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First-order PDEs
A.1
= x ct
=
+
=
+
x
x
x
=
+
=c
t
t
t
u
= 0.
A.2
Variable speed
We want this to be zero, which is easily achieved if we make this expression the
same as the original linear operator:
dt u dx u
u
u
+
=
+ c(x, t)
= 0.
dr t
dr x
t
x
This gives us the two parametric equations governing the shape of the characteristic curve:
dx
dt
= 1,
= c(x, r).
dr
dr
These are both ODEs and straightforward to solve.
Example
Look at the equation
2 sin cos 2
u cos sin 2 u
= 0.
sin
d
cos sin 2
=
dr
sin
but we can uncouple them if, before we start, we multiply the original equation
by sin / cos cos 2:
2 sin2 u
sin 2 u
= 0,
cos
cos 2
2 sin2
d
=
dr
cos
d
sin 2
=
.
dr
cos 2
Now the equations are decoupled, and solving them in turn gives
sin =
1
2r
Note that we only use a constant of integration in one of these equations; since
r is just a parameter, the point r = 0 is not defined a priori. Effectively, we are
making a change of variables from x, t to r, C. We can invert the transformation:
C = ln sin 2
1
sin
r=
1
2 sin
and since u is constant on this curve, we can deduce the general solution
1
.
u = F (C) = F ln sin 2
sin
A.3
dy
= c1 (x(r), y(r), z(r))
dr
dz
= c2 (x(r), y(r), z(r)).
dr
The latter two are now coupled ODEs so we are not guaranteed to be able to
find a solution; but sometimes you may be lucky.
Example
Look at the equation
u
u
u
+ xy
+ 2x2 z ln y
= 0.
x
y
z
We set x = x(r), y = y(r) and z = z(r) and the chain rule gives
du
u dx u dy u dz
=
+
+
.
dr
x dr
y dr
z dr
To match the three coefficients we set:
dx
=1
dr
x(r) = r
dy
= xy = ry
dr
dz
= 2x2 z ln y = r4 z ln y0
dr
Now we have expressed all points in terms of the three parameters r, y0 and z0
and u is independent of r, so the solution is any function of y0 and z0 . Reversing
the change of variables gives
r=x
/5]
).
/5]
A.4
Inhomogeneous case
The characteristic curve is just as fundamental if the equation is not homogeneous, although the function value is no longer constant along characteristics.
The method is best seen by example:
u
u
+ 2xt
=u
t
x
over all x, with initial condition (at t = 0) u = x. We start by finding the
characteristic. Here the characteristic is given by
dt
=1
dr
t=r
dx
= 2xr
dr
x = x0 exp [r2 ].
This time our two new variables are r and x0 . Along a specific characteristic
we have
du
u u dx
=
+
=u
dr
t
x dt
u = F (x0 )et
so
A.5
u = F (x0 )
1
1
1
= F (x0 )t2
x
2
x0
2x0
.
2 x0 F (x0 )t2
x=
2x0
2 x0 F (x0 )r2
u = F (x0 ).
2x0
2 x0 ut2
x0 =
2x
2 + uxt2
11
A.6
Nonlinear inhomogeneous
We are now looking at the most complex of first-order PDEs: those of the form
u
u
+ c(u, x, t)
= f (u, x, t)
t
x
Characteristics still exist in these systems, and they may have important physical properties (for instance, discontinuities in the derivatives of the solution
will propagate along them) but unfortunately, since u itself now varies along a
characteristic, we can no longer solve even implicitly in general.
Example
Here is a case where we can achieve a little:
u
u
+u
= cos t.
t
x
In this case we can immediately spot one solution
u = A + sin t
but can we show that this is not the most general solution?
The characteristics are defined by
dx
= u;
dt
let us suppose we know the family of curves x = f (x0 , r), t = r. Then we have
u dt
u dx
u
u
du
=
+
=
+
f (x0 , r)
dr
t dr x dr
t
r
x
which gives us the two coupled equations
du
= cos r.
dr
f (x0 , r) = u
r
These are easy to solve in reverse order:
u = A(x0 ) + sin r
x = A(x0 )r cos r + x0 .
A(x0 ) = x0 /
x0 = x + cos t t
cos t
x0 = x +
t+
u = + sin t
x
cos t
u= +
+ sin t
t+
12