1 Eutiquio C Young Partial Differential Equations An Introduction Allyn and Bacon 1972 (240 357) (001 020)
1 Eutiquio C Young Partial Differential Equations An Introduction Allyn and Bacon 1972 (240 357) (001 020)
1 Eutiquio C Young Partial Differential Equations An Introduction Allyn and Bacon 1972 (240 357) (001 020)
together with the initial condition (4.2) and boundary conditions (4.3). We
assume a series solution or this problem in the form
. _ ,, . ll71X
(5.2) 11(x. I) - w 11,,(t) c,111-
" I L
where the coefficients 11., are functions or I. This is actually the eigenfunction
expansion of the yet unknown function 11. in terms of the eigenfunctions (4.8)
of the associated Sturm-Liouville problem (4.6). Thus, the coeftlcients 1111 must
be related to the function u by the formula
so that
Then, by differentiating (5.3) with respect tot and using (5.1), we obtain
= 2k
-L J'L Un
. lliTX
Sin - - dx + F,,(t)
.. L
0
where F 11 (t) is given in (5.5). By using the boundary conditions (4.3), the first
term on the right of equation (5.6) can be integrated by parts twice, to give
2/.: r.L Uu
. 1171X d
sm ·-- x = - k. ( )
·1. 1µ., t
L •O L
where }. 11 1s as given 111 (4.7). Thus, (5.6) leads to the ordinary differential
equation
for the functions 11", n = I, 2, .... The initial condition (4.2) implies that
(5.8) 11,,(0) =
2 JL f(x)sin
. . l/7L'(
dx = b,, (n = I, 2, .. )
L 0 L
(5.9)
~ . nnx
(5.11) i:(x, t) = £... u,,(t) sm -
11=1 L
with
verify that the series (5.11) can be differentiated term by term. Then, by (5. 7)
and (5.4), it follows that
00
nnx
vt - kv.n = L [v;,(t) + knv(t)] sin· ··
11=1 L
00
nnx
= L F,,(t)
•
SJl1.
11=1 L
= F(x, t)
so that v satisfies (5.1 ).
If we substitute (5.5) for F,, in (5.11) and formally interchange the order of
summation and integration, we can write (5.11) in the integral form
Our assertion then follows by the Duhamel's principle (Problem 10, Exercises
6.4). The uniqueness of our solution follows by Theorem 3.2.
Fn(t) = -2r
n:
in . .
0
Sll1 x 5111 nx dx = {ot (11 = 1)
(11 > I)
= (e-' + t - 1) sin x
Sec. 5 Nonlto111oge11eo11s /11itiul-Bo11nd11ry Value Problems 233
F,,(t) = 2 Jn/2 x sm
_ nx dx + 2 J" (rr - x) sin nx dx
Tr 0 n rr/2
4 . /17[
2
sm (11 = J, 2, ... )
nn 2
or
4( - 1)11 - 1
F2n-1 (I) = - -- (n = I, 2, __ )
rr(211 - 1)2
(See Example 9.1, Chapter 3.) Hence, by (5.12),
V 2 n_ 1 (1) = -- -
4( - l)n-1
- -
J' exp[-(211 - I)2(r - T)] dT
rr(211 - 1)2 o
= 4(--_I)"_~_ [I _ e-<211-1)11]
n(2n - I )4
w, - kw xx = - [a'(t) + xb'(t)]
(5.16) w(x, 0) = -a(O) - xb(O)
w(O, t) = 0, wx(L, t) = 0
X (x
11
. (211
. ) = s111 - --
2
1) nL..~ (11 = 0, 1, 2, ... )
Using the boundary conditions in (5.15), this can be integrated by parts twice
to give
2k -
g,,(t) = -z_- [,/;,,, a(t) + (-1)'·- 1 b(t)] (11 = 1, 2, ... )
From the initial condition in (5.15) we see that u,,(O) = 0. Hence, by solving
the differential equation (5.19) with the initial condition u,,(O) = 0, we find
u(x, I)=~ 1 ~
1 (-1)"-
1
(L exp(--~ 211
-
2
8 I:.,_ (- I)"- 1
I- e· 211
< -
-
1
>'t1 4
·- sm -
. (211~- - I) x
7f n= I (211 - l )2 . 2
To verify that this gives a solution of the problem, we observe that the function
f(x) = x has the Fourier series representation
x =
8 I: oo ( - 1--)"-I sm
. (211 - 1) x (0 < x < 7!)
