Surfaces orthogonal to a given system of surfaces
Nonlinear First-Order PDEs
Solving Cauchys problem for nonlinear PDEs
MA 201: Lecture - 4
Nonlinear first order PDES
IIT Guwahati MA201(2017):PDE
Surfaces orthogonal to a given system of surfaces
Nonlinear First-Order PDEs
Solving Cauchys problem for nonlinear PDEs
Surfaces orthogonal to a given system of surfaces
Given a one-parameter family of surfaces characterized by the equation
f (x, y , u) = c1 , (1)
we want to find a system of surfaces which cut each of these given surfaces at
right angles.
The normal at the point (x, y , u) to the surface of the system (1) which passes
through that point is the direction given by the direction ratios
f f f
(a, b, c) = , , . (2)
x y u
If the surface with equation
u = u(x, y ) (3)
cuts each surface of the given system orthogonally, its normal at the point
(x, y , u) which is in the direction
u u
, , 1
x y
is perpendicular to the direction (a, b, c) of the normal to the surface of the set
(1) at that point.
IIT Guwahati MA201(2017):PDE
Surfaces orthogonal to a given system of surfaces
Nonlinear First-Order PDEs
Solving Cauchys problem for nonlinear PDEs
Figure: Orthogonal Surfaces
IIT Guwahati MA201(2017):PDE
Surfaces orthogonal to a given system of surfaces
Nonlinear First-Order PDEs
Solving Cauchys problem for nonlinear PDEs
Therefore we have the linear PDE
u u
a +b =c (4)
x y
for the determination of the surfaces (3).
Substituting from (2), we see that this equation is equivalent to
f u f u f
+ = .
x x y y u
Conversely, any solution of the linear pde (4) is orthogonal to every surface of
the system characterized by (1), for (4) simply states that the normal to any
solution of (4) is perpendicular to the normal to that member of the system (4)
which passes through the same point.
The linear pde (4) is therefore the general PDE determining the surfaces
orthogonal to members of the system (1), i.e., the surfaces orthogonal to the
system (1) are the surfaces generated by the integral curves of the equations
dx dy du
= = . (5)
f /x f /y f /u
IIT Guwahati MA201(2017):PDE
Surfaces orthogonal to a given system of surfaces
Nonlinear First-Order PDEs
Solving Cauchys problem for nonlinear PDEs
Example: Find the surface which intersects the surfaces of the
system u(x + y ) = c(3u + 1) orthogonally and which passes through
the circle x 2 + y 2 = 1, u = 1.
u(x + y )
Solution: Here f = and hence we have
3u + 1
f u f u f x +y
= , = , = .
x 3u + 1 y 3u + 1 u (3u + 1)2
The integral curves are given by
dx dy du
= =
u/(3u + 1) u/(3u + 1) (x + y )/(3u + 1)2
dx dy du
= = .
u(3u + 1) u(3u + 1) x +y
IIT Guwahati MA201(2017):PDE
Surfaces orthogonal to a given system of surfaces
Nonlinear First-Order PDEs
Solving Cauchys problem for nonlinear PDEs
Taking the first two, we get
x y = c1 (6)
and taking
(x + y )dx + (x + y )dy
= u(3u + 1)du
2
(x + y )2 4u 3 2u 2 = c2 .
which can be written as
x 2 + y 2 + 2xy 4u 3 2u 2 = c2 . (7)
Since (6) and (7) form the surface and since the surface passes
through the circle x 2 + y 2 = 1, u = 1:
2xy = 1 c12 ,
1 + 1 c12 6 = c2
which gives a relation between c1 and c2 : c2 + c12 + 4 = 0.
Thus the required surface is
x 2 + y 2 = 2u 3 + u 2 2.
IIT Guwahati MA201(2017):PDE
Surfaces orthogonal to a given system of surfaces
Nonlinear First-Order PDEs
Solving Cauchys problem for nonlinear PDEs
Nonlinear First-Order PDEs
The general nonlinear first-order PDE is written in the form
F (x, y , u, ux , uy ) = 0, (x, y ) R2 (8)
where F is not linear in ux or uy . Setting ux = p and uy = q, rewrite (8)
as
F (x, y , u, p, q) = 0. (9)
Recall the method of characteristics for solving first-order linear PDE:
F (x, y , u, p, q) = a(x, y )p + b(x, y )q c(x, y )u d(x, y ) = 0.
