Lectures Pdecourse

INTRODUCTION TO EQUATIONS FROM MATHEMATICAL PHYSICS
LI MA
Date : Starting from the Summer of 1991 to 2007. 1991 Mathematics Subject Classication. 35-XX. Key words and phrases. wave equation, heat equation, harmonic functions, characteristic line method, Fourier method, maximum principle, fundamental solution.
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This is a lecture note for the courses of Equations from Mathematical Physics or Methods of Mathematical Physics given by me to senior students in Tsinghua University, Beijing
EQUATIONS FROM MATHEMATICAL PHYSICS
To An, for patience and understanding
LI MA
Contents: Wave equations; Heat equations; Laplace equation; Method of Characteristic lines; Duhamel principle; Method of separation of variables; Laplace transform; Fourier transform; Fundamental solutions; Mean value property; Louville theorem; Monotonicity formulas; Maximum principle; Variational principle.
Preface As I always believe that the course about equations from mathematical physics is of fundamental importance to every student in college. However, it will be a hard time for us to rstly learn it. Can you image what is up when you enter a new world where you know just a little? I want to point out some key points in our course at this very beginning. To us, solving a problem means that we reduce the problem into some easy problems which can be solved by us. For solving our problems with partial dierential equations (in short, PDE), we reduce them into ordinary dierential equations (in short, ODE), which can be solved by us. We shall derive some typical partial dierential equations from the conservation laws of mass or energy or momentum. Such equations are called equations from mathematical physics. The basic principle used here is that the change (rate) of the physical quantity in a body in space is created from the change on the boundary and by the source in the interior of the body. Hence, we need to use the divergence theorem from the dierential calculus. The equations from mathematical physics are very important objects in both mathematics and applied mathematics. However, many of them are nonlinear equations. Even for linear partial dierential equations, we can not expect to have a unifying theory to handle them. Therefore, we have to classify the equations and treat them case by case. The crucial observation is that many equations enjoy symmetry properties like translation invariant or rotation invariant, which will lead to many identities for solutions. The object in our course is to try to explain some elementary part of solving simple linear partial dierential equations of rst order and second order. The principle for studying these equations is reduce them into linear ordinary dierential equations, which can be solved by tools from the dierential calculus and linear algebra. The most beautiful method for solving linear partial dierential equations or systems of rst order is the characteristic line method. The most powerful methods for solving linear partial dierential equations or systems of second order are the methods of separation for variables (also called Fourier method ) and Fourier transformation method, which can be used to translated the problems into ODE again. Theory of Fourier transformations is one of most beautiful mathematical theories so that there are many books about Fourier transformations. The other method is to construct the fundamental function to
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the equation with the homogeneous boundary condition and initial condition. In the latter method, the divergence theorem plays an essential role. There is another important tool in the study of heat equation and elliptic equations. It is the maximum principle trick with its brother called the comparison lemma. This trick is also very useful in the study of nonlinear parabolic and elliptic equations or systems. People usually use the maximum principle to derive gradient estimates or Harnack inequalities of non-negative solutions, which lead to Bernstein type theorem. To understand the behavior of the solutions to PDE, we use divergence theorem, Fourier method, or the fundamental solutions to set up energy bounds for solutions. The nice forms of energy bounds for solutions are monotonicity formulae or Pohozaev type identities , which can be used to get Liouville type theorem or regularity theorem. Energy bounds or gradient estimates are important to understand the compactness of solution spaces. The aim of this course is to let our students/readers know the basic ingredients in the study of simple linear PDEs of rst order and second order. Sections with ahead should be skipped by rst reading. Just as in the study of other courses in mathematics, one can only get a good understanding of our subject by doing more exercises and by reading more related books. I hope you understand my words here. What did I feel in my college life? I did feel so lucky that I had attended many courses in mathematics when I was in Nankai University. This experience makes me can understand many deep lectures from some famous guys. In conclusion, for our beginners, I hope you remember that we try to understand PDE by ODE! In other words, before we do PDE, let us do its partner ODE. Do you remember an old Chinese proverb? Here it is, I suddenly nd that I know the world after I hear your words .
Written by Li Ma in 5-1-2007
Notations and conventions: The functions used in our course are bounded smooth function unless we point out explicitly. If the domain is unbounded, we assume that the functions is decay to zero at innity. In other word, we assume the nice conditions for functions such that we can perform the dierentiation into integrands or the change the order of integration of variables. We denote by Rn the Euclidean space of dimension n. Let x = (x1 , ...xn ) the standard coordinates in Rn . We denote by C 2 (D) the space of twice dierentiable smooth functions inside the domain DRn . (D) the space of innitely dierentiable smooth We denote by C0 functions with support inside the domain DRn . Here the support of a function f is the closure of the set {x D; f (x) = 0}. f := (x1 f, ..., xn f ). j f = xj f. r f (x) :=
j
(xj pj ) xj f (x) r
is the radial derivative of the function f , where r = |x p| is the radial coordinate with respect to the center p = (pj ) Rn . We denote by
(k ) k1 k 2 kn x f = (x ...x f ); k = k1 + ... + kn n 1 x2
the k-th derivatives of the function f with respect to the variables x = (x1 , ...xn ). PDE=Partial Dierential Equation. ODE=Ordinary Dierential Equation. F-transform=Fourier transform.
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1. lecture one 1.1. Divergence theorem. Let (xi ) be the standard coordinates in the Euclidean space Rn . We recall the classical divergence theorem: Theorem 1. Let D be a bounded domain with nite piece-wise C 1 Rn be a smooth vector eld on the boundary D in Rn . Let X : D of the domain D. Let be the unit outer normal to D. closure D Then we have the following formula: divXdx =
D
i
X d.
D
Here divX = i X for X = (X i ) , = (i ) and X = i X i i . xi u If X i = x i for some smooth function, i.e., X is the gradient u := (x1 u, ..., xn u) of the function u, then divX =
i
2u = u (xi )2
which is the Laplacian of the function u. A special case we often use is that X has only one non-zero component, say j th component, X = (0, ...0, u, 0, ...0) ). Then, divX = j u and for some smooth function u C 1 (D) C (D j udx =
D D
uj d.
The classical divergence theorem is a basic theorem used in our course. We ask the readers to remember this basic formula. Note that when n = 1, the divergence theorem is the famous Newtonian-Leibniz formula:
b
f (b) f (a) =
a
f (x)dx.
In dimension two, the divergence theorem is Greens theorem in differential calculus. Let D be a bounded smooth domain in the plane R2 . Recall that the Green formula is the following: for any smooth function P, Q on the closure of the domain D, we have (Qx Py )dx =
D D
P dx + Qdy.
It is clear that the form of divergence theorem in dimension two is dierent from that of the Green formula. We want to prove that they are equivalent each other. Assume that the boundary D is given by the smooth curve p(s) = (x(s), y (s)), where s is the counter-clock arc-length parameter. Write by x = dx/ds, etc. Then T = (x , y ) is the unit tangent vector along p(s). Then N = (y , x ) is the interior unit normal to the curve p(s) such that {T, N } forms a right-hand orthonormal basis system. The outer unit normal to the boundary D is = N = (y , x ). Choose X 1 = Q and X 2 = P . Then we have divX = Qx Py , and along the boundary D, P dx + Qdy = (P x + Qy )ds = X ds Hence, Greens formula implies that divXdx =
D D
X ds,
which is the divergence theorem in dimension two.
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1.2. One dimensional wave equation. We consider a vibrating string of length l with its two ends xed at x = 0 and x = l. Let u = u(x, t) be the position function of the string at (x, t) in the direction of y -axis. Assume that = constant is the mass density of the string. Then the kinetic (or temporal) energy of the string is 1 l 2 T (u) = ut dx. 2 0 The potential (or spatial) energy is c U (u) = 2
l
u2 x dx,
0
where c is a physical constant of the string. Assume that the string is acted by the exterior force with force density f0 (x, t) at (x, t). Then the energy obtained by the exterior force is
l
U (f ) =
0
f0 udx.
Then the Hamiltonian action of the string is

t
H (u) =
0
d (T (u) U (u) U (f0 ))

t l
1 2 c 2 =
d
0 t 0 l
u2 t dx
t l
d
0 0
u2 x dx +
0
d
0
f0 udx.
The Hamilton principle implies that the motion of the vibrating string obeys H (u) = 0, 2 that is, for every = (x, t) C0 ((0, l) (0, t1 )), < H (u), >:= We compute that
t l
d H (u + )| =0 = 0. d
< H (u), > =

0 t
d
0 l
(ut t
cux x + f0 )dx =
0
d
0
(utt + cuxx + f0 )dx
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Using the variational lemma (see Appendix), we then get utt cuxx = f0 /, which is called the one dimensional wave equation. By physical testings, we can nd the initial position and velocity of the string. So we know that u(x, 0) = (x), and ut (x, 0) = (x); and the boundary condition u(0, t) = 0 = u(l, t). The higher dimensional wave equation in its simple form is utt (x, t) = a2 u(x, t) + f (x, t), which is a typical hyperbolic partial dierential equation of second order. We can also add other type of initial data and boundary data for the wave equations.
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1.3. Conservation of mass. Let = (x, t) be the mass density of a moving uid in the region W . Let u be the velocity eld of the uid. Let be the outer unit normal to the boundary of the domain W . Take a small part dx in W . Then the mass in dx is dx. Hence, the total mass in W at time t is the integration of dx over W , which is dx.
W
Then, its change rate at time t is d dx. dt W Assume that there is no uid generating source. Then the change rate is only across uid rate from the boundary. Take a small part d in the boundary W . Then the amount of u d ow into W . So the total amount owing into W across the boundary is the integration over W : u d.
W
So we have
d u d. dx = dt W W Using the divergence theorem, we have ( + div (u))dx = 0. W t Since we can take W be any sub-domain, we have + div (u) = 0. t This is the continuity equation in Fluid mechanics. If u = (a(x1 ), 0, 0), then the continuity equation is t + x (a(x)(x, t)) = 0,
where x = x1 .
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1.4. What are important for our equations? What I want to show here is that once we have a pde from scientic background, we must try to solve it and get the explicit expression for the solutions in terms of initial data and boundary data. We also need to know the uniqueness and stability of our solutions to our equations or problems. Here we may introduce the concepts of Hilbert space and normed space (see any textbook about Functional Analysis ). A norm | | on a vector space E is a function from E to non-negative numbers R+ such that (1) |f | = 0 if and only if f = 0; (2) |af | = |a||f | for any real number a; (3) |f + g | |f | + |g |. A vector space E equipped with a norm | | is called a normed space. If a sequence (fj ) E satisfy |fj fk | 0 as j, k , then we call (fj ) a Cauchy sequence in (E, | |). If every Cauchy sequence has a limit in E , then we call (E, | |) a Banach space. If further, the norm | | comes from an inner product < , >, that is, |f |2 =< f, f >, we call (E, < , >) a Hilbert space; for example, < f, g >=
D
f (x)g (x)dx, f, g L2 (D),
By denition, we say that u(x, t) is the stable solution (in the norm | |) to the problem A[u](x, t) := (t u Lu)(x, t) = 0, where t [0, T ], and
k
L :=
(k ) P (x, x , ..., x )
=
j =0
(j ) aj (x)x
is a partial dierential operator of the variables (x), with initial data u(x, 0) if for any > 0, there exists > 0 such that for all solutions w(x, t) to A[w] = 0 with initial data w(0), |w(0) u(0)| , we have sup |w(t) u(t)| < .
t
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There are also many other denitions for stabilities, which depend on what we wanted in reality. To get uniqueness and stability of solutions to evolution problems, we need to nd some nice norm for solutions and derive a Gronwall type inequality. For stationary problems, we have to use maximum principle trick or monotonicity formulae for solutions. In our course, we need to know some typical methods to solve linear pdes of rst order and second order. Historically, the solution expressions were guessed by scientic workers from physical intuition. So it is important for us know the scientic background of the equations.
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2. lecture two 2.1. Heat equation and Laplace equation. Heat equation and Laplace equation are very important objects in PDE theory. We use the energy conservation law to derive the heat equations. Let u be the heat density of the body , and let q be the heat owing velocity. By Fouriers law, we have q = k u, where k > 0 is a coecient of physical quantity. Let f0 (x, t) be the density of heat source. Then as in the case of continuity equation, we have, for a physical constant c > 0 of the region D , t
D
cudx =
D
q ( )d +
D
f0 dx.
Using the divergence theorem we have q ( )d =

