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has for all dimensions the explicit solution Asymptotic matching. Solution of PDEs of-
Z ten display differing properties in different subre-
1 |x−y|2
gions. In this circumstance we can try to fashion
u(x, t) = n/2
e− 4t g(y) dy. (23)
(4πt) Rn an approximate solution by first (a) constructing
simpler approximate solutions in each subregion
Certain nonlinear PDEs, including the KdV and then (b) appropriately matching these solu-
equation (14), are also exactly solvable; and dis- tions across areas of overlap.
covering these so-called integrable partial differ- A common such application is to boundary lay-
ential equations is a very important undertaking. ers. The outer expansion for the solution within
some region often has a form like
It is however a fundamental truth that we can- ∞
X
not solve most partial differential equations, if by u (x) ∼ k uk (x). (24)
“solve” we mean coming up with a more-or-less k=0
explicit formula for the answer.
Suppose we expect different behavior near the
boundary, which we take for simplicity to be the
2.2 Approximate solutions, plane {xn = 0}. We can then introduce the
perturbation methods stretched variables yn = xn /α , yi = xi (i =
1, . . . , n − 1) and put ū (y) = u (x). We look
It is consequently important to realize that we then for an inner expansion
can often deduce properties of solutions without
∞
actually solving the partial differential equation,
X
either explicitly or numerically. ū (y) ∼ k ūk (y). (25)
k=0
One such approach develops systematic pertur- The idea now is to match terms in the outer ex-
bation schemes to build small “corrections” to a pansion (24) in the limit xn → 0 with terms in the
known solution. There is a vast repertoire of such inner expansion (25) in the limit yn → ∞. Work-
techniques. Given a PDE depending on a small ing this out determines for instance the value of
parameter , the idea is to posit some form for α in the scaling.
the corrections and to plug this guess into the
differential equation, trying then to fine tune the
2.3 Numerical analysis of PDEs
form of the perturbations to make the error as
small as possible. These procedures do not usu- Devising effective computer algorithms for PDEs
ally amount to proofs, but rather construct self- is a vast enterprise, far beyond the scope of this
consistent guesses. article; and great ingenuity has gone into the de-
sign and implementation of such methods.
Multiple scales. Homogenization problems Among the most popular are the finite differ-
entail PDEs with effects occurring on differing ence methods (which approximate functions by
spatial or temporal scales, say of respective orders values at grid points), the method of lines (which
1 and . Often a goal is to derive simpler effective discretizes all but the time variable), the finite
PDE that yield good approximations. We guess element method and spectral methods (which rep-
the form of the effective equations by supposing resents functions using carefully designed basis
an asymptotic expansion of the form functions), multigrid methods (which employ dis-
∞
X cretizations across different spatial scales), the
u (x) ∼ k uk (x, x/) level set method (which represents free bound-
k=0 aries as a level set of a function), and many other
schemes.
and showing that the leading term u0 is a function The design and analysis of such useful numer-
of x alone, solving some kind of simpler equation. ical methods [IV.29], especially for nonlinear
This example illustrates the insight that sim- equations, depends upon a good theoretical un-
pler behavior often appears in asymptotic limits. derstanding of the underlying PDE.
5
2.4 Theory and the importance of for some speed σ. More generally, a solution u of
estimates a PDE in more space variables having the form
The fully rigorous theory of PDEs focuses largely u(x, t) = v(y · x − σt)
upon the foundational issues of the existence,
is a plane wave. An extremely useful first step
smoothness, and, where appropriate, uniqueness
for studying a PDE is to look for solutions with
of solutions. Once these issues are resolved, at
these special structures.
least provisionally, theorists turn attention to un-
derstanding the behavior of solutions. Dispersion. It is often informative to look for
A key point is availability, or not, of strong an- plane wave solutions of the complex form
alytic estimates. Many physically relevant PDEs
u(x, t) = ei(y·x−σt) (27)
predict that various quantities are conserved, but
these identities are usually not strong enough to where σ ∈ C and y ∈ Rn . We plug the guess (27)
be useful, especially in three dimensions. For non- into some given linear PDE, thereby to discover
linear PDEs the higher derivatives solve increas- the so-called dispersion relationship between y
ingly complicated, and thus intractable, equa- and σ = σ(y) forced by the algebraic structure.
