First-order partial differential equation

In mathematics, a first-order partial differential equation is a partial differential equation that involves only first derivatives of the unknown function of n variables. The equation takes the form

$F(x_1,\ldots,x_n,u,u_{x_1},\ldots u_{x_n}) =0. \,$

Such equations arise in the construction of characteristic surfaces for hyperbolic partial differential equations, in the calculus of variations, in some geometrical problems, and in simple models for gas dynamics whose solution involves the method of characteristics. If a family of solutions of a single first-order partial differential equation can be found, then additional solutions may be obtained by forming envelopes of solutions in that family. In a related procedure, general solutions may be obtained by integrating families of ordinary differential equations.

Characteristic surfaces for the wave equation

Characteristic surfaces for the wave equation are level surfaces for solutions of the equation

$u_t^2 = c^2 \left(u_x^2 +u_y^2 + u_z^2 \right). \,$

There is little loss of generality if we set $u_t =1$: in that case u satisfies

$u_x^2 + u_y^2 + u_z^2= \frac{1}{c^2}. \,$

In vector notation, let

$\vec x = (x,y,z) \quad \hbox{and} \quad \vec p = (u_x, u_y, u_z).\,$

A family of solutions with planes as level surfaces is given by

$u(\vec x) = \vec p \cdot (\vec x - \vec{x_0}), \,$

where

$| \vec p \,| = \frac{1}{c}, \quad \text{and} \quad \vec{x_0} \quad \text{is arbitrary}.\,$

If x and x₀ are held fixed, the envelope of these solutions is obtained by finding a point on the sphere of radius 1/c where the value of u is stationary. This is true if $\vec p$ is parallel to $\vec x - \vec{x_0}$. Hence the envelope has equation

$u(\vec x) = \pm \frac{1}{c} | \vec x -\vec{x_0} \,|.$

These solutions correspond to spheres whose radius grows or shrinks with velocity c. These are light cones in space-time.

The initial value problem for this equation consists in specifying a level surface S where u=0 for t=0. The solution is obtained by taking the envelope of all the spheres with centers on S, whose radii grow with velocity c. This envelope is obtained by requiring that

$\frac{1}{c} | \vec x - \vec{x_0}\, | \quad \hbox{is stationary for} \quad \vec{x_0} \in S. \,$

This condition will be satisfied if $| \vec x - \vec{x_0}\, |$ is normal to S. Thus the envelope corresponds to motion with velocity c along each normal to S. This is the Huygens' construction of wave fronts: each point on S emits a spherical wave at time t=0, and the wave front at a later time t is the envelope of these spherical waves. The normals to S are the light rays.

Two-dimensional theory

The notation is relatively simple in two space dimensions, but the main ideas generalize to higher dimensions. A general first-order partial differential equation has the form

$F(x,y,u,p,q)=0, \,$

where

$p=u_x, \quad q=u_y. \,$

A complete integral of this equation is a solution φ(x,y,u) that depends upon two parameters a and b. (There are n parameters required in the n-dimensional case.) An envelope of such solutions is obtained by choosing an arbitrary function w, setting b=w(a), and determining A(x,y,u) by requiring that the total derivative

$\frac{d \varphi}{d a} = \varphi_a(x,y,u,A,w(A)) + w'(A)\varphi_b(x,y,u,A,w(A)) =0. \,$

In that case, a solution $u_w$ is also given by

$u_w = \phi(x,y,u,A,w(A)) \,$

Each choice of the function w leads to a solution of the PDE. A similar process led to the construction of the light cone as a characteristic surface for the wave equation.

If a complete integral is not available, solutions may still be obtained by solving a system of ordinary equations. To obtain this system, first note that the PDE determines a cone (analogous to the light cone) at each point: if the PDE is linear in the derivatives of u (it is quasi-linear), then the cone degenerates into a line. In the general case, the pairs (p,q) that satisfy the equation determine a family of planes at a given point:

$u - u_0 = p(x-x_0) + q(y-y_0), \,$

where

$F(x_0,y_0,u_0,p,q) =0.\,$

The envelope of these planes is a cone, or a line if the PDE is quasi-linear. The condition for an envelope is

$F_p\, dp + F_q \,dq =0, \,$

where F is evaluated at $(x_0, y_0,u_0,p,q)$, and dp and dq are increments of p and q that satisfy F=0. Hence the generator of the cone is a line with direction

$dx:dy:du = F_p:F_q:(pF_p + qF_q). \,$

This direction corresponds to the light rays for the wave equation. To integrate differential equations along these directions, we require increments for p and q along the ray. This can be obtained by differentiating the PDE:

$F_x +F_u p + F_p p_x + F_q p_y =0, \,$

$F_y +F_u q + F_p q_x + F_q q_y =0,\,$

Therefore the ray direction in $(x,y,u,p,q)$ space is

$dx:dy:du:dp:dq = F_p:F_q:(pF_p + qF_q):(-F_x-F_u p):(-F_y - F_u q). \,$

The integration of these equations leads to a ray conoid at each point $(x_0,y_0,u_0)$. General solutions of the PDE can then be obtained from envelopes of such conoids.

External links

• The Method of Characteristics with applications to Conservation Laws

Bibliography

• R. Courant and D. Hilbert, Methods of Mathematical Physics, Vol II, Wiley (Interscience), New York, 1962.
• L.C. Evans, Partial Differential Equations, American Mathematical Society, Providence, 1998. ISBN 0-8218-0772-2
• A. D. Polyanin, V. F. Zaitsev, and A. Moussiaux, Handbook of First Order Partial Differential Equations, Taylor & Francis, London, 2002. ISBN 0-415-27267-X
• A. D. Polyanin, Handbook of Linear Partial Differential Equations for Engineers and Scientists, Chapman & Hall/CRC Press, Boca Raton, 2002. ISBN 1-58488-299-9
• Sarra, Scott The Method of Characteristics with applications to Conservation Laws, Journal of Online Mathematics and its Applications, 2003.