Partial differential equations. Nonlinear equations

Applied Mathematical Sciences Volume 117 Editors S.S. Antman Department of Mathematics and Institute for Physical Science and Technology University of Maryland College Park, MD 20742-4015 USA [email protected]

J.E. Marsden Control and Dynamical Systems, 107-81 California Institute of Technology Pasadena, CA 91125 USA [email protected]

L. Sirovich Laboratory of Applied Mathematics Department of Biomathematical Sciences Mount Sinai School of Medicine New York, NY 10029-6574 [email protected] Advisors L. Greengard P. Holmes J. Keener J. Keller R. Laubenbacher B.J. Matkowsky A. Mielke C.S. Peskin K.R. Sreenivasan A. Stevens A. Stuart

For further volumes: http://www.springer.com/series/34

Michael E. Taylor

Partial Differential Equations III Nonlinear Equations Second Edition

123

Michael E. Taylor Department of Mathematics University of North Carolina Chapel Hill, NC 27599 USA [email protected]

ISSN 0066-5452 ISBN 978-1-4419-7048-0 e-ISBN 978-1-4419-7049-7 DOI 10.1007/978-1-4419-7049-7 Springer New York Dordrecht Heidelberg London Library of Congress Control Number: 2010937758 Mathematics Subject Classification (2010): 35A01, 35A02, 35J05, 35J25, 35K05, 35L05, 35Q30, 35Q35, 35S05 c Springer Science+Business Media, LLC 1996, 2011  All rights reserved. This work may not be translated or copied in whole or in part without the written permission of the publisher (Springer Science+Business Media, LLC, 233 Spring Street, New York, NY 10013, USA), except for brief excerpts in connection with reviews or scholarly analysis. Use in connection with any form of information storage and retrieval, electronic adaptation, computer software, or by similar or dissimilar methodology now known or hereafter developed is forbidden. The use in this publication of trade names, trademarks, service marks, and similar terms, even if they are not identified as such, is not to be taken as an expression of opinion as to whether or not they are subject to proprietary rights. Printed on acid-free paper Springer is part of Springer Science+Business Media (www.springer.com)

To my wife and daughter, Jane Hawkins and Diane Taylor

Contents

Contents of Volumes I and II . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. . . . . . . . . . . . . .

xi

Preface .. . . . . . . . . . .. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. . . . . . . . . . . . . . xiii 13 Function Space and Operator Theory for Nonlinear Analysis . . . . . . . 1 1 Lp -Sobolev spaces . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. . . . . . . . . . . . . . 2 2 Sobolev imbedding theorems . . . . . . . . . . . . . . . . . . . . . . . . .. . . . . . . . . . . . . . 4 3 Gagliardo–Nirenberg–Moser estimates . . . . . . . . . . . . . .. . . . . . . . . . . . . . 8 4 Trudinger’s inequalities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. . . . . . . . . . . . . . 14 5 Singular integral operators on Lp . . . . . . . . . . . . . . . . . . . .. . . . . . . . . . . . . . 17 6 The spaces H s;p . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. . . . . . . . . . . . . . 24 7 Lp -spectral theory of the Laplace operator . . . . . . . . . .. . . . . . . . . . . . . . 31 8 H¨older spaces and Zygmund spaces . . . . . . . . . . . . . . . . . .. . . . . . . . . . . . . . 40 9 Pseudodifferential operators with nonregular symbols . . . . . . . . . . . . 50 10 Paradifferential operators . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. . . . . . . . . . . . . . 60 11 Young measures and fuzzy functions .. . . . . . . . . . . . . . . .. . . . . . . . . . . . . . 74 12 Hardy spaces .. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. . . . . . . . . . . . . . 86 A Variations on complex interpolation .. . . . . . . . . . . . . . . . .. . . . . . . . . . . . . . 96 References . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. . . . . . . . . . . . . . 102 14 Nonlinear Elliptic Equations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. . . . . . . . . . . . . . 105 1 A class of semilinear equations . . . . . . . . . . . . . . . . . . . . . . .. . . . . . . . . . . . . . 107 2 Surfaces with negative curvature . . . . . . . . . . . . . . . . . . . . .. . . . . . . . . . . . . . 119 3 Local solvability of nonlinear elliptic equations . . . . .. . . . . . . . . . . . . . 127 4 Elliptic regularity I (interior estimates) . . . . . . . . . . . . . . .. . . . . . . . . . . . . . 135 5 Isometric imbedding of Riemannian manifolds .. . . . .. . . . . . . . . . . . . . 147 6 Minimal surfaces . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. . . . . . . . . . . . . . 152 6B Second variation of area .. . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. . . . . . . . . . . . . . 168 7 The minimal surface equation . . . . . . . . . . . . . . . . . . . . . . . .. . . . . . . . . . . . . . 176 8 Elliptic regularity II (boundary estimates) . . . . . . . . . . .. . . . . . . . . . . . . . 185 9 Elliptic regularity III (DeGiorgi–Nash–Moser theory) . . . . . . . . . . . . 196 10 The Dirichlet problem for quasi-linear elliptic equations . . . . . . . . . 208 11 Direct methods in the calculus of variations . . . . . . . . .. . . . . . . . . . . . . . 222 12 Quasi-linear elliptic systems . . . . . . . . . . . . . . . . . . . . . . . . . .. . . . . . . . . . . . . . 229 12B Further results on quasi-linear systems . . . . . . . . . . . . . . .. . . . . . . . . . . . . . 244 13 Elliptic regularity IV (Krylov–Safonov estimates) . .. . . . . . . . . . . . . . 258

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14 15 16 A B

Regularity for a class of completely nonlinear equations.. . . . . . . . . 273 Monge–Ampere equations . . . . . . . . . . . . . . . . . . . . . . . . . . . .. . . . . . . . . . . . . . 282 Elliptic equations in two variables .. . . . . . . . . . . . . . . . . . .. . . . . . . . . . . . . . 294 Morrey spaces . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. . . . . . . . . . . . . . 299 Leray–Schauder fixed-point theorems .. . . . . . . . . . . . . . .. . . . . . . . . . . . . . 302 References . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. . . . . . . . . . . . . . 304

15 Nonlinear Parabolic Equations . . . . . . . . . . . . . . . . . . . . . . . . . . . .. . . . . . . . . . . . . . 313 1 Semilinear parabolic equations . . . . . . . . . . . . . . . . . . . . . . .. . . . . . . . . . . . . . 314 2 Applications to harmonic maps .. . . . . . . . . . . . . . . . . . . . . .. . . . . . . . . . . . . . 325 3 Semilinear equations on regions with boundary . . . . .. . . . . . . . . . . . . . 332 4 Reaction-diffusion equations.. . . . . . . . . . . . . . . . . . . . . . . . .. . . . . . . . . . . . . . 335 5 A nonlinear Trotter product formula.. . . . . . . . . . . . . . . . .. . . . . . . . . . . . . . 353 6 The Stefan problem .. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. . . . . . . . . . . . . . 362 7 Quasi-linear parabolic equations I . . . . . . . . . . . . . . . . . . . .. . . . . . . . . . . . . . 376 8 Quasi-linear parabolic equations II (sharper estimates) . . . . . . . . . . . 387 9 Quasi-linear parabolic equations III (Nash–Moser estimates) . . . . 396 References . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. . . . . . . . . . . . . . 407 16 Nonlinear Hyperbolic Equations . . . . . . . . . . . . . . . . . . . . . . . . . .. . . . . . . . . . . . . . 413 1 Quasi-linear, symmetric hyperbolic systems . . . . . . . . .. . . . . . . . . . . . . . 414 2 Symmetrizable hyperbolic systems . . . . . . . . . . . . . . . . . . .. . . . . . . . . . . . . . 425 3 Second-order and higher-order hyperbolic systems. .. . . . . . . . . . . . . . 432 4 Equations in the complex domain and the Cauchy– Kowalewsky theorem .. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. . . . . . . . . . . . . . 445 5 Compressible fluid motion . . . . . . . . . . . . . . . . . . . . . . . . . . . .. . . . . . . . . . . . . . 448 6 Weak solutions to scalar conservation laws; the viscosity method 457 7 Systems of conservation laws in one space variable; Riemann problems.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. . . . . . . . . . . . . . 472 8 Entropy-flux pairs and Riemann invariants.. . . . . . . . . .. . . . . . . . . . . . . . 498 9 Global weak solutions of some 2  2 systems . . . . . . .. . . . . . . . . . . . . . 509 10 Vibrating strings revisited .. . . . . . . . . . . . . . . . . . . . . . . . . . . .. . . . . . . . . . . . . . 517 References . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. . . . . . . . . . . . . . 524 17 Euler and Navier–Stokes Equations for Incompressible Fluids . . . . . . 531 1 Euler’s equations for ideal incompressible fluid flow . . . . . . . . . . . . . . 532 2 Existence of solutions to the Euler equations . . . . . . . .. . . . . . . . . . . . . . 542 3 Euler flows on bounded regions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 553 4 Navier–Stokes equations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. . . . . . . . . . . . . . 561 5 Viscous flows on bounded regions .. . . . . . . . . . . . . . . . . . .. . . . . . . . . . . . . . 575 6 Vanishing viscosity limits . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. . . . . . . . . . . . . . 586 7 From velocity field convergence to flow convergence . . . . . . . . . . . . . 599 A Regularity for the Stokes system on bounded domains .. . . . . . . . . . . 605 References . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. . . . . . . . . . . . . . 610

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18 Einstein’s Equations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. . . . . . . . . . . . . . 615 1 The gravitational field equations .. . . . . . . . . . . . . . . . . . . . .. . . . . . . . . . . . . . 616 2 Spherically symmetric spacetimes and the Schwarzschild solution .. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. . . . . . . . . . . . . . 626 3 Stationary and static spacetimes . . . . . . . . . . . . . . . . . . . . . .. . . . . . . . . . . . . . 639 4 Orbits in Schwarzschild spacetime . . . . . . . . . . . . . . . . . . .. . . . . . . . . . . . . . 649 5 Coupled Maxwell–Einstein equations .. . . . . . . . . . . . . . .. . . . . . . . . . . . . . 656 6 Relativistic fluids . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. . . . . . . . . . . . . . 659 7 Gravitational collapse . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. . . . . . . . . . . . . . 670 8 The initial-value problem . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. . . . . . . . . . . . . . 677 9 Geometry of initial surfaces.. . . . . . . . . . . . . . . . . . . . . . . . . .. . . . . . . . . . . . . . 687 10 Time slices and their evolution . . . . . . . . . . . . . . . . . . . . . . .. . . . . . . . . . . . . . 699 References . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. . . . . . . . . . . . . . 705 Index . . . . . . . . . . . . . .. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. . . . . . . . . . . . . . 711

Contents of Volumes I and II

Volume I: Basic Theory

1 Basic Theory of ODE and Vector Fields 2 The Laplace Equation and Wave Equation 3 Fourier Analysis, Distributions, and Constant-Coefficient Linear PDE 4 Sobolev Spaces 5 Linear Elliptic Equations 6 Linear Evolution Equations A

Outline of Functional Analysis

B Manifolds, Vector Bundles, and Lie Groups

Volume II: Qualitative Studies of Linear Equations

7

Pseudodifferential Operators

8

Spectral Theory

9

Scattering by Obstacles

10 Dirac Operators and Index Theory 11 Brownian Motion and Potential Theory N 12 The @-Neumann Problem C

Connections and Curvature

Preface

Partial differential equations is a many-faceted subject. Created to describe the mechanical behavior of objects such as vibrating strings and blowing winds, it has developed into a body of material that interacts with many branches of mathematics, such as differential geometry, complex analysis, and harmonic analysis, as well as a ubiquitous factor in the description and elucidation of problems in mathematical physics. This work is intended to provide a course of study of some of the major aspects of PDE. It is addressed to readers with a background in the basic introductory graduate mathematics courses in American universities: elementary real and complex analysis, differential geometry, and measure theory. Chapter 1 provides background material on the theory of ordinary differential equations (ODE). This includes both very basic material–on topics such as the existence and uniqueness of solutions to ODE and explicit solutions to equations with constant coefficients and relations to linear algebra–and more sophisticated results–on flows generated by vector fields, connections with differential geometry, the calculus of differential forms, stationary action principles in mechanics, and their relation to Hamiltonian systems. We discuss equations of relativistic motion as well as equations of classical Newtonian mechanics. There are also applications to topological results, such as degree theory, the Brouwer fixed-point theorem, and the Jordan-Brouwer separation theorem. In this chapter we also treat scalar first-order PDE, via Hamilton–Jacobi theory. Chapters 2–6 constitute a survey of basic linear PDE. Chapter 2 begins with the derivation of some equations of continuum mechanics in a fashion similar to the derivation of ODE in mechanics in Chap. 1, via variational principles. We obtain equations for vibrating strings and membranes; these equations are not necessarily linear, and hence they will also provide sources of problems later, when nonlinear PDE is taken up. Further material in Chap. 2 centers around the Laplace operator, which on Euclidean space Rn is (1)

D

@2 @2 CC 2; 2 @xn @x1

and the linear wave equation, (2)

@2 u  u D 0: @t 2

xiv Preface

We also consider the Laplace operator on a general Riemannian manifold and the wave equation on a general Lorentz manifold. We discuss basic consequences of Green’s formula, including energy conservation and finite propagation speed for solutions to linear wave equations. We also discuss Maxwell’s equations for electromagnetic fields and their relation with special relativity. Before we can establish general results on the solvability of these equations, it is necessary to develop some analytical techniques. This is done in the next couple of chapters. Chapter 3 is devoted to Fourier analysis and the theory of distributions. These topics are crucial for the study of linear PDE. We give a number of basic applications to the study of linear PDE with constant coefficients. Among these applications are results on harmonic and holomorphic functions in the plane, including a short treatment of elementary complex function theory. We derive explicit formulas for solutions to Laplace and wave equations on Euclidean space, and also the heat equation, (3)

@u  u D 0: @t

We also produce solutions on certain subsets, such as rectangular regions, using the method of images. We include material on the discrete Fourier transform, germane to the discrete approximation of PDE, and on the fast evaluation of this transform, the FFT. Chapter 3 is the first chapter to make extensive use of functional analysis. Basic results on this topic are compiled in Appendix A, Outline of Functional Analysis. Sobolev spaces have proven to be a very effective tool in the existence theory of PDE, and in the study of regularity of solutions. In Chap. 4 we introduce Sobolev spaces and study some of their basic properties. We restrict attention to L2 -Sobolev spaces, such as H k .Rn /; which consists of L2 functions whose derivatives of order  k (defined in a distributional sense, in Chap. 3) belong to L2 .Rn /; when k is a positive integer. We also replace k by a general real number s: The Lp -Sobolev spaces, which are very useful for nonlinear PDE, are treated later, in Chap. 13. Chapter 5 is devoted to the study of the existence and regularity of solutions to linear elliptic PDE, on bounded regions. We begin with the Dirichlet problem for the Laplace operator, (4)

u D f on ˝;

u D g on @˝;

and then treat the Neumann problem and various other boundary problems, including some that apply to electromagnetic fields. We also study general boundary problems for linear elliptic operators, giving a condition that guarantees regularity and solvability (perhaps given a finite number of linear conditions on the data). Also in Chap. 5 are some applications to other areas, such as a proof of the Riemann mapping theorem, first for smooth simply connected domains in the complex plane C; then, after a treatment of the Dirichlet problem for the Laplace

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xv

operator on domains with rough boundary, for general simply connected domains in C: We also develop Hodge theory and apply it to DeRham cohomology, extending the study of topological applications of differential forms begun in Chap. 1. In Chap. 6 we study linear evolution equations, in which there is a “time” variable t, and initial data are given at t D 0: We discuss the heat and wave equations. We also treat Maxwell’s equations, for an electromagnetic field, and more general hyperbolic systems. We prove the Cauchy–Kowalewsky theorem, in the linear case, establishing local solvability of the Cauchy initial value problem for general linear PDE with analytic coefficients, and analytic data, as long as the initial surface is “noncharacteristic.” The nonlinear case is treated in Chap. 16. Also in Chap. 6 we treat geometrical optics, providing approximations to solutions of wave equations whose initial data either are highly oscillatory or possess simple singularities, such as a jump across a smooth hypersurface. Chapters 1–6, together with Appendix A and Appendix B, Manifolds, Vector Bundles, and Lie Groups, make up the first volume of this work. The second volume consists of Chaps. 7–12, covering a selection of more advanced topics in linear PDE, together with Appendix C, Connections and Curvature. Chapter 7 deals with pseudodifferential operators ( DOs). This class of operators includes both differential operators and parametrices of elliptic operators, that is, inverses modulo smoothing operators. There is a “symbol calculus” allowing one to analyze products of DOs, useful for such a parametrix construction. The L2 -boundedness of operators of order zero and the G˚arding inequality for elliptic DOs with positive symbol provide very useful tools in linear PDE, which will be used in many subsequent chapters. Chapter 8 is devoted to spectral theory, particularly for self-adjoint elliptic operators. First we give a proof of the spectral theorem for general self-adjoint operators on Hilbert space. Then we discuss conditions under which a differential operator yields a self-adjoint operator. We then discuss the asymptotic distribution of eigenvalues of the Laplace operator on a bounded domain, making use of a construction of a parametrix for the heat equation from Chap. 7. In the next four sections of Chap. 8 we consider the spectral behavior of various specific differential operators: the Laplace operator on a sphere, and on hyperbolic space, the “harmonic oscillator” (5)

 C jxj2 ;

and the operator (6)

 

K ; jxj

which arises in the simplest quantum mechanical model of the hydrogen atom. Finally, we consider the Laplace operator on cones. In Chap. 9 we study the scattering of waves by a compact obstacle K in R3 : This scattering theory is to some degree an extension of the spectral theory of the

xvi Preface

Laplace operator on R3 n K; with the Dirichlet boundary condition. In addition to studying how a given obstacle scatters waves, we consider the inverse problem: how to determine an obstacle given data on how it scatters waves. Chapter 10 is devoted to the Atiyah–Singer index theorem. This gives a formula for the index of an elliptic operator D on a compact manifold M; defined by

(7)

Index D D dim ker D  dim ker D  :

We establish this formula, which is an integral over M of a certain differential form defined by a pair of “curvatures,” when D is a first order differential operator of “Dirac type,” a class that contains many important operators arising from differential geometry and complex analysis. Special cases of such a formula include the Chern–Gauss–Bonnet formula and the Riemann–Roch formula. We also discuss the significance of the latter formula in the study of Riemann surfaces. In Chap. 11 we study Brownian motion, described mathematically by Wiener measure on the space of continuous paths in Rn : This provides a probabilistic approach to diffusion and it both uses and provides new tools for the analysis of the heat equation and variants, such as (8)

@u D u C V u; @t

where V is a real-valued function. There is an integral formula for solutions to (8), known as the Feynman–Kac formula; it is an integral over path space with respect to Wiener measure, of a fairly explicit integrand. We also derive an analogous integral formula for solutions to (9)

@u D u C X u; @t

where X is a vector field. In this case, another tool is involved in constructing the integrand, the stochastic integral. We also study stochastic differential equations and applications to more general diffusion equations. N In Chap. 12 we tackle the @-Neumann problem, a boundary problem for an elliptic operator (essentially the Laplace operator) on a domain ˝  C n , which is very important in the theory of functions of several complex variables. From a technical point of view, it is of particular interest that this boundary problem does not satisfy the regularity criteria investigated in Chap. 5. If ˝ is “strongly pseudoconvex,” one has instead certain “subelliptic estimates,” which are established in Chap. 12. The third and final volume of this work contains Chaps. 13–18. It is here that we study nonlinear PDE. We prepare the way in Chap. 13 with a further development of function space and operator theory, for use in nonlinear analysis. This includes the theory of Lp -Sobolev spaces and H¨older spaces. We derive estimates in these spaces on

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nonlinear functions F .u/, known as “Moser estimates,” which are very useful. We extend the theory of pseudodifferential operators to cases where the symbols have limited smoothness, and also develop a variant of DO theory, the theory of “paradifferential operators,” which has had a significant impact on nonlinear PDE since about 1980. We also estimate these operators, acting on the function spaces mentioned above. Other topics treated in Chap. 13 include Hardy spaces, compensated compactness, and “fuzzy functions.” Chapter 14 is devoted to nonlinear elliptic PDE, with an emphasis on second order equations. There are three successive degrees of nonlinearity: semilinear equations, such as (10)

u D F .x; u; ru/;

quasi-linear equations, such as X (11) ajk .x; u; ru/@j @k u D F .x; u; ru/; and completely nonlinear equations, of the form (12)

G.x; D 2 u/ D 0:

Differential geometry provides a rich source of such PDE, and Chap. 14 contains a number of geometrical applications. For example, to deform conformally a metric on a surface so its Gauss curvature changes from k.x/ to K.x/; one needs to solve the semilinear equation (13)

u D k.x/  K.x/e 2u :

As another example, the graph of a function y D u.x/ is a minimal submanifold of Euclidean space provided u solves the quasilinear equation (14)

  1 C jruj2 u C .ru/  H.u/.ru/ D 0;

called the minimal surface equation. Here, H.u/ D .@j @k u/ is the Hessian matrix of u: On the other hand, this graph has Gauss curvature K.x/ provided u solves the completely nonlinear equation (15)

 .nC2/=2 det H.u/ D K.x/ 1 C jruj2 ;

a Monge-Amp`ere equation. Equations (13)–(15) are all scalar, and the maximum principle plays a useful role in the analysis, together with a number of other tools. Chapter 14 also treats nonlinear systems. Important physical examples arise in studies of elastic bodies, as well as in other areas, such as the theory of liquid crystals. Geometric examples of systems considered in Chap. 14 include equations for harmonic maps and equations for isometric imbeddings of a Riemannian manifold in Euclidean space.

xviii Preface

In Chap. 15, we treat nonlinear parabolic equations. Partly echoing Chap. 14, we progress from a treatment of semilinear equations, (16)

@u D Lu C F .x; u; ru/; @t

where L is a linear operator, such as L D ; to a treatment of quasi-linear equations, such as (17)

X @u D @j ajk .t; x; u/@k u C X.u/: @t

(We do very little with completely nonlinear equations in this chapter.) We study systems as well as scalar equations. The first application of (16) we consider is to the parabolic equation method of constructing harmonic maps. We also consider “reaction-diffusion” equations, `  ` systems of the form (16), in which F .x; u; ru/ D X.u/; where X is a vector field on R` , and L is a diagonal operator, with diagonal elements aj ; aj  0: These equations arise in mathematical models in biology and in chemistry. For example, u D .u1 ; : : : ; u` / might represent the population densities of each of ` species of living creatures, distributed over an area of land, interacting in a manner described by X and diffusing in a manner described by aj : If there is a nonlinear (density-dependent) diffusion, one might have a system of the form (17). Another problem considered in Chap. 15 models the melting of ice; one has a linear heat equation in a region (filled with water) whose boundary (where the water touches the ice) is moving (as the ice melts). The nonlinearity in the problem involves the description of the boundary. We confine our analysis to a relatively simple one-dimensional case. Nonlinear hyperbolic equations are studied in Chap. 16. Here continuum mechanics is the major source of examples, and most of them are systems, rather than scalar equations. We establish local existence for solutions to first order hyperbolic systems, which are either “symmetric” or “symmetrizable.” An example of the latter class is the following system describing compressible fluid flow: (18)

@v 1 C rv v C grad p D 0; @t 

@ C rv  C  div v D 0; @t

for a fluid with velocity v; density ; and pressure p; assumed to satisfy a relation p D p./; called an “equation of state.” Solutions to such nonlinear systems tend to break down, due to shock formation. We devote a bit of attention to the study of weak solutions to nonlinear hyperbolic systems, with shocks. We also study second-order hyperbolic systems, such as systems for a kdimensional membrane vibrating in Rn ; derived in Chap. 2. Another topic covered in Chap. 16 is the Cauchy–Kowalewsky theorem, in the nonlinear case. We use a method introduced by P. Garabedian to transform the Cauchy problem for an analytic equation into a symmetric hyperbolic system.

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In Chap. 17 we study incompressible fluid flow. This is governed by the Euler equation (19)

@v C rv v D  grad p; @t

div v D 0;

in the absence of viscosity, and by the Navier–Stokes equation (20)

@v C rv v D Lv  grad p; @t

div v D 0;

in the presence of viscosity. Here L is a second-order operator, the Laplace operator for a flow on flat space; the “viscosity”  is a positive quantity. The equation (19) shares some features with quasilinear hyperbolic systems, though there are also significant differences. Similarly, (20) has a lot in common with semilinear parabolic systems. Chapter 18, the last chapter in this work, is devoted to Einstein’s gravitational equations: (21)

Gjk D 8Tjk :

Here Gjk is the Einstein tensor, given by Gjk D Ricjk .1=2/Sgjk ; where Ricjk is the Ricci tensor and S the scalar curvature, of a Lorentz manifold (or “spacetime”) with metric tensor gjk : On the right side of (21), Tjk is the stress-energy tensor of the matter in the spacetime, and  is a positive constant, which can be identified with the gravitational constant of the Newtonian theory of gravity. In local coordinates, Gjk has a nonlinear expression in terms of gjk and its second order derivatives. In the empty-space case, where Tjk D 0; (21) is a quasilinear second order system for gjk : The freedom to change coordinates provides an obstruction to this equation being hyperbolic, but one can impose the use of “harmonic” coordinates as a constraint and transform (21) into a hyperbolic system. In the presence of matter one couples (21) to other systems, obtaining more elaborate PDE. We treat this in two cases, in the presence of an electromagnetic field, and in the presence of a relativistic fluid. In addition to the 18 chapters just described, there are three appendices, already mentioned above. Appendix A gives definitions and basic properties of Banach and Hilbert spaces (of which Lp -spaces and Sobolev spaces are examples), Fr´echet spaces (such as C 1 .Rn /), and other locally convex spaces (such as spaces of distributions). It discusses some basic facts about bounded linear operators, including some special properties of compact operators, and also considers certain classes of unbounded linear operators. This functional analytic material plays a major role in the development of PDE from Chap. 3 onward. Appendix B gives definitions and basic properties of manifolds and vector bundles. It also discusses some elementary properties of Lie groups, including a little representation theory, useful in Chap. 8, on spectral theory, as well as in the Chern–Weil construction.

xx

Preface

Appendix C, Connections and Curvature, contains material of a differential geometric nature, crucial for understanding many things done in Chaps. 10–18. We consider connections on general vector bundles, and their curvature. We discuss in detail special properties of the primary case: the Levi–Civita connection and Riemann curvature tensor on a Riemannian manifold. We discuss basic properties of the geometry of submanifolds, relating the second fundamental form to curvature via the Gauss–Codazzi equations. We describe how vector bundles arise from principal bundles, which themselves carry various connections and curvature forms. We then discuss the Chern–Weil construction, yielding certain closed differential forms associated to curvatures of connections on principal bundles. We give several proofs of the classical Gauss–Bonnet theorem and some related results on two-dimensional surfaces, which are useful particularly in Chaps. 10 and 14. We also give a geometrical proof of the Chern–Gauss–Bonnet theorem, which can be contrasted with the proof in Chap. 10, as a consequence of the Atiyah– Singer index theorem. We mention that, in addition to these “global” appendices, there are appendices to some chapters. For example, Chap. 3 has an appendix on the gamma function. Chapter 6 has two appendices; Appendix A has some results on Banach spaces of harmonic functions useful for the proof of the linear Cauchy–Kowalewsky theorem, and Appendix B deals with the stationary phase formula, useful for the study of geometrical optics in Chap. 6 and also for results later, in Chap. 9. There are other chapters with such “local” appendices. Furthermore, there are two sections, both in Chap. 14, with appendices. Section 6, on minimal surfaces, has a companion, Sect. 6B, on the second variation of area and consequences, and Sect. 12, on nonlinear elliptic systems, has a companion, Sect. 12B, with complementary material. Having described the scope of this work, we find it necessary to mention a number of topics in PDE that are not covered here, or are touched on only very briefly. For example, we devote little attention to the real analytic theory of PDE. We note that harmonic functions on domains in Rn are real analytic, but we do not discuss analyticity of solutions to more general elliptic equations. We do prove the Cauchy–Kowalewsky theorem, on analytic PDE with analytic Cauchy data. We derive some simple results on unique continuation from these few analyticity results, but there is a large body of lore on unique continuation, for solutions to nonanalytic PDE, neglected here. There is little material on numerical methods. There are a few references to applications of the FFT and of “splitting methods.” Difference schemes for PDE are mentioned just once, in a set of exercises on scalar conservation laws. Finite element methods are neglected, as are many other numerical techiques. There is a large body of work on free boundary problems, but the only one considered here is a simple one space dimensional problem, in Chap. 15. While we have considered a variety of equations arising from classical physics and from relativity, we have devoted relatively little attention to quantum mechanics. We have considered one quantum mechanical operator, given

Preface

xxi

in formula (6) above. Also, there are some exercises on potential scattering mentioned in Chap. 9. However, the physical theories behind these equations are not discussed here. There are a number of nonlinear evolution equations, such as the Korteweg– deVries equation, that have been perceived to provide infinite dimensional analogues of completely integrable Hamiltonian systems, and to arise “universally” in asymptotic analyses of solutions to various nonlinear wave equations. They are not here. Nor is there a treatment of the Yang–Mills equations for gauge fields, with their wonderful applications to the geometry and topology of four dimensional manifolds. Of course, this is not a complete list of omitted material. One can go on and on listing important topics in this vast subject. The author can at best hope that the reader will find it easier to understand many of these topics with this book, than without it.

Acknowledgments I have had the good fortune to teach at least one course relevant to the material of this book, almost every year since 1976. These courses led to many course notes, and I am grateful to many colleagues at Rice University, SUNY at Stony Brook, the California Institute of Technology, and the University of North Carolina, for the supportive atmospheres at these institutions. Also, a number of individuals provided valuable advice on various portions of the manuscript, as it grew over the years. I particularly want to thank Florin David, David Ebin, Frank Jones, Anna Mazzucato, Richard Melrose, James Ralston, Jeffrey Rauch, Santiago Simanca, and James York. The final touches were put on the manuscript while I was visiting the Institute for Mathematics and its Applications, at the University of Minnesota, which I thank for its hospitality and excellent facilities. Finally, I would like to acknowledge the impact on my studies of my senior thesis and Ph.D. thesis advisors, Edward Nelson and Heinz Cordes.

Introduction to the Second Edition In addition to making numerous small corrections to this work, collected over the past dozen years, I have taken the opportunity to make some very significant changes, some of which broaden the scope of the work, some of which clarify previous presentations, and a few of which correct errors that have come to my attention. There are seven additional sections in this edition, two in Volume 1, two in Volume 2, and three in Volume 3. Chapter 4 has a new section, “Sobolev spaces on rough domains,” which serves to clarify the treatment of the Dirichlet prob-

xxii Preface

lem on rough domains in Chap. 5. Chapter 6 has a new section, “Boundary layer phenomena for the heat equation,” which will prove useful in one of the new sections in Chap. 17. Chapter 7 has a new section, “Operators of harmonic oscillator type,” and Chap. 10 has a section that presents an index formula for elliptic systems of operators of harmonic oscillator type. Chapter 13 has a new appendix, “Variations on complex interpolation,” which has material that is useful in the study of Zygmund spaces. Finally, Chap. 17 has two new sections, “Vanishing viscosity limits” and “From velocity convergence to flow convergence.” In addition, several other sections have been substantially rewritten, and numerous others polished to reflect insights gained through the use of these books over time.

13 Function Space and Operator Theory for Nonlinear Analysis

Introduction This chapter examines a number of analytical techniques, which will be applied to diverse nonlinear problems in the remaining chapters. For example, we study Sobolev spaces based on Lp , rather than just L2 . Sections 1 and 2 discuss the definition of Sobolev spaces H k;p , for k 2 ZC , and inclusions of the form H k;p  Lq . Estimates based on such inclusions have refined forms, due to E. Gagliardo and L. Nirenberg. We discuss these in  3, together with results of J. Moser on estimates on nonlinear functions of an element of a Sobolev space, and on commutators of differential operators and multiplication operators. In  4 we establish some integral estimates of N. Trudinger, on functions in Sobolev spaces for which L1 -bounds just fail. In these sections we use such basic tools as H¨older’s inequality and integration by parts. The Fourier transform is not as effective for analysis on Lp as on L2 . One result that does often serve when, in the L2 -theory, one could appeal to the Plancherel theorem, is Mikhlin’s Fourier multiplier theorem, established in  5. This enables interpolation theory to be applied to the study of the spaces H s;p , for noninteger s, in  6. In  7 we apply some of this material to the study of Lp -spectral theory of the Laplace operator, on compact manifolds, possibly with boundary. In  8 we study spaces C r of H¨older continuous functions, and their relation with Zygmund spaces Cr . We derive estimates in these spaces for solutions to elliptic boundary problems. The next two sections extend results on pseudodifferential operators, introduced in Chap. 7. Section 9 considers symbols p.x; / with minimal regularity in x. We derive both Lp - and H¨older estimates. Section 10 considers paradifferential operators, a variant of pseudodifferential operator calculus particularly well suited to nonlinear analysis. Sections 9 and 10 are largely taken from [T2]. In  11 we consider “fuzzy functions,” consisting of a pair .f; /, where f is a’ function on a space R and  is a measure on   R, with the property that y'.x/ d.x; y/ D '.x/f .x/ dx. The measure  is known as a Young measure. It incorporates information on how f may have arisen as a weak limit of M.E. Taylor, Partial Differential Equations III: Nonlinear Equations, Applied Mathematical Sciences 117, DOI 10.1007/978-1-4419-7049-7 1, c Springer Science+Business Media, LLC 1996, 2011 

1

2

13. Function Space and Operator Theory for Nonlinear Analysis

smooth (“sharply defined”) functions, and it is useful for analyses of nonlinear maps that do not generally preserve weak convergence. In  12 there is a brief discussion of Hardy spaces, subspaces of L1 .Rn / with many desirable properties, only a few of which are discussed here. Much more on this topic can be found in [S3], but material covered here will be useful for some elliptic regularity results in  12B of Chap. 14. We end this chapter with Appendix A, discussing variants of the complex interpolation method introduced in Chap. 4 and used a lot in the early sections of this chapter. It turns out that slightly different complex interpolation functors are better suited to the scale of Zygmund spaces.

1. Lp -Sobolev spaces Let p 2 Œ1; 1/. In analogy with the definition of the Sobolev spaces in Chap. 4, we set, for k D 0; 1; 2; : : : , (1.1)

˚  H k;p .Rn / D u 2 Lp .Rn / W D ˛ u 2 Lp .Rn / for j˛j  k :

It is easy to see that S.Rn / is dense in each space H k;p .Rn /, with its natural norm X (1.2) kukH k;p D kD ˛ ukLp : j˛jk

For p ¤ 2, we cannot characterize the spaces H k;p .Rn / conveniently in terms of the Fourier transform. It is still possible to define spaces H s;p .Rn / by interpolation; we will examine this in  6. Here we will consider only the spaces H k;p .Rn / with k a nonnegative integer. The chain rule allows us to say that if  W Rn ! Rn is a diffeomorphism that is linear outside a compact set, then  W H k;p .Rn / ! H k;p .Rn /. Also multiplication by an element ' 2 C01 .Rn / maps H k;p .Rn / to itself. This allows us to define H k;p .M / for a compact manifold M via a partition of unity subordinate to a coordinate chart. Also, for compact M , if we define Diff k .M / to be the set of differential operators of order  k on M , with smooth coefficients, then (1.3)

H k;p .M / D fu 2 Lp .M / W P u 2 Lp .M / for all P 2 Diff k .M /g:

We can define H k;p .RnC / as in (1.1), with Rn replaced by RnC . The extension operator defined by (4.2)–(4.4) of Chap. 4 also works to produce extension maps E W H k;p .RnC / ! H k;p .Rn /. Similarly, if M is a compact manifold with smooth boundary, with double N , we can define H k;p .M / via coordinate charts and the notion of H k;p .RnC /, or by (1.3), and we have extension operators E W H k;p .M / ! H k;p .N /.

Exercises

3

We also note the obvious fact that D ˛ W H k;p .Rn / ! H kj˛j;p .Rn /;

(1.4) for j˛j  k, and

P W H k;p .M / ! H k`;p .M / if P 2 Diff ` .M /;

(1.5)

provided `  k.

