Method of characteristics

In mathematics, the method of characteristicsis 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 differential equation. The method is to reduce a partial differential equation to a family of ordinary differential
equations along which the solution can be integrated from some initial data given on a suitable
hypersurface.

Contents
Characteristics of first-order partial differential equation
Linear and quasilinear cases
Proof for Quasi-Linear Case
Fully nonlinear case
Example
Characteristics of linear differential operators
Qualitative analysis of characteristics
See also
Notes
References
External links

Characteristics of first-order partial differential equation

For a first-order PDE (partial differential equation), the method of characteristics discovers curves (called characteristic curves or just characteristics) along which the PDE
becomes an ordinary differential equation (ODE). Once the ODE is found, it can be solved along the characteristic curves and transformed into a solution for the original PDE.

For the sake of simplicity, we confine our attention to the case of a function of two independent variables
x and y for the moment. Consider a quasilinear PDE of the form

(1)

Suppose that a solutionz is known, and consider the surface graphz = z(x,y) in R3. A normal vector to this surface is given by

As a result,[1] equation (1) is equivalent to the geometrical statement that the vector field

is tangent to the surface z = z(x,y) at every point, for the dot product of this vector field with the above normal vector is zero. In other words, the graph of the solution must be a
union of integral curves of this vector field. These integral curves are called the characteristic curves of the original partial differential equation and are given by the Lagrange-
Charpit equations[2]

A parametrization invariant form of theLagrange-Charpit equations[2] is:

Linear and quasilinear cases

Consider now a PDE of the form

For this PDE to be linear, the coefficients ai may be functions of the spatial variables only, and independent of u. For it to be quasilinear, ai may also depend on the value of the
function, but not on any derivatives.The distinction between these two cases is inessential for the discussion here.
For a linear or quasilinear PDE, the characteristic curves are given parametrically by

such that the following system of ODEs is satisfied

(2)

(3)

Equations (2) and (3) give the characteristics of the PDE.

Proof for Quasi-Linear Case

In the Quasi-Linear case, the use of the method of characteristics is justified by
Grönwall's Inequality. The above equation may be written as

We must distinguish between the solutions to the ODE and the solutions to the PDE, which we do not know are equal a priori. Letting capital letters be the solutions to the ODE
we find

Examining , we find, upon differentiating that

which is the same as

We cannot conclude the above is 0 as we would like, since the PDE only guarantees us that this relationship is satisfied for , , and we do not
yet know that .

However, we can see that

since by the PDE, the last term is 0. This equals

By the triangle inequality, we have

Assuming are at least , we can bound this for small times. Choose a neighborhood around small enough such that are Locally Lipschitz. By
continuity, will remain in for small enough . Since , we also have that will be in for small enough by continuity. So,
and for . Additionally, for some for by compactness. From this, we find the
above is bounded as

for some . It is a straightforward application of Grönwall's Inequality to show that since we have for as long as this inequality holds. We have
some interval such that in this interval. Choose the largest such that this is true. Then, by continuity, . Provided the ODE still has a
solution in some interval after , we can repeat the argument above to find that in a larger interval. Thus, so long as the ODE has a solution, we have
.

Fully nonlinear case

Consider the partial differential equation

(4)

where the variables pi are shorthand for the partial derivatives

Let (xi(s),u(s),pi(s)) be a curve in R2n+1 . Suppose that u is any solution, and that

Along a solution, differentiating (4) with respect to s gives

The second equation follows from applying the chain rule to a solution u, and the third follows by taking an exterior derivative of the relation .

Manipulating these equations gives

where λ is a constant.Writing these equations more symmetrically,one obtains the Lagrange-Charpit equations for the ch
aracteristic

Geometrically, the method of characteristics in the fully nonlinear case can be interpreted as requiring that the Monge cone of the differential equation should everywhere be
tangent to the graph of the solution.

For a pedagogical way of deriving the Lagrange-Charpit equations see the chapter 4 at
[1].

