TheInfoList

OR:

In
mathematics Mathematics is an area of knowledge that includes the topics of numbers, formulas and related structures, shapes and the spaces in which they are contained, and quantities and their changes. These topics are represented in modern mathematics ...
, a partial differential equation (PDE) is an equation which imposes relations between the various
partial derivative In mathematics, a partial derivative of a function of several variables is its derivative with respect to one of those variables, with the others held constant (as opposed to the total derivative, in which all variables are allowed to vary). Pa ...
s of a multivariable function. The function is often thought of as an "unknown" to be solved for, similarly to how is thought of as an unknown number to be solved for in an algebraic equation like . However, it is usually impossible to write down explicit formulas for solutions of partial differential equations. There is, correspondingly, a vast amount of modern mathematical and scientific research on methods to numerically approximate solutions of certain partial differential equations using computers. Partial differential equations also occupy a large sector of pure mathematical research, in which the usual questions are, broadly speaking, on the identification of general qualitative features of solutions of various partial differential equations, such as existence, uniqueness, regularity, and stability. Among the many open questions are the existence and smoothness of solutions to the
Navier–Stokes equations In physics, the Navier–Stokes equations ( ) are partial differential equations which describe the motion of viscous fluid substances, named after French engineer and physicist Claude-Louis Navier and Anglo-Irish physicist and mathematician G ...
, named as one of the Millennium Prize Problems in 2000. Partial differential equations are ubiquitous in mathematically oriented scientific fields, such as
physics Physics is the natural science that studies matter, its fundamental constituents, its motion and behavior through space and time, and the related entities of energy and force. "Physical science is that department of knowledge which ...
and
engineering Engineering is the use of scientific principles to design and build machines, structures, and other items, including bridges, tunnels, roads, vehicles, and buildings. The discipline of engineering encompasses a broad range of more speciali ...
. For instance, they are foundational in the modern scientific understanding of
sound In physics, sound is a vibration that propagates as an acoustic wave, through a transmission medium such as a gas, liquid or solid. In human physiology and psychology, sound is the ''reception'' of such waves and their ''perception'' by ...
,
heat In thermodynamics, heat is defined as the form of energy crossing the boundary of a thermodynamic system by virtue of a temperature difference across the boundary. A thermodynamic system does not ''contain'' heat. Nevertheless, the term is ...
,
diffusion Diffusion is the net movement of anything (for example, atoms, ions, molecules, energy) generally from a region of higher concentration to a region of lower concentration. Diffusion is driven by a gradient in Gibbs free energy or chemica ...
,
electrostatics Electrostatics is a branch of physics that studies electric charges at rest (static electricity). Since classical times, it has been known that some materials, such as amber, attract lightweight particles after rubbing. The Greek word for amb ...
,
electrodynamics In physics, electromagnetism is an interaction that occurs between particles with electric charge. It is the second-strongest of the four fundamental interactions, after the strong force, and it is the dominant force in the interactions o ...
,
thermodynamics Thermodynamics is a branch of physics that deals with heat, work, and temperature, and their relation to energy, entropy, and the physical properties of matter and radiation. The behavior of these quantities is governed by the four laws of th ...
,
fluid dynamics In physics and engineering, fluid dynamics is a subdiscipline of fluid mechanics that describes the flow of fluids—liquids and gases. It has several subdisciplines, including '' aerodynamics'' (the study of air and other gases in motion) a ...
, elasticity,
general relativity General relativity, also known as the general theory of relativity and Einstein's theory of gravity, is the geometric theory of gravitation published by Albert Einstein in 1915 and is the current description of gravitation in modern physics ...
, and
quantum mechanics Quantum mechanics is a fundamental theory in physics that provides a description of the physical properties of nature at the scale of atoms and subatomic particles. It is the foundation of all quantum physics including quantum chemistry ...
(
Schrödinger equation The Schrödinger equation is a linear partial differential equation that governs the wave function of a quantum-mechanical system. It is a key result in quantum mechanics, and its discovery was a significant landmark in the development of the ...
,
Pauli equation In quantum mechanics, the Pauli equation or Schrödinger–Pauli equation is the formulation of the Schrödinger equation for spin-½ particles, which takes into account the interaction of the particle's spin with an external electromagnetic fie ...
, etc). They also arise from many purely mathematical considerations, such as
differential geometry Differential geometry is a mathematical discipline that studies the geometry of smooth shapes and smooth spaces, otherwise known as smooth manifolds. It uses the techniques of differential calculus, integral calculus, linear algebra and mult ...
and the
calculus of variations The calculus of variations (or Variational Calculus) is a field of mathematical analysis that uses variations, which are small changes in functions and functionals, to find maxima and minima of functionals: mappings from a set of functions t ...
; among other notable applications, they are the fundamental tool in the proof of the
Poincaré conjecture In the mathematical field of geometric topology, the Poincaré conjecture (, , ) is a theorem about the characterization of the 3-sphere, which is the hypersphere that bounds the unit ball in four-dimensional space. Originally conjectured by ...
from
geometric topology In mathematics, geometric topology is the study of manifolds and maps between them, particularly embeddings of one manifold into another. History Geometric topology as an area distinct from algebraic topology may be said to have originate ...
. Partly due to this variety of sources, there is a wide spectrum of different types of partial differential equations, and methods have been developed for dealing with many of the individual equations which arise. As such, it is usually acknowledged that there is no "general theory" of partial differential equations, with specialist knowledge being somewhat divided between several essentially distinct subfields.
Ordinary differential equation In mathematics, an ordinary differential equation (ODE) is a differential equation whose unknown(s) consists of one (or more) function(s) of one variable and involves the derivatives of those functions. The term ''ordinary'' is used in contrast ...
s form a subclass of partial differential equations, corresponding to functions of a single variable.
Stochastic partial differential equation Stochastic partial differential equations (SPDEs) generalize partial differential equations via random force terms and coefficients, in the same way ordinary stochastic differential equations generalize ordinary differential equations. They hav ...
s and nonlocal equations are, as of 2020, particularly widely studied extensions of the "PDE" notion. More classical topics, on which there is still much active research, include elliptic and parabolic partial differential equations,
fluid mechanics Fluid mechanics is the branch of physics concerned with the mechanics of fluids (liquids, gases, and plasmas) and the forces on them. It has applications in a wide range of disciplines, including mechanical, aerospace, civil, chemical and bio ...
,
Boltzmann equation The Boltzmann equation or Boltzmann transport equation (BTE) describes the statistical behaviour of a thermodynamic system not in a state of equilibrium, devised by Ludwig Boltzmann in 1872.Encyclopaedia of Physics (2nd Edition), R. G. Lern ...
s, and dispersive partial differential equations.

