7

Method of Separation of Variables

“However, the emphasis should be somewhat more on how to do the math-

ematics quickly and easily, and what formulas are true, rather than the
mathematicians’ interest in methods of rigorous proof.”
Richard Feynman

“As a science, mathematics has been adapted to the description of

natural phenomena, and the great practitioners in this field, such as von
Kármán, Taylor and Lighthill, have never concerned themselves with the
logical foundations of mathematics, but have boldly taken a pragmatic view
of mathematics as an intellectual machine which works successfully. De-
scription has been verified by further observation, still more strikingly by
prediction, .... ”
George Temple

7.1 Introduction
The method of separation of variables combined with the principle of super-
position is widely used to solve initial boundary-value problems involving
linear partial differential equations. Usually, the dependent variable u (x, y)
is expressed in the separable form u (x, y) = X (x) Y (y), where X and Y
are functions of x and y respectively. In many cases, the partial differen-
tial equation reduces to two ordinary differential equations for X and Y .
A similar treatment can be applied to equations in three or more indepen-
dent variables. However, the question of separability of a partial differential
equation into two or more ordinary differential equations is by no means a
trivial one. In spite of this question, the method is widely used in finding
solutions of a large class of initial boundary-value problems. This method
232 7 Method of Separation of Variables

of solution is also known as the Fourier method (or the method of eigenfunc-
tion expansion). Thus, the procedure outlined above leads to the important
ideas of eigenvalues, eigenfunctions, and orthogonality, all of which are very
general and powerful for dealing with linear problems. The following exam-
ples illustrate the general nature of this method of solution.

7.2 Separation of Variables

In this section, we shall introduce one of the most common and elementary
methods, called the method of separation of variables, for solving initial
boundary-value problems. The class of problems for which this method
is applicable contains a wide range of problems of mathematical physics,
applied mathematics, and engineering science.
We now describe the method of separation of variables and examine
the conditions of applicability of the method to problems which involve
second-order partial differential equations in two independent variables.
We consider the second-order homogeneous partial differential equation

a∗ ux∗ x∗ + b∗ ux∗ y∗ + c∗ uy∗ y∗ + d∗ ux∗ + e∗ uy∗ + f ∗ u = 0 (7.2.1)

where a∗ , b∗ , c∗ , d∗ , e∗ and f ∗ are functions of x∗ and y ∗ .

We have stated in Chapter 4 that by the transformation

x = x (x∗ , y ∗ ) , y = y (x∗ , y ∗ ) , (7.2.2)

where
∂ (x, y)
= 0,
∂ (x∗ , y ∗ )

we can always transform equation (7.2.1) into canonical form

a (x, y) uxx + c (x, y) uyy + d (x, y) ux + e (x, y) uy + f (x, y) u = 0, (7.2.3)

which when
(i) a = −c is hyperbolic,
(ii) a = 0 or c = 0 is parabolic,
(iii) a = c is elliptic.
We assume a separable solution of (7.2.3) in the form

u (x, y) = X (x) Y (y) = 0, (7.2.4)

where X and Y are, respectively, functions of x and of y alone, and are

twice continuously differentiable. Substituting equations (7.2.4) into equa-
tion (7.2.3), we obtain
 7.2 Separation of Variables 233

a X ′′ Y + c XY ′′ + d X ′ Y + e XY ′ + f XY = 0, (7.2.5)

where the primes denote differentiation with respect to the appropriate

variables. Let there exist a function p (x, y), such that, if we divide equation
(7.2.5) by p (x, y), we obtain

a1 (x) X ′′ Y + b1 (y) XY ′′ + a2 (x) X ′ Y + b2 (y) XY ′

+ [a3 (x) + b3 (y)] XY = 0. (7.2.6)

Dividing equation (7.2.6) again by XY , we obtain f(X'',X',X,x)=f(Y'',Y',Y,y)

   
X ′′ X′ Y ′′ Y′
a1 + a2 + a3 = − b1 + b2 + b3 . (7.2.7)
X X Y Y

The left side of equation (7.2.7) is a function of x only. The right side
of equation (7.2.7) depends only upon y. Thus, we differentiate equation
(7.2.7) with respect to x to obtain
 
d X ′′ X′
a1 + a2 + a3 = 0. (7.2.8)
dx X X

Integration of equation (7.2.8) yields

X ′′ X′ Solve This ODE

a1 + a2 + a3 = λ, (7.2.9)
X X
where λ is a separation constant. From equations (7.2.7) and (7.2.9), we
have
Solve this ODE too Y ′′ Y′
b1 + b2 + b3 = −λ. (7.2.10)
Y Y
We may rewrite equations (7.2.9) and (7.2.10) in the form

a1 X ′′ + a2 X ′ + (a3 − λ) X = 0, (7.2.11)

and

b1 Y ′′ + b2 Y ′ + (b3 + λ) Y = 0. (7.2.12)

Thus, u (x, y) is the solution of equation (7.2.3) if X (x) and Y (y) are
the solutions of the ordinary differential equations (7.2.11) and (7.2.12)
respectively.
If the coefficients in equation (7.2.1) are constant, then the reduction of
equation (7.2.1) to canonical form is no longer necessary. To illustrate this,
we consider the second-order equation

Auxx + Buxy + Cuyy + Dux + Euy + F u = 0, (7.2.13)

234 7 Method of Separation of Variables

where A, B, C, D, E, and F are constants which are not all zero.

As before, we assume a separable solution in the form

u (x, y) = X (x) Y (y) = 0.

Substituting this in equation (7.2.13), we obtain

AX ′′ Y + BX ′ Y ′ + CXY ′′ + DX ′ Y + EXY ′ + F XY = 0. (7.2.14)

Division of this equation by AXY yields

X ′′ B X′ Y ′ C Y ′′ D X′ E Y′ F
+ + + + + = 0, A = 0. (7.2.15)
X A X Y A Y A X A Y A
We differentiate this equation with respect to x to obtain
 ′′ ′  ′  ′
X B X′ Y ′ D X′
+ + = 0. (7.2.16)
X A X Y A X
Thus, we have
 ′
X ′′
X D Y′
 X′ ′ + =− . (7.2.17)
B B Y
A X

This equation is obviously separable, so that both sides must be equal to a

constant λ. Therefore, we obtain

Y ′ + λY = 0, (7.2.18)
 
′′ ′
   ′
X D B X′
+ −λ = 0. (7.2.19)
X B A X

Integrating equation (7.2.19) with respect to x, we obtain

   ′
X ′′ D B X
+ −λ = −β, (7.2.20)
X B A X

where β is a constant to be determined. Substituting equation (7.2.18) into

the original equation (7.2.15), we obtain
   
′′ D B ′ 2 E F C
X + −λ X + λ − λ+ X = 0. (7.2.21)
B A C C A

Comparing equations (7.2.20) and (7.2.21), we clearly find

 
E F C
β = λ2 − λ + .
C C A

Therefore, u (x, y) is a solution of equations (7.2.13) if X (x) and Y (y)

satisfy the ordinary differential equations (7.2.21) and (7.2.18) respectively.
 7.3 The Vibrating String Problem 235

We have just described the conditions on the separability of a given

partial differential equation. Now, we shall take a look at the boundary
conditions involved. There are several types of boundary conditions. The
ones that appear most frequently in problems of applied mathematics and
mathematical physics include
(i) Dirichlet condition: u is prescribed on a boundary
(ii) Neumann condition: (∂u/∂n) is prescribed on a boundary
(iii) Mixed condition: (∂u/∂n) + hu is prescribed on a boundary, where
(∂u/∂n) is the directional derivative of u along the outward normal to
the boundary, and h is a given continuous function on the boundary.
For details, see Chapter 9 on boundary-value problems.
Besides these three boundary conditions, also known as, the first, second,
and third boundary conditions, there are other conditions, such as the Robin
condition; one condition is prescribed on one portion of a boundary and
another is given on the remainder of the boundary. We shall consider a
variety of boundary conditions as we treat problems later.
To separate boundary conditions, such as the ones listed above, it is
best to choose a coordinate system suitable to a boundary. For instance,
we choose the Cartesian coordinate system (x, y) for a rectangular region
such that the boundary is described by the coordinate lines x = constant
and y = constant, and the polar coordinate system (r, θ) for a circular
region so that the boundary is described by the lines r = constant and
θ = constant.
Another condition that must be imposed on the separability of boundary
conditions is that boundary conditions, say at x = x0 , must contain the
derivatives of u with respect to x only, and their coefficients must depend
only on x. For example, the boundary condition
[u + uy ]x=x0 = 0
cannot be separated. Needless to say, a mixed condition, such as ux + uy ,
cannot be prescribed on an axis.

