence, 1998.
Jost, J., Partial Differential Equations, Series: Graduate Texts in Mathematics, Vol.
214 . 2nd ed., 2007, XIII, 356 p.
Kazdan, Jerry, Lecture Notes on Applications of Partial Differential Equations to
Some Problems in Differential Geometry, available at
http://www.math.upenn.edu/ kazdan/japan/japan.pdf
Gilbarg, D., and Trudinger, N. S., Elliptic Partial Differential Equations of Second
Order, 2 nd Edition, Springer-Verlag, 1983.
1
2 1. INTRODUCTION

1. Functions of Several Variables

Partial differential equations work with functions of several variables, such as u(x, y).
Acquiring intuition about these can be considerably more complicated than functions
of one variable. To test your intuition, here are a few questions concerning a smooth
function u(x, y) of the two variables x, y defined on all of R2 .
Exercises:
1. Say u(x, y) is a smooth function of two variables that has an isolated critical
point at the origin (a critical point is where the gradient is zero). Say as you
approach the origin along any straight line u has a local minimum. Must u have
a local minimum if you approach the origin along any (smooth) curve? Proof or
counter example.

2. There is no smooth function u(x, y) that has exactly two isolated critical points,
both of which are local local minima. Proof or counter example.

3. Construct a function u(x, y) that has exactly three isolated critical points: one
local max, one local min, and one saddle point.

4. A function u(x, y), (x, y) ∈ R2 has exactly one critical point, say at the origin.
Assume this critical point is a strict local minimum, so the second derivative
matrix (or Hessian matrix ).
 
00 uxx uxy
u (x, y) =
uxy uyy
is positive definite at the origin. Must this function have its global minimum at
the origin, that is, can one conclude that u(x, y) > u(0, 0) for all (x, y) 6= (0, 0)?
Proof or counter example.

2. Classical Partial Differential Equations

Three models from classical physics are the source of most of our knowledge of partial
differential equations:
utt = uxx + uyy wave equation
ut = uxx + uyy heat equation
uxx + uyy = f (x, y) Laplace equation
The homogeneous Laplace equation, uxx + uyy = 0, can be thought of as a special
case of the wave and heat equation where the function u(x, y, t) is independent of t.
This course will focus on these equations.
For all of these equations one tries to find explicit solutions, but this can be done only
in the simplest situations. An important goal is to seek qualitative understanding,
even if there are no useful formulas.

Wave Equation: Think of a solution u(x, y, t) of the wave equation as describing

the motion of a drum head Ω at the point (x, y) at time t. Typically one specifies
initial position: u(x, y, 0),
initial velocity: ut (x, y, 0)
boundary conditions: u(x, y, t) for (x, y) ∈ ∂Ω, t ≥ 0
 2. CLASSICAL PARTIAL DIFFERENTIAL EQUATIONS 3

and seek the solution u(x, y, t).

Heat Equation: For the heat equation, u(x, y, t) represents the temperature at
(x, y) at time t. Here a typical problem is to specify
initial temperature: u(x, y, 0)
boundary temperature: u(x, y, t) for (x, y) ∈ ∂Ω, t ≥ 0
and seek u(x, y, t) for (x, y) ∈ Ω, t > 0. Note that if one investigates heat flow on
the surface of a sphere or torus (or compact manifolds without boundary), then there
are no boundary conditions for the simple reason that there is no boundary.

Laplace Equation: It is clear that if a solution u(x, y, t) is independent of t,

so one is in equilibrium, then u is a solution of the Laplace equation (these are
called harmonic functions). Using the heat equation model, a typical problem is the
Dirichlet problem, where one is given
boundary temperature u(x, y, t) for (x, y) ∈ ∂Ω
and one seeks the (equilibrium) temperature distribution u(x, y) for (x, y) ∈ Ω. From
this physical model, it is intuitively plausible that in equilibrium, the maximum (and
minimum) temperatures can not occur at an interior point of Ω unless u ≡ const.,
for if there were a local maximum temperature at an interior point of Ω, then the
heat would flow away from that point and contradict the assumed equilibrium. This
is the maximum principle: if u satisfies the Laplace equation then
min u ≤ u(x, y) ≤ max u for (x, y) ∈ Ω.
∂Ω ∂Ω

Of course, one must give a genuine mathematical proof as a check that the differential
equation really does embody the qualitative properties predicted by physical reasoning
such as this.
For many mathematicians, a more familiar occurrence of harmonic functions is as the
real or imaginary parts of analytic functions. Indeed, one should expect that har-
monic functions have all of the properties of analytic functions — with the important
exception that the product or composition of two harmonic functions is almost never
harmonic (that the set of analytic functions is also closed under products, inverse
(that is 1/f (z)) and composition is a significant aspect of their special nature and
importance).

Some Other Equations: It is easy to give examples of partial differential equations

where little of interest is known. One example is the so-called ultrahyperbolic equation
uww + uxx = uyy + uzz .
As far as I know, this does not arise in any applications, so it is difficult to guess any
interesting phenomena; as a consequence it is of not much interest.
We also know little about the local solvability of the Monge-Ampère equation
uxx uyy − u2xy = f (x, y)
near the origin in the particularly nasty case f (0, 0) = 0, although at first glance
it is not obvious that this case is difficult. This equation arises in both differential
geometry and elasticity – and any results would be interesting to many people.
In partial differential equations, developing techniques are frequently more important
than general theorems.
4 1. INTRODUCTION

Partial differential equations, a nonlinear heat equation, played a central role in the
recent proof of the Poincaré conjecture which concerns characterizing the sphere, S 3 ,
topologically.
They also are key in the Black-Scholes model of how to value options in the stock
market.
Our understanding of partial differential equations is rather primitive. There are fairly
good results for equations that are similar to the wave, heat, and Laplace equations,
but there is a vast wilderness, particularly for nonlinear equations.

3. Ordinary Differential Equations, a Review

Since some of the ideas in partial differential equations also appear in the simpler
case of ordinary differential equations, it is important to grasp the essential ideas in
this case.
We briefly discuss the main ODEs one can solve.
du
a). Separation of Variables. The equation = f (t)g(u) is solved using sep-
dt
aration of variables:
du
= f (t)dt.
g(u)
Now integrate both sides and solve for u. While one can rarely explicitly compute
the integrals, the view is that this is a victory and is as much as one can expect.
du
A special case is + a(t)u = 0, the homogeneous first order linear equation. Sepa-
dt
ration of variables gives Rt
u(t) = e− a(x) dx .
b). First Order Linear Inhomogeneous Equations. These have the form
du
+ a(t)u = f (t).
dt
When I first saw the complicated explicit formula for the solution of this, I thought
it was particularly ugly:
Z t
− t a(x) dx
R Rx
u(t) = e f (x) e a(s) ds dx

but this really is an illustration of a beautiful simple, important, and really useful
general idea: try to transform a complicated problem into one that is much simpler.
Find a function p(t) so that the change of variable
u(t) = p(t)v(t)
reduces our equation to the much simpler
dv
(1.1) = g(t),
dt
which we solve by integrating both sides. Here are the details. Since
Lu = L(pv) = (pv)0 + apv = pv 0 + (p0 + ap)v,
if we pick p so that p0 + ap = 0 then solving Lu = f becomes pv 0 = f which is
just Dv = (1/p)f , where Dv := v 0 , as desired in (1.1). More abstractly, with this
 3. ORDINARY DIFFERENTIAL EQUATIONS, A REVIEW 5

p define the operator Sv := pv which multiplies v by p. The inverse operator is

S −1 w = (1/p)w . The computation we just did says that for any function v
LSv = SDv, that is S −1 LS = D,
so using the change of variables defined by the operator S , the differential operator L
is “similar” to the basic operator D . Consequently we can reduce problems concerning
L to those for D .

Exercise: With Lu := Du + au as above, we seek a solution u(t), periodic with

period 1 of Lu = f , assuming a(t) and f are also periodic, a(t + 1) = a(t) etc. It
will help to introduce the inner product
Z 1
hg, hi = g(t)h(t) dt.
0

We say that g is orthogonal to h if hg, hi = 0. Define the operator L∗ by the rule

L∗ w = −Dw + aw .
a) Show that for all periodic u and w we have hLu, wi = hu, L∗ wi.
b) Show that for a given function f there is a periodic solution of Lu = f if and only
if f is orthogonal to all the (periodic) solutions z of the homogeneous equation
L∗ z = 0.
d2 u
c). 2
+ c2 u = 0, with c 6= 0 a constant. Before doing anything else, we can
dt
rescale the variable t, replacing t by t/c to reduce to the special case c = 1. Using
scaling techniques can lead to deep results.
The operator Lu := u00 + c2 u = 0 has two types of invariance: i). linearity in u and
translation invariance in t.
Linearity in u means that
L(u + v) = Lu + Lv, and L(au) = aLu
for any constant a.
To define translation invariance, introduce the simple translation operator Tα by
(Tα u)(t) = u(t + α)
Then L being translation invariant means that
(1.2) L(Tα u) = Tα L(u)
for “any” function u. There is an obvious group theoretic property: Tα Tβ = Tα+β .
Lemma [Uniqueness] If Lu = 0 and Lv = 0 with both u(0) = v(0) and u0 (0) =
v 0 (0), then u(t) = v(t) for all t.
Proof: Let w = u − v . Introduce the “energy”
E(t) = 21 (w02 + w2 ).
By linearity w 00 + w = 0 so E 0 (t) = w0 (w00 + w) = 0. This proves that E(t) is
a constant, that is, energy is conserved. But w(0) = w 0 (0) = 0 also implies that
E(0) = 0, so E(t) ≡ 0. Consequently w(t) = 0 for all t, and hence u(t) = v(t). 
We now use this. Since cos t and sin t are both solutions of Lu = 0, by linearity
for any constants a and b the function φ(t) := a cos t + b sin t = 0 is a solution of
Lφ(t) = 0. By translation invariance, for any constant α, the function z = cos(t + α)
6 1. INTRODUCTION

satisfies L(z) = 0. Claim: we can find constants a and b so that i) z(0) = φ(0) and
ii) z 0 (0) = φ0 (0). These two conditions just mean

cos(α) = a and − sin(α) = b.

Consequently, by the uniqueness lemma, we deduce the standard trigonometry for-

mula
cos(t + α) = cos α cos t − sin α sin t.
Moral: one can write the general solution of u00 + u = 0 as either

u(t) = C cos(t + α)

for any constants C and α, or as

u(t) = a cos t + b sin t.

Physicists often prefer the first version which emphasises the time invariance, while
mathematicians prefer the second that emphasizes the linearity of L.

Exercise: Consider solutions of the equation

Lu := u00 + b(t)u0 + c(t)u = f (t),

where for some constant M we have | b(t) | < M and | c(t) | < M . Generalize
the uniqueness lemma. [Suggestion. Use the same E(t) (which is an artificial
substitute for “energy”) but this time show that

E 0 (t) ≤ kE(t) for some constant k .

This means [e−kt E(t)]0 ≤ 0. Use this to deduce that E(t) ≤ ekt E(0) for all t ≥ 0, so
the energy can grow at most exponentially].

Exercise: If a map L is translation invariant [see (1.2)], and q(t; λ) := Leλt , show
that q(t; λ) = g(0; λ)eλt . Thus, writing Q(λ) = q(0; λ), conclude that

Leλt = Q(λ)eλt ,

that is, eλt is an eigenfunction of L with eigenvalue Q(λ). You find special solutions
of the homogeneous equation by finding the values of λ where Q(λ) = 0.

Exercise: Use the previous exercise to discuss the second order linear difference
equation u(x + 2) = u(x + 1) + u(x). Then apply this to find the solution of

u(n + 2) = u(n + 1) + u(n), n = 0, 1, 2, . . .

with the initial conditions u(0) = 1, and u(1) = 1.

 3. ORDINARY DIFFERENTIAL EQUATIONS, A REVIEW 7

d). Group Invariance. One can use group invariance as the key to solving
many problems. Here are some examples:
a) au00 + bu0 + cu = 0, where a, b, and c are constants. This linear equation is also
invariant under translation t 7→ t + α, as the example above. One seeks special
solutions that incorporate the translation invariance and then use the linearity to
build the general solution.
b) at2 u00 + btu0 + cu = 0, where a, b, and c are constants. This is invariant under
the similarity t 7→ λt. One seeks special solutions that incorporate the similarity
invariance and then use the linearity to build the general solution.
du at2 + bu2
c) = 2 , where a, b, c, and d are constants. This is invariant under the
dt ct + du2
stretching
t 7→ λt, u 7→ λu, for λ > 0.
In each case the idea is to seek a special solution that incorporates the invariance.
u
For instance, in the last example, try v(t) = .
t
Lie began his investigation of what we now call Lie Groups by trying to use Galois’
group theoretic ideas to understand differential equations.
e). Local vs Global: nonlinear. . Most of the focus above was on local issues,
say solving a differential equation du/dt = f (t, u) for small t. A huge problem
remains to understand the solutions for large t. This leads to the qualitative theory,
and requires wonderful new ideas from topology. Note, however, that for nonlinear
equations (or linear equations with singularities), a solution might only exist for finite
t. The simplest example is
du
= u2 with initial conditions u(0) = c.
dt
The solution, obtained by separation of variables,
c
u(t) =
1 − ct
blows up at t = 1/c.
f ). Local vs Global: boundary value problems. Global issues also arise if
instead of solving an initial value problem one is solving a boundary value problem
such as
d2 u
(1.3) 2
+ a2 u = f (x) with boundary conditions u(0) = 0, u(π) = 0.
dx
Here one only cares about the interval 0 ≤ x ≤ π . As the following exercise illustrates,
even the case when a is a constant gives non-obvious results.

Exercise:
a) In the special case of (1.3) where a = 0, show thatRa solution exists for any f .
π
b) If a = 1, show that a solution exists if and only if 0 f (x) sin x dx = 0.
c) If 0 ≤ a < 1 is a constant, show that a solution exists for any f .

Exercise: [Maximum Principle]

a) Let u(x) be a solution of −u00 + u = 0 for 0 < x < 1. Show that at a point
x = x0 where u has a local maximum, u cannot be positive. If u(x0 ) = 0, what
can you conclude?
8 1. INTRODUCTION

b) Generalize to solutions of −u00 + b(x)u0 + c(x)u = 0, assuming c(x) > 0.

c) Say u and v both satisfy −u00 + u = f (x) for 0 < x < 1 with u(0) = v(0) and
u(1) = v(1). Show that u(x) = v(x) for all 0 ≤ x ≤ 1.
d) Say u is a periodic solution, so u(1) = u(0) and u0 (1) = u0 (0), of
−u00 = 1 − h(x)eu for 0 ≤ x ≤ 1,
where h is also periodic and satisfies 0 < a ≤ h(x) ≤ b. Find upper and lower
bounds for u in terms of the constants a and b.
 CHAPTER 2

First Order Linear Equations

1. Introduction
The local theory of a single first order partial differential equation, such as
∂u ∂u
2 −3 = f (x, y),
∂x ∂y
is very special since everything reduces to solving ordinary differential equations.
However the theory gets more interesting if one seeks a solution in some open set Ω
or if one looks at a “global” problem.
We’ll see some of the standard ideas here. Because the main basic ideas in studying
partial differential equations arise more naturally when one investigates the wave,
Laplace, and heat equations, we will not linger long on this chapter.
The story for a nonlinear equation, such as Inviscid Burger’s Equation, ut + uux = 0,
is much more interesting. We may discuss it later.

2. The Equation uy = f (x, y)

The simplest partial differential equation is surely
(2.1) uy (x, y) = f (x, y),
so given f (x, y) one wants u(x, y). This problem is not quite as trivial as one might
think.

a). The homogeneous equation. If Ω ∈ R2 is a disk, the most general solution

of the homogeneous equation
(2.2) uy (x, y) = 0
in Ω is
(2.3) u(x, y) = ϕ(x),
for any function ϕ depending only on x.
The differential equation asserts that u(x, y) is constant on the vertical lines. The
vertical lines are called the characteristics of this differential equation. If Ω is a more
complicated region (see figure), then the above result is not the
y
most general solution since to the right of the y -axis one can use
two different functions ϕ1 (x) and ϕ2 (x), one in each region. Thus,
Ω
for simplicity we will restrict our attention to “vertically convex” x
domains Ω, that is, ones in which every vertical line intersects Ω
in a single line segment.
Figure 1-1
By analogy with ordinary differential equations, if one prescribes the initial value
(2.4) u(x, 0) = h(x)
9
10 2. FIRST ORDER LINEAR EQUATIONS

on the line y = 0, then in a convex Ω there will be a unique solution of the initial
value problem (2.2) (2.4), namely, the solution is u(x, y) = h(x) for all (x, y) ∈ R 2 .
Again, one must be more careful for more complicated regions.

Exercise: Solve uy + u = 0 with initial condition u(x, 0) = 2x − 3.

Instead of specifying the initial values on the line y = 0, one can prescribe them on
a more general curve α(t) = (x(t), y(t)), say
(2.5) u(x(t), y(t)) = h(t).
In this case, using (2.3) one finds that
(2.6) ϕ(x(t)) = h(t).
However, one cannot use an arbitrary curve α. For an extreme example, if α is
vertical, that is, x(t) = const., then one cannot solve the initial value problem (2.2)
(2.5) unless h(t) ≡const. Thus one cannot prescribe arbitrary initial data on an
arbitrary curve. Even more seriously, if one differentiates (2.6), then one finds
dx dh
(2.7) ϕ0 (x(t)) = ,
dt dt
so if α is vertical for some value t0 , then h0 (t0 ) = 0.
Moral: if α is tangent to a characteristic curve at some point, then one cannot
solve (2.2) with initial condition (2.5) unless h satisfies some additional conditions.
However, if α is nowhere nowhere tangent to a characteristic, then one can solve the
problem — at least locally — given any h.
b). The inhomogeneous equation. One can readily extend this discussion
to the inhomogeneous equation uy = f (x, y). The only new issue is finding one
particular solution of the inhomogeneous equation vy = f . Using this the initial
value problem (2.1), (2.5) is reduced to the homogeneous case (2.2) (2.5) by letting
w = u − v . Then w satisfies the homogeneous equation wy = 0.