# Introduction

One says that a function of three variables is "''
harmonic A harmonic is a wave with a frequency that is a positive integer multiple of the '' fundamental frequency'', the frequency of the original periodic signal, such as a sinusoidal wave. The original signal is also called the ''1st harmonic'', t ...
''" or "a solution of ''the
Laplace equation In mathematics and physics, Laplace's equation is a second-order partial differential equation named after Pierre-Simon Laplace, who first studied its properties. This is often written as \nabla^2\! f = 0 or \Delta f = 0, where \Delta = \nab ...
''" if it satisfies the condition $\frac+\frac+\frac=0.$ Such functions were widely studied in the nineteenth century due to their relevance for
classical mechanics Classical mechanics is a physical theory describing the motion of macroscopic objects, from projectiles to parts of machinery, and astronomical objects, such as spacecraft, planets, stars, and galaxies. For objects governed by class ...
, for example the equilibrium temperature distribution of a homogeneous solid is a harmonic function. If explicitly given a function, it is usually a matter of straightforward computation to check whether or not it is harmonic. For instance $u(x,y,z) = \frac$ and $u(x,y,z) = 2x^2 - y^2 - z^2$ are both harmonic while $u(x,y,z)=\sin(xy)+z$ is not. It may be surprising that the two given examples of harmonic functions are of such a strikingly different form from one another. This is a reflection of the fact that they are ''not'', in any immediate way, both special cases of a "general solution formula" of the Laplace equation. This is in striking contrast to the case of
ordinary differential equation In mathematics, an ordinary differential equation (ODE) is a differential equation whose unknown(s) consists of one (or more) function(s) of one variable and involves the derivatives of those functions. The term ''ordinary'' is used in contrast ...
s (ODEs) roughly similar to the Laplace equation, with the aim of many introductory textbooks being to find algorithms leading to general solution formulas. For the Laplace equation, as for a large number of partial differential equations, such solution formulas fail to exist. The nature of this failure can be seen more concretely in the case of the following PDE: for a function of two variables, consider the equation $\frac=0.$ It can be directly checked that any function of the form , for any single-variable functions and whatsoever, will satisfy this condition. This is far beyond the choices available in ODE solution formulas, which typically allow the free choice of some numbers. In the study of PDE, one generally has the free choice of functions. The nature of this choice varies from PDE to PDE. To understand it for any given equation, ''existence and uniqueness theorems'' are usually important organizational principles. In many introductory textbooks, the role of existence and uniqueness theorems for ODE can be somewhat opaque; the existence half is usually unnecessary, since one can directly check any proposed solution formula, while the uniqueness half is often only present in the background in order to ensure that a proposed solution formula is as general as possible. By contrast, for PDE, existence and uniqueness theorems are often the only means by which one can navigate through the plethora of different solutions at hand. For this reason, they are also fundamental when carrying out a purely numerical simulation, as one must have an understanding of what data is to be prescribed by the user and what is to be left to the computer to calculate. To discuss such existence and uniqueness theorems, it is necessary to be precise about the
domain Domain may refer to: Mathematics *Domain of a function, the set of input values for which the (total) function is defined ** Domain of definition of a partial function ** Natural domain of a partial function ** Domain of holomorphy of a function * ...
of the "unknown function." Otherwise, speaking only in terms such as "a function of two variables," it is impossible to meaningfully formulate the results. That is, the domain of the unknown function must be regarded as part of the structure of the PDE itself. The following provides two classic examples of such existence and uniqueness theorems. Even though the two PDE in question are so similar, there is a striking difference in behavior: for the first PDE, one has the free prescription of a single function, while for the second PDE, one has the free prescription of two functions. * Let denote the unit-radius disk around the origin in the plane. For any continuous function on the unit circle, there is exactly one function on such that $\frac + \frac = 0$ and whose restriction to the unit circle is given by . * For any functions and on the real line , there is exactly one function on such that $\frac - \frac = 0$ and with and for all values of . Even more phenomena are possible. For instance, the following PDE, arising naturally in the field of
differential geometry Differential geometry is a mathematical discipline that studies the geometry of smooth shapes and smooth spaces, otherwise known as smooth manifolds. It uses the techniques of differential calculus, integral calculus, linear algebra and mult ...
, illustrates an example where there is a simple and completely explicit solution formula, but with the free choice of only three numbers and not even one function. * If is a function on with $\frac \frac + \frac \frac=0,$ then there are numbers , , and with . In contrast to the earlier examples, this PDE is nonlinear, owing to the square roots and the squares. A linear PDE is one such that, if it is homogeneous, the sum of any two solutions is also a solution, and all constant multiples of any solution is also a solution.