7.3 The Vibrating String Problem

As a first example, we shall consider the problem of a vibrating string of
constant tension T ∗ and density ρ with c2 = T ∗ /ρ stretched along the x-
axis from 0 to l, fixed at its end points. We have seen in Chapter 5 that the
problem is given by
utt − c2 uxx = 0, 0 < x < l, t > 0, (7.3.1)
u (x, 0) = f (x) , 0 ≤ x ≤ l, (7.3.2)
ut (x, 0) = g (x) , 0 ≤ x ≤ l, (7.3.3)
u (0, t) = 0, t ≥ 0, (7.3.4)
u (l, t) = 0, t ≥ 0, (7.3.5)
236 7 Method of Separation of Variables

where f and g are the initial displacement and initial velocity respectively.
By the method of separation of variables, we assume a solution in the
form

u (x, t) = X (x) T (t) = 0. (7.3.6)

If we substitute equation (7.3.6) into equation (7.3.1), we obtain

XT ′′ = c2 X ′′ T,

and hence,
X ′′ 1 T ′′
= 2 , (7.3.7)
X c T
whenever XT = 0. Since the left side of equation (7.3.7) is independent of
t and the right side is independent of x, we must have
X ′′ 1 T ′′
= 2 = λ,
X c T f(X'',X,x)=f(T'',T,t)=parameter
where λ is a separation constant. Thus,

X ′′ − λX = 0, (7.3.8)
T ′′ − λc2 T = 0. (7.3.9)

We now separate the boundary conditions. From equations (7.3.4) and

(7.3.6), we obtain

u (0, t) = X (0) T (t) = 0.

We know that T (t) = 0 for all values of t, therefore,

X (0) = 0. (7.3.10)

In a similar manner, boundary condition (7.3.5) implies

X (l) = 0. (7.3.11)

To determine X (x) we first solve the eigenvalue problem (eigenvalue

problems are also treated in Chapter 8)

X ′′ − λX = 0, X (0) = 0, X (l) = 0. (7.3.12)

We look for values of λ which gives us nontrivial solutions. We consider

three possible cases

λ > 0, λ = 0, λ < 0.

Case 1. λ > 0. The general solution in this case is of the form

 7.3 The Vibrating String Problem 237
√ √
− λx λx
X (x) = Ae + Be

where A and B are arbitrary constants. To satisfy the boundary conditions,

we must have
A+B=0 √ √
A + B = 0, Ae− λl
+ Be λl
= 0. (7.3.13)
Ae^(-lm)+Be^(lm)=0
We see that the determinant of the system (7.3.13) is different from zero.
Consequently, A and B must both be zero, and hence, the general solution
X (x) is identically zero. The solution is trivial and hence, is no interest.
Case 2. λ = 0. Here, the general solution is Since determinant of coefficient
sol of System of linear matrix is non zero
X (x) = A + Bx.
equations is zero i.e. A=B=0
Applying the boundary conditions, we have

A = 0, A + Bl = 0.

Hence A = B = 0. The solution is thus identically zero.

Case 3. λ < 0. In this case, the general solution assumes the form
√ √
X (x) = A cos −λ x + B sin −λ x.

From the condition X (0) = 0, we obtain A = 0. The condition X (l) = 0

gives
√
B sin −λ l = 0.

If B = 0, the solution is trivial. For nontrivial solutions, B = 0, hence,

√
sin −λ l = 0.

This equation is satisfied when

√
−λ l = nπ for n = 1, 2, 3, . . . ,

or
2
−λn = (nπ/l) . (7.3.14)

For this infinite set of discrete values of λ, the problem has a nontrivial
solution. These values of λn are called the eigenvalues of the problem, and
the functions
sin (nπ/l) x, n = 1, 2, 3, . . .
are the corresponding eigenfunctions.
We note that it is not necessary to consider negative values of n since

sin (−n) πx/l = − sin nπx/l.

 238 7 Method of Separation of Variables

No new solution is obtained in this way.

The solutions of problems (7.3.12) are, therefore,

Xn (x) = Bn sin (nπx/l) . (7.3.15)

For λ = λn , the general solution of equation (7.3.9) may be written in

the form
 nπc   nπc 
Tn (t) = Cn cos t + Dn sin t, (7.3.16)
l l
where Cn and Dn are arbitrary constants.
Thus, the functions
 nπc nπc   nπx 
un (x, t) = Xn (x) Tn (t) = an cos t + bn sin t sin (7.3.17)
l l l
satisfy equation (7.3.1) and the boundary conditions (7.3.4) and (7.3.5),
where an = Bn Cn and bn = Bn Dn .
Since equation (7.3.1) is linear and homogeneous, by the superposition
principle, the infinite series
∞ 
 nπc nπc   nπx 
u (x, t) = an cos t + bn sin t sin (7.3.18)
n=1
l l l

is also a solution, provided it converges and is twice continuously differ-

entiable with respect to x and t. Since each term of the series satisfies
the boundary conditions (7.3.4) and (7.3.5), the series satisfies these condi-
tions. There remain two more initial conditions to be satisfied. From these
conditions, we shall determine the constants an and bn .
First we differentiate the series (7.3.18) with respect to t. We have

nπc  nπc   nπx 

∞
nπc
ut = −an sin t + bn cos t sin . (7.3.19)
n=1
l l l l

Then applying the initial conditions (7.3.2) and (7.3.3), we obtain

∞
  nπx 
u (x, 0) = f (x) = an sin , (7.3.20)
n=1
l
∞  nπc   nπx 
ut (x, 0) = g (x) = bn sin . (7.3.21)
n=1
l l

These equations will be satisfied if f (x) and g (x) can be represented by

Fourier sine series. The coefficients are given by

 nπx 
l  nπx 
2 l 2
an = f (x) sin dx, bn = g (x) sin dx,
l 0 l nπc 0 l
(7.3.22ab)
Please see Fourier series formula
 7.3 The Vibrating String Problem 239

The solution of the vibrating string problem is therefore given by the series
(7.3.18) where the coefficients an and bn are determined by the formulae
(7.3.22ab).
We examine the physical significance of the solution (7.3.17) in the
context of the free vibration of a string of length l. The eigenfunctions
 nπx  nπc
un (x, t) = (an cos ωn t + bn sin ωn t) sin , ωn = , (7.3.23)
l l
are called the nth normal modes of vibration or the nth harmonic, and
ωn represent the discrete spectrum of circular (or radian) frequencies or
νn = ω2πn = nc
2l , which are called the angular frequencies. The first harmonic
(n = 1) is called the fundamental harmonic and all other harmonics (n > 1)
are called overtones. The frequency of the fundamental mode is given by
$
πc 1 T∗
ω1 = , ν1 = . (7.3.24)
l 2l ρ

Result (7.3.24) is considered the fundamental law (or Mersenne law ) of

a stringed musical instrument. The angular frequency of the fundamental
mode of transverse vibration of a string varies as the square root of the
tension, inversely as length, and inversely as the square root of the density.
The period of the fundamental mode is T1 = ω2c1 = 2l c , which is called the
fundamental period. Finally, the solution (7.3.18) describes the motion of a
plucked string as a superposition of all normal modes of vibration with fre-
quencies which are all integral multiples (ωn = nω1 or νn = nν1 ) of the
fundamental frequency. This is the main reason that stringed instruments
produce sweeter musical sounds (or tones) than drum instruments.
In order to describe waves produced in the plucked string with zero
initial velocity (ut (x, 0) = 0), we write the solution (7.3.23) in the form
 nπx   
nπct
un (x, t) = an sin cos , n = 1, 2, 3, . . . . (7.3.25)
l l

These solutions are called standing waves with amplitude an sin nπx l ,
which vanishes at
l 2l
x = 0, , , . . . , l.
n n
These are called the nodes of the nth harmonic. The string displays n loops
separated by the nodes as shown in Figure 7.3.1.
It follows from elementary trigonometry that (7.3.25) takes the form
1 " nπ nπ #
un (x, t) = an sin (x − ct) + sin (x + ct) . (7.3.26)
2 l l
This shows that a standing wave is expressed as a sum of two progressive
waves of equal amplitude traveling in opposite directions. This result is in
agreement with the d’Alembert solution.
240 7 Method of Separation of Variables

Figure 7.3.1 Several modes of vibration in a string.

Finally, we can rewrite the solution (7.3.23) of the nth normal modes in
the form
 nπx   
nπct
un (x, t) = cn sin cos − εn , (7.3.27)
l l
 1  
where cn = a2n + b2n 2 and tan εn = abnn .
This solution represents transverse vibrations
 of the string at any point
x and at any time t with amplitude cn sin nπx l and circular frequency
ωn = nπc
l . This form of the solution enables us to calculate the kinetic and
potential energies of the transverse vibrations. The total kinetic energy
(K.E.) is obtained by integrating with respect to x from 0 to l, that is,

l  2
1 ∂un
Kn = K.E. = ρ dx, (7.3.28)
0 2 ∂t

where ρ is the line density of the string. Similarly, the total potential energy
(P.E.) is given by

l 2
1 ∗ ∂un
Vn = P.E. = T dx. (7.3.29)
2 0 ∂x

Substituting (7.3.27) in (7.3.28) and (7.3.29) gives

 
l
1  nπc 2 2 nπct  nπx 
Kn = ρ cn sin − εn sin2 dx
2 l l 0 l
 
ρc2 π 2 2 nπct 1
= (n cn ) sin2 − εn = ρlωn2 c2n sin2 (ωn t − εn ) , (7.3.30)
4l l 4
nπc
where ωn = l .
 7.3 The Vibrating String Problem 241

Similarly,
 
l
1 ∗  nπcn 2 2 nπct  nπx 
Vn = T cos − εn cos2 dx
2 l l 0 l
 
π2 T ∗ 2 nπct 1
= (n cn ) cos2 − εn = ρlωn2 c2n cos2 (ωn t − εn ) . (7.3.31)
4l l 4
Thus, the total energy of the nth normal mode of vibrations is given by
1 2
En = K n + V n = ρl (ωn cn ) = constant. (7.3.32)
4
For a given string oscillating in a normal mode, the total energy is pro-
portional to the square of the circular frequency and to the square of the
amplitude.
Finally, the total energy of the system is given by
∞
 ∞
1  2 2
E= En = ρl ω c , (7.3.33)
n=1
4 n=1 n n

which is constant because En = constant.