D D
div ( q )dx.
Hence, since D can be any domain in the body, we have ct u = div q + f0 . Using the Fourier law, we have ct u = div (k u) + f0 , which is called the heat equation with source f0 . Assume that c = 1 = k = and f0 = 0. Then we have the heat equation ut = u, (x, t) (0, ), which is a typical parabolic partial dierential equation of second order. Physically, we can measure the heat density on the boundary , and we may assume that u(x, t) = 0 for (x, t) (0, ). The initial heat density at t = 0 can also be detected. So we assume that u(x, 0) = (x), x . The heat equation coupling with initial and boundary conditions is called a determined problem of heat equation. Of course, we may have other kind of boundary conditions like k u (x, t) = u(x, t), (x, t) (0, ).
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When we have stationary heat in , that ut = 0, we have the following equation: u + f = 0, where f = f0 , or in other form u = f which is called the Poisson equation. If f = 0, it is called the Laplace equation in , which is a typical elliptic partial dierential equation of second order. In dimension one, the Laplace equation becomes u = 0, So u = ax + b is a linear function of the single variable x. However, if the dimension n 2, it is not easy to solve the Laplace equation on domains coupling with its boundary condition. In the following subsection, we try to solve some simple pde of rst order.
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2.2. Solve pde of rst order. The principle for solving a rst order PDE is to reduce it into ODE along characteristic curves. So one should know how to solve an ODE. We shall review some ODE theory when it is necessary. We study a rst order partial dierential equation. Our question is to solve the following equation (FDE): ut + aux = f (x, t). Assume that we have the initial condition u = u0 (x) at t = 0. We introduce the C -curve C (t) (called the characteristic curve) by solving dx/dt = a. Then we have C := C (t) : x = at + A. When t = 0, we have x(0) = A. On the curve C , we have du/dt = ut + aux = f (x, t) = f (at + A, t). Using integration along the curve C (t), we have
t
u(x(t), t) = u(A, 0) +
0
f (a + A, )d.
Given the point (x, t) on the curve C (t). Then we have x(t) = x and we can nd that initial point on the curve is x(0) = A = x at. So by the initial value condition, we have u(A, 0) = u0 (A) = u0 (x at). Inserting A = x at into the expression above, we nd (FF):
t
u(x, t) = u0 (x at) +
0
f (x + a( t), )d.
In case when f = 0, we have u(x, t) = u0 (x at). The method above is called characteristic curve method in the literature. One may study examples in our textbook. We point out the following comparison lemma: Let u be a smooth solution to (FDE) with the initial data u(0) = u0 . Let w be a smooth function satisfying wt + awx f (x, t) with the same initial data as u. Then we have w u on R [0, T ]. This lemma is based on a very simple observation from the formula (FF) that if u0 = 0 and f 0, then u 0 for all t. In fact, let g (x, t) = wt + awx f (x, t).
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Then we have g (x, t) 0 and wt + awx = f (x, t) + g (x, t). Let v = w u. Then we have vt + avx = g (x, t) 0 with v = 0 at t = 0. Using the formula (FF) for v, we know that v 0. Hence w u. Usually, the comparison lemma is a very important property for PDEs.
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2.3. A nonlinear PDE example. We have just used The characteristic curve method to study the linear pde of rst order. We show here that this method can also be used to study the nonlinear pde of rst order. By denition, a pde (PDE) P (u, u, D2 u, ...) = 0 is called a linear equation if, for any given two solutions u and v of (PDE), au + v is also a solution of (PDE) for every constant a R. Otherwise, it is called a nonlinear PDE. Lets study the following nonlinear PDE of rst order: 1 ut + (1 + u)ux = 2 with the initial value condition u(x, 0) = x for x 0. We rst nd the characteristic curve x(t) by solving dx = 1 + u(x, t). dt Note that along the characteristic curve, we have 1 du = dt 2 and t t + u(x(0), 0) = + x(0) 2 2 On one hand, we set x(0) = A. Then we have t u(x(t), t) = + A 2 Solving A from this relation, we get t A = u(x(t), t) . 2 On the other hand, we nd the curve satisfying u(x(t), t) =
t t
x(t) = A + t +
0
u(x( ), )d = A + t +
0
( + A)d. 2
Then we have t2 t + At = t + ( + A)2 = t + u(x(t), t)2 . 4 2 We now solve u along the curve x(t) and get x(t) = A + t + u(x(t), t) = x(t) t.
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Given any point (x, t) on the curve x(t), we have x(t) = x. Hence, the solution is u(x, t) = x t.
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3. lecture three 3.1. Duhamel principle. Consider (ODE) u + p(t)u = 0, with initial condition u = f at t = . Then its solution to (ODE) is (S):
t
u(t, ) = f exp(
p(s)ds).
We now try to solve the equation (F): u + p(t)u = f (t) with initial condition u = 0 at t = 0. Let f = f ( ) and solve (ODE) at t = as above to get the solution (S). Then the function dened by
t
u(t, )d
0
is the solution to (F). This kind of method is called the Duhamel principle.
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3.2. First order ODE and a comparison lemma. For the given ODE u = a(t)u + b(t) we can write it as (e
Rt
a ( )
u) = e
Rt
Rt
a ( )
b(t)
Rs
So it has a general solution u(t) = u(0)e If u(0) = 0, we have (F): u(t) = e

Rt
t a( )
Rt
t a( )
a( )
+e
dse
a ( )
b(s).
dse
Rs
a ( )
b(s).
One often use the argument above to prove the famous Gronwall inequality: Let > 0 and let u be a continuous function on [0,T] satisfying
t
u(t) a +
0
u( )d.
Then we have u(t) aet on [0,T]. Hint: Let

t
f (t) = a +
0
u( )d.
Then we have f = u. By assumption, u f , we get f f. Let (t) and f (s) be two smooth functions. We consider the following nonlinear ODE u = (t)f (u) with initial data u = a at t = 0. Assume that w (t)f (w) with initial data w = a at t = 0. Then we have w(t) u(t) for all t. Let g (t) = w (t)f (w). Then g (t) 0. Set v = w u. Then we have v == (t)(f (w) f (u)) + g (t) = (t)B (t)v (t) + g (t)
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with v = 0 at t = 0 and B (t) = f (zw + (1 z )v )dz.
Let a(t) = (t)B (t) and b(t) = g (t) in (F). Then we have v 0. That is w u for all t. We remark that one can use Sturm-Liouville theory and variational principle to set up comparison lemma for second order ODE.
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3.3. One dimensional wave equation. We shall follow our textbook [1] for the explanation. We consider the one-dimensional wave equation (OW): utt uxx = 0, x R, t > 0, with initial data u|t=0 = u0 and ut |t=0 = u1 . Lets rst assume that u0 = 0. Note that
2 2 t x = (t x )(t + x ).
Then we reduce the problem into two pde of rst order. Let v = t u + x u. and t v x v = 0. Solving u we get
t
u(x, t) =
0
v (x + ( t), )d.
Using initial condition we have v (x, 0) = u1 (x). We now solve v : v (x, t) = v0 (x + t) = u1 (x + t). So,
t
u(x, t) =
0
u1 (x + ( t) + )d. s = x + 2 t,
Changing the variable we can get 1 x+ t u(x, t) = [ u1 (s)ds] := Mu1 . 2 x t If u0 is non-trivial, but u1 = 0, then we can verify that d u(x, t) = Mu0 (x, t) dt is the solution to utt uxx = 0 with initial data u|t=0 = u0 and ut |t=0 = 0.
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This is the Duhamel principle for the wave equation. Hence, using the Duhamel principle, we can get the DAlembert formula (EW): 1 u(x, t) = [(u0 (x + t) + u0 (x t) + 2 for the solution to utt uxx = 0 with the initial data u|t=0 = u0 and ut |t=0 = u1 . From this formula we know that the solution to the problem (OW) is unique with the formula (EW). One can show that, for fs (x) = f (x, s),
t x+ t
u1 (s)ds].
x t
u(x, t) =
0
Mfs (x, t s)ds
is the solution to utt uxx = f (x, t) with the initial data u|t=0 = 0 and ut |t=0 = 0. We leave this as exercise for readers. Remark One: We remark that if u0 = 0 and u1 0, then u 0 for all t. For each t, |u(x, t)| M0 + tM1 is bounded provided |u0 (x)| M0 and |u1 (x)| M1 . Similar bound is also true for ux and ut at each t provided |u0x (x)| C0 and |u1 (x)| C1 . We now assume that u0 = 0, u1 = 0 for all |x| > R for some R > 0. Then from the expression (EW), we have u = 0, ut = 0 for |x| > R + t. This is the nite propagation property of the wave equation. Remark Two: Dene the energy for u by 1 E (t) = (u2 + u2 x )dx. 2 R t
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Then we have
d E (t) = (ut utt + ux uxt )dx. dt R Using the integration by part to the last term we get d ut (utt uxx )dx = 0. E (t) = dt R So the energy E (t) is a constant, which is 1 (u2 + u2 0x )dx. 2 R 1 Remark Three: We now study the one dimensional wave equation on half line (HWE): utt uxx = 0, x R+ , t > 0, with initial data u|t=0 = u0 and ut |t=0 = u1 . Note that u0 (t + x) is the special solution to (HWE). So we can use it to transform the problem into the case when u0 = 0. Then we can use the odd extension method on the x-variable to extend the function u1 and the equation on the whole line. Then we can use the DAlembert formula to solve (HWE). One may also use this method to treat one dimensional wave equation on an interval, however, we have a more beautiful methodFourier method/Separation variable method to study this case. See the next section. Remark Four: We point out that we can use the DAlembert formula to treat some special case of higher dimensional wave equation. Here is the example : Consider the following problem for 2-dimensional wave equation utt uxx uyy = 0 with the initial data u|t=0 = (x) and ut |t=0 = (y ). Then we split the problem int to two one-dimensional problems: One is utt uxx = 0 with the initial data u|t=0 = (x)
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and ut |t=0 = 0. The solution for this one dimensional problem is 1 u(x, t) = [((x + t) + (x t)] 2 The other is utt uyy = 0 with the initial data u|t=0 = 0 and ut |t=0 = (y ). Its solution is 1 y +t (s)ds]. u(x, t) = [ 2 y t Hence, the solution to our original 2-dimensional problem is 1 u(x, y ; t) = [((x + t) + (x t) + 2
y +t
(s)ds].
y t
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4. lecture four 4.1. The method of separation of variables 1. The separation variable method for boundary value problems is looking for a solution as a sum of special solutions of the form X (x)T (t). Let u(x, t) = X (x)T (t) be a solution to the wave equation utt = a2 uxx on [0, l] [0, ) with the homogeneous boundary condition u(0, t) = 0 = u(1, t). The boundary condition gives us (BC): X (0) = 0 = X (1) Using the wave equation we have T X (x) = a2 T X , or T X = . a2 T X The left is a function of variable t and the right is a function of variable x. To make them be the same, they should be the same constant. Say . Then we have one equation for T : T + a2 T = 0 and the other equation for X : X + X = 0 with the boundary condition (BC). The latter is the simple case of the Sturm-Liouville problem. The key step in the Separation Variable Method is to solve this problem at rst. Case 1: When < 0, the general solution for X is
X (x) = c1 e Using (BC) we have
+ c2 e
c1 + c2 = 0 and c1 e + c2 e = 0, which implies that c1 = c2 = 0. Case 2: When = 0, the general solution for X is X (x) = c1 + c2 x. Again (BC) implies that c1 = c2 = 0.

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Case 3: When > 0, the general solution for X is X (x) = c1 cos( x) + c2 sin( x). The boundary condition (BC) gives us that c1 = 0 and c2 sin( ) = 0, and then = k 2 2 , k = 1, 2, ... Hence X (x) = Xk (x) = ck sin(kx) for k = 1, 2, .... Returning to the equation for T (t) with = k 2 2 , we get Tk (t) = ak cos(kat) + bk sin(kat). So Uk (x, t) = [ak cos(kat) + bk sin(kat)] sin(kx) is a typical solution to the one-dimensional wave equation with boundary condition. We remark here that a easy way to see 0 is using the integration relation:
+
|X |2 =
|X |2 .
We now look for a solution of the form u(x, t) =

k=1
[ak cos(kat) + bk sin(kat)] sin(kx)
to the wave equation utt = a2 uxx on [0, 1] [0, ) with the initial condition u = (x), ut = (x), t = 0 and the boundary condition u(0, t) = 0 = u(1, t). The reason for us to use such an expansion is the Fourier series theory. For general boundary conditions, the expansion can be used , but we have to invoke the Sturm-Liouville theory (see Appendix). We need to use the initial condition to determine the constant ak and bk . So we have
+
(x) =
k=1
ak sin(kx)
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and (x) =
kabk sin(kx).
k=1
Using the Fourier series expansion for (x) and we have ak = 2 and ( )sin(k )d
2 ( )sin(k )d. ka In this way, we get at least formally a solution to our problem. This is a basic method to solve linear pde. If the boundary condition is not homogeneous, saying bk = u(0, t) = (t), ; u(1, t) = (t), we have to make a transformation u(x, t) = v (x, t) + (t) + x( (t) (t)) and reduce the problem for v with the homogeneous boundary condition.
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4.2. The resonance problem. We now briey discuss the resonance problem of the one dimensional wave equation. Consider utt a2 uxx = A sin(t), (x, t) [0, L] (0, ) with homogeneous initial and boundary conditions u(0, t) = u(L, t) = 0 and u(x, 0) = 0 = ut (x, 0), where = for j = 1, 2, .... Then we have t jx aj Laj u(x, t) = sin( ) sin( ) sin( (t ))d aj L L 0 j
aj L
=
j
( 2
aj jx ( sin j t j sin t) sin( ) 2 j ) L j = aj L jx )dx. L
where and 2 aj = L Because we have