7! 11=1 (211 - 1) 2 2
in terms of the eigenfunctions X 11 (x) = sin [(211 - 1l/2 ]x, n = I, 2, . . . . Hence,
we can write our solution above in the form
u(x, I) = x -
8
-
00
I: (-1)"-
-
1
? exp
(-(211
- - - 1)
2
1) sm. (211 - 1) x
7T 11= I (211 - 1)- 4 2
Exercises 6.4
3. 11, -ku'"' = 0. 0 < x < L, t > O; u(x, 0) = 0, 11(0, t) = sin UJt, u(L, t) = 0, (J) a
constant.
4. u, - kuxx = 0, 0 < x < L, t > O; u(x, 0) = 0, 11(0, t) = 0, uJL, t) = cos UJt.
5. u, - uu + hu = 0, lz a positive constant, 0 < x < rr, t > 0; u(x, 0) = 0, u(O, t) =
0, 11(71, t) = J.
6. Solve the problem
u, - ku'"' = e-x (0 < x < n, t > 0)
u(x, 0) = f(x) (0 ~ x ~ n)
11(0, t) = 0, u«n, t) = 0
10. (Duhamel's Principle) Let 11(x, t, T) be the solution of problem (5.14) and set
1 (x, I) == s~ u(x. I - T, T) dT. Show that v agrees with (5.13) and that it satisfies
(5.1), (4.3), and the initial condition r(x, 0) = 0.
We now consider the problem of heat flow in an infinite rod without heat
source, whose lateral surface is thermally insulated. This problem leads to the
initial value problem
(6.1) u, - kuu = 0 ( - Cl) < x < Cl), t > 0)
(6.2) u(x. 0) = f (x) (-oo<x<oo)
for the heat equation. We shall solve this problem by means of the Fourier
transform presented in Chapter 5.
We suppose that the problem (6.1), (6.2) has a solution 11, which has the
property that 11, 11,, ux, and uu are all piecewise smooth in x and t, and absolutely
Sec. 6 The Initial Value Problem 237
integrable in x for - oo < x < oo. Then, according to Theorem 8.1 of Chapter
5, the Fourier transforms of all these functions exist; in particular, we have
and
(6.4) u(x, t) = /
v 2n
- J00
-oc
U(s l)ei.sx ds
. '
Thus, if we can find the transform (6.3), then the solution of the problem will
be given by the formula (6.4).
To determine the function U, let us differentiate (6.3) with respect to t and
use the differential equation (6.1) to obtain
au J~
00 u,(x, t)e-isx dx
1
- (s, t) = - -,=
ot J2n
(6.5)
k
,/2;
J: 00
uxix, t)e-isx dx
Note that because 11, and 11.u are absolutely integrable on - oo < x < oo for
all s and t > 0, differentiation with respect to t under the integral sign is valid.
Integrating by parts twice the last integral above, we have
au k . . 1 oc
---;;-· (s, t) = -r· (uxe-•sx + isue-•sx):
ot --.J2n i-oo
- ---=
ks2 Joo u(x, . dx
t)e-•sx
J2n -oo
If we further assume that u and u, vanish as lxl --> oo, then equation (6.5)
reduces to
au
-~ - (s, t) = -ks 2 U(s, t)
(6.6)
ct
where we have used (6.3).
We now require for this discussion that the function fin (6.2) be piecewise
smooth and absolutely integrable on ( - oo, oo) so that its Fourier transform
F(s) exists. Then, from (6.3) and (6.2), we have
U(s, 0) = ~l~n J: 00
u(x, O)e-isx dx
(6.7)
,-- J_"'oo J(x)e-isx
'\/ 2n
= F(s)
238 The Heat Equation Chap. 6
u(x, t) = 11·.·
, 2rr
I"'
"- oc
F(s) exp( - ks 2 t + isx) ds
(6.9)
where
G(x, t) I
2rr
J"'_"' e - ks'r cos sx ds
1 Joo e -ks't cos sx cs/
J[ 0
Sec. 6 The Initial Value Problem 239
,_;rr e-x'/4kt
so that
G(x, I) =
1
f"' e-k>'r cos sx ds
rr o
(6.13)
(6.15) G(x - (, t) = I
1
..