Example
As an example, consider theadvection equation (this example assumes familiarity with PDE notation, and solutions to basic ODEs).

where is constant and is a function of and . We want to transform this linear first-order PDE into an ODE along the appropriate curve; i.e. something of the form

where is a characteristic line. First, we find

by the chain rule. Now, if we set and we get

which is the left hand side of the PDE we started with. Thus

So, along the characteristic line , the original PDE becomes the ODE . That is to say that along the characteristics, the solution is
constant. Thus, where and lie on the same characteristic. Therefore, to determine the general solution, it is enough to find the
characteristics by solving the characteristic system of ODEs:

, letting we know ,

, letting we know ,

, letting we know .
In this case, the characteristic lines are straight lines with slope , and the value of remains constant along any characteristic line.

Characteristics of linear differential operators

Let X be a differentiable manifold and P a linear differential operator

of order k. In a local coordinate systemxi,

in which α denotes a multi-index. The principal symbol of P, denoted σP, is the function on thecotangent bundle T∗X defined in these local coordinates by

where the ξi are the fiber coordinates on the cotangent bundle induced by the coordinate differentials dxi. Although this is defined using a particular coordinate system, the
transformation law relating the ξi and the xi ensures that σP is a well-defined function on the cotangent bundle.

The function σP is homogeneous of degree k in the ξ variable. The zeros of σP, away from the zero section of T∗X, are the characteristics of P. A hypersurface of X defined by
the equation F(x) = c is called a characteristic hypersurface atx if

Invariantly, a characteristic hypersurface is a hypersurface whoseconormal bundle is in the characteristic set ofP.

Qualitative analysis of characteristics

Characteristics are also a powerful tool for gaining qualitative insight into a PDE.

One can use the crossings of the characteristics to find shock waves for potential flow in a compressible fluid. Intuitively, we can think of each characteristic line implying a
solution to along itself. Thus, when two characteristics cross, the function becomes multi-valued resulting in a non-physical solution. Physically, this contradiction is removed
by the formation of a shock wave, a tangential discontinuity or a weak discontinuity and can result in non-potential flow
, violating the initial assumptions.

Characteristics may fail to cover part of the domain of the PDE. This is called a rarefaction, and indicates the solution typically exists only in a weak, i.e. integral equation,
sense.

The direction of the characteristic lines indicate the flow of values through the solution, as the example above demonstrates. This kind of knowledge is useful when solving
PDEs numerically as it can indicate whichfinite difference scheme is best for the problem.

See also
Method of quantum characteristics

Notes
1. John 1991
2. Delgado 1997

References
Courant, Richard; Hilbert, David (1962), Methods of Mathematical Physics, Volume II, Wiley-Interscience
Delgado, Manuel (1997), "The Lagrange-Charpit Method",SIAM Review, 39 (2): 298–304, Bibcode:1997SIAMR..39..298D,
doi:10.1137/S0036144595293534, JSTOR 2133111
Evans, Lawrence C. (1998), Partial Differential Equations, Providence: American Mathematical Society , ISBN 0-8218-0772-2
John, Fritz (1991), Partial differential equations(4th ed.), Springer, ISBN 978-0-387-90609-6
Polyanin, A. D.; Zaitsev, V. F.; Moussiaux, A. (2002), Handbook of First Order Partial Differential Equations , London: Taylor & Francis, ISBN 0-415-27267-X
Polyanin, A. D. (2002),Handbook of Linear Partial Differential Equations for Engineers and Scientists , Boca Raton: Chapman & Hall/CRC Press,ISBN 1-
58488-299-9
Sarra, Scott (2003), "The Method of Characteristics with applications to Conservation Laws" , Journal of Online Mathematics and its Applications .
Streeter, VL; Wylie, EB (1998), Fluid mechanics (International 9th Revised ed.), McGraw-Hill Higher Education

External links
Prof. Scott Sarra tutorial on Method of Characteristics
Prof. Alan Hood tutorial on Method of Characteristics

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