Example 7.3.1. The Plucked String of length l
As a special case of the problem just treated, consider a stretched string
fixed at both ends. Suppose the string is raised to a height h at x = a
and then released. The string will oscillate freely. The initial conditions, as
shown in Figure 7.3.2, may be written
Solve this example ⎧
⎨ hx/a, 0≤x≤a
u (x, 0) = f (x) =
⎩
h (l − x) / (l − a) , a ≤ x ≤ l.
Since g (x) = 0, the coefficients bn are identically equal to zero. The coeffi-
cients an , according to equation (7.3.22a), are given by

 nπx 
2 l
an = f (x) sin dx
l 0 l

 nπx 
 nπx 
2 a hx 2 l h (l − x)
= sin dx + sin dx.
l 0 a l l a (l − a) l
Integration and simplification yields
2hl2 1  nπa 
an = sin .
π 2 a (l − a) n2 l
Thus, the displacement of the plucked string is
2hl2 ∞
1  nπa   nπx   nπc 
u (x, t) = 2 sin sin cos t.
π a (l − a) n=1 n2 l l l
 242 7 Method of Separation of Variables

Figure 7.3.2 Plucked String

Solve Example 7.3.2. The struck string of length l

Here, we consider the string with no initial displacement. Let the string
be struck at x = a so that the initial velocity is given by
⎧v
⎨ a0 x, 0≤x≤a
ut (x, 0) = .
⎩
v0 (l − x) / (l − a) , a ≤ x ≤ l

Since u (x, 0) = 0, we have an = 0. By applying equation (7.3.22b), we find

that

a  nπx 
l  nπx 
2 v0 2 (l − x)
bn = x sin dx + v0 sin dx
nπc 0 a l nπc a (l − a) l
2v0 l3 1  nπa 
= 3 sin .
π ca (l − a) n3 l

Hence, the displacement of the struck string is

2v0 l3 ∞
1  nπa   nπx   nπc 
u (x, t) = sin sin cos t.
π 3 ca (l − a) n=1 n3 l l l
7.4 Existence and Uniqueness of Solution of the Vibrating String Problem 243

7.4 Existence and Uniqueness of Solution of the

Vibrating String Problem
In the preceding section we found that the initial boundary-value problem
(7.3.1)–(7.3.5) has a formal solution given by (7.3.18). We shall now show
that the expression (7.3.18) is the solution of the problem under certain
conditions.
First we see that
∞
  nπc   nπx 
u1 (x, t) = an cos t sin (7.4.1)
n=1
l l

is the formal solution of the problem (7.3.1)–(7.3.5) with g (x) ≡ 0, and

∞
  nπc   nπx 
u2 (x, t) = bn sin t sin (7.4.2)
n=1
l l

is the formal solution of the above problem with f (x) ≡ 0. By linearity of

the problem, the solution (7.3.18) may be considered as the sum of the two
formal solutions (7.4.1) and (7.4.2).
We first assume that f (x) and f ′ (x) are continuous on [0, l], and f (0) =
f (l) = 0. Then by Theorem 6.10.1, the series for the function f (x) given
by (7.3.20) converges absolutely and uniformly on the interval [0, l].
Using the trigonometric identity
 nπx   nπc  1 nπ 1 nπ
sin cos t = sin (x − ct) + sin (x + ct) , (7.4.3)
l l 2 l 2 l
u1 (x, t) may be written as
∞ ∞
1 nπ 1 nπ
u1 (x, t) = an sin (x − ct) + an sin (x + ct) .
2 n=1 l 2 n=1 l

Define
∞
  nπx 
F (x) = an sin (7.4.4)
n=1
l

and assume that F (x) is the odd periodic extension of f (x), that is,

F (x) = f (x) 0 ≤ x ≤ l
F (−x) = −F (x) for all x
F (x + 2l) = F (x) .

We can now rewrite u1 (x, t) in the form

1
u1 (x, t) = [F (x − ct) + F (x + ct)] . (7.4.5)
2
244 7 Method of Separation of Variables

To show that the boundary conditions are satisfied, we note that

1
u1 (0, t) = [F (−ct) + F (ct)]
2
1
= [−F (ct) + F (ct)] = 0
2
1
u1 (l, t) = [F (l − ct) + F (l + ct)]
2
1
= [F (−l − ct) + F (l + ct)]
2
1
= [−F (l + ct) + F (l + ct)] = 0.
2
Since
1
u1 (x, 0) = [F (x) + F (x)]
2
= F (x) = f (x) , 0 ≤ x ≤ l,

we see that the initial condition u1 (x, 0) = f (x) is satisfied. Thus, equation
(7.3.1) and conditions (7.3.2)–(7.3.3) with g (x) ≡ 0 are satisfied. Since f ′
is continuous in [0, l], F ′ exists and is continuous for all x. Thus, if we
differentiate u1 (x, t) with respect to t, we obtain
∂u1 1
= [−c F ′ (x − ct) + c F ′ (x + ct)] ,
∂t 2
and
∂u1 1
(x, 0) = [−c F ′ (x) + c F ′ (x)] = 0.
∂t 2
We therefore see that initial condition (7.3.3) is also satisfied.
In order to show that u1 (x, t) satisfies the differential equation (7.3.1),
we impose additional restrictions on f . Let f ′′ be continuous on [0, l] and
f ′′ (0) = f ′′ (l) = 0. Then, F ′′ exists and is continuous everywhere, and
therefore,

∂ 2 u1 1
2
= c2 [F ′′ (x − ct) + F ′′ (x + ct)] ,
∂t 2
∂ 2 u1 1
= [F ′′ (x − ct) + F ′′ (x + ct)] .
∂x2 2
We find therefore that
∂ 2 u1 2
2 ∂ u1
= c .
∂t2 ∂x2
Next, we shall state the assumptions which must be imposed on g to
make u2 (x, t) the solution of problem (7.3.1)–(7.3.5) with f (x) ≡ 0. Let g
7.4 Existence and Uniqueness of Solution of the Vibrating String Problem 245

and g ′ be continuous on [0, l] and let g (0) = g (l) = 0. Then the series for
the function g (x) given by (7.3.21) converges absolutely and uniformly in
the interval [0, l]. Introducing the new coefficients cn = (nπc/l) bn , we have
  ∞  nπc   nπx 
l cn
u2 (x, t) = sin t sin . (7.4.6)
πc n=1 n l l

We shall see that term-by-term differentiation with respect to t is permitted,

and hence,
∂u2 ∞  nπc   nπx 
= cn cos t sin . (7.4.7)
∂t n=1
l l

Using the trigonometric identity (7.4.3), we obtain

∞ ∞
∂u2 1 nπ 1 nπ
= cn sin (x − ct) + cn sin (x + ct) . (7.4.8)
∂t 2 n=1 l 2 n=1 l

These series are absolutely and uniformly convergent because of the as-
sumptions on g, and hence, the series (7.4.6) and (7.4.7) converge absolutely
and uniformly on [0, l]. Thus, the term-by-term differentiation is justified.
Let
∞  nπx 
G (x) = cn sin
n=1
l

be the odd periodic extension of the function g (x). Then, equation (7.4.8)
can be written in the form
∂u2 1
= [G (x − ct) + G (x + ct)] .
∂t 2
Integration yields