Exercises 1. A Friedrichs mollifier on Rn is a family of smoothing operators J" u.x/ D j"  u.x/ where Z j.x/dx D 1; j 2 S.Rn /: j" .x/ D "n j."1 x/; Equivalently, J" u.x/ D '."D/u.x/; ' 2 S.Rn /; '.0/ D 1. Show that, for each p 2 Œ1; 1/; k 2 ZC , J" W H k;p .Rn / !

\

H `;p .Rn /;

`<1

for each " > 0, and J" u ! u in H k;p .Rn / as " ! 0 if u 2 H k;p .Rn /. 2. Suppose A 2 C 1 .Rn /, with kAkC 1 D supj˛j1 kD ˛ AkL1 . Show that when J" is a Friedrichs mollifier as above, then kŒA; J" vkH 1;p  C kAkC 1 kvkLp ; with C independent of " 2 .0; 1. (Hint: Write A.x/  A.y/ D .xk  yk /; jBk .x; y/j  K, and, with q` .x/ D @j=@x` , @` ŒA; J" v.x/ D

XZ

Bk .x; y/

x  y  x  y i h k  k v.y/ dy; Bk .x; y/ "n q` " "

with absolute value bounded by K "n

P

XZ ˇ ˇ  ˇ'k` "1 .x  y/ ˇ  jv.y/j dy;

where 'k` .x/ D xk q` .x/:) 3. Using Exercise 2, show that kŒA; J" @j vkLp  C kAkC 1 kvkLp :

4

13. Function Space and Operator Theory for Nonlinear Analysis

2. Sobolev imbedding theorems We will derive various inclusions of the type H k;p .M /  H `;q .M /. We will concentrate on the case M D Rn . The discussion of  1 will give associated results when M is a compact manifold, possibly with (smooth) boundary. One technical tool useful for our estimates is the following generalized H¨older inequality: Lemma 2.1. If pj 2 Œ1; 1;

P

pj1 D 1, then

Z (2.1) M

ju1    um j dx  ku1 kLp1 .M /    kum kLpm .M / :

The proof follows by induction from the case m D 2, which is the usual H¨older inequality. Our first Sobolev imbedding theorem is the following: Proposition 2.2. For p 2 Œ1; n/, (2.2)

H 1;p .Rn /  Lnp=.np/ .Rn /:

In fact, there is an estimate (2.3)

kukLnp=.np/  C krukLp ;

for u 2 H 1;p .Rn /, with C D C.p; n/. Proof. It suffices to establish (2.3) for u 2 C01 .Rn /. Clearly, Z (2.4)

ju.x/j 

1 1

jDj uj dxj ;

so

(2.5)

ju.x/jn=.n1/ 

8 n Z
1

j D1 1

jDj uj dxj

91=.n1/ = ;

:

We can integrate (2.5) successively over each variable xj ; j D 1; : : : ; n, and apply the generalized H¨older inequality (2.1) with m D p1 D    D pm D n  1 after each integration. We get

(2.6)

kukLn=.n1/ 

8 n Z
j D1Rn

jDj uj dx

91=n = ;

 C krukL1 :

2. Sobolev imbedding theorems

5

This establishes (2.3) in the case p D 1. We can apply this to v D juj ;  > 1, obtaining (2.7)

        juj  n=.n1/  C juj 1 jruj 1  C juj 1  p0 ru p : L L L L

For p < n, pick  D .n  1/p=.n  p/. Then (2.7) gives (2.3) and the proposition is proved. Given u 2 H k;p .Rn /, we can apply Proposition 2.2 to estimate the Lnp=.np/ norm of D k1 u in terms of kD k ukLp , where we use the notation (2.8)

D k u D fD ˛ u W j˛j D kg;

kD k ukLp D

X

kD ˛ ukLp ;

j˛jDk

and proceed inductively, obtaining the following corollary. Proposition 2.3. For kp < n, (2.9)

H k;p .Rn /  Lnp=.nkp/ .Rn /:

The same result holds with Rn replaced by a compact manifold of dimension n. If we take p D 2, then for the Sobolev spaces H k .Rn / D H k;2 .Rn /, we have (2.10)

H k .Rn /  L2n=.n2k/ .Rn /;

k<

n : 2

Consequently, the interpolation theory developed in Chap. 4 implies (2.11)

H s .Rn /  L2n=.n2s/ .Rn /;

for any real s 2 Œ0; k; k < n=2 an integer. Actually, (2.11) holds for any real s 2 Œ0; n=2/, as will be shown in  6. We write down some particular examples, for n D 2; 3; 4, which will play a role later in various nonlinear evolution equations, such as the Navier–Stokes equations. The cases n D 3; 4 follow from the results proved above, while the case n D 2 follows from the general case of (2.11) established in  6. H 1 .R3 /  L6 .R3 / (2.12) H 1=2 .R2 /  L4 .R2 /

H 1 .R4 /  L4 .R4 /

H 3=4 .R3 /  L4 .R3 / H 1=2 .R3 /  L3 .R3 /

Note that interpolation of the R2 -result with L2 .R2 / D L2 .R2 / yields H 1=3 .R2 /  L3 .R2 /:

6

13. Function Space and Operator Theory for Nonlinear Analysis

The next result provides a partial generalization of the Sobolev imbedding theorem, n H s .Rn /  C.Rn /; s > ; 2 proved in Chap. 4. A more complete generalization is given in  6. Proposition 2.4. We have (2.13)

H k;p .Rn /  C.Rn / \ L1 .Rn /; for kp > n:

Proof. It suffices to obtain a bound on kukL1 .Rn / for u 2 H k;p .Rn /, if kp > n. In turn, it suffices to bound u.0/ appropriately, for u 2 C01 .Rn /. Use polar coordinates, x D r!; ! 2 S n1 . Let g 2 C 1 .R/ have the property that g.r/ D 1 for r < 1=2 and g.r/ D 0 for r > 3=4. Then, for each !, we have Z

1

@ Œg.r/u.r; !/ dr 0 @r ( ) Z 1 k .1/k @ D r kn Œg.r/u.r; !/ r n1 dr; .k  1/Š 0 @r

u.0/ D 

upon integrating by parts k  1 times. Integrating over ! 2 S n1 gives Z ju.0/j  C

r

kn

ˇ ˇ ˇ ˇ @ k ˇ ˇ Œg.r/u.x/ˇ dx; ˇ ˇ ˇ @r

B

where B is the unit ball centered at 0. H¨older’s inequality gives (2.14)

  ju.0/j  C kr kn kLp0 .B/ @kr Œg.r/u.x/Lp .B/ ;

with 1=p C 1=p 0 D 1. We claim that .@=@r/k is a linear combination of D ˛ ; j˛j D k, with L1 -coefficients. To see this, note that @kr annihilates x ˛ for j˛j < k, so we get  (2.15)

@ @r

k

D

X

a˛ .x/@˛ ;

j˛jDk

with a˛ .x/ D .1=˛Š/@kr x ˛ , for j˛j D k, or a˛ .r!/ D

kŠ ˛ ! ; ˛Š

so a˛ .x/ is homogeneous of degree 0 in x and smooth on Rn n 0.

Exercises

7

Returning to the estimate of (2.14), our information on .@=@r/k implies that the last factor on the right side is bounded by the H k;p -norm of u. The factor kr kn kLp0 .B/ is finite provided kp > n, so the proposition is proved. To close this section, we note the following simple consequence of Proposition 2.2, of occasional use in analysis. Let M.Rn / denote the space of locally finite Borel measures (not necessarily positive) on Rn . Let us assume that n  2. Proposition 2.5. If we have u 2 M.Rn / and ru 2 M.Rn /, then it follows that n=.n1/ u 2 Lloc .Rn /. Proof. Using a cut-off in C01 , we can assume u has compact support. Applying a mollifier, we get uj D j  u 2 C01 .Rn / such that uj ! u and ruj ! ru in M.Rn /. In particular, we have a uniform L1 -norm estimate on ruj . By (2.3) we have a uniform Ln=.n1/ -norm estimate on uj , which gives the result, since Ln=.n1/ .Rn / is reflexive.

Exercises 1. If pj 2 Œ1; 1 and uj 2 Lpj , show that u1 u2 2 Lr provided r 1 D p1 1 C p2 1 2 Œ0; 1. Show that this implies Lemma 2.1. 2. Use the containment (which follows from Proposition 2.2) H k;p .Rn /  H 1;np=.n.k1/p/ .Rn /

if .k  1/p < n

to show that if Proposition 2.4 is proved in the case k D 1, then it follows in general. Note that the proof in the text of Proposition 2.4 is slightly simpler in the case k D 1 than for k  2. 3. Suppose k D 2` is even. Suppose u 2 S 0 .Rn / and . C 1/` u D f 2 Lp .Rn /: Show that u D Jk  f;

bk ./ D hik : J

Using estimates on Jk .x/ established in Chap. 3,  8, show that kp > n H) u 2 C.Rn / \ L1 .Rn /: Show that this gives an alternative proof of Proposition 2.4 in case k is even. 4. Suppose k D 2` C 1 is odd, kp > 1. Use the containment H k;p .Rn /  H k1;np=.np/ .Rn /

if p < n;

which follows from Proposition 2.2, to deduce from Exercise 3 that Proposition 2.4 holds for all integers k  2. 5. Establish the following variant of the k D 1 case of (2.14): (2.16)

ju.0/  u.x/j  C krukLp .B/ ;

p > n; x 2 @B:

8

13. Function Space and Operator Theory for Nonlinear Analysis (Hint: Suppose x D e1 . If z is the line segment from 0 to z, followed by the line segment from z to e1 , write 

Z Z  1 : d u dS.z/; ˙ D x 2 B W x1 D u.e1 /  u.0/ D 2 ˙

z

R Show that this gives u.e1 /  u.0/ D B ru.z/  '.z/ d z, with ' 2 Lq .B/; 8 q < n=.n  1/:) 6. Show that H n;1 .Rn /  C.Rn / \ L1 .Rn /. R0 R0    1 D1    Dn u.x C y/ dy1    dyn :) (Hint: u.x/ D 1

3. Gagliardo–Nirenberg–Moser estimates In this section we establish further estimates on various Lp -norms of derivatives of functions, which are very useful in nonlinear PDE. Estimates of this sort arose in work of Gagliardo [Gag], Nirenberg [Ni], and Moser [Mos]. Our first such estimate is the following. We keep the convention (2.8). Proposition 3.1. For real k  1; 1  p  k, we have (3.1)

kDj uk2L2k=p  C kukL2k=.p1/  kDj2 ukL2k=.pC1/ ;

for all u 2 C01 .Rn /, hence for all u 2 Lq2 .Rn / \ H 2;q1 , where q1 D

(3.2)

2k ; pC1

q2 D

2k : p1

Proof. Given v 2 C01 .Rn /; q  2, we have vjvjq2 2 C01 .Rn / and Dj .vjvjq2 / D .q  1/.Dj v/jvjq2 : Letting v D Dj u, we have jDj ujq D Dj .u Dj ujDj ujq2 /  .q  1/u Dj2 ujDj ujq2 : Integrating this, we have, by the generalized H¨older inequality (2.1), (3.3)

q

q2

kDj ukLq  jq  1j  kukLq2 kDj2 ukLq1 kDj ukLq ;

where q D 2k=p and q1 and q2 are given by (3.2). Dividing by kDj ukq2 Lq gives the estimate (3.1) for u 2 C01 .Rn /, and the proposition follows. If we apply (3.1) to D `1 u, we get (3.4)

kD ` uk2L2k=p  C kD `1 ukL2k=.p1/ kD `C1 ukL2k=.pC1/ ;

3. Gagliardo–Nirenberg–Moser estimates

9

for real k  1; p 2 Œ1; k; `  1. Consequently, for any " > 0, (3.5)

kD ` ukL2k=p  C "kD `1 kL2k=.p1/ C C."/kD `C1 ukL2k=.pC1/ :

If p 2 Œ2; k and `  2, we can apply (3.5) with p replaced by p  1 and D `1 u replaced by D `2 u, to get, for any "1 > 0, (3.6)

kD `1 ukL2k=.p1/  C "1 kD `2 ukL2k=.p2/ C C."1 /kD ` ukL2k=p :

Now we can plug (3.6) into (3.5); fix "1 (e.g., "1 D 1), and pick " so small that C "C."1 /  1=2, so the term C "C."1 /kD ` ukL2k=p can be absorbed on the left, to yield (3.7)

kD ` ukL2k=p  C "kD `2 ukL2k=.p2/ C C."/kD `C1 ukL2k=.pC1/ ;

for real k  2; p 2 Œ2; k; `  2. Continuing in this fashion, we get (3.8)

kD ` ukL2k=p  C "kD `j ukL2k=.pj / C C."/kD `C1 ukL2k=.pC1/ ;

j  p  k; `  j . Similarly working on the last term in (3.8), we have the following: Proposition 3.2. If j  p  k C1 m; `  j , then (for sufficiently small " > 0) (3.9)

kD ` ukL2k=p  C "kD `j ukL2k=.pj / C C."/kD `Cm ukL2k=.pCm/ :

Here, j; `, and m must be positive integers, but p and k are real. Of course, the full content of (3.9) is represented by the case ` D j , which reads (3.10)

kD ` ukL2k=p  C "kukL2k=.p`/ C C."/kD `Cm ukL2k=.pCm/ ;

for `  p  k C 1  m. Taking p C m D k, we note the following important special case. Corollary 3.3. If `; p, and k are positive integers satisfying `  p  k  1, then (3.11)

kD ` ukL2k=p  C "kukL2k=.p`/ C C."/kD kC`p ukL2 :

In particular, taking p D `, if ` < k, then (3.12)

kD ` ukL2k=`  C "kukL1 C C."/kD k ukL2 ;

for all u 2 C01 .Rn /. We want estimates for the left sides of (3.11) and (3.12) which involve products, as in (3.1), rather than sums. The following simple general result produces such estimates.

10

13. Function Space and Operator Theory for Nonlinear Analysis

Proposition 3.4. Let `; , and m be nonnegative integers satisfying `  max . ; m/, and let q; r, and  belong to Œ1; 1. Suppose the estimate kD ` ukLq  C1 kD  ukLr C C2 kD m ukL

(3.13)

is valid for all u 2 C01 .Rn /. Then (3.14)

/ /  kD m uk˛=.˛Cˇ ; kD ` ukLq  .C1 C C2 /kD  ukˇ=.˛Cˇ Lr L

with ˛D

(3.15)

n n  C  `; q r

ˇD

n n C  m C `; q 

provided these quantities are not both zero. If (3.13) is valid and the quantities (3.15) are both nonzero, then they have the same sign. Proof. Replacing u.x/ in (3.13) by u.sx/ produces from (3.13), which we write schematically as Q  C1 R C C2 P , the estimate s `n=q Q  C1 s n=r R C C2 s mn= P; for all s > 0; or equivalently,

Q  C1 s ˛ R C C2 s ˇ P; for all s > 0;

with ˛ and ˇ given by (3.15). If ˛ and ˇ have opposite signs, one can take s ! 0 or s ! 1 to produce the absurd conclusion Q D 0. If they have the same sign, one can take s so that s ˛ R D s ˇ P D P a Rb , which can be done with a D ˛=.˛ C ˇ/; b D ˇ=.˛ C ˇ/, and the estimate (3.14) results. Applying Proposition 3.4 to the estimate (3.11), we find ˛ D .n  2k/`=2k; ˇ D .n  2k/.k  p/=2k, which gives the following: Proposition 3.5. If `; p, and k are positive integers satisfying `  p  k  1, then (3.16)

`=.kC`p/ kD ` ukL2k=p  C kuk.kp/=.kC`p/  kD kC`p ukL : 2 L2k=.p`/

In particular, taking p D `, if ` < k, then (3.17)

1`=k  kD k uk`=k : kD ` ukL2k=`  C kukL 1 L2

One of the principal applications of such an inequality as (3.17) is to bilinear estimates, such as the following.

3. Gagliardo–Nirenberg–Moser estimates

11

Proposition 3.6. If jˇj C j j D k, then (3.18)

k.D ˇ f /.D  g/kL2  C kf kL1 kgkH k C C kf kH k kgkL1 ;

for all f; g 2 Co .Rn / \ H k .Rn /. Proof. With jˇj D `; j j D m, and ` C m D k, we have (3.19)

k.D ˇ f /.D  g/kL2  kD ˇ f kL2k=`  kD  gkL2k=m 1`=k 1m=k  C kf kL  kf k`=k  kgkL  kgkm=k ; 1 1 Hk Hk

using H¨older’s inequality and (3.17). We can write the right side of (3.19) as m=k  `=k  kf kH k kgkL1 ; C kf kL1 kgkH k

(3.20)

and this is readily dominated by the right side of (3.18). The two estimates of the next proposition are major implications of (3.18). Proposition 3.7. We have the estimates kf  gkH k  C kf kL1 kgkH k C C kf kH k kgkL1

(3.21)

and, for j˛j  k, (3.22) kD ˛ .f  g/  fD ˛ gkL2  C kf kH k kgkL1 C C krf kL1 kgkH k1 : Proof. The estimate (3.21) is an immediate consequence of (3.18). To prove (3.22), write D ˛ .f  g/ D

(3.23)

X ˛    Dˇ f D g ; ˇ

ˇ C D˛

so, if j˛j D k, X

D ˛ .f  g/  fD ˛ g D

ˇ C D˛;ˇ >0

(3.24)

X

D

 ˛  ˇ    D f D g ˇ Cjˇ .D ˇ Dj f /.D  g/:

jˇ jCj jDk1

Hence, with uj D Dj f , (3.25)

kD ˛ .fg/  fD ˛ gkL2  C

X jˇ jCj jDk1

k.D ˇ uj /.D  g/kL2 :

12

13. Function Space and Operator Theory for Nonlinear Analysis

From here, the estimate (3.22) follows immediately from (3.18), and Proposition 3.7 is proved. Note that on the right side of (3.22), we can replace kf kH k by krf kH k1 . From Proposition 3.4 there follow further estimates involving products of norms, which can be quite useful. We record a few here. Proposition 3.8. We have the estimates (3.26)

kukL1  C kD mC1 uk1=2  kD m1 uk1=2 ; for u 2 C01 .R2m /; L2 L2

and (3.27)

kukL1  C kD mC1 ukL2  kD m ukL2 ; for u 2 C01 .R2mC1 /: 1=2

1=2

Proof. It is easy to see that (3.28)

kuk2L1  C kD mC1 uk2L2 C C kD m1 uk2L2 ; for u 2 C01 .R2m /;

and (3.29)

kuk2L1  C kD mC1 uk2L2 C C kD m uk2L2 ; for u 2 C01 .R2mC1 /:

Proposition 3.4 then yields ˛ D ˇ D 1 in case (3.28) and ˛ D ˇ D 1=2 in case (3.29), proving (3.26) and (3.27). A more delicate L1 -estimate will be proved in  8. It is also useful to have the following estimates on compositions. Proposition 3.9. Let F be smooth, and assume F .0/ D 0. Then, for u 2 H k \ L1 , (3.30)

kF .u/kH k  Ck .kukL1 / .1 C kukH k /:

Proof. The chain rule gives D ˛ F .u/ D

X

Cˇ u.ˇ1 /    u.ˇ / F ./ .u/;

ˇ1 Cˇ D˛

hence (3.31)

kD k F .u/kL2  Ck .kukL1 /

X  u.ˇ1 /    u.ˇ /  2 : L

From here, (3.30) is obtained via the following simple generalization of Proposition 3.6:

Exercises

13

Lemma 3.10. If jˇ1 j C    C jˇ j D k, then

b

(3.32) i Xh .ˇ / kf1 kL1    kf kL1    kf kL1 kf kH k : kf1.ˇ1 /    f  kL2  C 

Proof. The generalized H¨older inequality dominates the left side of (3.32) by (3.33)

.ˇ /

kf1.ˇ1 / kL2k=jˇ1 j    kf

kL2k=jˇ j :

Then applying (3.17) dominates this by (3.34)

1jˇ j=k

1jˇ1 j=k jˇ1 j=k  kf1 kH    kf kL1 C kf1 kL 1 k

jˇ j=k

 kf kHk

;

which in turn is easily bounded by the right side of (3.32) (with f .f1 ; : : : ; f /).

D

We remark that Proposition 3.9 also works if u takes values in RL . The estimates in Propositions 3.7 and 3.8 are called Moser estimates, and are very useful in nonlinear PDE. Some extensions will be given in (10.20) and (10.52).

Exercises 1. Show that the proof of Proposition 3.1 yields (3.35)

kDj uk2Lq  C kukLq1  kD 2 ukLq2

whenever 2  q < 1; 1  qj  1, and 1=q1 C 1=q2 D 2=q. Show that if q2 < q < q1 , then (3.35) and (3.1) are equivalent. Is (3.35) valid if the hypothesis q  2 is relaxed to q  1? 2. Show directly that (3.35) holds with q1 D q2 D q 2 Œ1; 1. (Hint: Do the next exercise.) 3. Let A generate a contraction semigroup on a Banach space B. Show that (3.36)

kAuk2  8kuk  kA2 uk; for u 2 D.A2 /:

(Hint: Use the identity tAu D t.t A/1 A2 uCt 2 ut 2 t.t A/1 u together with the estimate kt.t A/1 k  1, for t > 0, to obtain the estimate tkAuk  kA2 ukC2t 2 kuk, for t > 0:) Try to improve the 8 to a 4 in (3.36), in case B is a Hilbert space. 4. Show that (3.10) implies (3.37)

kD ` ukLq  C1 kukLr C C2 kD `Cm ukL

when  < q < r are related by (3.38)

m 1 ` 1 1 D C ; q mC`r mC`

14

13. Function Space and Operator Theory for Nonlinear Analysis as long as we require furthermore that q > 2, in order to satisfy the hypothesis p=k  1  .m  1/=k used for (3.10). In how much greater generality can you establish (3.37)? Note that if Proposition 3.4 is applied to (3.37), one gets

(3.39)

m=.mC`/

kD ` ukLq  C kukLr

`=.mC`/

 kD `Cm ukL

;

provided (3.38) holds. 5. Generalize Propositions 3.6 and 3.7, replacing L2 and H k by Lp and H k;p . Use (3.10) to do this for p  2. Can you also treat the case 1  p < 2? 6. Show that in (3.30) you can use Ck .kukL1 / with Ck ./ D

(3.40)

sup jxj;k

jF ./ .x/j:

7. Extend the Moser estimates in Propositions 3.7 and 3.9 to estimates in H k;p -norms.

4. Trudinger’s inequalities The space H n=2 .Rn / does not quite belong to L1 .Rn /, although H n=2 .Rn /  Lp .Rn / for all p 2 Œ2; 1/. In fact, quite a bit more is true; exponential functions of u 2 H n=2 .Rn / are locally integrable. The proof of this starts with the following estimate of kukLp .Rn / as p ! 1. Proposition 4.1. If u 2 H n=2 .Rn /, then, for p 2 Œ2; 1/, (4.1)

kukLp .Rn /  Cn p 1=2 kukH n=2 .Rn / :

Proof. We have u D ƒn=2 v for v 2 L2 .Rn /, where, recall,  s  O ƒ v O./ D his v./:

(4.2) Hence, with v 2 L2 .Rn /, (4.3)

u D Jn=2  v;

where (4.4)

b n=2 ./ D hin=2 : J

The behavior of Jn=2 .x/ follows results of Chap. 3. By Proposition 8.2 of Chap. 3, Jn=2 .x/ is C 1 on Rn n 0 and vanishes rapidly as jxj ! 1. By Proposition 9.2 of Chap. 3, we have (4.5)

Jn=2 .x/  C jxjn=2 ; for jxj  1:

4. Trudinger’s inequalities

15

Consequently, Jn=2 just misses being in L2 .Rn /; we have, for ı 2 .0; 1, Z 2ı kJn=2 kL 2ı .Rn /

(4.6)

1

C CC

r nı=21 dr 

0

Cn : ı

Now the map Kv defined by Kv f D v  f , with v given in L2 .Rn /, satisfies Kv W L2 ! L1 ;

(4.7)

Kv W L1 ! L2 ;

both maps having operator norm kvkL2 . By interpolation, kKv f kLp .Rn /  kf kLq .Rn /  kvkL2 .Rn / ; for q 2 Œ1; 2;

(4.8)

where p is defined by 1=q  1=p D 1=2. Taking f D Jn=2 ; q D 2  ı, we have, for v 2 L2 .Rn /, kJn=2  vkLp 

(4.9)

 C 1=.2ı/ n

ı

kvkL2 ;

pD

2.2  ı/ ; ı

which gives (4.1). The following result, known as Trudinger’s inequality, is a direct consequence of (4.1): Proposition 4.2. If u 2 H n=2 .Rn /, there is a constant  D .u/ > 0, of the form .u/ D

(4.10)

n ; kuk2H n=2

such that Z   2 e  ju.x/j  1 dx < 1:

(4.11)

Rn

If M is a compact manifold, possibly with boundary, of dimension n, and if u 2 H n=2 .M /, then there exists  D .M /=kuk2H n=2.M / such that Z (4.12)

2

e  ju.x/j dV .x/ < 1:

M

Proof. We have 2

e  ju.x/j  1 D ju.x/j2 C

2 m ju.x/j4 C    C ju.x/j2m C    : 2 mŠ

16

13. Function Space and Operator Theory for Nonlinear Analysis

By (4.1), m mŠ

(4.13)

Z ju.x/j2m dV .x/  Cn2m

m .2m/m kuk2m ; H n=2 mŠ

which is bounded by C 0 m , for some < 1, if  has the form (4.10), with n < 1=.2eCn2 /, as can be seen via Stirling’s formula for mŠ. This proves the proposition. We note that the same argument involving (4.2)–(4.8) also shows that, for any p 2 Œ2; 1/, there is an " > 0 such that H n=2" .Rn /  Lp .Rn /:

(4.14)

Similarly, we have H n=2" .M /  Lp .M /, when M is a compact manifold, perhaps with boundary, of dimension n. By virtue of Rellich’s theorem, we have for such M that the natural inclusion

W H n=2 .M / ,! Lp .M / is compact, for all p < 1:

(4.15)

Using this, we obtain the following result: Proposition 4.3. If M is a compact manifold (with boundary) of dimension n; ˛ 2 R, then (4.16)

uj ! u weakly in H n=2 .M / H) e ˛uj ! e ˛u in L1 .M /-norm:

Proof. We have ˇ ˇ ˛u ˇ X j˛jm ˇˇ ˇ ˇe j  e ˛u ˇ  ˇjuj .x/jm  ju.x/jm ˇ: mŠ m1 If kuj kH n=2 .M /  A, we obtain ke ˛uj  e ˛u kL1  (4.17)

i h X j˛jm m1 kuj  ukLm  m kuj km1 C kuk m m L L mŠ

mk

CC

X mm=2 jACn ˛jm ; mŠ

m>k

where we use ˇ ˇ   ˇjuj jm  jujm ˇ  mjuj  uj juj jm1 C jujm1 to estimate the sum over m  k, and we use (4.1) to estimate the sum over m > k. By (4.15), for any k, the first sum on the right side of (4.17) goes to 0 as j ! 1. Meanwhile the second sum vanishes as k ! 1, so (4.16) follows.

5. Singular integral operators on Lp

17

Exercises 1. Partially generalizing (4.10), let p 2 .1; 1/, and let u 2 H k;p .Rn /, with kp D n; k 2 ZC . Show that there exists  D p .u/ such that Z p=.p1/ (4.18) e  ju.x/j dx  CpR : jxjR

For a more complete generalization, see Exercise 5 of  6. Note: Finding the best constant  in (4.18) is subtle and has some important uses; see [Mos2], [Au], particularly for the case k D 1; p D n.

5. Singular integral operators on Lp One way the Fourier transform makes analysis on L2 .Rn / easier than analysis on other Lp -spaces is by the definitive result the Plancherel theorem gives as a condition that a convolution operator k u D P .D/u be L2 -bounded, namely that O k./ D P ./ be a bounded function of . A replacement for this that advances our ability to pursue analysis on Lp is the next result, established by S. Mikhlin, following related work for Lp .T n / by J. Marcinkiewicz. Theorem 5.1. Suppose P ./ satisfies jD ˛ P ./j  C˛ hij˛j ;

(5.1) for j˛j  n C 1. Then (5.2)

P .D/ W Lp .Rn / ! Lp .Rn /; for 1 < p < 1:

Stronger results have been proved; one needs (5.1) only for j˛j  Œn=2C1, and one can use certain L2 -estimates on the derivatives of P ./. These sharper results can be found in [H1] and [S1]. Note that the characterization of P ./ 2 S10 .Rn / is that (5.1) hold for all ˛. The theorem stated above is a special case of a result that applies to pseu0 dodifferential operators with symbols in S1;ı .Rn /. As shown in  2 of Chap. 7, if p.x; / satisfies the estimates (5.3)

jDxˇ D˛ p.x; /j  C˛ˇ hij˛jCjˇ j ;

for (5.4)

jˇj  1;

j˛j  n C 1 C jˇj;

then the Schwartz kernel K.x; y/ of P D p.x; D/ satisfies the estimates (5.5)

jK.x; y/j  C jx  yjn

18

13. Function Space and Operator Theory for Nonlinear Analysis

and (5.6)

jrx;y K.x; y/j  C jx  yjn1 :

Furthermore, at least when ı < 1, we have an L2 -bound: (5.7)

kP ukL2  KkukL2 ;

and smoothings of such an operator have smooth Schwartz kernels satisfying (5.5)–(5.7) for fixed C; K. (Results in  9 of this chapter will contain another proof of this L2 -estimate. Note that when p.x; / D p./ the estimate (5.7) follows from the Plancherel theorem.) Our main goal here is to give a proof of the following fundamental result of A. P. Calderon and A. Zygmund: Theorem 5.2. Suppose P W L2 .Rn / ! L2 .Rn / is a weak limit of operators with smooth Schwartz kernels satisfying (5.5)–(5.7) uniformly. Then (5.8)

P W Lp .Rn / ! Lp .Rn /;

1 < p < 1:

0 .Rn /; ı 2 Œ0; 1/. In particular, this holds when P 2 OPS1;ı

The hypotheses do not imply boundedness on L1 .Rn / or on L1 .Rn /. They will imply that P is of weak type .1; 1/. By definition, an operator P is of weak type .q; q/ provided that, for any  > 0, (5.9)

meas fx W jP u.x/j > g  C q kukqLq :

Any bounded operator on Lq is a fortiori of weak type .q; q/, in view of the simple inequality (5.10)

meas fx W ju.x/j > g  1 kukL1 :

A key ingredient in proving Theorem 5.2 is the following result: Proposition 5.3. Under the hypotheses of Theorem 5.2, P is of weak type .1; 1/. Once this is established, Theorem 5.2 will then follow from the next result, known as the Marcinkiewicz interpolation theorem. Proposition 5.4. If r < p < q and if T is both of weak type .r; r/ and of weak type .q; q/, then T W Lp ! Lp . Proof. Write u D u1 C u2 , with u1 .x/ D u.x/ for ju.x/j >  and u2 .x/ D u.x/ for ju.x/j  . With the notation (5.11)

f ./ D meas fx W jf .x/j  g;

5. Singular integral operators on Lp

19

we have

T u .2/  T u1 ./ C T u2 ./

 C1 r ku1 krLr C C2 q ku2 kqLq :

(5.12) Also, there is the formula

Z

Z

1

jf .x/j dx D p p

0

f ./p1 d:

Hence Z

Z

1

jT u.x/j dx D p p

T u ./p1 d Z 1  Z   C1 p p1r ju.x/jr dx d 0

(5.13)

0

Z C C2 p

juj> 1

p1q

0

 Z

 ju.x/jq dx d:

juj

Now Z

1



(5.14)

p1r

0

 Z juj>



1 ju.x/j dx d D pr r

Z ju.x/jp dx

and, similarly, Z

1

(5.15)

p1q

 Z

0

 ju.x/jq dx d D

juj

1 qp

Z ju.x/jp dx:

Combining these gives the desired estimate on kT ukpLp . We will apply Proposition 5.4 in conjunction with the following covering lemma of Calderon and Zygmund: Lemma 5.5. Let u 2 L1 .Rn / and  > 0 be given. Then there exist v; wk 2 L1 .Rn / and disjoint cubes Qk ; 1  k < 1, with centers xk , such that (5.16)

uDvC

X k

(5.17)

Z

wk ;

kvkL1 C

X

kwk kL1  3kukL1 ;

k n

jv.x/j  2 ; wk .x/ dx D 0 and supp wk  Qk ;

(5.18) Qk

20

13. Function Space and Operator Theory for Nonlinear Analysis

X

(5.19)

meas.Qk /  1 kukL1 :

k

Proof. Tile Rn with cubes of volume greater than 1 kukL1 . The mean value of ju.x/j over each such cube is < . Divide each of these cubes into 2n equal cubes, and let I11 ; I12 ; I13 ; : : : be those so obtained over which the mean value of ju.x/j is  . Note that Z (5.20)  meas.I1k /  ju.x/j dx  2n  meas.I1k /: I1k

Now set (5.21)

1 v.x/ D meas.I1k /

Z u.y/ dy; for x 2 I1k ; I1k

and w1k .x/ D u.x/  v.x/; for x 2 I1k ; 0; for x … I1k :

(5.22)

Next take all the cubes that are not among the I1k , subdivide each into 2n equal parts, select those new cubes I21 ; I22 ; : : : , over which the mean value of ju.x/j is  , and extend the definitions (5.21)–(5.22) to these cubes, in the natural fashion. Continue in this way, obtaining disjoint cubes Ijk and functions wjk . Then reorder these cubes and functions as Q1 ; Q2 ; : : : , and w1 ; w2 ; : : : . Complete the definition of v by setting v.x/ D u.x/, for x … [Qk . Then we have the first part of (5.16). Since Z Z   (5.23) jv.x/j C jwk .x/j dx  3 ju.x/j dx; Qk

Qk

and since the cubes are disjoint, wk is supported in Qk , and v D u on Rn n [Qk , we obtain the rest of (5.16). Next, (5.17) follows from (5.20) if x 2 [Qk . But if x … [Qk , there are arbitrarily small cubes containing x over which the mean value of ju.x/j is < , so (5.17) holds almost everywhere on Rn n [Qk as well. The assertion (5.18) is obvious from the construction, and (5.19) follows by summing (5.20). The lemma is proved. P One thinks of v as the “good” piece and w D wk as the “bad” piece. What is “good” about v is that kvk2L2  2n kukL1 , so (5.24)

kP vk2L2  K 2 kvk2L2  4n K 2 kukL1 :

5. Singular integral operators on Lp

21

Hence   2

(5.25)

2

n o  C kukL1 : meas x W jP v.x/j > 2

To treat the action of P on the “bad” term w, we make use of the following essentially elementary estimate on the Schwartz kernel K. The proof is an exercise. Lemma 5.6. There is a C0 < 1 such that, for any t > 0, if jyj  t; x0 2 Rn , Z ˇ ˇ ˇK.x; x0 C y/  K.x; x0 /ˇ dx  C0 : (5.26) jxx0 j2t

To estimate P w, we have Z P wk .x/ D

Z

D

(5.27)

K.x; y/wk .y/ dy

K.x; y/  K.x; xk / wk .y/ dy:

Qk

Before we make further use of this, a little notation: Let Qk be the cube concentric with Qk , enlarged by a linear factor of 2n1=2 , so meas Qk D .4n/n=2 meas Qk . For some tk > 0, we can arrange that Qk  fx W jx  xk j  tk g;

(5.28)

Yk D Rn n Qk  fx W jx  xk j > 2tk g:

Furthermore, set O D [Qk , and note that meas O  L1 kukL1 ;

(5.29)

with L D .4n/n=2 . Now, from (5.27), we have Z jP wk .x/j dx Yk

(5.30)

Z

Z



ˇ ˇ ˇK.x C xk ; xk C y/  K.x C xk ; xk /ˇ

jyjtk ; jxj2tk

 jwk .y C xk /j dx dy  C0 kwk kL1 ; the last estimate using Lemma 5.6. Thus Z (5.31) jP w.x/j dx  3C0 kukL1 : Rn nO

22

13. Function Space and Operator Theory for Nonlinear Analysis

Together with (5.29), this gives n  o C1  kukL1 ; meas x W jP w.x/j > 2 

(5.32)

and this estimate together with (5.25) yields the desired weak (1,1)-estimate: ˚  C2 kukL1 : meas x W jP u.x/j >   

(5.33)

This proves Proposition 5.3. To complete the proof of Theorem 5.2, we apply Marcinkiewicz interpolation to obtain (5.8) for p 2 .1; 2. Note that the Schwartz kernel of P  also satisfies the hypotheses of Theorem 5.2, so we have P  W Lp ! Lp , for 1 < p  2. Thus the result (5.8) for p 2 Œ2; 1/ follows by duality. We remark that if (5.6) is weakened to jry K.x; y/j  C jx yjn1 , while the hypotheses (5.5) and (5.7) are retained, then Lemma 5.6 still holds, and hence so does Proposition 5.3. Thus, we still have P W Lp .Rn / ! Lp .Rn / for 1 < p  2, but the duality argument gives only P  W Lp .Rn / ! Lp .Rn / for 2  p < 1. We next describe an important generalization to operators acting on Hilbert space-valued functions. Let H1 and H2 be Hilbert spaces and suppose P W L2 .Rn ; H1 / ! L2 .Rn ; H2 /:

(5.34)

Then P has an L.H1 ; H2 /-operator-valued Schwartz kernel K. Let us impose on K the hypotheses of Theorem 5.2, where now jK.x; y/j stands for the L.H1 ; H2 /norm of K.x; y/. Then all the steps in the proof of Theorem 5.2 extend to this case. Rather than formally state this general result, we will concentrate on an important special case. Proposition 5.7. Let P ./ 2 C 1 .Rn ; L.H1 ; H2 // satisfy kD˛ P ./kL.H1 ;H2 /  C˛ hij˛j ;

(5.35) for all ˛  0. Then (5.36)

P .D/ W Lp .Rn ; H1 / ! Lp .Rn ; H2 /; for 1 < p < 1:

This leads to an important circle of results known as Littlewood–Paley theory. To obtain this, start with a partition of unity (5.37)

1D

1 X j D0

'j ./2 ;

5. Singular integral operators on Lp

23

where 'j 2 C 1 ; '0 ./ is supported on jj  1; '1 ./ is supported on 1=2  jj  2, and 'j ./ D '1 .21j / for j  2. We take H1 D C; H2 D `2 , and look at ˆ W L2 .Rn / ! L2 .Rn ; `2 /

(5.38) given by

ˆ.f / D .'0 .D/f; '1 .D/f; '2 .D/f; : : : /:

(5.39)

This is clearly an isometry, though of course it is not surjective. The adjoint ˆ W L2 .Rn ; `2 / ! L2 .Rn /;

(5.40) given by

ˆ .g0 ; g1 ; g2 ; : : : / D

(5.41)

X

'j .D/gj ;

satisfies ˆ ˆ D I

(5.42)

on L2 .Rn /. Note that ˆ D ˆ.D/, where ˆ./ D .'0 ./; '1 ./; '2 ./; : : : /:

(5.43)

It is easy to see that the hypothesis (5.35) is satisfied by both ˆ./ and ˆ ./. Hence, for 1 < p < 1, ˆ W Lp .Rn / ! Lp .Rn ; `2 /; ˆ W Lp .Rn ; `2 / ! Lp .Rn /:

(5.44)

In particular, ˆ maps Lp .Rn / isomorphically onto a closed subspace of Lp .Rn ; `2 /, and we have compatibility of norms: kukLp kˆukLp .Rn ;`2 / :

(5.45) In other words, (5.46)

1 n X o1=2    j'j .D/uj2 Cp0 kukLp    j D0

for 1 < p < 1.