0
A(x) sin(
2 2 j which may cause the coecient aj . 2 2 j ( j )
We say that we may have the resonance phenomenon caused by .
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4.3. Wave equation in two dimensional disk. We denote BR (0) R2 the ball in the plane R2 . Lets consider the 2-dimensional wave equation utt = a2 (uxx + uyy ) on BR (0) [0, ) with the homogeneous boundary condition u(x, t) = 0, x BR (0) and the initial conditions u|t=0 = u0 and ut |t=0 = u1 . Introduce the polar coordinates (r, ) by x = r cos , y = r sin . Then u = urr + r1 ur + r2 u . The reason that we use polar coordinates here is because of the boundary condition in our problem being on the circle. Let u = T (t)U (x, y ) be the solution to our wave problem. Then T + a2 T = 0 and U + U = 0, U (R, t) = 0. It is easy to see that = k 2 > 0. Setting U = h()B (r) in the latter equation, we have h () r2 B + rB + k 2 r2 B = = 2 . h() B Then we get two problems: h + 2 h = 0, h( + 2 ) = h(), and B + r1 B + (k 2 2 r2 )B = 0, B (R) = 0. The last equation is called the Bessel equation. As before, we nd that = n = n and hn () = An cos(n) + Dn sin(n). Inserting = n into the Bessel equation, we have B + r1 B + (k 2 n2 r2 )B = 0, B (R) = 0.
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The general solutions of this equation are called the Bessel functions of order n. Just like trigonometric polynomials, Bessel functions form an orthonormal basis, and then we can use this basis to solve the wave problem above. One may look for reference book for more about the Bessel functions. Some people would like to dene the Bessel functions of order n as the coecients of the Fourier expansion:
exp(ir sin ) = where i =

n=
Bn (r)ein ,
1 and e
in
= cos(n) + i sin(n). Hence,
2 1 exp(ir sin in)d. 2 0 We remark that, if the domain is not a ball but a rectangle, we just let U (x, y ) = X (x)Y (y ).
Bn (r) =
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4.4. Wave equation in R3 . The other way to understand the higher dimensional wave equation for us is to try the Duhamel principle to the wave equation in Rn utt u = f ; f or (x, t) Rn R+ with the initial condition u = (x), ut = 0, at t = 0 by assuming that we know the solution u(x, t) to the homogeneous equation utt u = 0; f or (x, t) Rn R+ with the initial condition u = 0, ut = (x), at t = 0. We then use the descent method to study utt = u in Rn R in one dimension higher space Rn+1 R with initial conditions u = 0, ut = (x), at t = 0. In dimension three, we rst study the wave equation problem (3W): utt u = 0; R3 {t > 0} with the initial data u = 0, ut = (x), at t = 0. We nd that u(p, t) = 1 4a2 t (x)dx ,
Sat (p)
where Sat (p) = {x R3 ; r = |x p| = at}. In fact, let 1 I (x, r; g ) = ud 4 Br (x) for g = g (y ) C 2 (R3 ) and J := J (x, r; t) = rI (x, r, u) for u = u(y, t) be the solution to the problem (3W). Changing variables, we nd that 1 I (x, r; g ) = u(x + r)d 4 {||=1}
35
and g (x + z )dz =
BR (0) R 2 0 R
r dr
{||=1}
u(x + r)d
= =
0
4r2 I (x, r; g )dr.
We now compute
R
x
0
4r2 I (x, r; g )dr g (x + z )dz

BR (0)
= x =
BR (0)
x g (x + z )dz z g (x + z )dz
BR (0)
= =
R g (x + z )dz
BR (0)
=
B1 (0)
R g (x + R)R2 d
= = 4R2 R I (x, R; g ). So, we have

R
x
0
r2 I (x, r; g )dr = R2 R I (x, R; g ).
Note that
R
R x
0 R
r2 I (x, r; g )dr r2 I (x, r; g )dr

0
= x R
2
= R x I (x, R; g ) and R [R2 R I (x, R; g )] 2 = 2RR I (x, R; g ) + R2 R I (x, R; g ).
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Hence,
2 R2 x I (x, R; g ) = 2RR I (x, R; g ) + R2 R I (x, R; g ).
Dividing both sides by R, we have x RI (x, R; g ) 2 = = 2R I (x, R; g ) + RR I (x, R; g ) 2 = R (RI (x, R; g )). Now, 2J t2 = R 4 utt (x + R, t)d
B1 (0)
a2 R = 4 =
x u(x + R, t)d
B1 (0)
a2 x R 4
u(x + R, t)d
B1 (0)
= a2 x (RI (x, R; u)) = a2 x (RI (x, R; u)) 2J = a2 2 . R This is a one dimensional wave equation. We now determine its boundary condition and initial condition. Clearly, we have the boundary condition J (x, R; t)|R=0 = 0. At t = 0, J (x, R; t)|t=0 = RI (x, R; 0) = 0, and Jt (x, R; t)|t=0 = RI (x, R; ). Then we have J (x, R; t) = 1 2a
at+R
rI (x, r; )dr.
atR
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Hence, u(x, t) = lim = = = = That is, 1 (y )dy . 4a2 t Sat (x) Then we use the Duhamel principle in the study of the wave equation u(x, t) = utt u = f ; R3 {t > 0} with the initial data u = (x), ut = (x), at t = 0, and we have the famous Kirchho formula for the solution: 1 r1 f (x, t a1 r)dx u(p, t) = 4a2 Bat (p) 1 + (x)dx 4a2 t Sat (p) 1 (x)dx ] + t [ 4a2 t Sat (p) where Bat (p) = {x R3 ; r = |x p| at}. From this formula, we can see the Huygens principle that the wave at x0 at time t = 0 inuences the solution only on the boundary of a cone originating from x0 . We just remark that using the descent method, one can get a solution formula for two dimensional wave equation. One may see other textbooks for the other understanding of the Kirchho formula. J (x, R; t) R0 R at+R 1 lim rI (x, r; )dr R0 2aR atR 1 [RI (x, R; )]|R=at a tI (x, at; ) t ((x + at)d. 4 B1 (0)
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5. lecture five 5.1. The method of separation of variables 2. We begin with a typical example for heat equation with xed boundary conditions. We now describe the main idea. Let u(x, t) = X (x)T (t) be a solution to the heat equation ut = a2 uxx on [0, l] [0, ). Then formally, we have X T = . 2 aT X The left is a function of variable t and the right is a function of variable x. To make them be the same, they should be the same constant. Say . Then we have T + a2 T = 0 and (EX): X + X = 0. As in the wave equation case, we impose the homogeneous boundary condition X (0, t) = 0 = X (1, t) to solve X and . Multiplying both sides of (EX) by X and integrating over [0, 1], we have So > 0. Then we have X (x) = Xk (x) = ck sin(kx) for k = 1, 2, ... and = k = k 2 2 . Then we solve for T and get Tk (t) = T (0)exp(a2 k t) by imposing initial conditions for T . The lesson we have learned is that the solution to heat equation has exponential decay to 0 in t-variable as t . Using the superposition law, we can solve the heat equation by looking at solutions of the form Ak exp(a2 k 2 2 t) sin(kx)
k
X2 =
|X |2 > 0.
with the initial data (x) =

k
Ak sin(kx)
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Assume that we are given the heat equation ut = a2 uxx with non-homogenous boundary condition, we need to use transformations to make the boundary data into a homogenous condition, saying u(0, t) = 0 = ux (L, t). Then we have to meet the following non-homogenous heat equation ut = a2 uxx + f (x, t). To study this problem, we need to solve for {Xj } and = j to the Sturm-Liouville problem X + X = 0, with the boundary condition X (0) = 0 = Xx (L). Once this done, we do the expansion for f f (x, t) =
j
fj (t)Xj (x)
and look for solution u(x, t) such that u(x, t) =

j
uj (t)Xj (x).
Then we reduce the non-homogenous problem into the ODE uj = a2 j uj + fj (t) with suitable initial condition. Hence, we have the expression
t
uj (t) = ej t (uj (0) +

0
ej fj ( )d
t
and u(x, t) =
j
ej t (uj (0) +
0
ej fj ( )d )Xj (x).
Here uj (0) are determined by (x) =

j
uj (0)Xj (x).
We omit the detail here.
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5.2. Energy bound. Let L be a partial dierential operator on the domain D Rn such that for some 0 > j R, we have Lj (x) = j j (x), with a xed homogeneous boundary condition. Dene the function space E such that the functions {j } form an orthonormal basis for the space E with its norm given by u = a2 j
for u = aj j (x) E . Given a smooth function f C 1,2 (D [0, )). Assume that the expansion u = uj (t)j (x) is a solution to the partial dierential equation: ut = Lu + f, t > 0, with the initial data u = 0 at t = 0. Hence, uj (0) = 0 for all j . Assume that the known function f has the expansion f= fj (t)j (x)
with its norm on D [0, ) dened by f =

j 0
|fj (t)|2 dt < .
Then we have uj (t) = j uj (t) + fj (t). Hence, as before, we have the expression
t
uj (t) = ej t
0
ej fj ( )d.
Note that
2 2 (uj (t) j uj (t))2 = uj (t)2 + 2 j uj (t) 2j uj (t)uj (t) = fj (t) .
Then we have
T 2 2 (uj (t)2 + 2 j uj (t) )dt j uj (T ) = 0 0 T
fj (t)2 .
Note that we have assumed that j < 0. Hence, we have

2 (uj (t)2 + 2 j uj (t) )dt 0 0
fj (t)2 ,
2
which implies that t u

2
+ 2 u f
41
where 2 = infj {2 j }. This is the energy bound for the solution as we wanted.
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5.3. Fundamental solution to Heat equation. We study the heat equation (HE) on Rn [0, +): ut = u, with the initial data u = g (x) at t = 0. Assume that u is a smooth solution of (HE). Note that for > 0, the function u (x, t) = u(x, 2 t) is also a solution of (HE). So we try to look for solutions of the form u(x, t) = t f (|x|2 /t). Set r = |x|2 /t. Then we nd that ut = t 1 f + t ( u = u |x| |x|2 )f = t 1 f rt 1 f , t2
= 2|x|t 1 f 2 = u |x|2 = 2t 1 f + 4|x|2 t 2 f
= 2t 1 f + 4rt 1 f n1 u = u + u |x| = 2t 1 f + 4rt 1 f + 2(n 1)t 1 f = 4rt 1 f + 2nt 1 f . So, 2n f + f + 4f + f = 0. r r Let = n/2. Then we have 4(rn/2 f ) + (rn/2 f ) = 0. Then for some constant A, 4rn/2 f + rn/2 f = A. Take A = 0. Then we have 4f = f.
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Assume that f C = const. as r +. Then we have f 0 as r +. So f = Ber/4 . Choose B = 1/(4 )n/2 . Dene, for t > 0, K (x, t) =
|x|2 1 4t . e (4t)n/2
This is called the Gaussian kernel, which is also called the Poisson kernel. It is easy to verify that K (x, t)dx = 1.
Rn
Theorem 2. Given g (x), we let u(x, t) =

Rn
K (x y, t)g (y )dy.
Then u(x,t) satises the heat equation (HE) and as t 0, u(x, t) g (x). Roughly speaking, the theorem says that this u(x, t) is the solution to our problem at the beginning of this subsection. Proof. For t > 0, we can take derivatives into the integrand term, and then u satises (HE) since K does. Without loss of generality, we now assume n = 1. Assume that there is a positive constant M > 0 such that |g (x)| M, x R. We use two step argument. Step one: Given an arbitrary small > 0. For any xed point x R, we have some 0 > 0 such that, for |x y | < 0 , |g (y ) g (x)| < . 2 Step two: We take 1 > 0 small enough such that for 0 < t < 1 , K (x y, t)dy <
{|xy |0 }
4M
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Then we have |u(x, t) g (x)| = | |

{|xy |0 }
K (x y, t)(g (y ) g (x))dy | K (x y, t)(g (y ) g (x))dy | K (x y, t)(g (y ) g (x))dy |

{|xy |<0 }
+ | 2M
K (x y, t)dy
{|xy |0 }
+
{|xy |<0 }
K (x y, t)dy 4M + 2 = .
< 2M
Here we have used the fact that K 0 and K (x y, t)dy = 1 for any t > 0. This says that u(x, t) g (x) as t 0.
We now study the behavior of the solution dened above as |x| . Theorem 3. Assume g C 0 (Rn ) satises g (x) 0, as |x| . Then for the solution u(x, t) dened above, we have u(x, t) 0, x u(x, t) 0, as |x| . for each t > 0. Proof. Fix t > 0. Choose R > 0 sucient large. Then by our assumption on g (x), we have supBR (x) |g (x)| 0, |x| .
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Note that |u(x, t)|