# Well-posedness

Well-posedness refers to a common schematic package of information about a PDE. To say that a PDE is well-posed, one must have: * an existence and uniqueness theorem, asserting that by the prescription of some freely chosen functions, one can single out one specific solution of the PDE * by continuously changing the free choices, one continuously changes the corresponding solution This is, by the necessity of being applicable to several different PDE, somewhat vague. The requirement of "continuity," in particular, is ambiguous, since there are usually many inequivalent means by which it can be rigorously defined. It is, however, somewhat unusual to study a PDE without specifying a way in which it is well-posed.

## The energy method

The energy method is a mathematical procedure that can be used to verify well-posedness of initial-boundary-value-problems. In the following example the energy method is used to decide where and which boundary conditions should be imposed such that the resulting IBVP is well-posed. Consider the one-dimensional hyperbolic PDE given by where $\alpha \neq 0$ is a constant and $u\left(x,t\right)$ is an unknown function with initial condition $u\left(x,0\right) = f\left(x\right)$. Multiplying with $u$ and integrating over the domain gives $\int_a^b u \frac \mathrm dx + \alpha \int _a ^b u \frac \mathrm dx = 0.$ Using that $\int _a ^b u \frac \mathrm dx = \frac \frac \, u \, ^2 \quad \text \quad \int _a ^b u \frac \mathrm dx = \frac u(b,t)^2 - \frac u(a,t)^2,$ where
integration by parts In calculus, and more generally in mathematical analysis, integration by parts or partial integration is a process that finds the integral of a product of functions in terms of the integral of the product of their derivative and antiderivati ...
has been used for the second relationship, we get $\frac \, u \, ^2 + \alpha u(b,t)^2 - \alpha u(a,t)^2 = 0.$ Here $\, \cdot \,$ denotes the standard $L^2$
norm Naturally occurring radioactive materials (NORM) and technologically enhanced naturally occurring radioactive materials (TENORM) consist of materials, usually industrial wastes or by-products enriched with radioactive elements found in the envir ...
. For well-posedness we require that the energy of the solution is non-increasing, i.e. that $\frac \, u \, ^2 \leq 0$, which is achieved by specifying $u$ at $x = a$ if $\alpha > 0$ and at $x = b$ if $\alpha < 0$. This corresponds to only imposing boundary conditions at the inflow. Note that well-posedness allows for growth in terms of data (initial and boundary) and thus it is sufficient to show that $\frac \, u \, ^2 \leq 0$ holds when all data are set to zero.

## Existence of local solutions

The Cauchy–Kowalski theorem for Cauchy initial value problems essentially states that if the terms in a partial differential equation are all made up of
analytic function In mathematics, an analytic function is a function that is locally given by a convergent power series. There exist both real analytic functions and complex analytic functions. Functions of each type are infinitely differentiable, but complex ...
s and a certain transversality condition is satisfied (the hyperplane or more generally hypersurface where the initial data are posed must be noncharacteristic with respect to the partial differential operator), then on certain regions, there necessarily exist solutions which are as well analytic functions. This is a fundamental result in the study of analytic partial differential equations. Surprisingly, the theorem does not hold in the setting of smooth functions; an
example Example may refer to: * '' exempli gratia'' (e.g.), usually read out in English as "for example" * .example, reserved as a domain name that may not be installed as a top-level domain of the Internet ** example.com, example.net, example.org, ...
discovered by Hans Lewy in 1957 consists of a linear partial differential equation whose coefficients are smooth (i.e., have derivatives of all orders) but not analytic for which no solution exists. So the Cauchy-Kowalevski theorem is necessarily limited in its scope to analytic functions.

# Classification

## Notation

When writing PDEs, it is common to denote partial derivatives using subscripts. For example: $u_x = \frac,\quad u_ = \frac,\quad u_ = \frac = \frac \left(\frac\right).$ In the general situation that is a function of variables, then denotes the first partial derivative relative to the -th input, denotes the second partial derivative relative to the -th and -th inputs, and so on. The Greek letter denotes the
Laplace operator In mathematics, the Laplace operator or Laplacian is a differential operator given by the divergence of the gradient of a scalar function on Euclidean space. It is usually denoted by the symbols \nabla\cdot\nabla, \nabla^2 (where \nabla is t ...
; if is a function of variables, then $\Delta u = u_ + u_ + \cdots + u_.$ In the physics literature, the Laplace operator is often denoted by ; in the mathematics literature, may also denote the
Hessian matrix In mathematics, the Hessian matrix or Hessian is a square matrix of second-order partial derivatives of a scalar-valued function, or scalar field. It describes the local curvature of a function of many variables. The Hessian matrix was devel ...
of .

