MATH 18.

152 COURSE NOTES - CLASS MEETING # 5

18.152 Introduction to PDEs, Fall 2011 Professor: Jared Speck

Class Meeting # 5: The Fundamental Solution for the Heat Equation

1. The Fundamental solution
As we will see, in the case = Rn , we will be able to represent general solutions the inhomoge-
neous heat equation

n
def
X
(1.0.1) ut Du = f, = i2
i=1
in terms of f, the initial data, and a single solution that has very special properties. This special
solution is called the fundamental solution.
Remark 1.0.1. Note that when = Rn , there are no finite boundary conditions to worry about.
However, we do have to worry about boundary conditions at . Roughly speaking, this means
that we have to assume something about the growth rate of the solution as |x| .
Definition 1.0.1. The fundamental solution D (t, x) to (1.0.1) is defined to be

def 1 |x|2
4Dt
(1.0.2) D (t, x) = e , t > 0, x Rn ,
(4Dt)n/2
def def Pn
where x = (x1 , , xn ), |x|2 = i=1 (x
i 2
).
Lets check that D (t, x) solves (1.0.1) when f = 0 in the next lemma.
Lemma 1.0.1. D (t, x) is a solution to the heat equation (1.0.1) when f = 0 for x Rn , t > 0.
2
2Dn 1 |x|2
|x|
Proof. We compute that t D (t, x) = (4Dt) n/2+1 + (4Dt)n/2 4Dt2 e
4Dt . Also, we compute (t, x) =
i D
i |x|2 i
2(x ) 2 | x|2
2x 4Dt 2 1 4Dt


(4Dt) n/2+1 e and i2 D (t, x) = (4Dt) n/2+1 + 4Dt (4Dt)n/2+1 e ,
2 |x|2
2Dn 1 2 D|x| 4Dt


DD (t, x) = (4Dt) n/2+1 + 4Dt (4Dt)n/2+1 e . Lemma 1.0.1 now easily follows. 
Here are a few very important properties of D (t, x).
Lemma 1.0.2. D (t, x) has the following properties:
6 0, then limt0+ D (t, x) = 0
(1) If x =
(2) Rlimt0+ D (t, 0) =
(3) Rn D (t, x) dn x = 1 for all t > 0
Proof. This is a good exercise for you to do on your own. 
As we will see, (1) - (3) suggest that at t = 0, D (0, x) behaves like the delta distribution
centered at 0. Well make sense of this in the next lemma.
1
2 MATH 18.152 COURSE NOTES - CLASS MEETING # 5

Remark 1.0.2. The delta distribution is sometimes called the delta function, but it is not a
function in the usual sense!
So what is the delta distribution?
Definition 1.0.2. The delta distribution is an example of a mathematical object called a distri-
bution. It acts on suitable functions (x) as follows:

def
(1.0.3) h, i = (0).
Remark 1.0.3. The notation h, i is meant to remind you of the L2 inner product
Z
(1.0.4) hf, gi = f (x)g(x) dn x.
Rn

The next lemma shows that D (t, x) behaves like the delta distribution as t 0+ .
Lemma 1.0.3. Suppose that (x) is a continuous function on Rn and that there exist constants
a, b 0 such that

2
(1.0.5) |(x)| aeb|x| .
Then
Z
(1.0.6) lim+ D (t, x)(x) dn x = (0).
t0 Rn

Proof. Using Property (3) of Lemma 1.0.2, we start with the simple inequality
Z Z Z
n n
(1.0.7) (0) = D (t, x)(0) d x = D (t, x)(x) d x + D (t, x)((0) (x)) dn x.
Rn Rn Rn
Let  > 0 be any small positive number, and choose a ball B of radius R centered at 0 such that
|(0) (x)|  for x B (this is possible since is continuous). Then the last term from above
can be estimated as follows, where B c denotes the complement of B in Rn :
Z  Z Z
  n n

 D (t, x)((0) (x)) d x D (t, x)|(0) (x)| d x + D (t, x)|(0) (x)| dn x
n c
R
ZB Z B
Z
n n
(1.0.8) D (t, x) d x + |(0)| D (t, x) d x + D (t, x)|(x)| dn x
B B c B c
Z Z
 + |(0)| D (t, x) dn x + D (t, x)|(x)| dn x.
Bc Bc
We have thus shown that
 Z  Z Z
n n
(1.0.9) (0) D (t, x)(x) d x  + |(0)| D (t, x) d x + D (t, x)|(x)| dn x.
 
