Lecture 9

Weston Barger

July 21, 2016

1 Exam
What you need to know:

 How to classify PDEs as linear/nonlinear, order, homogeneous or non-homogeneous.

 The definitions for traveling wave, standing wave, wave train

 How to find the dispersion relation of a linear PDEs, group velocity, phase velocity

 How to tell if an equation is dispersive. How to tell from the dispersion relation if solutions experience
growth or decay.

 Characteristics of the advection and wave equation. How to draw the (x , t ) wave profile for piecewise
initial data. I did an example in class.

 d’Alembert’s solution for the full line.

 d’Alembert’s solution for the half-line boundary value problem.

 Separation of variables.

 How to compute Fourier coefficients. How to define orthogonality on [–L, L].

 Change of variables/chain rule.

 How to do the homework.

2 continuing lecture 8...

Doing a similar calculation (which you should do), we get

cos2 θ 2 sin θ cos θ cos2 θ 2 cos θ sin θ

uyy = uθθ – u θ + ur + sin2 θurr + uθr
r2 r2 r r
Adding these two together, we get
1 1
uxx + uyy = urr + ur + 2 uθθ .
r r

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 We can now reformulate our problem in polar coordinates:
(
1 1 r ∈ (0, R), θ ∈ [0, 2π)
:laplacePolar} uxx + uyy = urr + ur + 2 uθθ , (2.1)
r r u(R, θ) = f (θ).

As we have done on other finite domains, we apply separation of variables. We look for a solution of the
form

u(r , θ) = S (r )T (θ).

Inserting the above equation into (2.1) gives

1 0 1
S 00 T + S T + 2 T 00 S = 0
r r
S 00 S0 T 00
r2 +r + =0
S S T
S 00 S0 T 00
r2 +r =– = λ.
S S T
Since our equation for T is the most simple, we solve it first. Again, we break into cases the sign of λ:

 λ = 0. Then

T 00 = 0 ⇒ T = a + bθ.

We want u to be a “single valued function” in r and θ. Thus, u must be periodic in θ. Therefore,

b = 0 and we have

T0 = 1,

ignoring the multiplicative constant a. In S , we have

r 2 S000 + rS00 = 0
rS000 + S00 = 0
(rS00 )0 = 0
rS00 = c1
S0 (r ) = c1 ln(r ) + c2 .

We require that S0 does not blow up as r → 0, as this would not satisfy our PDE (or our physical
situation). Therefore, c1 = 0. Our full solution is thus

u0 (r , θ) = c2

 λ > 0. We let λ = α2 , with α > 0. Then we get

T 00 – αT = 0 ⇒ T (θ) = a cos(αθ) + b sin(αθ).

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 We need T to be 2π periodic, so this implies α = n for n = 1, 2, 3, · · ·. Then λ = n 2 . This gives

Tn (θ) = an cos(nθ) + bn sin (nθ) .

Next we examine S . Well, we have

r 2 Sn00 + rSn0 – n 2 Sn = 0.

This is a well known ODE called the Euler ODE. We solve this by looking for solutions of the form
Sn (r ) = r p . Inserting this expression into the ODE above yields

p(p – 1) + p – n 2 = 0 ⇒ p = ±n.

This gives that

Sn (r ) = cn r n + dn r –n .

Since we require that Sn stays bounded as r → 0, we get that dn = 0. Therefore,

un (r , θ) = r n (an cos(nθ) + bn sin (nθ)) .

 Suppose that λ = –α2 , for α > 0. Then

T (θ) = an e αθ + bn e –αθ .

This solution is not periodic, so an = bn = 0.

The general solution is thus

∞
X
u(r , θ) = a0 + r n (an cos (nθ) + bn sin (nθ)) .
n=1

We can now apply the boundary condition u(R, θ) = f (θ). This results in
∞
X
f (θ) = a0 + R n (an cos (nθ) + bn sin (nθ)) .
n=1

So, using the Fourier series formula, we get that

Z 2π
1
a0 = f (θ) dθ
2π 0
Z 2π
1
an = f (θ) cos (nθ) dθ
πR n 0
Z 2π
1
bn = f (θ) sin (nθ) dθ.
πR n 0

This completely determines Laplace’s equation on the circle.

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 Proposition 2.1. Let R > 0 be a positive number and define the change of variable
y 
{eq:polar} r 2 = x 2 + y 2, θ = arctan . (2.2)
x
Using (2.2), the problem
(
(x , y) ∈ {(ξ, η) | ξ 2 + η 2 < R 2 }
uxx + uyy = 0,
u(x , y) = f (x , y), for x 2 + y 2 = R 2

becomes
(
1 1 r ∈ (0, R), θ ∈ [0, 2π)
urr + ur + 2 uθθ = 0,
r r u(R, θ) = f (θ)

whose solution is
∞
X
u(r , θ) = a0 + r n (an cos (nθ) + bn sin (nθ))
n=1

where
Z 2π Z 2π
1 1
a0 = f (θ) dθ, an = f (θ) cos (nθ) dθ,
2π 0 πR n 0
Z 2π
1
bn = f (θ) sin (nθ) dθ
πR n 0