1 t 1 t
u2 (x, t) = G (x − ct′ ) dt′ + G (x + ct′ ) dt′
2 0 2 0

x+ct
1
= G (τ ) dτ. (7.4.9)
2c x−ct
It immediately follows that u2 (x, 0) = 0, and
∂u2
(x, 0) = G (x) = g (x) , 0 ≤ x ≤ l.
∂t
Moreover,

t

1 ′ ′ 1 t
u2 (0, t) = G (−ct ) dt + G (ct′ ) dt′
2 0 2 0



1 t ′ ′ 1 t
=− G (ct ) dt + G (ct′ ) dt′ = 0
2 0 2 0
246 7 Method of Separation of Variables

and



1 t ′ ′ 1 t
u2 (l, t) = G (l − ct ) dt + G (l + ct′ ) dt′
2 0 2 0



1 t 1 t
= G (−l − ct′ ) dt′ + G (l + ct′ ) dt′
2 0 2 0



1 t 1 t
=− G (l + ct′ ) dt′ + G (l + ct′ ) dt′ = 0.
2 0 2 0
Finally, u2 (x, t) must satisfy the differential equation. Since g ′ is continuous
on [0, l], G′ exists so that
∂ 2 u2 c
2
= [−G′ (x − ct) + G′ (x + ct)] .
∂t 2
Differentiating u2 (x, t) represented by equation (7.4.6) with respect to x,
we obtain
∂u2 1
∞  nπc   nπx 
= cn sin t cos
∂x c n=1 l l
1  " #
∞
nπ nπ
= cn − sin (x − ct) + sin (x + ct)
2c n=1 l l
1
= [−G (x − ct) + G (x + ct)] .
2c
Differentiating again with respect to x, we obtain
∂ 2 u2 1
2
= [−G′ (x − ct) + G′ (x + ct)] .
∂x 2c
It is quite evident that
∂ 2 u2 ∂ 2 u2
2
= c2 .
∂t ∂x2
Thus, the solution of the initial boundary-value problem (7.3.1)–(7.3.5) is
established.
Theorem 7.4.2. (Uniqueness Theorem) There exists at most one so-
lution of the wave equation
utt = c2 uxx , 0 < x < l, t > 0,
satisfying the initial conditions
u (x, 0) = f (x) , ut (x, 0) = g (x) , 0 ≤ x ≤ l,
and the boundary conditions
u (0, t) = 0, u (l, t) = 0, t ≥ 0,
where u (x, t) is a twice continuously differentiable function with respect to
both x and t.
7.4 Existence and Uniqueness of Solution of the Vibrating String Problem 247

Proof. Suppose that there are two solutions u1 and u2 and let v = u1 −u2 .
It can readily be seen that v (x, t) is the solution of the problem

vtt = c2 vxx , 0 < x < l, t > 0,

v (0, t) = 0, t ≥ 0,
v (l, t) = 0, t ≥ 0,
v (x, 0) = 0, 0 ≤ x ≤ l,
vt (x, 0) = 0, 0 ≤ x ≤ l.

We shall prove that the function v (x, t) is identically zero. To do so,

consider the energy integral

l
1 
E (t) = c2 vx2 + vt2 dx (7.4.10)
2 0

which physically represents the total energy of the vibrating string at time
t.
Since the function v (x, t) is twice continuously differentiable, we differ-
entiate E (t) with respect to t. Thus,

l
dE 
= c2 vx vxt + vt vtt dx. (7.4.11)
dt 0

Integrating the first integral in (7.4.11) by parts, we have

l
l
2 2
!l
c vx vxt dx = c vx vt 0
− c2 vt vxx dx.
0 0

But from the condition v (0, t) = 0 we have vt (0, t) = 0, and similarly,

vt (l, t) = 0 for x = l. Hence, the expression in the square brackets vanishes,
and equation (7.4.11) becomes

l
dE 
= vt vtt − c2 vxx dx. (7.4.12)
dt 0

Since vtt − c2 vxx = 0, equation (7.4.12) reduces to

dE
=0
dt
which means

E (t) = constant = C.

Since v (x, 0) = 0 we have vx (x, 0) = 0. Taking into account the condi-

tion vt (x, 0) = 0, we evaluate C to obtain
248 7 Method of Separation of Variables

l
1 !
E (0) = C = c2 vx2 + vt2 t=0
dx = 0.
2 0

This implies that E (t) = 0 which can happen only when vx = 0 and vt = 0
for t > 0. To satisfy both of these conditions, we must have v (x, t) =
constant. Employing the condition v (x, 0) = 0, we then find v (x, t) = 0.
Therefore, u1 (x, t) = u2 (x, t) and the solution u (x, t) is unique.

7.5 The Heat Conduction Problem

We consider a homogeneous rod of length l. The rod is sufficiently thin
so that the heat is distributed equally over the cross section at time t.
The surface of the rod is insulated, and therefore, there is no heat loss
through the boundary. The temperature distribution of the rod is given by
the solution of the initial boundary-value problem

ut = kuxx , 0 < x < l, t > 0,

u (0, t) = 0, t ≥ 0,
u (l, t) = 0, t ≥ 0, (7.5.1)
u (x, 0) = f (x) , 0 ≤ x ≤ l.

If we assume a solution in the form

u (x, t) = X (x) T (t) = 0.

Equation (7.5.1) yields

XT ′ = kX ′′ T.

Thus, we have

X ′′ T′
= = −α2 ,
X kT
where α is a positive constant. Hence, X and T must satisfy

X ′′ + α2 X = 0, (7.5.2)
′ 2
T + α kT = 0. (7.5.3)

From the boundary conditions, we have

u (0, t) = X (0) T (t) = 0, u (l, t) = X (l) T (t) = 0.

Thus,

X (0) = 0, X (l) = 0,
 7.5 The Heat Conduction Problem 249

for an arbitrary function T (t). Hence, we must solve the eigenvalue problem

X ′′ + α2 X = 0,
X (0) = 0, X (l) = 0.

The solution of equation (7.5.2) is

X (x) = A cos αx + B sin αx.

Since X (0) = 0, A = 0. To satisfy the second condition, we have

X (l) = B sin αl = 0.

Since B = 0 yields a trivial solution, we must have B = 0 and hence,

sin αl = 0.

Thus,
nπ
α= for n = 1, 2, 3 . . . .
l
Substituting these eigenvalues, we have
 nπx 
Xn (x) = Bn sin .
l
Next, we consider equation (7.5.3), namely,

T ′ + α2 kT = 0,

the solution of which is

2
T (t) = Ce−α kt
.

Substituting α = (nπ/l), we have

2
Tn (t) = Cn e−(nπ/l) kt
.

Hence, the nontrivial solution of the heat equation which satisfies the two
boundary conditions is
2
 nπx 
un (x, t) = Xn (x) Tn (t) = an e−(nπ/l) kt sin , n = 1, 2, 3 . . . ,
l
where an = Bn Cn is an arbitrary constant.
By the principle of superposition, we obtain a formal series solution as
∞

u (x, t) = un (x, t) ,
n=1
∞
2
 nπx 
= an e−(nπ/l) kt
sin , (7.5.4)
n=1
l
 250 7 Method of Separation of Variables

which satisfies the initial condition if

∞
  nπx 
u (x, 0) = f (x) = an sin .
n=1
l

This holds true if f (x) can be represented by a Fourier sine series with
Fourier coefficients

 nπx 
2 l
an = f (x) sin dx. (7.5.5)
l 0 l
Hence,


∞
2 l  nπτ  2
 nπx 
u (x, t) = f (τ ) sin dτ e−(nπ/l) kt sin (7.5.6)
n=1
l 0 l l

is the formal series solution of the heat conduction problem.

Solve Example 7.5.1. (a) Suppose the initial temperature distribution is f (x) =
x (l − x). Then, from equation (7.5.5), we have
8l2
an = , n = 1, 3, 5, . . . .
n3 π 3
Thus, the solution is
  ∞
  nπx 
8l2 1 −(nπ/l)2 kt
u (x, t) = e sin .
π3 n=1,3,5,...
n 3 l

(b) Suppose the temperature at one end of the rod is held constant, that
is,

u (l, t) = u0 , t ≥ 0.

The problem here is

ut = k uxx , 0 < x < l, t > 0,

u (0, t) = 0, u (l, t) = u0 , (7.5.7)
u (x, 0) = f (x) , 0 < x < l.

Let
u0 x
u (x, t) = v (x, t) + .
l
Substitution of u (x, t) in equations (7.5.7) yields

vt = k vxx , 0 < x < l, t > 0,

v (0, t) = 0, v (l, t) = 0,
u0 x
v (x, 0) = f (x) − , 0 < x < l.
l
7.6 Existence and Uniqueness of Solution of the Heat Conduction Problem 251

Hence, with the knowledge of solution (7.5.6), we obtain the solution



2 l u0 τ   nπτ   nπx 
∞
2
u (x, t) = f (τ ) − sin dτ e−(nπ/l) kt sin
n=1
l 0 l l l
u x
0
+ . (7.5.8)
l

7.6 Existence and Uniqueness of Solution of the Heat

Conduction Problem
In the preceding section, we found that (7.5.4) is the formal solution of the
heat conduction problem (7.5.1), where an is given by (7.5.5).
We shall prove the existence of this formal solution if f (x) is continuous
in [0, l] and f (0) = f (l) = 0, and f ′ (x) is piecewise continuous in (0, l).
Since f (x) is bounded, we have


2  l  nπx   2
l

|an | =  f (x) sin dx ≤ |f (x)| dx ≤ C,
l 0 l  l 0

where C is a positive constant. Thus, for any finite t0 > 0,

  nπx 
 2  2
an e−(nπ/l) kt sin  ≤ C e−(nπ/l) kt0 when t ≥ t0 .
l
" #
2
According to the ratio test, the series of terms exp − (nπ/l) kt0 con-
verges. Hence, by the Weierstrass M-test, the series (7.5.4) converges uni-
formly with respect to x and t whenever t ≥ t0 and 0 ≤ x ≤ l.
Differentiating equation (7.5.4) termwise with respect to t, we obtain
∞
  nπ 2 2
 nπx 
ut = − an k e−(nπ/l) kt
sin . (7.6.1)
n=1
l l

We note that
  2    2

−an nπ k e−(nπ/l)2 kt sin nπx  ≤ C nπ k e−(nπ/l)2 kt0
 l l  l
" #
2 2
when t ≥ t0 , and the series of terms C (nπ/l) k exp − (nπ/l) kt0 con-
verges by the ratio test. Hence, equation (7.6.1) is uniformly convergent in
the region 0 ≤ x ≤ l, t ≥ t0 . In a similar manner, the series (7.5.4) can be
differentiated twice with respect to x, and as a result
∞
  nπ 2 2
 nπx 
uxx = − an e−(nπ/l) kt
sin . (7.6.2)
n=1
l l
252 7 Method of Separation of Variables

Evidently, from equations (7.6.1) and (7.6.2),

ut = k uxx .