Rn Bc Bc
To estimate the final term on the right-hand side of (1.0.8), we take advantage of the spherical
def pPn i 2
symmetry of (t, x) in x. More precisely, we introduce the radial variable r = |x| = i=1 (x )
 MATH 18.152 COURSE NOTES - CLASS MEETING # 5 3

and recall from vector calculus that for spherically symmetric functions, dn x = Cn rn1 dr where
2
Cn > 0 is a constant. Therefore, using the assumed bound |(x)| aebr , we have that

(1.0.10)
Z Z  1 n/2 Z
1
0 n/2 n1 ( 4Dt b)r2 2
n
D (t, x)|(x)| d x Cn t r e dr Cn00 bt n1 e d,
Bc r=R 4D 1
=R 4Dt b

where Cn0 > 0 and Cn00 > 0 are constants. To deduce the second inequality in (1.0.10), q we have
1 1/2 1/2 1 1/2 1
made the change of variables r = ( 4Dt b) = t ( 4D bt) . Now since R 4Dt b
R
as t 0+ , it easily follows from the last expression in (1.0.10) that B c D (t, x) dn x goes to 0 as
t 0+ .
The second term on the right-hand side of (1.0.8) can similarly be shown to go to 0 as t 0+ .
Combining the above arguments, we have thus shown that for any  > 0,
 Z 
(1.0.11) lim sup (0) D (t, x)(x) dn x .
 
t0+ Rn
We therefore conclude that
 Z 
n
(1.0.12) lim+ (0) D (t, x)(x) d x = 0
 
t0 Rn
as desired.

Remark 1.0.4. Lemma 1.0.3 can be restated as

(1.0.13) lim hD (t, ), ()i = h(), ()i = (0).

t0+

On the left, h, i means the integral inner product, whereas in the middle it has the meaning of
(1.0.3). We sometimes restate (1.0.13) as

(1.0.14) lim D (t, x) = (x).

t0+

Lets summarize the above results.

Proposition 1.0.4 (Properties of D (t, x)). D (t, x) is a solution to the heat equation (1.0.1)
(with f = 0) verifying the initial conditions

(1.0.15) lim D (t, x) = (x).

t0+

1.1. Solving the global Cauchy problem when n = 1. Lets see how we can use D to solve
the following initial value (aka Cauchy) problem:

(1.1.1) ut Duxx = 0, (t, x) (0, ) R,

u(0, x) = g(x).
We will make use of an important mathematical operation called convolution.
4 MATH 18.152 COURSE NOTES - CLASS MEETING # 5

Definition 1.1.1. If f and g are two functions on Rn , then we define their convolution f g to be
the following function on Rn :
Z
def
(1.1.2) (f g)(x) = f (y)g(x y) dn y.
Rn

Convolution is an averaging process, in which the function f (x) is replaced by the average value
of f (x) relative to the profile function g(x).
The convolution operator plays a very important role in many areas of mathematics. Here are
two key properties. First, by making the change of variables z = x y, dn z = dn y in (1.1.2), we see
that
Z Z
n
(1.1.3) (f g)(x) = f (y)g(x y) d y = f (x z)g(z) dn z = (g f )(x),
Rn Rn
which implies that convolution is a commutative operation. Next, Fubinis theorem can be used to
show that

(1.1.4) f (g h) = (f g) h,
so that is also associative.
Remark 1.1.1. According to (1.0.3) and (1.1.3),

(1.1.5) (f )(x) = h(y), f (x y)iy = f (x),

so that in the context of convolutions, the distribution plays the role of an identity element.
The next proposition is a standard fact from analysis. It allows us to differentiate under integrals
under certain assumptions. We will use it in the proof of the next theorem.
Proposition 1.1.1 (Differentiating under the integral). Let I(a, b) be a function on R R.
Assume that
Z
(1.1.6) |I(a, b)| da <
R
for all b belonging to a neighborhood of b0 and define
Z
def
(1.1.7) J(b) = I(a, b) da.
R

Assume that there exists a neighborhood N of b0 such that for almost every1 a, b I(a, b) exists for
b N . In addition, assume that there exists as function U (a) (defined for almost all a) such that
for b N , we have that |b I(a, b)| U (a) and such that
1Ina measure theory course, you would learn a precise technical definition of almost every. For the purposes of
this course, it suffices to know the following fact: if a statement holds for all a except for those values of a belonging
to a countable set, then the statement holds for almost every a. The main point is that the function I(a, b) does not
have to be well-behaved at every single value of a; it can have some bad a spots, just not too many of them.
 MATH 18.152 COURSE NOTES - CLASS MEETING # 5 5

Z
(1.1.8) U (a) da < .
R

Then near J(b) is differentiable near b0 , and

Z
(1.1.9) b J(b) = b I(a, b) da.
R

Remark 1.1.2. An analogous proposition is true for functions I(a, b) defined on Rm Rn .