Rn
K (x y, t)g (y )dy K (x y, t)dy

B R ( x)
supBR (x) |g (x)| + supRn BR (x) |g (x)|
K (x y, t)dy
R n B R ( x)
supBR (x) |g (x)| + C (t)supRn |g (x)|

R
2 /4 t
n1 d
0 + o(R) as |x| . Here C (t) is a constant depending only on t and o(R) is as small as we like for R large. Hence, we have showed that |u(x, t)| 0, as |x| . Using the polar coordinates (, ), we can also show that |j u(x, t)| 0, as |x| . We omit the detail here.
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5.4. Comments on Fundamental solutions. The Gaussian kernel K (x y, t) satises the heat equation for t > 0. For t = 0, we understand it in the generalized sense that K (x y, 0) = x (y ). Here we dene x (y ) as the generalized function by < x (y ), g (y ) >:= x (y )(g (y )) = g (x). That is, we consider x (y ) as a function dened on the function space (R). This x () is called (Rn ). Then, x is a linear functional on C0 C0 Diracs delta function or Dirac measure. One can also consider the delta function 0 (x) as the limit of a sequence of nice functions. For example, assume that n = 1 and let 1 qj (x) = , x [1/j, 1/j ] and qj (x) = 0 |x| > 1/j. 2j Then qj (x)dx = 1,
R (R), and for x = 0, qj (x) 0 and at x = 0, qj (0) ; or for C0
< qj , > =
R
qj (x)(x)dx
1 1/j = (x)dx (0) 2j 1/j = < 0 , > . as j . If so, we dene limqj = 0 . We ask the reader use the rst concept of limit to understand delta function. I would like to point out that the latter limit is more rigorous denition. We may nd other sequences which have 0 as its limit. For example, let (x) = me
1 1|x|2
, f or |x| < 1, (x) = 0, f or |x| 1
where m > 0 is a constant such that (x)dx = 1,

R
and let where t > 0. Then
1 t (x) = (x/t), t t (x)dx = 1

R
and limt0 t = 0 .
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Generally speaking, for any given continuous function u(x) in Rn , we can also consider u as a linear functional on the space C0 (Rn ) with < u, >=
Rn
u(x)(x)dx.
With this understanding, we say K (x y, t) is the fundamental solution the heat equation on Rn R+ . We emphasize that we call K (x y, t) is a fundamental solution to the heat equation on the whole space because K (x y, t) satises the heat equation for t > 0, and we consider K (x y, t) as a generalized function which is the delta function for t = 0. We now consider the heat equation on the half line [0, ) with the boundary condition u(0, t) = 0, and the initial condition u = (x), t = 0. For this case, the fundamental solution is (x, y, t) = K (x y, t) K (x + y, t). So in some sense, we use the odd extension to keep the boundary condition. So the function dened by u(x, t) =
R+
(x, y, t)g (y )dy
satises the heat equation on the half line [0, ) with boundary condition u(0, t) = 0 and the initial value condition u = (x), t = 0. If we consider the heat heat equation on half line [0, ) with the boundary data ux (0, t) = 0. Then the fundamental solution to his problem is (x, y, t) = K (x y, t) + K (x + y, t). Here we have used the even extension to keep the boundary condition.
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6. lecture six 6.1. Fundamental solution to Laplace equation. Consider the Laplace equation (L) on Rn : u = 0. A solution to the Laplace equation in a domain is called a harmonic function. Let r 0 such that r2 = (xi )2 .
i
Then we have rdr =

i
xi dxi .
Then
r xi = . xi r Let u = v (r) be a solution of (L). Note that xi u xi = v , r and Then we have u = v + Solve v + 1 (xi )2 (xi )2 u xi xi = v ( 3 ) + v . r r r2 n1 v. r
n1 v = 0. r c rn1 f or n = 2,
We nd that v = for some constant c and v = a log r + b, and
v = ar2n + b, f or n 3, for some constants a and b. Choose b = 0. Dene 1 (x) = log r, f or n = 2, 2 and 1 (x) = r 2 n , f or n 3. n(n 2)|S n1 |
49
Here |S n1 | is the volume of the sphere S n1 . Let (x, y ) = (x y ) for x, y Rn . This function (x, y ) is called the fundamental solution (or Green function ) to the problem (L). In fact, we can consider y (x y ) = x (y ). If so, we have u(x) = < x (y ), u(y ) > = < (x y ), u(y ) > =
Rn
(x y )u(y )dy (x y )u(y )dy

Rn
= =
Rn
(x y )f (y )dy.
To understand this, we need to use the second Green formula. Here we recall the second Green formula as follows. Given two smooth functions dened on a bounded domain D with piece-wise smooth boundary. We denote the outer unit normal to the boundary D. Then we have (v u uv )dx =
D D
(v u uv )d.
0 (Rn ), i.e, f is continuous in Rn and f (x) = Theorem 4. Given f C0 0 in the outside of some large ball. Let
u(x) =
Rn
(x y )f (y )dy.
Then the function u satises the Poisson equation u = f, in Rn . Proof. For simplicity, we assume n = 2. Take R > 1 large such that f = 0 outside BR . Fix x R2 . Using the second Green formula on the region BR B (x), where 0, we get that (x, y )(u(y ))
BR
= lim
0 B R B ( x)
(x, y )(u(y )) ((x, y )r u(y )

{|y x|= }
= lim
0
r (x, y )f (y ))d,
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where r = |x y and r u(y ) = Note that
|(x, y )r u(y )|d

{|y x|= }
1 2
1 ln |r u(y )| r {|y x|= }
sup|u| |ln | 0, and

{|y x|= }
r (x, y )u(y )d r ln(r)u(y )d

{|y x|= }
= = =
1 2 1 2 1 2
{|y x|= }
1 f (y )d r u(y )d
{|y x|= }
u(x) as 0. This shows that the function u satises

R2
(x, y )u(y )dy = u(x).
We ask our readers to verify the n 3 case. Lets study the Poisson equation on bounded domain. Let D Rn be a bounded domain with piece-wise smooth boundary. We now consider the problem (PD): u = f, in D with the boundary condition u(x) = (x) for x D. Then using the second Green formula and the fact v = being the fundamental solution on the whole Rn , we get (U1): u(x) =
D
(x y )f (y )dy ((x y )u(y ) (y )(x y ) )dy .

D
This expression still contains a unknown term for u(y ) on the boundary D. To overcome this drawback, we introduce, for each xed point x D, the harmonic function g (x, ) with its boundary
51
data g (x, y ) = (x y ) for y D. Using the expression above for v = g (x, y ), we have (U2): 0 =
D
g (x, y )f (y )dy (g (x, y )u(y ) (y )g (x, y ) )dy .

D
+ Set
G(x, y ) = (x y ) + g (x, y ). Note that G(x, y ) has zero boundary value for y , i.e, G(x, y ) = 0, y D. Adding (U1) and (U2), we obtain that u(x) =
D
G(x, y )f (y )dy (y )G(x, y ) dy .

D
We call G(x, y ) the Green function (or fundamental solution )for the problem (PD). Lets consider the boundary value problem for Laplace equation. ) satises Assume that u C 2 (D) C (D u = 0, in D Rn , with the Dirichlet boundary condition u(x) = (x) C (D), x D. As before, for x D, we have u(x) =
D
(x y )(u(y ))dy ((x y )u(y ) (y )(x y ) )dy

D
+ =
D
(y )(x y ) dy .
Let P (x, y ) = (x y ) for x D and y D. We call P (x, y ) the Poisson kernel to the boundary value problem in D. Then it can be veried that the function dened by u(x) =
D
P (x, y )(y )dy ,
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which is called the Poisson formula, is the solution to the boundary value problem in D. We now point out a nice observation about the construction of harmonic functions. Given two harmonic functions u1 and u2 on the same domain D Rn . We want to nd a harmonic function U (x, y ) dened on the one dimensional higher cylindrical domain D [L1 , L2 ] such that U (x, L1 ) = u1 (x) and U (x, L2 ) = u2 (x). This function can be achieved by setting L2 y y L1 U (x, y ) = u1 (x) + u2 (x). L 2 L1 L 2 L1
53
6.2. Mean value theorem for harmonic functions. Given a harmonic function u in a domain D. We take a ball BR (p) in the domain D. p Note that x = p + r, where r = |x p| and = x . Using the r divergence theorem, we get 0=
Bt (p)
u =
Bt (p)
u d. r
Then we have the the right side of the identity above is tn1
B1 (p)
u (p + t)d = tn1 r t
u(p + t)d.
B1 (p)
Here, we want to point out that the notation u (p + t) r means the radial derivative of function u taking value at x = p + t. It is not a composite derivative for independent variables (r, . Hence, 0 = tn1 This implies that t1n
Bt (p)
1n (t t
ud).
Bt (p)
ud
is a constant for all t R. Then 1 |Bt (p)| ud =

Bt (p)
1 |BR (p)|
BR (p)
ud.
Using the mean value theorem and sending t 0, we have u(p) = Then u(p)|BR (p)| =
BR (p)
1 |BR (p)|
BR (p)
ud.
ud.
If we take integration in R, we have u(p) = Hence, we have 1 |BR (p)| udx.

BR (p)
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Theorem 5. Given a harmonic function u in a domain D. We take a ball BR (p) in the domain D. Then we have 1 u(p) = ud. |BR (p)| BR (p) and u(p) = 1 |BR (p)| udx.
BR (p)
Mean value theorem is a basic property for harmonic functions. As an application we prove the following result. Theorem 6. (Liouville Theorem). If u is a bounded harmonic function in the whole space Rn . Then u is a constant. Proof. Method One. Let M > 0 such that |u(x)| M for all x Rn . Note that 1 u(x + y )dy. u(x) = |BR (0)| BR (0) Hence, 1 xi u(x) = i u(x + y )dy |BR (0)| BR (0) 1 = i u(x + y )dy , |BR (0)| BR (0) where i = xi /R, and then, M |BR (0)| 0 |BR (0)| as R . This implies that u is a constant. Method Two. Fix any two point x0 and x1 . Then for any R > 0, we have 1 ( udx udx) u(x0 ) u(x1 ) = |BR (0)| BR (x0 ) B R ( x1 ) 1 = ( udx udx). |BR (0)| BR (x0 )BR (x1 ) B R ( x1 ) B R ( x0 ) |xi u(x)| Hence, |u(x0 ) u(x1 ) 1 ( |BR (0)| |u|dx +
B R ( x0 ) B R ( x1 ) B R ( x1 ) B R ( x0 )
|u|dx)
2M |BR (x1 ) BR (x0 )| |BR (0)| 0
55
as R (since |BR (x1 ) BR (x0 )| Rn1 and |BR (0)| Rn ). That is to say, u is a constant.
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6.3. Monotonicity formula for Laplace equation. This subsection is only written for readers not just for fun, but also for its fundamental role in the regularity theory of nonlinear elliptic and parabolic equations. It is not required for the examination for students even though it is really important for modern PDE. Recently I and my students have found a monotonicity formula for solutions to a very large class of elliptic and parabolic equations. We can not exhibit it here, however, we would like to show the classical monotonicity formula for harmonic functions. Assume that u is a harmonic function in a ball BR := BR (p) with center at the point p and of radius R. It is easy to see that the integral |u|2 dx
BR
is a non-decreasing function of R. To our surprise, so is R 2 n

BR
|u|2 dx.
Why? let us prove it. Recall that u = 0 in the ball BR . Let X (x) = (Xj (x)) = x p be a radial type vector eld in BR . Recall that on BR , the outer unit normal is = (x p)/R. We denote by ui = We now have 0=
BR
u 2u = u, u = . i ij xi xi xj u u Xd +
BR BR
uu X =
u (u X )dx.
Then we re-write it as u u Xd =
BR BR
u (u X )dx.
Note that u u Xd = R
BR BR
|r u|2 .
and u (u X )dx =
BR BR
i ui (j uXj )dx =
BR
(|u|2 + uij ui Xj ).
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Using integration by part to the last term, we have 1 R 1 uij ui Xj = j |u|2 Xj = |u|2 2 2 BR 2 BR Then we have u (u X )dx =
BR
n|u|2 .
2n 2
|u|2 +
BR
R 2
|u|2 ,
BR
and (n 2)
BR
|u|2 = R
BR
(|u|2 2|r u|2 )d.
We now compute R [R2n

BR
|u|2 ] = R2n
BR
|u|2 + (2 n)R1n
BR
|u|2
= 2R2n
BR
|r u|2
0. This implies that the function R 2 n

BR
|u|2
is a monotone non-decreasing function of R. More precisely, we have proved the following result. Theorem 7. Assume that u is a harmonic function in a ball BR . Then R 2 n
BR
|u|2 r2n
Br
|u|2 = 2
BR Br
|x p|2 |r u|2
for all r < R. In particular, the function r 2 n