Hence, equation (7.5.4) is a solution of the one-dimensional heat equation

in the region 0 ≤ x ≤ l, t ≥ 0.
Next, we show that the boundary conditions are satisfied. Here, we note
that the series (7.5.4) representing the function u (x, t) converges uniformly
in the region 0 ≤ x ≤ l, t ≥ 0. Since the function represented by a uniformly
convergent series of continuous functions is continuous, u (x, t) is continuous
at x = 0 and x = l. As a consequence, when x = 0 and x = l, solution
(7.5.4) satisfies

u (0, t) = 0, u (l, t) = 0,

for all t > 0.

It remains to show that u (x, t) satisfies the initial condition

u (x, 0) = f (x) , 0 ≤ x ≤ l.

Under the assumptions stated earlier, the series for f (x) given by
∞
  nπx 
f (x) = an sin
n=1
l

is uniformly and absolutely convergent. By Abel’s test of convergence the

series formed by the product of the terms of a uniformly convergent series
∞
  nπx 
an sin
n=1
l
" #
2
and a uniformly bounded and monotone sequence exp − (nπ/l) kt con-
verges uniformly with respect to t. Hence,
∞
 2
 nπx 
u (x, t) = an e−(nπ/l) kt
sin
n=1
l

converges uniformly for 0 ≤ x ≤ l, t ≥ 0, and by the same reasoning as

before, u (x, t) is continuous for 0 ≤ x ≤ l, t ≥ 0. Thus, the initial condition

u (x, 0) = f (x) , 0≤x≤l

is satisfied. The existence of solution is therefore established.

In the above discussion the condition imposed on f (x) is stronger than
necessary. The solution can be obtained with a less stringent condition on
f (x) (see Weinberger (1965)).
7.6 Existence and Uniqueness of Solution of the Heat Conduction Problem 253

Theorem 7.6.1. (Uniqueness Theorem) Let u (x, t) be a continuously

differentiable function. If u (x, t) satisfies the differential equation

ut = k uxx , 0 < x < l, t > 0,

the initial conditions

u (x, 0) = f (x) , 0 ≤ x ≤ l,

and the boundary conditions

u (0, t) = 0, u (l, t) = 0, t ≥ 0,

then, the solution is unique.

Proof. Suppose that there are two distinct solutions u1 (x, t) and u2 (x, t).
Let

v (x, t) = u1 (x, t) − u2 (x, t) .

Then,

vt = k vxx , 0 < x < l, t > 0,

v (0, t) = 0, v (l, t) = 0, t ≥ 0, (7.6.3)
v (x, 0) = 0, 0 ≤ x ≤ l,

Consider the function defined by the integral

l
1
J (t) = v 2 dx.
2k 0

Differentiating with respect to t, we have

l
l
′ 1
J (t) = vvt dx = vvxx dx,
k 0 0

by virtue of equation (7.6.3). Integrating by parts, we have

l
l
l
vvxx dx = [vvx ]0 − vx2 dx.
0 0

Since v (0, t) = v (l, t) = 0,

l
J ′ (t) = − vx2 dx ≤ 0.
0

From the condition v (x, 0) = 0, we have J (0) = 0. This condition and

J ′ (t) ≤ 0 implies that J (t) is a nonincreasing function of t. Thus,
254 7 Method of Separation of Variables

J (t) ≤ 0.

But by definition of J (t),

J (t) ≥ 0.

Hence,

J (t) = 0, for t ≥ 0.

Since v (x, t) is continuous, J (t) = 0 implies

v (x, t) = 0

in 0 ≤ x ≤ l, t ≥ 0. Therefore, u1 = u2 and the solution is unique.

7.7 The Laplace and Beam Equations

Example 7.7.1. Consider the steady state temperature distribution in a thin
rectangular slab. Two sides are insulated, one side is maintained at zero
temperature, and the temperature of the remaining side is prescribed to be
f (x). Thus, we are required to solve

∇2 u = 0, 0 < x < a, 0 < y < b,

u (x, 0) = f (x) , 0 ≤ x ≤ a,
u (x, b) = 0, 0 ≤ x ≤ a,
ux (0, y) = 0, ux (a, y) = 0.

Let u (x, y) = X (x) Y (y). Substitution of this into the Laplace equation
yields

X ′′ − λX = 0, Y ′′ + λX = 0.

Since the boundary conditions are homogeneous on x = 0 and x = a, we

have λ = −α2 with α ≥ 0 for nontrivial solutions of the eigenvalue problem

X ′′ + α2 X = 0,
X ′ (0) = X ′ (a) = 0.

The solution is

X (x) = A cos αx + B sin αx.

Application of the boundary conditions then yields B = 0 and α = (nπ/a)

with n = 0, 1, 2, . . .. Hence,
 nπx 
Xn (x) = A cos .
a
 7.7 The Laplace and Beam Equations 255

The solution of the Y equation is clearly

Y (y) = C cosh αy + D sinh αy
which can be written in the form
Y (y) = E sinh α (y + F ) ,
 1 !
where E = D2 − C 2 and F = tanh−1 (C/D) /α.
2

Applying the homogeneous boundary condition Y (b) = 0, we obtain

Y (b) = E sinh α (b + F ) = 0
which implies
F = −b, E = 0
for nontrivial solutions. Hence, we have
(b − y) a0 
∞  nπx  ( nπ )
u (x, y) = + an cos sinh (y − b) .
b 2 n=1
a a
Now we apply the remaining nonhomogeneous condition to obtain
∞  nπx   
a0  nπb
u (x, 0) = f (x) = + an cos sinh − .
2 n=1
a a
Since this is a Fourier cosine series, the coefficients are given by


2 a
a0 = f (x) dx,
a 0

a  nπx 
−2
an =  nπb f (x) cos dx, n = 1, 2, . . . .
a sinh a 0 a
Thus, the solution is
  ∞  nπx 
b − y a0  ∗ sinh nπ a (b − y)
u (x, y) = + an nπb
cos ,
b 2 n=1
sinh a a
where

a  nπx 
2
a∗n = f (x) cos dx.
a 0 a
If, for example f (x) = x in 0 < x < π, 0 < y < π, then we find (note that
a = π)
2 n
a0 = π, a∗n = [(−1) − 1] , n = 1, 2, . . .
πn2
and hence, the solution has the final form
∞
1 2 n sinh n (π − y)
u (x, y) = (π − y) + 2
[(−1) − 1] cos nx.
2 n=1
πn sinh nπ
256 7 Method of Separation of Variables

Example 7.7.2. As another example, we consider the transverse vibration

of a beam. The equation of motion is governed by

utt + a2 uxxxx = 0, 0 < x < l, t > 0,

where u (x, t) is the displacement and a is the physical constant. Note that
the equation is of the fourth order in x. Let the initial and boundary con-
ditions be

u (x, 0) = f (x) , 0 ≤ x ≤ l,
ut (x, 0) = g (x) , 0 ≤ x ≤ l,
u (0, t) = u (l, t) = 0, t > 0, (7.7.1)
uxx (0, t) = uxx (l, t) = 0, t > 0.

The boundary conditions represent the beam being simple supported, that
is, the displacements and the bending moments at the ends are zero.
Assume a nontrivial solution in the form

u (x, t) = X (x) T (t) ,

which transforms the equation of motion into the forms

T ′′ + a2 α4 T = 0, X (iv) − α4 X = 0, α > 0.

The equation for X (x) has the general solution

X (x) = A cosh αx + B sinh αx + C cos αx + D sin αx.

The boundary conditions require that

X (0) = X (l) = 0, X ′′ (0) = X ′′ (l) = 0.

Differentiating X twice with respect to x, we obtain

X ′′ (x) = Aα2 cosh αx + Bα2 sinh αx − Cα2 cos αx − Dα2 sin αx.