In this method, the PDE reduces to ODEs along the characteristic curves
which may be regarded as the solutions of the system
x 0 (t) = a(x(t), y (t)) and y 0 (t) = b(x(t), y (t)). (10)
Note that Fp = a(x, y ) and Fq = b(x, y ). Hence, (10) may be written as
x 0 (t) = Fp and y 0 (t) = Fq . (11)
IIT Guwahati MA201(2017):PDE
Surfaces orthogonal to a given system of surfaces
Nonlinear First-Order PDEs
Solving Cauchys problem for nonlinear PDEs
For solving first-order nonlinear PDE (8), the relation (11) motivates us to define
characteristic curves as solutions of the system
dx
= Fp (12)
dt
dy
= Fq (13)
dt
However, unlike the linear case, the right sides of (13) depend not only on x(t) and
y (t), but also on u(t), p(t) and q(t). Thus, we can expect a large system of five
ODEs for the five unknowns x(t), y (t), u(t), p(t) and q(t). For the remaining three
equations, notice that
d
u 0 (t) = {u(x(t), y (t))}
dt
= ux x 0 (t) + uy y 0 (t)
= p(t)x 0 (t) + q(t)y 0 (t)
= p(t)Fp (x(t), y (t), u(t), p(t), q(t))
+q(t)Fq (x(t), y (t), u(t), p(t), q(t)).
i.e,
du
= pFp + qFq . (14)
dt
IIT Guwahati MA201(2017):PDE
Surfaces orthogonal to a given system of surfaces
Nonlinear First-Order PDEs
Solving Cauchys problem for nonlinear PDEs
Along a characteristic, p is a function of t. The equation for p 0 (t) is obtained as
follows:
d
p 0 (t) = {ux (x(t), y (t))}
dt
= uxx x 0 (t) + uxy y 0 (t)
= uxx Fp (x(t), y (t), u(t), p(t), q(t))
+uxy Fq (x(t), y (t), u(t), p(t), q(t)).
Using the fact that u(x, y ) should solve PDE (8), we obtain
0 = {F (x, y , u(x, y ), p(x, y ), q(x, y ))}
x
= Fx + Fu ux + Fp uxx + Fq uyx .
Therefore,
dp
= (Fx + pFu ). (15)
dt
Similarly,
dq
= (Fy + qFu ). (16)
dt
IIT Guwahati MA201(2017):PDE
Surfaces orthogonal to a given system of surfaces
Nonlinear First-Order PDEs
Solving Cauchys problem for nonlinear PDEs
Thus, we have the following system of five ODEs
dx
= Fp
dt
dy
= Fq
dt
du
= pFp + qFq (17)
dt
dp
= (Fx + pFu )
dt
dq
= (Fy + qFu )
dt
These equations constitute the characteristic system of PDE (8) and are known as
the characteristic equations associated with PDE (8).
IIT Guwahati MA201(2017):PDE
Surfaces orthogonal to a given system of surfaces
Nonlinear First-Order PDEs
Solving Cauchys problem for nonlinear PDEs
Remarks.
If the functions which appear in equations (17) satisfy a Lipschitz
condition, there is a unique solution (x(t), y (t), z(t), p(t), q(t)) of
the above system for each prescribed set of initial values of the
variables at some initial point t0 of t.
Note that any set (x(t), y (t), u(t), p(t), q(t)) of five real functions
satisfying the condition (14) i.e.,
du dx dy
=p +q = pFp + qFq
dt dt dt
defines a strip at the point (x, y , u) of the curve (x(t), y (t), u(t)).
This is called characteristic strip.
Therefore, the characteristic strip is uniquely determined by the
initial element (x(t0 ), y (t0 ), u(t0 ), p(t0 ), q(t0 )) at the initial point t0
of t.
IIT Guwahati MA201(2017):PDE
Surfaces orthogonal to a given system of surfaces
Nonlinear First-Order PDEs
Solving Cauchys problem for nonlinear PDEs
An important result about characteristic strips is given below.
Theorem
The function F (x, y , u, p, q) is a constant along every characteristic strip
of the equation F (x, y , u, p, q) = 0.
Proof. Along a characteristic strip, we have
d
{F (x(t), y (t), u(t), p(t), q(t))}
dt
= Fx x 0 (t) + Fy y 0 (t) + Fu u 0 (t) + Fp p 0 (t) + Fq q 0 (t)
= Fx Fp + Fy Fq + Fu (pFp + qFq ) Fp (Fx + pFu ) Fq (Fy + qFu )
= 0.