Lp

 Cp kukLp ;

24

13. Function Space and Operator Theory for Nonlinear Analysis

Exercises 1. Estimate the family of symbols ay ./ D hiiy ; y 2 R. Show that if ƒiy D ay .D/, then (5.47)

kƒiy ukLp .Rn /  Cp hyinC1 kukLp .Rn / :

This estimate will be useful for the development of the Sobolev spaces H s;p in the next section. 2. Let Q 1 ./ be supported on 1=4  jj  4; Q 1 ./ D 1 for 1=2  jj  2, and Q j ./ D Q 1 .21j / for j  2. Let s 2 R. Show that A.D/; B.D/ W Lp .Rn ; `2 / ! Lp .Rn ; `2 /;

1 < p < 1;

for Ajk ./ D 2ks his Q j ./ıjk ; Bjk ./ D 2ks his Q j ./ıjk ; by applying Proposition 5.7. 3. Give a proof that Z Z (5.48) jf .x/jp dx D p

0

1

f ./ p1 d;

used in (5.13). Also, demonstrate (5.14) and (5.15). (Hint: After doing (5.48), get an analogous identity for the integral of jf .x/jp over the set fx W jf .x/j > g, resp.,  :) 4. Give a detailed proof of Lemma 5.6. ˇ 1 .Rn /, and suppose A.x; / D 0 for x D 0. Define Tf D Af ˇ 5. Let A 2 OPS1;0 , n Rn  where Rn˙ D fx 2 Rn W ˙xn  0g. Show that, for 1  p  1, (5.49)

f 2 Lp .Rn /; supp f  RnC H) Tf 2 Lp .Rn /:

(Hint: Apply Proposition 5.1 of Appendix A. Compare with Exercise 3 in  5 of Appendix A.)

6. The spaces H s;p Here we define and study H s;p for any s 2 R; p 2 .1; 1/. In analogy with the characterization of H s .Rn / D H s;2 .Rn / given in  1 of Chap. 4, we set (6.1)

H s;p .Rn / D ƒs Lp .Rn /:

Given the results of  5, we can establish the following. Proposition 6.1. When s D k is a positive integer, p 2 .1; 1/, the spaces H k;p .Rn / of  1 coincide with (6.1).

6. The spaces H s;p

25

Proof. For j˛j  k;  ˛ hik belongs to S10 .Rn /. Thus, by Theorem 5.1, D ˛ ƒk maps Lp .Rn / to itself. Thus any u 2 ƒk Lp .Rn / satisfies the definition of H k;p .Rn / given in  1. For the converse, note that one can write hik D

(6.2)

X

q˛ ./ ˛ ;

j˛jk

with coefficients q˛ 2 S10 .Rn /. Thus if D ˛ u 2 Lp .Rn / for all j˛j  k, it follows that ƒk u 2 Lp .Rn /. We next prove an interpolation theorem generalizing the identity

L2 .Rn /; H s .Rn /



D H s .Rn /; for  2 Œ0; 1;

proven in  2 of Chap. 4. Proposition 6.2. For s 2 R;  2 .0; 1/, and p 2 .1; 1/, p n

(6.3) L .R /; H s;p .Rn /  D H s;p .Rn /: Proof. The proof is parallel to that of Proposition 2.2 of Chap. 4, except that we use the estimate (5.47) of the last section in place of the obvious identity kAiy k D 1 for a unitary operator Aiy on a Hilbert space. Thus, if v 2 H s;p .Rn /, let (6.4)

2

u.z/ D e z ƒ. z/s v:

  2 2 Then u./ D e  v; u.iy/ D e y ƒiys ƒs v is bounded in Lp .Rn /, by   2 (5.47), and also u.1 C iy/ D e .yi / ƒs ƒiys ƒs v is bounded in the space H s;p .Rn /. Therefore, such a function v belongs to the left side of (6.3). The reverse containment is similarly established as in the proof of Proposition 2.2 of Chap. 4. This sort of argument yields more generally that, for ; s 2 R;  2 .0; 1/, and p 2 .1; 1/, (6.5)

ŒH ;p .Rn /; H s;p .Rn / D H sC.1 / ;p .Rn /:

With Proposition 6.2 established, we can define and analyze spaces H s;p on compact manifolds in the same way as we did for p D 2 in Chap. 4. If M is a compact manifold without boundary, one defines H s;p .M / in analogy with H s .M /, via coordinate charts, and proves (6.6)

ŒH ;p .M /; H s;p .M / D H sC.1 / ;p .M /;

for p 2 .1; 1/;  2 .0; 1/. If  is a compact subdomain of M with smooth boundary, we define H k;p ./ as in  1, and recall the extension operator E W H k;p ./ ! H k;p .M /. If we define H s;p ./ for s > 0 by

26

13. Function Space and Operator Theory for Nonlinear Analysis

(6.7)

H s;p ./ D ŒLp ./; H k;p ./ ;

 2 .0; 1/; s D k;

it follows that E W H s;p ./ ! H s;p .M / and hence (6.8)

H s;p ./ H s;p .M /=fu W u D 0 on g:

Also, of course, H s;p ./ agrees with the characterization of  1 when s D k is a positive integer. Generalizing the theorem of Rellich, Proposition 4.4 of Chap. 4, one has, for s  0; 1 < p < 1, (6.9)

W H sC ;p ./ ,! H s;p ./ is compact for  > 0:

By the arguments used in Chap. 4, we easily reduce this to showing that, for  > 0; 1 < p < 1, (6.10)

ƒ W Lp .T n / ! Lp .T n / is compact.

Indeed, the operator (6.10) is of the form ƒ u D k  u, with k 2 L1 .T n / for any  > 0. Thus k is an L1 -norm limit of k ;j 2 C 1 .T n /, so ƒ is an operator norm limit of convolution maps Lp .T n / ! C 1 .T n /, which are clearly compact on Lp .T n /. We now extend some of the Sobolev imbedding theorems of  2. Once they are obtained on Rn , they easily yield similar results for functions on compact manifolds, perhaps with boundary. Proposition 6.3. If s > n=p, then H s;p .Rn /  C.Rn / \ L1 .Rn /. b s ./ D his . It suffices to show that Proof. ƒs u D Js  u, where J (6.11)

0

Js 2 Lp .Rn /; for s >

1 n 1 ; C 0 D 1: p p p

Indeed, estimates established in  8 of Chap. 3 imply that Js .x/ is smooth on Rn n 0, rapidly decreasing as jxj ! 1, and (6.12)

jJs .x/j  C jxjnCs ;

jxj  1; s < n;

which is sufficient. Compare estimates for s D n=2 in (4.4)–(4.9). Next we generalize (2.9). Proposition 6.4. For sp < n; p 2 .1; 1/, we have (6.13)

H s;p .Rn /  Lnp=.nsp/ .Rn /:

Proof. Suppose s D k C ; k 2 ZC ;  2 Œ0; 1/. Then u 2 H s;p ) ƒ u 2 H k;p , and by (2.9) this gives ƒ u 2 Lq .Rn /, with q D np=.n  kp/. Note that

6. The spaces H s;p

27

q 2 .1; 1/ and np=.n  sp/ D nq=.n  q/, so also q < n. Hence it suffices to show that (6.14)

ƒ W Lq .Rn / ! Lnq=.n q/ .Rn /;

when  2 .0; 1/; q 2 .1; 1/, and q < n. We divide the analysis into cases. Case I: 1 < q < n. In this case, we have, by (2.2), (6.15)

H 1;q .Rn /  Lnq=.nq/ .Rn /:

Fixing v 2 Lq .Rn /, consider ƒz v for z 2  D fz 2 C W 0  Re z  1g. Note that Proposition 5.7 implies (6.16)

kƒiy vkLq  Ae Bjyj kvkLq ;

for y 2 R. Making use also of (6.15), we have (6.17)

kƒ.1Ciy/ vkLnq=.nq/  Ae Bjyj kvkLq :

From here a complex interpolation argument gives (6.14) in this case. Case II: 2  n  q < 1. In this case, set r D nq=.n  q/. Note that (6.18)

1  1 1  1 D  and 0 D 0 C ; r q n r q n

where r 0 is the dual exponent to r. We have r > q  n  2, so r 0 < 2  n, and Case I gives (6.19)

0

0

ƒ W Lr .Rn / ! Lq .Rn /:

Then (6.14) follows by duality. Case III: n D 1. Here one needs a different approach. Since this case is not so crucial for PDE, we omit it. Various proofs that include this case can be found in [S1], [S3], and [BL]. The following result is an immediate consequence of the definition (6.1), the pseudodifferential operator calculus, and the Lp -boundedness result of Theorem 5.2. m Proposition 6.5. If P 2 OPS1;ı .Rn /; 0  ı < 1, and 1 < p < 1, then

(6.20)

P W H s;p .Rn / ! H sm;p .Rn /:

28

13. Function Space and Operator Theory for Nonlinear Analysis

In view of the construction of parametrices for elliptic operators, we deduce various H s;p -regularity results for solutions to linear elliptic equations. A sequence of exercises on generalized div-curl lemmas given below will make use of this.

Exercises 1. Let 'j ./2 D j ./ be the partition of unity (5.37). Using the Littlewood–Paley estimates, show that, for p 2 .1; 1/; s 2 R, 1 n X o1=2    4ks j'j .D/uj2 kukH s;p .Rn /  

(6.21)

kD0

Lp .Rn /

:

(Hint: From (5.37), we have the left side of (6.21) 1 n X ˇ o1  ˇ s  ˇƒ 'j .D/uˇ2 2   

(6.22)

Lp .Rn /

kD0

:

Now apply Exercise 2 of  5.) Exercises 2–4 lead up to a demonstration that if X (6.23) ‰k ./ D '` ./2 ; `k

then, for s > 0; p 2 .1; 1/, 1  X   ‰k .D/fk  

(6.24)

kD0

H s;p

1 n X o1=2     Csp  4ks jfk j2  kD0

Lp

:

2. Show that the left side of (6.24) is 1 ˇ n X ˇ   ˇ `D0

` .D/

1 X

ˇ2 o1=2  ˇ  uk ˇ 

kD`

Lp

1 n X ˇ  ˇ  4`s ˇ

` .D/

`D0

1 X kD`

ˇ2 o1=2  ˇ  fk ˇ 

Lp

;

where fk D ƒs uk . (Hint: Use arguments similar to those needed for Exercise 1.) 3. Taking wk D 2ks fk , argue that (6.24) follows given continuity of (6.25)

.D/ W Lp .Rn ; `2 / ! Lp .Rn ; `2 /;

where (6.26)

k` ./ D

.`k/s ; k ./2

0;

for `  k; for ` < k:

4. Demonstrate the continuity (6.25), for p 2 .1; 1/; s > 0. (Hint: To apply Proposition 5.7, you need kD˛ ./kL.`2 /  Cs hij˛j ;

s > 0:

Exercises Obtain this by establishing X

jD˛ k` ./j  C hij˛j ;

s  0;

jD˛ k` ./j  Cs hij˛j ;

s > 0:/

29

k

and

X `

5. If u 2 H n=p;p .Rn /; p 2 .1; 1/, show that, for q 2 Œp; 1/, kukLq .Rn /  Cn q .p1/=p kukH n=p;p .Rn / : Deduce that, for some constant  D .u/ > 0, Z   p=.p1/  1 dx < 1; e  ju.x/j (6.27) Rn

thus extending Trudinger’s estimate (4.10). See [Str]. The purpose of the next exercise is to extend the Gagliardo–Nirenberg estimates (3.10) to nonintegral cases, namely kukH ;s=p  C1 kukLs=.p/ C C2 kukH C;s=.pC/ ;

(6.28)

given real p; s; , and satisfying 1 < p < 1; 0 < < s  p; and  2 .0; p/:

(6.29)

6. Establish the interpolation result (6.30)



Ls=.p/ .Rn /; H C;s=.pC/.Rn /



 H ;s=p .Rn /;

D

 ; C

under the hypotheses (6.29). Show that this implies (6.28). (Hint: If f D u./ belongs to the left side of (6.30), with u.z/ holomorphic, u.iy/ and u.1Ciy/ appropriately bounded, consider v.z/ D ƒ.C/z u.z/. Use the interpolation result s=.p/ s=.pC/  s=p L ;L ; D :/  DL C

Can you treat the p D  case, where Ls=.p/ D L1 ? 7. Extend (6.30) to Sobolev inclusions for ŒH s;p ; H ;q  . Exercises on generalized div-curl lemmas Let M be a compact, oriented Riemannian manifold, and assume that, for j D 1; : : : ; k,  2 ZC , j are `j -forms on M , such that (6.31)

j ! j weakly in Lpj .M /;

as  ! 1;

and (6.32)

fdj W   0g compact in H 1;pj .M /:

30

13. Function Space and Operator Theory for Nonlinear Analysis Assume that

(6.33)

pj 2 .1; 1/;

1 1 C  C  1: p1 pk

The goal is to deduce that (6.34)

1 ^    ^ k ! 1 ^    ^ k

in D0 .M /;

as  ! 1. An exercise set in  8 of Chap. 5 deals with the case k D 2; p1 D p2 D 2, which includes the div-curl lemma of F. Murat [Mur]. As in that exercise set, we follow [RRT]. 1. Show that you can write j D d˛j C ˇj , where ˛j ! ˛j weakly in H 1;pj .M / and fˇj g is compact in Lpj .M /. (Hint: Use the Hodge decomposition  D d ıG C ıdG C P . Set ˛j D ıGj :) 2. Show that, for j  k, d˛1 ^    ^ d˛j ! d˛1 ^    ^ d˛j in D0 .M /. If p1 1 C    C pj 1 D qj 1 < 1, show that this convergence holds weakly in Lqj .M /. (Hint: Use induction on j , via Z Z d˛1 ^    ^ d˛j C1; ^ ' D ˙ d˛1 ^    ^ d˛j ^ ˛j C1; ^ d':/ 3. Now prove (6.34). (Hint: Expand .d˛1 C ˇ1 / ^    ^ .d˛k C ˇk /. For a term     ˙ d˛`1  ^    ^ d˛`i  ^ ˇ`i C1  ^    ^ ˇ`k  ; establish and exploit weak Lq -convergence of the first factor (if i < k) plus strong Lr convergence of the second factor, with q 1 C r 1  1:) 4. Localize the result (6.31)–(6.33) ) (6.34), replacing M by an open set   Rn . (Hint: Apply a cutoff  2 C01 ./:) 5. (The div-curl lemma.) Let dim M D 3, and let X and Y be two sequences of vector fields such that X ! X weakly in Lp1 ; div X compact in H 1;p1 ;

Y ! Y weakly in Lp2 ; curl Y compact in H 1;p2 ;

where 1 < pj < 1; p1 C p2  1. Show that X  Y ! X  Y in D0 . Formulate the analogue for dim M D 2. 6. Let F W Rn ! Rn be a sequence of maps. Assume 1

(6.35)

1

F ! F weakly in H 1;n .Rn /:

Show that (6.36)

det DF ! det DF in D0 .Rn /:

(Hint: Set j D d˛j D F dxj :) More generally, if 2  k  n and (6.37)

F ! F weakly in H 1;k .Rn /;

7. Lp -spectral theory of the Laplace operator

31

then (6.38)

ƒk DF ! ƒk DF in D0 .Rn /;

and hence (6.39)

Tr ƒk DF ! Tr ƒk DF in D0 .Rn /:

7. Lp -spectral theory of the Laplace operator We will apply material developed in  5 and 6 to study spectral properties of the Laplace operator on Lp -spaces. We first consider on Lp .M /, where M is a compact Riemannian manifold, without boundary. For any  > 0; .  /1 is bijective on D0 .M /, and results of  6 imply .  /1 WLp .M / ! H 2;p .M /, provided 1 < p < 1. Thus if we define the unbounded operator p on Lp .M / to be acting on H 2;p .M /, it follows that p is a closed operator with nonempty resolvent set, and compact resolvent, hence a discrete spectrum, with finite-dimensional generalized eigenspaces. Elliptic regularity implies that each of these generalized eigenspaces consists of functions in C 1 .M /, and then these functions are easily seen to be actual eigenfunctions. Thus, in such a case, the Lp -spectrum of coincides with its L2 -spectrum. It is desirable to mention properties of p , related to spectral properties. In particular, the heat semigroup e t defines a strongly continuous semigroup Hp .t/ on Lp .M /, for each p 2 Œ1; 1/. For p 2 Œ2; 1/, this can be seen by applying the L2 -theory, the maximum principle (for data in L1 ), and interpolating, to get Hp .t/ W Lp .M / ! Lp .M /, for p 2 Œ2; 1. Strong continuity for p < 1 follows from denseness of C 1 .M / in Lp .M /. Then the action of Hp .t/ as a semigroup on Lp .M / for p 2 .1; 2/ follows by duality. One can also take the adjoint of the action of e t on C.M / to get e t acting on M.M /, the space of finite Borel measures on M , and e t then preserves L1 .M /, the closure of C 1 .M / in M.M /. Alternatively, the strongly continuous action of the heat semigroup on Lp .M / for p 2 Œ1; 1/ can be perceived directly from the parametrix for e t constructed in Chap. 7,  13. Let K be a closed cone in the right half-plane of C, with vertex at 0. Assume K is symmetric about the positive real axis and has angle ˛ 2 .0; /. If P .z/ W X ! X is a family of bounded operators on a Banach space X , for z 2 K, we say it is a holomorphic semigroup if it satisfies P .z1 /P .z2 / D P .z1 C z2 / for zj 2 K, ı

is strongly continuous in z 2 K, and is holomorphic in the interior, z 2 K. The strong continuity implies that kP .z/k is locally uniformly bounded on K. Clearly, e t gives a holomorphic semigroup on L2 .M /. Also, e z f is defined in D0 .M / whenever f 2 D0 .M / and Re z  0, and e z f 2 C 1 .M / when Re z > 0. Also u.z; x/ D e z f .x/ is holomorphic in z in fRe z > 0g. This establishes all but one “small” point in the following.

32

13. Function Space and Operator Theory for Nonlinear Analysis

Proposition 7.1. e z defines a holomorphic semigroup Hp .z/ on Lp .M /, for each p 2 Œ1; 1/. Proof. Here, K can be any cone of the sort described above. It remains to establish strong continuity, Hp .z/f ! f in Lp .M / as z ! 0 in K, for any f 2 Lp .M /. Since C 1 .M / is dense in Lp .M /, it suffices to prove that fHp .z/ W z 2 K; jzj  1g has uniformly bounded operator norm on Lp .M /. This can be done by checking that the parametrix construction for e t extends from t 2 RC to z 2 K, yielding integral operators whose norms on Lp .M / are readily bounded. The reader can check this. Since the heat semigroup on Lp ./ for a compact manifold with boundary has a parametrix of a form more complicated than it does on Lp .M /, this “small” point gets bigger when we extend Proposition 7.1 to the case of compact manifolds with boundary. Here is a useful property of holomorphic semigroups. Proposition 7.2. Let P .z/ be a holomorphic semigroup on a Banach space X , with generator A. Then (7.1)

t > 0; f 2 X H) P .t/f 2 D.A/

and (7.2)

kAP .t/f kX 

C kf kX ; for 0 < t  1: t

Proof. For some a > 0, there is a circle .t/, centered at t, of radius ajtj, such that .t/ 2 K, for all t 2 .0; 1/. Thus (7.3)

AP .t/f D P 0 .t/f D 

1 2 i

Z

.t  /2 P ./f d :

.t /

Since kP ./f k  C2 kf k for  2 K; jj  1 C a, we have (7.2). In particular, we have that, for p 2 .1; 1/; 0 < t  1, (7.4)

f 2 Lp .M / H) ke t f kH 2;p .M / 

C kf kLp .M / ; t

where C D Cp . This result could also be verified using the parametrix for e t . Note that applying interpolation to (7.4) yields (7.5)

ke t f kH s;p .M /  C t s=2 kf kLp .M / ;

for 0  s  2; 0 < t  1;

when p 2 .1; 1/; C D Cp . We will find it very useful to extend such an estimate to the case of e t acting on Lp ./ when  has a boundary.

7. Lp -spectral theory of the Laplace operator

33

We now look at on a compact Riemannian manifold with (smooth) boundary , with Dirichlet boundary condition. Assume  is connected and @ ¤ ;. We know that, for   0, R D .  /1 W L2 ./ ! L2 ./;

(7.6)

with range H 2 ./ \ H01 ./. We can analyze R f for f 2 L1 ./ by noting that R is positivity preserving:   0; g  0 on  H) R g  0 on ;

(7.7)

a result that follows from the positivity property of e t and the resolvent formula. From this and regularity estimates on R 1, it easily follows that, for   0, (7.8)

R W C./ ! C./

and

R W L1 ./ ! L1 ./:

Taking the adjoint of R acting on C./, we have R acting on M./, the space of finite Borel measures on . Since the closure of L2 ./ in M./ is L1 ./, we have R W L1 ./ ! L1 ./:

(7.9) Interpolation yields (7.10)

R W Lp ./ ! Lp ./;

1  p  1:

We next want to prove that (7.11)

R W Lp ./ ! H 2;p ./;

p 2 .1; 1/;

when   0. To do this, it is convenient to assume that   M , where M is a compact Riemannian manifold without boundary, diffeomorphic to the double of . Let R W M ! M be an involution that fixes @ and that, near @, is the reflection of each geodesic normal to @ about the point of intersection of the e, and define v by geodesic with @. Then extend f to be 0 on M n , defining f (7.12)

e .  /v D f

on M;

so v 2 H 2;p .M /. Set u D R f . Take (7.13)

  u1 .x/ D v.x/  v R.x/ ;

x 2 :

    e R.x/ , where L is the With v r .x/ D v R.x/ , we have .L  /v r .x/ D f Laplace operator for R g, the metric on M pulled back via R. Thus L D CLb ,

34

13. Function Space and Operator Theory for Nonlinear Analysis

where Lb is a differential operator of order 2, whose principal symbol vanishes on @. Thus u1 2 H 2;p ./; u1 D 0 on @, and w1 D u  u1 satisfies .  /w1 D r1 on ;

(7.14)

ˇ w1 ˇ@ D 0;

with ˇ ˇ r1 D .  /v r ˇ D Lb v r ˇ :

(7.15)

It follows from (5.49) that ˇ Lb v r ˇ 2 H 1;p ./  Lp2 ./;

(7.16)

for some p2 > p. If p2 < 1, repeat the construction above, applying it to (7.14), to obtain (7.17)

w1 D u2 C w2 ;

u2 2 H 2;p2 ./;

ˇ u2 ˇ@ D 0;

and (7.18)

.  /w2 D r2 on ;

ˇ w2 ˇ@ D 0;

r2 2 H 1;p2 ./  Lp3 ./:

Continue, obtaining (7.19)

u D u1 C    C uk C wk ;

uj 2 H 2;pj ./;

ˇ uj ˇ@ D 0;

such that (7.20) .  /wj D rj on ;

ˇ wj ˇ@ D 0;

rj 2 H 1;pj ./  Lpj C1 ./:

We continue until pk > n D dim . At this point, we use a couple of results that will be established in the next section. Given s 2 .0; 1/, let C s ./ denote the space of H¨older-continuous functions on , with H¨older exponent s. We have (7.21)

rk 2 H 1;pk ./  C s ./;

for some s 2 .0; 1/, appealing to Proposition 8.5 for the last inclusion in (7.21). Then the estimates in Theorem 8.9 imply (7.22)

wk 2 C 2Cs ./  H 2;p ./:

This proves (7.11). Arguments parallel to those used for M show that the heat semigroup e t , defined a priori on L2 ./, yields also a well-defined, strongly continuous semigroup

7. Lp -spectral theory of the Laplace operator

35

Hp .t/ on Lp ./, for each p 2 Œ1; 1/. If p denotes the generator of the heat semigroup on Lp ./, with Dirichlet boundary condition, then (7.11) implies (7.23)

D. p /  H 2;p ./;

p 2 .1; 1/:

We see that p has compact resolvent. Furthermore, arguments such as used above for M show that the spectrum of p coincides with the L2 -spectrum of . We now extend Proposition 7.1. Proposition 7.3. For p 2 .1; 1/; e z defines a holomorphic semigroup on Lp ./, on any symmetric cone K about RC of angle < . Proof. As in the proof of Proposition 7.1, the point we need to establish is the local uniform boundedness of the Lp ./-operator norm of e z , for z 2 K. In other words, we need estimates for the solution u to (7.24)

@u D u on K  ; @t

u.0/ D f;

ˇ uˇK@ D 0;

of the form (7.25)

ku.t/kLp ./  C kf kLp ./ ;

t 2 K; Re t  1:

By duality, it suffices to do this for p 2 .1; 2. The case p D 2 is obvious, so for the rest of the proof we will assume p 2 .1; 2/. We will also assume n D dim  > 1, since the reflection principle works easily when n D 1. To begin, define v by (7.26)

@v D v on K  M; @t

e 2 Lp .M /; v.0/ D f

e is f on , zero on M n . Making use of Proposition 7.2, which we where f know applies to e t on Lp .M /, we have (7.27)

kv.t/kH 1;p .M /  C jtj1=2 kf kLp ./ :

Now, if R W M ! M is the involution on M used above, for x 2  we set (7.28)

  u1 .t; x/ D v.t; x/  v t; R.x/ I

  u1 2 C K; Lp ./ :

We have (7.29)

@u1 D u1 C g on K  ; @t

u1 .0/ D f;

ˇ u1 ˇK@ D 0;

36

13. Function Space and Operator Theory for Nonlinear Analysis

and, by an argument parallel to (7.16), we derive from (7.27) an estimate kg.t/kLp ./  C jtj1=2 kf kLp ./ :

(7.30)

In this case, we replace appeal to (5.49) by the parametrix construction for e t on D0 .M / made in Chap. 7,  13. We regard u1 as a first approximation to u, but we seek a more accurate approximation rather than rely on an estimate at this point of the error. So now we define v2 by @v2 D v2  e g on K  M; @t

(7.31)

v2 .0/ D 0;

where e g is g on K   and zero on K  .M n /. We have Z v2 .t/ D 

(7.32)

t

e .t s/ e g .s/ ds;

0

and the estimate ke g .s/kLp .M /  C jsj1=2 from (7.30), together with the operator norm estimate of e .t s/ on Lp .M /, from Proposition 7.2, yields   v2 2 C K; H 1;p .M / :

(7.33) Now, for x 2 , set (7.34)

  u2 .t; x/ D v2 .t; x/  v2 t; R.x/ I

  u2 2 C K; H 1;p ./ :

Thus (7.35)

@u2 D u2  g C g2 on K  ; @t

u2 .0/ D 0;

ˇ u2 ˇK@ D 0;

and we have, parallel to but better than (7.30), (7.36)

kg2 .t/kLp ./  C kf kLp ./ :

Next, solve (7.37)

@v3 D v3  e g 2 on K  M; @t

v3 .0/ D 0;

where e g2 is g2 on K  and zero on K .M n/. The argument involving (7.32) and (7.33) this time yields the better estimate (7.38)

  v3 2 C K; H 2";p .M / ;

8 " > 0;

7. Lp -spectral theory of the Laplace operator

37

hence, by the Sobolev imbedding result of Proposition 6.4, with s D 1  ",   v3 2 C K; H 1;p3 .M / ;

(7.39)

p3 D

np > p; n  .1  "/p

provided p < n. Now we set   u3 .t; x/ D v3 .t; x/  v3 t; R.x/ I

(7.40)

  u3 2 C K; H 1;p3 ./ ;

and we get (7.41)

@u3 D u3  g2 C g3 on K  ; @t

u3 .0/ D 0;

ˇ u3 ˇK@ D 0;

with the following improvement on (7.36): (7.42)

kg3 .t/kLp3 ./  C kf kLp ./ :

Continuing in this fashion, we get (7.43)

    uj 2 C K; H 2";pj 1 ./  C K; H 1;pj ./ ;

with  p D p2 < p3 <    %. Given p 2 .1; 2/, some pk is  2. Then uk 2 C K; H 1 ./ satisfies (7.44)

@uk D uk  gk1 C gk on K  ; @t

uk .0/ D 0;

ˇ uk ˇK@ D 0;

with   gk 2 C K; L2 ./ :

(7.45)

Now we solve for w the equation (7.46)

@w D w  gk on K n ; @t

w.0/ D 0;

ˇ w ˇK@ D 0:

The easy L2 -estimates yield (7.47)

  w 2 C K; H 2" ./ ;

and the solution to (7.24) is (7.48)

u D u1 C    C uk C w:

This proves the desired estimate (7.25), for p 2 .1; 2/, which is enough to prove Proposition 7.3.

38

13. Function Space and Operator Theory for Nonlinear Analysis

We mention that an interpolation argument yields that e z is a holomorphic semigroup on Lp./ on a cone K that is symmetric about RC and has angle   1  j2=p  1j . (See [RS], Vol. 2, p. 255.) This result is valid even if  has nasty boundary, as well as in other settings. On the other hand, ingredients of the argument used above will also be useful for other results, presented below. Note that once we have the holomorphy of e t on Lp ./, for all p 2 .1; 1/, we can apply Proposition 7.2. In particular, suppose we carry out the construction of the uk above, not stopping as soon as pk  2, but letting  pk become arbitrarily large. Then (7.44) is replaced by gk 2 C K; Lpk ./ , and we can now apply Proposition 7.2 to improve (7.47) to (7.49)

  w 2 C K; H 2";pk ./ ;

making use of (7.2), (7.11), and interpolation to estimate the norm of e t W Lp ./ ! H 2";p ./. We now consider the construction (7.24)–(7.44) when u.0/ D f 2 L1 ./. We will restrict attention to t 2 RC . A direct inspection of the parametrix for the heat kernel, constructed in Chap. 7,  13, shows that e t W L1 .M / ! C 1 .M /, with norm  C t 1=2 , for t 2 .0; 1, so v in (7.26) satisfies the estimate kv.t/kC 1 .M /  C t 1=2 kf kL1 ./ , and ku1 .t/kC 1 ./ satisfies a similar estimate. Thus g in (7.29) satisfies the estimate (7.30), with p D 1, and consequently v2 in (7.32) satisfies kv2 .t/kC 1 .M /  C . Hence ku2 .t/kC 1 ./  C , and g2 in (7.35) satisfies (7.36) with p D 1. Thus u D u1 Cu2 Cw, where w satisfies (7.50)

@w D w  g2 on RC  ; @t

w.0/ D 0;

ˇ w ˇRC @ D 0:

By the holomorphy of e t on Lp ./ for p 2 .1; 1/, we have (7.51)

  w 2 C Œ0; 1/; H 2";p ./ ;

  for any " > 0 and arbitrarily large p < 1, hence w 2 C RC ; C 2ı ./ , for any ı > 0. We deduce that (7.52)

ke t f kC 1 ./  C t 1=2 kf kL1 ./ ;

0 < t  1:

The estimate (7.52), together with the following result, will be useful for the study of semilinear parabolic equations on domains with boundary, in  3 of Chap. 15. Proposition 7.4. If  is a compact Riemannian manifold with boundary, on which the Dirichlet condition is placed, then e t defines a strongly continuous semigroup on the Banach space (7.53)

˚  Cb1 ./ D f 2 C 1 ./ W f j@ D 0 :

7. Lp -spectral theory of the Laplace operator

39

Proof. It is easy to verify that, for N > 1 C .dim M /=4, D. N /  Cb1 ./;

densely:

Since e t is a strongly continuous semigroup on D. N /, it suffices to show that for each f 2 Cb1 ./, fe t f W 0  t  1g is uniformly bounded in Lip./. To see this, we analyze solutions to @u D u; for x 2 ; @t

u.0; x/ D f .x/;

u.t; x/ D 0; for x 2 @;

when (7.54)

f 2 C 1 ./;

ˇ f ˇ@ D 0:

We will to some extent follow the proof of Proposition 7.3, and also use that result. e equal to f on  and to zero on M n , we have f e 2 Lip.M /. In this case, for f Thus, for v defined by @v D v on RC  M; @t

e; v.0/ D f

we have (7.55)

  v 2 C RC ; Lip.M / ;

where the “C” stands for “weak” continuity in t, (i.e., v.t/ is bounded in Lip.M / and continuous in t, with values in H 1;p .M /, for each p < 1). Hence  ˇ u1 .t; x/ D v.t; x/  v t; R.x/ ˇRC  satisfies (7.56) We have

where

  u1 2 C RC ; Lip./ : @u1 D u1 C g; @t

u1 .0/ D f;

ˇ u1 ˇRC @ D 0;

ˇ g D Lb v r ˇRC  :

Here, as in (7.15), Lb is a second-order operator whose principal sym differential  bol vanishes on @, and v r .x/ D v R.x/ . Consequently, again an analogue of (5.49) gives (7.57)

  g 2 C RC ; L1 ./ :

40

13. Function Space and Operator Theory for Nonlinear Analysis

Now, we have u D u1 C w, where w satisfies ˇ @w D w  g; w.0/ D 0; w ˇRC @ D 0; @t   and, by (7.57), g 2 C RC ; Lp ./ , for all p < 1. This implies

(7.58)

(7.59)

  w 2 C RC ; H 2";p ./ ;

8p < 1; " > 0;

since e t is a holomorphic semigroup on Lp ./. This proves Proposition 7.4.