Now applying the conditions X (0) = X ′′ (0) = 0, we obtain

A + C = 0, α2 (A − C) = 0,

and hence,

A = C = 0.

The conditions X (l) = X ′′ (l) = 0 yield

B sinh αl + D sin αl = 0,
B sinh αl − D sin αl = 0.
 7.7 The Laplace and Beam Equations 257

These equations are satisfied if

B sinh αl = 0, D sin αl = 0.
Since sinh αl = 0, B must vanish. For nontrivial solutions, D = 0,
sin αl = 0,
and hence,
 nπ 
α= , n = 1, 2, 3, . . . .
l
We then obtain
 nπx 
Xn (x) = Dn sin .
l
The general solution for T (t) is
 
T (t) = E cos aα2 t + F sin aα2 t .
Inserting the values of α2 , we obtain
       
nπ 2 nπ 2
Tn (t) = En cos a t + Fn sin a t .
l l
Thus, the general solution for the transverse vibrations of a beam is
∞           nπx 
nπ 2 nπ 2
u (x, t) = an cos a t + bn sin a t sin .
n=1
l l l
(7.7.2)
To satisfy the initial condition u (x, 0) = f (x), we must have
∞
  nπx 
u (x, 0) = f (x) = an sin
n=1
l

from which we find

l  nπx 
2
an = f (x) sin dx. (7.7.3)
l 0 l
Now the application of the second initial condition gives
∞
  nπ 2  nπx 
ut (x, 0) = g (x) = bn a sin
n=1
l l

and hence,
 2
l  nπx 
2 l
bn = g (x) sin dx. (7.7.4)
al nπ 0 l
Thus, the solution of the initial boundary-value problem is given by equa-
tions (7.7.2)–(7.7.4).
258 7 Method of Separation of Variables

7.8 Nonhomogeneous Problems

The partial differential equations considered so far in this chapter are homo-
geneous. In practice, there is a very important class of problems involving
nonhomogeneous equations. First, we shall illustrate a problem involving a
time-independent nonhomogeneous equations.
Example 7.8.1. Consider the initial boundary-value problem
utt = c2 uxx + F (x) , 0 < x < l, t > 0,
u (x, 0) = f (x) , 0 ≤ x ≤ l,
ut (x, 0) = g (x) , 0 ≤ x ≤ l, (7.8.1)
u (0, t) = A, u (l, t) = B, t > 0.
We assume a solution in the form
u (x, t) = v (x, t) + U (x) .
Substitution of u (x, t) in equation (7.8.1) yields
vtt = c2 (vxx + Uxx ) + F (x) ,
and if U (x) satisfies the equation
c2 Uxx + F (x) = 0,
then v (x, t) satisfies the wave equation
vtt = c2 vxx .
In a similar manner, if u (x, t) is inserted in the initial and boundary con-
ditions, we obtain
u (x, 0) = v (x, 0) + U (x) = f (x) ,
ut (x, 0) = vt (x, 0) = g (x) ,
u (0, t) = v (0, t) + U (0) = A ,
u (l, t) = v (l, t) + U (l) = B .
Thus, if U (x) is the solution of the problem
c2 Uxx + F = 0,
U (0) = A, U (l) = B,
then v (x, t) must satisfy
vtt = c2 vxx ,
v (x, 0) = f (x) − U (x) ,
vt (x, 0) = g (x) , (7.8.2)
v (0, t) = 0, v (l, t) = 0.
 7.8 Nonhomogeneous Problems 259

Now v (x, t) can be solved easily since U (x) is known. It can be seen that

l

x x 1 η
U (x) = A + (B − A) + F (ξ) dξ dη
l l 0 c2 0

x
η 
1
− F (ξ) dξ dη.
0 c2 0

As a specific example, consider the problem

utt = c2 uxx + h, h is a constant

u (x, 0) = 0, ut (x, 0) = 0, (7.8.3)
u (0, t) = 0, u (l, t) = 0.

Then, the solution of the system

c2 Uxx + h = 0,
U (0) = 0, U (l) = 0,

is
h 
U (x) = lx − x2 .
2c2
The function v (x, t) must satisfy

vtt = c2 vxx ,
h 
v (x, 0) = − 2 lx − x2 , vt (x, 0) = 0,
2c
v (0, t) = 0, v (l, t) = 0.

The solution is given (see Section 7.3 with g (x) = 0) by

∞
  nπc   nπx 
v (x, t) = an cos t sin ,
n=1
l l

and the coefficient is

l   nπx 
2 h 
an = − 2 lx − x2 sin dx
l
0 2c l
4l2 h
an = − 3 3 2 for n odd
n π c
an = 0 for n even.

The solution of the given initial boundary-value problem is, therefore, given
by
260 7 Method of Separation of Variables

u (x, t) = v (x, t) + U (x)

∞  
hx 4l2 h cos (2n − 1) (πct/l)
= 2 (l − x) + − 2 3 3
2c n=1
c π (2n − 1)
× sin (2n − 1) (πx/l) . (7.8.4)

Let us now consider the problem of a finite string with an external force
acting on it. If the ends are fixed, we have

utt − c2 uxx = h (x, t) , 0 < x < l, t > 0,

u (x, 0) = f (x) , 0 ≤ x ≤ l,
ut (x, 0) = g (x) , 0 ≤ x ≤ l, (7.8.5)
u (0, t) = 0, u (l, t) = 0, t ≥ 0.

We assume a solution involving the eigenfunctions, sin (nπx/l), of the as-

sociated eigenvalue problem in the form
∞
  nπx 
u (x, t) = un (t) sin , (7.8.6)
n=1
l

where the functions un (t) are to be determined. It is evident that the

boundary conditions are satisfied. Let us also assume that
∞
  nπx 
h (x, t) = hn (t) sin . (7.8.7)
n=1
l

Thus,

l  nπx 
2
hn (t) = h (x, t) sin dx. (7.8.8)
l 0 l

We assume that the series (7.8.6) is convergent. We then find utt and
uxx from (7.8.6) and substitution of these values into (7.8.5) yields
∞
 !  nπx   ∞  nπx 
u′′n (t) + λ2n un (t) sin = hn (t) sin ,
n=1
l n=1
l

where λn = (nπc/l). Multiplying both sides of this equation by sin (mπx/l),

where m = 1, 2, 3, . . ., and integrating from x = 0 to x = l, we obtain

u′′n (t) + λ2n un (t) = hn (t)

the solution of which is given by

t
1
un (t) = an cos λn t + bn sin λn t + hn (τ ) sin [λn (t − τ )] dτ. (7.8.9)
λn 0
 7.8 Nonhomogeneous Problems 261

Hence, the formal solution (7.8.6) takes the final form

∞ 

u (x, t) = an cos λn t + bn sin λn t
n=1

t   nπx 
1
+ hn (τ ) sin [λn (t − τ )] dτ · sin . (7.8.10)
λn 0 l
Applying the initial conditions, we have
∞
  nπx 
u (x, 0) = f (x) = an sin .
n=1
l

Thus,

l  nπx 
2
an = f (x) sin dx. (7.8.11)
l 0 l
Similarly,
∞
  nπx 
ut (x, 0) = g (x) = bn λn sin .
n=1
l

Thus,
 
l  nπx 
2
bn = g (x) sin dx. (7.8.12)
lλn 0 l

Hence, the formal solution of the initial boundary-value problem (7.8.5) is

given by (7.8.10) with an given by (7.8.11) and bn given by (7.8.12).

Example 7.8.2. Determine the solution of the initial boundary-value prob-

lem

utt − uxx = h, 0 < x < 1, t > 0, h = constant,

u (x, 0) = x (1 − x) , 0 ≤ x ≤ 1,
ut (x, 0) = 0, 0 ≤ x ≤ 1, (7.8.13)
u (0, t) = 0, u (1, t) = 0, t ≥ 0.

In this case, c = 1, λn = nπ, bn = 0 and an is given by

1
4 n
an = 2 x (1 − x) sin nπx dx = 3 [1 − (−1) ] .
0 (nπ)
We also have

1  nπx  2h n
hn = 2 h sin dx = [1 − (−1) ] .
0 l nπ
262 7 Method of Separation of Variables

Hence, the integral term in (7.8.9) represents φn (t) given by

t
1 2h n
φn (t) = hn (τ ) sin [λn (t − τ )] dτ = [1 − (−1) ] (1 − cos λn t) .
λn 0 nπλ2n

The solution (7.8.10) is thus given by

∞ 
4 n
u (x, t) = 3 3
[1 − (−1) ] cos nπt
n=1
n π

2h n
+ 3 3 [1 − (−1) ] (1 − cos nπt) · sin nπx. (7.8.14)
n π

We have treated the initial boundary-value problem with the fixed end
conditions. Problems with other boundary conditions can also be solved in
a similar manner.
We will now consider the initial boundary-value problem with time-
dependent boundary conditions, namely,

utt − uxx = h (x, t) , 0 < x < l, t > 0,

u (x, 0) = f (x) , 0 ≤ x ≤ l,
ut (x, 0) = g (x) , 0 ≤ x ≤ l, (7.8.15)
u (0, t) = p (t) , u (l, t) = q (t) , t ≥ 0.