Br
|u|2
is a monotone non-decreasing function of r. Monotonicity formulas play a very important role in the regularity theory of weak solutions to nonlinear parabolic and elliptic partial dierential equations/ systems.
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7. lecture seven From the previous sections, we know that solving a PDE is not easy matter. To handle PDE on unbounded domains, in particular, PDE on whole space, people try to use integration type of transformations to reduce ODE into algebraic equations and to reduce linear PDE into to ODE. The famous Laplace and Fourier transforms are for this purpose. In this section, we always assume that our functions have a good decay at innity such that the integrals converge. 7.1. Laplace transforms. We dene, for a function y = y (t) C 0 [0, ), the Laplace transform by
L(y )(s) =
0
y (t)est dt.
Remark: It is clear that if there is some constant M > 0 such that |y (x)| eM x , f or x > 0 then the Laplace transform for y is well dened. From the denition, we have L(y1 + ay2 ) = L(y1 ) + aL(y2 ) for every real number a R. Note that
L(y )(s) =
0
y (t)est dt = y (0) + sL(y )(s).
By induction, we get
k
L(y
(k )
)(s) = s L(y )(s)

j =1
y (j 1) (0)skj .
We can use this property to solve the following ODE: y + ay + by = g (t), with initial conditions y (0) = 0 = y (0), where a, b are constants and g (t) C 0 [0, ). In fact, let Y (s) = L(y )(s). Then we have s2 Y + asY + bY = L(g ). Hence, we have Y = s2 L(g ) . + as + b
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Denote by L1 the inverse of the Laplace transform. We remark that, using complex analysis and inverse Fourier transform (see next section), it can be proved that
a+i 1 L (Y )(t) = Y (s)est ds 2i ai where a is the real part of s = a + ib, which is a complex variable in the plane. Then we have L(g ) y (t) = L1 [ 2 ]. s + as + b In general, we have a list of Laplace transforms of special functions to use. So we shall invoke to special book on Laplace transforms. Example. We now compute one example to close this part. Given 1
y (t) = tn . Then we have L(y )(s) =

0
tn est dt.
We do the computation step by step. 1 n st L(y )(s) = t e d(st) s 0 1 tn1 est dt] = [n s 0 = ... n! = n+1 . s
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7.2. Fourier transforms. We rst introduce the Schwartz space S. We say f is a Schwartz function on R if f is smooth and for any non-negative integers m, n, |x|m |f (n) (x)| 0 as x . Then the Schwartz space is the space of Schwartz function (R) is a subspace of S. The important example is on R. Note that C0 that the function 2 gA (x) = eAx is in the space of Schwartz space, where A > 0 is a constant. We denote g (x) = g1 (x). Dene the Fourier transform of a Schwartz function. Let f be a smooth function in S. Dene ( ) = 1 f f (x)eix dx, 2 which is called the Fourier transform (in short, F-transform) of f in . R. Set F (f ) = f Remark: From the denition formula, we see that the Fourier transform makes sense for any function f L1 (Rn ), that is, |f (x)|dx < .
Rn
From the denition of the F-transform, we can see that the Schwartz space is the invariant set of F-transform, that is, F : S S. Example 1: Lets compute the Fourier transform of the function gA (x) above. By denition, 1 gA ( ) = 2 Note that i 2 2 , Ax ix = A(x + ) 2A 4A2
2
eAx eix dx.
and eAx dx = Then we have e 4A2 gA ( ) = 2

2 2 1 2 eAx dx = e 4A2 . 2A 2
. A
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From this we can see that, for A3 = 1 , gA is the eigenfunction of the 4 F-transform. 2 x2 1 1 4a t . Then For t > 0, let A = 4a e 2 t and let g (x, t) = a 2t F [g (x, t)]( ) = ea We shall use this expression. Example 2: Let qj (x) = Then 1 qj ( ) = 2 2j Hence, qj ( ) 0, f or = 0 as j , and 1 qj (0) = . 2 Given h, 0 = R. Let (h f )(x) = f (x h), ( f )(x) = f (x). Then by denition, we have ( ) (h f )( ) = ei(h) f and (/). ( f )( ) = 1 f Hence, for ( g )(x) = e we have
2 1 g ( ) = 1 g (/) = e 42 . 2 2 x2 2 2 t
1 , f or |x| 1/j, and qj (x) = 0, f or |x| > 1/j. 2j 1 sin j eix dx = . 2 j 1/j
1/j
Given two functions f and g . Dene their convolution by f g (x) = f (x y )g (y )dy.
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Then we have F (f 1 g (x)) = f g (x)eix dx 2 1 = = eix dx f (x y )g (y )dy 2 1 = g (y )eiy dy f (x y )ei(xy) dx 2 g = 2 f .
The most important property is that the F-transform of the derivative fx is a multiplication: f x ( ) = i f ( ).
1 This property gives us a chance to dene the inverse operator x of x by the denition 1 f ( ) = (i )1 f ( ). x
Clearly, we have
1 x x f = f.
Remark: One may see more interesting properties about Fourier transforms in the subject called Harmonic/Fourier Analysis , which is one of the beautiful theory of modern mathematics. Lets going back. By an elementary computation, we have the following symmetry formula : u(x) g (x)dx = Dene ( ) = 1 f f (x)eix dx, 2 which is called the inverse Fourier transform of f . In short we write it by F (f ). By an elementary computation and the symmetry property, we have Proposition 8. = f f and = f. f Proof. Lets verify the latter equality. In fact, note that gA (x) 1, u (y )g (y )dy.
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as A 0 and
2 1 gA ( ) = e 4A2 20 , 2A as A 0. Then, by symmetry property, (0) = 1 ( )d f f 2 1 ( )d = limA0 gA ( )f 2 1 = limA0 gA (y )f (y )dy 2 = f (0).
In general, we let f1 (y ) = f (y + x). Then 1 f (x) = f1 (0) = 2 1 f1 ( )d = 2 eix d. f
Using this we can prove Theorem 9. (Plancherel Theorem): Given u S, we have |u|2 dx = |u |2 d
Proof. In fact, using the inverse Fourier transform, we have that 1 u(x) = 2 u (y )eixy dy = u (x).
Let g = u in the above equation. So u =g . Using the symmetry formula. Then we have |u |2 = u u = u g = ug = |u|2 .
One can dene n-dimensional Fourier transform of f in Rn by ( ) = 1 f ( 2 )n f (x)eix dx.
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Here x is the inner product in Rn . The inverse Fourier transform of f in Rn is dened by ( ) = 1 f f (x)eix dx. n ( 2 ) Similar properties in dimension n are also true for n-dimensional Fourier transforms. In particular, Plancherel Theorem in Rn is true. One important fact lying behind the Fourier transform is that for the linear operator A[u] = u (x), we have the spectrum property: A[eix ] = | |2 eix .
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7.3. Heisenberg uncertainty principle. For any smooth function u (maybe complex-valued) vanishing at innity with |u|2 = 1, we have ( x2 |u(x)|2 dx)( with its equality true only at u(x) = Aex , where > 0 and A4 = 2/ . The inequality above is the so called Heisenberg uncertainty principle. Proof. Integrating by part, we have 1= |u|2 = 2 xu u 2 |x||u||u |.
2
1 2 |u |2 d ) , 4
Using the Cauchy-Schwartz inequality we have (H): 1 4( with equality at u = xu. The latter condition implies that u = Aex
2
2 /2
x2 u2 )(
|u |2 ),
Using u = 1 we have = 2 and the relation between A and . Note that |u |2 = 2 |u |2 . Inserting this into (H), we then get what wanted. Notice that, as a byproduct, we have 1 u2 ( x2 u2 )1/2 ( |u |2 )1/2 , 2 1 for every u C0 (R). There are a lot of applications of Fourier transforms in the various branches in sciences and technologies. I hope our readers can read more books on Fourier transforms and Fourier analysis. Please read as more as you can.
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8. lecture eight 8.1. Application of Fourier transforms. First, let us use the F-transform to solve the wave equation utt = u, on Rn R+ Take F-transform for the variable x on both sides. Then we have u tt (, t) = | |2 u (, t). Solving this ODE, we get u =u (, 0) cos(| |t) + ut (, 0) sin(| |t) . | | sin(| |t) ). | |
Using the inverse F-transform we nd the solution expression: u(x, t) = F ( u(, 0) cos(| |t) + ut (, 0) Set u(x, 0) = f (x), ut (x, 0) = g (x). The solution can be written as 1 sin(| |t) ix ( ) cos(| |t) + g u(x, t) = (f ( ) )e d. n | | ( 2 ) Using the relations 1 cos(| |t) = (ei||t + ei||t ) 2 and sin(| |t) 1 = (ei||t ei||t ), | | 2i| | we have 1 u(x, t) = ( 2 )n where
i(x+| |t) i(x| |t) (f +f )d, ( )e + ( )e
1 1 g ( )) f + ( ) = (f ( ) + 2 i| |
1 1 f g ( )). ( ) = (f ( ) 2 i| | Using the similar approach, we can use properties of F-transform to solve the heat equation ut = u, on Rn R+
and
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Take F-transform for the variable x on both sides. Then we have u t (, t) = | |2 u (, t). This is a rst order ode, and we can solve it to get u =u (, 0)exp(| |2 t). Using the inverse F-transform we have u(x, t) = F ( u(, 0)exp(| |2 t)). Let gt (x) := g (x, t) = Then g t ( ) = exp(| |2 t). Given the initial data u(x, 0) = f (x) in Rn . Let 1 f gt (x). u(x, t) = ( 2 )n Let 1 2 Ht (x) := H (x, t) = e|x| /4t . n/ 2 (4t) Then u(x, t) = f Ht (x). exp(| |2 t), and u Hence, u (, t) = f t (, t) = | |2 u (, t). This shows that u = f Ht is the solution to the heat equation with initial data u(x, 0) = f (x). 1 2 e|x| /4t . (2t)n/2
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8.2. Laplace equation in half space. Our problem is to solve the Laplace equation u = uxx + uyy = 0 on the half space R2 + = {(x, y ); y > 0} with boundary condition u(x, 0) = f (x). To use the F-transform method, we think of uy (x, 0) = 0. Then we have | |2 u (, y ) + u yy (, y ) = 0. Solve this and we nd ( )exp(| |y ). u (, y ) = u (, 0)exp(| |y ) = f Dene Py (x) = F (exp(| |y ))(x). Then by an elementary computation, we have Py (x) = F (exp(| |y ))(x) 1 = e||y+ix d 2 1 = ey+ix d 2 0 0 1 ey+ix d + 2 1 1 1 = ( + ). 2 y + ix y ix This implies that 1 2y Py (x) = . 2 2 x + y 2 Hence 1 u = f Py , 2 and 1 u(x, y ) = f Py (x) 2 is the solution wanted for the problem above.
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8.3. Derivative bound. We ask the following question. Given a smooth function u S(Rn ). Assume the bound M0 of |u| and the bound M2 of |u| on Rn . Can we give a bound of |u| on Rn in term of M0 and M2 ? We answer this question below. Let u + u = f, in Rn . Using the Fourier transform, we get . (| |2 + 1) u=f Then we have u = Dene 1 . f | |2 + 1
1 1 B2 (x) = F ( 2 )(x). | | + 1 ( 2 )n u(x) = B2 f (x)
Then we have and |u(x)| = |B2 f (x)| |B2 | |f |(x). Using the knowledge from calculus we can show that |B2 |(y )dy := B < .
Rn
Notice that |f (y )| max|u| + max|u|, where max means taking maximum value over the domain Rn . Hence, we have |u(x)| B (max|u| + max|u|). Using the function u(rx) (with r > 0 to be determined) to replace u in the inequality above, we have r|u(rx)| B (max|u| + r2 max|u|). Since r > 0 can be any positive number, we get |u(rx)|2 4B 2 max|u|max|u|. Therefore, max|u| 2B max|u|max|u|.
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9. lecture nine 9.1. Maximum principle (MP) for Laplace operator. The Maximum Principle (MP) is a beautiful property for solutions to Laplace equations and heat equations. One can use the Maximum principle to get uniform bound for a solution and its derivatives. Consider a smooth solution u to the following elliptic partial dierential inequality in a bounded domain D in the plane R2 (IPDE): uxx + uyy > 0. Note that there is no maximum point of u in the interior of the domain D. For otherwise, assume (x0 , y0 ) is and then we have u(x0 , y0 ) = 0, DT DT u(x0 , y0 ) 0, for any direction T R2 . The latter condition implies that the matrix D2 u(x0 , y0 ) is non-positive, that is, D2 u(x0 , y0 ) 0. Hence, (uxx + uyy )(x0 , y0 ) 0, which contradicts to (IPDE). Therefore, we have supD u = supD u. Assume that we only have uxx + uyy 0 in the domain D. Then we choose w = u + ex for small positive constant and large positive constant . Note that ex > 0. Then we have w > 0. Hence, we have supD w = supD w. Sending , we get that supD u = supD u. Clearly, the above argument is true for general domains in Rn . This is the maximum principle for elliptic pde of second order.
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Theorem 10. Maximum Principle. Assume u is a smooth function satisfying u 0, in D. Then we have supD u = supD u. Remark: (1). It is clear from our argument that the function u ) satisfying C 2 (D) C (D uxx uyy < 0, in D, can not reaches its maximum in the interior of the domain D. In fact, if it has the maximum point at (x0 , y0 ) in the interior of D, then we have uxx 0, uyy 0 at (x0 , y0 ). Hence, we have uxx uyy (x0 , y0 ) 0, a contradiction! This implies that supD u = supD u. The same argument applies to the dierential inequality: det(D2 u) < 0, in D. (2). The Maximum principle is true for many nonlinear elliptic and parabolic partial dierential equations of second order. It is a basic tool in the study of these kinds of pdes.
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9.2. MP for heat equations 1. Assume that D is a bounded smooth domain in Rn . As before, we let Q = {(x, t); x D, 0 < t T }, and let ; x D, or t = 0} p Q = {(x, t) Q be the parabolic boundary of the domain Q. We now consider the heat equation (HE): Lu := ut a2 u = f (x, t) ) is a solution to (HE). Here on Q. We assume that u C 2,1 (Q) C (Q C 2,1 (Q) is the space of continuous functions which have continuous x-derivatives up to second order and continuous t-derivative. ) satises Lu 0 on Theorem 11. Assume that u C 2,1 (Q) C (Q Q. Then we have maxQ u(x, t) = maxp Q u(x, t). Proof. We rst assume that Lu(x, t) < 0 in Q. Assume that there is an interior point (x0 , t0 ) Q such that u(x0 , t0 ) = maxQ u(x, t).
2 u 0, and ut 0. This Then we have at the point (x0 , t0 ), u = 0, Dx implies that u(x0 , t0 ) 0 and
Lu(x0 , t0 ) 0, a contradiction. Hence, u can not have an interior maximum point and then maxQ u(x, t) = maxp Q u(x, t). For general case when Lu(x, t) 0, (x, t) Q, we let, for > 0, v (x, t) = u(x, t) t. Then Lv (x, t) = Lu(x, t) < 0, (x, t) Q. Then we can use the result above to v (x, t) to get maxQ v (x, t) = maxp Q v (x, t). Note that maxQ u(x, t) maxQ v (x, t) and maxp Q v (x, t) maxp Q u(x, t) + T.
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Sending 0, we get maxQ u(x, t) maxp Q u(x, t). , we have However, since p Q Q maxQ u(x, t) maxp Q u(x, t). Hence, maxQ u(x, t) = maxp Q u(x, t). We are done. Lets consider an easy application of the maximum principle. ) with F := maxQ Theorem 12. Given f C (Q |f |. Assume that 2 ,1 u C (Q) C (Q) satises Lu = f (x, t), (x, t) Q with u(x, t) = (x, t) on p Q. Then we have maxQ u(x, t) = F T + maxp Q |(x, t)|. Proof. Denote by B = maxp Q |(x, t)|. Consider the function w(x, t) dened by w(x, t) = F t + B u(x, t). Then Lw = F f 0, on Q and on p Q, w 0. By the Maximum principle above, we have w(x, t) 0, (x, t) Q, which implies the conclusion wanted.
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9.3. MP for heat equations 2. We show in this subsection that the maximum principle cab be proved to be true for the heat equation by another method. Theorem 13. Given a bounded continuous function g (x) on the smooth bounded domain D Rn . Let u = u(x, t) be a non-trivial smooth ) to the heat equation (HE): solution in C (D ut = u, on D [0, T ) with initial and boundary conditions u(x, 0) = g (x), x D; u(x, t) = 0, D [0, T ) where D is a bounded piece-wise smooth domain in Rn . Then, max |u(x, t)|
x D
is a monotone decreasing function of t. Proof. Consider a new function dened by Jk (t) =