## Linear and nonlinear equations

### Linear equations

A PDE is called linear if it is linear in the unknown and its derivatives. For example, for a function of and , a second order linear PDE is of the form $a_1(x,y)u_ + a_2(x,y)u_ + a_3(x,y)u_ + a_4(x,y)u_ + a_5(x,y)u_x + a_6(x,y)u_y + a_7(x,y)u = f(x,y)$ where and are functions of the independent variables only. (Often the mixed-partial derivatives and will be equated, but this is not required for the discussion of linearity.) If the are constants (independent of and ) then the PDE is called linear with constant coefficients. If is zero everywhere then the linear PDE is homogeneous, otherwise it is inhomogeneous. (This is separate from asymptotic homogenization, which studies the effects of high-frequency oscillations in the coefficients upon solutions to PDEs.)

### Nonlinear equations

Three main types of nonlinear PDEs are semilinear PDEs, quasilinear PDEs, and fully nonlinear PDEs. Nearest to linear PDEs are semilinear PDEs, where only the highest order derivatives appear as linear terms, with coefficients that are functions of the independent variables. The lower order derivatives and the unknown function may appear arbitrarily. For example, a general second order semilinear PDE in two variables is $a_1(x,y)u_ + a_2(x,y)u_ + a_3(x,y)u_ + a_4(x,y)u_ + f(u_x, u_y, u, x, y) = 0$ In a quasilinear PDE the highest order derivatives likewise appear only as linear terms, but with coefficients possibly functions of the unknown and lower-order derivatives: $a_1(u_x, u_y, u, x, y)u_ + a_2(u_x, u_y, u, x, y)u_ + a_3(u_x, u_y, u, x, y)u_ + a_4(u_x, u_y, u, x, y)u_ + f(u_x, u_y, u, x, y) = 0$ Many of the fundamental PDEs in physics are quasilinear, such as the
Einstein equations In the general theory of relativity, the Einstein field equations (EFE; also known as Einstein's equations) relate the geometry of spacetime to the distribution of matter within it. The equations were published by Einstein in 1915 in the form ...
of
general relativity General relativity, also known as the general theory of relativity and Einstein's theory of gravity, is the geometric theory of gravitation published by Albert Einstein in 1915 and is the current description of gravitation in modern physics ...
and the
Navier–Stokes equations In physics, the Navier–Stokes equations ( ) are partial differential equations which describe the motion of viscous fluid substances, named after French engineer and physicist Claude-Louis Navier and Anglo-Irish physicist and mathematician G ...
describing fluid motion. A PDE without any linearity properties is called fully nonlinear, and possesses nonlinearities on one or more of the highest-order derivatives. An example is the Monge–Ampère equation, which arises in
differential geometry Differential geometry is a mathematical discipline that studies the geometry of smooth shapes and smooth spaces, otherwise known as smooth manifolds. It uses the techniques of differential calculus, integral calculus, linear algebra and mult ...
.