We assume a solution in the form

u (x, t) = v (x, t) + U (x, t) . (7.8.16)

Substituting this into equation (7.8.15), we obtain

vtt − c2 vxx = h − Utt + c2 Uxx .

For the initial and boundary conditions, we have

v (x, 0) = f (x) − U (x, 0) ,

vt (x, 0) = g (x) − Ut (x, 0) ,
v (0, t) = p (t) − U (0, t) ,
v (l, t) = q (t) − U (l, t) .

In order to make the boundary conditions homogeneous, we set

U (0, t) = p (t) , U (l, t) = q (t) .

Thus, U (x, t) must take the form

x
U (x, t) = p (t) + [q (t) − p (t)] . (7.8.17)
l
 7.8 Nonhomogeneous Problems 263

The problem now is to find the function v (x, t) which satisfies

vtt − c2 vxx = h − Utt = H (x, t) ,

v (x, 0) = f (x) − U (x, 0) = F (x) ,
vt (x, 0) = g (x) − Ut (x, 0) = G (x) , (7.8.18)
v (0, t) = 0, v (l, t) = 0.

This is the same type of problem as the one with homogeneous boundary
condition that has previously been treated.

Example 7.8.3. Find the solution of the problem

utt − uxx = h, 0 < x < 1, t > 0, h = constant,

u (x, 0) = x (1 − x) , 0 ≤ x ≤ 1,
ut (x, 0) = 0, 0 ≤ x ≤ 1, (7.8.19)
u (0, t) = t, u (1, t) = sin t, t ≥ 0.

In this case, we use (7.8.16) and (7.8.17) with c = 1 and λn = nπ so

that

u (x, t) = v (x, t) + U (x, t) , U (x, t) = t + x (sin t − t) . (7.8.20)

Then, v must satisfy

vtt − vxx = h + x sin t,

v (x, 0) = x (1 − x) ,
vt (x, 0) = −1, (7.8.21)
v (0, t) = 0, v (1, t) = 0.

It follows from (7.8.8) that

1
hn (t) = 2 (h + x sin t) sin nπx dx
0
n+1
2h n 2 (−1)
= [1 − (−1) ] + sin t = a + b sin t (say). (7.8.22)
nπ nπ
We also find

1
4 n
an = 2 x (1 − x) sin nπx dx = 3 [1 − (−1) ] ,
0 (nπ)

and

1
2 2 n
bn = sin nπx dx = 2 [1 − (−1) ] .
nπ 0 (nπ)
264 7 Method of Separation of Variables

Then, we determine the integral term in (7.8.9) so that

t
1
φn (t) = (a + b sin τ ) sin [nπ (t − τ )] dτ
nπ 0

1 a b
= (1 − cos nπt) + [(sin 2t − 2t) cos nπt
nπ nπ 4

− (cos 2t − 1) sin nπt] . (7.8.23)

Hence, the solution of the problem (7.8.21) is

∞

v (x, t) = [an cos nπt + bn sin nπt + φn (t)] sin nπx. (7.8.24)
n=1

Thus, the solution of problem (7.8.19) is given by

u (x, t) = v (x, t) + U (x, t) ,

where v (x, t) is given by (7.8.24) and U (x, t) is given by (7.8.20)

Example 7.8.4. Use the method of separation of variables to derive the Her-
mite equation from the Fokker–Planck equation of nonequilibrium statistical
mechanics

ut − uxx = (x u)x . (7.8.25)

We seek a nontrivial separable solution u (x, t) = X (x) T (t) so that

equation (7.8.25) reduces to a pair of ordinary differential equations

X ′′ + xX ′ + (1 + n) X = 0 and T ′ + n T = 0, (7.8.26ab)

where (−n) is a separation constant.

We next use
 
1
X (x) = exp − x2 f (x) (7.8.27)
2

and rescale the independent variable to obtain the Hermite equation for f
in the form
d2 f df
− 2ξ + 2nf = 0.
dξ 2 dξ

The solution of (7.8.26b) gives

T (t) = cn exp (−nt) , (7.8.28)

where the coefficients cn are constants.

 7.9 Exercises 265

Thus, the solution of the Fokker–Planck equation is given by

∞
    
1 2 x
u (x, t) = an exp −nt − x Hn √ , (7.8.29)
n=1
2 2

where Hn is the Hermite function and an are arbitrary constants to be

determined from the given initial condition

u (x, 0) = f (x) . (7.8.30)

We make the change of variables

ξ = x et and u = et v, (7.8.31)

in equation (7.8.25). Consequently, equation (7.8.25) becomes

∂v ∂2v
= e2t 2 . (7.8.32)
∂t ∂ξ

Making another change of variable t to τ (t), we transform (7.8.32) into the

linear diffusion equation

∂v ∂2v
= . (7.8.33)
∂τ ∂ξ 2

Finally, we note that the asymptotic behavior of the solution u (x, t) as

t → ∞ is of special interest. The reader is referred to Reif (1965) for such
behavior.

7.9 Exercises
1. Solve the following initial boundary-value problems:

(a) utt = c2 uxx , 0 < x < 1, t > 0,

u (x, 0) = x (1 − x), ut (x, 0) = 0, 0 ≤ x ≤ 1,

u (0, t) = u (1, t) = 0, t > 0.

(b) utt = c2 uxx , 0 < x < π, t > 0,

u (x, 0) = 3 sin x, ut (x, 0) = 0, 0 ≤ x ≤ π,

u (0, t) = u (1, t) = 0, t > 0.

266 7 Method of Separation of Variables

2. Determine the solutions of the following initial boundary-value prob-

lems:

(a) utt = c2 uxx , 0 < x < π, t > 0,

u (x, 0) = 0, ut (x, 0) = 8 sin2 x, 0 ≤ x ≤ π,

u (0, t) = u (π, t) = 0, t > 0.

(b) utt = c2 uxx = 0, 0 < x < 1, t > 0,

u (x, 0) = 0, ut (x, 0) = x sin πx, 0 ≤ x ≤ 1,

u (0, t) = u (1, t) = 0, t > 0.

3. Find the solution of each of the following problems:

(a) utt = c2 uxx = 0, 0 < x < 1, t > 0,

u (x, 0) = x (1 − x), ut (x, 0) = x − tan πx

4 , 0 ≤ x ≤ 1,

u (0, t) = u (π, t) = 0, t > 0.

(b) utt = c2 uxx = 0, 0 < x < π, t > 0,

u (x, 0) = sin x, ut (x, 0) = x2 − πx, 0 ≤ x ≤ π,

u (0, t) = u (π, t) = 0, t > 0.

4. Solve the following problems:

(a) utt = c2 uxx = 0, 0 < x < π, t > 0,

u (x, 0) = x + sin x, ut (x, 0) = 0, 0 ≤ x ≤ π,

u (0, t) = ux (π, t) = 0, t > 0.

(b) utt = c2 uxx = 0, 0 < x < π, t > 0,

u (x, 0) = cos x, ut (x, 0) = 0, 0 ≤ x ≤ π,

ux (0, t) = 0, ux (π, t) = 0, t > 0.

 7.9 Exercises 267

5. By the method of separation of variables, solve the telegraph equation:

utt + aut + bu = c2 uxx , 0 < x < l, t > 0,
u (x, 0) = f (x) , ut (x, 0) = 0,
u (0, t) = u (l, t) = 0, t > 0.
6. Obtain the solution of the damped wave motion problem:
utt + aut = c2 uxx , 0 < x < l, t > 0,
u (x, 0) = 0, ut (x, 0) = g (x) ,
u (0, t) = u (l, t) = 0.
7. The torsional oscillation of a shaft of circular cross section is governed
by the partial differential equation
θtt = a2 θxx ,
where θ (x, t) is the angular displacement of the cross section and a is
a physical constant. The ends of the shaft are fixed elastically, that is,
θx (0, t) − h θ (0, t) = 0, θx (l, t) + h θ (l, t) = 0.
Determine the angular displacement if the initial angular displacement
is f (x).
8. Solve the initial boundary-value problem of the longitudinal vibration
of a truncated cone of length l and base of radius a. The equation of
motion is given by
  
x 2 ∂ 2 u 2 ∂ x 2 ∂u
1− =c 1− , 0 < x < l, t > 0,
h ∂t2 ∂x h ∂x
where c2 = (E/ρ), E is the elastic modulus, ρ is the density of the
material and h = la/ (a − l). The two ends are rigidly fixed. If the
initial displacement is f (x), that is, u (x, 0) = f (x), find u (x, t).
9. Establish the validity of the formal solution of the initial boundary-
value problems:
utt = c2 uxx , 0 < x < π, t > 0,
u (x, 0) = f (x) , ut (x, 0) = g (x) , 0 ≤ x ≤ π,
ux (0, t) = 0, ux (π, t) = 0, t > 0.
10. Prove the uniqueness of the solution of the initial boundary-value prob-
lem:
utt = c2 uxx , 0 < x < π, t > 0,
u (x, 0) = f (x) , ut (x, 0) = g (x) , 0 ≤ x ≤ π,
ux (0, t) = 0, ux (π, t) = 0, t > 0.
268 7 Method of Separation of Variables

11. Determine the solution of

utt = c2 uxx + A sinh x, 0 < x < l, t > 0,

u (x, 0) = 0, ut (x, 0) = 0, 0 ≤ x ≤ l,
u (0, t) = h, u (l, t) = k, t > 0,

where h, k, and A are constants.