D
|u|2k dx.
Recall that, for each t, M (t) := supxD |u(x, t)| = lim Jk (t)1/2k .
k+
First, we note that inf limJk (t)1/2k suplimJk (t)1/2k M (t). So we only need to show that M (t) inf limJk (t)1/2k . , we In fact, For xed t, since u is a bounded continuous function in D have a sub-domain Q D such that on Q , M (t) |u(x, t)| Hence (M (t) )|Q|1/2k Jk (t)1/2k M (t)|D|1/2k Sending k +, we have (M (t) ) inf limJk (t)1/2k suplimJk (t)1/2k M (t). Since > 0 can be any small constant, we get limk+ Jk (t) M (t). We remark that the last inequality is also true for any bounded continuous function dened on a unbounded domain D.
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Note that dJk = 2k u2k1 ut = 2k u2k1 u. dt By using integration by part, we have dJk = 2k (2k 1) u2k2 |u|2 < 0. dt Hence Jk (t) is a monotone decreasing function of t. Therefore, max |u(x, t)|
x D
is a monotone decreasing function of t too. Remark 1. If we assume u 0 in Q satises ut u, in Q. The same conclusion as in the theorem above is also true. Remark 2. Given a constant A > 0. If we assume u 0 in Q satises ut a2 u Au, in Q. Then, arguing as before, we have Jk (t) Jk (0)e2kAt , which implies that M (t) M (0)e2at . Remark 3. Note that for any bounded continuous function f dened on a unbounded domain D with D |f |p dx < for some p > 0, we still have M := supD |f (x)| = lim ( |f |k dx)1/k .
k D
According to the remark made in the proof of the theorem above, we only need to prove that suplimk (
D
|f |k dx)1/k M.
However, it is almost trivial since suplimk (

D
|f |k dx)1/k suplimk (M kp
D
|f |p dx)1/k = M.
With an easy modication, we can extend the above theorem into unbounded domain D. We omit the detail.
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10. lecture ten 10.1. Variational principle. Variational principle is a important tool in sciences. One of the beautiful result in the calculus of variations is the Noether principle, which can not be presented here. We can only touch the the concept of variational structure. We discuss the variational method for Laplace equation in a region of dimension two. Given a bounded domain D Rn . We introduce the Dirichlet energy (so called the variational structure) I (u) =
D
|u|2 dx,
for any smooth function u : D R with xed boundary value u(x) = (x), x D. We denote A by such a class of functions. We look for a function w A such that I (w) = infuA I (u). 1 Assume such a function w exists. Then for every C0 (D), we have w + t A for every t R. So we have, for all t R, I (w) I (w + t ) and then d I (w + t )|t=0 = 0. dt Note that I (w + t ) = Hence, d I (w + t )|t=0 = 2 w = 0. dt Assume that w C 2 . Then using integration by part, we have (w ) = 0.
1 Since can be any testing function in C0 (D), we get the Euler-Lagrange equation for the functional I (), by the variational lemma (see our textbook [1]), that w = 0, in D,
[|w|2 + 2tw + t2 | |2 ].
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with the boundary condition w = on D. This is the famous Dirichlet problem in the history. The recent study is about the obstacle problem for harmonic functions. Remark: We mention that the existence of the inmum w can be proved by using the Hilbert space theory, which is a beautiful part of the course Functional Analysis. It will be really helpful for readers to know some knowledge about Sobolev spaces. Here are some simple facts about it. Let I = [a, b]. We consider L2 (I ) as the completion of the space C0 (I ) with respect to the norm |f | = (
I
|f (x)|2 dx)1/2 .
In the other word, the element f (which will be called a L2 -function) (I ), i.e., in L2 (I ) is dened by a Cauchy sequence {fk } C0 |fk fj | 0 as k, j . We say that the element f L2 (I ) has derivative (I ) such that g L2 (I ) if there is a Cauchy sequence {fk } C0 fk f, and (fk )x g in L . If this is true, we often call g the strong derivative of f and denote by g = fx . Then is easy to see that the integration by part formula f x dx =
I I 2
gdx,
(I ), is true. People often use this formula to dene the for all C0 weak derivative of f . It can be showed that the strong derivative is the same weak derivative. Furthermore, one can show that both denitions are equivalent each other. Hence, we simply call g the derivative of f . 1 We denote by H0 (I ) the Sobolev space which consists of L2 functions 1 with derivatives. For f, h H0 (I ), we dene
(f, h) =
I
fx hx dx.
1 1 Then one can show that (, ) is an inner product on H0 (I ), and H0 (I ) is a Hilbert space.
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10.2. Some comments on Nonlinear evolution problem. In some sense, we try to give a few comments about recent research directions in the study of non-linear PDE. We assume in this section that readers know the Banach xed point theorem. We recall the Fixed Point Theorem: Let E be a Banach space and let B E be a closed convex subset. Let f : B B be contraction mapping, i.e., there is a positive constant (0, 1) such that |f (x) f (y )| |x y |. Then there is a xed point x B of f , i.e., f (x ) = x . Here | | is the norm of E . One often use Fixed Point Theorem to get the local existence of solutions to non-linear evolution problem. Lets see a little more. We study the evolution problem of type ut = u + F (u) or utt = u + F (u) in R with nice initial data. Using the Duhamel principle, we can reduce the problem into the form:
n t
u = S (t)(u0 ) +
0
S (t )F (u)d := f (u).
Here S (t)(u0 ) is the solution to the problem with F = 0. Let B = BR (S (t)(u0 )). We have to show that for small R and T , the mapping f satises f : B B, i.e., B is an invariant set of f and f is a contraction, that is, there exists a positive constant (0, 1) such that |f (x) f (y )| |x y | for all x, y B . Generally speaking, to make f : B B , we need to take E to be dened by the energy method such that E is a Banach algebra. Then we can use the interpolation inequality method to show that f is in fact a contraction mapping. The interesting feature in non-linear problems is that there is a blow up phenomenon. We show some simple examples below. Example One: Consider the ODE ut = u2 , with the initial data u(0) = a > 0. It is easy to see that the solution is a u(t) = , 1 ta
EQUATIONS FROM MATHEMATICAL PHYSICS +
79
1 which goes to innity as t a . This is the blow up property of the ODE. For a non-linear evolution PDE, we can study the blow up property by introducing some monotone or concave function A(t) dened by the integration like p(t) = minD u(x, t) or p(t) := (x)u(x, t)k
or p(t) := (x)|x u(x, t)|k ,
where k is an integer, (x) > 0 is a solution of some elliptic equation. We can show that p(t) will satises some dierential inequality, which makes p(t) go to negative as t +. This is absurd since p(t) > 0 for all t. This gives us the blow up property. Example Two: We consider the following nonlinear parabolic equation ut = u + u2 , (x, t) [0, 2 ] [0, T ) with the non-trivial initial data u(x, 0) = (x) > 0 and the boundary data u(x, t) = u(x + 2, t) for x [0, 2 ]. Let p(t) = minx[0,2] u(x, t). Then we have p (t) p(t)2 . a 1 ta for a = minx[0,2] (x) > 0 and u has to blow up to + in nite time before a1 . Example Three: Given a constant 1 . We consider the following 4 nonlinear parabolic equation p(t) ut = u + u2 + u, (x, t) [0, 2 ] [0, T ) with the non-trivial initial data u(x, 0) = (x) > 0, x [0, 2 ] and the boundary data u(0, t) = 0 = u(2, t) for x [0, 2 ]. By the Maximum principle, we have u(x, t) > 0, x [0, 2 ] {t > 0}. This gives us that
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Choose C =
such that
2
C
0
x sin( ) = 1. 2 x sin( )u(x, t)dx. 2
Let p(t) = C
0
Then, we have p x sin( )ut 2 0 2 2 x x sin( )u + C sin( )u2 + p(t) = C 2 2 0 0 2 1 x = C sin( )u2 + ( )p(t) 2 4 0 2 p(t) . = C
2
This gives us the blow up as before in nite time. Very recently, we have used similar idea to prove the long standing conjecture on non-linear Schrodinger equation on compact Riemannian manifolds.
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10.3. Nonlinear PDE of rst order. This is a fun model for non-linear pde of rst order. Let us rst consider a nice example:
2 u2 x + uy = 1,
which is called the eikonal equation. Introduce the curve (x(t), y (t)) by dx dy = ux , = uy . dt dt Then by the equation, we have dx dy ( )2 + ( )2 = 1. dt dt This implies that t is the arc-length parameter for the curve. Doing dierentiation to the eikonal equation, we have ux uxx + uy uyx = 0. Hence along the curve, d2 x dx dy = uxx + uxy = 0. 2 dt dt dt Similarly, we have d2 y = 0. dt2 This says that the curve is a straight line, saying, x(t) = at + c, y (t) = bt + d, a2 + b2 = 1. Then we have the simple equation: ux = a, uy = b. So u = ax + by + C, with a2 + b2 = 1. We now give some material for ambitious readers (who may see [2] for more). We consider the rst order PDE of the following form (FPDE): Ai (x, u)uxi = B (x, u).
i
We look at the graph z = u(x). Then the PDE says that the normal vector (u, 1) of the graph is orthogonal to the vector eld (A1 (x, z ), ..., An (x, z ), B (x, z )).
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This suggests us that the characteristic curve (x(t), z (t)) should satisfy dxi dz = Ai (x, z ), = B (x, z ). dt dt If we can solve this system starting from a given surface (x(s), z (s)), s , of dimension n 1 to get a solution x = x(s, t), z = z (s, t). If we solve the equation x(s, t) = x for (s = x(x), t = t(x)), then u = z (s(x), t(x)) is the solution to (FPDE). For more, please look at the great book of D.Hilbert and R. Courant [2].
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11. Appendix A One may consider this section as a last one to our course. We have three parts. One is for the variational lemma. Another is about the method of separation of variables. The other is about some open problems in PDEs. Our readers may do research for these problems in the future. 11.1. Variational lemma. Lemma 14. Let f C 0 (D) for a bounded domain in Rn . Assume that f (x) (x)dx = 0
D (D). Then f = 0. for every C0
Proof. We argue by contradiction. Assume that there is a point x0 D such that f (x0 ) = 0. Then we may assume that f (x0 ) > 0 and there is a small ball B (x0 ) such that f (x) = 0 for every x B (x0 ). Take (x) = (|x x0 |) where (r) = e
1 1r 2
, 0r<
(D), and and (r) = 0 for all r . Note that (|x x0 |) C0
f (x)(|x x0 |) > 0, in B (x0 ). Hence, f (x) (x)dx =