Exercise: Solve uy = 1 − 2xy with u(x, 0) = 0.

If one attempts to find a particular solution of the inhomogeneous equation uy = f
in a domain Ω, where f ∈ C∞ (Ω), then vertical convexity is again needed. In fact
Proposition 2.1. One can solve uy = f for all f ∈ C∞ (Ω) ⇐⇒ Ω is vertically
convex.
Proof: ⇐ Just integrate.
y
⇒ A proof can be found in [Hörmander-1, Theorems 3.5.4 and
3.7.2]. However the following argument (I learned it from G. Ω
Schwarz) is adequate for many domains — such 1
p as the region Ω x
in the figure. Let f (x, y) = 1/r , where r = x2 + y 2 . Assume –1
there is a solution u of uy = f . Then for any  > 0,
Z 1 Z 1
1
(2.8) u(, 1) − u(, −1) = uy (, t) dt = dt. √
−1 −1 + t2 2
Now as  → 0, the left side is finite but the right side becomes infinite. This contra-
diction completes the proof.
 3. A MORE GENERAL EXAMPLE 11

3. A More General Example

a). Constant coefficient. Other first order equations can be treated similarly.
For example, the equation
(2.9) ux + 2uy = 0,
can be interpreted as the directional derivative in the direction of the constant vector
field V (x, y) = (1, 2) is zero: V · ∇u = 0. Thus u is constant along lines of slope
2, that is, on lines of the form 2x − y =const. Thus u(x, y) depends only on which
straight line one is on, that is, on the value of 2x − y . Hence u(x, y) = h(2x − y) for
some function h(s). If we also ask, for instance, that u also satisfy the initial condition
u(x, 0) = sin x, then h(2x) = u(x, 0) = sin x so the solution is u(x, y) = sin(x − 21 y)
The lines 2x − y =const. are the characteristics of (2.9). There is an obvious analog
of the vertically convex domains Ω for this equation.
alternate method Another approach to (2.9) is to change to new coordinates so
that (2.9) is the simpler ur = 0. A linear change of variables is clearly appropriate.
r = ax + by
s = cx + dy
By the chain rule
∂u ∂u ∂r ∂u ∂s ∂u ∂u
= + =a +c
∂x ∂r ∂x ∂s ∂x ∂r ∂s
∂u ∂u ∂r ∂u ∂s ∂u ∂u
= + =b +d
∂y ∂r ∂y ∂s ∂y ∂r ∂s
Thus
0 = ux + 2uy = (a + 2b)ur + (c + 2d)us .
Since we want the form ur = 0, let c + 2d = 0 and a + 2b = 1. Then s = d(−2x + y).
The choice of d is unimportant, so we just pick d = 1. The solution of ur = 0 is
u(r, s) = ϕ(s) = ϕ(−2x + y) for any function ϕ. Using the initial condition we find
sin x = u(x, 0) = ϕ(−2x) so ϕ(x) = − sin(x/2).
Consequently, just as above,
u(x, y) = sin(x − 12 y).

The transport equation is

(2.10) ut + cux = 0.
It is a simple model for the following situation. Say one has water flowing at a constant
velocity c in a horizontal cylindrical pipe along the x-axis. Initially , near x = 0 a
colored dye is inserted in the water. Ignoring possible dispersion of the dye, it will
simply flow along the pipe. The concentration u(x, t) of the dye, then is reasonably
described by the transport equation. If the initial concentration is u(x, 0) = f (x),
then by our discussion in the previous paragraph, the solution is
u(x, t) = f (x − ct).
This solution f (x−ct) represents a “density wave” traveling to the right with velocity
c. To see this we sketch u(x, t) = f (x − ct) for a specific choice of f .
12 2. FIRST ORDER LINEAR EQUATIONS

t=0 t =1 t=2
−→ −→

c 2c c 2c c 2c
u(x,0) = f(x) u(x,1) = f(x-c) u(x,2) = f(x–2c)

Exercise: Solve ux + uy = 0 with the initial value u(0, y) = 3 sin y .

Exercise: Solve ux + uy + 2u = 0 with the initial value u(0, y) = 3y .

b). Variable coefficient. First order linear equations with variable coefficients
(2.11) a(x, y)ux + b(x, y)uy = f (x, y)
are also easy to understand. Let V (x, y) be the vector field
V (x, y) = (a(x, y), b(x, y)).
Then aux + buy is just the directional derivative of u along V .
Let (x(t), y(t)) be the integral curves of this vector field
dx dy
(2.12) = a(x, y), = b(x, y).
dt dt
In the homogeneous case f = 0, (2.11) means that u(x, y)is a
solution if and only if it is constant along these curves. These
are the characteristics of (2.11). To solve (2.11) one introduces these characteristic
curves as new coordinates. This will enable us to reduce the equation to the simple
form (2.1).
∂u ∂u
Example 2.2. x +y = f (x, y).
∂x ∂y
The integral curves of the vector field (x, y) are x(t) = x0 et ,
y(t) = y0 et . These are half-rays through the origin (the ori-
gin is a singular point of the vector field so for the present we
delete it from consideration). These curves are the characteris-
tics of our example. These radial lines tell us to introduce polar
coordinates. Then the equation becomes simply
f (r cos θ, r sin θ)
rur = f (r cos θ, r sin θ), that is ur = ,
r
that is exactly of the form (2.1).

Exercise: Use this procedure to obtain solutions of ux − uy = 0. Find a solution

satisfying the initial condition u(x, 0) = xe2 x. Is this solution unique?

Exercise: Solve xux + uy = 0 with u(x, 0) = g(x). Consider solving the same
equation but with the initial condition u(0, y) = h(y).

Exercise: Solve yux − xuy = xy with u(x, 0) = 0 for x > 0. Is your solution valid
for all (x, y) other than the origin?
 3. A MORE GENERAL EXAMPLE 13

For two independent variables, the following small modification is sometimes conve-
nient. Consider for the homogeneous equation
(2.13) a(x, y)ux + b(x, y)uy = 0
We find a solution using our previous observation that the solutions are precisely
those functions that are constant along the characteristic curves. For convenience,
say a(x0 , y0 ) 6= 0 so near (x0 , y0 ) (2.12) can be written as
dy b(x, y)
(2.14) = .
dx a(x, y)
Write the solution of this that passes through the point x = x0 , y = c as y = g(x, c).
Then of course c = g(x0 , c). This curve is the characteristic that passes through
(x0 , c). By the implicit function theorem the equation y = g(x, c) can be solved for c
to rewrite the equation of the characteristics in the form ϕ(x, y) = c. But u = ϕ(x, y)
is constant along these characteristic curves, as is u = F (ϕ(x, y)) for any function
F . Thus u(x, y) = F (ϕ(x, y)) is a solution of the homogeneous equation (2.13) for
any F .

Exercise: Use this procedure to find the general solution of xux + buy = 1. Here
b is a constant. [Suggestion: To apply the method, first find (by inspection) a
particular solution of the homogeneous equation.]

We next extend these ideas to n independent variables x := (x1 , . . . , xn ). Let a1 (x),

. . . , an (x) be real functions. Then locally one can solve
n
X ∂u
(2.15) P u := aj (x) = f (x)
j=1
∂xj

by observing that P u is the directional derivative of u in the direction of the vector

field V (x) := (a1 (x), . . . , an (x)), which is assumed non-singular. Thus P u = f
specifies the directional derivative of u along the integral curves to this vector field.
These integral curves are the solutions of the ordinary differential equation
dxj dx
(2.16) = aj (x(t)), j = 1, . . . , n; that is = V (x).
dt dt
If this vector field is differentiable, then (locally) through every point there is a a
unique solution., this solution being the integral curve of
V through the point. Let S be an n − 1 dimensional sur-
face that is transversal to these integral curves (transversal
means that the integral curves are not tangent to S ). Let
ξ := (ξ1 , . . . , ξn−1 ) be local coordinates on S . Pick the pa-
rameter t so that at t = 0 the integral curves are on S
and let x = x(t, ξ) be the integral curve passing through
ξ when t = 0, so x(0, ξ) = ξ ∈ S . Introduce the new
coordinates (t, ξ) in place of (x1 , . . . , xn ) and notice that S
P ∂u dx P ∂u
ut = j ∂xj dtj = j aj (x) ∂xj . Thus (2.15) assumes the
simple canonical form

∂u
= f (t, ξ).
∂t
14 2. FIRST ORDER LINEAR EQUATIONS

This is exactly the special case (2.1) we have already solved. After one has solved
this, then one reverts to the original x coordinates.

Example: Solve 2ux + yuy − uz = 0 with u(x, y, 0) = (x − y)2 .

To solve this, write V = (2, y, −1). Then the differential equation states that
V · ∇u=0, that is, u is constant along the integral curves of this vector field v .
These integral curves are the characteristics of the differential equation. To find the
characteristics we integrate
dx dy dz
= 2, = y, = −1.
dt dt dt
The solution is
x = 2t + α, y = βet z = −t + γ,
where α, β , and γ are constants. Since the parameter t is arbitrary, we pick t = 0
when z = 0 This gives γ = 0, so z = −t. Then we can replace the parameter t by
−z .
x = −2z + α, y = βe−z .
The solution u(x, y, z) depends only on the integral curve passing through the point
(x, y, z), so it depends only on α = x + 2z and β = yez :
u(x, y, z) = h(x + 2z, yez )
for some function h which we now determine from the initial condition
(x − y)2 = u(x, y, 0) = h(x, y).
Consequently,
u(x, y, z) = (x + 2z − yez )2 .

Exercise: Use this approach to solve 2ux + uy − xuz = 2x with the initial condition
u(x, 0, z) = 0.

Exercise: (Transport equation). Consider functions u(x, t) in the n + 1 variables

(x, t) := (x1 , . . . , xn , t) and let c := (c1 , . . . , cn ) ∈ Rn . Solve the transport equation
in n space variable: ut + c1 ux1 + · · · + cn uxn = 0, that is, ut + c · ∇u = 0, with initial
condition u(x, 0) = F (x). You should be led to the solution u(x, t) = F (x − ct).

Exercise: Discuss how to solve a(x, y)ux + b(x, y)uy + c(x, y)u = f (x, y) by intro-
ducing the characteristics as coordinates and reducing to an equation of the form
ut + p(t, ξ)u = h(t, ξ), which can be solved locally by ODE techniques.
Solve 2ux + uy − xuz + u = 2x with the initial condition u(x, 0, z) = 0.

4. A Global Problem
a). Statement. So far we have limited our discussion to local and “semi-local”
problems. Let T2 = { (x, y) ∈ R2 : 0 ≤ x ≤ 2π, 0 ≤ y ≤ 2π } be the torus, where we
identify x = 0 with x = 2π , and y = 0 with y = 2π . Then C ∞ (T2 ) is just the set of
smooth functions that are 2π periodic in both x and y . Let γ 6= 0 and c be a real
constants. The problem is: given f ∈ C ∞ (T2 ), find u ∈ C ∞ (T2 ) so that
(2.17) Lu := ux − γuy + cu = f (x, y).
 4. A GLOBAL PROBLEM 15

Without loss of generality we may assume that γ > 0, since if it is not, we can replace
y by −y . For c there are two cases, c > 0 and c = 0 (if c < 0, replace x by −x and
y by −y ).
If needed, refer to the Section 5 of this chapter for a speedy tour of Fourier series.
They are essential here.
b). Application of Fourier Series to ux − γuy + cu = f (x, y).
Case 1: c > 0 We seek a solution u of (2.17) as a Fourier series
X
u(x, y) = uk` ei(kx+`y) .
k,`

Differentiating term-by-term we obtain

X
Lu = i(k − γ`)uk` ei(kx+`y) .
Thus, if u is to satisfy (2.17) Lu = f , matching the above Fourier series for Lu with
that (2.33) for f and using the orthogonality of ei(kx+`y) , we find the equation
(2.18) i(k − γ` + c)uk` = fk` , k, ` = 0, ±1, ±2, . . .
Thus,
fk` X fk`
uk` = , so u(x, y) = ei(kx+`y) .
i(k − γ`) + c i(k − γ`) + c
Since c > 0 then | i(k − γ`) + c | ≥ c > 0 so | uk` | ≤ | fk` |/c. Thus, by (2.39) if
f ∈ C ∞ (T2 ) then u ∈ C ∞ (T2 ).

Case 2: c = 0 ∗ If we integrate both sides of the equation over T2 , by the periodicity

of u we immediately find the necessary condition
Z
f (x, y) dx dy = 0.
T2
We seek a solution u of (2.17) as
X
u(x, y) = uk` ei(kx+`y) .
k,`

Formally, after differentiating term-by-term we obtain

X
Lu = i(k − γ`)uk` ei(kx+`y) .
Thus, if u is to satisfy (2.17) Lu = f , matching the above Fourier series for Lu with
that (2.33) for f and using the orthogonality of ei(kx+`y) , we find the equation
(2.19) i(k − γ`)uk` = fk` ,
k, ` = 0, ±1, ±2, . . .
R
If k = ` = 0 this implies f00 = 0, which is just T2 f = 0 dx (again). Moreover, if
γ = p/q is rational, then fk` = 0 whenever k/` = p/q . This gives infinitely many
conditions on f . We will not pursue this case further and consider only the case when
γ is irrational. Then solving (2.19) for uk` and using them in the Fourier series for
u we obtain
X −ifk`
(2.20) u(x, y) = ei(kx+`y) .
k − γ`
∗
The results in the remainder of this section will not be used elsewhere in these notes.
16 2. FIRST ORDER LINEAR EQUATIONS

It remains to consider the convergence of this series. We’ll use Lemma 2.39 to de-
termine if u is smooth. It is clear that there will be trouble if γ can be too-well
approximated by rational numbers, since then the denominator γ − (k/`) will be
small. This is the classical problem of small divisors. Of course every real number
can be closely approximated by a rational number p/q . The issue is how large the
denominator q must be to get a good approximation.

Definition 2.3. An irrational number γ is a Liouville number if for every positive

p k
integer ν and any k > 0 then − γ < ν for infinitely many pairs of integers
q q
(p, q). Thus, γ is not a Liouville number if there exist numbers ν and k so that
p k
− γ > ν for all but a finite number of integers p, q .
q q

Remark 2.4. If γ is a real algebraic number of degree m ≥ 2 over the rational

numbers, then it is not a Liouville number and one may pick ν = n. Here is the
proof. Say the real irrational number γ is a root of
h(x) := an xn + · · · + a0 = 0
with integer coefficients and an 6= 0 and that p/q is so close to γ that h(p/q) 6= 0.
Then
p
| an pn + an−1 pn−1 q + · · · | 1
h = n
≥ n
q q q
since the numerator is a non-zero integer. Thus by the mean value theorem
1 p
p
p
n
≤ h = h − h(γ) = γ − | h0 (c) |
q q q q
for some c between γ and p/q . Thus,
p M
(2.21) γ− ≥ n,
q q
0
where M = 1/| h (c) |.
Liouville used this approach to exhibit the first transcendental number around 1850;
only later were e and π proved to be transcendental. The inequality (2.21) was sub-
sequently improved successively by Thue, Siegel, Dyson, Gelfond, and Roth. Roth’s
final result is that the exponent n on the right side of (2.21) can be replaced by 2.
He was awarded a Fields Medal for this.
P P
Exercise: Show that α := 2−n! and β := 10−n! are Liouville numbers and
hence transcendental.

Exercise: Show that the set of Liouville numbers 0 < γ < 1 has measure zero.

We are now in a position to prove the following striking result on the global solvability
of (2.17) on the torus. It will be convenient to use the following equivalent definition
of a Liouville number:
Lemma 2.5. γ is a Liouville number if for every positive integer ν and any k > 0
p k
then −γ < for infinitely many pairs of integers (p, q).
q (1 + p2 + q 2 )ν/2
 4. A GLOBAL PROBLEM 17

Proof: Since 1/(1 + p2 + q 2 )ν/2 < 1/q ν , a Liouville number in this sense also
satisfies the previous definition. Conversely, if γ is a Liouville number in the previous
sense, then for any integer ν > 0 and any k > 0, we know | γ − p/q | < 1/q ν
for infinitely many p, q . This, with ν = 0 and k = 1, gives the crude estimate
| p | ≤ | p − γq | + | γq | ≤ 1 + γq so 1 + p2 + q 2 ≤ c(1 + q 2 ) (we can let c = 3 + 2γ 2 ,
but this value is unimportant). Since q ≥ 1,
1 2 2c
2
≤ 2
≤ .
q 1+q 1 + p2 + q 2
Thus, if γ is a Liouville number in the previous sense then it is also a Liouville by
this alternate definition.

Theorem 2.6. Let γ be an irrational number. Then the equation (2.17) has a solution
u ∈ C∞ (T2 ) for all f ∈ C∞ (T2 ) if and only if γ is not a Liouville number.

Proof: Say γ is irrational but not a Liouville number. Our goal is to estimate the
growth of the Fourier coefficients in (2.20) and show the series converges to some
smooth u. Since γ is not a Liouville number, there is an integer ν > 0 and a number
k such that for all but a finite number of integers p, q we have
p k
γ− > .
q (1 + p + q 2 )ν/2
2

This will allow us to estimate the denominators in (2.20). To estimate the numerators
we use the above Lemma 2.5. Consequently, for any s there is come constant c(s) so
that
| fk` | c(s)(1 + k 2 + `2 )ν/2 c(s)
| uk` | = ≤ = .
| k − γ` | (1 + k 2 + `2 )s (1 + k 2 + `2 )s−(ν/2)
Since s is arbitrary, by the Lemma again we find that u is smooth. Therefore we can
differentiate (2.20) term-by-term and verify that it satisfies the differential equation
(2.17).
Conversely, if γ is a Liouville number, we will exhibit a smooth f so that with this
f the equation (2.17) has no smooth solution. Since γ is Liouville, for any k > 0,
ν > 0 there are infinitely many pairs of integers (p, q) that satisfy
k
| p − γq | <
(1 + p2 + q 2 )ν/2
Using this with ν = 2j and k = 1, for each j pick one point (pj , qj ).
1
(2.22) | pj − γqj | <
(1 + pj + qj2 )j
2

We may assume that p2j + qj2 < p2j+1 + qj+1 2

to insure that each of these lattice points
selected is associated with only one index j . Define f by setting
1
f p j qj =
(1 + pj + qj2 )j
2

for these lattice points (pj , qj ) while for all other lattice points (k, `) we set fk` = 0.
Then by Lemma 2.5 f is smooth. However from (2.19) and (2.22)
| f p j qj |
| up j q j | = >1
| pj − γqj |
18 2. FIRST ORDER LINEAR EQUATIONS

so u is not smooth. In fact, u is not even in L2 (T2 ). Consequently if γ is a Liouville

number, then there is no smooth solution.