## Linear equations of second order

Elliptic, parabolic, and
hyperbolic Hyperbolic is an adjective describing something that resembles or pertains to a hyperbola (a curve), to hyperbole (an overstatement or exaggeration), or to hyperbolic geometry. The following phenomena are described as ''hyperbolic'' because they ...
partial differential equations of order two have been widely studied since the beginning of the twentieth century. However, there are many other important types of PDE, including the Korteweg–de Vries equation. There are also hybrids such as the Euler–Tricomi equation, which vary from elliptic to hyperbolic for different regions of the domain. There are also important extensions of these basic types to higher-order PDE, but such knowledge is more specialized. The elliptic/parabolic/hyperbolic classification provides a guide to appropriate initial and boundary conditions and to the smoothness of the solutions. Assuming , the general linear second-order PDE in two independent variables has the form $Au_ + 2Bu_ + Cu_ + \cdots \mbox = 0,$ where the coefficients , , ... may depend upon and . If over a region of the -plane, the PDE is second-order in that region. This form is analogous to the equation for a conic section: $Ax^2 + 2Bxy + Cy^2 + \cdots = 0.$ More precisely, replacing by , and likewise for other variables (formally this is done by a
Fourier transform A Fourier transform (FT) is a mathematical transform that decomposes functions into frequency components, which are represented by the output of the transform as a function of frequency. Most commonly functions of time or space are transformed ...
), converts a constant-coefficient PDE into a polynomial of the same degree, with the terms of the highest degree (a
homogeneous polynomial In mathematics, a homogeneous polynomial, sometimes called quantic in older texts, is a polynomial whose nonzero terms all have the same degree. For example, x^5 + 2 x^3 y^2 + 9 x y^4 is a homogeneous polynomial of degree 5, in two variables; ...
, here a
quadratic form In mathematics, a quadratic form is a polynomial with terms all of degree two (" form" is another name for a homogeneous polynomial). For example, :4x^2 + 2xy - 3y^2 is a quadratic form in the variables and . The coefficients usually belong to ...
) being most significant for the classification. Just as one classifies
conic section In mathematics, a conic section, quadratic curve or conic is a curve obtained as the intersection of the surface of a cone with a plane. The three types of conic section are the hyperbola, the parabola, and the ellipse; the circle is a spec ...
s and quadratic forms into parabolic, hyperbolic, and elliptic based on the
discriminant In mathematics, the discriminant of a polynomial is a quantity that depends on the coefficients and allows deducing some properties of the roots without computing them. More precisely, it is a polynomial function of the coefficients of the ori ...
, the same can be done for a second-order PDE at a given point. However, the
discriminant In mathematics, the discriminant of a polynomial is a quantity that depends on the coefficients and allows deducing some properties of the roots without computing them. More precisely, it is a polynomial function of the coefficients of the ori ...
in a PDE is given by due to the convention of the term being rather than ; formally, the discriminant (of the associated quadratic form) is , with the factor of 4 dropped for simplicity. # (''
elliptic partial differential equation Second-order linear partial differential equations (PDEs) are classified as either elliptic, hyperbolic Hyperbolic is an adjective describing something that resembles or pertains to a hyperbola (a curve), to hyperbole (an overstatement or ex ...
''): Solutions of elliptic PDEs are as smooth as the coefficients allow, within the interior of the region where the equation and solutions are defined. For example, solutions of Laplace's equation are analytic within the domain where they are defined, but solutions may assume boundary values that are not smooth. The motion of a fluid at subsonic speeds can be approximated with elliptic PDEs, and the Euler–Tricomi equation is elliptic where . # (''
parabolic partial differential equation A parabolic partial differential equation is a type of partial differential equation (PDE). Parabolic PDEs are used to describe a wide variety of time-dependent phenomena, including heat conduction, particle diffusion, and pricing of derivati ...
''): Equations that are parabolic at every point can be transformed into a form analogous to the
heat equation In mathematics and physics, the heat equation is a certain partial differential equation. Solutions of the heat equation are sometimes known as caloric functions. The theory of the heat equation was first developed by Joseph Fourier in 1822 for ...
by a change of independent variables. Solutions smooth out as the transformed time variable increases. The Euler–Tricomi equation has parabolic type on the line where . # (''
hyperbolic partial differential equation In mathematics, a hyperbolic partial differential equation of order n is a partial differential equation (PDE) that, roughly speaking, has a well-posed initial value problem for the first n-1 derivatives. More precisely, the Cauchy problem can b ...
''):
hyperbolic Hyperbolic is an adjective describing something that resembles or pertains to a hyperbola (a curve), to hyperbole (an overstatement or exaggeration), or to hyperbolic geometry. The following phenomena are described as ''hyperbolic'' because they ...
equations retain any discontinuities of functions or derivatives in the initial data. An example is the
wave equation The (two-way) wave equation is a second-order linear partial differential equation for the description of waves or standing wave fields — as they occur in classical physics — such as mechanical waves (e.g. water waves, sound waves and seis ...
. The motion of a fluid at supersonic speeds can be approximated with hyperbolic PDEs, and the Euler–Tricomi equation is hyperbolic where . If there are independent variables , a general linear partial differential equation of second order has the form $L u =\sum_^n\sum_^n a_ \frac \quad+ \text = 0.$ The classification depends upon the signature of the
eigenvalues In linear algebra, an eigenvector () or characteristic vector of a linear transformation is a nonzero vector that changes at most by a scalar factor when that linear transformation is applied to it. The corresponding eigenvalue, often denote ...
of the coefficient matrix . # Elliptic: the eigenvalues are all positive or all negative. # Parabolic: the eigenvalues are all positive or all negative, except one that is zero. # Hyperbolic: there is only one negative eigenvalue and all the rest are positive, or there is only one positive eigenvalue and all the rest are negative. # Ultrahyperbolic: there is more than one positive eigenvalue and more than one negative eigenvalue, and there are no zero eigenvalues. The theory of elliptic, parabolic, and hyperbolic equations have been studied for centuries, largely centered around or based upon the standard examples of the
Laplace equation In mathematics and physics, Laplace's equation is a second-order partial differential equation named after Pierre-Simon Laplace, who first studied its properties. This is often written as \nabla^2\! f = 0 or \Delta f = 0, where \Delta = \nab ...
, the
heat equation In mathematics and physics, the heat equation is a certain partial differential equation. Solutions of the heat equation are sometimes known as caloric functions. The theory of the heat equation was first developed by Joseph Fourier in 1822 for ...
, and the
wave equation The (two-way) wave equation is a second-order linear partial differential equation for the description of waves or standing wave fields — as they occur in classical physics — such as mechanical waves (e.g. water waves, sound waves and seis ...
.