Exercises 1. Extend results of this section to the Neumann boundary condition. In Exercises 2 and 3, let  be an open subset, with smooth boundary, of a compact Riemannian manifold M . Assume there is an isometry  W M ! M that is an involution, fixing @, so M is the isometric double of . 2. Suppose Xj are smooth vector fields on , fj 2 Lp ./ for some p 2 Œ2; 1/, and u is the unique solution in H01;2 ./ to u D

X

Xj fj :

Show that u 2 H 1;p ./. (Hint: Reduce to the case where each Xj is a smooth vector field on # Xj D ˙Xj . Extend fj to fj 2 Lp .M /, so that   fj D fj . PM , such that1;p .M / is odd under :) Thus Xj fj 2 H 3. Extend the result of Exercise 2 to the case fj 2 Lp ./ when 1 < p < 2, appropriately weakening the a priori hypothesis on u. 4. Try to extend the results of Exercises 2 and 3 to general, compact, smooth , not necessarily having an isometric double. 5. Show that (7.5) can be improved to R W L1 ./ ! C./; for   0. (Hint: Use (7.11). Show that, in fact, for   0, R W L1 ./ ! C r ./;

8 r < 2:/

A sharper result will be contained in (8.54)–(8.55).

8. H¨older spaces and Zygmund spaces If 0 < s < 1, we define the space C s .Rn / of H¨older-continuous functions on Rn to consist of bounded functions u such that (8.1)

ju.x C y/  u.x/j  C jyjs :

8. H¨older spaces and Zygmund spaces

41

For k D 0; 1; 2; : : : , we take C k .Rn / to consist of bounded, continuous functions u such that D ˇ u is bounded and continuous, for jˇj  k. If s D k C r; 0 < r < 1, we define C s .Rn / to consist of functions u 2 C k .Rn / such that, for jˇj D k; D ˇ u belongs to C r .Rn /. For nonintegral s, the H¨older spaces C s .Rn / have a characterization similar to that for Lp and more generally H s;p , in (5.46) and (6.23), via the Littlewood– Paley partition of unity used in (5.37), 1D

1 X

'j ./2 ;

j D0

with 'j supported on hi  2j , and 'j ./ D '1 .21j / for j  1. Let 'j ./2 .

j ./

D

Proposition 8.1. If u 2 C s .Rn /, then sup 2ks k

(8.2)

k

k .D/ukL1

< 1:

Proof. To see this, first note that it is obvious for s D 0. For s D ` 2 ZC , it then follows from the elementary estimate C1 2k` k

k .D/u.x/kL1



X

k

k .D/D

˛

u.x/kL1

j˛j`

(8.3)

 C2 2k` k

k .D/u.x/kL1 :

Thus it suffices to establish that u 2 C s implies (8.2) for 0 < s < 1. Since O 1 .x/ has zero integral, we have, for k  1, j (8.4)

k .D/u.x/j

ˇZ

ˇˇ ˇ D ˇ O k .y/ u.x  y/  u.x/ dy ˇ Z  C j O k .y/j  jyjs dy;

which is readily bounded by C  2ks . This result has a partial converse. Proposition 8.2. If s is not an integer, finiteness in (8.2) implies u 2 C s .Rn /. P Proof. It suffices to demonstrate this for 0 < s < 1. With ‰k ./ D j k j ./, if jyj  2k , write Z (8.5)

1

y  r‰k .D/u.x C ty/ dt 0   C I  ‰k .D/ u.x C y/  u.x/

u.x C y/  u.x/ D

42

13. Function Space and Operator Theory for Nonlinear Analysis

and use (8.2) and (8.3) to dominate the L1 -norm of both terms on the right by C  2sk , since kr‰k .D/ukL1  C  2.1s/k . This converse breaks down if s 2 ZC . We define the Zygmund space Cs .Rn / to consist of u such that (8.2) is finite, using that to define the Cs -norm, namely, kukCs D sup 2ks k

(8.6)

k

k .D/ukL1 :

Thus C s D Cs if s 2 RC n ZC ;

(8.7)

C k  Ck ; k 2 ZC :

The class Cs .Rn / can be defined for any s 2 R, as the set of elements u 2 S 0 .Rn / such that (8.6) is finite. The following complements previous boundedness results for Fourier multipliers P .D/ on Lp .Rn / and on H s;p .Rn /. Proposition 8.3. If P ./ 2 S1m .Rn /, then, for all s 2 R, P .D/ W Cs ! Csm :

(8.8)

Proof. Consider first the case m D 0. Pick Q j ./ 2 C01 .Rn / such that Q j ./ D 1 on supp j and Q j ./ D Q 1 .21j /, for j  2. It follows readily from the analysis of the Schwartz kernel of P .D/ made in  2 of Chap. 7, particularly in the proof of Proposition 2.2 there, that P ./ 2 S10 .Rn / H) sup k Q j ./P ./kF L1 < 1;

(8.9)

j

b L1 . Also, it is clear that where kQkF L1 D kQk (8.10)

k

k .D/P .D/ukL1

 C k Q k P kF L1  k

k .D/ukL1 ;

which implies (8.8) for m D 0. The extension to general m 2 R is straightforward. In particular, with ƒ D .1  /1=2 , (8.11)

ƒm W Cs ! Csm is an isomorphism.

Note that in light of (8.9) and (8.10), we have (8.12)

kP .D/ukCs  C

sup

2Rn ;j˛jŒn=2 C1

kP .˛/ ./hij˛j kL1  kukCs :

8. H¨older spaces and Zygmund spaces

43

In particular, for y 2 R, kƒiy ukCs  C hyin=2C1 kukCs :

(8.13)

Compare with (5.47). The Sobolev imbedding theorem, Proposition 6.3, can be sharpened and extended to the following: Proposition 8.4. For all s 2 R; p 2 .1; 1/, H s;p .Rn /  Cr .Rn /;

(8.14)

r Ds

n : p

Proof. In light of (8.11), it suffices to consider the case s D n=p. Let Lm ./ 2 S1m .Rn / be nowhere vanishing and satisfy Lm ./ D jjm , for jj  1=100. It suffices to show that, for p 2 .1; 1/, (8.15)

k

k .D/Ln=p .D/ukL1

 C kukLp .Rn / ;

with C independent of k. We can restrict attention to k  2. Then Ak ./ D k ./Ln=p ./ satisfies AkC1 ./ D 2nk=p A1 .2k /: Hence b AkC1 .x/ 2 S.Rn / and (8.16)

kb AkC1 kLp0 .Rn / D C; independent of k  2:

Thus the left side of (8.15) is dominated by kb Ak kLp0  kukLp , which in turn is dominated by the right side of (8.15). This completes the proof. It is useful to extend Proposition 8.3 to the following. m Proposition 8.5. If p.x; / 2 S1;0 .Rn /, then, for s 2 R,

(8.17)

p.x; D/ W Cs .Rn / ! Csm .Rn /:

Proof. In light of (8.11), it suffices to consider the case m D 0. Also, it suffices to consider one fixed s, which we can take to be positive. First we prove (8.17) in the special case where p.x; / has compact support in x. Then we can write Z (8.18)

p.x; D/u D

e ix q .D/u d;

with (8.19)

q ./ D .2/

n

Z

e ix p.x; / dx:

44

13. Function Space and Operator Theory for Nonlinear Analysis

Via the estimates used  to prove  Proposition 8.3, it follows that, for any given s 2 R, q .D/ 2 L Cs .Rn / has an operator norm that is a rapidly decreasing function of . It is easy to establish the estimate (8.20)

ke ix ukCs  C.s/ his kukCs

.s > 0/;

first for s … ZC , by using the characterization (8.1) of C s D Cs , then for general s > 0 by interpolation. The desired operator bound on (8.18) follows easily. To do the general case, one can use a partition of unity in the x-variables, of the form X 1D 'j .x/; 'j .x/ D '0 .x C j /; '0 2 C01 .Rn /; j 2Zn

and exploit the estimates on pj .x; D/u D 'j .x/p.x; D/u obtained by the argument above, in concert with the rapid decrease of the Schwartz kernel of the operator p.x; D/ away from the diagonal. Details are left to the reader. In  9 we will establish a result that is somewhat stronger than Proposition 8.5, but this relatively simple result is already useful for H¨older estimates on solutions to linear, elliptic PDE. It is useful to note that we can define Zygmund spaces Cs .T n / on the torus just as in (8.6), but using Fourier series. We again have (8.7) and Propositions 8.3–8.5. The issue of how Zygmund spaces form a complex interpolation scale is more subtle than the analogous situation for Lp -Sobolev spaces, treated in  6. A different type of complex interpolation functor, ŒX; Y b , defined in Appendix A at the end of this chapter, does a better job than ŒX; Y  . We have the following result established in Appendix A. Proposition 8.6. For r; s 2 R;  2 .0; 1/, (8.21)

ŒCr .T n /; Cs .T n /b D CsC.1 /r .T n /:

It is straightforward to extend the notions of H¨older and Zygmund spaces to spaces C s .M / and Cs .M / when M is a compact manifold without boundary. Furthermore, the analogue of (8.14) is readily established, and we have (8.22)

P W Cs .M / ! Csm .M /

m if P 2 OPS1;0 .M /:

If  is a compact manifold with boundary, there is an obvious notion of C s ./, for s  0. We will define Cs ./ below, for s  0. For now we look further at C s ./. The following simple observation is useful. Give  a Riemannian metric and let ı.x/ D dist.x; @/.

8. H¨older spaces and Zygmund spaces

45

Proposition 8.7. Let r 2 .0; 1/. Assume f 2 C 1 ./ satisfies (8.23)

jrf .x/j  C ı.x/r1 ;

x 2 :

Then f extends continuously to , as an element of C r ./. Proof. There is no loss of generality in assuming that  is the unit ball in Rn . When estimating f .x2 /  f .x1 /, we may as well assume that x1 and x2 are a distance  1=4 from @ and jx1  x2 j  1=4. Write Z f .x2 /  f .x1 / D

df .x/; 

where  is a path from x1 to x2 of the following sort. Let yj lie on the ray segment from 0 to xj , a distance d D jx1  x2 j from xj . Then  goes from x1 to y1 on a line, from y1 to y2 on a line, and from y2 to x2 on a line, as illustrated in Fig. 8.1. Then Z (8.24) jf .xj /  f .yj /j  C

1

Z

d

.1  /r1 d D C

1d

 r1 d   C 0 d r ;

0

while (8.25)

jf .y1 /  f .y2 /j  C jy1  y2 jd r1  C 0 d r ;

so (8.26)

jf .x2 /  f .x1 /j  C jx1  x2 jr ;

as asserted.

F IGURE 8.1 Path from x1 to x2

46

13. Function Space and Operator Theory for Nonlinear Analysis

Now consider  of the form  D Œ0; 1  M , where M is a compact Riemannian manifold without boundary. We want to consider the action on f 2 C r .M / of a family of operators of Poisson integral type, such as were studied in Chap. 7,  12, to construct parametrices for regular elliptic boundary problems. We recall from (12.35) of Chap. 7 the class OP P j consisting of families A.y/ of pseudodifferential operators on M , parameterized by y 2 Œ0; 1: (8.27)

j kC` A.y/ 2 OP P j ” y k Dy` A.y/ bounded in OPS1;0 .M /:

Furthermore, if L 2 OPS 1 .M / is a positive, self-adjoint, elliptic operator, then operators of the form A.y/e yL , with A.y/ 2 OP P j , belong to OP Pej . In addition (see (12.50)), any A.y/ 2 OP Pej can be written in the form e yL B.y/ for some such elliptic L and some B.y/ 2 OP P j . The following result is useful for H¨older estimates on solutions to elliptic boundary problems. j

Proposition 8.8. If A.y/ 2 OP Pe (8.28)

and f 2 Cr .M /, then

u.y; x/ D A.y/f .x/ H) u 2 C j Cr .I  M /;

provided j C r 2 RC n ZC . Note that we allow r < 0 if j > 0. Proof. First consider the case j D 0; 0 < r < 1, and write (8.29)

A.y/f D e yƒ B.y/f;

B.y/ 2 OP P 0 :

We can assume without loss of generality that ƒ D .1 /1=2, and we can replace M by Rn . In such a case, we will show that (8.30)

jry;x u.y; x/j  Cy r1 kukC r

if 0 < r < 1, which by Proposition 8.7 will yield u 2 C r .I  M /. Now if we set @j D @=@xj for 1  j  n; @0 D @=@y, then we can write (8.31)

y@j u.y; x/ D yƒe yƒ Bj .y/f;

Bj .y/ 2 OP P 0 :

Now, given f 2 C r .M /; 0 < r < 1, we have Bj .y/f bounded in C r .M /, for y 2 Œ0; 1. Then the estimate (8.30) follows from (8.32)

k'.yƒ/gkL1  Cy r kgkCr ;

for 0 < r < 1, where './ D e  , which vanishes at  D 0 and is rapidly decreasing as  ! C1. In turn, this follows easily from the characterization (8.6) of the Cr -norm.

8. H¨older spaces and Zygmund spaces

47

If f 2 C kCr .M /; k 2 ZC ; 0 < r < 1, and j D 0 then given j˛j  k, (8.33)

˛ u D e yƒ B˛ .y/ƒk f; Dy;x

B˛ .y/ 2 OP P 0 ;

˛ u 2 so the analysis of (8.29), with f replaced by ƒk f , applies to yield Dy;x r C .I  M /, for j˛j  k. Similarly, the extension from j D 0 to general j 2 ZC is straightforward, so Proposition 8.8 is proved.

As we have said above, Proposition 8.8 is important because it yields H¨older estimates on solutions to elliptic boundary problems, as defined in Chap. 5,  11. The principal consequence is the following: Theorem 8.9. Let .P; Bj ; 1  j  `/ be a regular elliptic boundary problem. Suppose P has order m and each Bj has order mj . If u solves (8.34)

P u D 0 on ;

Bj u D gj on @;

then, for r 2 RC n ZC , (8.35)

rmj

gj 2 C

.@/ H) u 2 C r ./:

of @, diffeomorphic Proof. Of course, u 2 C 1 ./. On a collar  neighborhood  to Œ0; 1  @, we can write, modulo C 1 Œ0; 1  @ , (8.36)

uD

X

Qj .y/gj ;

mj

Qj .y/ 2 OP Pe

;

by Theorem 12.6 of Chap. 7, so the implication (8.35) follows directly from (8.28). We next want to define Zygmund spaces on domains with boundary. Let  be an open set with smooth boundary (and closure ) in a compact manifold M . We want to consider Zygmund spaces Cr ./; r > 0. The approach we will take is to define Cr ./ by interpolation: (8.37)



b Cr ./ D C s1 ./; C s2 ./  ;

where 0 < s1 < r < s2 ; 0 <  < 1; r D .1  /s1 C s2 (and sj … Z). As in (8.21), we are using the complex interpolation functor defined in Appendix A. We need to show that this is independent of choices of such sj . Using an argument parallel to one in  6, for any N 2 ZC , we have an extension operator (8.38)

E W C s ./ ! C s .M /;

s 2 .0; N / n Z;

48

13. Function Space and Operator Theory for Nonlinear Analysis

providing a right inverse for the surjective restriction operator (8.39)

 W C s .M / ! C s ./:

From Proposition 8.6, we can deduce that whenever r > 0 and sj and  are

b as above, Cr .M / D C s1 .M /; C s2 .M /  . Thus, by interpolation, we have, for r > 0, (8.40)

E W Cr ./ ! Cr .M /;

 W Cr .M / ! Cr ./;

and E D I on Cr ./. Hence (8.41)

ˇ ı Cr ./ Cr .M / fu 2 Cr .M / W uˇ D 0g:

This characterization is manifestly independent of the choices made in (8.37). Note that the right side of (8.41) is meaningful even for r  0. By Propositions 8.1 and 8.2, we know that Cr .M / D C r .M /, for r 2 RC n C Z , so (8.42)

Cr ./ D C r ./; for r 2 RC n ZC :

Using the spaces Cr ./, we can fill in the gaps (at r 2 ZC ) in the estimates of Theorem 8.9. Proposition 8.10. If .P; Bj ; 1  j  `/ is a regular elliptic boundary problem as in Theorem 8.9 and u solves (8.34), then, for all r 2 .0; 1/, (8.43)

rmj

gj 2 C

.@/ H) u 2 Cr ./:

Proof. For r 2 RC nZC , this is equivalent to (8.35). Since the solution u is given, mod C 1 ./, by the operator (8.36), the rest follows by interpolation. In a sense, the C0 -norm is only a tad weaker than the C 0 -norm. The following is a quantitative version of this statement, which will prove very useful for the study of nonlinear evolution equations, particularly in Chap. 17. Proposition 8.11. If s > n=2 C ı, then there is C < 1 such that, for all " 2 .0; 1, (8.44)

 1 kukL1  C "ı kukH s C C log kukC0 : "

P Proof. By (8.6), kukC0 D sup k k .D/ukL1 . Now, with ‰j D `j ` , make   the decomposition u D ‰j .D/u C 1  ‰j .D/ u; let " D 2j . Clearly, (8.45)

k‰j .D/ukL1  j kukC0 :

8. H¨older spaces and Zygmund spaces

49

Meanwhile, using the Sobolev imbedding theorem, since n=2 < s  ı, k.1  ‰j .D//ukL1  C k.1  ‰j .D//ukH sı  C 2jı k.1  ‰j .D//ukH s ;

(8.46)

  the last identity holding since f2jı hiı 1  ‰j ./ W j 2 ZC g is uniformly bounded. This proves (8.44). Suppose the norms satisfy kukC0  C kukH s . If we substitute "ı D C kukC0 =kukH s into (8.44), we obtain the estimate (for a new C D C.ı/) 1

" (8.47)

kukL1  C kukC0

kukH s 1 C log kukC0

!# :

We note that a number of variants of (8.44) and (8.47) hold. For some of them, it is useful to strengthen the last observation in the proof above to (8.48)

˚ jı ı    2 hi 1  ‰j ./ W j 2 ZC is bounded in S10 .Rn /:

An argument parallel to the proof of Proposition 8.11 gives estimates (8.49)

 1 kukC k .M /  C "ı kukH s .M / C C log kukCk .M / ; "

given k 2 ZC ; s > n=2 C k C ı, and consequently " (8.50)

kukC k .M /  C kukCk .M /

kukH s 1 C log kukCk

!#

when M is a compact manifold without boundary. We can also establish such an estimate for the C k ./-norm when  is a compact manifold with boundary. If   M as above, this follows easily from (8.50), via: Lemma 8.12. For any r 2 .0; N /, (8.51)

kukCr ./ kEukCr .M / :

Proof. If Euj ! v in Cr .M /, then Euj ! v in Cr ./, that is, uj ! v in Cr ./, since Euj D uj . Thus v D Ev, in this case. This proves the lemma, which is also equivalent to the statement that E in (8.40) has closed range. We also have such a result for Sobolev spaces: (8.52)

kukH r;p ./ kEukH r;p .M / ;

1 < p < 1:

50

13. Function Space and Operator Theory for Nonlinear Analysis

Thus (8.50) yields (8.53)

"

kukH s ./ 1 C log kukCk ./

kukC k ./  C kukCk ./

!# ;

provided s > n=2 C k.

Exercises 1. Extend the estimates of Theorem 8.9 and Proposition 8.10 to solutions of (8.54)

Bj u D gj on @:

P u D f on ;

Show that, for r 2 . ; 1/; D max.mj /, (8.55)

rmj

f 2 Crm ./; gj 2 C

.@/ H) u 2 Cr ./:

Note that we allow r  m < 0, in which case Crm ./ is defined by the right side of (8.41) (with r replaced by r  m). 2. Establish the following result, similar to (8.44): (8.56)

 1 11=q kukL1  C "ı kukH s;p C C log kukH n=q;q ; "

where s > n=p C ı; q 2 Œ2; 1/, and a similar estimate for q 2 .1; 2, using  1=q . (See [BrG] and [BrW].) log 1=" 3. From (8.15) it follows that H 1;p .Rn /  C r .Rn / if p > n; r D 1  n=p. Demonstrate the following more precise result: (8.57)

ju.x/  u.y/j  C jx  yj1n=p krukLp .Bxy / ;

where Bxy D Bjxyj .x/ \ Bjxyj .y/. (Hint: Apply scaling to (2.16) to obtain

p > n;

Z

jv.re1 /  v.0/j  C r pn

jrv.x/jp dx: Br .0/

To pass from Bjxyj .x/ to Bxy in (8.57), note what the support of ' is in Exercise 5 of  2.) There is a stronger estimate, known as Morrey’s inequality. See Chap. 14 for more on this.

9. Pseudodifferential operators with nonregular symbols We establish here some results on H¨older and Sobolev space continuity for pseudodifferential operators p.x; D/ with symbols p.x; / which are somewhat more ill behaved than those for which we had L2 -Sobolev estimates in Chap. 7 or Lp -Sobolev estimates and H¨older estimates in  5 and 8 of this chapter. These results will be very useful in the analysis of nonlinear, elliptic PDE in Chap. 14 and will also be used in Chaps. 15 and 16.

9. Pseudodifferential operators with nonregular symbols

51

m Let r 2 .0; 1/. We say p.x; / 2 Cr S1;ı .Rn / provided

jD˛ p.x; /j  C˛ himj˛j

(9.1) and (9.2)

kD˛ p.; /kCr .Rn /  C˛ himj˛jCır :

Here ı 2 Œ0; 1. The following rather strong result is due to G. Bourdaud [Bou], following work of E. Stein [S2]. m Theorem 9.1. If r > 0 and p 2 .1; 1/, then, for p.x; / 2 Cr S1;1 ,

p.x; D/ W H sCm;p ! H s;p ;

(9.3)

provided 0 < s < r. Furthermore, under these hypotheses, p.x; D/ W CsCm ! Cs :

(9.4)

Before giving the proof of this result, we record some implications. Note m that any p.x; / 2 S1;1 satisfies the hypotheses for all r > 0. Since operators m in OPS1;ı possess good multiplicative properties for ı 2 Œ0; 1/, we have the following: m Corollary 9.2. If p.x; / 2 S1;ı ; 0  ı < 1, we have the mapping properties (9.3) and (9.4) for all s 2 R. 0 It is known that elements of OPS1;1 need not be bounded on Lp , even for p D 2, but by duality and interpolation we have the following: m Corollary 9.3. If p.x; D/ and p.x; D/ belong to OPS1;1 , then (9.3) holds for all s 2 R.

We prepare to prove Theorem 9.1. It suffices to treat the case m D 0. Following [Bou] and also [Ma2], we make use of the following results from Littlewood– Paley theory. These results follow from (6.23) and (6.25), respectively. Lemma 9.4. Let fk 2 S 0 .Rn / be such that, for some A > 0, (9.5)

supp fOk  f W A  2k1  jj  A  2kC1 g;

k  1:

Say fO0 has compact support. Then, for p 2 .1; 1/; s 2 R, we have (9.6)

1  X   fk   kD0

H s;p

1 n X o1=2     C 4ks jfk j2  kD0

Lp

:

52

13. Function Space and Operator Theory for Nonlinear Analysis

If fk D 'k .D/f with 'k supported in the shell defined in (9.5) and bounded in 0 S1;0 , then the converse of the estimate (9.6) also holds. Lemma 9.5. Let fk 2 S 0 .Rn / be such that (9.7)

supp fOk  f W jj  A  2kC1 g;

k  0:

Then, for p 2 .1; 1/; s > 0, we have (9.8)

1  X   fk   kD0

H s;p

1 n X o1=2     C 4ks jfk j2 

Lp

kD0

:

The next ingredient is a symbol decomposition. We begin with the Littlewood– Paley partition of unity (5.37), 1D

(9.9)

X

'j ./2 D

X

j ./;

and with (9.10)

p.x; / D

1 X

p.x; /

j ./

D

j D0

1 X

pj .x; /:

j D0

  Now, let us take a basis of L2 jj j <  of the form e˛ ./ D e i ˛ ; and write (for j  1) (9.11)

pj .x; / D

X

pj˛ .x/e˛ .2j /

# j ./;

˛

where 1# ./ has support on 1=2 < jj < 2 and is 1 on supp 1 ; j# ./ D # j C1 /, with an analogous decomposition for p0 ./. Inserting these decom1 .2 positions into (9.10) and summing over j , we obtain p.x; / as a sum of a rapidly decreasing sequence of elementary symbols. 0 By definition, an elementary symbol in Cr S1;ı is of the form (9.12)

q.x; / D

1 X

Qk .x/'k ./;

kD0

where 'k is supported on hi  2k and bounded in S10 —in fact, 'k ./ D '1 .2kC1 /, for k  2—and Qk .x/ satisfies

9. Pseudodifferential operators with nonregular symbols

53

jQk .x/j  C; kQk kCr  C  2krı :

(9.13)

For the purpose of proving Theorem 9.1, we take ı D 1. It suffices to estimate the H r;p -operator norm of q.x; D/ when q.x; / is such an elementary symbol. Set Qkj .x/ D j .D/Qk .x/, with f j g the partition of unity described in (9.9). Set 9 8 kC3 1 = X < k4 X X X q.x; / D Qkj .x/ C Qkj .x/ C Qkj .x/ 'k ./ ; : k

(9.14)

j D0

j Dk3

j DkC4

D q1 .x; / C q2 .x; / C q3 .x; /:

We will perform separate estimates of these three pieces. Set fk D 'k .D/f . First we estimate q1 .x; D/f . By Lemma 9.4, since hi  2j on the spectrum of Qkj ,

kq1 .x; D/f kH s;p

8 91=2 1 k4 =  < X X ˇ ˇ 2    C 4ks ˇ Qkj fk ˇ  p : ; L j D0

kD4

( 1 ) 1=2   X   ks 2 2  C 4 kQk kL1 jfk j 

(9.15)

Lp

kD4

 C kf kH s;p ; for all s 2 R. To estimate q2 .x; D/f , note that kQkj kL1  C  2jrCkr . Then Lemma 9.5 implies ( 1 ) 1=2   X   ks 2 (9.16) kq2 .x; D/f kH s;p  C  4 jfk j  p  C kf kH s;p ; L

kD0

for s > 0. Pj 4 To estimate q3 .x; D/f , we apply Lemma 9.4 to hj D kD0 Qkj fk , to obtain kq3 .x; D/f kH s;p

8 91=2 jX 4 1 =  < X ˇ ˇ 2    C 4js ˇ Qkj fk ˇ  p : ; L j D4

(9.17)

j D4

Now, if we set gj D 2js jfj j, we see that

kD0

8 !2 91=2 j 4 1 =  < X X    C 4j.sr/ 2kr jfk j  p: : ; L Pj 4 kD0

kD0

2.kj /r jfk j and then set Gj D 2js gj and Fj D

54

13. Function Space and Operator Theory for Nonlinear Analysis jX 4

Gj D

2.kj /.rs/ Fk :

kD0

As long as r > s, Young’s inequality (see Exercise 1 at the end of this section) yields k.Gj /k`2  C k.Fj /k`2 , so the last line in (9.17) is bounded by 91=2 8 1 =  < X   4js jfj j2 C  p  C kf kH s;p : ; : L j D0

This proves (9.3). The proof of (9.4) is similar. We replace (9.6) by kf kCr  sup 2kr k

(9.18)

k0

k .D/f

kL1 ;

r > 0:

We also need an analogue of Lemma 9.5: Lemma 9.6. If fk 2 S 0 .Rn / and supp fOk  f W jj  A  2kC1 g, then, for r > 0, 1  X  fk 

(9.19)

Cr

kD0

 C sup 2kr kfk kL1 : k0

Proof. For some finite N , we have Suppose supk 2kr kfk kL1 D S . Then   

j .D/

X

  fk 

L1

k0

j .D/

P k0

X

 CS

fk D

j .D/

P kj N

fk .

2kr  C 0 S 2jr :

kj N

This proves (9.19). Now, to prove (9.4), as before it suffices to consider elementary symbols, of the form (9.12)–(9.13), and we use again the decomposition q.x; / D q1 C q2 C q3 of (9.14). Thus it remains to obtain analogues of the estimates (9.15)–(9.17). P Parallel to (9.15), using the fact that k4 j D0 Qkj .x/fk has spectrum in the shell k hi  2 , and kQk kL1  C , we obtain kq1 .x; D/f k

Cs

(9.20)

 C sup 2

X  k4

ks 

k0

j D0

 Qkj fk L1

 C sup 2 kfk kL1 ks

k0

 C kf kCs ;

9. Pseudodifferential operators with nonregular symbols

55

for all s 2 R. Parallel to (9.16), using kQkj kL1  C  2jrCkr and Lemma 9.6, we have 1  X kq2 .x; D/f kCs   gk C s



kD0

 C sup 2ks kgk kL1

(9.21)

k0

 C sup 2ks kfk kL1  C kf kCs ; k0

for all s > 0, where the sum of seven terms gk D

kC3 X

Qkj .x/fk

j Dk3

has spectrum contained in jj  C  2k , and kgk kL1  C kfk kL1 . P 4 Qkj fk has spectrum in the shell hi  Finally, parallel to (9.17), since jkD0 2j , we have kq3 .x; D/f k

Cs

 C sup 2 j 0

 C sup 2

(9.22)

j 0

4  jX

js 

 Qkj fk L1

kD0 j.sr/

j 4 X

2kr kfk kL1 :

kD0

If we bound this last sum by

(9.23)

4 h jX

i 2k.rs/ sup 2ks kfk kL1 ; k

kD0

then (9.24)

jX 4 i h 2k.rs/ kf kCs ; kq3 .x; D/f kCs  C sup 2j.sr/ j 0

kD0

and the factor in brackets is finite as long as s < r. The proof of Theorem 9.1 is complete. Things barely blow up in (9.24) when s D r. We will establish the following m result here. A sharper result (for p.x; / 2 Cr S1;ı with ı < 1) is given in (9.43).

56

13. Function Space and Operator Theory for Nonlinear Analysis

m Proposition 9.7. If p.x; / 2 Cr S1;1 , then

(9.25)

p.x; D/ W CmCrC" ! Cr ; for all " > 0:

Proof. It suffices to treat the case m D 0. We follow the proof of (9.4). The estimates (9.20) and (9.21) continue to work; (9.22) yields kq3 .x; D/f kCr  C sup

j 0

(9.26)

DC

1 X

jX 4

2kr kfk kL1

kD0

2kr kfk kL1

kD0

C

1 X

2kr  2krk" kf kC rC" ; 

kD0

which proves (9.25). m most frequently arise is the following. One has in The way symbols in Cr S1;ı m hand a symbol p.x; / 2 Cr S1;0 , such as the symbol of a differential operator, with H¨older-continuous coefficients. One is then motivated to decompose p.x; / as a sum

(9.27)

p.x; / D p # .x; / C p b .x; /;

m where p # .x; / 2 S1;ı , for some ı 2 .0; 1/, and there is a good operator calculus  # b for p .x; D/, while p .x; / 2 Cr S1;ı (for some < m) is treated as a remainder term, to be estimated. We will refer to this construction as symbol smoothing. The symbol decomposition (9.27) is constructed as follows. Use the partition m of unity j ./ of (9.9). Given p.x; / 2 Cr S1;0 , choose ı 2 .0; 1 and set

(9.28)

p # .x; / D

1 X

J"j p.x; /

j ./;

j D0

where J" is a smoothing operator on functions of x, namely (9.29)

J" f .x/ D ."D/f .x/;

with  2 C01 .Rn /; ./ D 1 for jj  1 (e.g.,  D (9.30)

0 ),

and we take

"j D 2jı :

We then define p b .x; / to be p.x; /  p # .x; /, yielding (9.27). To analyze these terms, we use the following simple result.

9. Pseudodifferential operators with nonregular symbols

Lemma 9.8. For " 2 .0; 1, kDxˇ J" f kCs  Cˇ "jˇ j kf kCs

(9.31) and

kf  J" f kCst  C "t kf kCs ; for t  0:

(9.32)

Furthermore, if s > 0, kf  J" f kL1  Cs "s kf kCs :

(9.33)

Proof. The estimate (9.31) follows from the fact that, for each ˇ  0, 0 ; "jˇ j Dxˇ ."D/ is bounded in OPS1;0

and the estimate (9.32) follows from the fact that, with ƒ D .1  /1=2 , ƒt W Cs ! Cst isomorphically, plus the fact that 0 ; "t ƒt .1  ."D// is bounded in OPS1;0

for 0 < "  1. As for (9.33), if "  2j , we have X X   k ` .D/f kL1  C 2`s kf kCs ; k 1  ."D/ f kL1  `j

and since

P `j

`j

2`s  Cs 2js for s > 0, (9.33) follows.

Using this, we easily derive the following conclusion: m , then, in the decomposition (9.27), Proposition 9.9. If p.x; / 2 Cr S1;0 m p # .x; / 2 S1;ı

(9.34) and

mrı : p b .x; / 2 Cr S1;ı

(9.35)

Proof. The estimate (9.31) yields (9.36)

kDxˇ D˛ p # .; /kCr  C˛ˇ himj˛jCıjˇ j ;

which implies (9.34).

57

58

13. Function Space and Operator Theory for Nonlinear Analysis

That p b .x; / satisfies an estimate of the form (9.2), with m replaced by mrı, follows from (9.32), with t D 0. That it satisfies (9.1), with m replaced by m  rı, is a consequence of the estimate (9.33). m It will also be useful to smooth out a symbol p.x; / 2 Cr S1;ı , for ı 2 .0; 1/. Pick  2 .ı; 1/, and apply (9.28), with "j D 2j. ı/ , obtaining p # .x; / and hence a decomposition of the form (9.27). In this case, we obtain

(9.37)

m m p.x; / 2 Cr S1;ı H) p # .x; / 2 S1; ;

m. ı/r

p b .x; / 2 Cr S1;

:

We use the symbol decomposition (9.27) to establish the following variant of Theorem 9.1, which will be most useful in Chap. 14. m Proposition 9.10. If ı 2 Œ0; 1/ and p.x; / 2 Cr S1;ı , then

(9.38)

p.x; D/ W H sCm;p ! H s;p ; p.x; D/ W CsCm ! Cs ;

provided p 2 .1; 1/ and .1  ı/r < s < r:

(9.39)

Proof. The result from Theorem 9.1 if 0 < s < r, so it remains  follows directly

to consider s 2 .1  ı/r; 0 . Use the decomposition (9.27), p D p # C p b , with (9.37) holding. Thus p # .x; D/ has the mapping property (9.38) for all s 2 R. Applying Theorem 9.1 to p b .x; D/ yields mapping properties such as p b .x; D/ W H Cm. ı/r;p ! H ;p ;

 > 0;

or, setting s D   .  ı/r, p b .x; D/ W H sCm;p ! H sC. ı/r;p  H s;p ;

s > .  ı/r;

and similar results on CsCm . Then letting  % 1 completes the proof of (9.38). Recall that, for r 2 .0; 1/, we have defined p.x; / to belong to the space m Cr S1;ı .Rn / provided the estimates (9.1) and (9.2) hold. If r 2 Œ0; 1/, we will m say that p.x; / 2 C r S1;ı .Rn / provided that (9.1)–(9.2) hold and, additionally, (9.40)

kD˛ p.; /kC j .Rn /  C˛ himj˛jCjı ;

0  j  r;

j 2 Z:

m m In particular, we make a semantic distinction between Cr S1;ı and C r S1;ı even C r r when r … Z , in which cases C and C coincide. The differences between the two symbol classes are minor, especially when r … Z, but natural examples of symbols often do have this additional property, and we sometimes use the symbol classes just defined to record this fact.