5. Appendix: Fourier series

Many problems in science and technology lead naturally lead one to Fourier series.
They are a critical tool in these notes.
a). Fourier series on S 1 . Say a function f (x) is periodic with period 2π . It
is useful to think of these as functions on the unit circle, S 1 . The simplest functions
with this periodicity are eikx , k = 0, ±1, ±2 . . . (or, equivalently, cos kx and sin kx).
One tries to write f as a linear combination of these functions
X∞
(2.23) f (x) ∼ a` ei`x .
`=−∞

But how can you find the coefficients a` ? What saves the day (and was implicitly
realized by Euler as well as Fourier) is to introduce the inner product
Z π
hϕ, ψi = ϕ(x)ψ(x) dx,
−π

and say that ϕ is orthogonal to ψ when hϕ, ψi = 0. Note that if ϕ and ψ are
orthogonal, then the Pythagorean formula is valid:
kϕ + ψk2 = kϕk2 + kψk2 .
In this inner product eikx and ei`x are orthogonal for integers k 6= `. As in Rn we
also write the norm
Z π 1/2
1/2 2
(2.24) kϕk = hϕ, ϕi = | ϕ(x) | dx
−π

[to keep history in perspective, the inner product in Rn was introduced only in the
late nineteenth century]. Since
√ keikx k2 = heikx , eikx i = 2π , it is convenient to use the
orthonormal functions eikx / 2π and write
X∞
ei`x
(2.25) f (s) ∼ c` √ .
`=−∞
2π
√
Formally taking the inner product of both sides of this with eikx / 2π we obtain the
classical formula for the Fourier coefficients
Z π
eikx e−ikx
(2.26) ck = hf, √ i = f (x) √ dx.
2π −π 2π
Understanding the convergence of the Fourier series (2.25) is fundamental. This
convergence clearly depends on the decay of the Fourier coefficients c` . First we
discuss convergence in the norm (2.24).
Let TN be the (finite dimensional) space of trigonometric polynomials
P whose degree
is at most N , that is, these functions have the form tN (x) = | k |≤N ak eikx . Also let
P eikx
PN (f ) := | k |≤N ck √ 2π
∈ TN be the terms in (2.25) with | k | ≤ N . By (2.26), note
that f − PN (f ) is orthogonal to TN because if | ` | ≤ N then hf − PN (f ), ei`x i = 0.
Thus, we have written
f = PN (f ) + [f − PN (f )]
 5. APPENDIX: FOURIER SERIES 19

as the sum of a function in TN and a function orthogonal to TN so we call PN (f )

the orthogonal projection of f in the subspace TN . Since both PN (f ) and tN are in
TN , then by the Pythagorean theorem
(2.27) kf − tN k2 = kf − PN (f )k2 + kPN (f ) − tN k2 ≥ kf − PN (f )k2 .
In other words, in this norm the function PN (f ) is closer to f than any other function
tN in TN .
The useful Bessel’s inequality is a special case of the computation (2.27) when we
pick tN ≡ 0. It says
X
(2.28) kf k2 ≥ kPN (f )k2 = | c k |2 .
| k |≤N
P
In particular, if f is piecewise continuous, so kf k < ∞, then k | ck |2 converges.
We will use the observation (2.27) to prove that if f ∈ C(S 1 ), that is, if f is con-
tinuous and 2π periodic, then PN (f ) converges to f in our norm (2.24). For this
we use the Weierstrass approximation to uniformly approximate f by some
P theorem ikx
trigonometric polynomial tN (x) = | k |≤N ak e . Thus, given ε > 0 there is some
trigonometric polynomial tN (x) so that maxx∈S √1 | f (x) − tN (x) | < ε (here N is de-
termined by ε). This implies that kf − tn k ≤ 2π ε. Consequently (2.27) gives the
desired convergence in this norm:
√
(2.29) kf − PN (f )k ≤ kf − tN k ≤ 2π ε,
that is, limN →∞ kf − PN (f )k → 0. Since kf k2 = kPN (f )k2 + kf − PN (f )k2 , this also
implies the Parseval identity
Z π X
2 2
(2.30) kf k = lim kPN (f )k , that is | f |2 = | c k |2 .
N →∞ −π k
1
Remark 2.7. While this reasoning used that f ∈ C(S ), it is straightforward to
see that the results hold only assuming f is piecewise continuous (or even square
integrable). For this we use that in the norm (2.24) one can approximate a piecewise
continuous function on [−π, π] by a continuous 2π periodic function.

Exercise: Let f (x) := x for −π ≤ x ≤ π . Compute its Fourier series and the
consequent formula that Parseval’s identity (2.30) gives.
To obtain the uniform
P convergence of (2.25) we will prove that if f is smooth enough
then the series | ck | converges. By the Weierstrass M-Test this will give the uniform
convergence. Thus we need to discuss the decay of the Fourier coefficients c` .
To understand this decay, without worrying about convergence formally take the
derivative of both sides of (2.25) to find that
X∞
0 ei`x
(2.31) f (s) ∼ i`c` √ .
`=−∞
2π
Thus, we suspect that the Fourier coefficients of f 0 are ikck . This is easy to prove
directly if f is periodic and has a continuous derivative; just use integration by parts
in (2.26) to obtain Z π
e−ikx
ck = f 0 (x) √ dx.
−π ik 2π
20 2. FIRST ORDER LINEAR EQUATIONS

Consequently, √
2π
| ck | ≤ max| f 0 (x) |.
|k|
Repeating this procedure, we find that if f ∈ C j (S 1 ) and, with its derivatives, is
periodic, then √
2π
| ck | ≤ j
max| Dj f (x) |.
|k|
Thus, the smoother f is, the faster its Fourier coefficients decay. In particular, if
f ∈ C 2 (S 1 ) (so f , f 0 , and f 00 are periodic), then | ck | ≤ const /k 2 so the series | ck |
converges and hence the Fourier series (2.25) converges uniformly to f .
By being more careful, we can prove that the Fourier series converges uniformly if
f ∈ C 1 (S 1 ); in fact, all we will really require is that f 0 is square integrable. For this
we use Bessel’s inequality (2.28) applied to f 0 :
X
(2.32) | kck |2 ≤ kf 0 k2 .
k

Therefore, by the Schwarz inequality,

X X 1 p
| ck | = p 1 + | k | 2 | ck |
1 + | k | 2
| k |≤N | k |≤N
X 1/2  X 1/2
1 2 2
≤ (1 + | k | )| ck | .
1 + | k |2
| k |≤N | k |≤N
 2

0 2 1/2
The second series converges by (2.32)
P (in fact, it converges to kf k + kf k ),
while the first by comparison to 1/| k |2 .
Exercises:
1. Let ck be the Fourier coefficients of f ∈ C(S 1 ). Show that if f and all of its
derivatives exist and are continuous, then for any integer s ≥ 0 there is a constant
M (s) so that | ck | ≤ M (s)/(1 + | k |2 )s/2 .

2. Conversely, if for any integer s ≥ 0 there is a constant M (s) so that | ck | ≤

M (s)/(1 + | k |2 )s/2 , show that f ∈ C ∞ (S 1 ).

3. If f ∈ C 1 (S 1 , use Fourier series to solve −u00 + u = f on S 1 .

4. If f ∈ C 1 (S 1 , use Fourier series to discuss when one can solve −u00 = f on S 1 .

b). Fourier series on Tn . With the above theory for Fourier series in one
variable as motivation, we now investigate Fourier series in n variables, that is, on
the n-dimensional torus Tn . As a warm-up, in two variables we write
X
(2.33) f (x, y) = fk` ei(kx+`y)
k,`

where the Fourier coefficients are given by

Z
1
fk` = (2π)2 f (x, y)e−i(kx+`y) dx dy.
T2
 5. APPENDIX: FOURIER SERIES 21

Note that we have switched normalization from (2.25) to (2.23).

For n variables, to avoid a mess we introduce some notation. Write x = (x1 , . . . , xn ) ∈
Tn , let k = (k1 , . . . , kn ) be a multi-index (vector) with integer coefficients, | k | =
[k12 + · · · , kn2 ]1/2 and let k · x = k1 x1 + · · · , kn xn . Then the (formal) Fourier series for
f is
X Z
ik·x 1
(2.34) f (x) = fk e where fk = n
f (x)e−ik·x dx.
k
(2π) T n

2 2
RParseval’s2theorem states that if f is square integrable, then in the L norm kf k :=
Tn
| f (x) | dx we have
X
kf k2 = (2π)n | f k |2 .
We next generalize the insight we found with Fourier series in one variable that the
smoothness of a function is encoded in the decay of its Fourier coefficients. If u has
a Fourier series
X
(2.35) u(x) = uk eik·x
k

then, formally,
X
(2.36) (−∆ + 1)u(x) = (1 + | k |2 )uk eik·x .
k

Using this and the divergence theorem we observe that for a real function u
Z Z X
 2 2
  2 
| u | + | ∇u | dx = u − u∆u] dx = (1 + | k |2 )| uk |2 .
Tn Tn k

and
Z Z X
 2 2 2
  
| u | + 2| ∇u | + | ∆u | dx = u(1 − ∆)2 u] dx = (1 + | k |2 )2 | uk |2
Tn Tn k

(for complex functions u one just adds a few complex conjugate signs). Using this
as motivation, define the Sobolev spaces H s (Tn ) to be the space of functions ϕ with
finite norm X
kϕk2H 1 (Tn ) := (1 + | k |2 )s | ϕk |2 < ∞.
k
Of course H 0 (Tn ) = L2 (Tn ).
One thinks of H s (Tn ) as the space of functions on Tn whose derivatives up to order s
are square
P integrable. To rsee this, let r1r = (r1 , . . . , rrnn ) be any multi-index of integers
with rj = r and let D = (∂/∂x1 ) · · · (∂/∂xn ) be a partial derivative of order
r ≤ s. Then, using
X
(2.37) ϕ(x) = ϕk eik·x
k

we have X
Dr ϕ(x) = (i)r (k1r1 · · · knrn )ϕk eik·x .
k
But | k1r1 · · · knrn r
| ≤ | k | so
X
kDr ϕk2L2 ≤ | k |2r | ϕk |2 .
k
22 2. FIRST ORDER LINEAR EQUATIONS

Because r ≤ s we have | k |2r ≤ (1 + | k |2 )s so the above sum is finite.

It should be clear that if f ∈ C s (Tn ), that is, if the derivatives of f up to order s are
continuous and periodic, then f ∈ H s (Tn ) but H s (Tn ) is a much larger space. How-
ever, we will show that if ϕ ∈ H s (T n ) for sufficiently large s, then ϕ P is continuous.
Using the Weierstrass M-test, from (2.37) it is enough to show that | ϕk | < ∞.
But by the Schwarz inequality
X X 1
| ϕk | = 2 s/2
(1 + | k |2 )s/2 | ϕk |
k
(1 + | k | )
X 1/2  X 1/2
1 2 s 2
≤ (1 + | k | ) | ϕk |
k
(1 + | k |2 )s k
X 1/2
1
= kϕkH 2 (Tn ) .
k
(1 + | k |2 )s
P
The series 1/(1 + | k |2 )s converges for all s > n/2. One way to see this is by
comparison with an integral using polar coordinates
Z Z ∞ n−1
dx n−1 r dr
2 s
= Area (S ) .
Rn (1 + | x | ) 0 (1 + r2 )s
This integral converges if 2s − (n − 1) > 1, that is, if s > n/2. Thus, if s > n/2,
there is a constant c so that if ϕ ∈ H s (Tn ) then
kϕkC 0 (Tn ) ≤ ckϕkH s (Tn ) .
One consequence is that if we have a Cauchy sequence in H s (Tn ) and if s > n/2,
then it is Cauchy in C 0 (Tn ) and hence converges uniformly to a continuous function.
This is expressed as the Sobolev embedding theorem: if s > n/2, then C 0 ⊂ H s .
If we apply this to a j th derivative of ϕ, we find the following basic result.
Theorem 2.8. Sobolev inequality
(2.38) If s > j + n/2 then kϕkC j (Tn ) ≤ ckϕkH s (Tn )
and corresponding embedding theorem:
Theorem 2.9. Sobolev embedding theorem If s > j + n/2 then C j ⊂ H s .
This shows that
Corollary 2.10. If ϕ is in H s (T2 ) for all positive integers s, then ϕ is smooth:
ϕ ∈ C ∞ (Tn ). That is, C ∞ (Tn ) = ∩s H s (Tn ).
Equivalently, ϕ ∈ C∞ (Tn ) if and only if its Fourier coefficients decay faster than any
polynomial: for any integer s ≥ 0 there is a constant c(s) so that
c(s)
(2.39) | ϕk | ≤ .
(1 + | k |2 )s/2
 CHAPTER 3

The Wave Equation

1. Introduction
Light and sound are but two of the phenomena for which the classical wave equation
is a reasonable model. This study is one of the real success stories in mathematics
and physics. It has led to the development of many valuable techniques.

2. One space dimension

Upon studying the motion of a vibrating string one is led to the simple differential
equation

(3.1) utt = c2 uxx ,

where u(x, t) denotes the displacement of the string at the point x at time t and
c > 0 is a constant that involves the density and tension of the string. We’ll shortly
show how to interpret c as the velocity of the propagation of the wave.
By making the change of variables ξ = x − ct and η = x + ct in (3.1), we find

uξη = 0.

Integrating this twice reveals the “general” solution u(ξ, η) = f (ξ) + g(η) for any
twice differentiable functions f and g . Untangling the change of variables give us
the general solution of (3.1):

(3.2) u(x, t) = F (x − ct) + G(x + ct).

The term F (x − ct) represents a wave traveling to the right with velocity c. We
saw this in the previous Section a) when we discussed the transport equation. The
sketches there substantiate the statement that c is the velocity of propagation of the
wave. Similarly, G(x + ct) represents a wave traveling to the left with velocity c,
so the general solution is composed of waves traveling in both directions. The two
families of straight lines x − ct =const, and x + ct =const are the characteristics of
the wave equation (3.1).
The formula (3.2) implies an interesting identity we will need t R x+ct=q
soon. Let P , Q, R, and S be the successive vertices of a x-ct=b
Q
parallelogram whose sides consist of the four characteristic lines S
x-ct=a
x − ct = a, x − ct = b, x + ct = p, and x + ct = q . If u(x, t) is x+ct=p P
a solution of the wave equation, then x
(3.3) u(P ) + u(R) = u(Q) + u(S).
This is clear since u(P ) = F (a) + G(p), u(Q) = F (a) + G(q), u(R) = F (b) + G(q),
and u(S) = F (b) + G(p).
23
24 3. THE WAVE EQUATION

a). Infinite string, −∞ < x < ∞. On physical grounds based on experiments

with the motion of particles, we anticipate that we should specify the following initial
conditions:

initial position u(x, 0) = f (x)

(3.4)
initial velocity ut (x, 0) = g(x).

Using these conditions we can uniquely determine F and G in (3.2). This gives
d’Alembert’s solution of the initial value problem (3.1), (3.4):
Z x+ct
f (x + ct) + f (x − ct) 1
(3.5) u(x, t) = + g(s) ds.
2 2c x−ct

Exercise: Consider the equation

(3.6) uxx − 3uxt − 4utt = 0.

a) Find a change of variable ξ = ax + bt, η = cx + dt so that in the new coordinates

the equation is the standard wave equation

uξξ = uηη .

b) Use this to solve (3.6) with the initial conditions

u(x, 0) = x2 , ut (x, 0) = 2ex .

It is instructive to note that the solution at (x, t) depends only

t (x,t) on the initial data in the interval between the points x − ct and
x + ct . This interval is called the domain of dependence of the
x point (x, t).
x-ct x+ct
Similarly, the initial data at a point (x0 , 0) can only affect the
solution u(x, t) for points in the triangular region | x − x0 | ≤ ct.
This region is called the domain of influence of the point (x0 , 0)

(x0 ,0)
b). Semi-infinite string, 0 < x < ∞. Semi-infinite strings can also be treated.
Special Case 1. As an example, we specify zero initial position and velocity but
allow motion of the left end point:

(3.7) u(x, 0) = 0, ut (x, 0) = 0 for x > 0, while u(0, t) = h(t) for t > 0.

We’ll assume that h(0) = 0 to insure continuity at the origin.

 2. ONE SPACE DIMENSION 25

The critical characteristic x = ct is important here. The domain of dependence of any

point to the right of this line does not include the positive t-axis. Thus, if x ≥ ct, then
u(x, t) = 0. Next we consider a point (ξ, τ ) above this characteristic. The simplest
approach is to use the identity (3.3) with a characteristic parallelogram having its base
on the critical characteristic x = ct. The characteristic of the form x − ct = const.
through (ξ, τ ) intersects the t-axis at t = τ − ξ/c. Since
u(x, t) = 0 on the base of this parallelogram, then by (3.3) we t (ξ,τ)
conclude that u(ξ, τ ) = h(τ − ξ/c). To summarize, we see that
( (0,τ−ξ/c )
0 for 0 ≤ t ≤ x x
u(x, t) =
h(t − x/c) for 0 ≤ x ≤ t.

Special Case 2. A clever observation helps to solve the related problem for a
semi-infinite string:
(3.8) u(x, 0) = f (x), ut (x, 0) = g(x) for x > 0, while u(0, t) = 0 for t > 0.
The observation is that for the infinite string −∞ < x < ∞, if the initial position
u(x, 0) = f (x) and velocity ut (x, 0) = g(x) are odd functions, then so is the solution
u(x, t) (proof?). Thus, to solve (3.8) we simply extend f (x) and g(x) to all of R as
odd functions fodd (x) and godd (x) and then use the d’Alembert formula (3.5).