tions. And so a major dynamic in modern theory For example, inserting (27) into the Klein–
is the interplay between (a) deriving “hard” ana- Gordon equation
lytic estimates for PDEs and (b) devising “soft”
mathematical tools to exploit these estimates. In utt − ∆u + m2 u = 0 (28)
the remainder of this article, we present for many 1
gives σ = ±(|y|2 + m2 ) 2 . Hence the speed |y| σ
important PDEs the key estimates upon which
of propagation depends nonlinearly upon the fre-
rigorous mathematical theory is built.
quency of the initial data eiy·x . So waves of dif-
ferent frequencies propagate at different speeds;
3 Behavior of solutions hence the dispersion.
Since PDEs model so vast a range of physical and Solitons. As a nonlinear example, putting
other phenomena, their solutions display an even (26) into the KdV equation (14) with a = 6, b = 1
vaster range of behaviors. But some of these are leads to the ODE
more prevalent than others. −σv 0 + 6vv 0 + v 000 = 0,
3.3 Propagation speeds the normal velocity of Γ(t) equals its curvature.
This is a geometric law of motion for the evolving
It is also easy to deduce from (23) that if u solves
black/white patterns emerging in the asymptotic
the heat equation, then values of the initial data
limit → 0.
g(y) at all points y ∈ Rn contribute to determin-
ing the solution at (x, t) for times t > 0. We can Much more complex pattern formation effects
interpret this as an “infinite propagation speed” can be modeled by systems of reaction-diffusion
phenomenon. PDEs of the general form (9): see pattern for-
By contrast, for many time-dependent PDEs mation [X.YY],
we have “finite propagation speed”: there is no
influence of some of initial data upon the solution
until enough time passes. This is so for first-order 3.5 Blow-up
PDE in general, for the wave equation, and re-
Solutions of time-dependent PDEs may or may
markably also for some nonlinear diffusion PDEs,
not exist for all future times, even if their initial
such as the porous medium equation
conditions at time t = 0 are well behaved. Note
ut − ∆(uγ ) = 0 (29) for example that among solutions of the nonlinear
heat equation
with γ > 1. The particular explicit solution
ut − ∆u = u2 , (31)
1
γ − 1 |x|2 γ−1
1
u(x, t) = α b− β 2β (30) subject to Neumann boundary conditions (16),
t 2γ t +
are those solutions u = u(t) that do not de-
n
for α = n(γ−1)+2 1
, β = n(γ−1)+2 and x+ = pend on x and consequently that solve the ODE
ut = u2 . It is not hard to show that solutions of
max{x, 0} shows clearly that the region of pos-
this equation go to infinity (“blow up”) at a finite
itivity moves outward at finite speed.
positive time, if u(0) > 0.
For more general initial data, there is an inter-
3.4 Pattern formation esting competition between the diffusive, and so
Nonlinear terms can interplay with diffusion and stabilizing, term ∆u and the destabilizing term
create interesting effects. For example let Φ(z) = u2 .
1 2 2
4 (z − 1) denote a “two well” potential, hav-
ing minima at z = ±1. Look now at this scalar
3.6 Shocks
reaction-diffusion problem in which > 0 is a
small parameter: Solutions of PDEs can fail to exist for large times
( for other reasons than blow up in the sup-norm.
ut − ∆u = 12 Φ0 (u ) in R2 × (0, ∞) Another possibility is that the gradient of a solu-
u = g on R2 × {t = 0}. tion becomes singular at some finite time.
This effect occurs for conservation laws (2).
