Solving PDEs using Laplace Transforms, Chapter 15

Given a function u(x, t) dened for all t > 0 and assumed to be bounded we can apply the
Laplace transform in t considering x as a parameter.
L(u(x, t)) =
_

0
e
st
u(x, t) dt U(x, s)
In applications to PDEs we need the following:
L(u
t
(x, t) =
_

0
e
st
u
t
(x, t) dt = e
st
u(x, t)

0
+ s
_

0
e
st
u(x, t) dt = sU(x, s) u(x, 0)
so we have
L(u
t
(x, t) = sU(x, s) u(x, 0)
In exactly the same way we obtain
L(u
tt
(x, t) = s
2
U(x, s) su(x, 0) u
t
(x, 0).
We also need the corresponding transforms of the x derivatives:
L(u
x
(x, t)) =
_

0
e
st
u
x
(x, t) dt = U
x
(x, s)
L(u
xx
(x, t)) =
_

0
e
st
u
xx
(x, t) dt = U
xx
(x, s)
Consider the following examples.
Example 1.
u
x
+
u
t
= x, x > 0, t > 0,
with boundary and initial condition
u(0, t) = 0 t > 0, and u(x, 0) = 0, x > 0.
As above we use the notation U(x, s) = L(u(x, t))(s) for the Laplace transform of u.
Then applying the Laplace transform to this equation we have
dU
dx
(x, s) + sU(x, s) u(x, 0) =
x
s

dU
dx
(x, s) + sU(x, s) =
x
s
.
This is a constant coecient rst order ODE. We solve it by nding the integrating factor
= e
R
sdx
= e
sx
Thus we have
d
dx
[e
sx
U(x, s)] = e
sx
x
s
.
We integrate both sides to get
U(x, s) =
e
sx
s
__
e
sr
r dr
_
+ Ce
sx
.
1
We can use integration by parts to evaluate the integral:
_
e
sx
x dx =
_ _
e
sx
s
_

x dx
=
xe
sx
s

_ _
e
sx
s
_
dx
xe
sx
s

e
sx
s
2
.
So we have
U(x, s) =
e
sx
s
_
xe
sx
s

e
sx
s
2
_
+ Ce
sx
=
x
s
2

1
s
3
+ Ce
sx
.
We can evaluate the constant C using the boundary condition
0 = U(0, s) =
1
s
3
+ C C =
1
s
3
so we have
U(x, s) =
x
s
2

1
s
3
+
e
sx
s
3
.
Taking the inverse Laplace transform we have
u(x, t) = xt
t
2
2
+ H(t x)
(t x)
2
2
where H is the unit step function (or Heaviside function)
H(x) =
_
0, x < 0
1, x 0
.
Example 2.
u
x
+
u
t
+ u = 0, x > 0, t > 0,
with boundary and initial condition
u(0, t) = 0 t > 0, and u(x, 0) = sin(x), x > 0.
As above we use the notation U(x, s) = L(u(x, t))(s) for the Laplace transform of u.
Then applying the Laplace transform to this equation we have
dU
dx
(x, s) + sU(x, s) u(x, 0) + U(x, s) = 0
dU
dx
(x, s) + (s + 1)U(x, s) = sin(x).
This is a constant coecient rst order linear ODE. We solve it by nding the integrating factor
= e
R
(s+1)dx
= e
(s+1)x
Thus we have
d
dx
_
e
(s+1)x
U(x, s)

= e
(s+1)x
sin(x).
We integrate both sides to get
U(x, s) = e
(s+1)x
__
e
(s+1)r
sin(r) dr
_
+ Ce
(s+1)x
.
2
We can use integration by parts to evaluate the integral:
e
(s+1)x
__
x
0
e
(s+1)r
sin(r) dr
_
=
(s + 1) sin(x) cos(x)
s
2
+ 2s + 2
.
So we have
U(x, s) =
(s + 1) sin(x) cos(x)
s
2
+ 2s + 2
+ Ce
(s+1)x
.
We can evaluate the constant C using the boundary condition
0 = U(0, s) =
1
s
2
+ 2s + 2
+ C C =
1
s
2
+ 2s + 2
.
So we have
U(x, s) =
(s + 1) sin(x) cos(x) + e
(s+1)x)
s
2
+ 2s + 2
.
Taking the inverse Laplace transform we have
u(x, t) = e
t
cos(t) sin(x) e
t
sin(t) cos(t) + e
t
H(t x) sin(t x)
This can be written as
u(x, t) = e
t
[sin(x t) + H(t x) sin(t x)] .
Example 3.
u
t
(x, t) =

