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Parabolic partial differential equation

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Title: Parabolic partial differential equation  
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Subject: Heat equation, Feynman–Kac formula, Elliptic operator, Missing science topics/ExistingMathP, Partial differential equation
Collection: Parabolic Partial Differential Equations
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Parabolic partial differential equation

A parabolic partial differential equation is a type of second-order partial differential equation (PDE) of the form

Au_{xx} + 2Bu_{xy} + Cu_{yy} + Du_x + Eu_y + F = 0\,

that satisfies the condition

B^2 - AC = 0.\

This definition is analogous to the definition of a planar parabola.

This form of partial differential equation is used to describe a wide family of problems in science including heat diffusion, ocean acoustic propagation, physical or mathematical systems with a time variable, and processes that behave essentially like heat diffusing through a solid.

A simple example of a parabolic PDE is the one-dimensional heat equation,

u_t = k u_{xx},\

where u(t,x) is the temperature at time t and at position x, and k is a constant. The symbol u_t signifies the partial derivative with respect to the time variable t, and similarly u_{xx} is the second partial derivative with respect to x.

This equation says, roughly, that temperature at a given time and point rises or falls at a rate proportional to the difference between the temperature at that point and the average temperature near that point. The quantity u_{xx} measures how far off the temperature is from satisfying the mean value property of harmonic functions.

A generalization of the heat equation is

u_t = -Lu,\

where L is a second-order elliptic operator (implying L must be positive also; a case where L is non-positive is described below). Such a system can be hidden in an equation of the form

\nabla \cdot (a(x) \nabla u(x)) + b(x)^T \nabla u(x) + cu(x) = f(x)

if the matrix-valued function a(x) has a kernel of dimension 1.


  • Solution 1
  • Backward parabolic equation 2
  • Examples 3
  • See also 4
  • Notes 5
  • References 6


Under broad assumptions, parabolic PDEs as given above have solutions for all x,y and t>0. An equation of the form u_t = -L(u) is considered parabolic if L is a (possibly nonlinear) function of u and its first and second derivatives, with some further conditions on L. With such a nonlinear parabolic differential equation, solutions exist for a short time—but may explode in a singularity in a finite amount of time. Hence, the difficulty is in determining solutions for all time, or more generally studying the singularities that arise. This is in general quite difficult, as in the solution of the Poincaré conjecture via Ricci flow.

Backward parabolic equation

One may occasionally wish to consider PDEs of the form u_t = Lu,\ where L is a positive elliptic operator. While these problems are no longer necessarily well-posed (solutions may grow unbounded in finite time, or not even exist), they occur when studying the reflection of singularities of solutions to various other PDEs.[1]

This class of equations is closely related to standard hyperbolic equations, which can be seen easily by considering the so-called 'backwards heat equation':

\begin{cases} u_{t} = \Delta u & \textrm{on} \ \ \Omega \times (0,T), \\ u=0 & \textrm{on} \ \ \partial\Omega \times (0,T), \\ u = f & \textrm{on} \ \ \Omega \times \left \{ T \right \}. \end{cases}

This is essentially the same as the backward hyperbolic equation:

\begin{cases} u_{t} = -\Delta u & \textrm{on} \ \ \Omega \times (0,T), \\ u=0 & \textrm{on} \ \ \partial\Omega \times (0,T), \\ u = f & \textrm{on} \ \ \Omega \times \left \{ 0 \right \}. \end{cases}


See also


  1. ^  


  • Evans, Lawrence C. (2010) [1998], Partial differential equations (PDF),  
  • Hazewinkel, Michiel, ed. (2001), "Parabolic partial differential equation",  
  • Hazewinkel, Michiel, ed. (2001), "Parabolic partial differential equation, numerical methods",  
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