For suitable designed initial data functions g , it Consider for example this initial-value problem
turns out that that for Burgers’ equation:
lim u (x, t) = ±1; (
→0 ut + 12 (u2 )x = 0 in R × (0, ∞)
(32)
so that the solution asymptotically goes to one u = g on R × {t = 0}.
or the other of the two minima of Φ. We can
informally think of these regions as colored black Assume we have a smooth solution u and define
and white. the characteristic curve x(t) to solve the ODE
For each time t ≥ 0, denote by Γ(t) the curve (
between the regions {u (·, t) → 1} and {u (·, t) → ẋ(t) = u(x(t), t) (t ≥ 0)
−1}. Asymptotic matching methods reveal that x(0) = x0 .
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to mean integral expressions involving squared Then, assuming u goes to zero as |x| → ∞ fast
quantities. enough, we have
Z
Integration by parts. Important for what
ut utt + c2 ∇u · ∇ut dx
ė(t) =
follows is the integration by parts formula: Rn
Z
= ut (utt − c2 ∆u) dx = 0;
Z Z Z
uxi v dx = − uvxi dx + uvν i dS Rn
U U ∂U
This demonstrates conservation of energy.
for each i = 1, . . . , n. Here ν denotes the outward- For the nonlinear wave equation
pointing unit normal to the boundary. This is a
form of the Divergence Theorem [x.yy] from utt − ∆u + f (u) = 0 (35)
multivariable calculus.
a similar calculation works for the modified en-
ergy
4.2.1 Energy estimates Z
1 2 1
e(t) = ut + |∇u|2 + F (u) dx,
Assume that u solves Poisson’s equation Rn 2 2
where f = F 0 .
−∆u = f in Rn . (34)
Linear elliptic equations. Such insights are Since solutions of PDEs depend on many vari-
essential for understanding the general second- ables, another useful trick is to design appropriate
order linear elliptic equation integral expressions over all but one of these vari-
ables, so that these expressions satisfy interesting
Lu = 0, (41) differential inequalities in the remaining variable.
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1
Z −∆u = |Du|2 u, |u|2 = 1. (45)
e(t) := L(∇u) dx.
2 Rn for the unknown = (u1 , . . . , um ), where we
Pn u P m
Then, assuming u goes to zero rapidly as |x| → write |Du| = i=1 j=1 (ujxi )2 .
2
ut + F (u )x = uxx (44) if 0 < r < R. This inequality is often useful, as
it lets us deduce fine information at small scales
for > 0. Suppose Φ is a convex function and r from that at larger scales R.
put Z
e(t) := Φ(u ) dx. 5 Theory and application
R
Then The foregoing listing of mathematical viewpoints
Z Z and technical tricks provides at best a glimpse
ė(t) = Φ0 ut dx = Φ0 (−Fx + uxx ) dx into the immensity of modern PDE theory, both
Z R R pure and applied.
Ψ(u )x + Φ00 (ux )2 dx
=−
ZR 5.1 Well-posed problems
= − Φ00 (ux )2 dx ≤ 0, A common goal of most of these procedures is
R
to understand a given PDE (plus appropriate
where Ψ satisfies Ψ0 = Φ0 F 0 . What is important boundary and/or initial conditions) as a well-
is that we have found not just one, but rather posed problem, meaning that (a) the solution ex-
a large collection of dissipation inequalities, cor- ists, (b) is unique, and (c) depends continuously
responding to each pair of entropy/entropy flux on the given data for the problem. This is usually
functions (Φ, Ψ). the beginning of wisdom, as well-posed problems
Finding and utilizing entropy/entropy flux provide the starting point for further theoretical
pairs for systems of conservation laws of the form inquiry, for numerical analysis and for construc-
(8) is a major challenge. tion of approximate solutions.
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Further Reading
1. E. DiBenedetto, Partial Differential Equations,
2nd ed, Birkhäuser, 2009.
2. H. Brezis, Functional Analysis, Sobolev Spaces
and Partial Differential Equations, Springer,
2012
3. L. C. Evans, Partial Differential Equations, 2nd
ed, American Math Society, 2010