Exercises

59

Exercises 1. Young’s inequality implies kf  gk`q  kf k`1 kgk`q ; P where f D .fj /; g D .gj /, and .f  g/j D k fj k gk . Show how this applies (with q D 2) to the estimate of (9.17). 2. Supplement Lemma 9.8 with the estimates ˇ

kDx J" f kL1  C kf kC s ; C"

(9.41)

jˇj  s;

.jˇ js/

kf kCs ;

jˇj > s;

given s > 0. m has the decomposition (9.27), then 3. Show that if p.x; / 2 Cr S1;0 ˇ

m Dx p # .x; / 2 S1;ı ;

(9.42)

for jˇj < r;

mCı.jˇ jr/ ; S1;ı

for jˇj > r:

4. Strengthen part of Proposition 9.10 to obtain, for ı 2 Œ0; 1/; r > 0, (9.43)

m H) p.x; D/ W CsCm ! Cs ; for  .1  ı/r < s  r: p.x; / 2 Cr S1;ı

(Hint: Apply Proposition 9.7 to p b .x; D/, arising in (9.37).) 5. Given s 2 R; 1  p; q  1, we say f 2 S 0 .Rn / belongs to the Triebel space s .Rn / provided Fp;q (9.44)

 s D f2js kf kFp;q

j .D/f

 gLp .Rn ;`q / < 1;

s D H s;p if 1 < p < 1, where f j g is the partition of unity (9.9). Note that Fp;2 0 n s .Rn / by Lemma 9.4. Also, we say that f 2 S .R / belongs to the Besov space Bp;q provided   s D f2js j .D/f g`q .Lp .Rn // < 1: (9.45) kf kBp;q s D H s , since `2 .L2 .Rn // D L2 .Rn ; `2 /. s D Cs . Also, B2;2 Note that B1;1 Extend Theorem 9.1 to results of the form sCm s ! Fp;q ; p.x; D/ W Fp;q

sCm s p.x; D/ W Bp;q ! Bp;q :

(See [Ma1].) m to consist of p.x; / 2 C r S m such that 6. We define the symbol class Cr Scl  1;0 (9.46)

p.x; / 

X

pj .x; /

j 0 m is homogeneous of degree m  j in , for jj  1, and where pj .x; / 2 Cr S1;0 (9.46) means that the difference between the left side and the sum over 0  j < N mN . If r 2 RC n ZC , we also denote the symbol class by C r S m . belongs to Cr S1;0 cl Show that estimates of the form (9.3) and (9.4) have simpler proofs in this case, derived

60

13. Function Space and Operator Theory for Nonlinear Analysis from expansions of the form

(9.47)

pj .x; / D

X

  pj .x/jjmj ! jj1  ;



for jj  1, where f! g is an orthonormal basis of L2 .S n1 / consisting of eigenfunctions of the Laplace operator.

10. Paradifferential operators Here we develop the paradifferential operator calculus, introduced by J.-M. Bony in [Bon]. We begin with Y. Meyer’s ingenious formula for F .u/ as M.x; D/u CR where F is smooth in its argument(s), u belongs to a H¨older or Sobolev space, M.x; D/ is a pseudodifferential operator of type .1; 1/, and R is smooth. From there, one applies symbol smoothing to M.x; / and makes use of results established in  9. Following [Mey], we discuss the connection between F .u/, for smooth nonlinear F , and the action on u of certain pseudodifferential operators of type .1; 1/. Let j ./PD 'j ./2 be the Littlewood–Paley partition of unity (5.37), and set ‰k ./ D j k j ./. Given u (e.g., in C r .Rn /), set uk D ‰k .D/u;

(10.1) and write

(10.2) F .u/ D F .u0 / C ŒF .u1 /  F .u0 / C    C ŒF .ukC1 /  F .uk / C    : Then write  F .ukC1 /  F .uk / D F uk C D mk .x/

(10.3)

kC1 .D/u



 F .uk /

kC1 .D/u;

where Z (10.4)

mk .x/ D

1 0

 F 0 ‰k .D/u C t

kC1 .D/u



Consequently, we have F .u/ D F .u0 / C

1 X

mk .x/

kD0

(10.5)

D M.x; D/u C F .u0 /;

kC1 .D/u

dt:

10. Paradifferential operators

where M.x; / D

(10.6)

1 X

mk .x/

kC1 ./

D MF .uI x; /:

kD0

We claim 0 ; M.x; / 2 S1;1

(10.7)

provided u is continuous. To estimate M.x; /, note first that by (10.4) kmk kL1  sup jF 0 ./j:

(10.8)

To estimate higher derivatives, we use the elementary estimate (10.9)

X

kD ` g.h/kL1  C

kg 0 kC 1 kD `1 hkL1    kD ` hkL1

`1 CC` `

to obtain kDx` mk kL1  C` kF 00 kC `1 hkukL1 i`1  2k` ;

(10.10)

granted the following estimates, which hold for all u 2 L1 : k‰k .D/u C t

kC1 .D/ukL1

 C kukL1

kD ` Œ‰k .D/u C t

kC1 .D/ukL1

 C` 2k` kukL1

(10.11) and (10.12)

for t 2 Œ0; 1. Consequently, (10.6) yields jD˛ M.x; /j  C˛ sup jF 0 ./jhij˛j

(10.13)



and, for jˇj  1, (10.14)

jDxˇ D˛ M.x; /j  C˛ˇ kF 00 kC jˇj1 hkukL1 ijˇ j1 hijˇ jj˛j :

We give a formal statement of the result just established. Proposition 10.1. If F is C 1 and u 2 C r with r  0, then (10.15)

F .u/ D MF .uI x; D/u C R.u/;

61

62

13. Function Space and Operator Theory for Nonlinear Analysis

where R.u/ D F .

0 .D/u/

2 C1

and (10.16)

0 : MF .uI x; / D M.x; / 2 S1;1

Following [Bon] and [Mey], we call MF .uI x; D/ a paradifferential operator. Applying Theorem 9.1, we have (10.17)

kM.x; D/f kH s;p  Kkf kH s;p ;

for p 2 .1; 1/; s > 0, with (10.18)

K D KN .F; u/ D C kF 0 kC N Œ1 C kukN L1 ;

provided 0 < s < N , and similarly (10.19)

kM.x; D/f kCs  Kkf kCs :

Using f D u, we have the following important Moser-type estimates, extending Proposition 3.9: Proposition 10.2. If F is smooth with kF 0 kC N .R/ < 1, and 0 < s < N , then (10.20)

kF .u/kH s;p  KN .F; u/kukH s;p C kR.u/kH s;p

and (10.21)

kF .u/kCs  KN .F; u/kukCs C kR.u/kCs ;

given 1 < p < 1, with KN .F; u/ as in (10.18). This expression for KN .F; u/ involves the L1 -norm of u, and one can use kF 0 kC N .I / , where I contains the range of u. Note that if F .u/ D u2 , then F 0 .u/ D 2u, and higher powers of kukL1 do not arise; hence we obtain the estimate (10.22)

ku2 kH s;p  Cs kukL1  kukH s;p ;

s > 0;

and a similar estimate on ku2 kCs . It will be useful to have further estimates on the symbol M.x; / D MF .uI x; / when u 2 C r with r > 0. The estimate (10.12) extends to (10.23)

 ` D ‰k .D/f C t

kC1 .D/f

 

L1

 C` kf kC r ;

C` 2

k.`r/

kf kC r ;

`  r; ` > r;

10. Paradifferential operators

63

so we have, when u 2 C r , ˇ

(10.24)

jDx D˛ M.x; /j  K˛ˇ hij˛j ; K˛ˇ hi

j˛jCjˇ jr

jˇj  r; ;

jˇj > r;

with (10.25)

j K˛ˇ D K˛ˇ .F; u/ D C˛ˇ kF 0 kC jˇj Œ1 C kukjˇ C r :

Also, since ‰k .D/ C t k  0, we have (10.26)

kC1 .D/

is uniformly bounded on C r , for t 2 Œ0; 1 and

kD˛ M.; /kC r  K˛r hij˛j ;

where K˛r is as in (10.25), with jˇj D Œr C 1. This last estimate shows that (10.27)

0 : u 2 C r H) MF .uI x; / 2 C r S1;0

This is useful additional information; for example, (10.17) and (10.19) hold for s > r, and of course we can apply the symbol smoothing of  9. It will be useful to have terminology expressing the structure of the symbols we produce. Given r  0, we say (10.28)

m p.x; / 2 Ar S1;ı ” kD˛ p.; /kC r  C˛ himj˛j

jDxˇ D˛ p.x; /j

 C˛ˇ himj˛jCı.jˇ jr/ ;

and

jˇj > r:

Thus (10.24)–(10.26) yield (10.29)

0 M.x; / 2 Ar S1;1

m for the M.x; / of Proposition 10.1. If r 2 RC n ZC , the class Ar S1;1 coincides m m 0 m with the symbol class denoted by Ar by Meyer [Mey]. Clearly, A S1;ı D S1;ı , and m m m Ar S1;ı  C r S1;0 \ S1;ı :

Also, from the definition we see that ˇ

(10.30)

m m H) Dx p.x; / 2 S1;ı ; p.x; / 2 Ar S1;ı

mCı.jˇ jr/ ; S1;ı

for jˇj  r; for jˇj  r:

It is also natural to consider a slightly smaller symbol class: m (10.31) p.x; / 2 Ar0 S1;ı ” kD˛ p.; /kC rCs  C˛s himj˛jCıs ;

s  0:

64

13. Function Space and Operator Theory for Nonlinear Analysis

Considering the cases s D 0 and s D jˇj  r, we see that m m  Ar S1;ı : Ar0 S1;ı

We also say (10.32)

m ” the right side of (10.30) holds; p.x; / 2 r S1;ı

so m m Ar S1;ı  r S1;ı :

The following result refines (10.29). Proposition 10.3. For the symbol M.x; / D MF .uI x; / of Proposition 10.1, we have 0 M.x; / 2 Ar0 S1;1 ;

(10.33) provided u 2 C r ; r  0. Proof. For this, we need

kmk kC rCs  C  2ks :

(10.34)

Now, extending (10.9), we have (10.35)

kg.h/kC rCs  C kgkC N Œ1 C khkN L1 .khkC rCs C 1/;

with N D Œr C s C 1, as a consequence of (10.21) when r C s is not an integer, and by (10.9) when it is. This gives, via (10.4), (10.36)

kmk kC rCs  C.kukL1 / sup k.‰k C t t 2I

kC1 /ukC rCs ;

where I D Œ0; 1. However, (10.37)

k.‰k C t

kC1 /ukC rCs

 C  2ks kukC r :

For r C s 2 ZC , this follows from (9.41); for r C s … ZC , it follows as in the proof of Lemma 9.8, since (10.38)

2ks ƒs .‰k C t

kC1 /

0 is bounded in OPS1;0 :

This establishes (10.34), and hence (10.33) is proved.

10. Paradifferential operators

65

Returning to symbol smoothing, if we use the method of  9 to write M.x; / D M # .x; / C M b .x; /;

(10.39) then (10.27) implies (10.40)

m ; M # .x; / 2 S1;ı

mrı M b .x; / 2 C r S1;ı :

We now refine these results; for M # we have a general result: Proposition 10.4. For the symbol decomposition defined by the formulas (9.27)– (9.30), (10.41)

m m H) p # .x; / 2 Ar0 S1;ı : p.x; / 2 C r S1;0

Proof. This is a simple modification of (9.42) which essentially says that m p # .x; / 2 Ar S1;ı ; we simply supplement (9.41) with (10.42)

kJ" f kC rCs  C "s kf kCr ; s  0; 

which is basically the same as (10.37). To treat M b .x; /, we have, for ı   , (10.43)

m mır m mır H) p b .x; / 2 C r S1;ı \ Ar0 S1;  S1; ; p.x; / 2 Ar0 S1;

mır follows from (9.35). To see the last inclusion, where containment in C r S1;ı note that for p b .x; / to belong to the intersection above implies

(10.44)

kD˛ p b .; /kC s  C himj˛jırCıs ; C himj˛jC.sr/ ;

for 0  s  r; for s  r:

mrı . This proves the following: In particular, these estimates imply p b .x; / 2 S1;

Proposition 10.5. For the symbol M.x; / D MF .uI x; / with decomposition (10.39), (10.45)

rı u 2 C r H) M b .x; / 2 S1;1 :

Results discussed above extend easily to the case of a function F of several variables, say u D .u1 ; : : : ; uL /. Directly extending (10.2)–(10.6), we have (10.46)

F .u/ D

L X j D1

Mj .x; D/uj C F .‰0 .D/u/;

66

13. Function Space and Operator Theory for Nonlinear Analysis

with Mj .x; / D

(10.47)

X

mjk .x/

kC1 ./;

k

where (10.48)

mjk .x/

Z

1

D 0

 .@j F / ‰k .D/u C t

kC1 .D/u



dt:

Clearly, the results established above apply to the Mj .x; / here; for example, m u 2 C r H) Mj .x; / 2 Ar0 S1;1 :

(10.49)

In the particular case F .u; v/ D uv, we obtain (10.50)

uv D A.uI x; D/v C A.vI x; D/u C ‰0 .D/u  ‰0 .D/v;

where (10.51)

A.uI x; / D

1 h X

‰k .D/u C

kD1

i

1 2

kC1 .D/u

kC1 ./:

0 Since this symbol belongs to S1;1 for u 2 L1 , we obtain the following extension of (10.22), which generalizes the Moser estimate (3.21):

Corollary 10.6. For s > 0; 1 < p < 1, we have (10.52)

kuvkH s;p  C kukL1 kvkH s;p C kukH s;p kvkL1 :

We now analyze a nonlinear differential operator in terms of a paradifferential operator. If F is smooth in its arguments, in analogy with (10.46)–(10.48) we have (10.53)

F .x; D m u/ D

X

M˛ .x; D/D ˛ u C F .x; D m ‰0 .D/u/;

j˛jm

where F .x; D m ‰0 .D/u/ 2 C 1 and M˛ .x; / D

(10.54)

X

m˛k .x/

kC1 ./;

k

with Z (10.55)

m˛k .x/ D

1 0

 .@F=@˛ / ‰k .D/D m u C t

kC1 .D/D

m

 u dt:

10. Paradifferential operators

67

As in Propositions 10.1 and 10.3, we have, for r  0, (10.56)

0 0 0  S1;1 \ C r S1;0 : u 2 C mCr H) M˛ .x; / 2 Ar0 S1;1

In other words, if we set M.uI x; D/ D

(10.57)

X

M˛ .x; D/D ˛ ;

j˛jm

we obtain Proposition 10.7. If u 2 C mCr ; r  0, then F .x; D m u/ D M.uI x; D/u C R;

(10.58) with R 2 C 1 and

m m m  S1;1 \ C r S1;0 : M.uI x; / 2 Ar0 S1;1

(10.59)

As in Propositions 10.4 and 10.5, in this case symbol smoothing yields M.uI x; / D M # .x; / C M b .x; /;

(10.60) with (10.61)

m ; M # .x; / 2 Ar0 S1;ı

mrı M b .x; / 2 S1;1 :

A specific choice for symbol smoothing which leads to paradifferential operators of [Bon] and [Mey] is the following operation on M.x; /: M # .x; / D

(10.62)

X

‰k5 M.x; /

k ./;

k

where, as in (9.28), ‰k5Pacts on M.x; / as a function of x. We use ‰k5 D ‰k5 .D/, with ‰` ./ D j ` j ./. We have (10.63)

m m H) M # .x; / 2 B S1;1 ; M.x; / 2 L1 S1;0

m for  < 1 to be with  D 1=16, where we define B S1;1

(10.64)

m m O / supported in jj  jjg; B S1;1 D fb.x; / 2 S1;1 W b.;

O / D and where b.;

R

m m b.x; /e i x dx. Set BS1;1 D [<1 B S1;1 .

68

13. Function Space and Operator Theory for Nonlinear Analysis

Most of the applications of the material of this section made in the following chapters of this book will involve symbol smoothing, (10.60)–(10.61), with ı < 1. However, we will establish some basic results on operator calculus for symbols of the form (10.64). We will analyze products a.x; D/b.x; D/ D p.x; D/ when we are given  m a.x; / 2 S1;1 .Rn / and b.x; / 2 BS1;1 .Rn /. We are particularly interested in estimating the remainder r .x; /, arising in (10.65)

a.x; D/b.x; D/ D p .x; D/ C r .x; D/;

where (10.66)

p .x; / D

X i j˛j @˛ a.x; /  @˛x b.x; /: ˛Š 

j˛j

Proposition 10.8 below is a variant of results of [Bon] and [Mey], established in [AT]. To begin the analysis, we have the formula Z h i X ˛ 1 ˛ O / d: (10.67) r .x; / D @ a.x;  C /  a.x; / e ix b.; .2/n ˛Š  j˛j

Write r .x; / D

(10.68)

X

rj .x; /;

j 0

with

Z rj .x; / D D

(10.69)

Z

b b j .x; ; / d Aj .x; ; /B Aj .x; ; y/Bj .x; ; y/ dy;

where the terms in these integrands are defined as follows. Pick # > 1, and take a Littlewood–Paley partition of unity f'j2 W j  0g, such that '0 ./ is supported in jj  1, while for j  1; 'j ./ is supported in # j 1  jj  # j C1 . Then we set b Aj .x; ; / D (10.70)

i X ˛ 1 h ˛ @ a.x;  C /  a.x; / 'j ./; .2/n ˛Š  j˛j

O /'j ./e ix : bj .x; ; / D b.; B Note that (10.71)

Bj .x; ; y/ D 'j .Dy /b.x C y; /:

10. Paradifferential operators

69

Thus kBj .x; ; /kL1  C # rj kb.; /kCr :

(10.72) Also,

O /  fjj < jjg H) Bj .x; ; y/ D 0; for # j 1  jj: (10.73) supp b.; We next estimate the L1 -norm of Aj .x; ; /. Now, by a standard proof of Sobolev’s imbedding theorem, given K > n=2, we have kAj .x; ; /kL1  C kj b Aj .x; ; /kH K ;

(10.74)

Aj is supported in jj  #. Let us use the where j f ./ D f .# j /, so j b integral formula for the remainder term in the power-series expansion to write (10.75) b Aj .x; ; # j / D Z 'j .# j / X  C 1 .2/n

j˛jDC1

˛Š

1 0

.1  s/C1 @˛ a.x;  C s# j / ds # j j˛j ˛ :

Aj , if also # j 1 < jj, then j# j j < Since jj  # on the support of j b 2 # jj. Now, given  2 .0; 1/, choose # > 1 such that # 3 < 1. This implies hi  h C s# j i, for all s 2 Œ0; 1. We deduce that the hypothesis j@˛ a.x; /j  C˛ hi2 j˛j ; for j˛j   C 1;

(10.76) implies (10.77)

kAj .x; ; /kL1  C # j.C1/ hi2 1 ; for # j 1 < jj:

Now, when (10.72) and (10.77) hold, we have (10.78)

jrj .x; /j  C # j.C1r/ hi2 1 kb.; /kCr ;

and if (10.73) also applies, we have (10.79) since

jr .x; /j  C hi2 r kb.; /kCr X # j 1 <jj

in such a case.

if  C 1 > r;

# j.C1r/  C jjC1r

70

13. Function Space and Operator Theory for Nonlinear Analysis

To estimate derivatives of r .x; /, we can write Dxˇ D rj .x; / D (10.80) X

X

ˇ1 Cˇ2 Dˇ 1 C2 D

ˇ ˇ1

!

 1

!Z

Dxˇ1 D1 Aj .x; ; y/  Dxˇ2 D2 Bj .x; ; y/ dy:

Now Dxˇ1 D1 Aj .x; ; y/ is produced just like Aj .x; ; y/, with the symbol ˇ



ˇ



a.x; / replaced by Dx 1 D 1 a.x; /, and Dx 2 D 2 Bj .x; ; y/ is produced just like Bj .x; ; y/, with b.x; / replaced by Dxˇ2 D2 b.x; /. Thus, if we strengthen the hypothesis (10.76) to (10.81)

j@ˇx @˛ a.x; /j  C˛ˇ hi2 j˛jCjˇ j ; for j˛j   C 1;

we have (10.82)

kDxˇ1 D 1 Aj .x; ; /kL1  C # j.C1/ hi2 j1 jCjˇ1 j1 ; 

for # j 1 < jj. Furthermore, extending (10.72), we have (10.83) Now (10.84)

kDxˇ2 D2 Bj .x; ; /kL1  C # .jˇ2 jr/j kD2 b.; /kCr : X

# j.C1Cjˇ2 jr/  C jjC1Cjˇ2 jr

# j 1 <jj

if  C 1 > r, so as long as (10.73) applies, (10.82) and (10.83) yield X (10.85) jDxˇ D r .x; /j  C hi2 Cjˇ jj1 jr kD2 b.; /kCr 1 C2 D

if  C 1 > r. These estimates lead to the following result: Proposition 10.8. Assume (10.86)

 ; a.x; / 2 S1;1

m b.x; / 2 BS1;1 :

Then (10.87)

Cm

a.x; D/b.x; D/ D p.x; D/ 2 OPS1;1 :

Assume furthermore that (10.88)

j@ˇx @˛ a.x; /j  C˛ˇ hi2 j˛jCjˇ j ;

for j˛j   C 1;

10. Paradifferential operators

71

with 2  , and that kD˛ b.; /kCr  C˛ him2 j˛j :

(10.89)

Then, if  C 1 > r, we have (10.65)–(10.66), with 2 Cm2 r : r .x; D/ 2 OPS1;1

(10.90)

The following is a commonly encountered special case of Proposition 10.8. Corollary 10.9. In Proposition 10.8, replace the hypothesis (10.89) by m2 ; for jˇj D K; Dxˇ b.x; / 2 S1;1

(10.91)

where K 2 f1; 2; 3; : : : g is given. Then we have (10.65)–(10.66), with 2 Cm2 K r .x; / 2 OPS1;1

(10.92)

if   K:

Proof. The hypothesis (10.91) implies (10.89), with r D K. We can also deduce from Proposition 10.8 that a.x; D/b.x; D/ has a complete asymptotic expansion if b.x; / is a symbol of type .1; ı/ with ı < 1. Corollary 10.10. If 0  ı < 1 and  a.x; / 2 S1;1 ;

(10.93)

m b.x; / 2 S1;ı ;

Cm then a.x; D/b.x; D/ 2 OPS1;1 , and we have (10.65)–(10.66), with Cm.1ı/ r .x; D/ 2 OPS1;1 :

(10.94)

1 , one can arrange that the condition Proof. Altering b.x; / by an element of S1;0 O / hold. Then, apply Corollary 10.9, with m2 D m C Kı, so (10.73) on supp b.; m2  K D m  K.1  ı/, and take K D .

Note that, under the hypotheses of Corollary 10.10, (10.95)

X 1 Cm.1ı/ @˛ a.x; /  @˛x b.x; / 2 S1;1 ; ˛Š 

j˛jD

so we actually have (10.96)

Cm.1ı/ : r1 .x; D/ 2 OPS1;1

m does not form an algebra, but the following result is The family [m OP BS1;1 a useful substitute:

72

13. Function Space and Operator Theory for Nonlinear Analysis m

Proposition 10.11. If pj .x; / 2 Bj S1;1j and  D 1 C 2 C 1 2 < 1, then (10.97)

m1 Cm2 p1 .x; /p2 .x; / 2 B S1;1 ; m1 Cm2 : p1 .x; D/p2 .x; D/ 2 OP B S1;1

Proof. The result for the symbol product is obvious; in fact, one can replace  by 1 C 2 . As for A.x; D/ D p1 .x; D/p2 .x; D/, we already have from m1 Cm2 Proposition 10.8 that A.x; / 2 S1;1 ; we merely need to check the support of b A.; /. We can do this using the formula (10.98)

b A.; / D

Z pO1 .  ;  C /pO2 .; / d :

Note that given .; /, if there exists  2 Rn such that pO1 .  ;  C / ¤ 0 and pO2 .; / ¤ 0, then j  j  1 j C j;

jj  2 jj;

so jj  1 j C j C jj  1 jj C 1 jj C 2 jj  .1 C 2 C 1 2 /jj: This completes the proof.

Exercises 1. Prove the commutator property: (10.99)

mCr

m   OPS1;ı ŒOPS  ; OP Ar0 S1;ı

;

0  r < 1; 0  ı < 1:

2. Prove that, for 0  ı < 1, (10.100)

m m H) P  2 OP Ar0 S1;ı : P 2 OP Ar0 S1;ı

(Hint: Use P .x; D/ D P  .x; D/, with P  .x; / 

P

Dx˛ D˛ p.x; /. Show that m.1ı/j˛j

m H) Dx˛ D˛ p.x; / 2 Ar0 S1;ı p.x; / 2 Ar0 S1;ı

3. Show that (10.101)

X

a˛ .x; D m1 u/D ˛ u D M.uI x; D/u C R;

j˛jm

where R 2 C 1 and, for 0 < r < 1, (10.102)

m mr C S1;1 : u 2 C m1Cr H) M.uI x; / 2 Ar0 S1;1

:/

Exercises

73

Deduce that you can write (10.103)

M.uI x; / D M # .x; / C M b .x; /;

with (10.104)

m ; M # .x; / 2 Ar0 S1;ı

mrı M b .x; / 2 S1;1 :

Note that the hypothesis on u is weaker than in Proposition 10.7. 4. The estimate (10.9) follows from the formula X C.˛1 ; : : : ; ˛ /h.˛1 /    h.˛ / g ./ .h/; D ˛ g.h/ D ˛1 CC˛ D˛

which is a consequence of the chain rule. Show that the following Moser-type estimate holds: X 1 ` (10.105) kD ` g.h/kL1  C kg 0 kC 1 khkL 1 kD hkL1 : 1`

5. The paraproduct of J.-M. Bony [Bon] is defined by applying symbol smoothing to the multiplication operator, Mf u D f u. One takes

where, as in (10.62), ‰` ./ D (10.107)

X

Tf u D

(10.106)

P

‰k5 .D/f 

k .D/u;

k

j `

j ./. Show

that, with Tf D F .x; D/,

0 f 2 L1 .Rn / H) F .x; / 2 S1;1 .Rn /:

Show that, for any r 2 R, (10.108) ˇ f 2 Cr .Rn / H) jDx D˛ F .x; /j  C˛ˇ kf kCr hirj˛jCjˇ j ;

for j˛j  1:

m , then 6. Using Propositions 10.8–10.11, show that if p.x; / 2 B1=2 S1;1

(10.109)

m f 2 C0 H) ŒTf ; p.x; D/ 2 OP BS1;1 :

Applications of this are given in [AT]. m implies p.x; D/ 2 OPS m , and, if  is sufficiently small, 7. Show that p.x; / 2 BS1;1 1;1 (10.110)

m m H) p.x; D/ 2 OP BS1;1 : p.x; / 2 B S1;1

8. Investigate properties of operators with symbols in (10.111)

m m m D BS1;1 \ Ar0 S1;1 : Br S1;1

74

13. Function Space and Operator Theory for Nonlinear Analysis

11. Young measures and fuzzy functions Limits in the weak topology of sequences fj 2 Lp ./ are often not well behaved under the pointwise application of nonlinear functions. For example,   (11.1) sin nx ! 0 weak in L1 Œ0;  ; while (11.2)

sin2 nx !

1 2

  weak in L1 Œ0; 

(see Fig. 11.1). A fuzzy function is endowed with an extra piece of structure, allowing for convergence under nonlinear mappings. Assume  is an open set in Rn . Given 1  p  1, we define an element of p Y ./ to be a pair .f; /, where f 2 Lp ./ and  is a positive Borel measure on   R (R D Œ1; 1), having the properties   (11.3) y 2 Lp   R; d.x; y/ ; (so, in particular,   f˙1g has measure zero), .E  R/ D Ln .E/;

(11.4)

for Borel sets E  , where Ln is Lebesgue measure on , and “ Z (11.5) y d.x; y/ D f .x/ dx; E R

E

for each Borel set E  . We can equivalently state (11.4) and (11.5) as “ Z (11.6) '.x/ d.x; y/ D '.x/ dx

F IGURE 11.1 Approaching a Fuzzy Limit

11. Young measures and fuzzy functions

75

and “

Z '.x/y d.x; y/ D

(11.7)

'.x/f .x/ dx;

for ' 2 C0 ./, that is, for continuous and compactly supported '. Note that (11.5) implies Z

“ jf .x/j dx 

(11.8)

jyj d.x; y/; E R

E

since we can write E D E1 [ E2 with f  0 on E1 and f < 0 on E2 . If we partition E into tiny sets, on each of which f is nearly constant, we obtain Z

“ jf .x/jp dx 

(11.9)

jyjp d.x; y/: E R

E

We say that .f; / is a fuzzy function, and  is a Young measure, representing f . A special case of such  is f , defined by “ (11.10)

Z .x; y/ df .x; y/ D



 x; f .x/ dx;

2 C0 .  R/. We say .f; f / is sharply defined. Fuzzy functions arise as limits of sharply defined functions in the following sense. Suppose fj 2 Lp ./; 1 < p  1, and .f; / 2 Y p ./. We say

for

(11.11)

fj ! .f; /

in Y p ./;

provided (11.12)

fj ! f

weak in Lp ./

and (11.13)

fj ! 

weak in M.  R/;

and furthermore, (11.14)

kykLp .R;df

j

/

 C < 1:

Actually, (11.12) is a consequence of (11.13) and (11.14), thanks to (11.9).

76

13. Function Space and Operator Theory for Nonlinear Analysis

To take an example, if  D .0; / and fn .x/ D sin nx, as in (11.1), it is easily seen that in Y 1 ./;

fn ! .0; 0 /

(11.15) where

2 dx dy d0 .x; y/ D Œ1;1 .y/ p : 1  y2

(11.16) Also,

 fn2

(11.17)

!

1 ; 1 2



in Y 1 ./;

where 2 dx dy d1 .x; y/ D Œ0;1 .y/ p : y.y  1/

(11.18)

The following result illustrates the use of Y p ./ in controlling the behavior of nonlinear maps. We make rather restrictive hypotheses for this first result, to keep the argument short and reveal its basic simplicity. Proposition 11.1. Let ˆ W R ! R be continuous. If fj ! .f; / in Y 1 ./, then weak in L1 ./;

ˆ.fj / ! g

(11.19)

where g 2 L1 ./ is specified by “

Z (11.20)

g.x/'.x/ dx D

ˆ.y/'.x/ d.x; y/;

' 2 C0 ./:

R Proof. We need to check the behavior of ˆ.fj /' dx. Since ˆ.fj / is bounded in L1 ./, it suffices to take ' in C0 ./, which is dense in L1 ./. Let I be a compact interval in .1; 1/, containing the range of each function ˆ.fj /. Now, for any ' 2 C0 ./, “ Z ˆ.fj /' dx D '.x/ˆ.y/ dfj .x; y/ (11.21)



I

“

!

'.x/ˆ.y/ d.x; y/; I

since fj !  weak in M.  I /. This proves the proposition.

11. Young measures and fuzzy functions

77

Under the hypotheses of Proposition 11.1, we see that, more precisely than (11.19), ˆ.fj / ! .g; /

(11.22)

in Y 1 ./;

where g is given by (11.20) and  is specified by “

“ .x; y/ d.x; y/ D

(11.23)



 x; ˆ.y/ d.x; y/;

2 C0 .  R/:

  e y/ D x; ˆ.y/ of   I ! Thus  is the natural image of  under the map ˆ.x; e . The extra information carried by (11.22) is   R. One often writes  D ˆ that ˆ.fj / ! ; weak in M.  R/, which follows from “

“ .x; y/ dˆ.fj / .x; y/ D

“ !

(11.24)



 x; ˆ.y/ dfj .x; y/



 x; ˆ.y/ d.x; y/:

We can extend Proposition 11.1 and its refinement (11.22) to (11.25)

fj ! .f; / in Y p ./ H) ˆ.fj / ! .g; / in Y q ./;

with 1 < p; q < 1, where g and  are given by the same formulas as above, provided that ˆ W R ! R is continuous and satisfies (11.26)

jˆ.y/j  C jyjp=q :

We need this only for large jyj if  has finite measure. This result suggests defining the action of ˆ on a fuzzy function .f; / by (11.27)

ˆ.f; / D .g; /;

where g and  are given by the formulas (11.20) and (11.23). Thus (11.22) can be restated as (11.28)

fj ! .f; / in Y 1 ./ H) ˆ.fj / ! ˆ.f; / in Y 1 ./:

It is now natural to extend the notion of convergence fj ! .f; / in Y p ./ to .fj ; j / ! .f; / in Y p ./, provided all these objects belong to Y p ./ and we have, parallel to (11.12)–(11.14), (11.29)

fj ! f

weak in Lp ./;

(11.30)

j ! 

weak in M.  R/;

78

13. Function Space and Operator Theory for Nonlinear Analysis

and kykLp .R;d j /  C < 1:

(11.31)

As before, (11.29) is actually a consequence of (11.30) and (11.31). Now (11.28) is easily extended to (11.32) .fj ; j / ! .f; / in Y 1 ./ H) ˆ.fj ; j / ! ˆ.f; / in Y 1 ./; for continuous ˆ W R ! R. There is a similar extension of (11.25), granted the bound (11.26) on ˆ.y/. We say that fj (or more generally .fj ; j /) converges sharply in Y p ./, if it converges, in the sense defined above, to .f; / with  D f . It is of interest to specify conditions under which we can guarantee sharp convergence. We will establish some results in that direction a bit later. When one has a fuzzy function .f; /, it can be conceptually useful to pass from the measure  on   R to a family of probability measures x on R, defined for a.e. x 2 . We discuss how this can be done. From (11.4) we have ˇ“ ˇ ˇ ˇ (11.33) .y/ d.x; y/ˇ  sup j j Ln .E/; ˇ E R

and hence (11.34)

ˇ“ ˇ ˇ ˇ '.x/ .y/ d.x; y/ˇ  sup j j  k'kL1 ./ : ˇ R

It follows that there is a linear transformation (11.35)

T W C.R/ ! L1 ./;

kT kL1 ./  sup j j;

such that “

Z '.x/ .y/ d.x; y/ D

(11.36)

'.x/T .x/ dx: 

R

Using the separability of C.R/, we can deduce that there is a set S  , of Lebesgue measure zero, such that, for all 2 C.R/; T .x/ is defined pointwise, for x 2  n S . Note that T is positivity preserving and T .1/ D 1. Thus for each x 2  n S , there is a probability measure x on R such that Z (11.37)

T .x/ D

.y/ dx .y/: R

11. Young measures and fuzzy functions

79

Hence “

Z '.x/ .y/ d.x; y/ D

(11.38) R

!

Z

'.x/ .y/ dx .y/ dx: 

R

Z

Z

From this it follows that “ .x; y/ d.x; y/ D

(11.39)

.x; y/ dx .y/ dx; 

R

!