This implies F (x, y , u, p, q) = k, a constant along the strip.
IIT Guwahati MA201(2017):PDE
Surfaces orthogonal to a given system of surfaces
Nonlinear First-Order PDEs
Solving Cauchys problem for nonlinear PDEs
Let us consider the general Cauchys problem for first-order PDE
F (x, y , u, ux , uy ) = 0 (18)
subject to an appropriate initial condition given by an initial curve C 1 :
x(0) = x0 (s), y (0) = y0 (s), u(0) = u0 (s). (19)
Note: We need initial conditions also for p and q in order to obtain a complete
initial value problem for the system (17).
Definition
Let a point P0 = (x0 (s0 ), y0 (s0 ), u0 (s0 ), p0 (s0 ), q0 (s0 )) where
(x0 (s0 ), y0 (s0 )) R2 satisfy the compatibility conditions
du0 dx0 du0
F (P0 ) = 0, (s0 ) = p0 (s0 ) (s0 ) + q0 (s0 ) (s0 ). (20)
ds ds ds
If, in addition,
dx0 dy0
(s0 )Fq (P0 ) (s0 )Fp (P0 ) 6= 0 (21)
ds ds
is satisfied, then we say that the Cauchy problem (18)-(19) satisfies the generalized
transversality condition at the point P0 .
IIT Guwahati MA201(2017):PDE
Surfaces orthogonal to a given system of surfaces
Nonlinear First-Order PDEs
Solving Cauchys problem for nonlinear PDEs
Remarks.
The Cauchy problem has already provided three conditions for
(x, y , u):
x(0, s) = x0 (s), y (0, s) = y0 (s), u(0, s) = u0 (s). (22)
It now remains to find initial conditions
p(0, s) = p0 (s), q(0, s) = q0 (s) (23)
for p(t, s) and q(t, s).
IIT Guwahati MA201(2017):PDE
Surfaces orthogonal to a given system of surfaces
Nonlinear First-Order PDEs
Solving Cauchys problem for nonlinear PDEs
p0 (s) and q0 (s) must satisfy at every point s the differential
condition
du0 dx0 dy0
(s) = p0 (s) (s) + q0 (s) (s) (24)
ds ds ds
and the equation itself
F (x0 (s), y0 (s), u0 (s), p0 (s), q0 (s)) = 0. (25)
The transversality condition (21) ensures that the Jacobian of the
system (24) and (25) (with respect to the variables p0 and q0 ) does
not vanish at s0 .
Therefore, by implicit function theorem, one can derive from (24)
and (25) the required initial conditions for p0 (s) = p(0, s) and
q0 (s) = q(0, s) for s close to s0 .
If there are several choices for (p0 (s), q0 (s)), then existence of
unique solution for the Cauchys problem (18)-(19) for each such
choice follows from Picards theorem.
IIT Guwahati MA201(2017):PDE
Surfaces orthogonal to a given system of surfaces
Nonlinear First-Order PDEs
Solving Cauchys problem for nonlinear PDEs
Step-by-step method for solving Cauchy problem:
Step 1: Find functions p0 (s) and q0 (s) (if possible) such that
F (x0 (s), y0 (s), u0 (s), p0 (s), q0 (s)) = 0,
du0 dx0 dy0
(s) = p0 (s) (s) + q0 (s) (s)
ds ds ds
and the generalized transversality condition
Fp (x0 (s), y0 (s), u0 (s), p0 (s), q0 (s)) Fq (x0 (s), y0 (s), u0 (s), p0 (s), q0 (s))
dx0 dy0 6= 0.
ds ds
IIT Guwahati MA201(2017):PDE
Surfaces orthogonal to a given system of surfaces
Nonlinear First-Order PDEs
Solving Cauchys problem for nonlinear PDEs
Step 2:
For each fixed s, solve the following characteristic system for x(t, s), y (t, s), u(t, s),
p(t, s), q(t, s) with the given initial conditions p(0, s) = p0 (s), q(0, s) = q0 (s),
where p0 (s) and q0 (s) are the functions given in Step 1.