## Systems of first-order equations and characteristic surfaces

The classification of partial differential equations can be extended to systems of first-order equations, where the unknown is now a
vector Vector most often refers to: * Euclidean vector, a quantity with a magnitude and a direction * Vector (epidemiology), an agent that carries and transmits an infectious pathogen into another living organism Vector may also refer to: Mathemat ...
with components, and the coefficient matrices are by matrices for . The partial differential equation takes the form $Lu = \sum_^ A_\nu \frac + B=0,$ where the coefficient matrices and the vector may depend upon and . If a
hypersurface In geometry, a hypersurface is a generalization of the concepts of hyperplane, plane curve, and surface. A hypersurface is a manifold or an algebraic variety of dimension , which is embedded in an ambient space of dimension , generally a Euclidea ...
is given in the implicit form $\varphi(x_1, x_2, \ldots, x_n)=0,$ where has a non-zero gradient, then is a characteristic surface for the operator at a given point if the characteristic form vanishes: The geometric interpretation of this condition is as follows: if data for are prescribed on the surface , then it may be possible to determine the normal derivative of on from the differential equation. If the data on and the differential equation determine the normal derivative of on , then is non-characteristic. If the data on and the differential equation ''do not'' determine the normal derivative of on , then the surface is characteristic, and the differential equation restricts the data on : the differential equation is ''internal'' to . # A first-order system is ''elliptic'' if no surface is characteristic for : the values of on and the differential equation always determine the normal derivative of on . # A first-order system is ''hyperbolic'' at a point if there is a spacelike surface with normal at that point. This means that, given any non-trivial vector orthogonal to , and a scalar multiplier , the equation has real roots . The system is strictly hyperbolic if these roots are always distinct. The geometrical interpretation of this condition is as follows: the characteristic form defines a cone (the normal cone) with homogeneous coordinates ζ. In the hyperbolic case, this cone has sheets, and the axis runs inside these sheets: it does not intersect any of them. But when displaced from the origin by η, this axis intersects every sheet. In the elliptic case, the normal cone has no real sheets.

# Analytical solutions

## Separation of variables

Linear PDEs can be reduced to systems of ordinary differential equations by the important technique of separation of variables. This technique rests on a characteristic of solutions to differential equations: if one can find any solution that solves the equation and satisfies the boundary conditions, then it is ''the'' solution (this also applies to ODEs). We assume as an
ansatz In physics and mathematics, an ansatz (; , meaning: "initial placement of a tool at a work piece", plural Ansätze ; ) is an educated guess or an additional assumption made to help solve a problem, and which may later be verified to be part of the ...
that the dependence of a solution on the parameters space and time can be written as a product of terms that each depend on a single parameter, and then see if this can be made to solve the problem. In the method of separation of variables, one reduces a PDE to a PDE in fewer variables, which is an ordinary differential equation if in one variable – these are in turn easier to solve. This is possible for simple PDEs, which are called separable partial differential equations, and the domain is generally a rectangle (a product of intervals). Separable PDEs correspond to diagonal matrices – thinking of "the value for fixed " as a coordinate, each coordinate can be understood separately. This generalizes to the
method of characteristics In mathematics, the method of characteristics is a technique for solving partial differential equations. Typically, it applies to first-order equations, although more generally the method of characteristics is valid for any hyperbolic partial d ...
, and is also used in integral transforms.

## Method of characteristics

In special cases, one can find characteristic curves on which the equation reduces to an ODE – changing coordinates in the domain to straighten these curves allows separation of variables, and is called the
method of characteristics In mathematics, the method of characteristics is a technique for solving partial differential equations. Typically, it applies to first-order equations, although more generally the method of characteristics is valid for any hyperbolic partial d ...
. More generally, one may find characteristic surfaces. For a second order partial differential equation solution, see the Charpit method.

## Integral transform

An integral transform may transform the PDE to a simpler one, in particular, a separable PDE. This corresponds to diagonalizing an operator. An important example of this is
Fourier analysis In mathematics, Fourier analysis () is the study of the way general functions may be represented or approximated by sums of simpler trigonometric functions. Fourier analysis grew from the study of Fourier series, and is named after Joseph ...
, which diagonalizes the heat equation using the
eigenbasis In linear algebra, an eigenvector () or characteristic vector of a linear transformation is a nonzero vector that changes at most by a scalar factor when that linear transformation is applied to it. The corresponding eigenvalue, often denoted ...
of sinusoidal waves. If the domain is finite or periodic, an infinite sum of solutions such as a
Fourier series A Fourier series () is a summation of harmonically related sinusoidal functions, also known as components or harmonics. The result of the summation is a periodic function whose functional form is determined by the choices of cycle length (or ' ...
is appropriate, but an integral of solutions such as a Fourier integral is generally required for infinite domains. The solution for a point source for the heat equation given above is an example of the use of a Fourier integral.

## Change of variables

Often a PDE can be reduced to a simpler form with a known solution by a suitable
change of variables Change or Changing may refer to: Alteration * Impermanence, a difference in a state of affairs at different points in time * Menopause, also referred to as "the change", the permanent cessation of the menstrual period * Metamorphosis, or change, ...
. For example, the
Black–Scholes equation In mathematical finance, the Black–Scholes equation is a partial differential equation (PDE) governing the price evolution of a European call or European put under the Black–Scholes model. Broadly speaking, the term may refer to a similar PDE ...
$\frac + \tfrac \sigma^2 S^2 \frac + rS \frac - rV = 0$ is reducible to the
heat equation In mathematics and physics, the heat equation is a certain partial differential equation. Solutions of the heat equation are sometimes known as caloric functions. The theory of the heat equation was first developed by Joseph Fourier in 1822 for ...
$\frac = \frac$ by the change of variables

## Fundamental solution

Inhomogeneous equations can often be solved (for constant coefficient PDEs, always be solved) by finding the
fundamental solution In mathematics, a fundamental solution for a linear partial differential operator is a formulation in the language of distribution theory of the older idea of a Green's function (although unlike Green's functions, fundamental solutions do not ad ...
(the solution for a point source), then taking the
convolution In mathematics (in particular, functional analysis), convolution is a mathematical operation on two functions ( and ) that produces a third function (f*g) that expresses how the shape of one is modified by the other. The term ''convolution'' ...
with the boundary conditions to get the solution. This is analogous in
signal processing Signal processing is an electrical engineering subfield that focuses on analyzing, modifying and synthesizing '' signals'', such as sound, images, and scientific measurements. Signal processing techniques are used to optimize transmissions, ...
to understanding a filter by its
impulse response In signal processing and control theory, the impulse response, or impulse response function (IRF), of a dynamic system is its output when presented with a brief input signal, called an impulse (). More generally, an impulse response is the reac ...
.