R

for any Borel-measurable function that is either positive or integrable with respect to d. Thus we can reformulate Proposition 11.1: Corollary 11.2. If ˆ W R ! R is continuous and fj ! .f; / in Y 1 ./, then (11.40)

ˆ.fj / ! g

weak in L1 ./;

where Z (11.41)

g.x/ D

ˆ.y/ dx .y/;

a.e. x 2 :

R

One key feature of the notion of convergence of a sequence of fuzzy functions is that, while it is preserved under nonlinear maps, we also retain the sort of compactness property that weak convergence has. Proposition 11.3. Let .fj ; j / 2 Y 1 ./, and assume kfj kL1 ./  M . Then there exist .f; / 2 Y 1 ./ and a subsequence .fj ; j / such that (11.42)

.fj ; j / ! .f; /:

Proof. The well-known weak compactness (and metrizability) of fg 2 L1 ./ W kgkL1  M g implies that one can pass to a subsequence (which we continue to denote by .fj ; j /) such that fj ! f weak in L1 ./. Each measure j is supported on   I; I D ŒM; M . Now we exploit the weak compactness and metrizability of f 2 M.K  I / W k k  Ln .K/g, for each compact K  , together with a standard diagonal argument, to obtain a further subsequence such that j !  weak in M.  I /. The identities (11.6) and (11.7) are preserved under passage to such a limit, so the proposition is proved. So far we have dealt with real-valued fuzzy functions, but we can as easily consider fuzzy functions with values in a finite-dimensional, normed vector space V . We define Y p .; V / to consist of pairs .f; /, where f 2 Lp .; V / is a

80

13. Function Space and Operator Theory for Nonlinear Analysis

V -valued Lp function and  is a positive Borel measure on   V (V D V plus the sphere S1 at infinity), having the properties   jyj 2 Lp   V ; d.x; y/ ;

(11.43)

so in particular   S1 has measure zero, .E  V / D Ln .E/;

(11.44) for Borel sets E  , and “

Z y d.x; y/ D

(11.45) E V

f .x/ dx 2 V; E

for each Borel set E  . All of the preceding results of this section extend painlessly to this case. Instead of considering ˆ W R ! R, we take ˆ W V1 ! V2 , where Vj are two normed finite-dimensional vector spaces. This time, a Young measure  “disintegrates” into a family x of probability measures on V . There is a natural map (11.46)

& W Y 1 .; V1 /  Y 1 .; V2 / ! Y 1 .; V1 ˚ V2 /

defined by (11.47)

.f1 ; 1 /&.f2 ; 2 / D .f1 ˚ f2 ; /;

where, for a.e. x 2 , Borel Fj  Vj , (11.48)

x .F1  F2 / D 1x .F1 /2x .F2 /:

Using this, we can define an “addition” on elements of Y 1 .; V /: (11.49)

  .f1 ; 1 / C .f2 ; 2 / D S .f1 ; 1 /&.f2 ; 2 / ;

where S W V ˚ V ! V is given by S.v; w/ D v C w, and we extend S to a map S W Y 1 .; V ˚ V / ! Y 1 .; V / by the same process as used in (11.27). Of course, multiplication by a scalar a 2 R; Ma W V ! V , induces a map Ma on Y 1 .; V /, so we have what one might call a “fuzzy linear structure” on Y 1 .; V /. It is not truly a linear structure since certain basic requirements on vector space operations do not hold here. For example (in the case

11. Young measures and fuzzy functions

81

L where V D R), .f; / 2 Y 1 ./ has a natural “negative,” namely .f; /, L.E/ D .E/. However, .f; / C .f; / L ¤ .0; 0 / unless .f; / is sharply defined. Similarly, .f; / C .f; / ¤ 2.f; / unless .f; / is sharply defined, so the distributive law fails. We now derive some conditions under which, for a given sequence uj ! .u; / in Y 1 ./ and a given nonlinear function F , we also have F .uj / ! F .u/ weak in L1 ./, which is the same here as F .u/ D F . The following result is of  the dot product of the R2 -valued functions  nature that  weak convergence of the 2 uj ; F .uj / with a certain family of R -valued functions V .uj / to .u; F /  V will imply F D F .u/. The specific choice of V .uj / will perhaps look curious; we will explain below how this choice arises. Proposition 11.4. Suppose uj ! .u; / in Y 1 ./, and let F W R ! R be C 1 . Suppose you know that (11.50)

uj q.uj /  F .uj /.uj / ! uq  F  weak in L1 ./;

for every convex function  W R ! R, with q given by Z (11.51)

y

q.y/ D

0 .s/F 0 .s/ ds;

c

and where (11.52)

q.u; / D .q; 1 /;

F .u; / D .F ; 2 /;

.u; / D .; 3 /:

Then (11.53)

F .uj / ! F .u/ weak in L1 ./:

Proof. It suffices to prove that F D F .u/ a.e. on . Now, applying Corollary 11.2 to ˆ.y/ D yq.y/  F .y/.y/, we have the left side of (11.50) converging weak in L1 ./ to Z v.x/ D



yq.y/  F .y/.y/ dx .y/;

so the hypothesis (11.50) implies v D uq  F ;

a.e. on :

Rewrite this as Z n o     (11.54) F .y/  F .x/ .y/  u.x/  y q.y/ dx .y/ D 0;

a.e. x 2 :

82

13. Function Space and Operator Theory for Nonlinear Analysis

Now we make the following special choices of functions  and q:   (11.55) a .y/ D jy  aj; qa .y/ D sgn.y  a/ F .y/  F .a/ : We use these in (11.54), with a D u.x/, obtaining, after some cancellation, Z     jy  u.x/j dx .y/ D 0; a.e. x 2 : (11.56) F u.x/  F .x/   Thus, for a.e. x 2 , either F .x/ D F u.x/ or x D ıu.x/ , which also implies   F .x/ D F u.x/ . The proof is complete. Why is one motivated to work with such functions .u/ and q.u/? They arise in the study of solutions to some nonlinear PDE on   R2 . Let us use coordinates .t; x/ on . As long as u is a Lipschitz-continuous, real-valued function on , it follows from the chain rule that (11.57)

ut C F .u/x D 0 H) .u/t C q.u/x D 0;

provided q 0 .y/ D 0 .y/F 0 .y/, that is, q is given by (11.52). (For general u 2 L1 ./, the implication (11.57) does not hold.) Our next goal is to establish the following: Proposition 11.5. Assume uj 2 L1 ./, of norm  M < 1. Assume also that (11.58)

@t uj C @x F .uj / ! 0

1 in Hloc ./

and (11.59)

@t .uj / C @x q.uj /

1 precompact in Hloc ./;

for each convex function  W R ! R, with q given by (11.51). If uj ! u weak in L1 ./, then (11.60)

@t u C @x F .u/ D 0:

Proof. By Proposition 11.3, passing to a subsequence, we have uj ! .u; / in Y 1 ./. Then, by Proposition 11.1, F .uj / ! F ; q.uj / ! q, and .uj / !  weak in L1 ./. Consider the vector-valued functions     (11.61) vj D uj ; F .uj / ; wj D q.uj /; .uj / : Thus vj ! .u; F /; wj ! .q; / weak in L1 ./. The hypotheses (11.58)– (11.59) are equivalent to (11.62)

1 div vj ; rot wj precompact in Hloc ./:

11. Young measures and fuzzy functions

83

Also, the hypothesis on kuj kL1 implies that vj and wj are bounded in L1 ./, and a fortiori in L2loc ./. The div-curl lemma hence implies that vj  wj ! v  w in D0 ./;

(11.63)

v D .u; F /; w D .q; /:

In view of the L1 -bounds, we hence have uj q.uj /  F .uj /.uj / ! uq  F 

(11.64)

weak in L1 ./:

Since this is the hypothesis (11.50) of Proposition 11.4, we deduce that F .uj / ! F .u/

(11.65)

weak in L1 ./:

Hence @t uj C @x F .uj / ! @t u C @x F .u/ in D0 ./, so we have (11.60). One of the most important cases leading to the situation dealt with in Proposition 11.5 is the following; for " 2 .0; 1, consider the PDE @t u" C @x F .u" / D "@2x u" on  D .0; 1/  R;

(11.66)

u" .0/ D f:

Say f 2 L1 .R/. The unique solvability of (11.66), for t 2 Œ0; 1/, for each " > 0, will be established in Chap. 15, and results there imply (11.67)

u" 2 C 1 ./;

(11.68)

ku" kL1 ./  kf kL1 ;

and Z

1

Z

1

"

(11.69)

0

1

.@x u" /2 dx dt 

1 kf k2L2 : 2

p The last result implies that "@x u" is bounded in L2 ./. Hence "@2x u" ! 0 in H 1 ./, as " ! 0. Thus, if u"j is relabeled uj , with "j ! 0, we have hypothesis (11.58) of Proposition 11.5. We next check hypothesis (11.59). Using the chain rule and (11.66), we have @t .u" / C @x q.u" / D "@2x .u" /  "00 .u" /.@x u" /2 ;

(11.70)

at least when  is C 2 and q satisfies (11.52). Parallel to (11.69), we have Z (11.71) " 0

T

Z

00

Z

 .u" /.@x u" / dx dt D 2

   f .x/ dx 

Z

   u" .T; x/ dx:

84

13. Function Space and Operator Theory for Nonlinear Analysis

A simple approximation argument, taking smooth ı ! , shows that whenever  is nonnegative and convex, C 2 or not, (11.72)

@t .u" / C @x q.u" / D "@2x .u" /  R" ;

with (11.73)

R" bounded in M./:

and any convex  is locally Lipschitz, we deduce Since @x .u" / D 0 .u" /@x u" ,p from (11.68) and (11.69) that "@x .u" / is bounded in L2 ./. Hence (11.74)

"@2x .u" / ! 0 in H 1 ./;

as " ! 0:

We thus have certain bounds on the right side of (11.72), by (11.73) and (11.74). 1;p Meanwhile, the left side of (11.72) is certainly bounded in Hloc ./; 8 p < 1. This situation is treated by the following lemma of F. Murat. 1;p Lemma 11.6. Suppose F is bounded in Hloc ./, for some p > 2, and F  1 G C H, where G is precompact in Hloc ./ and H is bounded in Mloc ./. Then 1 F is precompact in Hloc ./.

Proof. Multiplying by a cut-off  2 C01 ./, we reduce to the case where all f 2 F are supported in some compact K, and the decomposition f D g C h; g 2 G; h 2 H also has g; h supported in K. Putting K in a box and identifying opposite sides, we are reduced to establishing an analogue of the lemma when  is replaced by T n . Now Sobolev imbedding theorems imply M.T n /  H s;q .T n /;

 s 2 .0; n/; q 2 1;

n  : ns

Via Rellich’s compactness result (6.9), it follows that (11.75)

W M.T n / ,! H 1;q .T n /;

 compact 8 q 2 1;

n  : n1

Hence H is precompact in H 1;q .T n /, for any q < n=.n  1/, so we have (11.76)

F precompact in H 1;q .T n /;

bounded in H 1;p .T n /; p > 2:

By a simple interpolation argument, (11.76) implies that F is precompact in H 1 .T n /, so the lemma is proved. We deduce that if the family fu" W 0 < "  1g of solutions to (11.66) satisfies (11.67)–(11.69), then

11. Young measures and fuzzy functions

@t .u" / C @x q.u" /

(11.77)

85

1 precompact in Hloc ./;

which is hypothesis (11.59) of Proposition 11.5. Therefore, we have the following: Proposition 11.7. Given solutions u" ; 0 < "  1 to (11.66), satisfying (11.67)– (11.69), a weak limit u in L1 ./, as " D "j ! 0, satisfies @t u C @x F .u/ D 0:

(11.78)

The approach to the solvability of (11.78) used above is given in [Tar]. In Chap. 16,  6, we will obtain global existence results containing that of Proposition 11.7, using different methods, involving uniform estimates of k@x u" .t/kL1 .R/ . On the other hand, in  9 of Chap. 16 we will make use of techniques involving fuzzy functions and the div-curl lemma to establish some global solvability results for certain 2  2 hyperbolic systems of conservation laws, following work of R. DiPerna [DiP]. The notion of fuzzy function suggests the following notion of a “fuzzy solution” to a PDE, of the form X @ Fj .u/ D 0: @xj

(11.79)

j

Namely, .u; / 2 Y 1 ./ is a fuzzy solution to (11.79) if (11.80)

X @ F j D 0 in D0 ./; @xj

Z F j .x/ D

Fj .y/ dx .y/:

j

This notion was introduced in [DiP], where .u; / is called a “measure-valued solution” to (11.79). Given jFj .y/j  C hyip , we can also consider the concept of a fuzzy solution .u; / 2 Y p ./. Contrast the following simple result with Proposition 11.5: Proposition 11.8. Assume .uj ; j / 2 Y 1 ./; kuj kL1  M , and .uj ; j / ! .u; / in Y 1 ./. If (11.81)

X

@k Fk .uj / ! 0

in D0 ./;

k

as j ! 1, then u is a fuzzy solution to (11.79). Proof. By Proposition 11.1, Fk .uj / ! F k weak in L1 ./. The result follows immediately from this. In [DiP] there are some results on when one can say that, when .u; / 2 Y 1 ./ is a fuzzy solution to (11.79), then u 2 L1 ./ is a weak solution to (11.79), results that in particular lead to another proof of Proposition 11.7.

86

13. Function Space and Operator Theory for Nonlinear Analysis

Exercises 1. If fj ! .f; / in Y 1 ./, we say the convergence is sharp provided  D f . Show that sharp convergence implies fj ! f in L2 .0 /; for any 0  . (Hint: Sharp convergence implies jfj j2 ! jf j2 weak in L1 ./. Thus fj ! f weakly in L2 and also kfj kL2 .0 / ! kf kL2 .0 / :) 2. Deduce that, given fj ! .f; / in Y 1 ./, the convergence is sharp if and only if, for some subsequence, fj ! f a.e. on . 3. Given .f; / 2 Y 1 ./ and the associated family of probability measures x ; x 2 , as in (11.37)–(11.39), show that  D f if and only if, for a.e. x 2 ; x is a point mass. 4. Complete the interpolation argument cited in the proof of Lemma 11.6. Show that (with X D ƒ1 .F/) if q < 2 < p, X precompact in Lq .T n /; bounded in Lp .T n / H) X precompact in L2 .T n /: (Hint: If fn 2 X; fn ! f in Lq .T n /, use 1˛ kfn  f kL2  kfn  f k˛Lq kfn  f kL p :/

5. Extend various propositions of this section from Y 1 ./ to Y p ./; 1 < p  1.

12. Hardy spaces The Hardy space H1 .Rn / is a subspace of L1 .Rn / defined as follows. Set (12.1)

 ˚ .Gf /.x/ D sup j't  f .x/j W ' 2 F ; t > 0 ;

where 't .x/ D t n '.x=t/ and (12.2)

 ˚ F D ' 2 C01 .Rn / W '.x/ D 0 for jxj  1; kr'kL1  1 :

This is called the grand maximal function of f . Then we define (12.3)

H1 .Rn / D ff 2 L1 .Rn / W Gf 2 L1 .Rn /g:

A related (but slightly larger) space is h1 .Rn /, defined as follows. Set (12.4)

˚  .G b f /.x/ D sup j't  f .x/j W ' 2 F ; 0 < t  1 ;

and define (12.5)

h1 .Rn / D ff 2 L1 .Rn / W G b f 2 L1 .Rn /g:

12. Hardy spaces

87

An important tool in the study of Hardy spaces is another maximal function, the Hardy-Littlewood maximal function, defined by (12.6)

M.f /.x/ D sup r>0

1 vol.Br /

Z jf .y/j dy: Br .x/

The basic estimate on this maximal function is the following weak type-(1,1) estimate: Proposition 12.1. There is a constant C D C.n/ such that, for any  > 0; f 2 L1 .Rn /, we have the estimate (12.7)

 C  meas fx 2 Rn W M.f /.x/ > g  kf kL1 : 

Note that the estimate   1 meas fx 2 Rn W jf .x/j > g  kf kL1  follows by integrating the inequality jf j  S , where S D fjf j > g. To begin the proof of Proposition 12.1, let F D fx 2 Rn W Mf .x/ > g:

(12.8)

We remark that, for any f 2 L1 .Rn / and any  > 0; F is open. Given x 2 F , pick r D rx such that Ar jf j.x/ > , and let Bx D Brx .x/. Thus fBx W x 2 F g is a covering of F by balls. We will be able to obtain the estimate (12.7) from the following “covering lemma,” due to N. Wiener. Lemma 12.2. If C D fB˛ W ˛ 2 Ag is a collection of open balls in Rn , with union U , and if m0 < meas.U /, then there is a finite collection of disjoint balls Bj 2 C; 1  j  K, such that X

(12.9)

meas.Bj / > 3n m0 : ı

We show how the lemma allows us to prove (12.7). In this case, let C D fB x W ı

x 2 F g. Thus, if m0 < meas.F /, there exist disjoint balls Bj D B rj .xj / such that meas.[Bj / > 3n m0 . This implies (12.10)

m0 < 3n

X

meas.Bj / 

Z Z 3n X 3n jf .x/j dx; jf .x/j dx    Bj

for all m0 < meas.F /, which yields (12.7), with C D 3n .

88

13. Function Space and Operator Theory for Nonlinear Analysis

We now turn to the proof of Lemma 12.2. We can pick a compact K  U such that m.K/ > m0 . Then the covering C yields a finite covering of K, say A1 ; : : : ; AN . Let B1 be the ball Aj of the largest radius. Throw out all A` that meet B1 , and let B2 be the remaining ball of largest radius. Continue until fA1 ; : : : ; AN g is exhausted. One gets disjoint balls B1 ; : : : ; BK in C. Now each Aj meets some B` , having the property that the radius of B` is  the radius of bj is the ball concentric with Bj , with three times the radius, we Aj . Thus, if B have K N [ [ bj A` K: B j D1

`D1

This yields (12.9). Note that clearly f 2 L1 .Rn / H) kM.f /kL1  kf kL1 :

(12.11)

Now the method of proof of the Marcinkiewicz interpolation theorem, Proposition 5.4, yields the following. Corollary 12.3. If 1 < p < 1, then kM.f /kLp  Cp kf kLp :

(12.12)

Our first result on Hardy spaces is the following, relating h1 .Rn / to the smaller space H1 .Rn /. R Proposition 12.4. If u 2 h1 .Rn / has compact support and u.x/ dx D 0, then u 2 H1 .Rn /. Proof. It suffices to show that v.x/ D supfj't  u.x/j W ' 2 F ; t  1g

(12.13)

n belongs to L1 .R P /. Clearly, v is1 bounded. Also, if supp u  fjxj  Rg, then we can write u D @j uj ; uj 2 L .BR /. Then

(12.14) X t 1 't  u.x/ D

jt

 uj .x/;

jt .x/

D t n

j .t

1

x/;

j .x/

D @j '.x/:

j

If jxj D R C 1 C , then (12.15)

jt

 uj .x/ D 0 for t < , so

v.x/  C1

X

M.uj /.x/:

j

The weak (1,1) bound (12.7) on M now readily yields an L1 -bound on v.x/.

12. Hardy spaces

89

One advantage of h1 .Rn / is its localizability. We have the following useful result: Proposition 12.5. If r > 0 and g 2 C r .Rn / has compact support, then u 2 h1 .Rn / H) gu 2 h1 .Rn /:

(12.16)

Proof. If g 2 C r and 0 < r  1, we have, for all ' 2 F , (12.17)

ˇ ˇ ˇ't  .gu/.x/  g.x/'t  u.x/ˇ  C t rn

Z ju.y/j dy:

Bt .x/

Hence it suffices to show that Z v.x/ D sup t

(12.18)

0
ju.y/j dy

rn Bt .x/

belongs to L1 .Rn /. Since Z v.x/ 

(12.19)

.x  y/ ju.y/j dy; jx  yjnr

where .x/ is the characteristic function of fjxj  1g, this is clear. Given   Rn open, u 2 L1loc ./, we say (12.20)

u 2 H1loc ./ ” gu 2 h1 .Rn /;

8 g 2 C01 ./:

This is equivalent to the statement that, for any compact K  , there is a v 2 H1 .Rn / such that u D v on a neighborhood of K. To see this, note that if u 2 H1loc ./ and g 2 C01 ./; g D 1 on a neighborhood of K, then gu 2 h1 .Rn /. 1 n from supp g, and RNow take v D gu R C h, where h 2 C0 .R / has support disjoint h.x/ dx D  g.x/u.x/ dx. By Proposition 12.4, v 2 H1 .Rn /. The converse is established similarly. Not every compactly supported element of L1 .Rn / belongs to h1 .Rn /, but we do have the following. Proposition 12.6. If p > 1 and u 2 Lp .Rn / has compact support, then u 2 h1 .Rn /. Proof. We have (12.21)

.G b f /.x/  .Gf /.x/  C Mf .x/:

90

13. Function Space and Operator Theory for Nonlinear Analysis

Hence, given p > 1; u 2 Lp .Rn / ) G b u 2 Lp .Rn /. Also, G b u has support in jxj  R C 1 if supp u  fjxj  Rg, so G b u 2 L1 .Rn /. The spaces H1 .Rn / and h1 .Rn / are Banach spaces, with norms kukH1 D kGukL1 ;

(12.22)

kukh1 D kG b ukL1 :

It is useful to have the following approximation result. R .x/ dx D 1. If u 2 H1 .Rn /, Proposition 12.7. Fix 2 C01 .Rn / such that then k

(12.23)

"

 u  ukH1 ! 0; as " ! 0:

Proof. One easily verifies from the definition that, for some C < 1; G. "  u/ .x/  C Gu.x/; 8 x; 8 " 2 .0; 1. Hence, by the dominated convergence theorem, it suffices to show that G.

(12.24)

"

 u  u/.x/ ! 0;

a.e. x; as " ! 0I

that is, sup t >0;'2F

ˇ ˇ.'t 

"

ˇ  u  't  u/.x/ˇ ! 0;

To prove this, it suffices to show that ˇ (12.25) lim sup sup ˇ.'t  ";ı!0 0
a.e. x; as " ! 0:

"

ˇ  u  't  u/.x/ˇ D 0; a.e. x;

"

ˇ  't /  u.x/ˇ D 0:

and that, for each ı > 0, (12.26)

ˇ lim sup sup ˇ.'t 

"!0 t ı '2F

In fact, (12.25) holds whenever x is a Lebesgue point for u (see the exercises for more on this), and (12.26) holds for all x 2 Rn , since u 2 L1 .Rn / and, for all ' 2 F , we have k't  "  't kL1  C "t n1 . Corollary 12.8. Let Ty u.x/ D u.x C y/. Then, for u 2 H1 .Rn /, (12.27)

kTy u  ukH1 ! 0; as jyj ! 0:

Proof. Since kT kL.H1 / D 1 for all y, it suffices to show that (12.27) holds for u in a dense subspace of H1 .Rn /. Thus it suffices to show that, for each " > 0; u 2 H1 .Rn /, (12.28)

lim kTy .

jyj!0

"

 u/ 

"

 ukH1 D 0:

12. Hardy spaces

But Ty .

"

 u/ 

(12.29)

 u, where

n ."1 .x C y//  ."1 x/ : "y .x/  " .x/ D " "

uD.

"y



91

"/

Thus kTy .

"

 u/ 

"

 ukH1 D

sup t >0;'2F

k

(12.30)



k.

"y



"/

 't  ukL1

" kL1 kukH1 n1 kukH1 ; C jyj" "y



which finishes the proof. It is clear that we can replace H1 by h1 in Proposition 12.7 and Corollary 12.8, obtaining, for u 2 h1 .Rn /, k

(12.31)

"

 u  ukh1 ! 0;

as " ! 0, and kTy u  ukh1 ! 0;

(12.32)

as jyj ! 0. We can also approximate by cut-offs: Proposition 12.9. Fix  2 C01 .Rn /, so that .x/ D 1 for jxj  1; 0 for jxj  2, and 0    1. Set R .x/ D .x=R/. Then, given u 2 h1 .Rn /, we have lim ku  R ukh1 D 0:

(12.33)

R!1

Proof. Clearly, G b .u  R u/.x/ D 0, for jxj  R  1, so lim G b .u  R u/.x/ D 0;

R!1

8 x 2 Rn :

To get (12.33), we would like to appeal to the dominated convergence theorem. In fact, the estimates (12.17)–(12.19) (with g D 1  R ) give (12.34)

G b .u  R u/.x/  G b u.x/ C Av.x/;

8 R  1;

where A D krkL1 , and v.x/ is given by (12.19), with r D 1, so v 2 L1 .Rn /. Thus dominated convergence does give (12.35) and the proof is done.

lim kG b .u  R u/kL1 D 0;

R!1

92

13. Function Space and Operator Theory for Nonlinear Analysis

Together with (12.31), this gives Corollary 12.10. The space C01 .Rn / is dense in h1 .Rn /. A slightly more elaborate argument shows that (12.36)

Z n o D0 D u 2 C01 .Rn / W u.x/ dx D 0

is dense in H1 .Rn /; see [Sem]. One significant measure of how much smaller H1 .Rn / is than L1 .Rn / is the following identification of an element of the dual of H1 .Rn / that does not belong to L1 .Rn /. Proposition 12.11. We have ˇZ ˇ ˇ ˇ ˇ f .x/ log jxj dx ˇ  C kf kH1 :

(12.37)

Proof. Let .x/ 2 C01 .Rn / satisfy .x/ D 1 for jxj  1; .x/ D 0 for jxj  2. Set (12.38)

`.x/ D 

1 X j D1

.2j x/ C

1 X 

 1  .2j x/ :

j D0

It is easy to check that log jxj  .log 2/`.x/ 2 L1 .Rn /:

(12.39)

Thus it suffices to estimate (12.40)

R

f .x/`.x/ dx. We have

1 ˇZ ˇZ ˇ ˇ X ˇ ˇ ˇ ˇ ˇ f .x/`.x/ dx ˇ  ˇ f .x/.2j x/ dx ˇ: j D1

We claim that, for each j 2 Z, (12.41)

ˇ ˇZ ˇ ˇ ˇ f .x/.2j x/ dx ˇ  C 2j n

inf

B2j .0/

Gf:

In fact, given j 2 Z; z 2 B2j .0/, we can write Z (12.42)

f .x/2j n .2j x/ dx D K'r  f .z/;

12. Hardy spaces

93

with r D 22j ; K D K.; n/, for some ' 2 F ; say '.x/ is a multiple of a translate of .4x/. Consequently, with Sj D B2j .0/, we have (12.43)

1 ˇZ ˇ X ˇ ˇ ˇ f .x/`.x/ dx ˇ  C

Z Gf D C kf kH1 :

j D1S nS j j C1

By Corollary 12.8, we have the following: Corollary 12.12. Given f 2 H1 .Rn /, log f 2 C.Rn /:

(12.44)

The result (12.37) is a very special case of the fact that the dual of H1 .Rn / is naturally isomorphic to a space of functions called BMO.Rn /. This was established in [FS]. The special case given above is the only case we will use in this book. More about this duality and its implications for analysis can be found in the treatise [S3]. Also, [S3] has other important information about Hardy spaces, including a study of singular integral operators on these spaces. The next result is a variant of the div-curl lemma (discussed in Exercises for  6), due to [CLMS]. It states that a certain function that obviously belongs to L1 .Rn / actually belongs to H1 .Rn /. Together with Corollary 12.12, this produces a useful tool for PDE. An application will be given in  12B of Chap. 14. The proof below follows one of L. Evans and S. Muller, given in [Ev2]. Proposition 12.13. If u 2 L2 .Rn ; Rn /; v 2 H 1 .Rn /, and div u D 0, then u  rv 2 H1 .Rn /. 1 1 n .Rn /. Now, Proof. Clearly, u  rv 2  L  with ' 2 C0 .R /, supported in the unit n 1 ball, set 'r .y/ D r ' r .x  y/ . We have

Z (12.45)

Z .u  rv/'r dy D 

.v  vx;r /u  r'r dy;

Br .x/

since div u D 0. Thus, with C0 D kr'kL1 , (12.46)

ˇ C Z ˇZ 0 ˇ ˇ ˇ .u  rv/'r dy ˇ  r

ju  vx;r j  juj dy:

Br .x/

Take (12.47)

 2n  ; p 2 2; n2

qD

p 2 .1; 2/: p1

94

13. Function Space and Operator Theory for Nonlinear Analysis

Then 0 Z ˇZ ˇ C 0 B ˇ ˇ ˇ .u  rv/'r dy ˇ  @ r Br .x/

0 

(12.48)

Z

C0 B @ ra

11=p 0 C jv  vx;r jp dy A 11= 0 C jrvj dy A

B @

Br .x/

Z

B @

Br .x/

Z

11=q C jujq dy A 11=q

C jujq dy A

;

Br .x/

where  D pn=.p C n/ < 2 and a D n C 1. Consequently, ˇZ ˇ 1=  q 1=q  ˇ ˇ M juj ˇ .u  rv/'r dy ˇ  C0 M jrvj ˚  2= 2=q   :  C0 M jrvj C M jujq

(12.49)

     By Corollary 12.3, we have M jrvj L2=  C jrvj L2= , and so Z

Similarly,

 2= M jrvj dx  C Z

2=q  dx  C M jujq

Z jrvj2 dx: Z juj2 dx:

Hence (12.50) ku  rvkH1 D

sup '2F ;r>0

Z     .u  rv/'r dy 

L1

   C krvk2 C kuk2L2 :

We next establish a localized version of Proposition 12.13. Proposition 12.14. Let   Rn be open. If u 2 L2 .; Rn /; div u D 0, and v 2 H 1 ./, then u  rv 2 H1loc ./. Proof. We may as well suppose n > 1. Take any O  , diffeomorphic to a ball. It suffices to show that u  rv is equal on O to an element of H1 .Rn /. Say O  U  , with U also diffeomorphic to a ball. Pick  2 C01 .U /;  D 1 on O. Let uQ 2 L2 .; ƒn1 / correspond to u via the volume element on . Then d uQ D 0. We use the Hodge decomposition of L2 .U; ƒn1 /, with absolute boundary condition: (12.51)

uQ D d ıG A uQ C ıdG A uQ C PhA uQ

on u:

Exercises

95

Since d uQ D 0, we have by (9.48) of Chap. 5 that ıdG A uQ D 0. Also, given n > 1, Hn1 .U / D 0, so PhA uQ D 0, too, and so wQ 2 H 1 .U; ƒn2 /:

uQ D d w; Q

(12.52)

Q and we set Having this, we define a vector field u0 on Rn so that uQ 0 D d.w/, v0 D v. It follows that u0 ; v0 satisfy the hypotheses of Proposition 12.13, so u0  rv0 2 H1 .Rn /. But u0  rv0 D u  rv on O, so the proof is done. Let us finally mention that while we have only briefly alluded to the space BMO, it has also proven to be of central importance, especially since the work of [FS]. More about the role of BMO in paradifferential operator calculus can be found in [T2]. Also, Proposition 12.13 can be deduced from a commutator estimate involving BMO, as explained in [CLMS]; see also [AT].

Exercises We say x 2 Rn is a Lebesgue point for f 2 L1 .Rn / provided Z 1 lim jf .y/  f .x/j dy D 0: r!0 vol.Br / Br .x/

In Exercises 1 and 2, we establish that, given f 2 L1 .Rn /, a.e. x 2 Rn is a Lebesgue point of f . 1. Set Z 1 f.f /.x/ D sup M jf .y/  f .x/j dy: r>0 vol.Br / Br .x/

Show that, for all x 2

Rn ,

f.f /.x/  M.f /.x/ C jf .x/j: M 2. Given  > 0, let n E D x 2 Rn W lim sup r!0

1 vol.Br /

Z

o jf .y/  f .x/j dy >  :

Br .x/

Take " > 0, and take g 2 C01 .Rn / so that kf  gkL1 < ". Show that E is unchanged if f is replaced by f  g. Deduce that



 1 1 E  x W M.f  g/.x/ >  [ x W jf .x/  g.x/j >  ; 2 2 and hence, via Proposition 12.1, meas.E / 

C C" kf  gkL1  :  

Deduce that meas.E / D 0; 8  > 0, and hence a.e. x 2 Rn is a Lebesgue point for f .

96

13. Function Space and Operator Theory for Nonlinear Analysis

3. Now verify that (12.25) holds whenever x is a Lebesgue point of u. 4. If u W R2 ! R2 , show that u 2 H 1 .R2 / H) det Du 2 H1 .R2 /: (Hint: Compute div w, when w D .@y u1 ; @x u2 /:) 5. If u W R2 ! R3 , show that u 2 H 1 .R2 / H) ux  uy 2 H1 .R2 /: (Hint. Show that the first argument of ux  uy is det Dv, where v D .u2 ; u3 /:)

A. Variations on complex interpolation Let X and Y be Banach spaces, assumed to be linear subspaces of a Hausdorff locally convex space V (with continuous inclusions). We say .X; Y; V / is a compatible triple. For  2 .0; 1/, the classical complex interpolation space ŒX; Y  , introduced in Chap. 4 and much used in this chapter, is defined as follows. First, Z D X C Y gets a natural norm; for v 2 X C Y , (A.1)

kvkZ D inf fkv1 kX C kv2 kY W v D v1 C v2 ; v1 2 X; v2 2 Y g:

One has X C Y X ˚ Y =L, where L D f.v; v/ W x 2 X \ Y g is a closed linear subspace, so X C Y is a Banach space. Let  D fz 2 C W 0 < Re z < 1g, with closure . Define H .X; Y / to be the space of functions f W  ! Z D X C Y , continuous on , holomorphic on  (with values in X C Y ), satisfying f W fIm z D 0g ! X continuous, f W fIm z D 1g ! Y continuous, and (A.2)

ku.z/kZ  C;

ku.iy/kX  C;

ku.1 C iy/kY  C;

for some C < 1, independent of z 2  and y 2 R. Then, for  2 .0; 1/, (A.3)

ŒX; Y  D fu./ W u 2 H .X; Y /g:

One has (A.4)

ŒX; Y  H .X; Y /=fu 2 H .X; Y / W u./ D 0g;

giving ŒX; Y  the sructure of a Banach space. Here (A.5)

kukH .X;Y / D sup ku.z/kZ C sup ku.iy/kX C sup ku.1 C iy/kY : z2

y

y

If I is an interval in R, we say a family of Banach spaces Xs ; s 2 I (subspaces of V ) forms a complex interpolation scale provided that for s; t 2 I;  2 .0; 1/, (A.6)

ŒXs ; Xt  D X.1 /sC t :

A. Variations on complex interpolation

97

Examples of such scales include Lp -Sobolev spaces Xs D H s;p .M /; s 2 R, provided p 2 .1; 1/, as shown in  6 of this chapter, the case p D 2 having been done in Chap. 4. It turns out that (A.6) fails for Zygmund spaces Xs D Cs .M /, but an analogous identity holds for some closely related interpolation functors, which we proceed to introduce. If .X; Y; V / is a compatible triple, as defined in above, we define H .X; Y; V / to be the space of functions u W  ! X C Y D Z such that (A.7) (A.8)

u W  ! Z is holomorphic, ku.z/kZ  C;

ku.iy/kX  C;

ku.1 C iy/kY  C;

and (A.9)

u W  ! V is continuous:

For such u, we again use the norm (A.5). Note that the only difference with H .X; Y / is that we are relaxing the continuity hypothesis for u on . H .X; Y; V / is also a Banach space, and we have a natural isometric inclusion (A.10)

H .X; Y / ,! H .X; Y; V /:

Now for  2 .0; 1/ we set (A.11)

ŒX; Y  IV D fu./ W u 2 H .X; Y; V /g:

Again this space gets a Banach space structure, via (A.12)

ŒX; Y  IV H .X; Y; V /=fu 2 H .X; Y; V / W u./ D 0g;

and there is a natural continuous injection (A.13)

ŒX; Y  ,! ŒX; Y  IV :

Sometimes this is an isomorphism. In fact, sometimes ŒX; Y  D ŒX; Y  IV for practically all reasonable choices of V . For example, one can verify this for X D Lp .Rn /; Y D H s;p .Rn /, the Lp -Sobolev space, with p 2 .1; 1/; s 2 .0; 1/. On the other hand, there are cases where equality in (A.10) does not hold, and where ŒX; Y  IV is of greater interest than ŒX; Y  . We next define ŒX; Y b . In this case we assume X and Y are Banach spaces and e D fz 2 C W 0 < Re z  1g, Y  X (continuously). We take  as above, and set  i.e., we throw in the right boundary but not the left boundary. We then define b e ! X such that H .X; Y / to be the space of functions u W  u W  ! X is holomorphic, (A.14)

ku.z/kX  C; ku.1 C iy/kY  C; e ! X is continuous: uW

98

13. Function Space and Operator Theory for Nonlinear Analysis

Note that the essential difference between H .X; Y / and the space we have just introduced is that we have completely dropped any continuity requirement at fRe z D 0g. We also do not require continuity from fRe z D 1g to Y . The space b H .X; Y / is a Banach space, with norm (A.15)

kukHb .X;Y / D sup ku.z/kX C sup ku.1 C iy/kY :  y z2e 

Now, for  2 .0; 1/, we set (A.16)

b ŒX; Y b D fu./ W u 2 H .X; Y /g;

with the same sort of Banach space structure as arose in (A.4) and (A.12). We have continuous injections (A.17)

ŒX; Y  ,! ŒX; Y  IX ,! ŒX; Y b :

Our next task is to extend the standard result on operator interpolation from the setting of ŒX; Y  to that of ŒX; Y  IV and ŒX; Y b . Proposition A.1. Let .Xj ; Yj ; Vj / be compatible triples, j D 1; 2. Assume that T W V1 ! V2 is continuous and that (A.18)

T W X1 ! X2 ;

T W Y1 ! Y2 ;

continuously. (Continuity is automatic, by the closed graph theorem.) Then, for each  2 .0; 1/, (A.19)

T W ŒX1 ; Y1  IV1 ! ŒX2 ; Y2  IV2 :

Furthermore, if Yj  Xj (continuously) and T is a continuous linear map satisfying (A.18), then for each  2 .0; 1/, (A.20)

T W ŒX1 ; Y1 b ! ŒX2 ; Y2 b :

Proof. Given f 2 ŒX1 ; Y2  IV , pick u 2 H .X1 ; Y1 ; V1 / such that f D u./. Then we have (A.21)

T W H .X1 ; Y1 ; V1 / ! H .X2 ; Y2 ; V2 /;

and hence (A.22)

Tf D .T u/./ 2 ŒX2 ; Y2  IV2 :

This proves (A.19). The proof of (A.20) is similar.