2
u
x
2
(x, t), 0 < x < 2, t > 0,
u(0, t) = 0, u(2, t) = 0
u(x, 0) = 3 sin(2x).
Take the Laplace transform and apply the initial condition
d
2
U
dx
2
(x, s) = sU(x, s) u(x, 0) = sU(x, s) 3 sin(2x).
We write this equation as a non-homogeneous, second order linear constant coecient equation for
which we can apply the methods from Math 3354.
d
2
U
dx
2
(x, s) sU(x, s) = 3 sin(2x).
The general solution can be written as
U(x, s) = U
h
(x, s) + U
p
(x, s)
where U
h
(x, s) is the general solution of the homogeneous problem
U
h
(x, s) = c
1
e

sx
+ c
2
e

sx
and U
p
(x, s) is any particular solution of the non-homogeneous problem
U
p
(x, s) = Acos(2x) + B sin(2x).
3
We rst use the method of undetermined coecients to nd A and B. To this end we have
d
dx
U
p
(x, s) = 2Asin(2x) + 2B cos(2x),
d
2
dx
2
U
p
(x, s) = (2)
2
Acos(2x) + (2)
2
B sin(2x).
Therefore
d
2
dx
2
U
p
(x, s) sU
p
(x, s)
= ((2)
2
s)[Acos(2x) + B sin(2x)]
= 3 sin(2x).
From this we conclude that
(s + (2)
2
)A = 0, and (s + (2)
2
)B = 3,
so that
A = 0, B =
3
s + 4
2
.
Now we have the general solution
U(x, s) = c
1
e

sx
+ c
2
e

sx
+
3
(s + 4
2
)
sin(2x)
We note the the Laplace transforms of the boundary conditions give
u(0, t) = 0 U(0, s) = 0, and u(2, t) = 0 U(2, s) = 0
So we have
0 = U(0, s) = c
1
+ c
2
, 0 = U(2, s) = c
1
e

s2
+ c
2
e

s2
which gives c
1
= c
2
= 0 and we have
U(x, s) =
3
(s + 4
2
)
sin(2x).
To nd our solution we apply the inverse Laplace transform
u(x, t) = L
1
_
3
(s + 4
2
)
sin(2x)
_
= 3e
4
2
t
sin(2x).
Just as we would have obtained using eigenfunction expansion methods.
Example 4. Next we consider a similar problem for the 1D wave equation.

2
u
t
2
(x, t) = c
2

2
u
x
2
(x, t) + sin(x), 0 < x < 1, t > 0,
u(x, 0) = 0, u
t
(x, 0) = 0
u(0, t) = 0 u(1, t) = 0.
Taking the Laplace transform and applying the initial conditions we obtain
d
2
U
dx
2
(x, s) = s
2
U(x, s) su(x, 0) u
t
(x, 0)
sin(x)
s
= s
2
U(x, s)
sin(x)
s
.
4
We need to solve the constant coecient non-homogeneous ODE
d
2
U
dx
2
(x, s) s
2
U(x, s) =
sin(x)
s
Once again we know that
U(x, s) = U
h
(x, s) + U
p
(x, s)
where U
h
(x, s) is the general solution of the homogeneous problem
U
h
(x, s) = c
1
e
sx
+ c
2
e
sx
and U
p
(x, s) is any particular solution of the non-homogeneous problem
U
p
(x, s) = Acos(x) + B sin(x).
We apply the method of undetermined coecients to nd A and B. To this end we have
d
dx
U
p
(x, s) = Asin(x) + B cos(x),
d
2
dx
2
U
p
(x, s) =
2
Acos(x) +
2
B sin(x).
Therefore
d
2
dx
2
U
p
(x, s) s
2
U
p
(x, s)
= (
2
s
2
)[Acos(x) + B sin(x)]
=
sin(x)
s
.
From this we conclude that
(s
2
+
2
)A = 0, and (s
2
+
2
)B =
1
s
,
so that
A = 0, B =
1
s(s
2
+
2
)
.
So we have
U
p
(x, s) =
sin(x)
s(s
2
+
2
)
and
U(x, s) = c
1
e
sx
+ c
2
e
sx
+
sin(x)
s(s
2
+
2
)
.
Next we apply the BCs to nd c
1
and c
2
.
0 = U(0, s) = c
1
+ c
2
, and 0 = U(1, s) = c
1
e
s
+ c
2
e
s
which implies c
1
= 0 and c
2
= 0. So we arrive at
U(x, s) =
sin(x)
s(s
2
+
2
)
.
5
Finally we apply the inverse Laplace transform to obtain
u(x, t) = L
1
(U(x, s)) = L
1
_
1
s(s
2
+
2
)
_
sin(x)
=
1

2
L
1
_
1
s

s
(s
2
+
2
)
_
sin(x)
=
1

2
(1 cos(t)) sin(x).
Here we have done partial fractions
1
s(s
2
+
2
)
=
a
s
+
bs + c
(s
2
+
2
)
=
1

2
_
1
s

s
(s
2
+
2
)
_
.
Example 5. This example shows the real use of Laplace transforms in solving a problem we could
not have solved with our earlier work.
u
t
(x, t) =

2
u
x
2
(x, t), < x < , t > 0,
u(x, 0) = f(x)
u(x, t) bounded.
Under the assumption that u(x, t) is bounded we know that the Laplace transform exists and,
indeed, we have
|u(x, t)| M |U(x, s)|
_