## Superposition principle

The superposition principle applies to any linear system, including linear systems of PDEs. A common visualization of this concept is the interaction of two waves in phase being combined to result in a greater amplitude, for example . The same principle can be observed in PDEs where the solutions may be real or complex and additive. If and are solutions of linear PDE in some function space , then with any constants and are also a solution of that PDE in the same function space.

## Methods for non-linear equations

There are no generally applicable methods to solve nonlinear PDEs. Still, existence and uniqueness results (such as the Cauchy–Kowalevski theorem) are often possible, as are proofs of important qualitative and quantitative properties of solutions (getting these results is a major part of
analysis Analysis ( : analyses) is the process of breaking a complex topic or substance into smaller parts in order to gain a better understanding of it. The technique has been applied in the study of mathematics and logic since before Aristotle (38 ...
). Computational solution to the nonlinear PDEs, the split-step method, exist for specific equations like nonlinear Schrödinger equation. Nevertheless, some techniques can be used for several types of equations. The -principle is the most powerful method to solve underdetermined equations. The Riquier–Janet theory is an effective method for obtaining information about many analytic overdetermined systems. The
method of characteristics In mathematics, the method of characteristics is a technique for solving partial differential equations. Typically, it applies to first-order equations, although more generally the method of characteristics is valid for any hyperbolic partial d ...
can be used in some very special cases to solve nonlinear partial differential equations. In some cases, a PDE can be solved via perturbation analysis in which the solution is considered to be a correction to an equation with a known solution. Alternatives are
numerical analysis Numerical analysis is the study of algorithms that use numerical approximation (as opposed to symbolic manipulations) for the problems of mathematical analysis (as distinguished from discrete mathematics). It is the study of numerical methods ...
techniques from simple
finite difference A finite difference is a mathematical expression of the form . If a finite difference is divided by , one gets a difference quotient. The approximation of derivatives by finite differences plays a central role in finite difference methods for th ...
schemes to the more mature
multigrid In numerical analysis, a multigrid method (MG method) is an algorithm for solving differential equations using a hierarchy of discretizations. They are an example of a class of techniques called multiresolution methods, very useful in problems exhi ...
and
finite element method The finite element method (FEM) is a popular method for numerically solving differential equations arising in engineering and mathematical modeling. Typical problem areas of interest include the traditional fields of structural analysis, heat ...
s. Many interesting problems in science and engineering are solved in this way using
computer A computer is a machine that can be programmed to carry out sequences of arithmetic or logical operations ( computation) automatically. Modern digital electronic computers can perform generic sets of operations known as programs. These p ...
s, sometimes high performance
supercomputer A supercomputer is a computer with a high level of performance as compared to a general-purpose computer. The performance of a supercomputer is commonly measured in floating-point operations per second ( FLOPS) instead of million instructio ...
s.

## Lie group method

From 1870 Sophus Lie's work put the theory of differential equations on a more satisfactory foundation. He showed that the integration theories of the older mathematicians can, by the introduction of what are now called
Lie group In mathematics, a Lie group (pronounced ) is a group that is also a differentiable manifold. A manifold is a space that locally resembles Euclidean space, whereas groups define the abstract concept of a binary operation along with the addi ...
s, be referred, to a common source; and that ordinary differential equations which admit the same infinitesimal transformations present comparable difficulties of integration. He also emphasized the subject of transformations of contact. A general approach to solving PDEs uses the symmetry property of differential equations, the continuous infinitesimal transformations of solutions to solutions ( Lie theory). Continuous
group theory In abstract algebra, group theory studies the algebraic structures known as groups. The concept of a group is central to abstract algebra: other well-known algebraic structures, such as rings, fields, and vector spaces, can all be seen a ...
, Lie algebras and
differential geometry Differential geometry is a mathematical discipline that studies the geometry of smooth shapes and smooth spaces, otherwise known as smooth manifolds. It uses the techniques of differential calculus, integral calculus, linear algebra and mult ...
are used to understand the structure of linear and nonlinear partial differential equations for generating integrable equations, to find its Lax pairs, recursion operators, Bäcklund transform and finally finding exact analytic solutions to the PDE. Symmetry methods have been recognized to study differential equations arising in mathematics, physics, engineering, and many other disciplines.

## Semianalytical methods

The Adomian decomposition method, the Lyapunov artificial small parameter method, and his homotopy perturbation method are all special cases of the more general homotopy analysis method. These are series expansion methods, and except for the Lyapunov method, are independent of small physical parameters as compared to the well known
perturbation theory In mathematics and applied mathematics, perturbation theory comprises methods for finding an approximate solution to a problem, by starting from the exact solution of a related, simpler problem. A critical feature of the technique is a middle ...
, thus giving these methods greater flexibility and solution generality.