.T u/.z/ D T u.z/;

A. Variations on complex interpolation

99

Remark: In case V D X C Y , with the weak topology, ŒX; Y  IV is what is denoted .X; Y /w  in [JJ], and called the weak complex interpolation space. Alternatives to (A.6) for a family Xs of Banach spaces include (A.23)

ŒXs ; Xt  IV D X.1 /sC t

and (A.24)

ŒXs ; Xt b D X.1 /sC t :

Here, as before, we take  2 .0; 1/. It is an exercise, using results of  6, to show that both (A.23) and (A.24), as well as (A.6), hold when Xs D H s;p .M /, given p 2 .1; 1/, where M can be Rn or a compact Riemannian manifold. We now discuss the situation for Zygmund spaces. We start with Zygmund spaces on the torus T n . We recall from  8 that the Zygmund space Cr .T n / is defined for r 2 R, as follows. Take ' 2 C01 .Rn /, radial, satisfying './ D 1 for jj  1. Set 'k ./ D '.2k /. Then set 0 D '; k D 'k  'k1 for k 2 N, so f k W k  0g is a Littlewood–Paley partition of unity. We define Cr .T n / to consist of f 2 D0 .T n / such that (A.25)

kf kCr D sup 2kr k k0

k .D/f

kL1 < 1:

With ƒ D .I  /1=2 and s; t 2 R, we have (A.26)

ƒsCi t W Cr .T n / ! Crs .T n /:

By material developed in  8, (A.27)

r 2 RC n ZC H) Cr .T n / D C r .T n /;

where, if r D k C ˛ with k 2 ZC and 0 < ˛ < 1, C r .T n / consists of functions whose derivatives of order  k are H¨older continuous of exponent ˛. We aim to show the following. Proposition A.2. If r < s < t and 0 <  < 1, then (A.28)

ŒCs .T n /; Ct .T n / ICr .T n / D C.1 /sC t .T n /;

and (A.29)

ŒCs .T n /; Ct .T n /b D C.1 /sC t .T n /:

Proof. First, suppose f 2 ŒCs ; Ct  ICr , so f D u./ for some u 2 H .Cs ; Ct ; Cr /. Then consider (A.30)

2

v.z/ D e z ƒ.t s/z ƒs u.z/:

100 13. Function Space and Operator Theory for Nonlinear Analysis

Bounds of the type (A.8) on u, together with (8.13) in the torus setting, yield kv.iy/kC0 ; kv.1 C iy/kC0  C;

(A.31)

with C independent of y 2 R. In other words, k

(A.32)

k .D/v.z/kL1

 C;

Re z D 0; 1;

with C independent of Im z and k. Also, for each k 2 ZC , L1 .T n / continuously, so the maximum principle implies k

(A.33)

.t s/ s ƒ f k .D/ƒ

k .D/v

W  !

kL1  C;

independent of k 2 ZC . This gives ƒ.1 /sC t f .1 /sC t C .T n /. .1 /sC t Second, suppose f 2 C .T n /. Set

2 C0 , hence f

2

2

u.z/ D e z ƒ. z/.t s/f:

(A.34) 2

Then u./ D e  f . We claim that (A.35)

u 2 H .Cs ; Ct ; Cr /;

as long as r < s < t. Once we establish this, we will have the reverse containment in (A.28). Bounds of the form (A.36)

ku.z/kCs  C;

ku.1 C iy/kCt  C

follow from (8.13), and are more than adequate versions of (A.8). It remains to establish that (A.37)

u W  ! Cr .T n /; continuously.

Indeed, we know u W  ! Cs .T n / is bounded. It is readily verified that (A.38)

u W  ! D0 .T n /; continuously,

and that (A.39)

r < s H) Cs .T n / ,! Cr .T n / is compact.

The result (A.37) follows from these observations. Thus the proof of (A.28) is complete.

A. Variations on complex interpolation

101

b We turn to the proof of (A.29). If u 2 H .Cs ; Ct /, form v.z/ as in (A.30), and for " 2 .0; 1 set

(A.40)

v" .z/ D e "ƒ v.z/;

e ! C0 .T n / bounded and continuous v" W 

(with bound that might depend on "). We have (A.41)

k .D/v" ."

C iy/ D e ."Ciy/

2

k .D/e

"ƒ

ƒ.t s/" ƒi.t s/y ƒs u.z/:

e is bounded in C0 .T n /, and the operator norm of ƒi.t s/y Now fƒs u.z/ W z 2 g 0 n on C .T / is exponentially bounded in jyj. We have (A.42)

fe "ƒ ƒ".t s/ W 0 < "  1g bounded in OPS01;0 .T n /;

hence bounded in operator norm on C0 .T n /. We deduce that (A.43)

k

k .D/v" ."

C iy/kL1  C;

independent of y 2 R and " 2 .0; 1. The hypothesis on u also implies (A.44)

k

k .D/v" .1

C iy/kL1  C;

independent of y 2 R and " 2 .0; 1. Now the maximum principle applies. Given  2 .0; 1/, (A.45)

k

k .D/e

"ƒ

v./kL1  C;

independent of ". Taking " & 0 yields v./ 2 C0 .T n /, hence u."/ 2 .1 /sC t C .T n /. This proves one inclusion in (A.29). The proof of the reverse inclusion is similar to that for (A.28). Given f 2 C.1 /sC t .T n /, take u.z/ as in (A.34). The b claim is that u 2 H .Cs ; Ct /. We already have (A.36), and the only thing that remains is to check that (A.46)

e ! Cs .T n / continuously; uW

and this is straightforward. (What fails is continuity of u W  ! Cs .T n / at the left boundary of .) Remark: In contrast to (A.28)–(A.29), one has (A.47)

ŒCs .T n /; Ct .T n / D closure of C 1 .T n / in C.1 /sC t .T n /:

Related results are given in [Tri].

102 13. Function Space and Operator Theory for Nonlinear Analysis n n If OPSm 1;0 .T / denotes the class of pseudodifferential operators on T with m symbols in S1;0 , then for all s; m 2 R,

(A.48)

n s n sm .T n /: P 2 OPSm 1;0 .T / H) P W C .T / ! C

m and of C r .T n / for Cf. Proposition 8.6. Using coordinate invariance of OPS1;0 C C s n r 2 R n Z , we deduce invariance of C .T / under diffeomorphisms, for all s 2 R. From here, we can develop the spaces Cs .M / on a compact Riemannian manifold M and the spaces Cs .M / on a compact manifold with boundary. These developments are done in  8.

References [Ad] R. Adams, Sobolev Spaces, Academic, New York, 1975. [ADN] S. Agmon, A. Douglis, and L. Nirenberg, Estimates near the boundary for solutions of elliptic differential equations satisfying general boundary conditions, CPAM 12(1959), 623–727. [AG] S. Ahlinac and P. Gerard, Operateurs Pseudo-differentiels et Th´eoreme de NashMoser, Editions du CNRS, Paris, 1991. [Au] T. Aubin, Nonlinear Analysis on Manifolds. Monge-Ampere Equations, Springer, New York, 1982. [AT] P. Auscher and M. Taylor, Paradifferential operators and commutator estimates, Comm. PDE 20(1995), 1743–1775. [Ba] J. Ball (ed.), Systems of Nonlinear Partial Differential Equations, Reidel, Boston, 1983. [BL] J. Bergh and J. L¨ofstrom, Interpolation Spaces, an Introduction, Springer, New York, 1976. [BJS] L. Bers, F. John, and M. Schechter, Partial Differential Equations, Wiley, New York, 1964. [Bon] J.-M. Bony, Calcul symbolique et propagation des singularit´es pour les e´ quations aux deriv´ees nonlin´eaires, Ann. Sci. Ecole Norm. Sup. 14(1981), 209–246. [Bou] G. Bourdaud, Une alg`ebre maximale d’operateurs pseudodifferentiels, Comm. PDE 13(1988), 1059–1083. [BrG] H. Brezis and T. Gallouet, Nonlinear Schrodinger evolutions, J. Nonlin. Anal. 4(1980), 677–681. [BrW] H. Brezis and S. Wainger, A note on limiting cases of Sobolev imbeddings, Comm. PDE 5(1980), 773–789. [Ca] A. P. Calderon, Intermediate spaces and interpolation, the complex method, Studia Math. 24(1964), 113–190. [CLMS] R. Coifman, P. Lions, Y. Meyer, and S. Semmes, Compensated compactness and Hardy spaces, J. Math. Pures et Appl. 72(1993), 247–286. [DST] E. B. Davies, B. Simon, and M. Taylor, Lp spectral theory of Kleinian groups, J. Funct. Anal. 78(1988), 116–136. [DiP] R. DiPerna, Measure-valued solutions to conservation laws, Arch. Rat. Mech. Anal. 88(1985), 223–270.

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[Ev] L. Evans, Weak Convergence Methods for Nonlinear Partial Differential Equations, CBMS Reg. Conf. Ser. #74, Providence, R. I., 1990. [Ev2] L. Evans, Partial regularity for stationary harmonic maps into spheres, Arch. Rat. Mech. Anal. 116(1991), 101–113. [FS] C. Fefferman and E. Stein, H p spaces of several variables, Acta Math. 129(1972), 137–193. [Fo] G. Folland, Lectures on Partial Differential Equations, Tata Institute, Bombay, Springer, New York, 1983. [FJW] M. Frazier, B. Jawerth, and G. Weiss, Littlewood-Paley Theory and the Study of Function Spaces, CBMS Reg. Conf. Ser. Math. #79, AMS, Providence, R. I., 1991. [Frd] A. Friedman, Generalized Functions and Partial Differential Equations, Prentice-Hall, Englewood Cliffs, N. J., 1963. [Gag] E. Gagliardo, Ulteriori propriet´a di alcune classi di funzioni in pi`u variabili, Ricerche Mat. 8(1959), 24–51. [H1] L. H¨ormander, The Analysis of Linear Partial Differential Operators, Vol. 1, Springer, New York, 1983. [H2] L. H¨ormander, Pseudo-differential operators of type 1,1. Comm. PDE 13(1988), 1085–1111. [H3] L. H¨ormander, Non-linear Hyperbolic Differential Equations. Lecture Notes, Lund University, 1986–1987. [JJ] S. Jansen and P. Jones, Interpolation between H p spaces: the complex method, J. Funct. Anal. 48 (1982), 58–80. [Jos] J. Jost, Nonlinear Methods in Riemannian and Kahlerian Geometry, Birkh¨auser, Boston, 1988. [KS] D. Kinderlehrer and G. Stampacchia, An Introduction to Variational Inequalities and their Applications, Academic, NY, 1980. [Ma1] J. Marschall, Pseudo-differential operators with non regular symbols, InauguralDissertation, Freien Universit¨at Berlin, 1985. [Ma2] J. Marschall, Pseudo-differential operators with coefficients in Sobolev spaces, Trans. AMS 307(1988), 335–361. [Mey] Y. Meyer, Regularit´e des solutions des e´ quations aux deriv´ees partielles non lin´eaires, Sem. Bourbaki 1979/80, 293–302, LNM #842, Springer, New York, 1980. [Mik] S. Mikhlin, Multidimensional Singular Integral Equations, Pergammon Press, New York, 1965. [Mor] C. B. Morrey, Multiple Integrals in the Calculus of Variations, Springer, New York, 1966. [Mos] J. Moser, A rapidly convergent iteration method and nonlinear partial differential equations, I, Ann. Sc. Norm. Sup. Pisa 20(1966), 265–315. [Mos2] J. Moser, A sharp form of an inequality of N. Trudinger, Indiana Math. J. 20(1971), 1077–1092. [Mur] F. Murat, Compacit´e par compensation, Ann. Sc. Norm. Sup. Pisa 5(1978), 485–507. [Mus] N. Muskheleshvili, Singular Integral Equations, P. Nordhoff, Groningen, 1953. [Ni] L. Nirenberg, On elliptic partial differential equations, Ann. Sc. Norm. Sup. Pisa, 13(1959), 116–162. [RS] M. Reed and B. Simon, Methods of Mathematical Physics, Academic, New York, Vols. 1, 2, 1975; Vols. 3, 4, 1978.

104 13. Function Space and Operator Theory for Nonlinear Analysis [RRT] J. Robbins, R. Rogers, and B. Temple, On weak continuity and the Hodge decomposition, Trans. AMS 303(1987), 609–618. [Sch] L. Schwartz, Theori´e des Distributions, Hermann, Paris, 1950. [Sem] S. Semmes, A primer on Hardy spaces, and some remarks on a theorem of Evans and M¨uller, Comm. PDE 19(1994), 277–319. [So] S. Sobolev, On a theorem of functional analysis, Mat. Sb. 4(1938), 471–497; AMS Transl. 34(1963), 39–68. [So2] S. Sobolev, Partial Differential Equations of Mathematical Physics, Dover, New York, 1964. [S1] E. Stein, Singular Integrals and Differentiability Properties of Functions, Princeton Univ. Press, Princeton, N. J., 1970. [S2] E. Stein, Singular Integrals and Pseudo-differential Operators, Graduate Lecture Notes, Princeton Univ., 1972. [S3] E. Stein, Harmonic Analysis, Princeton Univ. Press, Princeton, N. J., 1993. [SW] E. Stein and G. Weiss, Introduction to Fourier Analysis on Euclidean Space, Princeton Univ. Press, Princeton, N. J., 1971. [Str] R. Strichartz, A note on Trudinger’s extension of Sobolev’s inequalities, Indiana Math. J. 21(1972), 841–842. [Tar] L. Tartar, Compensated compactness and applications to partial differential equations, Heriot-Watt Symp. Vol. IV, Pitman, New York, 1979, pp. 136–212. [Tar2] L. Tartar, The compensated compactness method applied to systems of conservation laws, pp. 263–285 in J. Ball (ed.), Systems of Nonlinear Partial Differential Equations, Reidel, Boston, 1983. [T1] M. Taylor, Pseudodifferential Operators, Princeton Univ. Press, Princeton, N. J., 1981. [T2] M. Taylor, Pseudodifferential Operators and Nonlinear PDE, Birkh¨auser, Boston, 1991. [T3] M. Taylor, Lp -estimates on functions of the Laplace operator, Duke Math. J. 58(1989), 773–793. [Tri] H. Triebel, Theory of Function Spaces, Birkh¨auser, Boston, 1983. [Tru] N. Trudinger, On imbeddings into Orlicz spaces and some applications, J. Math. Mech. 17(1967), 473–483. [You] L. Young, Lectures on the Calculus of Variations and Optimal Control Theory, W. B. Saunders, Philadelphia, 1979.

14 Nonlinear Elliptic Equations

Introduction Methods of the calculus of variations applied to problems in geometry and classical continuum mechanics often lead to elliptic PDE that are not linear. We discuss a number of examples and some of the developments that have arisen to treat such problems. The simplest nonlinear elliptic problems are the semilinear ones, of the form Lu D f .x; D m1 u/, where L is a linear elliptic operator of order m and the nonlinear term f .x; D m1 u/ involves derivatives of u of order  m  1. In  1 we look at semilinear equations of the form (0.1)

u D f .x; u/;

on a compact, Riemannian manifold M , with or without boundary. The Dirichlet problem for (0.1) is solvable provided @u f .x; u/  0 if each connected component of M has a nonempty boundary. If M has no boundary, this condition does not always imply the solvability of (0.1), but one can solve this equation if one requires f .x; u/ to be positive for u > a1 and negative for u < a0 . We use three approaches to (0.1): a variational approach, minimizing a function defined on a certain function space, the “method of continuity,” solving a one-parameter family of equations of the type (0.1), and a variant of the method of continuity that involves a Leray–Schauder fixed-point theorem. This fixed-point theorem is established in Appendix B, at the end of this chapter. A particular example of (0.1) is (0.2)

u D k.x/  K.x/e 2u ;

which arises when one has a 2-manifold with Gauss curvature k.x/ and wants to multiply the metric tensor by the conformal factor e 2u and obtain K.x/ as the Gauss curvature. The condition @u f .x; u/  0 implies that K.x/  0 in (0.2). In  2 we study (0.2) on a compact, Riemannian 2-fold without boundary, given K.x/ < 0. The Gauss–Bonnet formula implies that .M / < 0 is a necessary M.E. Taylor, Partial Differential Equations III: Nonlinear Equations, Applied Mathematical Sciences 117, DOI 10.1007/978-1-4419-7049-7 2, c Springer Science+Business Media, LLC 1996, 2011 

105

106 14. Nonlinear Elliptic Equations

condition for solvability in this case; the main result of  2 is that this is also a sufficient condition. When you take K  1, this establishes the uniformization theorem for compact Riemann surfaces of negative Euler characteristic. When .M / D 0, one takes K D 0 and (0.2) is linear. The remaining case of this uniformization theorem, .M / D 2, is treated in Chap. 10,  9. The next topic is local solvability of nonlinear elliptic PDE. We establish this via the inverse function theorem for C 1 -maps on a Banach space. We treat underdetermined as well as determined elliptic equations. We obtain solutions in  3 with a high but finite degree of regularity. In some cases such solutions are actually C 1 . In  4 we establish higher regularity for solutions to elliptic PDE that are already known to have a reasonably high degree of smoothness. This result suffices for applications made in  3, though PDE encountered further on will require much more powerful regularity results. In  5 we establish the theorem of J. Nash, on isometric imbeddings of compact Riemannian manifolds in Euclidean space, largely following the ingenious simplification of M. G¨unther [Gu1], allowing one to apply the inverse function theorem for C 1 -maps on a Banach space. Again, the regularity result of  4 applies, allowing one to obtain a C 1 -isometric imbedding. In  6 we introduce the venerable problem of describing minimal surfaces. We establish a number of classical results, in particular the solution to the Plateau problem, producing a (generalized) minimal surface, as the image of the unit disc under a harmonic and essentially conformal map, taking the boundary of the disc homeomorphically onto a given simple closed curve. In  7 we begin to study the quasi-linear elliptic PDE satisfied by a function whose graph is a minimal surface. We use results of  6 to establish some results on the Dirichlet problem for the minimal surface equation, and we note several questions about this Dirichlet problem whose solutions are not simple consequences of the results of  6, such as boundary regularity. These questions serve as guides to the results of boundary problems for quasi-linear elliptic PDE derived in the next three sections. In  8 we apply the paradifferential operator calculus developed in Chap. 13,  10, to obtain regularity results for nonlinear elliptic boundary problems. We concentrate on second-order PDE (possibly systems) on a compact manifold with boundary M and obtain higher regularity for a solution u, assumed a priori to belong to C 2Cr .M /, for some r > 0, for a completely nonlinear elliptic PDE, or to C 1Cr .M /, in the quasi-linear case. To check how much these results accomplish, we recall the minimal surface equation and note a gap between the regularity of a solution needed to apply the main result (Theorem 8.4) and the regularity a solution is known to possess as a consequence of results in  7. Section 9 is devoted to filling that gap, in the scalar case, by the famous DeGiorgi–Nash–Moser theory. We follow mainly J. Moser [Mo2], together with complementary results of C. B. Morrey on nonhomogeneous equations. Morrey’s results use spaces now known as Morrey spaces, which are discussed in Appendix A at the end of this chapter.

1. A class of semilinear equations

107

With the regularity results of  8 and 9 under our belt, we resume the study of the Dirichlet problem for quasi-linear elliptic PDE in the scalar case, in  10, with particular attention to the minimal surface equation. We note that the Dirichlet problem for general boundary data is not solvable unless there is a restriction on the domain on which a solution u is sought. This has to do with the fact that the minimal surface equation is not “uniformly elliptic.” We give examples of some uniformly elliptic PDE, modeling stretched membranes, for which the Dirichlet problem has a solution for general smooth data, on a general, smooth, bounded domain. We do not treat the most general scalar, second-order, quasi-linear elliptic PDE, though our treatment does include cases of major importance. More material can be found in [GT] and [LU]. In  11 we return to the variational method, introduced in  1, and prove that a variety of functionals Z (0.3)

I.u/ D

F .x; u; ru/ dV .x/ 

possess minima in sets (0.4)

V D fu 2 H 1 ./ W u D g on @g:

The analysis includes cases both of real-valued u and of u taking values in RN . The latter case gives rise to N  N elliptic systems, and some regularity results for quasi-linear elliptic systems are established in  12. Sometimes solutions are not smooth everywhere, but we can show that they are smooth on the complement of a closed set †   of Hausdorff dimension < n  2 (n D dim ). Results of this nature are called “partial regularity” results. In  13 we establish results on linear elliptic equations in nondivergence form, due to N. Krylov and M. Safonov, which take the place of DeGiorgi–Nash–Moser estimates in the study of certain fully nonlinear equations, done in  14. In  15 we apply this to equations of the Monge–Ampere type. In  16 we obtain some results for nonlinear elliptic equations for functions of two variables that are stronger than results available for functions of more variables. One attack on second-order, scalar, nonlinear elliptic PDE that has been very active recently is the “viscosity method.” We do not discuss this method here; one can consult the review article [CIL] for material on this.

1. A class of semilinear equations In this section we look at equations of the form (1.1)

u D f .x; u/

on M;

108 14. Nonlinear Elliptic Equations

where M is a Riemannian manifold, either compact or the interior of a compact manifold M with smooth boundary. We first consider the Dirichlet boundary condition ˇ uˇ@M D g;

(1.2)

where M is connected and has nonempty boundary. We suppose f 2 C 1 .M R/. We will treat (1.1)–(1.2) under the hypothesis that @f  0: @u

(1.3)

Other cases will be considered later in this section. Suppose F .x; u/ D Ru f .x; s/ ds, so 0 f .x; u/ D @u F .x; u/:

(1.4)

Then (1.3) is the hypothesis that F .x; u/ is a convex function of u. Let (1.5)

I.u/ D

1 kd uk2L2 .M / C 2

Z

  F x; u.x/ dV .x/:

M

We will see that a solution to (1.1)–(1.2) is a critical point of I on the space of functions u on M , equal to g on @M . We will make the following temporary restriction on F : (1.6)

For juj  K; @u f .x; u/ D 0;

so F .x; u/ is linear in u for u  K and for u  K. Thus, for some constant L, (1.7)

j@u F .x; u/j  L

on M  R:

Let (1.8)

V D fu 2 H 1 .M / W u D g on @M g:

Lemma 1.1. Under the hypotheses (1.3)–(1.7), we have the following results about the functional I W V ! R: (1.9)

I is strictly convexI

(1.10)

I is Lipschitz continuous;

with the norm topology on V ; (1.11)

I is bounded below;

1. A class of semilinear equations

109

and I.v/ ! C1; as kvkH 1 ! 1:

(1.12)

Proof. (1.9) is trivial. (1.10) follows from jF .x; u/  F .x; v/j  Lju  vj;

(1.13)

which follows from (1.7). The convexity of F .x; u/ in u implies F .x; u/  C0 juj  C1 :

(1.14) Hence

1 kd uk2  C0 kukL1  C10 2 1 1  kd uk2L2 C Bkuk2L2  C kukL2  C 0 ; 4 2

I.u/  (1.15)

since (1.16)

1 kd uk2L2  Bkuk2L2  C 00 ; for u 2 V: 2

The last line in (1.15) clearly implies (1.11) and (1.12). Proposition 1.2. Under the hypotheses (1.3)–(1.7), I.u/ has a unique minimum on V . Proof. Let ˛0 D infV I.u/. By (1.11), ˛0 is finite. Pick R such that K D V \ BR .0/ ¤ ;, where BR .0/ is the ball of radius R centered at 0 in H 1 .M /, and such that kukH 1  R ) I.u/  ˛0 C 1, which is possible by (1.12). Note that K is a closed, convex, bounded subset of H 1 .M /. Let (1.17)

K" D fu 2 K W ˛0  I.u/  ˛0 C "g:

For each " > 0; K" is a closed, convex subset of K. It follows that K" is weakly closed in K, which is weakly compact. Hence (1.18)

\

K" D K0 ¤ ;:

">0

Now inf I.u/ is assumed on K0 . By the strict convexity of I.u/; K0 consists of a single point. If u is the unique point in K0 and v 2 C01 .M /, then u C sv 2 V , for all s 2 R, and I.u C sv/ is a smooth function of s which is minimal at s D 0, so

110 14. Nonlinear Elliptic Equations

(1.19)

ˇ d I.u C sv/ˇsD0 D .u; v/ C 0D ds

Z

  f x; u.x/ v.x/ dV .x/:

M

Hence (1.1) holds. We have the following regularity result: Proposition 1.3. For k D 1; 2; 3; : : : , if g 2 H kC1=2 .@M /, then any solution u 2 V to (1.1)–(1.2) belongs to H kC1 .M /. Hence, if g 2 C 1 .@M /, then u 2 C 1 .M /. Proof. We start with u 2 H 1 .M /. Then the right side of (1.1) belongs to H 1 .M / if f .x; u/ satisfies (1.6). This gives u 2 H 2 .M /, provided g 2 H 3=2 .@M /. Additional regularity follows inductively. We have uniqueness of the element u 2 V minimizing I.u/, under the hypotheses (1.3)–(1.7). In fact, under the hypothesis (1.3), there is uniqueness of solutions to (1.1)–(1.2) which are sufficiently smooth, as a consequence of the following application of the maximum principle. Proposition 1.4. Let u and v 2 C 2 .M / \ C.M / satisfy (1.1), with u D g and v D h on @M . If (1.3) holds, then (1.20)

sup .u  v/  sup .g  h/ _ 0; M

@M

where a _ b D max.a; b/ and (1.21)

sup ju  vj  sup jg  hj: M

@M

Proof. Let w D u  v. Then, by (1.3), (1.22)

w D .x/w;

ˇ w ˇ@M D g  h;

where

f .x; u/  f .x; v/  0: uv If O D fx 2 M W w.x/  0g, then w  0 on O, so the maximum principle applies on O, yielding (1.20). Replacing w by w gives (1.20) with the roles of u and v, and of g and h, reversed, and (1.21) follows. .x/ D

One application will be the following first step toward relaxing the hypothesis (1.6). Corollary 1.5. Let f .x; 0/ D '.x/ 2 C 1 .M /. Take g 2 C 1 .@M /, and let ˆ 2 C 1 .M / be the solution to (1.23)

ˆ D ' on M;

ˆ D g on @M:

1. A class of semilinear equations

111

Then, under the hypothesis (1.3), a solution u to (1.1)–(1.2) satisfies   sup u  sup ˆ C sup .ˆ/ _ 0

(1.24)

M

M

M

and sup juj  sup 2jˆj:

(1.25)

M

M

Proof. We have (1.26)

.u  ˆ/ D f .x; u/  f .x; 0/ D .x/u;

with .x/ D Œf .x; u/  f .x; 0/=u  0. Thus .u  ˆ/  0 on O D fx 2 M W u.x/ > 0g, so sup .u  ˆ/ D sup .u  ˆ/  sup .ˆ/ _ 0: O

M

@O

This gives (1.24). Also .ˆ  u/  0 on O D fx 2 M W u.x/ < 0g, so sup .ˆ  u/ D sup .ˆ  u/  sup ˆ _ 0; O

@O 

M

which together with (1.24) gives (1.25). We can now prove the following result on the solvability of (1.1)–(1.2). Theorem 1.6. Suppose f .x; u/ satisfies (1.3). Given g 2 C 1 .@M /, there is a unique solution u 2 C 1 .M / to (1.1)–(1.2). Proof. Let fj .x; u/ be smooth, satisfying (1.27)

fj .x; u/ D f .x; u/; for juj  j;

and be such that (1.3)–(1.7) hold for each fj , with K D Kj . We have solutions uj 2 C 1 .M / to (1.28)

ˇ uj ˇ@M D g:

uj D fj .x; uj /;

Now fj .x; 0/ D f .x; 0/ D '.x/, independent of j , and the estimate (1.25) holds for all uj , so (1.29)

sup juj j  sup 2jˆj; M

M

where ˆ is defined by (1.23). Thus the sequence .uj / stabilizes for large j , and the proof is complete.

112 14. Nonlinear Elliptic Equations

We next discuss a geometrical problem that can be solved using the results developed above. A more substantial variant of this problem will be tackled in the next section. The problem we consider here is the following. Let M be a connected, compact, two-dimensional manifold, with nonempty boundary. We suppose that we are given a Riemannian metric g on M , and we desire to construct a conformally related metric whose Gauss curvature K.x/ is a given function on M . As shown in (3.46) of Appendix C, if k.x/ is the Gauss curvature of g and if g 0 D e 2u g, then the Gauss curvature of g 0 is given by (1.30)

  K.x/ D u C k.x/ e 2u ;

where  is the Laplace operator for the metric g. Thus we want to solve the PDE (1.31)

u D k.x/  K.x/e 2u D f .x; u/;

for u. This is of the form (1.1). The hypothesis (1.3) is satisfied provided K.x/  0. Thus Theorem 1.6 yields the following. Proposition 1.7. If M is a connected, compact 2-manifold with nonempty boundary @M; g a Riemannian metric on M , and K 2 C 1 .M / a given function satisfying (1.32)

K.x/  0 on M;

then there exists u 2 C 1 .M / such that the metric g 0 D e 2u g conformal to g has Gauss curvature K. Given any v 2 C 1 .@M /, there is a unique such u satisfying u D v on @M . Results of this section do not apply if K.x/ is allowed to be positive somewhere; we refer to [KaW] and [Kaz] for results that do apply in that case. If one desires to make .M; g/ conformally equivalent to a flat metric, that is, one with K.x/ D 0, then (1.31) becomes the linear equation (1.33)

u D k.x/:

This can be solved whenever M is connected with nonempty boundary, with u prescribed on @M . As shown in Proposition 3.1 of Appendix C, when the curvature vanishes, one can choose local coordinates so that the metric tensor becomes ıjk . This could provide an alternative proof of the existence of local isothermal coordinates, which is established by a different argument in Chap. 5,  10. However, the following logical wrinkle should be pointed out. The derivation of the formula (1.30) in  3 of Appendix C made use of a reduction to the case gjk D e 2v ıjk and therefore relied on the existence of local isothermal coordinates. Now, one could grind out a direct proof of (1.30) without using this reduction, thus smoothing out this wrinkle.

1. A class of semilinear equations

113

We next tackle the equation (1.1) when M is compact, without boundary. For now, we retain the hypothesis (1.3), @f =@u  0. Without a boundary for M , we have a hard time bounding u, since (1.16) fails for constant functions on M . In fact, the equation (1.31) cannot be solved when K.x/ D 1; k.x/ D 1, and M D S 2 , so some further hypotheses are necessary. We will make the following hypothesis: For some aj 2 R, (1.34)

u < a0 ) f .x; u/ < 0;

u > a1 ) f .x; u/ > 0:

If @f =@u > 0, this is equivalent to the existence of a function u D '.x/ such that f x; '.x/ D 0. We see how this hypothesis controls the size of a solution. Proposition 1.8. If u solves (1.1) and M is compact, then a0  u.x/  a1 ;

(1.35) provided (1.34) holds.

  Proof. If u is maximal at x0 , then u.x0 /  0, so f x0 ; u.x0 /  0, and so (1.34) implies u  a1 . The other inequality in (1.35) follows similarly. To get an existence result out of this estimate, we use a technique known as the method of continuity. We show that, for each  2 Œ0; 1, there is a smooth solution to (1.36)

u D .1  /.u  b/ C f .x; u/ D f .x; u/;

where we pick b D .a0 C a1 /=2. Clearly, this equation is solvable when  D 0. Let J be the largest interval in Œ0; 1, containing 0, with the property that (1.36) is solvable for all  2 J . We wish to show that J D Œ0; 1. First note that, for any  2 Œ0; 1, (1.37)

u < a0 ) f .x; u/ < 0;

u > a1 ) f .x; u/ > 0;

so any solution u D u to (1.36) must satisfy (1.38)

a0  u .x/  a1 :

Using this, we can show that J is closed in Œ0; 1. In fact, let uj D uj solve (1.36) for j 2 J; j % . We have kuj kL1  a < 1 by (1.38), so gj .x/ D fj x; uj .x/ is bounded in C.M /. Thus elliptic regularity for the Laplace operator yields (1.39)

kuj kC r .M /  br < 1;

114 14. Nonlinear Elliptic Equations

for any r < 2. This yields a C r -bound for gj , and hence (1.39) holds for any r < 4. Iterating, we get uj bounded in C 1 .M /. Any limit point u 2 C 1 .M / solves (1.36) with  D , so J is closed. We next show that J is open in Œ0; 1. That is, if 0 2 J; 0 < 1, then, for some " > 0; Œ0 ; 0 C "/  J . To do this, fix k large and define (1.40)

‰ W Œ0; 1  H k .M / ! H k2 .M /;

‰.; u/ D u  f .x; u/:

This map is C 1 , and its derivative with respect to the second argument is D2 ‰.0 ; u/v D Lv;

(1.41) where

L W H k .M / ! H k2 .M / is given by (1.42)

Lv D v  A.x/v;

A.x/ D 1  0 C 0 @u f .x; u/:

Now, if f satisfies (1.3), then A.x/  1  0 , which is > 0 if 0 < 1. Thus L is an invertible operator. The inverse function theorem implies that ‰.; u/ D 0 is solvable for j  0 j < ". We thus have the following: Proposition 1.9. If M is a compact manifold without boundary and if f .x; u/ satisfies the conditions (1.3) and (1.34), then the PDE (1.1) has a smooth solution. If (1.3) is strengthened to @u f .x; u/ > 0, then the solution is unique. The only point left to establish is uniqueness. If u and v are two solutions, then, as in (1.22), we have for w D u  v the equation w D .x/w;

  .x/ D f .x; u/  f .x; v/ =.u  v/  0: Z

Thus krwk2L2

D

.x/jw.x/j2 dV;

which implies w D 0 if .x/ > 0 on M . Note that if we only have .x/  0, then w must be constant (if M is connected), and that constant must be 0 if .x/ > 0 on an open subset of M , so cases of nonuniqueness are rather restricted, under the hypotheses of Proposition 1.9. The reader can formulate further uniqueness results. It is possible to obtain solutions to (1.1) without the hypothesis (1.3) if we retain the hypothesis (1.34). To do this, first alter f .x; u/ on u  a0 and on u  a1 to a smooth g.x; u/ satisfying g.x; u/ D  0 < 0 for u  a0  ı and g.x; u/ D 1 > 0 for u  a1 C ı, where ı is some positive number. We want to show that, for each  2 Œ0; 1, the equation

1. A class of semilinear equations

(1.43)

115

u D .1  /.u  b/ C g.x; u/ D g .x; u/

is solvable, with solution satisfying (1.38). Convert (1.43) to   (1.44) u D .  1/1 g .x; u/  u D ˆ .u/: Now each ˆ is a continuous and compact map on the Banach space C.M /: (1.45)

ˆ W C.M / ! C.M /;

with continuous dependence on . For solvability we can use the Leray-Schauder fixed-point theorem, proved in Appendix B at the end of this chapter. Note that any solution to (1.44) is also a solution to (1.43) and hence satisfies (1.38). In particular,   (1.46) u D ˆ .u/ H) kukC.M /  A D max ja0 j; ja1 j : Since ˆ0 .u/ D .  1/1 b D b, which is independent of u, it follows from Theorem B.5 that (1.44) is solvable for all  2 Œ0; 1. We have the following improvement of Proposition 1.9. Theorem 1.10. If M is a compact manifold without boundary and if the function f .x; u/ satisfies the condition (1.34), then the equation (1.1) has a smooth solution, satisfying a0  u.x/  a1 . The equation (1.31) for the conformal factor needed to adjust the curvature of a 2-manifold to a desired K.x/ satisfies the hypotheses of Theorem 1.10 (even those of Proposition 1.9) in the special case when k.x/ < 0 and K.x/ < 0, yielding a special case of a result to be proved in  2, where the assumption that k.x/ < 0 is replaced by .M / < 0. In some cases, Theorem 1.10 also applies to equations for such conformal factors in higher dimensions. When dim M D n  3, we alter the metric by (1.47)

g0 D u4=.n2/ g:

The scalar curvatures and S of the metrics g and g 0 are then related by (1.48)

S D u˛ . u  u/;

 D4

nC2 n1 ; ˛D ; n2 n2

where  is the Laplacian for the metric g. Hence, obtaining the scalar curvature S for g0 is equivalent to solving (1.49)

u D .x/u  S.x/u˛ ;

for a smooth positive function u. Note that ˛ > 1 and  > 1. For n D 3, we have  D 8 and ˛ D 5.