(-(x -
exp - - c) ·
2
)
(t > 0)
2,i rrkt 4/.:t
is called the fundamental solution or the Green's function for the heat equation
in the infinite domain - oo < x < oo, t > 0. Physically, the Green's function
(6.15) represents the temperature at a point x at time I due to a concentrated
heat source at a point ¢ at time zero.
It is easily verified from (6.15) that (i) G has continuous partial derivatives
of all orders with respect to x and t for - oo < x < oo, I > 0, and satisfies the
heat equation for all x and I > 0, provided x # ( (see Problem 2, Exercises
6.1); (ii) G is continuous at x = (; (iii) G vanishes as !xi -> oo for t > 0; (iv)
G has the property
f~0 G(x - (, t) d( = 1
and, finally, (v) G is symmetric with respect to x and (. These properties are
analogous to those of a Green's function for an ordinary differential equation.
Now, to verify that (6.14) actually gives a solution of the problem (6.1),
(6.2), it is enough to require that f be continuous and bounded on ( - oo, oo ).
Then, for arbitrary constants L > 0 and t 0 > 0, the integral (6.14) together
with its partial derivatives of any order obtained by differentiating under the
~: ..
240 The Heat Equation Chap. 6
u(x, t) = - l_
Jn
J"'
-oo
f(x + J4kt z)e-= 2
dz
Since f is bounded for all values of its argument, the preceding integral con-
verges uniformly with respect to x and t for - oo < x < oo, t ;:::: 0. Hence,
Jim u(x, t) = - :
t->O"
1
'Ii1n
J 00
-oo
f(x)e-= dz
2
= f(x)
which verifies (6.2). From the boundedness off it follows that u is also bounded.
If we define u(x, 0) = f (x), then u is bounded and continuous for - oo <
x < oo, t ;:::: 0, so that by Theorem 3.4, u is uniquely determined.
Example 6.1. Find the solution of the problem (6.1 ), (6.2) if the function f is given by
/(x) = {~ (x < 0)
(x > 0)
1
u(x, t) = 2vnkt
{"'
Jo
exp --
(-(x4ki-
- ~) )
2
d<;
•
which has the property that erf( ro) = 1, this solution can be written as
which involves the nonhomogeneous heat equation, the method described above
leads to the differential equation
(6.17) U, + ks 2 U = H(s, t)
for the Fourier transform (6.3) of the solution 11. Here.His the Fourier trans-
form of the function h; that is.
(6.18) H(s, I) = -
I
If z h(x, t)e- 1" ' dx
.
, 2n • - x
From (6.3) and the initial condition in (6.16). we see that U(s, 0) = 0. By
solving the differential equation (6.17) with the initial condition U(s, 0) = 0,
we thus find
v 2n - oc o
By substituting (6.18) for Hand formally interchanging the order of integrations,
this solution can be written as
(6.21) u(x, t)
J' Jx
0 - ""
G(x - (, t - r)h(~, r) d( dr
where, by (6.13),
G(x - ~, t - r) = ··I
2n
J"'_ oc
exp(is(x - () - ks 2 (t - r)) ds
Exercises 6.5
lixx 0 (-oc<x<x,l>OJ
(' · ixl
11(x. OJ (-X < X < X)
11(.r. 0)
{1 ix1 :s: L)
lo ( x > /_)
11(x, OJ
{A (x < 0)
\B (x > 0)
4. Show that if the function fin (6.2) is odd (or even), then the solution (6. 14) is
also odd (or even) with respect to the \ariable x. Thus, deduce that 11(0, I) = O
(or 11x(O. I) = 0).
5. \'erify the result in Problem 4 \1 ithout resorting to the formula (6. 14) and using
only the fact that a solution of the problem (6. 1), (6.2) is uniquely determined.