# Numerical solutions

The three most widely used numerical methods to solve PDEs are the
finite element method The finite element method (FEM) is a popular method for numerically solving differential equations arising in engineering and mathematical modeling. Typical problem areas of interest include the traditional fields of structural analysis, heat ...
(FEM), finite volume methods (FVM) and finite difference methods (FDM), as well other kind of methods called Meshfree methods, which were made to solve problems where the aforementioned methods are limited. The FEM has a prominent position among these methods and especially its exceptionally efficient higher-order version hp-FEM. Other hybrid versions of FEM and Meshfree methods include the generalized finite element method (GFEM), extended finite element method (XFEM), spectral finite element method (SFEM), meshfree finite element method, discontinuous Galerkin finite element method (DGFEM), Element-Free Galerkin Method (EFGM), Interpolating Element-Free Galerkin Method (IEFGM), etc.

## Finite element method

The finite element method (FEM) (its practical application often known as finite element analysis (FEA)) is a numerical technique for finding approximate solutions of partial differential equations (PDE) as well as of integral equations. The solution approach is based either on eliminating the differential equation completely (steady state problems), or rendering the PDE into an approximating system of ordinary differential equations, which are then numerically integrated using standard techniques such as Euler's method, Runge–Kutta, etc.

## Finite difference method

Finite-difference methods are numerical methods for approximating the solutions to differential equations using
finite difference A finite difference is a mathematical expression of the form . If a finite difference is divided by , one gets a difference quotient. The approximation of derivatives by finite differences plays a central role in finite difference methods for th ...
equations to approximate derivatives.

## Finite volume method

Similar to the finite difference method or finite element method, values are calculated at discrete places on a meshed geometry. "Finite volume" refers to the small volume surrounding each node point on a mesh. In the finite volume method, surface integrals in a partial differential equation that contain a divergence term are converted to volume integrals, using the
divergence theorem In vector calculus, the divergence theorem, also known as Gauss's theorem or Ostrogradsky's theorem, reprinted in is a theorem which relates the ''flux'' of a vector field through a closed surface to the '' divergence'' of the field in the ...
. These terms are then evaluated as fluxes at the surfaces of each finite volume. Because the flux entering a given volume is identical to that leaving the adjacent volume, these methods conserve mass by design.

# See also

Some common PDEs *
Heat equation In mathematics and physics, the heat equation is a certain partial differential equation. Solutions of the heat equation are sometimes known as caloric functions. The theory of the heat equation was first developed by Joseph Fourier in 1822 for ...
*
Wave equation The (two-way) wave equation is a second-order linear partial differential equation for the description of waves or standing wave fields — as they occur in classical physics — such as mechanical waves (e.g. water waves, sound waves and seis ...
* Laplace's equation * Helmholtz equation *
Klein–Gordon equation The Klein–Gordon equation (Klein–Fock–Gordon equation or sometimes Klein–Gordon–Fock equation) is a relativistic wave equation, related to the Schrödinger equation. It is second-order in space and time and manifestly Lorentz-covariant ...
*
Poisson's equation Poisson's equation is an elliptic partial differential equation of broad utility in theoretical physics. For example, the solution to Poisson's equation is the potential field caused by a given electric charge or mass density distribution; with th ...
* Navier-Stokes equation * Burgers' equation Types of boundary conditions *
Dirichlet boundary condition In the mathematical study of differential equations, the Dirichlet (or first-type) boundary condition is a type of boundary condition, named after Peter Gustav Lejeune Dirichlet (1805–1859). When imposed on an ordinary or a partial differentia ...
* Neumann boundary condition * Robin boundary condition *
Cauchy problem A Cauchy problem in mathematics asks for the solution of a partial differential equation that satisfies certain conditions that are given on a hypersurface in the domain. A Cauchy problem can be an initial value problem or a boundary value probl ...
Various topics *
Jet bundle In differential topology, the jet bundle is a certain construction that makes a new smooth fiber bundle out of a given smooth fiber bundle. It makes it possible to write differential equations on sections of a fiber bundle in an invariant form. ...
* Laplace transform applied to differential equations * List of dynamical systems and differential equations topics * Matrix differential equation * Numerical partial differential equations * Partial differential algebraic equation *
Recurrence relation In mathematics, a recurrence relation is an equation according to which the nth term of a sequence of numbers is equal to some combination of the previous terms. Often, only k previous terms of the sequence appear in the equation, for a parameter ...
* Stochastic processes and boundary value problems

# References

* . * . * * . * . * . * . * . * . * . * . * . * * . * * * . * . * . * . * . *

# Further reading

* * Nirenberg, Louis (1994). "Partial differential equations in the first half of the century." Development of mathematics 1900–1950 (Luxembourg, 1992), 479–515, Birkhäuser, Basel. *

# External links

*
Partial Differential Equations: Exact Solutions
at EqWorld: The World of Mathematical Equations.

at EqWorld: The World of Mathematical Equations.

at EqWorld: The World of Mathematical Equations.
Example problems with solutions
at exampleproblems.com

at mathworld.wolfram.com

with Mathematica
Partial Differential Equations
in Cleve Moler: Numerical Computing with MATLAB

at nag.com * {{Authority control Multivariable calculus Mathematical physics Differential equations