D
(D ) C0
f (x)(|x x0 |) > 0.
This gives a contradiction to our assumption of our lemma. Therefore, the lemma is true.
2 [0, L]. Dene Example. Assume that u = u(t) C0 L
F (u) =
0
1 1 ( |u |2 u3 g (t)u(t))dt, 2 3
where g (t) is a given continuous function on [0, L]. Then, if F (u) = 0, u satises u = u(t)2 + g (t). In fact, by denition,
L
0 =< F (u), >=

0
(u u2 g )dt
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(0, L). Integrating by part, we get for all C0 L
0=
0
(u u2 g )dt.
By variational lemma, we know that u + u2 + g = 0, which is equivalent to our equation above.
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11.2. Sturm-Liouville theory. In the old time before Fourier, people often asked if any continuous function, which is dened on the interval [0, L] with the xed boundary condition X (0) = a, X (L) = b, can be expressed as the expansion of trigonometric functions. The answer is yes since we know the beautiful theory of Fourier series. In the method of separation of variables, we meet the problem if we can use the eigenfunctions of the following eigenvalue problem (p(x)X ) + [ + q (x)]X = 0, 0 < x < L, a1 X (0) + b1 X (0) = 0), a2 X (L) + b2 X (L) = 0, where the constants satisfy ai 0, bi 0 and ai + bi = 0, and the functions p(x) > 0 and q (x) are continuous on [0, L]. Luckily, the answer is yes too. This is the Sturm-Liouville theory. Roughly speaking, the Sturm-Liouville theory says that there are an increasing eigenvalues n and eigenfunctions Xn (corresponding to n ) with
L L
Xn Xm dx = 0,
0 0
|Xn |2 dx = 1
for n = n , such that every smooth function f with the boundary condition a1 f (0) + b1 f (0) = 0), a2 f (L) + b2 f (L) = 0, can be expressed as Cn Xn (x). f (x) =
n
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11.3. Three open problems. 1. De Giorgi conjecture: In 1978, De Giorgi proposed the following conjecture: If u is a solution of the scalar Ginzburg-Landau equation: u + u(1 u2 ) = 0, on Rn such that |u| 1 and
u xn
> 0 on Rn , and
xn
lim u(x , xn ) = 1,
for any x Rn1 , then all level set of u are hyper-planes, at least for n 8. The case when n 8 was solved recently by Savin, who is a PhD student of L. Caarelli. For more reference, please see our paper: Y.H.Du and Li Ma; Some remarks related to the De Giorgi conjecture, Proc. AMS, 131(2002)2415-2422. 2 Serrin conjecture In the past years, I and my student D.Z.Chen studied the following conjecture of Serrin: There is no bounded positive solution (u, v ) to the following elliptic system on Rn : u = v q , v = up , where the indices p > 0, q > 0 satisfy 1 1 2 + >1 . p+1 q+1 n We have some progress in this problem. Please see our paper Li Ma and D.Z.Chen, A Liouville type Theorem for an integral System, CPAA, 5(2006)855-859. 3. A question from Yanyan Li and L.Nirenberg It is not hard to show by using the Taylor expansion that, if a nonnegative function satisfying |u (x)| M on [R, R], then we have |u (0)| for M
2u(0) , R2
2u(0)M
and |u (0)| u(0) R + M R 2
for M <
2u(0) . R2
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Yanyan Li and L.Nirenberg (2004) asked what is the best constant C in the following result in the ball BR Rn : Assume that u is a non-negative C 2 function in closure of the ball BR satisfying: max |u| = M.
BR
Then there is a constant C depending only on n such that |u(x)| C if R

u(0) M
u(0)M
2|x|, |u(x)| C ( u(0) + RM ) R
(0) . if 2|x| R < uM This is an open question.
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12. Appendix B This is a section for part of homework exercises in my courses in the past years. 12.1. Homework 1. Exercise 1. Assume that the vibrating string of length L moves with two end points xed at x = 0 and x = A. Assume its initial position forms a triangle with the x-axis such that the middle point of the string is the highest point and its height is b > 0. Find the determined problem for this string. Answer: Let u be the height position of the vibrating string at (x, t). Then u satises utt = a2 uxx , f or (x, t) (0, A) (0, ) with the initial data 2b A 2b A u(x, 0) = x, x [0, ] and u(x, 0) = (A x), x [ , A] A 2 A 2 and the boundary data u(0, t) = 0 and u(A, t) = 0. The relation between L, b, and A is A2 L2 = + b2 . 4 4 Exercise 2. Assume 0 = x Rn , n 2. Verify that |x| = (n + ( 2))|x| 2 . Answer: Note that xi r = x , for r = |x|. r Exercise 3. Assume 0 < u = u(x) C 2 . Denote by |u|2 =
i
i
|i u|2 .
(1). Assume that f : R R is in C 2 . Prove that f (u) = f (u)u + f (u)|u|2 . (2). In particular, for R, prove that u = u 1 u + ( 1)u 2 |u|2 . Exercise 4. Dene the Gamma function (s) for s > 0 by
(s) =
0
er rs1 dr.
Show that the denition is well-dened, and (s +1) = s(s) for s > 0.
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12.2. Homework 2. Exercise 1. Solve the equation ut + 3ux = 0, (x, t) R (0, ) with initial data u = x2 at t = 0. Answer: u(x, t) = (x 3t)2 . Exercise 2. Solve the equation ut + ux = u, (x, t) R (0, ) with initial data u = cos x at t = 0. Answer: u(x, t) = et cos(x t). Exercise 3. Solve the equation 2ut = ux xu, (x, t) R (0, ) with initial data u = 2xex /2 at t = 0. Answer: Note that along the characteristic curve t x = + A, 2 we have du t = xu = ( + A)u. dt 2 Then, 2 u(x, t) = (2x + t)ex /2 . Exercise 4. Solve the problem y 2 uyy x2 uxx = 0 with the initial data u(x, 1) = (x), uy (x, 1) = (x). Answer: u(x, y ) = y x 1 (xy ) + ( ) 2 2 y x xy y 3 + s 2 (s)ds 4 xy x xy y 3 s 2 (s)ds. 2 xy
2
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12.3. Homework 3. Exercise 1. Assume that Y is a solution to y + y = 0, x > 0 with the initial conditions y (0) = 0 and y (0) = 1. Using the Duhamel principle to nd the expression for solution to the the following ODE y + y = g (x), x > 0 with the initial conditions y (0) = A and y (0) = B . Answer:
x
y (x) = AY (x) + BY (x)

0
g ( )Y (x )d.
Exercise 2. Given constants a1 , ..., ak . Assume Y (x) is a solution to the the higher order ODE of the form y (k) + a1 y (k1) + ...ak y = 0 with the initial data y (0) = 0, y (0) = 0, ... y (k1) (0) = 1. Find the solution expression for the higher order ODE of the form y (k) + a1 y (k1) + ...ak y = g (x) with the initial data y (0) = b0 , y (0) = b1 , ... y (k1) (0) = bk1 . Answer: Dene, for 0 j k 1, uj (x) = Y (j ) (x) + a1 Y (j 1) (x) + ... + aj Y (x). Then the solution expression is
x
y (x) =
j
bj uj (x) +
0
g ( )Y (x )d.
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12.4. Homework 4. Exercise 1. Find a solution to the following Sturm-Liouville problem: X + X = 0, x (0, L), and X (0) = X (L) = 0. Answer: k = and X = 0, or Xk (x) = B sin(
1 2 2 (k + 2 ) L2
) (k + 1 2 x) L
where k = 0, 1, 2..... Exercise 2. utt = a2 uxx , 0 < x < L, t > 0, u(0, t) = 0 = ux (L, t), u(x, 0) = sin2 x , ut (x, 0) = x(L x). L Answer: u(x, t) =
n1
(An cos(
an an n t) + Bn sin( t)) sin( x), L L L
8 4) for n = 2k + 1, and An = 0 for n = 2k , and 8L3 Bn = 4 4 an for n = 2k , and Bn = 0 for n = 2k + 1, An = n(n2
where
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12.5. Homework 5. Exercise 1. Given a domain R2 . Consider the following problem: u = f (x, y ), (x, y ) with the boundary condition u = on . Find the Green function for the problem when (1). is the half upper plane. (2). = {x > 0, y > 0}. (3). = { < x < , 0 < y < L}, where L > 0 is a xed constant. Answer: (1). Dene G1 ((x, y ), (, )) = ((x, y ), (, )) ((x, y ), (, )). (2). Dene G2 ((x, y ), (, )) = G1 ((x, y ), (, )) G1 ((x, y ), (, )). (3). Dene
G3 ((x, y ), (, )) =
k=
G1 ((x, y ), (, 2kL + )).
Exercise 2. Assume D = {(x, y ); y > 0} is the upper half plane. Compute the Poisson kernel in such D. Answer: We just remark that on the boundary D, the unit our normal is = (0, 1). Exercise 3. Let B = BR (0) and assume C (B ). Dene u(x) = R2 |x|2 nn R (y ) dy , |x y |n
where n = |B1 (0) is the volume of the unit ball. Prove that u(x) = 0, x B. Exercise 4. Let 0 D be a bounded domain in Rn . Given u C (D) with u(x) = f (x), ; x D.
2
Dene D = I (D), where I is the inversion transform x D I (x) = x/|x|2 D on the unit sphere {|x| = 1}. (1). Prove that I 2 = identity , that is, I (I (x)) = x for x D. This implies that D = I (D ).
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(2). Let w(x) = |x|2n u(x/|x|2 ), x D which is called the Kelvin transform of the function u. Then w(x) = |x|2n f (x/|x|2 ), x D . (3). Using the conclusion of (2), nd the Green function on B1 (0). Answer: (3). Dene, for x, y B1 (0), G(x, y ) = (x, y ) |y |2n (x, I (y )). Then, G(x, y ) is the Green function on B1 (0).
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12.6. Homework 6. Exercise 1. Given a constant B > 0. Compute the Fourier transform of the function f (x) = 1 for |x| B and f (x) = 0 for |x| > B . Answer: F (f )( ) = 2 sin(B ) . B
Exercise 2. Given two constants a > 0, c and two bounded smooth functions f (x, t) and (x). Using the Fourier transform to solve the following problem ut = a2 uxx + cu + f (x, t), < x < , t > 0, u(x, 0) = (x). Answer: u(x, t) = ect [
t
K (x , t)( )d ec d K (x , t )f (, )d ].
+
0
We can obtain this result by two methods. Method One : Let w = ect u and f1 (x, t) = ect f (x, t). Then we have wt = a2 wxx + f1 with w(x, t) = (x). Method Two : Note that for u (, t), (, t), u t = (a2 | |2 + c) u+f with ( ). u (, 0) = Exercise 3. Dene, for u S, H [u](x) = ( d2 + x2 )u(x), dx2 d A[u](x) = ( + x)u(x), dx d C [u](x) = ( + x)u(x). dx
95
Show that CA[u] = (H 1)[u], AC [u] = (H + 1)[u], H (ex H (C k (ex

2 /2
) = ex
x2 / 2
2 /2 2 /2
2 /2
)) = (2k + 1)C k (ex
), k = 1, 2, ....
We remark that C k (e ) are eigenfunctions of the operator H and the polynomials dened by hk (x) = ex
2 /2
C k (ex
2 /2
are called the Hermite functions. H is called the Hermite operator, which plays an important role in modern methods of mathematical physics and its higher dimensional analogue L = + |x|2 plays an important role in Bose-Einstein condensate. Exercise 4. Dene, for u S, a new function
U (t) =
n=
u(t + 2n),
which is called the periodization of u. Clearly, U (t) is a periodic function such that U (t + 2 ) = U (t) on R. Denote by u the Fourier transform of u. Using Fourier series theory, you show that 1 U (t) = ( 2 ) u (n)eint ,
n=
which is called the Poisson summation formula. Then setting t = 0, we get 1 u(n) = ( 2 ) u (n).