Theorem 1.1 (Solving the global Cauchy problem via the fundamental solution). Assume
2
that g(x) is a continuous function on Rn that verifies the bounds |g(x)| aeb|x| , where a, b > 0 are
constants. Then there exists a solution u(t, x) to the homogeneous heat equation

(1.1.10) ut Du = 0, (t > 0, x Rn ),
u(0, x) = g(x), x Rn
existing for (t, x) [0, T ) Rn , where

def 1
(1.1.11) T = .
4Db
Furthermore, u(t, x) can be represented as
Z
(1.1.12) u(t, x) = [g() D (t, )](x) = g(y)D (t, x y) dn y
Rn
Z
1 |xy|2
4Dt
= g(y)e dn y.
(4Dt)n/2 Rn
The solution u(t, x) is of regularity C (0, 4Db
1


)Rn (i.e., it is infinitely differentiable). Finally,
for each compact subinterval [0, T 0 ] [0, T ), there exist constants A, B > 0 (depending on the
compact subinterval) such that

2
(1.1.13) |u(t, x)| AeB|x|
for all (t, x) [0, T 0 ] Rn . The solution u(t, x) is the unique solution in the class of functions
verifying a bound of the form (1.1.13).
Remark 1.1.3. Note the very important smoothing property of diffusion: the solution to the
heat equation on all of Rn is smooth even if the data are merely continuous.
Remark 1.1.4. The formula (1.1.12) shows that solutions to (1.1.10) propagate with infinite
speed: even if the initial data g(x) have support that is contained within some compact region,
(1.1.12) shows that at any time t > 0, the solution u(t, x) has spread out over the entire space
Rn . In contrast, as we will see later in the course, some important PDEs have finite speeds of
propagation (for example, the wave equation).
6 MATH 18.152 COURSE NOTES - CLASS MEETING # 5

Proof. For simplicity, we only give the proof in the case n = 1. The basic strategy of the proof is to
analyze the behavior of D (t, y) in detail.
Let u(t, x) be the function defined by (1.1.12). The argument that follows will show that the right-
hand side of (1.1.12) is finite (and more). In fact, let us first demonstrate the bound (1.1.13). To this
end, let  > 0 be any positive number. Then using the simple algebraic estimate |2xy| 1 x2 +y 2 ,
we deduce the inequality

(1.1.14) |x y|2 = x2 2xy + y 2 (1 + 1 )x2 + (1 + )y 2 .

Using (1.1.14) and the assumed bound on |g()|, we deduce that

2 1 2 2
(1.1.15) |g(x y)| aeb|xy| ae(1+ )b|x| e(1+)b|y|
R R
Using (1.1.15) and the fact that Rn g(y)D (t, x y) dy = Rn g (x y)D (t, y) dy (i.e., that convo-
lution is commutative), we have the following estimates:

Z Z
(1+1 )b|x|2 2
(1.1.16) |u(t, x)| |g(x y)|D (t, y) dy ae e(1+)b|y| D (t, y) dy
R R
Z
1
 
1 2 1 2
ae(1+ )b|x| t1/2 e 4Dt (1+)b y dy
R 4D Z
(1+1 )b|x|2 1  1 1/2 2
= ae (1 + )bt ez dz
4D 4D
| R {z }
<
(1+1 )b|x|2
Ae ,
where A > 0 is an dependent constant, and in the next-to-last step, we have made the change of
1/2 1/2
y = t1/2 4D
 1  1
variables z = 4Dt (1 + )b (1 + )bt y. Note that this change of variables
1
is valid as long as 0 < t < 4D(1+)b . Since  is allowed to be arbitrarily small, we have thus
demonstrated an estimate of the form (1.1.13).
Lets now check that the function u(t, x) defined by (1.1.12) is a solution to the heat equation
def
and also that it takes on the initial conditions g(x). To this end, let L = t Dx2 . We want to show
that Lu(t, x) = 0 for t > 0, x Rn and that u(t, x) g(x) as t 0. Recall that by Proposition
1.0.4, LD (t, x) = 0 for t > 0, x R. For t > 0, x R, we have that