Exercise: Carry this out explicitly for the special case where (3.8) holds with g(x) =
0. In particular, show that for x > 0 and t > 0
(
1
[f (x + ct) + f (x − ct)] for x > ct
u(x, t) = 21
2
[f (ct + x) − f (ct − x)] for x < ct.
The boundary condition at x = 0 serves as a reflection. One can see this clearly from
a sketch, say with the specific function f (x) = (x − 2)(3 − x)) for 2 ≤ x ≤ 3 and
f (x) = 0 for both 0 ≤ x ≤ 2 and x > 3.

General Case. For a semi-infinite string, the general problem with the initial and
boundary conditions
u(x, 0) = f (x), ut (x, 0) = g(x), for x > 0, while u(0, t) = h(t) for t > 0
can now be solved by simply adding the solutions from the two special cases (3.7)
(3.8) just treated.

Exercise: For the semi-infinite string 0 < x, solve the initial-boundary value problem
where the end at x = 0 is free (Neumann boundary condition):
u(x, 0) = f (x), ut (x, 0) = g(x) for x > 0, while ux (0, t) = 0 for t > 0.
c). Finite string: 0 < x < L. In the case of a finite string, such as a violin
string, one must evidently also say something about the motion of the end points
x = 0 and x = L. One typical situation is where we specify the position of these
boundary points:
(3.9) left end: u(0, t) = ϕ(t), right end: u(L, t) = ψ(t).
Thus, if the ends are tied down we would let f (t) = g(t) = 0. The equations (3.9) are
called boundary conditions. As an alternate, one can impose other similar boundary
26 3. THE WAVE EQUATION

conditions. Thus, if the right end is allowed to move freely and the left end is fixed
(ϕ(t) = ψ(t) = 0), then the above boundary conditions become
∂u
(3.10) u(0, t) = 0 (L, t) = 0,
∂x
The condition at x = L asserts the slope is zero there (that the slope at a free end is
zero follows from physical considerations not given here).
There is no simple “closed form” solution of the mixed initial-boundary value problem
(3.1),(3.4), (3.9), even in the case f (t) = g(t) = 0. The standard procedure one uses
is separation of variables (see section c) below). The solution is found as a Fourier
series.
d). Conservation of Energy. For both physical and mathematical reasons, it
is important to consider the energy in a vibrating string. Here we work with an
infinite string.
Z ∞
(3.11) E(t) = 21
(u2t + c2 u2x ) dx
−∞

The term u2t is for the kinetic energy and c2 u2x the potential energy. (Here we have
assumed the mass density is 1; otherwise E(t) should be multiplied by that constant.)
For this integral to converge, we need to assume that ut and ux decay fast enough at
±∞. From the d’Alembert formula (3.5), this follows if the initial conditions decay
at infinity.
We prove energy is conserved by showing that dE/dt = 0. This is a straightforward
computation involving one integration by parts — in which the boundary terms don’t
appear because of the decay of the solution at infinity.
Z ∞ Z ∞
dE 2
(3.12) = (ut utt + c ux uxt ) dx = ut (utt − c2 uxx ) dx = 0,
dt −∞ −∞
where in the last step we used the fact that u is a solution of the wave equation.
Exercises
1. For a finite string 0 < x < L with zero boundary conditions: u(0, t) = u(L, t) =
0, define the energy as
Z L
(3.13) 1
E(t) = 2 (u2t + c2 u2x ) dx.
0
Show that energy is conserved. Show that energy is also conserved if one uses the
free boundary condition ∂u/∂x = 0 at either — or both — endpoints.

2. For a finite string 0 < x < L let u be a solution of the modified wave equation
(3.14) utt + b(x, t)ut = uxx + a(x, t)ux
with zero Dirichlet boundary conditions: u(0, t) = u(L, t) = 0, where we as-
sume that | a(x, t) |, | b(x, t) | < M for some constant M . Define the energy by
(3.13).
a) Show that E(t) ≤ eαt E(0) for some constant α depending only on M . [Sug-
gestion: Use the inequality 2ab ≤ a2 + b2 .]
b) What happens if you replace the Dirichlet boundary conditions by the Neu-
mann boundary condition ∇u · N = 0 on the boundary (ends) of the string?
c) Generalize part a) to a bounded region Ω in Rn .
 3. TWO AND THREE SPACE DIMENSIONS 27

3. Two and three space dimensions

In higher space dimensions, the wave equation is utt = c2 ∆u. Thus, in two and three
space dimensions
(3.15) utt = c2 (uxx + uyy ) and utt = c2 (uxx + uyy + uzz ).
Two dimensional waves on a drum head and waves on the surface of a lake are
described by the first equation while sound and light waves are described by the
second. Just as in the one dimensional case we can prescribe the initial position and
initial velocity of the solution. For instance, in two space variables
(3.16) initial position u(x, y, 0) = f (x, y)
(3.17) initial velocity ut (x, y, 0) = g(x, y).

a). Formulas for the solution in R2 and R3 . There are standard formulas
for the solution of the initial value problem (the term Cauchy problem is often called).
Technical Observation Let x = (x1 , . . . , xn ) ∈ Rn . Say we want to solve
(3.18) utt = ∆u, with u(x, 0) = f (x) and ut (x, 0) = g(x).
Let v(x, t) and w(x, t), respectively, be the solutions of
(3.19) vtt = ∆v, with v(x, 0) = 0 and vt (x, 0) = f (x).
and
(3.20) wtt = ∆w, with w(x, 0) = 0 and wt (x, 0) = g(x).
Then vt also satisfies the wave equation but with initial conditions vt (x, 0) = f (x)
and vtt = 0. Thus the solution of (3.18) is u(x, t) = vt (x, t) + w(x, t). Since both
(3.19) and (3.20) have zero initial position, one can find u(x, t) after solving only
problems like (3.20). This is utilized to obtain the following two formulas.
For the two (space) dimensional wave equation it is
ZZ ZZ
1 ∂ f (ξ, η) 1 g(ξ, η)
(3.21) u(x, y, t) = √ dξ dη + √ dξ dη,
2πc ∂t c 2 t2 − r 2 2πc c 2 t2 − r 2
r≤ct r≤ct

where r2 = (x − ξ)2 + (y − η)2 .

In three (space) dimensions one has
 ZZ  ZZ
1 ∂ 1
(3.22) u(x, y, z, t) = f (ξ, η, ζ) dA + g(ξ, η, ζ) dA,
4πc2 ∂t 4πc2 t
r=ct r=ct

where r2 = (x − ξ)2 + (y − η)2 + (z − ζ)2 and dA is the element of surface area on

the sphere centered at (x, y, z) with radius r = ct.
These are called Kirchoff ’s formulas. It is simplest first to obtain the formula in the
three space dimensional case (3.22), and then obtain the two dimensional case (3.21)
from the special three dimensional case where the initial data f (x, y, z) and g(x, y, z)
are independent of z . This observation is called Hadamard’s method of descent.
28 3. THE WAVE EQUATION

Exercises
1. Maxwell’s equations for an electromagnetic field E(x, t) = (E1 , E2 , E3 ), B(x, t) =
(B1 , B2 , B3 ) in a vacuum are

Et = curl B, Bt = −curl E, div B = 0, div E = 0.

Show that each of the components Ej and Bj satisfy the wave equation utt = uxx .
Also, show that if initially div B(x, 0) = 0 and div E(x, 0) = 0, then div B(x, t) =
0 and div E(x, t) = 0 for all t > 0.

2. Let x = (x1 , . . . , xn ) ∈ Rn and consider the equation

Xn
∂ 2u ∂ 2u
= a jk ,
∂t2 j,k=1
∂x j ∂xk

where the coefficients ajk are constants and (without loss of generality — why?)
akj = ajk . If the matrix A = (ajk ) is positive definite, show there is a change
of variable x = Sy , where S is an n × n invertible matrix, so that in these new
coordinates the equation becomes the standard wave equation
n
∂ 2u X ∂ 2u
= .
∂t2 `=1
∂ 2y
`

b). Domain of dependence and finite signal speed. As before, it is in-

structive to examine intersection of the domain of dependence with the plane t = 0,
in other words, to determine the points x for which the initial
data can influence the signal at a later time. In the two dimen- t
sional case (3.21), the intersection of the domain of dependence (x,y,t)
of the solution at (x0 , y0 , t0 ) with the plane t = 0 is the entire
disc r ≤ ct0 , while in the three dimensional case (3.22), the
domain of dependence is only the sphere r = ct0 , not the solid y
ball r ≤ ct0 . Physically, this is interpreted to mean that two ct
dimensional waves travel with a maximum speed c, but may x
move slower, while three dimensional waves always propagate
with the exact speed c.
This difference in observed in daily life. If one drops a pebble into a calm pond, the
waves (ripples) move outward from the center but ripples persist even after the initial
wave has passed. On the other hand, an analogous light wave, such as a flash of light,
moves outward as a sharply defined signal and does not persist after the initial wave
has passed. Consequently, it is quite easy to transmit high fidelity waves in three
dimensions — but not in two. Imagine the problems in attempting to communicate
using something like Morse code with waves on the surface of a pond.
For the two space variable wave equation, the characteristics are the surfaces of all
light cones (x − ξ)2 + (y − η)2 = c2 t2 . In three space dimensions, the characteristics
are the three dimensional light cones. They are the hypersurfaces in space-time with
(x − ξ)2 + (y − η)2 + (z − ζ)2 = c2 t2 .
 4. ENERGY AND CAUSALITY 29

4. Energy and Causality

One can also give a different prove of results concerning the domain of dependence
using an energy method. This technique is especially useful in more general situations
where explicit formulas such as (3.21)–(3.22) are not available.
Let x = (x1 , . . . , xn ) and let u(x, t) be a smooth solution of the n-dimensional wave
equation

(3.23) utt = c2 ∆u where ∆u = ux1 x1 + · · · + uxn xn ,

with initial data

(3.24) u(x, 0) = f (x), ut (x, 0) = g(x)

( Physicists often write the Laplacian, ∆, as ∇2 . Some mathematicians define ∆

with a minus sign, so for them, in R1 , ∆u = −u00 . Thus, one must be vigilant about
the sign convention.)

a). Conservation of energy. Just as in the one dimensional case, we use the
energy
Z
E(t) = 1
2
(u2t + c2 | ∇u |2 ) dx,
Rn

where we assume the solution is so small at infinity that this integral (and those
below) converges. To prove conservation of energy, we show that dE/dt = 0, The
computation is essentially identical to the one dimensional case we did above, only
here we replace the integration by parts by the divergence theorem.

Z Z
dE 2
= (ut utt + c ∇u · ∇ut ) dx = ut (utt − c2 ∆u) dx = 0.
dt Rn Rn

An immediate consequence of this is the uniqueness result: the wave equation (3.23)
with initial conditions (3.24) has at most one solution. For if there were two solutions,
v and w , then u := v − w would be a solution of the wave equation with zero initial
data, and hence zero initial energy. Since energy, E(t), is conserved, E(t) = 0 for all
time t ≥ 0. Because the integrand in E is a sum of squares, then ut = 0 and ∇u = 0
for all t ≥ 0. Thus u(x, t) ≡const.. However u(x, 0) = 0 so this constant can only
be zero.
In two and three space dimensions this uniqueness also follows from the explicit
formulas (3.21)–(3.22). However, the approach using energy also works when there
are no explicit formulas.
30 3. THE WAVE EQUATION

b). Causality — using energy. Energy gives another approach to determine

the domains of dependence and influence of the wave equation. Let P = (X, T ) be a
point in space-time and let
KP = { (x, t) : kx − Xk ≤ c| t − T | }
future
be the light cone with apex P . This cone has two
parts, that with t > T is the future light cone
while that with t < T is the past light cone. In
the two and three (space) dimensional case, from P=(X, T)
the explicit formulas for the solution we have seen
that the value of the solution at P only depends
on points in the past light cone, and can only in- t = t1
fluence the solution at points in the future light
cone. Here we give another demonstration of this past
that does not rely on the earlier explicit formulas.
First, say t1 < T and let D(t1 ) be the intersection of KP with the plane t = t1 .
Define the “energy” function as
Z
E(t) = 21
(u2t + c2 | ∇u |2 ) dx.
D(t)

Theorem 3.1. If u(x, t) is a solution of the wave equation, and if t1 < t2 < T , then
Z Z
2 2 2
1
2
(ut + c | ∇u | ) dx ≤ 21
(u2t + c2 | ∇u |2 ) dx,
D(t2 ) D(t1 )

that is, energy E(t) is non-increasing for t ≤ T .

Consequently, if for some t1 < T we have u(x, t1 ) = 0 and ut (x, t1 ) = 0 for all
x ∈ D(t1 ), then u(x, t) = 0 for all points in the cone with t1 ≤ t ≤ T .

Proof: We will show that dE(t)/dt ≤ 0 for 0 ≤ t ≤ T . In Rn we use spherical

coordinates centered at X , we have dx = dr dωr , where dωr is the element of “area”
on the n − 1 sphere of radius r . Since the radius of the ball D(t) is c(T − t) we find
that Z c(T −t) Z 
1 2 2 2


E(t) = 2 ut + c | ∇u | dωr dr,
0 S(r)
where S(r) is the n − 1 sphere (in the plane) with radius r and centered at (X, t).
Hence
Z Z
dE 2



= c
ut utt + c ∇u · ∇ut dx − 2 u2t + c2 | ∇u |2 dωc(T −t) .
dt D(t) S(c(T −t)))

Note that the integral on the right is just

Z


u2t + c2 | ∇u |2 dA,
∂D(t)

where dA is the element of “area” on ∂D(t). Since

∇u · ∇ut = ∇ · (ut ∇u) − ut ∆u,
then by the divergence theorem we have
Z Z Z
∇u · ∇ut = ut (∇u · ν) dA − ut ∆u dx,
∂D(t) ∂D(t) D(t)
 4. ENERGY AND CAUSALITY 31

where ν is the unit outer normal vector to ∂D(t). Upon substituting into the formula
for dE/dt, we find
Z Z
0 2


E (t) = c
ut (utt − c ∆u) dx + 2 2cut ∇u · ν − u2t + c2 | ∇u |2 dA.
D(t) ∂D(t)
2
Next, we note that utt = c ∆u so the first integral is zero. For the second term we
use the standard inequality 2ab ≤ a2 + b2 for any real a, b to obtain the estimate
| 2cut ∇u · ν | ≤ +2c| ut ∇u | ≤ u2t + c2 | ∇u |2 .
Consequently, E 0 (t) ≤ 0. This completes the proof.

There are two immediate consequences of the energy inequality of this theorem.
Corollary 3.2 (uniqueness). . There is at most one solution of the inhomogeneous
wave equation utt − c2 ∆u = f (x, t) with initial data (3.24).
Corollary 3.3 (domain of influence). . Let u be a solution of the initial value
problem (3.23)–(3.24). If u(x, 0) and ut (x, 0) are zero outside the ball { kx − Xk <
ρ }, then for t > 0, the solution u(x, t) is zero outside the forward light cone { kx −
Xk < ρ + ct }, t > 0.
Thus, for t > 0, the domain of influence of the ball { kx − Xk < ρ } is contained in
the cone { kx − Xk < ρ + ct } in the sense that if one changes in the initial data only
in this ball, then the solution can change only in the cone.

Exercise: Let u(x, t) be a solution of the wave equation (3.14) for x ∈ R. Use an
energy argument to show that the solution u has the same domain of dependence
and range of influence as in the special case where a(x, t) = b(x, t) = 0.
c). Mixed Initial-Boundary Value Problems. The above formulas (3.21),
(3.22) were for waves in all of space. In the case of a vibrating membrane Ω, we
must also impose boundary values on ∂Ω, the boundary of Ω. Similarly, in the case
of light or sound waves outside of Ω, we put boundary conditions on both ∂Ω and
at “infinity” (this is sometimes referred to as an exterior problem, while a vibrating
membrane is an interior problem. Just as for the vibrating string (... ), two typical
boundary conditions are
u(x, t) = f (x, t) for x ∈ ∂Ω (Dirichlet conditions)
(3.25) ∂u
(x, t) = g(x, t) for x ∈ ∂Ω (Neumann conditions),
∂ν
where ∂/∂ν means the directional derivative in the outer normal direction to ∂Ω. Of
course this presumes that the boundary is smooth enough to have an outer normal
direction. One also has situations where one of these conditions holds on part of the
boundary and the other on another part. The vibrating string (3.10) is an example.
We now restrict our attention to waves in a bounded region Ω, such as a vibrating
membrane, and use the method of separation of variables to solve the wave equation
with homogeneous Dirichlet boundary conditions:
(3.26) utt = ∆u
(3.26a) u(x, t) = 0 for x ∈ ∂Ω,
(3.26b) u(x, 0) = f (x), ut (x, 0) = g(x),
32 3. THE WAVE EQUATION

where we have let c = 1. We seek special standing wave solutions in the form of a
product
(3.27) u(x, t) = W (x)T (t).
If one takes a sequence of photographs of such a solution at various times t1 , t2 , . . .,
then you see the graph of W (x) multiplied by the factor T (t). The wave does not
move horizontally, only up and down. In order to satisfy the boundary condition
(3.26a) we need W (x) = 0 for x ∈ ∂Ω . Substituting (3.27) into the wave equation
we find that
∆W (x) T 00 (t)
= .
W (x) T (t)
Since the left side depends only on x while the right depends only on t, they must
both be equal to a constant, say γ . Thus we obtain the two equations
(3.28) T 00 − γT = 0 ∆W = γW.
We next observe that for a non-trivial solution (3.27) we must have γ < 0. To see
this, multiply ∆W = γW by W and integrate by parts over Ω:
Z Z Z
2
γ W (x) dx = W (x)∆W (x) dx = − | ∇W |2 dx,
Ω Ω Ω
where we use the boundary condition W (x) = 0 on ∂Ω to eliminate the boundary
term. Solving this for γ we clearly see that γ < 0. In view of this, it will be convenient
to write −γ = λ, so λ > 0. Then we have
(3.29) −∆W = λW in Ω w = 0 on ∂Ω
with
Z
| ∇W |2 dx
(3.30) λ = ZΩ .
2
| W | dx
Ω
Thus λ is an eigenvalue of the operator, −∆ with corresponding eigenfunction W (x).
For a membrane Ω, these eigenvalues are essentially the squares of the various fre-
quencies with which the membrane can vibrate and the eigenfunctions are the normal
modes. It turns out that only a discrete sequence of eigenvalues 0 < λ1 ≤ λ2 ≤ · · ·
are possible with λj → ∞ as j → ∞. Write p the corresponding
p eigenfunctions as
ϕj . From (3.28) the functions Tj (t) = aj cos λj t + bj sin λj t so the standing wave
solutions (3.27) are
p p

(3.31) uj (x, t) = aj cos λj t + bj sin λj t ϕj (x),
where the aj and bj are arbitrary constants.
Next we seek the solution of (3.26), (3.26a), (3.26b) as a linear combination of these
special standing wave solutions:
X p p

(3.32) u(x, t) = aj cos λj t + bj sin λj t ϕj (x).
To satisfy the initial conditions (3.26b) we choose the constants aj and bj so that
X X p
f (x) = aj ϕj (x) g(x) = bj λj ϕj (x).
It is always possible to find these constants because the eigenfunctions ϕj are a
complete orthonormal set on L2 (Ω). This series formally satisfies the differential
 5. VARIATIONAL CHARACTERIZATION OF THE LOWEST EIGENVALUE 33

equation, boundary conditions, and initial conditions. If f and g are sufficiently

differentiable, then one can legitimately differentiate the above infinite series term-
by-term to rigorously verify that u(x, t) is an honest solution.
We can carry out these computations in only the simplest situations. The most basic
is for a vibrating string of length π , so we let Ω = { 0 < x < π }. Then (3.29) is
W 00 + λW = 0, W (0) = 0, W (π) = 0.
√ √
Thus W (x) = A cos λt + B sin λt. Now W (0) = 0 implies that A = 0. Then to
obtain a non-trivial solution, W (π) = 0 implies that λk = k 2 , k = 1, 2, . . . so the
eigenfunctions are ϕk (x) = sin kx, k = 1, 2, . . . and the series (3.31) is a classical
Fourier series. The lowest eigenvalue, λ1 , is the fundamental tone of the string while
the higher eigenvalues give the possible “overtones” or “harmonics”.