6. Find the solution of the problem
( - x < x < x. I > 0)
11(x. 0) 0 (-w<x<x)
8. (Duhamel':, Principle) Let 11(.1', I, T) be the solution or the initial value problem
// 1 - kun 0 ( - CIJ < x < x, I > 0)
r(x, t) = f~ 11(x, I - r, r) dr
(h = const; 1 > 0)
1·(.\", OJ= /Ix) (-:x:· < x < :X:)
and shO\\ that z·(x. 1) = 11(.1·. t)e- 111 , where 11 is given by (6.14).
1
IO. By the sub'.;titution 11(\·. I) = r(x, I )e ", show that Problem 9 can be reduced
to the problem (6. I). (6.2).
11. By using the result of Problem 9 and the corresponding Duhamel's principle for
the differemial equation, obtain the solution of the initial value problem
(7.3) 11(0, t) = 0 (t ?: 0)
which corresponds to the problem of heat flow in a semi-infinite rod x > 0,
with initial temperature distribution described by the function f(x) for x ?: 0,
and whose end point x = 0 is maintained at zero temperature. To solve this
problem. \\e shall use the Fourier sine transform. This choice is based on the
fact that the singular eigenvalue problem that is related to the problem at hand is
exists and
(7.5) u(x, t)
2')1,2
-
Joc UJs, t) sin sx ds
( 7[, 0
244 The Hear Equation Chap. 6
Here, Us does not mean the partial derivative of U with respect to s. Following
the procedure described in the preceding section, we proceed to find the trans-
form Us or our solution. Once this function is found, then our solution is given
by (7.5).
By differentiating (7.4) with respect to t under the integral sign and using the
differential equation (7.1 ), we have
au s (s,
ct
t) = (2):" 1 2
1 J"' u,(x, t) sin sx dx
0
112
k (.;) {" u,.Jx, t) sin sx dx
cU
- -
ct
5
(S, t) k ; (2) 1/2
(llx sin sx su cos sx) '
io
(7.6)
ks 2 (n,2)
-
1/2 J"'
o
u(x, t) sin sx dx
ff we assume as before that u and ux vanish as x --+ oo, then because or the
boundary condition (7.3), the boundary terms on the right of (7.6) vanish,
and by (7.4) we are led to the differential equation
(7.7) cl/
- · (s,5 .
t) + /.:.s 2 U,(s, t)· = 0
.
ct
for the function Us. Let us assume that the function f in (7 .2) is piecewise
smooth and absolutely integrable on (0, oo ). Then, from the initial condition
(7.2) and (7.4), we find
U,(s, 0) = (;
2)1;2 •oc
.t u(x, 0) sin sx dx
(7.10)
=
n •o •o
.3 c r"·
f(~)e-ks't sins~ sin sx d~ ds
and formally interchange the order of integration. we can write (7. l 0) in the
form
(7.11) u(x, n= 1
. --
2, nf\1
J, Ir
o
exp(. -(x -
.
4k1
¢)2) - exp(-(x + ¢) I /{¢) d¢
4k1
2
)
.
in which we have used the resu It (6.13 ). In this form, it can be verifled that u
is the solution of our problem under the weaker condition that f is continuous
and bounded for x ~ 0 with f(O) = 0.
We remark that the solution (7.1 I) of our problem (7.1), (7.2), (7.3) can also
be obtained by extending the initial datum fin (7.2) as an odd function for
- oo < x < oo and then solving the resulting initial value problem by the
formula (6.14). [See Problem 4, Exercises 6.5.J Using the fact thatJ(-x) =
-f(x), the solution as given by (6.14) then reduces to (7.11). Observe that this
is precisely the method we employed in Section 6 of Chapter 3 for finding the
solution of an initial-boundary value problem for the wave equation. The
method works because both the wave and the heat equations remain unchanged
in form when the variable x is replaced by - x.
In the same manner, we can find the solution of the problem (7.1 ), (7.2)
with the boundary condition
(7.12) u)O, t) = 0 (t ~ 0)
by extending the function fas an even function for - w < x < oo. In this
case, the solution is given by
au,
- - (s. I )
ct (-re2)1/2 f"' u,(x, 1) cos sx d.x
0
k (.::
7)1;2 I.("° t) COS dx
Uu(X, SX
.n. •. o
2) l !2 Ioc
k - ('IT.