12. Solve the problem:

utt = c2 uxx + Ax, 0 < x < 1, t > 0, A = constant,

u (x, 0) = 0, ut (x, 0) = 0, 0 ≤ x ≤ 1,
u (0, t) = 0, u (1, t) = 0, t > 0.

13. Solve the problem:

utt = c2 uxx + x2 , 0 < x < 1, t > 0,

u (x, 0) = x, ut (x, 0) = 0, 0 ≤ x ≤ 1,
u (0, t) = 0, u (1, t) = 1, t ≥ 0.

14. Find the solution of the following problems:

(a) ut = kuxx + h, 0 < x < 1, t > 0, h = constant,

u (x, 0) = u0 (1 − cos πx) , 0 ≤ x ≤ 1, u0 = constant,
u (0, t) = 0, u (l, t) = 2u0 , t ≥ 0.

(b) ut = kuxx − hu, 0 < x < l, t > 0, h = constant,

u (x, 0) = f (x) , 0 ≤ x ≤ l,
ux (0, t) = ux (l, t) = 0, t > 0.

15. Obtain the solution of each of the following initial boundary-value prob-
lems:

(a) ut = 4 uxx , 0 < x < 1, t > 0,

u (x, 0) = x2 (1 − x), 0 ≤ x ≤ 1,

u (0, t) = 0, u (l, t) = 0, t ≥ 0.

(b) ut = k uxx , 0 < x < π, t > 0,

u (x, 0) = sin2 x, 0 ≤ x ≤ π,

u (0, t) = 0, u (π, t) = 0, t ≥ 0.
 7.9 Exercises 269

(c) ut = uxx , 0 < x < 2, t > 0,

u (x, 0) = x, 0 ≤ x ≤ 2,

u (0, t) = 0, ux (2, t) = 1, t ≥ 0.

(d) ut = k uxx , 0 < x < l, t > 0,

u (x, 0) = sin (πx/2l), 0 ≤ x ≤ l,

u (0, t) = 0, u (l, t) = 1, t ≥ 0.

16. Find the temperature distribution in a rod of length l. The faces are
insulated, and the initial temperature distribution is given by x (l − x).
17. Find the temperature distribution in a rod of length π, one end of which
is kept at zero temperature and the other end of which loses heat at
a rate proportional to the temperature at that end x = π. The initial
temperature distribution is given by f (x) = x.
18. The voltage distribution in an electric transmission line is given by

vt = k vxx , 0 < x < l, t > 0.

A voltage equal to zero is maintained at x = l, while at the end x = 0,

the voltage varies according to the law

v (0, t) = Ct, t > 0,

where C is a constant. Find v (x, t) if the initial voltage distribution is

zero.
19. Establish the validity of the formal solution of the initial boundary-
value problem:

ut = k uxx , 0 < x < l, t > 0,

u (x, 0) = f (x) , 0 ≤ x ≤ l,
u (0, t) = 0, ux (l, t) = 0, t ≥ 0.

20. Prove the uniqueness of the solution of the problem:

ut = k uxx , 0 < x < l, t > 0,

u (x, 0) = f (x) , 0 ≤ x ≤ l,
ux (0, t) = 0, ux (l, t) = 0, t ≥ 0.
270 7 Method of Separation of Variables

21. Solve the radioactive decay problem:

ut − k uxx = Ae−ax , 0 < x < π, t > 0,
u (x, 0) = sin x, 0 ≤ x ≤ π,
u (0, t) = 0, u (π, t) = 0, t ≥ 0.
22. Determine the solution of the initial boundary-value problem:
ut − k uxx = h (x, t) , 0 < x < l, t > 0, k = constant,
u (x, 0) = f (x) , 0 ≤ x ≤ l,
u (0, t) = p (t) , u (l, t) = q (t) , t ≥ 0.
23. Determine the solution of the initial boundary-value problem:
ut − k uxx = h (x, t) , 0 < x < l, t > 0,
u (x, 0) = f (x) , 0 ≤ x ≤ l,
u (0, t) = p (t) , ux (l, t) = q (t) , t ≥ 0.
24. Solve the problem:
ut − k uxx = 0, 0 < x < 1, t > 0,
u (x, 0) = x (1 − x) , 0 ≤ x ≤ 1,
u (0, t) = t, u (1, t) = sin t, t ≥ 0.
25. Solve the problem:
ut − 4uxx = xt, 0 < x < 1, t ≥ 0,
u (x, 0) = sin πx, 0 ≤ x ≤ 1,
u (0, t) = t, u (1, t) = t2 , t ≥ 0.
26. Solve the problem:
ut − k uxx = x cos t, 0 < x < π, t > 0,
u (x, 0) = sin x, 0 ≤ x ≤ π,
u (0, t) = t2 , u (π, t) = 2t, t ≥ 0.
27. Solve the problem:
ut − uxx = 2x2 t, 0 < x < 1, t > 0,
u (x, 0) = cos (3πx/2) , 0 ≤ x ≤ 1,
3π
u (0, t) = 1, ux (1, t) = , t ≥ 0.
2
28. Solve the problem:
ut − 2 uxx = h, 0 < x < 1, t > 0, h = constant,
u (x, 0) = x, 0 ≤ x ≤ 1,
u (0, t) = sin t, ux (1, t) + u (1, t) = 2, t ≥ 0.
 7.9 Exercises 271

29. Determine the solution of the initial boundary-value problem:

utt − c2 uxx = h (x, t) , 0 < x < l, t > 0,

u (x, 0) = f (x) , 0 ≤ x ≤ l,
ut (x, 0) = g (x) , 0 ≤ x ≤ l,
u (0, t) = p (t) , ux (l, t) = q (t) , t ≥ 0.

30. Determine the solution of the initial boundary-value problem:

utt − c2 uxx = h (x, t) , 0 < x < l, t > 0,

u (x, 0) = f (x) , 0 ≤ x ≤ l,
ut (x, 0) = g (x) , 0 ≤ x ≤ l,
ux (0, t) = p (t) , ux (l, t) = q (t) , t ≥ 0.

31. Solve the problem:

utt − uxx = 0, 0 < x < 1, t > 0,

u (x, 0) = x, ut (x, 0) = 0, 0 ≤ x ≤ 1,
u (0, t) = t2 , u (1, t) = cos t, t ≥ 0.

32. Solve the problem:

utt − 4 uxx = xt, 0 < x < 1, t > 0,

u (x, 0) = x, ut (x, 0) = 0, 0 ≤ x ≤ 1,
u (0, t) = 0, ux (1, t) = 1 + t, t ≥ 0.

33. Solve the problem:

utt − 9 uxx = 0, 0 < x < 1, t > 0,

 πx 
u (x, 0) = sin , ut (x, 0) = 1 + x, 0 ≤ x ≤ 1,
2
ux (0, t) = π/2, ux (1, t) = 0, t ≥ 0.

34. Find the solution of the problem:

utt + 2k ut − c2 uxx = 0, 0 < x < l, t > 0,

u (x, 0) = 0, ut (x, 0) = 0, 0 ≤ x ≤ l,
ux (0, t) = 0, u (l, t) = h, t ≥ 0, h = constant.

35. Solve the problem:

ut − c2 uxx + hu = hu0 , −π < x < π, t > 0,

u (x, 0) = f (x) , −π ≤ x ≤ π,
u (−π, t) = u (π, t) , ux (−π, t) = ux (π, t) , t ≥ 0,

where h and u0 are constants.

272 7 Method of Separation of Variables

36. Prove the uniqueness theorem for the boundary-value problem involving
the Laplace equation:

uxx + uyy = 0, 0 < x < a, 0 < y < b,

u (x, 0) = f (x) , u (x, b) = 0, 0 ≤ x ≤ a,
ux (0, y) = 0 = ux (a, y) , 0 ≤ y ≤ b.

37. Consider the telegraph equation problem:

utt − c2 uxx + aut + bu = 0, 0 < x < l, t > 0,

u (x, 0) = f (x) , ut (x, 0) = g (x) for 0 ≤ x ≤ l,
u (0, t) = 0 = u (l, t) for t ≥ 0,

where a and b are positive constants.

(a) Show that, for any T > 0,

l
l
 
u2t + c2 u2x + bu2 t=T
dx ≤ u2t + c2 u2x + bu2 t=0
dx.
0 0

(b) Use the above integral inequality from (a) to show that the initial
boundary-value problem for the telegraph equation can have only one
solution.