Exercises:
1. In the above, investigate what happens if you replace the Dirichlet boundary
condition u(x, t) = 0 for x ∈ ∂Ω by homogeneous Neumann boundary condition
∂u/∂N = 0 for x ∈ ∂Ω. Note here that λ = 0 is now an eigenvalue. What is the
corresponding eigenfunction? Carry out the details for a vibrating string on the
interval 0 < x < π .

2. Find the motion u(x, t) of a string 0 ≤ x ≤ π whose motion is damped:

utt + 3ut = uxx ,
with
u(x, 0) = sin 3x − 2 sin 5x, ut x, 0 = 0, u(0, t) = u(π, t) = 0.

3. Prove the uniqueness of this solution of the problem (3.26) by an “energy” argu-
ment using (3.13).

5. Variational Characterization of the Lowest Eigenvalue

The formula (3.30) is essentially identical to the formula λ = hx, Axi/kxk2 for the
eigenvalues of a self-adjoint matrix A. A standard fact in linear algebra is that the
lowest eigenvalue is given by λ1 = minx6=0 hx, Axi/kxk2 (proof?). It is thus natural
to surmise that the lowest eigenvalue of the Laplacian satisfies
Z
| ∇ϕ |2 dx
(3.33) λ1 = min ZΩ ,
| ϕ |2 dx
Ω
1
where the minimum is taken over all C functions that satisfy the Dirichlet boundary
condition ϕ = 0 on ∂Ω. Assuming there is a function ϕ ∈ C 2 (Ω)) ∩ C 1 (Ω) that
minimizes (3.30), we will show that it is an eigenfunction with lowest eigenvalue λ1 .
To see this say such a ϕ minimizes the functional
Z
| ∇v |2 dx
J(v) = ZΩ ,
| v |2 dx
Ω
34 3. THE WAVE EQUATION

so J(ϕ) ≤ J(v) for all v ∈ C 1 (Ω) with v = 0 on ∂Ω. Let F (t) := J(ϕ + th) for any
h ∈ C 1 (Ω) with h = 0 on ∂Ω and all real t. Then F (t) has its minimum at t = 0
so by elementary calculus, F 0 (0) = 0. By a straightforward computation, just as in
the case of matrices, Z
(∇ϕ · ∇h − λ1 ϕh) dx
F 0 (0) = 2 Ω Z .
2
| ϕ | dx
Ω
We integrate the first term in the numerator by parts. There are no boundary terms
since h = 0 on ∂Ω. Thus
Z
[(−∆ϕ − λ1 ϕ)h] dx
0 Ω Z
F (0) = 2 .
2
| ϕ | dx
Ω
0
Since F (0) = 0 for all of our h, we conclude the desired result:
−∆ϕ = λ1 ϕ.
Equation (3.33) is called the variational characterization of the lowest eigenvalue.
There are analogous formulas for higher eigenvalues. Such formulas useful for com-
puting numerical approximations to eigenvalues, and also to prove the existence of
eigenvalues and eigenfunctions. The fraction in (3.33) is called the Raleigh (or
Raleigh-Ritz ) quotient.
Equation (3.33) implies the Poincaré inequality
Z Z
(3.34) | ϕ | ≤ c(Ω) | ∇ϕ |2 dx
2
Ω Ω
1
for all ϕ ∈ C (Ω) that vanish on ∂Ω (these are our admissible ϕ). Moreover, it
asserts that 1/λ1 (Ω) is the best value for the constant c.
It is instructive to give a direct proof of the Poincar’e inequality since it will give an
estimate for the eigenvalue λ1 (Ω). Let V be a vector field on Rn (to be chosen later).
For any of our admissible ϕ, by the divergence theorem
Z Z Z
2
0= ϕ V · N dA = div (ϕ V ) dx = [ϕ2 div V + ϕ∇ϕ · V ] dx,
2
∂Ω Ω Ω
where N is the unit outer normal vector field on ∂Ω. Now pick V so that div = 1,
say V = (x1 − α, 0, . . . , 0). Then picking the constant α appropriately, | V | ≤ w/2,
where w is the width of Ω in the x1 direction. Therefore, by the Schwarz inequality,
Z Z 1/2  Z 1/2
2 w 2 2
[ϕ dx ≤ ϕ dx | ∇ϕ | dx .
Ω 2 Ω Ω

Squaring both sides and canceling gives (3.34) with c = (w/2)2 , so λ1 (Ω) ≥ w2 /4.

Using the variational characterization(3.33), it is easy to prove a physically intuitive

fact about vibrating membranes: larger membranes have a lower fundamental fre-
quency. To prove this, say Ω ⊂ Ω+ are bounded domains with corresponding lowest
eigenvalues λ1 (Ω) and λ1 (Ω+ ). Both of these eigenvalues are minima of the func-
tional (3.33), the only difference being the class of functions for which the minimum
is taken. Now every admissible function for the smaller domain Ω is zero on ∂Ω
 7. THE INHOMOGENEOUS EQUATION. DUHAMEL’S PRINCIPLE. 35

and hence can be extended to the larger domain by setting it to be zero outside Ω.
It is now also an admissible function for the larger domain Ω+ . Therefore, for the
larger domain the class of admissible functions for J(v) is larger than for the smaller
domain Ω. Hence its minimum λ1 (Ω+ ) is no larger than λ(Ω).
Using similar reasoning, one can prove a number of related facts, and also get explicit
estimates for eigenvalues. For instance, if we place Ω ⊂ R2 in a rectangle Ω+ , since
using Fourier series we can compute the eigenvalues for a rectangle, we get a lower
bound for λ(Ω).

6. Smoothness of solutions
From the formula u(x, t) = F (x−ct)+G(x+ct) for the solution of the one dimensional
wave equation, since formally F and G can be any functions, it is clear that a solution
of the wave equation need not be smooth (this is in contrast to the solutions of the
Laplace equation, as we shall see later). In fact, in higher dimensions, even if the
initial data (3.16) are smooth, the solution need not even be continuous. This can be
seen intuitively for three space variables by choosing initial conditions on a sphere so
that light rays are focuses at the origin at a later time. This is commonly done with a
lens. To see this with formulas, notice that for any smooth f ∈ C ∞ (R) the function
f (r + ct)
u(x, y, z, t) = , where r2 = x2 + y 2 + z 2 ,
r
formally satisfies the wave equation utt = c2 ∆u. For small t it is a classical (that
is, C 2 ,) solution even at r = 0 if we pick a smooth function f so that f (s) = 0 for
| s | < 1. The solution represents spherical waves coming to a focus at the origin. For
such f both u(x, y, z, 0) and ut (x, y, z, 0) are smooth everywhere., however, if say
f (2) 6= 0, then at time t = 2/c the solution u(x, y, z, t) will blow-up at the origin.
Nonetheless, one can make both physical and mathematical sense of this physically
common situation. Since energy is conserved, the solution and its first derivatives are
square-integrable. This can be used to define the concept of a weak solution of the
wave equation. We take this up later (see ??).

7. The inhomogeneous equation. Duhamel’s principle.

There are also formulas for the solution of the inhomogeneous wave equation
(3.35) Lu := utt − c2 ∆u = F (x, t).
The approach is analogous to Lagrange’s method of variation of parameters, which
gives a formula for the solution of an inhomogeneous equation such as u00 + u = F (t)
in terms of solutions of the homogeneous equation. The method is called Duhamel’s
principle.
We illustrate it for the wave equation, seeking a solution of (3.35) with initial condi-
tions
u(x, 0) = 0 ut (x, 0) = 0.
Since we are solving a differential equation, it is plausible to find a solution as an
integral in the form
Z t
(3.36) u(x, t) = v(x, t; s) ds
0
36 3. THE WAVE EQUATION

where the function v(x, t; s), which depends on a parameter s, is to be found. This
clearly already satisfies the initial condition u(x, 0) = 0. Working formally, we have
Z t
ut (x, t) = vt (x, t; s) ds + v(x, t; t),
0

so ut (x, 0) = 0 implies v(x, 0; 0) = 0. In fact, we will further restrict v by requiring

that v(x, t; t) = 0 for all t ≥ 0. Then the formula for ut simplifies and
Z t
utt (x, t) = vtt (x, t; s) ds + vt (x, t; s) s=t .
0
The similar formula for ∆u is obvious. Substituting these into the wave equation
(3.35) we want
Z t
F (x, t) = Lu(x, t) = Lv(x, t; s) ds + vt (x, t; s) s=t .
0

This is evidently satisfied if Lv = 0 and vt (x, t; s) s=t = F (x, t) along with v(x, t; t) =
0 for all t ≥ 0.
Because the coefficients in the wave equation do not depend on t, our results can be
simplified a bit by writing v(x, t; s) = w(x, t − s; s) so for each fixed s, the function
w(x, t; s) satisfies
(3.37) wtt = c2 ∆w with w(x, 0, ; s) = 0 and wt (x, 0; s) = F (x, s).
We can now find w by using our earlier formulas. For instance, in three space
variables, from (3.22)
ZZ
1
w(x, t; s) = F (ξ, s) dAξ ,
4πc2 t
kξ−xk=ct

where dAξ is the element of surface area on the sphere centered at x with radius ct,
that is, kξ − xk = ct. Therefore from (3.36)
Z t ZZ
1 1
u(x, t) = F (ξ, s) dAξ ds
4πc2 0 t − s
kξ−xk=c(t−s)
Z t ZZ
1 F (ξ, t − kξ − xk/c)
= dAξ ds.
4πc 0 kξ − xk
kξ−xk=c(t−s)

But in spherical coordinates, the element of volume dξ = cdAξ ds so we finally obtain

ZZZ
1 F (ξ, t − kξ − xk/c)
(3.38) u(x, t) = 2
dξ.
4πc kξ − xk
kξ−xk≤ct

Thus, to solve the inhomogeneous equation we integrate over backward cone kξ−xk ≤
ct, which is exactly the domain of dependence of the point (x, t).
Exercises
1. Use Duhamel’s principle to obtain a formula for the solution of
−u00 + k 2 u = f (x), x ∈ R, with u(0) = 0, u0 (0) = 0.
Similarly, do this for −u00 − k 2 u = f (x).
 7. THE INHOMOGENEOUS EQUATION. DUHAMEL’S PRINCIPLE. 37

2. Use (3.21) to derive the analog of (3.38) for one and two space variables.

3. Let x ∈ Rn .
a) If function w(x) depends only on the distance to the origin, r = kxk, show
that
∂ 2 u n − 1 ∂u
∆u = 2 + .
∂ r r ∂r
b) Investigate solutions u(x, t), x ∈ R3 of the wave equation utt = ∆u where
u(x, t) = v(r, t) depends only on r and t. For instance, let v(r, t) := rw(r, t)
and note that v satisfies a simpler equation. Use this to solve the wave
equation in R3 where the initial data are radial functions:
v(r, 0) = ϕ(r), vt (r, 0) = ψ(r).
[Suggestion: Extend both ϕ and ψ as even functions of r .]
Are there solutions of wt t(r, t) = ∆(r, t) with the form w(r, t) = h(r)g(r − t)?
38
 CHAPTER 4

The Heat Equation

1. Introduction
If we have a body Ω in Rn , then under reasonable assumptions the differential equa-
tion
(4.1) ut = k∆u, x∈Ω
governs the temperature u(x, t) at a point x at time t. Here k > 0, assumed constant
in this example, describes the thermal conductivity of the body. It is large for copper
and small for wood. By scaling x we can let k = 1. From experience in daily life,
everyone has already done many experiments with heat flow. As we will see, to a
surprising extent, the simple model of equation (4.1) embodies this intuition. This
equation also describes diffusion.

2. Solution for Rn
.

a). Homogeneous equation. There are many approaches to get the formula
for the solution of (4.1) in the special case where Ω is all of Rn . Perhaps the most
straightforward – but not the most elementary – is to use the Fourier transform.
R1 We first treat the one dimensional case of an infinite rod −∞ < x < ∞, so the
problem is to solve the standard initial value problem
(4.2) ut = uxx with u(x, 0) = f (x).
Assuming a mild growth condition on f , say it is bounded and continuous, the
solution is
Z ∞
1 −(x−s)2
(4.3) u(x, t) = √ f (s)e 4t ds.
4πt −∞
Before going further it is useful to make some observations based on this formula.
First, it implies that if the initial temperature is non-negative but not identically zero,
then the solution is positive everywhere, even for very small t. Thus, in contrast to
the solution of the wave equation, heat conduction has an infinite signal speed. We
also observe that even if f is, say, only piecewise continuous, the solution is smooth
in both x and t for all t > 0. In fact, it has a power series in x that converges for
all x. Thus, the solution of the heat equation is a “smoothing operator”.
To derive (4.3) for the moment we work formally and assume all integrals make sense.
First take the Fourier transform of ut = uxx with respect to the space variable x,
Z ∞
û(ξ, t) := u(x, t)eix·ξ dx.
−∞
39
40 4. THE HEAT EQUATION

Then from (4.27) in the Appendix to this chapter û(ξ, t) satisfies the ordinary differ-
ential equation
ût = −| ξ |2 û with û(ξ, 0) = fˆ(ξ)
in which ξ appears only as a parameter. It’s solution is
2
û(ξ, t) = e−| ξ | t fˆ(t).
Thus, by Fourier inversion (4.24) and the computation (4.23) we get the desired
formula
Z ∞
1 2
u(x, t) = e−t| ξ | +ix·ξ fˆ(ξ) dξ
2π −∞
Z ∞ Z ∞ 
1 −t| ξ |2 +i(x−y)·ξ
= f (y) e dξ dy
2π −∞ −∞
Z ∞
1 | x−y |2
=√ f (y)e− 4t dy.
4πt −∞
This derivation was purely formal. Since the resulting formula may well hold under
more general conditions than this derivation admits, instead of checking each step
we verify directly that it solves the heat equation and satisfies the initial condition.
By differentiating under the integral we immediately verify that it satisfies the heat
equation ut = uxx for all t > 0. Moreover u is a smooth function of x and t for all
t > 0. It remains to show that limt↓0 u(x, t) = f (x). This is a special case of the next
lemma.
Let ϕλ ∈ C(R) have the properties
(1) ϕ
R λ (x) ≥ 0,
(2) R ϕλ (x) dx = 1, R
(3) For any δ > 0, limλ↓0 | y |≥δ ϕλ (y) dy = 0.
Let Z
(4.4) fλ (x) := f (y)ϕλ (x − y) dy.
R
In applying this to the heat equation we will let
1 | x |2
ϕλ (x) = √ e− 4λ .
4πλ
Comparing with (4.3) we see that fλ (x) = u(x, λ).
Lemma 4.1. If f ∈ C(R) is bounded and ϕ as above, then limλ→0 fλ (x) = f (x),
where the limit is uniform on compact subsets. Moreover, if ϕ is smooth, then so is
fλ .
Proof. To prove the uniform convergence in a compact interval K ∈ R, given
 > 0, use the uniform continuity of the continuous function f on a slightly larger
interval K1 to find δ > 0 so that if x ∈ K and | w | < δ with (x − w) ∈ K1 , then
| f (w) − f (x) | < . Also, say | f (x) | ≤ M . After the change of variable x − y = z
we get
Z Z
fλ (x) − f (x) = [f (y) − f (x)]ϕλ (x − y) dy = [f (x − z) − f (x)]ϕλ (z) dz
ZR R
Z
= [f (x − z) − f (x)]ϕλ (z) dz + [f (x − z) − f (x)]ϕλ (z) dz
| z |<δ | z |≥δ
 2. SOLUTION FOR Rn 41

Thus, Z
| fλ (x) − f (x) | <  + 2M ϕλ (z) dz
| z |≥δ
By Property 3) the last integral can be made arbitrarily small by choosing λ suffi-
ciently small. Since the right hand side is independent of x (as long as x ∈ K ), the
convergence is uniform.
Remark In R the convolution f ∗ g of f and g is defined as
Z
(f ∗ g)(x) = f (y)g(x − y) dy.
R
The definition (4.4) defines fλ as a convolution. Note that f is only continuous but g
is smooth, then f ∗ g is smooth – assuming the integral exists. If the ϕλ are smooth,
the above proof shows that on compact subsets we can uniformly approximated f
by the smooth function fλ . This technique of smoothing (or mollifying) a function
is valuable. Weierstrass used (4.3) in his original proof of what we now call the
Weierstrass Approximation Theorem.