3 Complex Form of the Fourier Series

Recall the Fourier series for a function f (x ) on [–L, L]
∞
a0 X   nπx   nπx 
{eq:fourier} f (x ) = + an cos + bn sin (3.1)
2 L L
n=1

where
1 L 1 L
Z  nπx  Z  nπx 
q:fourierCoef} an = f (x ) cos dx bn = f (x ) sin dx , (3.2)
L –L L L –L L
Here, I have rewritten the coefficients so that a0 and an are defined by the same integral and b0 = 0. Recall
that
e i θ + e –i θ e i θ – e –i θ
{eq:Euler} cos θ = , sin θ = . (3.3)
2 2i
Inserting the definitions (3.3) into (3.1), we see that
∞ ∞
a0 1X 1X
f (x ) = + (an – ibn )e inπx /L + (an + ibn )e –inπx /L .
2 2 2
n=1 n=1

From (3.2), we see that

a(–n) = an , b(–n) = –bn .

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 So, we can rewrite
–∞ ∞
a0 1 X 1X
f (x ) = + (an – ib–n )e –inπx /L + (an + ibn )e –inπx /L
2 2 2
n=–1 n=1
–∞ ∞
a0 1 X
–inπx /L 1X
= + (an + ibn )e + (an + ibn )e –inπx /L .
2 2 2
n=–1 n=1
Letting
an + ibn
cn = ,
2
we have that
∞
X
omplexFourier} f (x ) = cn e –inπx /L (3.4)
n=–∞
where
Z L
an + ibn 1   nπx   nπx 
cn = = f (x ) cos + i sin dx
2 2L –L L L
Z L
1
exFourierCoef} = f (x )e inπx /L dx . (3.5)
2L –L

The equation (3.4) is known as the complex Fourier series.

3.1 Complex Orthogonality

When we derived Fourier series, we determined the coefficients an and bn in (3.2) by the orthogonality
relationships of sin(nπx /L) and cos(nπx /L). The same can be done to derive the complex Fourier series
coefficients cn (3.5). Recall that the definition of the complex conjugate for a complex number z = a + ib is

z = (a + ib) = a – ib.

Therefore, we derive the relationships

e i θ = cos(θ) – i sin(θ)
= cos(–θ) + i sin(–θ)
= e –i θ .

We define the inner product of two complex valued functions f and g.

Z L
f (z ) · g(z ) dz .
–L
We note that for integers n and m, from the orthogonality relationships for sin and cos, we get
Z L Z L  nπx   nπx    mπx   mπx 
e inπx /L · e imπx /L dx = cos – i sin cos + i sin dx
–L –L L L L L
= Lδn,m + Lδn,m
= 2Lδn,m .

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 4 Heat Equation on the Infinite Domain
We begin by considering the heat equation in 1 dimension without boundaries. The problem is thus
(
x ∈ (–∞, ∞)
ut = σuxx , .
u(x , 0) = f (x )

When we solved the boundary value problem, we asserted boundary values at both ends of the domain.
There are usually physical conditions imposed at x → ±∞. In the simplest case, we assume that f (x ) → 0
as x → ±∞. This means that the initial heat profile decays towards 0. Physically, this means that for all
time t > 0, u(x , t ) → 0 as x → ±∞. In this way, our problem as homogeneous “boundary” conditions. Are
problem is thus

 x ∈ (–∞, ∞)


q:homoHeatOnR} ut = σuxx , u(x , 0) = f (x ) . (4.1)


 u(±∞, t ) = 0.

Let us make the simplifying assumption that f is continuous.

We proceed by generalizing the method of separation of variables. Suppose that

{eq:heatSep} u(x , t ) = w (t )φ(x ). (4.2)

Inserting (4.2) into (4.1), we get

w 0 (t ) φ00 (x ) φ00 (x ) = λφ(x )

{eq:ODEs} = =λ ⇒ (4.3)
σw (t ) φ(x ) w 0 (t ) = λσw (t )

Recall that the solution to the ODE in φ is

r 2 = λ > 0, φ(x ) = c1 e rx + c2 e –rx

λ=0 φ(x ) = c1 x + c2
–r 2 =λ<0 φ(x ) = c1 cos(rx ) + c2 sin(rx )

If we impose the condition that φ(x ) → 0 as x → ±∞, we are left with no non-trival solutions. That is,
imposing the same “boundary” condition on φ that we do on u gives us only boring solutions. So, we relax
that condition to |φ(x )| < ∞ as x → ±∞. Hopefully, even with this relaxation, we will still be able to get
a function u(x , t ) which satisfies the “boundary” conditions in (4.1).
With this relaxation, we are left with

φ(x ) = c1 cos(rx ) + c2 sin(rx ), r > 0.

