Partial differential equations in action. From modelling to theory (Q2460700)

This book reflects several years of the author's teaching experience at the Politecnico of Milan and stems from the courses on partial differential equations taught to students in applied mathematics, physics and engineering. The material is divided into two parts. The first part (Chapters 2--5) covers classical topics of mathematical physics related to fundamental equations describing diffusion and heat conduction, propagation and transport, waves and vibrations, as well as scalar conservation laws and the first order equations. The second part (Chapters 6--9) develops abstract methods of Functional Analysis for the variational formulation of elliptic problems, weak formulation of evolution problems, and their consequent analysis. The introductory Chapter 1 provides a brief overview of fundamental ideas of mathematical modeling and basic concepts in partial differential equations. Chapter 2 on diffusion equations introduces the heat conduction equation and several variations of it involving transport and reaction terms and discusses well-posedness, separation of variables, and higher dimensional problems. The exposition proceeds with the study of uniqueness of solutions and construction of fundamental solutions for \(n=1\) and \(n>1.\) Important connections with stochastic processes are outlined through the discussion of one-dimensional and multidimensional random walks and Brownian motion. The chapter concludes with an application to financial mathematics presenting the Black-Scholes equation for the evolution of the share price and two nonlinear models, the porous medium equation and Fisher's equation from mathematical biology. The Laplace equation forms the subject of Chapter 3 where properties of harmonic functions, fundamental solutions, the Green function and surface potentials are studied. First order partial differential equations and scalar conservation laws are addressed in Chapter 4, where the fundamental method of characteristics is developed and important concepts like integral solution, Rankin-Hugoniot and entropy conditions are introduced. Extensions of the method of characteristics to quasilinear and nonlinear problems are also outlined. Chapter 5 on waves and vibrations starts with the classification of waves according to their type and introduces group velocity and dispersion relation. Then the one-dimensional wave equation is considered, the method of separation of variables, the d'Alembert formula, construction of generalized and fundamental solutions and Duhamel's method are explained. Other topics in this chapter include hyperbolic systems with constant coefficients, the multi-dimensional wave equation, Huygens's principle and the Kirchhoff formula. Fundamental techniques are applied to two classical models describing small vibrations of an elastic membrane and small amplitude sound waves, and the method of stationary phase is introduced for the analysis of the surface waves in deep water. Chapter 6 on the elements of functional analysis opens the second part of the book. Fundamental facts on Banach and Hilbert spaces, linear operators and duality, compactness and weak convergence, the Fredholm alternative and spectral theory for symmetric bilinear forms are collected here with the idea of subsequent abstract variational formulation of the most common boundary value problem and their solvability analysis in mind. Chapter 7 starts by introducing test functions, distributions and their properties and proceeds with the discussion of Fourier transforms in \(S^{\prime}\) and \(L^{1}\) and most frequently used Sobolev spaces. Approximations by smooth functions, extensions, traces, compactness and embeddings, and Sobolev spaces involving time are also discussed here. Chapter 8 focuses on variational formulation of boundary value problems for elliptic equations (one-dimensional diffusion and reaction problems, Poisson's problem, and general equations in divergence form), their solvability, and regularity of solutions. A monotone iteration scheme for semilinear equations is introduced and an application to a control problem is considered. Chapter 9 deals with the weak formulation of evolution problems, in particular for diffusion and wave equations. Existence, uniqueness, stability and regularity issues are discussed along with the energy estimates and development of the Faedo-Galerkin approximation method. Each chapter concludes with an exercise section where the problems range from drill exercises to more demanding problems for which solutions or hints are provided. Some problems dwell upon theoretical knowledge and require completion of proofs or some arguments in the text. The references section and the index are also useful. The reader should have working knowledge of advanced calculus and ordinary differential equation and some familiarity with the fundamentals of the probability theory and Fourier analysis for the understanding of the first, more elementary part, whereas full comprehension of quite advanced material in the second part relies essentially on good understanding of real analysis and acquaintance with measure theory and the Lebesgue integral. In this respect, three appendices, where the basic information on Fourier series, measures and measurable functions, the Lebesgue integral, probability spaces, random variables and their integrals, and vector calculus is collected, serve as a helpful immediate reference. The book is well-organized and is written in a lucid and rigorous manner. The author skillfully mixes carefully selected theoretical material with profound applications in natural sciences, finance, optimal control and engineering presenting many classical topics from the modern point of view. In particular, the text focuses on solid theoretical foundations for numerical methods like finite element method and accentuates probabilistic motivations or connections to stochastic processes. This highly recommended book is a good resource for a solid course on modern methods and applications of partial differential equations at the advanced undergraduate or introductory graduate level.