d
x(t, s) = Fp (x(t, s), y (t, s), u(t, s), p(t, s), q(t, s))
dt
d
y (t, s) = Fq (x(t, s), y (t, s), u(t, s), p(t, s), q(t, s))
dt
d
u(t, s) = p(t, s)Fp (x(t, s), y (t, s), u(t, s), p(t, s), q(t, s))
dt
+q(t, s)Fq (x(t, s), y (t, s), u(t, s), p(t, s), q(t, s)) (26)
d
p(t, s) = [Fx (x(t, s), y (t, s), u(t, s), p(t, s), q(t, s))
dt
+p(t, s)Fu (x(t, s), y (t, s), u(t, s), p(t, s), q(t, s)]
d
q(t, s) = [Fy (x(t, s), y (t, s), u(t, s), p(t, s), q(t, s))
dt
+q(t, s)Fu (x(t, s), y (t, s), u(t, s), p(t, s), q(t, s))]
IIT Guwahati MA201(2017):PDE
Surfaces orthogonal to a given system of surfaces
Nonlinear First-Order PDEs
Solving Cauchys problem for nonlinear PDEs
Step 3: As s and t vary, the point (x, y , u), defined by
x = x(t, s), y = y (t, s), u = u(t, s) (27)
traces out the graph of a solution u of (18) in the xyu-space, in a
neighborhood of the curve traced out by (x(s), y (s), u(s)).
In some cases, one can use the first two equations in (27) to solve
for s and t in terms of x and y (say, s = s(x, y ) and t = t(x, y )) to
obtain a solution U(x, y ) = u(t(x, y ), s(x, y )), for (x, y ) in a
neighborhood of the curve (x0 (s), y0 (s)).
IIT Guwahati MA201(2017):PDE
Surfaces orthogonal to a given system of surfaces
Nonlinear First-Order PDEs
Solving Cauchys problem for nonlinear PDEs
To illustrate the above steps, let us consider the following example.
Example
Solve the PDE ux uy u = 0 subject to the condition u(x, x) = 1.
Solution. Here, we have
F (x, y , u, p, q) = pq u.
The characteristic system (26) takes the form
dx dy du
= Fp = q(t), = Fq = p(t), = pFp + qFq = 2p(t)q(t),
dt dt dt
dp dq
= [Fx + p(t)Fu ] = p(t), = [Fy + q(t)Fu ] = q(t).
dt dt
Note that
dp dq
= p(t) = p(t) = ce t and = q(t) = q(t) = de t ,
dt dt
where c and d are arbitrary constants.
IIT Guwahati MA201(2017):PDE
Surfaces orthogonal to a given system of surfaces
Nonlinear First-Order PDEs
Solving Cauchys problem for nonlinear PDEs
Since we are looking for a characteristic strip ( F (x, y , u, p, q) = 0), set
u(t) = p(t)q(t) = cde 2t .
The equations for the characteristic strip are:
x(t) = de t +d1 , y (t) = ce t +c1 , u(t) = cde 2t , p(t) = ce t , q(t) = de t ,
where c1 and d1 are constants.
Writing the initial condition in parametric form, we have
x0 (s) = s, y0 (s) = s, u0 (s) = 1.
Next, we must find p0 (s) and q0 (s) such that
p0 (s)q0 (s) = u0 (s) = 1
dx0 dx0 du0
p0 (s) + q0 (s) = p0 (s) q0 (s) = = 0,
ds ds ds
0 6= Fp x00 (s) Fq y00 (s) = Fp (1) Fq (1) = q0 (s) p0 (s).
IIT Guwahati MA201(2017):PDE
Surfaces orthogonal to a given system of surfaces
Nonlinear First-Order PDEs
Solving Cauchys problem for nonlinear PDEs
Thus, we have two choices p0 (s) = 1 and q0 (s) = 1, or p0 (s) = 1 and
q0 (s) = 1.
For the choice p0 (s) = 1 and q0 (s) = 1, we obtain
x(t, s) = e t 1 + s, y (t, s) = e t 1 s, u(t, s) = e 2t
p(t, s) = e t , q(t, s) = e t .
From the first two equations, we obtain
e t = (x + y + 2)/2.
Then, writing the solution in x and y as (u(t, s) = e 2t )
(x + y + 2)2
U(x, y ) = u(t(x, y ), s(x, y )) = .
4
If we choose p0 (s) = 1 and q0 (s) = 1, the solution is given by
(x + y 2)2
U(x, y ) = .
4
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