Z 0
z }| {
(1.1.17) Lu(t, x) = g(y) LD (t, x y ) dy = 0.
R

To derive (1.1.17), we have used Proposition 1.1.1 to differentiate under the integral; because of
rapid exponential decay of D (, ) in its second argument as the argument goes to , one can use
arguments similar to those given in the beginning of this proof to check that the hypotheses of the
proposition are verified.
Similarly, the fact that u C (0, 4Db 1


) R can be derived by repeatedly differentiating with
respect to t and x under the integral in (1.1.12).
 MATH 18.152 COURSE NOTES - CLASS MEETING # 5 7

Furthermore by (1.0.15) and (1.1.5), we have that

(1.1.18) lim u(t, x) = lim+ (g() D (t, ))(x) = (g )(x) = g(x).
t0+ t0

The question of uniqueness in the class of solutions verifying a bound of the form (1.1.13) is
challenging and will not be addressed here. Instead, with the help of the weak maximum principle,
you will prove a weakened version of the uniqueness result in your homework.

In the next theorem, we extend the results of Theorem 1.1 to allow for an inhomogeneous term
f (t, x).
1 def
Theorem 1.2 (Duhamels principle). Let g(x) and T = 4Db be as in Theorem 1.1. Also assume
that f (t, x), i f (t, x), and i j f (t, x) are continuous, bounded functions on [0, T )Rn for 1 i, j
n. Then there exists a unique solution u(t, x) to the inhomogeneous heat equation

(1.1.19) ut Du = f (t, x), (t, x) (0, ) R,

u(0, x) = g(x), xR
existing for (t, x) [0, T ) R. Furthermore, u(t, x) can be represented as
Z t
(1.1.20) u(t, x) = (D (t, ) g)(x) + (D (t s, ) f (s, ))(x) ds.
0

The solution has the following regularity properties: u C 0 ([0, T ) R) C 1,2 ((0, T ) R).
Proof. A slightly less technical version of this theorem is one of your homework exercises. 

2. Deriving D (t, x)
Lets backtrack a bit and discuss how one could derive the fundamental solution to the heat
equation

(2.0.21) t u(t, x) Dx u(t, x) = 0, (t, x) [0, ) Rn .

As we will see, the fundamental solution is connected to some important invariance properties
associated to solutions of (2.0.21). These properties are addressed in the next lemma.
Lemma 2.0.2 (Invariance of solutions to the heat equation under translations and par-
abolic dilations). Suppose that u(t, x) is a solution to the heat equation (2.0.21). Let A, t0 R be
constants, and x0 Rn . Then the amplified and translated function

def
(2.0.22) u (t, x) = Au(t t0 , x x0 )
is also a solution to (2.0.21).
Similarly, if > 0 is a constant, then the amplified, parabolically scaled function

def
(2.0.23) u (t, x) = Au(2 t, x)
is also a solution.
8 MATH 18.152 COURSE NOTES - CLASS MEETING # 5

Proof. We address only the case (2.0.23), and leave (2.0.22) as a simple exercise. Using the chain
rule, we calculate that if u is a solution to (2.0.21), then

t u (t, x) u (t, x) = 2 A (t u)(2 t, x) (Du)(2 t, x) = 0.


(2.0.24)
Thus, u is also a solution. 
We would now like to choose the constant A in (2.0.23) so that the total thermal energy of u
is equal to the total thermal energy of of u.
Definition 2.0.2. We define the total thermal energy T (t) at time t associated to u(t, x) by
Z
def
(2.0.25) T (t) = u(t, x) dn x.
Rn

It is important to note that for rapidly-spatially decaying solutions to the heat equation, T (t) is
constant.
Lemma 2.0.3. Let u(t, x) C 1,2 ([0, ) Rn ) be a solution to the heat equation t u(t, x) +
u(t, x) = 0. Assume that at each fixed t, lim|x| |x|n1 |x u(t, x)| = 0, uniformly in x. Further-
more, assume
R that there exists a function f (x) 0, not depending on t, such that |t u| f (x) and
n
such that Rn f (x) d x < . Then the total thermal energy of u(t, x) is constant in time:

(2.0.26) T (t) = T (0).