It should be noted that there are no conditions imposed on r other than non-negativity. When we were
solving the problem on [–L, L] we achieved a discrete spectrum i.e. λ took values in a countable set. Here,
λ takes on all negative numbers. In this case, we say that the spectrum is continuous.
Solving the ODE (4.3) in w , we get
2
w (t ) = w0 e –σr t ,

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 so by superposition we have
Z ∞
2
u(x , t ) = [c1 (r ) cos(rx ) + c2 (r ) sin(rx )] e –σr t dr .
0

Note that this is the continuous analog of the Fourier series. In the continuous case, it is conventional to
denote r = ω. So, we rewrite
Z ∞
2
u(x , t ) = [c1 (ω) cos(ωx ) + c2 (ω) sin(ωx )] e –σω t dω.
0

Proceeding similarly to the Fourier series case, we can set c(ω) = (c1 (ω) + ic2 (ω))/2 and write
Z ∞
2
{eq:usorta} u(x , t ) = c(ω)e –i ωx e –σω t dω. (4.4)
–∞

Applying our initial condition yields

Z ∞
q:initApplied} f (x ) = c(ω)e –i ωx dx . (4.5)
–∞

We are still left to determine the “coefficients” c(ω). We will give a heuristic argument to compute cn .
For a continuous function f (x ), we saw that
∞
" Z L #
X 1 inπy/L
f (x ) = f (y)e dy e –inπx /L .
n=–∞
2L –L

We saw that on the finite interval [–L, L], the allowable wave number ω(= r ) were
nπ 2nπ
(r =) ω = = .
L 2L
We see that
(n + 1)π nπ π
∆ω = – = ,
L L L
which implies that

1 π/L 1 π/L ∆ω
= · = = .
2L π/L 2L 2π 2π

Thus,
∞
"
Z L #
X 1 i ωy
{eq:riemann} f (x ) = f (y)e dy e –i ωx ∆ω. (4.6)
n=–∞
2π –L

The sum (4.6) looks like a Riemann sum in n whose “integration variable” is ω. Letting L → ∞, we see that
∆ω → 0, our partition gets smaller and smaller, and in the limit we get
Z ∞" Z L #
1 i ωy
:shakeyFTrans} f (x ) = f (y)e dy e –i ωx dω. (4.7)
–∞ 2π –L

Let us take (4.7) as fact and make the definition

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Definition 4.1. Let f (x ) be a function on (–∞, ∞). We call the function
Z ∞
1
F (ω) := f (x )e i ωx dx .
2π –∞
the Fourier Transform of f (x ). We often write

F (ω) = F{f (x )}.

The Fourier transform F (ω) is analogous to the Fourier coefficient cn . F (ω) represents the amplitude of
the wave component of f (x ) with wave number ω. We make the following definition

Definition 4.2. Let F (ω) be a function on (–∞, ∞). We call the function
Z ∞
f (x ) := F (ω)e –i ωx dω.
–∞

the Inverse Fourier Transform of f (x ). We often write

f (x ) = F–1 {F (ω)}.

Proposition 4.3. We have that

f (x+ ) + f (x– )
= F–1 {F{f (x )}}.
2
When f (x ) is continuing, we have

f (x ) = F–1 {F{f (x )}}.

Note: This is analogous to the “averaging” result for Fourier series. Recall that for piecewise smooth
functions f , their Fourier series converged to (f (x+ ) + f (x– ))/2.

4.1 Solution
First, in order to complete the problem (4.1), we need to know the inverse Fourier Transform of the “bell-
shaped” curve
2
G(ω) = e –σω t .

This is a well-known result and we will not derive it here,

r
π – x2 2
g(x ) = e 4σt = F–1 {e –σω t }.
σt
We are now ready to find c(ω). We saw from (4.5) that
Z ∞
f (x ) = c(ω)e –ωx dω = F–1 {c(ω)}.
–∞

Thus,

c(ω) = F{f (x )}.

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 Thus, by (4.4), the full solution of (4.1) is
Z ∞
2
u(x , t ) = c(ω)e –i ωx e –σω t dω
Z–∞∞ 1 Z ∞ 
2
= f (y)e i ωy dy e –i ωx e –σω t dω
–∞ 2π –∞
Z ∞Z ∞
1 2
= f (y)e –i ω(x –y) e –σω t dω dy
2π –∞ –∞
Z ∞ Z ∞ 
1 –i ω(x –y) –σω 2 t
= f (y) e e dω dy
2π –∞ –∞
Z ∞ r
π – (x –y)2
 
1
= f (y) e 4σt dy
2π –∞ σt
Z ∞
1 (x –y)2
{eq:heatsoln} = f (y) √ e – 4σt dy. (4.8)
–∞ 4πσt
This form clearly shows the solution’s dependence on the entire initial temperature distribution. The
function
1 (x –y)2
G(x , t ; y, 0) = √ e – 4σt
4πσt
is a very important function. It describes the influence that the initial heat profile f (y) has at a point (x , t ).
Since G(t , x ; y, 0) is never 0, we see that the information encoded by f travels “infinitely fast.” What I mean
is, for each t > 0, f (y) contributes to u(x , t ) for all y ∈ R. It can be shown that

1 (x –y)2
lim √ e – 4σt = δ(x – y).
t →0 4πσt
Therefore, (4.8) satisfies the initial condition.