Exercise 5. Recall that the theta function (t), t > 0, is dened by (t) =
n=
en t .
Using the Poisson summation, you show that t1/2 (1/t) = (t). Exercise 6. Assume that ( ) = B 1 . 1 + | |2
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LI MA
Find B (x). Answer: First we write 1 2 es(1+|| ) ds. = 2 1 + | | 0 Then we have 1 2 eixs|| d. es ds B (x) = ( 2 )n/2 0 Rn Recall that a2 2 eiaysy dy = ( )1/2 e 4s . s R Then we have |x|2 2 eixs|| d = ( )n/2 e 4s . s Rn Hence, we have
B (x) = 2n/2
0
sn/2 es
|x|2 4s
ds,
which is called the second Bessel potential. Exercise 7. Given > 0. Assume that 1 ( ) = B . (1 + | |2 )/2 Find B (x). Hint: One can nd the expression of B in E.M. Steins book, Princeton Univ. press,1970, or W. P.Ziemers book, GTM120, Springer,1989.
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12.7. Homework 7. Exercise 1. Let D be a bounded domain in Rn . Consider u C 2 (D) C (D) such that u = f (x), x D u(x) = (x), x D. Then maxD |u(x)| maxD |(x)| + where d = diam(D) := supx,yD |x y |. Proof. We denote F = sup|f (x)|, M = maxD |(x)| Take p D. Let (x) = Note that (x) u(x) 0 on D and ( (x) u(x)) 0 Applying the Maximum principle to the function w(x) = (x) u(x), we get that w(x) 0 on D. This implies that d maxD |u(x)| maxD |(x)| + sup|f (x)|. 2n F 2 (d |x p|2 ) + M. 2n d sup|f (x)|, 2n
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12.8. Homework 8. Exercise 1. Let Q = {(x, t); 0 < x < L, 0 < t T }. Let a > 0 be a constant. Assume that u C 2,1 (Q) satises ut = a2 uxx + f (x, t), 0 < x < L, 0 < t T, u(0, t) = 0 = ux (L, t), u(x, 0) = (x) Show that maxQ |ut (x, t)| can be bounded by the suitable norm of f and . Answer: There is a uniform constant C = C (T, a) such that maxQ |ut | C [|f |C 1 (Q ) + | |C [0,L] ]. ) and a(x, t) C (Q ) with A = maxQ Exercise 2. Given C (D |a(x, t)|. 2,1 ) satises Assume that u C (Q) C (Q Lu := ut a2 u = u2 + a(x, t)u, (x, t) Q and the initial data u(x, 0) = (x) 0, and the boundary data u(x, t) = 0 for x D. Prove that on Q, 0 u(x, t) M supD |(x)| for some constant M > 0 depending only on n, T, and A. Proof. Assume that u < 0 somewhere, saying, u(x1 , t1 ) = ( t1 + for some arbitrary small At (x1 , t1 ), we have w(x1 , t1 ) = 0. Note that w = u and at t = 0, w = + > 0. Hence, there is a small 0 < t0 t1 (0, t0 ] and for some minimum point such that w(x, t) 0 for (x, t)D x0 D for w such that
2 2 2
and t1 > 0. Consider w =u+ t+

2
w(x0 , t0 ) = 0, u(x0 , t0 ) = w(x0 , t0 ) 0, which implies that u(x0 , t0 ) = ( t0 + Hence, we have Lw(x0 , t0 ) 0,
2
).
99
which gives us that Lu(x0 , t0 ) , Then, using the equation for u at (x0 , t0 ), ( t0 +
2 2
) a(x0 , t0 )( t0 +
).
However, this is impossible for small
and t1 . Hence, we have
u 0, on Q. Once we have u 0, we can use the maximum principle 2 (see Section 9.3) to conclude that u(x, t) M supD (x). Remark. One may try another method below. Assume that m := u(x2 , t2 ) = maxQ u > 2supD . Then at (x2 , t2 ), we have Lu 0. Using the equation, we get m2 + a(x2 , t2 )m 0. Hence, we have m2 Am and m A. So this method can not be used to give the result wanted.
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12.9. Homework 9. Exercise 1. Let F and G be two smooth functions in R. Assume that u(x, t) C 1 (R (0, T )) is a bounded function such that limx u(x, t) = 0 uniformly in t and t F (u) + x G(u) = 0. Here x G(u) = G (u)ux . Show that d dt F (u)dx = 0.
R
We call the quantity R F (u)dx the conservation law. Exercise 2. Let G be a vector-valued smooth function in R. Assume that u(x, t) C 1 (Rn (0, T )) is a bounded function such that lim|x| u(x, t) = 0 uniformly in t and t u + divx G(u) = 0. Show that d dt uk dx = 0
Rn
for each k = 1, 2, 3.... Exercise 3. Using the conclusions of Exercise 1 and Exercise 2 to nd at least 5 conservation laws of the KdV equation: ut + uux + uxxx = 0. Hint: Dene En (u) =
R n) 2 (n1) 2 n2) ([u( ] qn (u, ..., u( )dx. x ] + c n u [u n x (n)
for suitable constants cn and polynomials qn . Here ux denotes the x-derivative of order n for the function u. Exercise 4. Let u = u(x, t) be a smooth solution to the equation ut uxx + cu2 x = 0. Find a function such that the function w = (u) satises the heat equation wt wxx = 0. cu Answer: w = e , which is called the Cole-Hopf transformation. Exercise 5. Consider the Burgers equation ut uxx + uux = 0, x R
101
with initial data u = f (x). Let

x
w(x, t) =
u(y, t)dy.
Show that w satises 1 2 wt wxx + wx =0 2 and use the conclusion of Exercise 4 to nd an explicit expression of u. Answer: f (y ) |xy |2 02 4t dy ( x y ) e R u(x, t) = , f0 (y ) |xy |2 t R e 4t 2 dy x where f0 (x) = f (y )dy .
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12.10. Homework 10. Exercise 1. As an exercise for pleasure, we invite readers to nd the Euler-Lagrange equation for the area functional A(u) =
D
1 + |u|2 dx
among the class A above. Answer: From this variational structure, we know the famous minimal surface equation: div ( u 1 + |u|2 ) = 0.
There is a rich literature about this equation. Exercise 2. Try to use the method of separation variables to the Minimal surface equation in dimension two in the following way. Assume u = u(x, y ) = f (x) + g (y ) satises uy ux ) + y ( ) = 0. x ( 2 2 2 1 + ux + uy 1 + u2 x + uy Then we have f g + = 0. 1 + f (x)2 1 + g (y )2 Prove that for some constant A > 0, u(xu) = 1 cos(Ay ) log | |. A cos(Ax)
This solution is called the Sherks surface. Exercise 3. Find solution u(x, y ) of the form u = f (r), r = x2 + y 2 , to the equation uy ux x ( ) + y ( ) = 0. 2 2 2 1 + ux + uy 1 + u2 x + uy Answer: 1 cosh(Ar + B ). A Exercise 4. Find the Euler-Lagrange equation for the integral f (y ) = I (u) =
D
L(x, u, ux1 , ..., uxn )dx.

n
Answer: u L
xj (uxj L) = 0.
j =1
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Exercise 5. Find the Euler-Lagrange equation for the integral J (u) =

D
|u|2 dx
on the space
2 C0 (D)
with the constraint |u|2 dx = 1.

D
Answer: u = u.
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Summary This is a brief lecture note for the courses on Introduction to Equations from Mathematical Physics or Methods for Mathematical Physics. Our motivation to write this note is to show the mainstream methods used in solving some typical partial dierential equations like wave equation, heat equations, and the Laplace equation. For students who would like to take the nal examination of this course, please look my homepage at http://faculty.math.tsinghua.edu.cn/~lma for the highlight of the course. Thank you very much for your patience in attending my courses. References
[1] Jiang Lishan, Yazhe Chen, Xiheng Liu, Fahuai Yi, Lectures on equations from Mathematical Physics,in Chinese, Higher education press, Beijing,1999. [2] D.Hilbert, R.Courant, Methods of Mathematical Physics, Vol. 2. Interscience Publicaters, 1962.
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Index Bessel function, 28 blow up, 60 Characteristic curve method, 13 continuity equation, 9 Dalembert, 21 Diracs delta function, 39 divergence, 5 Duhamel principle, 17 Fourier, 24 fundamental solution, 35 Gaussian kernel, 36 Green, 5, 42 Gronwall, 18 harmonic function, 41 heat equation,11 Heisenberg, 51 Hermite operator, 90 Huygens, 30 Inversion transform, 87 Kelvin transform, 88 Kirchho, 29 Laplacian, 5, 11 Liouville, 67 maximum principle, 51 mean value theorem, 44 monotonicity formula, 47 partial dierential operator, 10 Plancherel, 59 Poisson, 42 Schwartz, 48 string,7 Sturm, 67 support, 4 variational lemma, 65 wave equation, 7
Department of mathematical sciences, Tsinghua university, Beijing 100084, China E-mail address : lma@math.tsinghua.edu.cn

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INTRODUCTION TO EQUATIONS FROM MATHEMATICAL PHYSICS

EQUATIONS FROM MATHEMATICAL PHYSICS

To An, for patience and understanding

EQUATIONS FROM MATHEMATICAL PHYSICS

EQUATIONS FROM MATHEMATICAL PHYSICS

EQUATIONS FROM MATHEMATICAL PHYSICS

which is the divergence theorem in dimension two.

Then the Hamiltonian action of the string is

d (T (u) U (u) U (f0 ))

< H (u), > =

(utt + cuxx + f0 )dx

EQUATIONS FROM MATHEMATICAL PHYSICS

EQUATIONS FROM MATHEMATICAL PHYSICS

f (x)g (x)dx, f, g L2 (D),

EQUATIONS FROM MATHEMATICAL PHYSICS

Using the divergence theorem we have q ( )d =

EQUATIONS FROM MATHEMATICAL PHYSICS

EQUATIONS FROM MATHEMATICAL PHYSICS

EQUATIONS FROM MATHEMATICAL PHYSICS

So it has a general solution u(t) = u(0)e If u(0) = 0, we have (F): u(t) = e

Then we have u(t) aet on [0,T]. Hint: Let

EQUATIONS FROM MATHEMATICAL PHYSICS

with v = 0 at t = 0 and B (t) = f (zw + (1 z )v )dz.

EQUATIONS FROM MATHEMATICAL PHYSICS

Mfs (x, t s)ds

EQUATIONS FROM MATHEMATICAL PHYSICS

X (x) = c1 e Using (BC) we have

EQUATIONS FROM MATHEMATICAL PHYSICS

We now look for a solution of the form u(x, t) =

[ak cos(kat) + bk sin(kat)] sin(kx)

EQUATIONS FROM MATHEMATICAL PHYSICS

aj jx ( sin j t j sin t) sin( ) 2 j ) L j = aj L jx )dx. L

where and 2 aj = L Because we have

2 2 j which may cause the coecient aj . 2 2 j ( j )

We say that we may have the resonance phenomenon caused by .

EQUATIONS FROM MATHEMATICAL PHYSICS

exp(ir sin ) = where i =

= cos(n) + i sin(n). Hence,

EQUATIONS FROM MATHEMATICAL PHYSICS

4r2 I (x, r; g )dr.

4r2 I (x, r; g )dr g (x + z )dz

= = 4R2 R I (x, R; g ). So, we have

r2 I (x, r; g )dr = R2 R I (x, R; g ).

r2 I (x, r; g )dr r2 I (x, r; g )dr

= R x I (x, R; g ) and R [R2 R I (x, R; g )] 2 = 2RR I (x, R; g ) + R2 R I (x, R; g ).

EQUATIONS FROM MATHEMATICAL PHYSICS

with the initial data (x) =

EQUATIONS FROM MATHEMATICAL PHYSICS

and look for solution u(x, t) such that u(x, t) =

uj (t) = ej t (uj (0) +

Here uj (0) are determined by (x) =

We omit the detail here.

with its norm on D [0, ) dened by f =

|fj (t)|2 dt < .

Note that we have assumed that j < 0. Hence, we have

which implies that t u

EQUATIONS FROM MATHEMATICAL PHYSICS

= 2|x|t 1 f 2 = u |x|2 = 2t 1 f + 4|x|2 t 2 f

EQUATIONS FROM MATHEMATICAL PHYSICS

Theorem 2. Given g (x), we let u(x, t) =

Then we have |u(x, t) g (x)| = | |

K (x y, t)(g (y ) g (x))dy | K (x y, t)(g (y ) g (x))dy | K (x y, t)(g (y ) g (x))dy |

EQUATIONS FROM MATHEMATICAL PHYSICS

Note that |u(x, t)|