(u, cos sx + su sin sx)'
'0
112
- ks
2
(~) {''' u(x, t) cos sx dx
Under the assumption that u and llx vanish as x --+ oo, and taking note of the
boundary condition in (7.14), this leads to the nonhomogeneous differential
equation
(7.16)
cu
~- c (s, t) + ks 2 uces, t) = -k (2)1/2
- h(t)
ct n
The solution of this equation that, by the initial condition in (7.14), satisfies
the condition U,(s, 0) = 0 is given by
u(x, t) =
2) 1/2 j'"' uces, 1) cos sx ds
(-
'IT 0
(7.18)
- 21·
__'.: f"" f' e-ks'u-' 1h(T) cos sx dT ds
'IT 0 0
1f we formally interchange the order of integration and use the result in (6.13),
this formula simplifies to the form
This can be shown to provide the solution or the problem (7.14) under the
assumption that h is differentiable for t :2:: 0.
We remark that we cannot verify that (7. J 9) satisfies the boundary condition
of (7.14) by simply differentiating (7.19) under the integral sign and setting
x = 0. In fact, such a formal manipulation would lead to the false result
u)O, t) = 0. We illustrate the situation in this case by means of the following
example.
Sec. 7 /11itial-Bo11ndary Value Problems in Infinite Do111ai11 247
11(.1, I)~
,., C';fl( -- X 2 /4(t -· T) I lfT
·-
1 T: I
,O \f-·r
11).\", /) = -
\ 7I
\ nl
4r
11,(x, I)
\ 7'.'{
for x > 0 and 1 > 0. Thus. 11, - u'-' 0. sho11 ing that 11 satisfies the heat
equation for x 0. I > 0. As I > 0 it is clear that u(x. t) ' 0. Now, to
1erify the boundar1 condition 11,!0. 11 = I. 11c perform an integration by parts
to put 11 in the form
I'"/
e
.. 41
'
2x Jy e :' d::
\ ,, X,'- 41
Then
2
u)x. I)
\ -
which immediately yields 11)0. r I l, since Jg· e-=' d::
Exercises 6.6
I. (a) Obtain the solution formula (7. 11) from (6.14) by extending the function fin
(7.2) as an odd function for - T < x < T ..
(bl Obtain the solution formula (7.13) of the problem (7.1), (7.2). (7.12) by
extending the function fas an el'en function for - 'XJ < x < C1J.
248 The Heat Lq11ation Chap. 6
0 (x > 0, t > 0)
11(\", 01 :re-x (x 2: OJ
11(0, /) 0 (t 2: 0)
and express !he solution in terms of the error function. Verify that it gives the
solution of the problem.
6. Find the solution of the problem
9. Obtain the solution of Problem 8 from the resull of Problem 9, Exercises 6.5,
by extending the function fas an even function for - oo < x < oo.
10. Find the solution of the problem
11, - kuu + bu 0
(b const > O; x > O; t > 0)
11(x, 0) 0 (x 2: 0)
11(0, f) h(t) (t 2: 0)
Sec. 7 Initial-Boundary Value Problems in Infinite Domain 249
12. By using the Fourier cosine transform, obtain the solution of the problem
Hint: Let v(x, I)= u/x, I) - h11(x, t). See Problem JO, Exercises 6.1.
14. Solve the problem
11 1 - k11xx = 0 (x > 0, t > 0)
u(x, 0) = 0 (x ~ 0)
ux(O, t) - hu(O, t) = g(t) t ~ OJ
15. Solve the problem
111 - kuxx + bu = 0 (x > 0, t > 0)
11(x, 0) = f(x) (x ~ 0)
llx(O, f) - h11(0, t) = 0 (t ~ 0)
16. Solve the problem
2
11 1 - llxx - - llx = 0 (0 < a < x, t > 0)
x
u(x, 0) = 0 (x ~ a)
11(a, t) = A (A constant; t ~ 0)
"··.