Exercise:
a) Solve ut = uxx + au for x ∈ R, where a = const, with u(x, 0) = f (x). [Sugges-
tion: Let u(x, t) = ϕ(t)v(x, t), picking ϕ cleverly.
b) Solve ut = uxx − bux for x ∈ R, where b = const, with u(x, 0) = f (x). The term
bux introduces convection. [Suggestion: Introduce a moving frame of reference
by letting y = x − bt.]

Rn There is a similar formula for the solution of the heat equation for x =
(x1 , . . . , xn ) in Rn . In this case we seek a solution of
(4.5) ut = ∆u with initial temperature u(x, 0) = f (x).
This solution is given by the formula
Z
1 | x−y |2
− 4t
(4.6) u(x, t) = f (y)e dy.
(4πt)n/2 Rn
To verify this, one uses the routine generalization of the above lemma.

Exercise: Use Fourier transforms to obtain (4.6).

Below we will use the maximum principle to show that with an essential boundedness
assumption, the solution of (4.5) is unique.

b). Inhomogeneous equation. Using Duhamel’s principle it is straightforward

to obtain a formula for the solution of the inhomogeneous equation
(4.7) ut − ∆u = F (x, t) with u(x, 0) = 0.
Seek u in the form Z t
u(x, t) = v(x, t; s) ds.
0
Clearly u(x, 0) = 0. Also, working formally,
Z t
ut = vt (x, t; s) ds + v(x, t; t).
0
42 4. THE HEAT EQUATION

with a similar formula for ∆u. Consequently

Z t
ut − ∆u = [vt − ∆v] ds + v(x, t; t).
0

Since we want to solve ut − ∆u = F , it is natural to specify

vt − ∆v = 0 with v(x, t; s)|s=t = F (x, t).
The function v is given by (4.6) except that we specify the initial temperature at
t = s. Thus the desired solution u(x, t) of (4.7) for x ∈ Rn , t > 0, is
Z t Z
1 | x−y |2
− 4(t−s)
u(x, t) = n/2
f (y, s)e dy ds.
0 [4π(t − s)] Rn

3. Initial-boundary value problems for a bounded region, part 1

To determine the temperature in a bounded region Ω, it is clear that we will need
to know the initial temperature u(x, 0) and also something about the boundary.
Two typical situations are that we might specify the temperature u(x, t) at some
boundary points x while ask that the boundary be insulated at other boundary points.
As mentioned above, at a point where the boundary is insulated, the appropriate
boundary condition is that the directional derivative in the outer normal direction is
zero there: ∂u/∂N = 0.
Thus, if we specify the temperature at all boundary points, we are asking to solve
the heat equation with
(4.8) initial temperature u(x, 0) = f (x) for x ∈ Ω
(4.9) boundary temperature u(x, t) = g(x, t) for x ∈ ∂Ω.
We call (4.9) a Dirichlet boundary condition.
The special case of the boundary condition u(x, t) = g(x) means that the temperature
at all boundary points does not depend on the time. Assuming this, here are two
assertions that are intuitively clear.
• Say the initial and boundary temperatures are at most M . Then at any
time in the future, the maximum temperature is at most M . This is called
the maximum principle. We discuss it in the next section.
• Eventually, the temperature throughout the body tends to some “equilibrium
temperature”, u(x, t) → v(x), where v(x) depends only on the boundary
temperature, not on the initial temperature. This will be treated later in
this chapter.
One test of the mathematical model is to prove these assertions from the data speci-
fied.
Above we specified Dirichlet boundary conditions. As an alternate, on some or all
∂u
of the boundary of Ω one can prescribe the outer normal derivative, ∂N := N · ∇u.
This is the directional derivative in the direction of the outer normal:
∂u
(4.10) = g(x, t), for x ∈ ∂Ω.
∂N
This is called a Neumann boundary condition. The special case of an insulated bound-
∂u
ary, so ∂N = 0, arises frequently.
 4. MAXIMUM PRINCIPLE 43

Mixed boundary conditions

∂u(x, t)
u(x, t) + c(x, t) = g(x, t), for x ∈ ∂Ω
∂N
also arise occasionally.

4. Maximum Principle

To state the maximum principle we introduce some notation. If Ω ∈ Rn is a bounded

connected open set, for a fixed T > 0 let ΩT := Ω × (0, T ] so Ω is a cylinder in
space-time. It’s parabolic boundary is PT = ΩT − ΩT . This consists of the sides and
bottom of the closed cylinder ΩT .
The maximum principle will be a consequence of the assertion
Theorem 4.2. In a bounded open set Ω, if the function w(x, t) satisfies
(4.11) wt − ∆w ≥ 0 for x ∈ ΩT ,
and
(4.12) w(x, 0) ≥ 0 for x ∈ Ω while w(x, t) ≥ 0 for x ∈ ∂Ω, 0≤t≤T
then either w(x, t) > 0 for all x ∈ Ω, 0 < t ≤ T or else w(x, t) ≡ 0 for all x ∈ Ω,
0≤t≤T.
For simplicity we prove only the weaker statement that w(x, t) ≥ 0. First, to make the
proof more transparent first assume that wt − ∆w > 0. Reasoning by contradiction,
say w(x, t) < 0 somewhere in S := { Ω × [0, T ] }. Then it is negative at its absolute
minimum at some interior point (x0 , t0 ) with x0 ∈ ΩT . But at this point, if 0 < t0 <
T , we know that wt = 0, while if t0 = T then wt ≤ 0. Moreover, by the second
derivative test for a minimum we know that ∆w ≥ 0 at x0 . These facts contradict
our assumption that wt − ∆w > 0.
Next, assume only that wt − ∆w ≥ 0. We will use a limiting argument to prove that
w(x, t) ≥ 0. Again by contradiction, say w(x0 , T ) = m < 0 at some interior point
x0 ∈ Ω. Let z(x, t) := w(x, t) − | x − x0 |2 . Pick  > 0 so small that z(x, t) > m on
PT . Then z has its minimum at a point (x1 , t1 ) where x1 ∈ ΩT . Since zt − ∆z > 0,
we can apply the reasoning of the above paragraph to obtain a contradiction.
Corollary 4.3 (Strong Maximum Principle). In ΩT assume the solution u(x, t)of
the heat equation is in C 2 for in x ∈ Ω, C 1 for t in (0, T ] in t. Also assume that
u ∈ C(ΩT ). Then
max u(x, t) = max u(x, t).
ΩT PT

Moreover, if u(x, t) attains its maximum at some point (x0 , t0 ) ∈ ΩT , then u is

constant throughout the cylinder Ωt0 .
a). Applications of the maximum principle. Here are several typical conse-
quences of the maximum principle.
Say
(4.13) ut − k∆u = F (x, t) vt − k∆v = G(x, t)
(4.14) u(x, 0) = f (x) v(x, 0) = g(x) for x ∈ Ω
(4.15) u(x, t) = ϕ(x, t) v(x, t) = ψ(x, t) for x ∈ ∂Ω, t > 0.
44 4. THE HEAT EQUATION

Corollary 4.4 (Comparison of solutions). If

F (x, t) ≥ G(x, t), f (x) ≥ g(x), and ϕ(x, t) ≥ ψ(x, t) for all 0 ≤ t ≤ T,

then u(x, T ) ≥ v(x, T ), with strict inequality holding unless F (x, t) ≡ G(x, t), f (x) ≡
g(x), and ϕ(x, t) ≡ ψ(x, t) for all 0 ≤ t ≤ T .

Corollary 4.5 (Growth estimate). Say | F (x, t) | ≤ M , | f (x) | ≤ c and | ϕ(x, t) | ≤

c. Let w(x, t) be a solution of

(4.16) wt = ∆w + 1 with w(x, 0) = 0 in Ω and w(x, t) = 0, x ∈ ∂Ω.

Then

(4.17) | u(x, t) | ≤ c + M | w(x, t) | for t ≥ 0.

Corollary 4.6 (Uniqueness). There is at most one solution of ut − k∆u = F (x, t)

with

u(x, 0) = f (x) (x ∈ Ω), and u(x, t) = ϕ(x, t) (x ∈ ∂Ω, t > 0).

Corollary 4.7 (Stability). If the functions F , f , and ϕ are perturbed slightly, then
the solution is perturbed only slightly. To be specific, say

| F (x, t) − G(x, t) | < α, | f (x) − g(x) | < β, and | ϕ − ψ | < γ for x ∈ Ω, t ≥ 0.

Then | u(x, t) − v(x, t) | <  for x ∈ Ω, t ≥ o, where  is small if α, β , and γ are

small.

This is essentially just a restatement of (4.17) applied to u − v .

Exercises
1. Prove Corollary 4.

2. Prove Corollary 5.

3. Find an explicit estimate for the solution w(x, t) in (4.16). The estimate will
involve some property of Ω, such as its diameter.

4. Prove Corollary 6.

5. Prove Corollary 7.

b). Symmetry of solutions. Uniqueness is often the easiest approach to show

that a solution possesses some symmetry. One example makes the ideas transparent.
Let Ω ∈ R2 be the rectangle { | x | < 1, 0 < y < 1 } and let γ : Ω → Ω be
the reflection across the y -axis. Assume the initial and boundary temperatures are
invariant under γ , so they are even functions of x. We claim the solution is also
invariant under γ . This is obvious since both u(x, t) and v(x, t) := u(γ(x), t) are
solutions of the heat equation with the same initial and boundary values.
 5. INITIAL-BOUNDARY VALUE PROBLEMS FOR A BOUNDED REGION, PART 2 45

c). Uniqueness in Rn . If Ω is unbounded, such as an infinite rod { −∞ < x <

∞ }, then the simple example u(x, t) := 2t + x2 which satisfies the heat equation but
whose maximum does not occur at t = 0 shows that the maximum principle fails
unless it is modified. However, we can still use it as a tool. To illustrate, we’ll prove a
uniqueness theorem for the initial value problem (4.5) for the heat equation in all of
Rn . We prove uniqueness for this in the class of bounded solutions (one can weaken
2
this to allow u(x, t) ≤ consteconst | x | , see [PW], p. 181, but there are examples of
non-uniqueness if one allows faster growth).
Say u(x, t) satisfies the heat equation ut = ∆u in all of Rn with u(x, 0) = 0
and | u(x, t) | ≤ M . Inside the disk {| x | < a} consider the comparison function
v(x, t; a) := M (| x |2 + 2nt)/a2 . Then v also satisfies the heat equation with
v(x, 0; a) ≥ 0 while v(x, t; a) ≥ M ≥ u(x, t) for | x | = a, t > 0.
Thus by the maximum principle u(x, t) ≤ v(x, t; a) for | x | ≤ a. Fixing (x, t) but
letting a → ∞ we conclude that u(x, t) ≤ 0. Replacing u by −u we then get
u(x, t) = 0 for all t ≥ 0.
Exercises
1. Let u(x, t) be a bounded solution of the heat equation ut = uxx with initial
temperature u(x, 0) = f (x). If f (x) is an odd function of x ∈ R, show that the
solution u(x, t) is also an odd function of x.

2. Semi-infinite interval Solve the heat equation on a half-line: 0 < x < ∞

with u(x, 0) = f (x) for x ≥ 0 and the following conditions:
a) u(x, 0) = f (x) for x ≥ 0 and u(0, t) = 0 for t ≥ 0. [Suggestion: Extend
f (x) cleverly to x < 0.]
b) u(x, 0) = 0 and u(0, t) = g(t). [Suggestion: Let v(x, t) = u(x, t) − g(t).]
c) u(x, 0) = f (x) for x ≥ 0 and u(0, t) = g(t) for t ≥ 0.

5. Initial-boundary value problems for a bounded region, part 2

a). Using separation of variables. We seek special solutions of the heat equa-
tion in a bounded region Ω with zero Dirichlet boundary conditions:
(4.18) ut = ∆u for x ∈ Ω, with u(x, 0) = f (x) and u(x, t) = 0 x ∈ ∂Ω.
Because regions Ω are rarely simple, one can almost never fill-in many details, yet even
working crudely one can get useful information. Just as for the wave equation, one
can use separation of variables to seek special solutions u(x, t) = v(x)T (t) with v = 0
on the boundary of Ω. As before, v must be an eigenfunction vk of the Laplacian,
with eigenvalue λk , that is, −∆vk = λv vk . We may assume the eigenfunctions are
orthonormal. Then Tk (t) = e−λk t so the special solutions are uk (x, t) = vk (x)e−λk t .
We build the general solution as a linear combination:
X
(4.19) u(x, t) = ak vk (x)e−λk t ,

where the ak are found using the initial condition

X
f (x) = u(x, 0) = ak vk (x) so ak = hf, vk i.
46 4. THE HEAT EQUATION

Consequently, working formally,

X XZ
−λk t
(4.20) u(x, t) = hf, vk ivk (x)e = f (y)vk (y)vk (x)e−λk t dy
Z X
(4.21) = f (y)G(x, y)dy, where G(x, y, t) = vk (y)vk (x)e−λk t .

Here G(x, y, t) is called Green’s function for the problem. Because the eigenvalues,
λk are all positive, it is clear from (4.19) that u(x, t) → 0 as t tends to infinity. This
should agree with your physical intuition. The lowest eigenvalue, λ1 , determines the
decay rate.

Exercise: Repeat this using homogeneous Neumann boundary conditions ∂u/∂N =

0 on the boundary. What can you say about limt→∞ u(x, t)?

b). Another approach. Using techniques similar to the energy methods we

used for the wave equation, we can also obtain information about solutions of the
heat equation. These are reasonable exercises.
Exercises
1. Let u(x, t) be a solution of the heat equation ut = ∆u in Ω with u = 0 on ∂Ω.
Define Z
H(t) := 21
u2 (x, t) dx.
Ω
Show that dH/dt ≤ 0. Then use this to prove a uniqueness theorem.

2. [Improvement of the previous Exercise] Use the variational characterization of λ 1

(see our discussion of the wave equation) to show that
dH
≤ −λ1 H(t).
dt
Then use this to show that H(t) ≤ ceλ1 t for some constant c. This proof of decay
is independent of the previous version that used separation of variables.

3. Let u(x, t) be a solution of the heat equation ut = ∆u in Ω with homogeneous

Neumann boundaryRconditions, ∂u/∂N = 0 on ∂Ω, so the boundary is insulated.
Show that Q(t) := Ω u(x, t) dx = constant.

4. Find a modified version of Exercises 1-2 above for the case of homogeneous Neu-
mann boundary conditions.

6. Appendix: The Fourier transform

To derive the standard formula for the solution of the heat equation of an infinite
rod, we used the Fourier transform. Here is a brief summary of basic facts about the
Fourier transform. If u ∈ L1 (Rn ), its Fourier transform û(ξ) is defined as
Z
(4.22) û(ξ) := u(x)e−ix·ξ dx,
Rn

It is evident that | û(ξ) | ≤ kukL1 (Rn ) .

 6. APPENDIX: THE FOURIER TRANSFORM 47

a). A special integral.