0
e
st
|u(x, t)| dt M
_

0
e
st
dt =
M
s
.
Applying the Laplace transform we obtain
d
2
U
dx
2
(x, s) = sU(x, s) u(x, 0) = sU(x, s) f(x).
We write this equation as a non-homogeneous, second order linear constant coecient equation.
d
2
U
dx
2
(x, s) sU(x, s) = f(x).
The general solution can be written as
U(x, s) = U
h
(x, s) + U
p
(x, s)
where U
h
(x, s) is the general solution of the homogeneous problem
U
h
(x, s) = c
1
e

sx
+ c
2
e

sx
and U
p
(x, s) is any particular solution of the non-homogeneous problem. We nd it using the
method of variation of parameters from Math 3354. For this method we use U
1
= e

sx
, U
2
= e

sx
.
W(U
1
, U
2
) =

U
1
(x, s) U
2
(x, s)
U

1
(x, s) U

2
(x, s)

= 2

s
6
U
p
(x, s) =
_
x
0
[U
1
(x, s)U
2
(, s) + U
2
(x, s)U
1
(, s])(f())
W(, s)
d
=
1
2

s
_
x
0
_
e

sx
e

s
+ e

sx
e

s
_
f() d
=
e

sx
2

s
_
x
0
e

s
f() d +
e

sx
2

s
_
x
0
e

s
f() d
So the general solution can be written as
U(x, s) =
_
c
1

1
2

s
_
x
0
e

s
f() d
_
e

sx
+
_
c
2
+
1
2

s
_
x
0
e

s
f() d
_
e

sx
.
Recall our assumption that u(x, t) be bounded for all < x < implies that U(x, s) is also
bounded for all < x < for any xed s > 0.
Now in order that the rst term in the general solution stays bounded as x we need
lim
x
_
c
1

1
2

s
_
x
0
e

s
f() d
_
= 0
which implies
c
1
=
1
2

s
_

0
e

s
f() d.
In exactly the same way we must have
lim
x
_
c
2
+
1
2

s
_
x
0
e

s
f() d
_
= 0
which implies
c
2
=
1
2

s
_

0
e

s
f() d =
1
2

s
_
0

s
f() d.
Thus
U(x, s) =
_
1
2

s
_

0
e

s
f() d
1
2

s
_
x
0
e

s
f() d
_
e

sx
+
_
1
2

s
_
0

s
f() d +
1
2

s
_
x
0
e

s
f() d
_
e

sx
=
_
e

sx
2

s
_

x
e

s
f() d
_
+
_
e

sx
2

s
_
x

s
f() d
_
=
1
2

s
_

s|x|
f() d
We want to nd the inverse Laplace transform
L
1
_
e

s|x|
2

s
_
.
7
From our table we have
L
1
_
e
a

s
_
=
e
a
2
/(4t)

t
and if we set a = |x | then we have
L
1
_
e

s|x|
2

s
_
=
e
|x|
2
/(4t)

4t
K(|x |, t).
So we have
u(x, t) = L
1
(U(x, s)) = L
1
_
1
2

s
_

s|x|
f() d
_
=
_

L
1
_
e

s|x|
2

s
_
f() d
=
1

4t
_

e
|x|
2
/(4t)
f() d
=
_

K(|x |, t) f() d
The function
K(x, t) =
e
x
2
/(4t)

4t
is called the Fundamental Heat Kernel.
8
Table of Laplace Transforms
f(t) for t 0

f = L(f) =
_

0
e
st
f(t) dt
1
1
s
e
at
1
s a
t
n
n!
s
n+1
(n = 0, 1, . . .)
t
a
(a + 1)
s
a+1
(a > 0)
sin bt
b
s
2
+ b
2
cos bt
s
s
2
+ b
2
sinh bt
a
s
2
b
2
cosh bt
s
s
2
b
2
f

(t) sL(f) f(0)

(t) s
2
L(f) sf(0) f

(0)
t
n
f(t) (1)
n
d
n
F
ds
n
(s)
e
at
f(t) L(f)(s a)
u(t a) =
_

_
0 t a
1 t > a
e
as
s
u(t a)f(t a) e
as
L(f)(s)
u(t a)g(t) e
as
L(g(t + a))(s)
(t a) e
as
(f g)(t) =
_
t
0
f(t )g() d L(f g) = L(f)L(g)
9
The error function denoted by erf(x) is given by
erf(x) =
2

_
x
0
e
x
2
dx.
Notice that we can use the properties of integrals to deduce that
erf(x) = erf(x).
The complementary error function erfc(x) dened by
erfc (x) =
2

_

x
e
s
2
ds.
Notice that
erf(x) + erfc(x) =
2

__
x
0
e
x
2
dx +
_

x
e
s
2
ds
_
= 1.
Additional Laplace Transforms
e
a
2
/(4t)

t
e
a

s
ae
a
2
/(4t)
2

t
3
e
a

s
erf (t)
e
s
2
/4
erfc(s/2)
s
erfc
_
a
2

t
_
e
a

s
s
2
_
t

e
a
2
/(4t)
a
_
erfc
_
a
2

t
__
e
a

s
s

s
e
b
2
t+ab
_
erfc
_
b

t +
a
2

t
__
e
a

s(

s + b)
e
b
2
t+ab
_
erfc
_
b

t +
a
2

t
__
+ erfc
_
a
2

t
_
be
a

s
s(

s + b)
10