def R
Proof. Let T (t) = Rn u(t, x) dn x denote the total thermal energy at time t. The hypotheses on
ensure that we can differentiate under the integral and use the heat equation:
Z Z Z
d n n
(2.0.27) T (t) = t u(t, x) d x = u(t, x) d x = lim u(t, x) dn x,
dt Rn Rn R BR (0)

where BR (0) Rn denotes the ball of radius R centered at the origin. Then with the help of
the divergence theorem, and recalling that d = Rn1 d along BR (0), where denotes angular
coordinates along the unit sphere B1 (0), we conclude that
Z Z
n
(2.0.28) lim u(t, x) d x = lim N u(t, ) d
R BR (0) R BR (0)
Z
= lim Rn1 N u(t, R) d
R B1 (0)
Z Z
n1
= lim R N u(t, R) d = 0 d = 0.
B1 (0) R B1 (0)

In the last steps, we have used the following basic fact from analysis: the condition lim|x| |x|n1 |x u(t, x)| =
0 uniformly in allows us to interchange the order of the limit and the integral. 
We now return to the issue of choosing constant A in (2.0.23) so that the total thermal energy of
u is equal to the total thermal energy of of u. Using the change of variables z = x, and recalling
from multi-variable calculus that dn z = n dn x, we compute that
 MATH 18.152 COURSE NOTES - CLASS MEETING # 5 9

Z Z Z
n 2 2 n n
(2.0.29) u (t, x) d x = A u(D t, x) d x = A u(2 t, z) dn z.
Rn Rn Rn
R
Observe that that Rn
u( t, z) d z is in fact the mass of u. Thus, we choose A = n , which results
2 n

in

(2.0.30) u (t, x) = n u(D2 2 t, x).

Motivated by the parabolic scaling result (2.0.23), we now introduce the dimensionless variable

def x
(2.0.31) = ,
Dt
where we have used the fact that the constant D has the dimensions of [length2 ]/[time]. Note that
is invariant under the parabolic scaling t 2 t, x x.
We now proceed to derive the fundamental solution. For simplicity, we only consider the case of
1 + 1 spacetime dimensions. We will look for a fundamental solution of the form

1
(2.0.32) D (t, x) = V (),
Dt
where V () is a function that we hope to determine. Admittedly, it is not easy to completely
motivateR the fact that D (t, x) should look like (2.0.32). We first note that since we would like to
achieve R D (t, x) = 1, the change of variables (2.0.31) leads to the following identity:
Z Z Z
1  x 
(2.0.33) 1= D (t, x) V dx = V () d.
R R Dt Dt R
Next, since D (t, x) is assumed to solve the heat equation, we calculate that

1 n 1 1 o
(2.0.34) 0 = t = D1/2 t3/2 V 00 () + V 0 () + V () .
2 2 2
Therefore, V must be a solution to the following ODE:

1 1
(2.0.35) V 00 () + V 0 () + V () = 0.
2 2
Since we want D (t, x) to behave like the distribution (at least for small t > 0), we demand that

(2.0.36) V () 0.
Furthermore, since we want D (t, x) to rapidly decay as |x| , we demand that

(2.0.37) V () = 0.
We also expect that ideally, V () should be an even function. Furthermore, it is easy to see that if
def
V () is a solution to (2.0.35), then so is W () = V (). Thus, it is reasonable to look for an even
solution. Now for any differentiable even function V (), it necessarily follows that V 0 (0) = 0. Thus,
we demand that
10 MATH 18.152 COURSE NOTES - CLASS MEETING # 5

(2.0.38) V 0 (0) = 0.
We now note that (2.0.35) can be written in the form

d 1
(2.0.39) (V 0 () + V ()) = 0,
d 2
which implies that V 0 () + 12 V () is constant. By setting = 0 in and using (2.0.38), we see that
this constant is 0 :

1
(2.0.40) V 0 () + V () = 0.
2
Now the first-order ODE (2.0.40) can be written in the form

d 1
(2.0.41) ln V () = ,
d 2
which can be easily integrated as follows:
 
V () 1
(2.0.42) ln = 2,
V (0) 4
1 2
(2.0.43) = V () = V (0)e 4 .
To find V (0), we use the relation (2.0.33), and the integral identity2

Z Z
14 2 2
(2.0.44) 1= V (0)e d = 2V (0) e d = 2V (0) .
R =2 R
Therefore, V (0) = 1 , and
4

1 1 2
(2.0.45) V () = e 4 .
4
Finally, from (2.0.32) and (2.0.45), we deduce that

1 x2
(2.0.46) D (t, x) = e 4t
4t
as desired.

2Let def 2 2 2
ex dx. Then I 2 = R R e(x +y ) dx dy, and by switching to polar coordinates, we have that
R R R
I =
R R
r 2

I 2 = 2 r=0
re dr = . Thus, I = .
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18.152 Introduction to Partial Differential Equations.

Fall 2011

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