Lemma 4.8. Let A be a real n×n positive definite symmetric matrix and b a complex
vector. Then
Z  n  21
−x·Ax+b·x π −1
(4.23) I := e dx = eb·A b/4 ,
Rn det A
where b · x is the usual inner product in Rn .
Proof. Since A is positive definite, it has a positive definite square root P , P 2 =
A; this is obvious in a basis in which A is diagonalized. Make the (real) change of
variables y = P x in the above integral. Then we have dy = (det P ) dx = (det A)1/2 dx
and with γ := 21 P −1 b, by completing the square
x · Ax − b · x = | y |2 − 2γ · y = | y − γ |2 − 41 b · A−1 b.
Let z := y − γ and c := Im{γ}. Then the above integral, I becomes
n Z ∞−icj !
eb·A b/4 Y
−1
−zj2
I= e dzj .
(det A)1/2 j=1 −∞−icj

To complete the computation we need to evaluate the complex integrals on the right.
In the complex ζ plane, integrate around the rectangle with vertices at (±R, ±R−iq),
where R and q are real, and let R → ∞ to conclude that
Z ∞−iq Z ∞
−ζ 2 2 √
e dζ = e−ζ dζ = π.
−∞−iq −∞

Combined with the above formula for I this gives the desired formula.
2
We use this to compute the Fourier transform of ψ(x) = e−| x | /2 :
Z
2 2
(4.24) ψ̂(ξ) = e−| x | /2 − ix·ξ dx = (2π)n/2 e−| ξ | /2 .
Rn
−| x |2 /2
Thus e is an eigenfunction of the Fourier transform operator.

b). Inversion of the Fourier transform. The formula

Z ∞
1
(4.25) u(x) = û(ξ)eix·ξ dξ
(2π)n −∞
shows how to recover a function from its Fourier transform. To prove this, say u ∈
L1 (Rn ) is a bounded function and pick some ψ so that both ψ and ψ̂ are bounded
2
and in L1 (Rn ) (below we make the specific choice ψ(x) = e−| x | /2 ). Use the notation
ψλ (ξ) := ψ(λξ). Then by an easy computation its Fourier transform is ψ̂λ (y) =
λ−n ψ̂(y/λ). Now
Z ∞ Z Z 
ix·ξ −iy·ξ
û(ξ)ψλ (ξ)e dξ = u(y)e dy ψλ (ξ)eix·ξ dξ
−∞ R n R n
Z Z 
−i(y−x)·ξ
(4.26) = u(y) ψλ (ξ)e dξ dy
Rn Rn
Z Z
= u(y)ψ̂λ (y − x) dy = u(x + tλ)ψ̂(t) dt.
Rn Rn
48 4. THE HEAT EQUATION

In this computation we were permitted to interchange the orders of integration since

the integrals all converge absolutely. Because u is bounded, by the dominated con-
vergence theorem we can let λ → 0 to obtain the identity
Z Z
ix·ξ
ψ(0) û(ξ)e dξ = u(x) ψ̂(t) dt.
Rn Rn
−| x |2 /2
Choosing ψ(x) = e and using (4.24) gives the desired Fourier inversion formula,
at least for bounded functions u ∈ L1 (R).
c). Fourier transform of the derivative. One reason the Fourier transform
is so useful when discussing linear differential equations with constant coefficients is
that the Fourier transform changes differentiation into multiplication by a polynomial.
This is easily seen by integrating by parts
Z ∞
(4.27) ∂c
j u(ξ) = ∂j u(x)e−ix·ξ dx = iξj û(ξ).
−∞

[
In particular, (∆u)(ξ) = −| ξ |2 û(ξ). so for any integer k ≥ 0
(1 + | ξ |2 )k û(ξ) = [(1 \
− ∆)k u](ξ).
Therefore, if u ∈ C∞ (Rn ), then for any integer k ≥ 0 there is a constant c depending
on u and k so that
c
(4.28) | û(ξ) | ≤ .
(1 + | ξ |2 )k
It is useful to compare this to the result in Chapter 2 concerning the decay of Fourier
coefficients of smooth functions. They are essentially identical.
 CHAPTER 5

The Laplace Equation

1. Introduction
As we saw in the previous chapter, if v(x, t) is a solution of the heat equation and
if that solution converges to an “equilibrium” state u(x), then u is a solution of the
Laplace equation:
(5.1) ∆u = 0.
These are called harmonic functions.
Harmonic functions are invariant under both translations: x → x − a, orthogonal
transformations: x → Rx, and scalings: x → λx.
Although we will not exploit it here, less obvious is that is the behavior under inver-
sions in the unit sphere: x → x∗ = x/| x |2 . Note that x∗ is on the same ray from
the origin as x and | x∗ || x | = 1. Given a domain Ω, let Ω∗ be its image under this
inversion. For instance, the inversion of the unit ball | x | < 1 is the exterior of this
same ball. In dimension two, harmonic functions are invariant under inversions. For
higher dimensions, define the Kelvin transform by
u(x∗ )
K(u)(x) := .
| x |n−2
If u(x) is harmonic in Ω, then K(u) is harmonic in Ω∗ . This follows from the
identity ∆(K(u)) = K(| x |4 ∆u) which is most easily proved first for homogeneous
polynomials and then use that one can approximate any u ∈ C 2 (in the C 2 norm)
by a polynomial.

In this chapter we will also briefly discuss both harmonic functions and solutions of
the inhomogeneous equation
−∆u = f (x),
which is called the Poisson Equation.

A useful reference for this chapter is the first part of the book
Axler, S., Bourdin, P., and Ramey, Harmonic Function Theory, accessible at
http://www.axler.net/HFT.pdf.

2. Poisson Equation in Rn
We first seek a particular solution of the Poisson Equation in Rn . For this, we look
for a solution of the very special equation
(5.2) −∆Φ = δ0 ,
where δ0 (x) is the Dirac delta measure concentrated at the origin.
Since δ0 (x) = 0 except at x = 0 and since the Laplacian is invariant under orthogonal
transformations, it is plausible to seek a solution Φ(x) of (5.2) as a function depending
49
50 5. THE LAPLACE EQUATION

only on the radial direction r = | x |, so Φ(x) = v(r) is harmonic away from the origin.
By the chain rule,
d2 v n − 1 dv
∆v(r) = 2 + .
dr r dr
Thus we seek solutions of the ordinary differential equation
n−1 0
v 00 + v = 0.
r
This is straightforward and gives
(
a log r + b for n = 2,
v(r) = a
r n−2
+b for n ≥ 3.
To get a solution of (5.2), one lets b = 0 and picks a appropriately to define
(
1
− 2π log| x |, for n = 2
(5.3) Φ(x) = 1
n(n−2)αn | x |n−2
for n ≥ 3,

where αn is the volume of the unit ball B(0, 1) = {x ∈ Rn || x | < 1}, so nαn is the
area of the unit sphere S n−1 = ∂B(0, 1). This function Φ(x) is called the fundamental
solution of the Laplacian.
Since −∆Φ = δ0 , we guess that a solution of −∆u = f is given by
Z
(5.4) u(x) = f (y)Φ(x − y) dy.
Rn

To verify this, it is tempting to take the Laplacian of both sides, but since we believe
∆Φ(x − y) = δx , which is highly singular at y = x, we must proceed more carefully –
and need to assume some smoothness for f (assuming f ∈ C1 is more than enough).
The details of this verification are in many books.

3. Mean value property

The mean value property for a harmonic function u states that u(x) is the average
of its values on any sphere centered at x
Z
1
(5.5) u(x) = u(y) dAy .
Area (∂B(x, r)) ∂B(x,r)
To prove this, let dω be the element of area on the unit sphere; then on ∂B(x0 , r)
we have dA = r n−1 dω ,
Z Z Z
∂u n−1 ∂u(x + rξ)
(5.6) 0= ∆u(y) dy = dA = r dωξ
B(x,r) ∂B(x,r) ∂N | ξ |=1 ∂r
Z 
n−1 d
(5.7) =r u(x + rξ) dωξ .
dr | ξ |=1

Thus the last integral on the right is independent of r . Letting r → 0 we obtain

Z
u(x + rξ) dωξ = Area (∂B(0, 1))u(x),
| ξ |=1

which is (5.5).
 3. MEAN VALUE PROPERTY 51

The solid mean value property is

Z
1
u(x) = u(y) dy.
Vol (B(x, r)) B(x,r)

It follows from the mean value property for spheres by simply multiplying both sides
by Area (∂B(x, r)) and integrating with respect to r .

The maximum principle is an easy consequence. It asserts that if u is harmonic in a

connected bounded open set Ω and continuous in Ω̄, then
max u(x) ≤ max u(x).
Ω̄ ∂Ω

Moreover, if u attains its maximum at an interior point, then u ≡ constant in Ω.

Since u is a continuous function on the compact set Ω̄ and hence attains its maximum
somewhere, we need only prove the second assertion. Say u attains its maximum at
an interior point x0 ∈ Ω and say u(x0 ) = M . Let Q = {x ∈ Ω|u(x) = M }. Since u
is continuous then Q is closed. By the mean value property, Q is open. Since Q is
not empty and Ω is connected, it follows that Q = Ω.
There is an obvious minimum principle which follows by replacing u by −u.

Uniqueness for the Dirichlet problem in a bounded connected region Ω

∆u = f in Ω, with u = ϕ on ∂Ω
is easy. We need only prove that if ∆u = 0 in Ω and u = 0 on ∂Ω, then u ≡ 0.
But if u is not identically zero, it is either positive or negative somewhere inside Ω
and thus attains its maximum or minimum at an interior point. This contradicts the
maximum principle.
One can use an “energy” approach to give an alternative proof. By the divergence
theorem, if u is harmonic in Ω and zero on the boundary, then
Z Z
0= u∆u dx = − | ∇u |2 dx
Ω Ω
so u ≡ constant. But since u = 0 on the boundary, u ≡ 0.
Exercises:
1. Show that this second proof also works with Neumann boundary conditions
∂u/∂N = 0, except that with these boundary conditions we can only conclude
that u ≡ constant. Indeed, if u is any solution, then so is u + const.

2. If in a bounded domain say ∆u = 0 with u = f on the boundary while ∆v = 0

with v = g on the boundary. If f < g what can you conclude? Proof?

3. If u satisfies −∆u ≥ 0, show that the average of u on any sphere is at least

its value at the center of the sphere. Use this to conclude that if u ≥ 0 on the
boundary of a bounded domain Ω, then u ≥ 0 throughout Ω.

4. In a domain Ω ⊂ Rn let u(x) be a solution of −∆u + a(x)u = 0, where a(x) >

0.
a) Show there is no point where u has a positive local maxima (or negative
minima).
52 5. THE LAPLACE EQUATION

b) In a bounded domain, show that there is at most one solution of the Dirichlet
problem

−∆ + a(x)u = F (x) in Ω with u = ϕ on ∂Ω.

[Give two different proofs, one using part a), the other using “Energy.”]

5. In a domain Ω ⊂ Rn let the vector u(x) be a solution of the system of equations

−∆u + A(x)u = 0 with u = 0 on the boundary. Here A(x) is a symmetric
matrix and ∆u means apply ∆ to each component of u; a useful special case is
the system of ordinary differential equations −u00 + A(x)u = 0. Assume A(x) is a
positive definite matrix, show that u ≡ 0. Also, give an example showing that if
one drops the assumption that A(x) is positive definite, then there may be non-
trivial solutions. Suggestion: As just above, there are two distinct approaches,
both useful:
i). Use energy methods directly.
ii). Let ϕ(x) = | ∇u(x) |2 and apply the scalar maximum principle to ∆ϕ.

6. On the torus, T2 , let u be a solution of

−∆u = 1 − h(x)eu ,

where h ∈ C(T2 ), so in particular, h is a periodic function of its variables. If

0 < a ≤ h(x) ≤ b, find upper and lower bounds for u in terms of a and b.

7. Let (aij (x)) be a positive definite n × n matrix for x ∈ Rn . Assume u(x) ∈ C 2

satisfies
X n
∂ 2u
− aij + c(x)u = 0,
i,j=1
∂xi ∂xj

where c(x) > 0.

a) Show that u cannot have a local positive maximum. Also show that u cannot
have a local negative minimum.
b) If a function u satisfies the above equation in a bounded region D ∈ Rn and
is zero on the boundary of the region, show that u(x) is zero throughout the
region.

Using only the solid mean value property one can prove a weak Harnack inequality.
Assume the harmonic function u ≥ 0 in the ball | x − x0 | ≤ R. Then for any point
x1 in this ball

Rn
(5.8) 0 ≤ u(x1 ) ≤ u(x0 ).
(R − | x1 |)n

To prove this, since the ball B(x1 , R − | x1 |) ⊂ B(x0 , R) we use the solid mean value
property in B(x1 , R−| x1 |), the assumption that u ≥ 0, and the mean value property
 4. POISSON FORMULA FOR A BALL 53

a second time to find

Z
1
u(x1 ) = u(x) dx
Vol (B(x1 , R − | x1 |) B(x1 , R−| x1 |)
Z
1
≤ u(x) dx
Vol (B(x1 , R − | x1 |) B(x0 ,R)
Vol (B(x0 , R)) Rn
= u(x0 ) = u(x0 ).
Vol (B(x1 , R − | x1 |) (R − | x1 |)n

Inequality (5.8) quickly implies a Liouville theorem: If u is harmonic on all of Rn

and u ≥ 0, then u(x) ≡ const. Indeed, by letting R → ∞ in (5.8) we find that
u(x1 ) ≤ u(x0 ) for any two points x0 , x1 . Interchanging the roles of these points we
see that u(x0 ) ≤ u(x1 ). Consequently u(x1 ) = u(x0 ).

4. Poisson formula for a ball

There are very few domains Ω for which one has an explicit formula for the solution
u(x)of the Dirichlet problem
(5.9) ∆u = 0 in Ω with u = f on ∂Ω.
A valuable special case is if Ω is a ball B(0, R) ⊂ Rn . Then the solution is given by
the Poisson formula
Z
R 2 − | x |2 f (y)
(5.10) u(x) = n
dA(y).
nαn R ∂B(0,R) | x − y |

The function
R 2 − | x |2
P (x, y) =
nαn R| x − y |n
is called the Poisson kernel.
There are several ways to derive (5.10). If n = 2 one can use separation of variables
in polar coordinates. Other techniques are needed in higher dimensions. The details
are carried out in all standard texts.
The mean value property is the special case of (5.10) where x = 0.

One easy, yet important, consequence of the Poisson formula is that if a function u
is harmonic inside a domain Ω, then it is smooth (C ∞ ) there. To prove this near a
point x consider a small ball B(x0 , R) ⊂ Ω containing x and use (5.10) to obtain a
formula for u in terms of its values on the boundary of the ball:
Z
R 2 − | x |2 u(y)
u(x) = n
dA(y).
nαn R ∂B(x0 ,R) | x − y |

Since y is on the boundary of the ball and x is an interior point, one can repeatedly
differentiate under the integral sign as often as one wishes. By a more careful exami-
nation, one can even see that u(x) is real analytic, that is, locally it has a convergent
power series expansion.
54 5. THE LAPLACE EQUATION

Another consequence of the Poisson formula is a removable singularity assertion. Say

u(x) is harmonic in the punctured disk 0 < | x − x0 | ≤ R and bounded in the disk
| x − x0 | ≤ R. Then u and be extended uniquely to an harmonic function in the
whole disk | x − x0 | ≤ R.
The proof goes as follows. Without loss of generality we may assume that x0 = 0.
Using the Poisson formula, in {| x | ≤ R} we can find a harmonic function v with
v(x) = u(x) for | x | = R. Given any  > 0 let
w(x) = u(x) − v(x) − [Φ(x) − Φ(R)],
where Φ(x) is the fundamental solution (5.3) of the Laplacian. Clearly w(x) = 0
on | x | = R while, since u(x) is bounded, then w(x) < 0 on | x | = δ for δ > 0
sufficiently small. Consequently w(x) ≤ 0 in δ < | x | ≤ R; equivalently, u(x) ≤
v(x) + [Φ(x) − Φ(R)]. Since  is arbitrary, u(x) ≤ v(x) in the annular region
δ < | x | ≤ R.
Similarly, by considering
w(x) = u(x) − v(x) + [Φ(x) − Φ(R)],
we deduce that u(x) ≥ v(x) in this same annular region. Consequently, u(x) = v(x)
in this region. Since we can make δ arbitrarily small and since v(x) is continuous at
the origin, if we define u(0) = v(0), the function u(x) is harmonic throughout the
disk | x | ≤ R.
Remark: In this proof, we could even have allowed u(x) to blow-up near the origin,
as long as it blows-up slower than the fundamental solution Φ(x). To state it we use
“little o” notation:
g(s) = o(h(s)) as s → s0 means lim g(s)/h(s) = 0.
s→s0

For example x2 = o(x) as x → 0. In this notation, the precise assumption needed on

u(x) for a removable singularity is
u(x) = o(Φ(x)) as x → 0.

Exercises:
1. Use separation of variables in polar coordinates to obtain the Poisson formula for
the unit disk in R2 .

2. Use separation of variables in polar coordinates to solve the Dirichlet problem for
the annulus 0 < a2 < x2 + y 2 < 1 in R2 .

3. Let uk be a sequence of harmonic functions that converge uniformly to some

function u(x) in a domain Ω. Show that u is also harmonic.

4. [Harnack inequality] Let u(x) ≥ 0 be harmonic in the ball B(0, R). Use the
Poisson formula to show that
R − |x| R + |x|
Rn−2 u(0) ≤ u(x) ≤ R n−2
u(0).
(R + | x |)n−1 (R − | x |)n−1
 5. EXISTENCE AND REGULARITY FOR −∆u + u = f ON Tn 55

5. Existence and regularity for −∆u + u = f on Tn

We will use Fourier series to solve −∆u + u = f on the torus T n . [See the last
section of Chapter 2 for basics on Fourier series.] This equation is a bit simpler
than ∆u = f since the homogeneous equation ∆u = 0 has the non-trivial solution
u =const. Despite that the solution of −∆u + u = g will be an infinite series, the
results and insight gained are valuable.
a). −∆u + u = f on Tn . If f has a Fourier series (2.34) and we seek a solution
u of
(5.11) −∆u + u = f on Tn
having a Fourier series (2.35), then from (2.36), matching the coefficients we find that
fk
uk =
1 + | k |2
so
X fk
(5.12) u(x) = 2
eik·x .
k
1 + |k|
Moreover, if f ∈ H s (Tn ) then
X | f k |2 X
kϕk2H s+2 (Tn ) = (1 + | k |2 )s+2 2 2
= (1 + | k |2 )s | fk |2 = kf k2H s (Tn ) .
k
(1 + | k | ) k
We summarize this.
Theorem 5.1. Given any f ∈ H s (Tn ), there is a unique solution u of −∆u+u = f .
Moreover, u is in H s+2 (Tn ), that is, it has two more derivatives than f in L2 . If
s > j + n/2, then, by the Sobolev embedding theorem 2.9, u ∈ C j (T2 ).

So far we only considered the case where f ∈ H s (Tn ). This is a global assumption
on the smoothness of f . What can one say if f happens to be smoother only near
a point x0 ? We suspect that the smoothness of u near x0 will depend only on the
smoothness of f near x0 . This is easy.
Say we know that F is smoother in the ball B(x0 , R). Pick an r < R and a non-
negative smooth function η(x) so that η(x) > 0 in the ball B(x0 , R) with
(
1 for x in B(x0 , r),
η(x) = .
0 for x outside B(x0 , R).
Extend f (x) to Tn by f (x) = 0 outside B(x0 , R). Our vague smoothness assumption
on f near x0 is now made precise by formally assuming that (ηf ) ∈ H s (Tn ) for all
s
r < R (one can use this to define the spaces Hloc of functions that are locally in H s ).
If u ∈ H 2 (Tn ) satisfies −∆u + u = f , consider v(x) := η(x)u(x) and use the obvious
extensions to Tn . Then,
−∆v + v = −(η∆u + 2∇η · ∇u + u∆η) + ηu = G,
where
(5.13) G = ηf − 2∇η · ∇u − u∆η.
Say f ∈ H s (Tn ) for some s ≥ 1. Since u ∈ H 2 (Tn ), then G is in H 1 (Tn ). Thus by
Theorem 5.1, v ∈ H 3 (Tn ). If s ≥ 2 we can repeat this to find that G ∈ H 2 (Tn ) so
56 5. THE LAPLACE EQUATION

v ∈ H 3 (Tn ). Continuing, we conclude that f ∈ H s (Tn ) implies v ∈ H s+2 (Tn ). But

u = v in B(x0 , r) so u is in H s in this ball. This proves
Corollary 5.2. [Local Regularity] If u ∈ H 2 (Tn ) satisfies −∆u + u = f and
f ∈ H s in a neighborhood of x0 , then u ∈ H s+2 in this neighborhood.

Exercise: If f ∈ H s (Tn ), discuss the existence, uniqueness, and regularity of solu-

tions to −∆u = f on Tn .
Exercise: Use Duhamel’s Principle to find a simple formula for the solution of −u00 +
u = f (x) for 0 < x < π , with u(0) = u(π) = 0. Compare this with the solution
obtained using Fourier series.
6. Harmonic polynomials and spherical harmonics
Consider the linear space P` of polynomials of degree at most ` in the n variables
x1 , . . . , xn and let P` be the sub-space of polynomials homogeneous of degree `. A
polynomial u(x) is called a harmonic polynomial if ∆u = 0. We wish to compute the
dimension of the subspace H` of P` consisting of harmonic polynomials, homogeneous
of degree `. If n = 2, and ` ≥ 1 the dimension is 2, since for ` ≥ 1 one basis for the
space of harmonic polynomials of degree exactly ` is the real and imaginary parts of
the analytic function (x + iy)` .
For the general case, observe that ∆ : P`+2 → P` and define the linear map L : P` →
P` by the formula
 
(5.14) Lp(x) := ∆ (| x |2 − 1)p(x) ,
where | x | is the Euclidean norm. Now Lp = 0 means the polynomial u(x) :=
(| x |2 − 1)p(x) ∈ P`+2 is harmonic. But clearly u(x) = 0 on the sphere | x | = 1, so
u ≡ 0. Thus ker L = 0 so L is invertible. In particular, given a homogeneous q ∈ P`
there is a p ∈ P` with ∆ (| x |2 − 1)p(x) = q . Let v ∈ P` denote the homogeneous
part of p that has highest degree `. Since ∆ reduces the degree by two, we deduce
that in fact ∆(| x |2 v) = q . Therefore this map v 7→ q from P` → P` is onto and
hence an isomorphism.1 Here are two consequences.
1) Since the map ∆ : P` → P`−2 is onto, again by linear algebra, we can compute
the dimension of the space of homogeneous harmonic polynomials:
   
n+`−1 n+`−3 (n + 2` − 2)(n + ` − 3)!
dim H` = dim P` − dim P`−2 = − = .
` `−2 `!(n − 2)!
For instance if n = 3 then dim H` = 2` + 1.
2) Any homogeneous polynomial q ∈ P` can be written (uniquely) in the form
q = h + | x |2 v, where h ∈ H` and v ∈ P`−2 . To prove this, first compute ∆q and
then use the above to find a unique v ∈ P`−2 so that ∆(| x |2 v) = ∆q ∈ P`−2 . The
function h := q − | x |2 v is clearly harmonic. Applying this again to v and so on
recursively we conclude that q = h` + | x |2 h`−2 + | x |4 h`−4 + · · · , where hj ∈ Hj .
This yields the direct sum decomposition P` = H` ⊕ | x |2 H`−2 ⊕ · · · . Since both
the Laplacian and the operation of multiplying by | x |2 commute with rotations,
the summands in this decomposition are SO(n)-invariant, a fact that is useful in
discussing spherical harmonics and the symmetry group SO(n).
1One
can also give a purely algebraic proof that if p ∈ P` satisfies ∆(| x |2 p) = 0, then p ≡ 0
—hence the map M : P` 7→ P` defined by M p := ∆(| x |2 p) is an isomorphism of P` .
 7. DIRICHLET’S PRINCIPLE AND EXISTENCE OF A SOLUTION 57

The idea behind the definition of L in (5.14) was that to solve ∆u = q ∈ P` , we seek
u in the special form u = (| x |2 − 1)p(x) to obtain a new problem, Lp = q, whose
solution is unique. Frequently it is easier to solve a problem if you restrict the form
of the solution to obtain uniqueness.
Homogeneous harmonic polynomials arise since, when restricted to the unit sphere
these are exactly the eigenfunctions of the Laplacian on the sphere. These are called
the spherical harmonics. The dimensions of the eigenspaces are then the numbers
just computed. for instance, when n = 3 this number is 2` + 1. We carry our part
of this computation.
In spherical coordinates on Rn , the Laplacian is
∂ 2 u n − 1 ∂u 1
(5.15) ∆ Rn u = 2 + + 2 ∆S n−1 u,
∂r r ∂r r
where ∆S n−1 is the Laplacian on the standard sphere S n−1 . If p(x) is a polynomial,
homogeneous of degree k , then p(x) = r k v(ξ), where ξ is a point on the unit sphere.
Thus, if p is also harmonic, then using (5.15)
0 = ∆Rn rk v(ξ) = rk−2 [(k(k − 1) + (n − 1)k)v + ∆S n−1 ]v.
Consequently,
−∆S n−1 v = k(n + k − 2)v.
In other words, v is an eigenfunction of the Laplacian on S n−1 and the corresponding
eigenvalue is k(n+k −2). The missing piece is to show that every eigenfunction of the
Laplacian has this form. This can be done, for instance, by proving that the dimension
of the eigenspace is the same as the dimension of the space of homogeneous harmonic
polynomials.
Application. Atoms are roughly spherically symmetric. The maximum number
of electrons in the k th atomic subshell is related to the dimension of the eigenspace
corresponding to the k th eigenvalue. The Pauli exclusion principle asserts that no
two electrons can be in the same state. But electrons can have spins ±1/2, There
are 2k + 1 electrons with spin ± 12 , so 2(2k + 1) in all. Thus the subshells contain at
most 2, 6, 10, 14, . . . electrons.

7. Dirichlet’s principle and existence of a solution

a). History. To solve the Dirichlet problem (5.9), Dirichlet proposed to find the
function u that minimizes the Dirichlet integral
Z
(5.16) J(ϕ) := | ∇ϕ |2 dx
Ω
among all functions ϕ, say piecewise smooth, with ϕ = f on ∂Ω. To see this, let
h be any function that is piecewise smooth in Ω and zero on the boundary. If u
minimizes J(ϕ), then for any t the function ϕ = u + th has the correct boundary
values so J(u + th) has a minimum at t = 0. Taking the first derivative gives
Z
dJ(u + th)
(5.17) 0= = 2 ∇u · ∇h dx.
dt t=0 Ω
If u has two continuous derivatives, we can now integrate by parts and use that h = 0
on the boundary to find Z
0 = (∆u) h dx.
Ω
58 5. THE LAPLACE EQUATION

Since h can be any piecewise smooth function that is zero on the boundary, this
implies that ∆u = 0, as desired. [Proof: if not, say ∆u > 0 somewhere, then
∆u > 0 on a small ball. Pick a function
R h that is positive on this ball and zero
elsewhere, giving the contradiction Ω ∆u h dx > 0.]
Riemann adopted this reasoning in his proof of what we now call the Riemann map-
ping theorem. Weierstrass pointed out that although J(u) is bounded below and
hence has an infimum, it is not evident that that there is some function u satisfy-
ing the boundary conditions for which J(u) has that minimal value. To make his
argument convincing, he gave the example
Z 1
J(ϕ) = x2 ϕ0 (x)2 dx with ϕ(±1) = ±1.
−1
For this consider the sequence


−1 for − 1 ≤ x ≤ −1/k,
ϕk (x) = kx for − 1/k ≤ x ≤ 1/k,

 1 for 1/k ≤ x ≤ 1.
2
Then J(ϕk ) = 3k → 0, so inf J(ϕ) = 0. But if J(u) = 0, then u = const and can’t
satisfy the boundary conditions.
Since Riemann’s application of Dirichlet’s principle was important, many people
worked on understanding the issues. Using other methods Poincaré gave a rather
general proof that one could solve the Dirichlet problem (5.9) while around 1900
Hilbert showed that under reasonable conditions, Dirichlet’s principle is indeed valid.
,
b). A modified problem. In subsequent years the tools developed to under-
stand the issues have led to a considerable simplification. First, instead of solving
(5.9) solve the related inhomogeneous equation
(5.18) −∆u = F in Ω with u = 0 on ∂Ω.
To reduce (5.9) to this form, let fe (x) be a smooth extension of f from ∂Ω to all of
Ω. We assume this can be done since if there is a solution of (5.9), then the solution
itself gives a very special extension. Then let w := u−fe . This satisfies −∆w = ∆fe ,
which has the form (5.18) with F = ∆fe .
For (5.18) the analogue of (5.16) is the functional
Z
 
Q(ϕ) := | ∇ϕ |2 − 2F ϕ dx.
Ω
Imitating the procedure Dirichlet followed, we seek to minimize Q from an appropri-
ate class of functions that vanish on the boundary. If u minimizes Q, then, Q(u + th)
has its minimum at t = 0. Computing dQ/dt|t=0 gives
Z
(5.19) (∇u · ∇h − F h) dx = 0
Ω
for all h that vanish on the boundary. As before, assuming this function u has two
continuous derivatives, an integration by parts shows that −∆u = F , as desired.
It is not difficult to show that Q is bounded below, but even knowing this we still
don’t know that Q achieves its minimum. Instead of perusing this, we take a slightly
different approach.
 7. DIRICHLET’S PRINCIPLE AND EXISTENCE OF A SOLUTION 59

For a bounded open set Ω, use the space Cc1 (Ω) of functions with compact support
in Ω (the support of a function is the closure of the set where the function is not
zero). Thus, the functions in Cc1 (Ω) are zero near the boundary of Ω. For ϕ ∈ Cc1 (Ω)
define the norm Z
2
kϕkH 1 (Ω) = | ∇ϕ |2 dx.
0
Ω
Because of the Poincaré inequality (3.34), this is a norm, not a semi-norm. Define
the Sobolev space H01 (Ω) as the completion of Cc1 (Ω) in this norm. This is a Hilbert
space with inner product
Z
hϕ, ψiH01 (Ω) = ∇ϕ · ∇ψ dx.
Ω

Motivated by (5.19) If F ∈ L2 (Ω), we say u ∈ H01 (Ω) is a weak solution of (5.18) if

Z Z Z
(5.20) ∇u · ∇v dx = F v dx, that is hu, viH01 (Ω) = f v dx
Ω Ω Ω
1 2
for all v ∈ H0 (Ω). If u ∈ C (Ω) satisfies (5.18), then it is clearly a weak solution:
just integrate by parts. Conversely, if u ∈ C2 (Ω) is a weak solution, then after an
integration by parts,
Z
[−∆u − F ]v dx = 0 for all v ∈ H01 (Ω),
Ω
so, arguing as above, −∆u = F . By a separate argument that we do not give, u = 0
on ∂Ω.
Note that a weak solution, if one exists, is unique, since if there were two, u and w
let ϕ = u − w ∈ H01 (Ω). Then
Z
∇w · ∇v dx = 0 for all v ∈ H01 (Ω).
Ω
R
Letting v = w we conclude that Ω | ∇w |2 =0 so, using the Poincare inequality (3.34),
w = 0. Consequently, if we have a weak solution and if we believe there is a classical
solution, then the only possibility is that the weak solution is also the desired classical
solution.
Our strategy is to break the proof of the existence of a solution into two parts:
Existence: Prove there is a weak solution.
Regularity: Prove that this weak solution is a classical solution – if f is
smooth enough.
c). Existence of a weak solution. The key ingredient in the following proof
of the existence of a weak solution is a standard result in elementary functional
analysis: the Riesz representation theorem for a Hilbert space H. To state it, recall
that a bounded linear functional `(x) is a linear map from elements x ∈ H to the
complex numbers with the property that | `(x) | ≤ ckxk, where the real number c is
independent of x. A simple example is `(x) = hx, zi for some z ∈ H. The Riesz
representation theorem states that every bounded linear functional has this form.
For those new to this result, here is a primitive proof (using coordinates) that works for
separable Hilbert spaces. As a warm-up, first in finite dimensions. In an orthonormal
basis e1 ,. . . en , say x = x1 e1 + · · · xn en . Then by linearity
`(x) = x1 `(e1 ) + · · · + xn `(en ).
60 5. THE LAPLACE EQUATION

Consequently, if we let z = `(x1 )e1 + · · · + `(en )en , then `(x) = hx, zi. Geometrically
one can interpret z as a vector orthogonal to the kernel of `.
Essentially the same proof works in any separable Hilbert space. Pick a (countable)
orthonormal basis and write x ∈ H in this basis. Then, as above, we are led to let
z = `(x1 )e1 + · · · + `(en )en + · · · .
However, it is not yet evident that this series converges in H. Thus, for any N let
zN = `(e1 )e1 + · · · + `(eN )eN .
Then,
| `(zN ) | = `(e1 )`(e1 ) + · · · + `(eN )`(eN ) = kzN k2 .
But by hypothesis, | `(x) | ≤ ckxk, so kzN k2 ≤ ckzN k. Thus kzN k ≤ c. Because this
estimate is independent of N , the series defining zN converges in H to an element
of H and we have `(x) = hx, zi for all x ∈ H.
To prove the existence of a weak solution, motivated by (5.20), for any v ∈ H 01 (Ω),
define the linear functional Z
`(v) := F v dx.
Ω
Then by the Schwarz and Poincare inequalities
| `(v) | = kF kL2 (Ω) kvkL2 (Ω) ≤ ckvkL2 (Ω) ≤ ckvkH01 (Ω) ,
By the Riesz representation theorem, there is a u ∈ H01 (Ω) such that
Z
`(v) = hu, viH01 (Ω) , that is, hu, viH01 (Ω) = F v dx,
Ω
just as desired.
Note that this proof works for any bounded open set Ω, no matter how wild its
boundary. For instance, if Ω is the punctured sphere 0 < kxk < 1 in R3 and try
to solve −∆u = 4 there with u = 0 on the boundary, the unique solution in polar
coordinates is u = (1 − | r |2 ) which does not satisfy the boundary condition we
attempted to impose, u(0) = 0. That jump discontinuity is a removable singularity.
The existence theorem is smart enough to ignore bad points we may have on the
boundary of Ω.
Exercises:
1. In the one dimensional case, so Ω ⊂ R1 is a bounded interval, if u ∈ H01 (Ω), show
that u ∈ C(Ω̄) and u = 0 on ∂Ω.

2. Let Ω ∈ R1 be a bounded open interval, a(x) ∈ C 1 (Ω̄ satisfy 0 < α ≤ a(x) ≤ β

and c(x) ≥ 0 a bounded continuous function. Consider solving
Lu := −(a(x)u0 )0 + c(x)u = f ∈ L2 (Ω) with u = 0 for x ∈ ∂Ω.
Define u ∈ H01 (Ω) to be a weak solution of Lu = f if
Z Z
0 0
[a(x)u v + c(x)uv] dx = f v dx
Ω Ω
for all v ∈ H01 (Ω).
Prove that there exists exactly
R one weak solution. [Sugges-
0 0
tion: Define and use a Hilbert space that uses Ω [a(x)ϕ ψ + cϕψ] dx as its inner
product. Show that the norm on this space is equivalent to the H01 (Ω) norm.]
 7. DIRICHLET’S PRINCIPLE AND EXISTENCE OF A SOLUTION 61

3. If c(x) > 0 is a continuous function in Ω̄ and F ∈ L2 (Ω), prove there is a unique

weak solution u ∈ H01 (Ω) of −∆u + c(x)u = F . [The first step is to define a
“weak solution”].

4. Let A := (aij (x)) be a positive definite n×n matrix of continuously differentiable

functions for x ∈ Ω̄, where Ω ⊂ Rn is a bounded open set. In particular, there
are constants m, M so that for any vector v ∈ Rn we have mkvk2 ≤ hv, Avi ≤
M kvk2 . Consider
X n  
∂ ∂u
Lu := − aij (x) + c(x)u = F (x)
i,j=1
∂xi ∂xj
where 0 ≤ c(x) ≤ γ is continuous and F ∈ L2 (Ω). Show there is a unique weak
solution u ∈ H01 (Ω) of Lu = F ∈ L2 (Ω). [The first step is to define a “weak
solution”].
d). Regularity of the weak solution. If needed, dilate our bounded domain
Ω, so it is inside the box | xj | ≤ π , j = 1, . . . , n, which we view as the torus Tn .
Let u ∈ H01 (Ω) be our weak solution of −∆u = F ∈ L2 (Tn ). Rewrite this as
−∆u + u = f (x), where now f (x) = F (x) + u(x) ∈ L2 (Tn ) is considered to be a
known function. By Theorem 5.1, u ∈ H 2 (T2 ).
Although F might be smoother in Ω, our extension of F to Tn likely looses this
additional smoothness across ∂Ω. However, the local regularity Corollary 5.2 implies
that if F is in H s near a point x0 , then u is in H s+2 near x0 .
62
 CHAPTER 6

The Rest

In the last part of the course I outlined the several topics, mainly following various
parts from my old notes
Lecture Notes on Applications of Partial Differential Equations to Some Problems in
Differential Geometry, available at
http://www.math.upenn.edu/∼kazdan/japan/japan.pdf
In addition, there is a bit of overlap with my expository article Solving Equations
available at
http://www.math.upenn.edu/∼kazdan/solving/solvingL11pt.pdf
Topics
• Defined both the Hölder spaces C k+α , 0 ≤ α ≤ 1 and Sobolev spaces H p,k
and illustrated how to use them in various regularity assertions for solutions
of some linear and nonlinear elliptic partial differential equations.
• Defined ellipticity for nonlinear equations, giving several examples including
a Monge-Ampère equation.
• Discussed issues concerning qualitative properties and existence for the mini-
mal surface equation, equations of prescribed mean and Gauss curvature (for
surfaces) and some equations for steady inviscid fluid flow.
• Discussed techniques for proving that a partial differential equation has a
solution. The techniques included:
a) iteration using contracting mappings,
b) direct methods in the calculus of variations,
c) continuity method
d) fixed point theorems (Schauder and Leray),
e) heat equation (R. Hamilton).

63