116 14. Nonlinear Elliptic Equations

Note that (1.34) holds, for some aj satisfying 0 < a0 < a1 < 1, provided both .x/ and S.x/ are negative on M . Thus we have the next result: Proposition 1.11. Let M be a compact manifold of dimension n  2. Let g be a Riemannian metric on M with scalar curvature . If both and S are negative functions in C 1 .M /, then there exists a conformally equivalent metric g 0 on M with scalar curvature S . An important special case of Proposition 1.11 is that if M has a metric with negative scalar curvature, then that metric can be conformally altered to one with constant negative scalar curvature. There is a very significant generalization of this result, first stated by H. Yamabe. Namely, for any compact manifold with a Riemannian metric g, there is a conformally equivalent metric with constant scalar curvature. This result, known as the solution to the Yamabe problem, was established by R. Schoen [Sch], following progress by N. Trudinger and T. Aubin. Note that (1.3) also holds in the setting of Proposition 1.11; thus to prove this latter result, we could appeal as well to Proposition 1.9 as to Theorem 1.10. Here is a generalization of (1.49) to which Theorem 1.10 applies in some cases where Proposition 1.9 does not: (1.50)

u D B.x/uˇ C .x/u  A.x/u˛ ;

ˇ < 1 < ˛:

It is possible that ˇ < 0. Then we have (1.34), for some aj > 0, and hence the solvability of (1.50), for some positive u 2 C 1 .M /, provided A.x/ and B.x/ are both negative on M , for any 2 C 1 .M /. If we assume A < 0 on M but only B  0 on M , we still have (1.34), and hence the solvability of (1.50), provided .x/ < 0 on fx 2 M W B.x/ D 0g. An equation of the form (1.50) arises in Chap. 18, in a discussion of results of J. York and N. O’Murchadha, describing permissible first and second fundamental forms for a compact, spacelike hypersurface of a Ricci-flat spacetime, in the case when the mean curvature is a given constant. See (9.28) of Chap. 18.

Exercises 1. Assume f .x; u/ is smooth and satisfies (1.6). Define F .x; u/ and I.u/ as in (1.4) and (1.5). Show that I has the strict convexity property (1.9) on the space V given by (1.8), as long as (1.51)

@ f .x; u/  0 ; @u

where 0 is the smallest eigenvalue of  on M , with Dirichlet conditions on @M . Extend Proposition 1.2 to cover this case, and deduce that the Dirichlet problem (1.1)– (1.2) has a unique solution u 2 C 1 .M /, for any g 2 C 1 .@M /, when f .x; u/ satisfies these conditions. 2. Extend Theorem 1.6 to the case where f .x; u/ satisfies (1.51) instead of (1.3). (Hint: To obtain sup norm estimates, use the variants of the maximum principle indicated in Exercises 5–7 of  2, Chap. 5.)

Exercises

117

3. Let spec./ D fj g, where 0 < 0 < 1 <    . Suppose there is a pair j < j C1 and " > 0 such that j C1 C " 

@ f .x; u/  j  "; @u

for all x; u. Show that, for g 2 C 1 .@M /, the boundary problem (1.1)–(1.2) has a unique solution u 2 C 1 .M /. (Hint: With D .j C j C1 /=2; u D v C g; g 2 C 1 .M /, rewrite (1.1)–(1.2) as ˇ . C /v D f .x; v C g/ C v  G; v ˇ@M D 0; where G D . C /g, or (1.52)

  v D . C /1 f .x; v C g/ C v  g D ˆ.v/:

Apply the contraction mapping principle.) 4. In the context of Exercise 3, this time assume j C1 C " 

@ f .x; u/  j 1  "; @u

so @f =@u might assume the value j . Take D .j 1 C j C1 /=2, let P0 be the orthogonal projection of L2 .M / on the j eigenspace of , and let P1 D I  P0 . Writing u  g D v D P 0 v C P 1 v D v0 C v1 ; convert (1.1)–(1.2) to a system

(1.53)

h i v1 D . C /1 P1 f .x; v0 C v1 C g/ C v1  P1 g; h i v0 D .  j /1 P0 f .x; v0 C v1 C g/ C v0  P0 g:

Given v0 , the first equation in (1.53) has a unique solution, v1 D „.v0 /, by the argument in Exercise 3. Thus the solvability of (1.1)–(1.2) is converted to the solvability of

(1.54)

h  i  v0 D .  j /1 P0 f x; v0 C „.v0 / C g C v0  P0 g D ‰.v0 /:

Here, ‰ is a nonlinear operator on a finite-dimensional space. (Essentially, on the real line if j is a simple eigenvalue of .) Examine various cases, where there will or will not be solutions, perhaps more than one in number. 5. Given a Riemanian manifold M of dimension n  3, with metric g and Laplace operator , define the “conformal Laplacian” on functions: (1.55)

Lf D f  n1 .x/f;

n1 D

n2 ; 4.n  1/

where .x/ is the scalar curvature of .M; g/. If g 0 D u4=.n2/ g as in (1.47), and .M; g 0 / has scalar curvature S.x/, set (1.56)

e Lf D e f  n1 S.x/f;

118 14. Nonlinear Elliptic Equations where e  is the Laplace operator for the metric g 0 . Show that (1.57)

L.uf / D u4=.n2/ ue Lf:

f D .u/f . Then use the identity (1.49).) (Hint: First show that .uf /  uu4=.n2/ e 6. Assume M is compact and connected. Let 0 be the smallest eigenvalue of L D  C n1 .x/. A 0 -eigenfunction v of L is nowhere vanishing (by Proposition 2.9 of Chap. 8). Assume v.x/ > 0 on M . Form the new metric e g D v 4=.n2/ g. Show that the scalar curvature e S of .M; e g / is given by (1.58)

e S .x/ D 0 v 4=.n2/ ;

which is positive everywhere if 0 > 0, negative everywhere if 0 < 0, and zero if 0 D 0. 7. Establish existence for an `  ` system u D f .x; u/; where M is a compact Riemannian manifold and f W M  R` ! R` satisfies the condition that, for some A < 1, juj  A H) f .x; u/  u > 0: (Hint: Replace f by f , and let 0    1. Show that any solution to such a system satisfies ju.x/j < A:) 8. Let  be a compact, connected Riemannian manifold with nonempty boundary. Consider ˇ (1.59) u C f .x; u/ D 0; uˇ@ D g; for some real-valued u; assume f 2 C 1 .  R/; g 2 C 1 .@/. Assume there is an upper solution u and a lower solution u, in C 2 ./ \ C./, satisfying ˇ u C f .x; u/  0; uˇ@  g; ˇ u C f .x; u/  0; uˇ  g: @

Also assume u  u on . Under these hypotheses, show that there exists a solution u 2 C 1 ./ to (1.59), such that u  u  u. One approach. Let K D fv 2 C./ W u  v  ug, which is a closed, bounded, convex set in C./. Pick  > 0 so that j@u f .x; u/j  , for min u  u  max u. Let ˆ.v/ D w be the solution to ˇ w  w D v  f .x; v/; w ˇ@ D g: Show that ˆ W K ! K continuously and that ˆ.K/ is relatively compact in K. Deduce that ˆ has a fixed point u 2 K. Second approach. If u0 D u and uj C1 D ˆ.uj /, show that u D u0  u1      uj      u and that uj % u, solving (1.59).

2. Surfaces with negative curvature

119

2. Surfaces with negative curvature In this section we examine the possibility of imposing a given Gauss curvature K.x/ < 0 on a compact surface M without boundary, by conformally altering a given metric g, whose Gauss curvature is k.x/. As noted in  1, if g and g 0 are conformally related, g 0 D e 2u g;

(2.1) then K and k are related by

K.x/ D e 2u .u C k.x//;

(2.2)

where  is the Laplace operator for the original metric g, so we want to solve the PDE u D k.x/  K.x/e 2u :

(2.3)

This is not possible if M is diffeomorphic to the sphere S 2 or the torus T 2 , by virtue of the Gauss–Bonnet formula (proved in  5 of Appendix C): Z Z (2.4) k dV D Ke 2u dV D 2 .M /; M

M

where dV is the area element on M , for the original metric g, and .M / is the Euler characteristic of M . We have .S 2 / D 2;

(2.5)

.T 2 / D 0:

For us to be able to arrange that K < 0 be the curvature of M , it is necessary for .M / to be negative. This is the only obstruction; following [Bgr], we will establish the following. Theorem 2.1. If M is a compact surface satisfying .M / < 0, with given Riemannian metric g, then for any negative K 2 C 1 .M /, the equation (2.3) has a solution, so M has a metric, conformal to g, with Gauss curvature K.x/. We will produce the solution to (2.3) as an element where the function Z   1 (2.6) F .u/ D jd uj2 C k.x/u dV 2 M

on the set (2.7)

˚

Z

S D u 2 H .M / W

K.x/e 2u dV D 2 .M /

1

M



120 14. Nonlinear Elliptic Equations

achieves a minimum. Note that the Gauss–Bonnet formula is built into (2.7), since a metric g 0 D e 2u g has volume element e 2u dV . While providing an obstruction to specifying K.x/, the Gauss–Bonnet formula also provides an aid in making a prescription of K.x/ < 0 when it is possible to do so, as we will see below. Lemma 2.2. The set S is a nonempty C 1 -submanifold of H 1 .M / if K < 0 and .M / < 0. Proof. Set ˆ.u/ D e 2u :

(2.8) By Trudinger’s inequality,

ˆ W H 1 .M / ! Lp .M /;

(2.9)

for all p < 1. Take p D 1. We see that ˆ is differentiable at each u 2 H 1 .M / and Dˆ.u/v D 2e 2u v;

(2.10)

Dˆ.u/ W H 1 .M / ! L1 .M /:

Furthermore,   Dˆ.u/  Dˆ.w/ v 1 2 L .M /

Z jvj  je 2u  e 2w j dV M

(2.11)

Z 2

4

jvj dV

1=4 Z

4

ju  wj dV

1=4 Z e

4jujC4jwj

1=2 dV

    C kvkH 1  ku  wkH 1  exp C kukH 1 C kwkH 1 ; so the map ˆ W H 1 .M / ! L1 .M / is a C 1 -map. Consequently, Z (2.12)

Ke 2u dV H) J W H 1 .M / ! R is a C 1 -map.

J.u/ D M

Furthermore, DJ.u/ D 2K e 2u , as an element of H 1 .M / L.H 1 .M /; R/, so DJ.u/ ¤ 0 on S . The implicit function theorem then implies that S is a C 1 -submanifold of H 1 .M /. If K < 0 and .M / < 0, it is clear that there is a constant function in S , so S ¤ ;. Lemma 2.3. Suppose F W S ! R, defined by (2.6), assumes a minimum at u 2 S . Then u solves the PDE (2.3), provided the hypotheses of Theorem 2.1 hold.

2. Surfaces with negative curvature

121

Proof. Clearly, F W S ! R is a C 1 -map. If .s/ is any C 1 -curve in S with .0/ D u;  0 .0/ D v, we have 0D

ˇ d F .u C sv/ˇsD0 D ds

Z M

Z

(2.13) D



 .d u; dv/ C k.x/v dV

  u C k.x/ v dV:

M

The condition that v is tangent to S at u is Z Ke 2.uCsv/ dV D 2 .M / C O.s 2 /;

(2.14) M

which is equivalent to Z vKe 2u dV D 0:

(2.15) M

Thus, if u 2 S is a minimum for F , we have Z Z   u C k.x/ v dV D 0; vKe 2u dV D 0 H) v 2 H 1 .M /; M

M

and hence u C k.x/ is parallel to Ke 2u in H 1 .M /; that is, u C k.x/ D ˇKe 2u ;

(2.16)

for some constant ˇ. Integrating and using the Gauss-Bonnet theorem yield ˇ D 1 if .M / ¤ 0. By Trudinger’s estimate, the right side of (2.16) belongs to L2 .M /, so u 2 H 2 .M /. This implies e 2u 2 H 2 .M /, and an easy inductive argument gives u 2 C 1 .M /. Our task is now to show that F has a minimum on S , given K < 0 and .M / < 0. Let us write, for any u 2 H 1 .M /, u D u0 C ˛;

(2.17) where ˛ D .Area M /1 (2.18)

R

u dV is the mean value of u, and Z ˚  u0 2 H .M / D v 2 H 1 .M / W v dV D 0 : M

M

122 14. Nonlinear Elliptic Equations

Then u belongs to S if and only if Z 2˛ e Ke 2u0 dV D 2 .M /; M

or equivalently, ˛D

(2.19)

h . 1 log 2 .M / 2

Z

i Ke 2u0 dV :

Thus, for u 2 S , F .u/ D (2.20)

Z   1 jd u0 j2 C ku0 dV 2 M 8 9 < ˇZ ˇ= ˇ ˇ C .M / log 2 j.M /j  log ˇ Ke 2u0 dV ˇ : : ; M

Lemma 2.4. If .M / < 0 and K < 0, then infS F .u/ D a > 1. Proof. By (2.20), we need to estimate ˇ ˇZ ˇ ˇ .M / log ˇ Ke 2u0 dV ˇ M

from below. Indeed, granted that K.x/  ı < 0, Z Z Ke 2u0 dV  ı e 2u0 dV: R R R Since e x  1 C x, we have e 2u0 dV  dV C 2u0 dV D area M , so Z Ke 2u0 dV  ıA .A D Area M /; M

and hence (2.21)

ˇ ˇZ ˇ ˇ .M / log ˇ Ke 2u0 dV ˇ  j.M /j log jıAj  b > 1: M

Thus, for u 2 S , Z

(2.22)

F .u/  M

1 jd u0 j2 C ku0 2

 dV  C2 ;

2. Surfaces with negative curvature

123

with C2 independent of u0 2 H 1 .M /. Now, since ku0 kL2  C kd u0 kL2 , ˇ ˇZ C4 ˇ ˇ ; ˇ ku0 dV ˇ  C3 "kd u0 k2L2 C "

(2.23)

M

with C3 and C4 independent of ". Taking " D 1=2C3, we get F .u/  C3 C4 C2 , which proves the lemma. We are now in a position to prove the main existence result. Proposition 2.5. If M and K are as in Theorem 2.1, then F achieves a minimum at a point u 2 S , which consequently solves (2.3). Proof. Pick un 2 S so that a C 1  F .un / & a. If we use (2.22) and (2.23), with " D 1=4C3, we have aC1

(2.24)

1 kd un0 k2L2  C5 ; 4

where un0 D un  mean value. But the mean value of un is h .Z i 1 log 2 .M / Ke 2un0 dV ; 2 M

which is bounded from above by the proof of Lemma 2.4. Hence un is bounded in H 1 .M /:

(2.25)

Passing to a subsequence, we have an element u 2 H 1 .M / such that un ! u

(2.26)

weakly in H 1 .M /:

2u 1 By Proposition 4.3Rof Chap. 12, e 2un ! R e in L .M /, in norm, so u 2 S . Now (2.26) implies that M k.x/un dV ! M k.x/u dV and that

Z n!1

M

so F .u/  a D

Z jd uj2 dV  lim inf

(2.27) R S

jd un j2 dV;

M

F .v/, and the existence proof is completed.

The most important special case of Theorem 2.1 is the case K D 1. For any compact surface with .M / < 0, given a Riemannian metric g, it is conformally equivalent to a metric for which K D 1. The universal covering surface (2.28)

f M ! M;

124 14. Nonlinear Elliptic Equations

endowed with the lifted metric, also has curvature 1. A basic theorem of differential geometry is that any two complete, simply connected Riemannian manifolds, with the same constant curvature (and the same dimension), are isometric. See the exercises for dimension 2. For a proof in general, see [ChE]. One model surface of curvature 1 is the Poincar´e disk, (2.29)

D D f.x; y/ 2 R2 W x 2 C y 2 < 1g D fz 2 C W jzj < 1g;

with metric (2.30)

  ds 2 D 4.1  x 2  y 2 /2 dx 2 C dy 2 :

This was discussed in  5 of Chap. 8. Any compact surface M with negative Euler characteristic is conformally equivalent to the quotient of D by a discrete group  of isometries. If M is orientable, all the elements of  preserve orientation. A group of orientation-preserving isometries of D is provided by the group G of linear fractional transformations, where (2.31)

Tg z D

az C b ; cz C d

gD

 a b ; c d

for

(2.32)

g 2 G D SU.1; 1/ D



uv 2 2 W u; v 2 C; juj  jvj D 1 : vu

It is easy to see that G acts transitively on D; that is, for any z1 ; z2 2 D, there exists g 2 G such that Tg z1 D z2 . We claim fTg W G 2 Gg exhausts the group of orientation-preserving isometries of D. In fact, let T be such an isometry of D; say T .0/ D z0 . Pick g 2 G such that Tg z0 D 0. Then Tg ı T is an orientationpreserving isometry of D, fixing 0, and it is easy to deduce that Tg ı T must be a rotation, which is given by an element of G. Since each element of G defines a holomorphic map of D to itself, we have the following result, a major chunk of the uniformization theorem for compact Riemann surfaces: Proposition 2.6. If M is a compact Riemann surface, .M / < 0, then there is a holomorphic covering map of M by the unit disk D. Let us take a brief look at the case .M / D 0. We claim that any metric g on such M is conformally equivalent to a flat metric g 0 , that is, one for which K D 0. Note that the PDE (2.3) is linear in this case; we have (2.33)

u D k.x/:

2. Surfaces with negative curvature

125

This equation can be solved on M if and only if Z k.x/ dV D 0;

(2.34) M

which, by the Gauss–Bonnet formula (2.4) holds precisely when .M / D 0. In f of M inherits a flat metric, and it must this case, the universal covering surface M be isometric to Euclidean space. Consequently, in analogy with Proposition 2.6, we have the following: Proposition 2.7. If M is a compact Riemann surface, .M / D 0, then M is holomorphically equivalent to the quotient of C by a discrete group of translations. By the characterization .M / D dim H 0 .M /  dim H 1 .M / C dim H 2 .M / D 2  dim H 1 .M /; if M is a compact, connected Riemann surface, we must have .M /  2. If .M / D 2, it follows from the Riemann–Roch theorem that M is conformally equivalent to the standard sphere S 2 (see  10 of Chap. 10). This implies the following. Proposition 2.8. If M is a compact Riemannian manifold homeomorphic to S 2 , with Riemannian metric tensor g, then M has a metric tensor, conformal to g, with Gauss curvature  1. In other words, we can solve for u 2 C 1 .M / the equation (2.35)

u D k.x/  e 2u ;

where k.x/ is the Gauss curvature of g. This result does not follow from Theorem 2.1. A PDE proof, involving a nonlinear parabolic equation, is given by [Chow], following work of [Ham]. An elliptic PDE proof, under the hypothesis that M has a metric with Gauss curvature k.x/ > 0, has been given in Chap. 2 of [CK]. We end this section with a direct linear PDE proof of the following, which as noted above implies Proposition 2.8. This argument appeared in [MT]. Proposition 2.9. If M is a compact Riemannian manifold homeomorphic to S 2 , there is a conformal diffeomorphism F W M ! S 2 onto the standard Riemann sphere. Proof. Pick a Riemannian metric on M , compatible with its conformal structure. Then pick p 2 M , and pick h 2 D0 .M /, supported at p, given in local coordinates as a first-order derivative of ıp (plus perhaps a multiple of ıp ), such that h1; hi D 0. Hence there exists a solution u 2 D0 .M / to

126 14. Nonlinear Elliptic Equations

(2.36)

u D h:

Then u 2 C 1 .M n p/, and u is harmonic on M n p and has a dist.x; p/1 type of singularity. Now, if M is homeomorphic to S 2 , then M n p is simply connected, Rx so u has a single-valued harmonic conjugate on M n p, given by v.x/ D q d u, where we pick q 2 M n p. We see that v also has a dist.x; p/1 type singularity. Then f D u C iv is holomorphic on M n p and has a simple pole at p. From here it is straightforward that f provides a conformal diffeomorphism of M onto the standard Riemann sphere. Actually, the bulk of [MT] dealt with an attack on the curvature equation (2.3), with M a planar domain and K  1, so the equation is (2.37)

u D e 2u on   C:

Here is one of the main results of [MT]. Proposition 2.10. Assume  D C nS , where S is a closed subset of C with more than one point. Then there exists a solution to (2.37) on  such that e 2u .dx 2 C dy 2 / is a complete metric on  with curvature  1. As with Proposition 2.6, this has as a corollary the following special case of the general uniformization theorem. Corollary 2.11. If   C is as in Proposition 2.10, there exists a holomorphic covering of  by the unit disk D. Techniques employed in the proof of Proposition 2.10 include maximal principle arguments and barrier constructions. We refer to [MT] for further details.

Exercises 1. Let M be a complete, simply connected 2-manifold, with Gauss curvature K D 1. Fix p 2 M , and consider Expp W R2 Tp M ! M: Show that this is a diffeomorphism. (Hint: The map is onto by completeness. Negative curvature implies no Jacobi fields vanishing at 0 and another point, so D Expp is everywhere nonsingular. Use simple connectivity of M to show that Expp must be one-to-one.) 2. For M as in Exercise 1, take geodesic polar coordinates, so the metric is ds 2 D dr 2 C G.r; / d 2 : Use formula (3.37) of Appendix C, for the Gauss curvature, to deduce that p p @2r G D G

3. Local solvability of nonlinear elliptic equations

127

if K D 1. Show that p G.0; / D 0; and deduce that

p

@r

p G.0; / D 1;

G.r; / D '.r/ is the unique solution to ' 00 .r/  '.r/ D 0;

'.0/ D 0; ' 0 .0/ D 1:

Deduce that G.r; / D sinh2 r: 3. Using Exercise 2, deduce that any two complete, simply connected 2-manifolds with Gauss curvature K D 1 are isometric. Use (3.37) or (3.41) of Appendix C to show that the Poincar´e disk (2.30) has this property.

3. Local solvability of nonlinear elliptic equations We take a look at nonlinear PDE, of the form f .x; D m u/ D g.x/;

(3.1)

where, in the latter argument of f , D m u D fD ˛ u W j˛j  mg:

(3.2)

We suppose f .x; / is smooth in its arguments, x 2   Rn , and  D f˛ W j˛j  mg. The function u might take values in some vector space Rk . Set F .u/ D f .x; D m u/;

(3.3)

so F W C 1 ./ ! C 1 ./I F is the nonlinear differential operator. Let u0 2 C m ./. We say that the linearization of F at u0 is DF .u0 /, which is a linear map from C m ./ to C./. (Sometimes less smooth u0 can be considered.) We have (3.4)

DF .u0 /v D

X @f ˇ @ F .u0 C sv/ˇsD0 D .x; D m u0 / D ˇ v; @s @ˇ jˇ jm

so DF .u0 / is itself a linear differential operator of order m. We say the operator F is elliptic at u0 if its linearization DF .uo / is an elliptic, linear differential operator. An operator of the form (3.3) with (3.5)

f .x; D m u/ D

X j˛jDm

a˛ .x; D m1 u/D ˛ u C f1 .x; D m1 u/

128 14. Nonlinear Elliptic Equations

is said to be quasi-linear. In that case, the linearization at u0 is (3.6)

DF .u0 / D

X

a˛ .x; D m1 u0 /D ˛ v C Lv;

j˛jDm

where L is a linear differential operator of order m1, with coefficients depending on D m1 u0 . A nonlinear operator that is not quasi-linear is called completely nonlinear. The distinction is made because some aspects of the theory of quasilinear operators are simpler than the general case. An example of a completely nonlinear operator is the Monge–Ampere operator (3.7)

F .u/ D det

 uxx uxy D uxx uyy  u2xy ; uxy uyy

with .x; y/ 2   R2 . In this case,

(3.8)

"



# uyy uxy vxx vxy DF .u/v D Tr vxy vyy uxy uxx D uyy vxx  2uxy vxy C uxx vyy :

Thus the linear operator DF .u/ acting on v is elliptic provided the matrix

(3.9)

uyy uxy uxy uxx



is either positive-definite or negative-definite. Since, for u real-valued, this is a real symmetric matrix, we see that this condition holds precisely when F .u/ > 0. More generally, for   Rn , we consider the Monge–Ampere operator (3.7a)

F .u/ D det H.u/;

where H.u/ D .@j @k u/ is the Hessian matrix of second-order derivatives. In this case, we have (3.8a)

  DF .u/v D Tr C.u/H.v/ ;

where H.v/ is the Hessian matrix for v and C.u/ is the cofactor matrix of H.u/, satisfying   H.u/C.u/ D det H.u/ I: In this setting we see that DF .u/ is a linear, second-order differential operator that is elliptic provided the matrix C.u/ is either positive-definite or negative-definite, and this holds provided the Hessian matrix H.u/ is either positive-definite or negative-definite.

3. Local solvability of nonlinear elliptic equations

129

Having introduced the concepts above, we aim to establish the following local solvability result: Theorem 3.1. Let g 2 C 1 ./, and let u1 2 C 1 ./ satisfy F .u1 / D g.x/; at x D x0 ;

(3.10)

where F .u/ is of the form (3.3). Suppose that F is elliptic at u1 . Then, for any `, there exists u 2 C ` ./ such that F .u/ D g

(3.11) on a neighborhood of x0 .

We begin with a formal power-series construction to arrange that (3.11) hold to infinite order at x0 . Lemma 3.2. Under the hypotheses of Theorem 3.1, there exists u0 2 C 1 ./ such that (3.12)

F .u0 /  g.x/ D O.jx  x0 j1 /

and (3.13)

.u0  u1 /.x/ D O.jx  x0 jmC1 /:

Proof. Making a change of variable, we can suppose x0 D 0. Denote coordinates near 0 in  by .x; y/ D .x1 ; : : : ; xn1 ; y/. We write u0 .x; y/ as a formal power series in y: (3.14)

u0 .x; y/ D v0 .x/ C v1 .x/y C    C

1 vk .x/y k C    : kŠ

Set (3.15) v0 .x/ D u1 .x; 0/; v1 .x/ D @y u1 .x; 0/; : : : ; vm1 .x/ D @m1 u1 .x; 0/: y Now the PDE F .u/ D g can be rewritten in the form (3.16)

@m u D F # .x; y; Dxm u; Dxm1 Dy u; : : : ; Dx1 Dym1 u/: @y m

Then the equation for vm .x/ becomes (3.17)

vm .x/ D f # .x; 0; Dxm v0 .x/; : : : ; Dx1 vm1 .x//:

130 14. Nonlinear Elliptic Equations

Now, by (3.10), we have vm .0/ D @m y u1 .0; 0/, so (3.13) is satisfied. Taking y-derivatives of (3.16) yields inductively the other coefficients vj .x/; j  mC1, and the lemma follows from this construction. Note that if F is elliptic at u1 , then F continues to be elliptic at u0 , at least on a neighborhood of x0 ; shrink  appropriately. To continue the proof of Theorem 3.1, for k > m C 1 C n=2, we have that F W H k ./ ! H km ./

(3.18) is a C 1 -map. We have (3.19)

L D DF .u0 / W H k ./ ! H km ./:

Now, L is an elliptic operator of order m. We know from Chap. 5 that the Dirichlet problem is a regular boundary problem for the strongly elliptic operator LL . Furthermore, if  is a sufficiently small neighborhood of x0 , the map (3.20)

LL W H kCm ./ \ H0m ./ ! H km ./

is invertible. Hence the map (3.19) is surjetive, so we can apply the implicit function theorem. For any neighborhood Bk of u0 in H k ./, the image of Bk under the map F contains a neighborhood Ck of F .u0 / in H km ./. Now if (3.12) holds, then any neighborhood of r.x/ D F .u0 /  g in H km ./ contains functions that vanish on a neighborhood of x0 , so any neighborhood Ck of F .u0 / contains functions equal to g.x/ on a neighborhood of x0 . This establishes the local solvability asserted in Theorem 3.1. One would rather obtain a local solution u 2 C 1 than just an `-fold differentiable solution. This can be achieved by using elliptic regularity results that will be established in the next section. We now discuss a refinement of Theorem 3.1. Proposition 3.3. If u1 ; g 2 C 1 ./ satisfy the hypotheses of Theorem 3.1 at x D x0 , with F elliptic at u1 , then, for any `, there exists u 2 C ` ./ such that, on a neighborhood of x0 , (3.21)

F .u/ D g

and, furthermore, (3.22)

.u  u1 /.x/ D O.jx  x0 jmC1 /:

In the literature, one frequently sees a result weaker than (3.22). The desirability of having this refinement was pointed out to the author by R. Bryant. As before, results of the next section will give u 2 C 1 ./.

3. Local solvability of nonlinear elliptic equations

131

To begin the proof, we invoke Lemma 3.2, as before, obtaining u0 . Now, for k > m C 1 C n=2, set (3.23)

˚  Vk D u 2 H k ./ W .u  u0 /.x/ D O.jx  x0 jmC1 / ; ˚  Gkm D h 2 H km ./ W h.x0 / D g.x0 / :

Then F W Vk ! Gkm

(3.24)

is a C 1 -map, and we want to show that F maps a neighborhood of u0 in Vk onto a neighborhood of g0 D F .u0 / in Gkm . We will again use the implicit function theorem. We want to show that the linear map b L D DF .u0 / W Vkb ! Gkm

(3.25) is surjective, where (3.26)

Vkb D fv 2 H k ./ W D ˇ v.x0 / D 0 for jˇj  mg; b Gkm D fh 2 H km ./ W h.x0 / D 0g

are the tangent spaces to Vj and Gkm , at u0 and g0 , respectively. By the previous argument involving (3.19) and (3.20), we know that, for any b given h 2 Gkm , we can find v1 2 H k ./ such that Lv1 D h, perhaps after shrinking . To prove the surjectivity in (3.25), we need to find v 2 H k ./ such that Lv D 0 and such that v  v1 D O.jx  x0 jmC1 /, so that v1  v 2 Vkb and L.v1  v/ D h. We will actually produce v 2 C 1 ./. To work on this problem, we will find it convenient to use the notion of the m-jet J0m .v/ of a function v 2 C 1 ./, at x0 , being the Taylor polynomial of order m for v about x0 . Note that (3.27)

J0m .v/ D J0m .v # / ” .v  v # /.x/ D O.jx  x0 jmC1 /;

given that v; v # 2 C 1 ./. The existence of the function v we seek here is guaranteed by the following assertion. Lemma 3.4. Given an elliptic operator L of order m, as above, let (3.28)

J D fJ0m .v/ W Lv.x0 / D 0g

and (3.29)

S D fJ0m .v/ W v 2 C 1 ./; Lv D 0 on g:

Clearly, S  J . If  is a sufficiently small neighborhood of x0 , then S D J .

132 14. Nonlinear Elliptic Equations

Proof. This result is a simple special case of our goal, Proposition 3.3; the beginning of the proof here just retraces arguments from the beginning of that proof. Namely, let v1 2 C 1 ./ have m-jet in J , hence satisfying Lv1 .x0 / D 0. Then Lemma 3.2 applies, so there exists v0 such that (3.30)

J0m .v0 / D J0m .v1 / and Lv0 D O.jx  x0 j1 /:

Set h0 D Lv0 . Suppose  is shrunk so far that LL in (3.20) is an isomorphism. Now, for any " > 0, there exists h1 2 C 1 ./ such that (3.31)

h1 D h0 near x0 ;

kh1 kH ` ./ < ":

Then the Dirichlet problem LL wQ D h1 on ;

wQ 2 H0m ./

has a unique solution wQ satisfying estimates kwk Q H `C2m ./  C` kh1 kH ` ./ :

(3.32)

Fix ` > n=2. By Sobolev’s imbedding theorem, w D L wQ satisfies kwkC m ./  C # kwkH `Cm ./ :

(3.33) In light of this, we have (3.34)

kwkC m ./  C`# ";

Lw D h1 on ;

so v D v1  w defines an element in S, provided  is shrunk to 1 , on which h1 D h0 in (3.31). Furthermore, J0m .v/ differs from J0m .v1 / by J0m .w/, which is small (i.e., proportional to "). Since S is a linear subspace of the finite-dimensional space J , this approximability yields the identity S D J and proves the lemma. From the lemma, as we have seen, it follows that the map (3.25) is a surjective linear map between two Hilbert spaces, so the implicit function theorem therefore applies to the map F in (3.24). In other words, F maps a neighborhood of u0 in Vk onto a neighborhood of g0 D F .u0 / in Gkm . As in the proof of Theorem 3.1, we b see that any neighborhood of r.x/ D F .u0 /  g in Gkm contains functions that vanish on a neighborhood of x0 , so any neighborhood of F .u0 / in Gkm contains functions equal to g.x/ on a neighborhood of x0 . This completes the proof of Proposition 3.3. In some geometrical problems, it is useful to extend the notion of ellipticity. A differential operator of the form (3.3) is said to be underdetermined elliptic at u0 provided DF .u0 / has surjective symbol.

3. Local solvability of nonlinear elliptic equations

133

Proposition 3.5. If F .u1 / satisfies F .u1 / D g at x D x0 , and if F is underdetermined elliptic at u1 , then, for any `, there exists u 2 C ` ./ such that F .u/ D g on a neighborhood of x0 and such that .u  u1 /.x/ D O.jx  x0 jmC1 /. Proof. We produce u in the form u D u1 C u2 , where we want (3.35)

F .u1 C u2 / D g near x0 ;

u2 .x/ D O.jx  x0 jmC1 /:

We will find u2 in the form u2 D L w, where L D DF .u1 /. Thus we want to find w 2 C `Cm ./ satisfying (3.36)

ˆ.w/ D F .u1 C L w/ D g near x0 ;

w.x/ D O.jx  x0 j2mC1 /:

Now ˆ.w/ is strongly elliptic of order 2m at w1 and ˆ.w1 / D 0 at x0 if w1 D 0. Thus the existence of w satisfying (3.36) follows from Proposition 3.3, and the proof is finished. We will apply the local existence theory to establish the following classical local isometric imbedding result. Proposition 3.6. Let M be a 2-dimensonal Riemannian manifold. If p0 2 M and the Gauss curvature K.p0 / > 0, then there is a neighborhood O of p0 in M that can be smoothly isometrically imbedded in R3 . The proof involves constructing a smooth, real-valued function u on O such that d u.p0 / D 0 and such that g1 D g  d u2 is a flat metric on O, where g is the given metric tensor on M . Assuming this can be accomplished, then by the fundamental property of curvature (Proposition 3.1 of Appendix C), we can take coordinates .x; y/ on O (after possibly shrinking O) such that g1 D dx 2 C dy 2 . Thus g D dx 2 C dy 2 C d u2 , which implies that .x; y; u/ W O ! R3 provides the desired local isometric imbedding. Thus our task is to find such a function u. We need a formula for the Gauss curvature K1 of O, with metric tensor g1 D g  d u2 . A lengthy but finite computation from the fundamental formulas given in  3 of Appendix C yields

(3.37)



2   1  jruj2 K1 D 1  jruj2 K  det Hg .u/:

Here, jruj2 D g jk uIj uIk , and Hg .u/ is the Hessian of u relative to the Levi-Civita connection of g: (3.38)

  Hg .u/ D uIj Ik :

This is the tensor field of type (1,1) associated to the tensor field r 2 u of type (0,2), such as defined by (2.3)–(2.4) of Appendix C, or equivalently by (3.27) of Chap. 2. In normal coordinates centered at p 2 M , we have Hg .u/ D .@j @k u/, at p.

134 14. Nonlinear Elliptic Equations

Therefore, g1 is a flat metric if and only if u satisfies the PDE   det Hg .u/ D 1  jruj2 K:

(3.39)

By the sort of analysis done in (3.7)–(3.9), we see that this equation is elliptic, provided K > 0 and jruj < 1. Thus Proposition 3.3 applies, to yield a local solution u 2 C ` .O/, for arbitrarily large `, provided the metric tensor g is smooth. As mentioned above, results of  4 will imply that u 2 C 1 .O/. If K.p0 / < 0, then (3.39) will be hyperbolic near p0 , and results of Chap. 16 will apply, to produce an analogue of Proposition 3.6 in that case. No matter what the value of K.p0 /, if the metric tensor g is real analytic, then the nonlinear Cauchy–Kowalewsky theorem, proved in  4 of Chap. 16, will apply, yielding in that case a real analytic, local isometric imbedding of M into R3 . If M is compact (diffeomorphic to S 2 ) and has a metric with K > 0 everywhere, then in fact M can be globally isometrically imbedded in R3 . This result is established in [Ni2] and [Po]. Of course, it is not true that a given compact Riemannian 2-manifold M can be globally isometrically imbedded in R3 (for example, if K < 0), but it can always be isometrically imbedded in RN for sufficiently large N . In fact, this is true no matter what the dimension of M . This important result of J. Nash will be proved in  5 of this chapter.

Exercises 1. Given the formula (3.8a) for the linearization of F .u/ D det H.u/, show that the symbol of DF .u/ is given by DF .u/ .x; / D C.u/  :

(3.40)

2. Let a surface M  R3 be given by x3 D u.x1 ; x2 /. Given K.x1 ; x2 /, to construct u such that the Gauss curvature of M at .x1 ; x2 ; u.x1 ; x2 // is equal to K.x1 ; x2 / is to solve  2 det H.u/ D 1 C jruj2 K:

(3.41)

See (4.29) of Appendix C. If one is given a smooth K.x1 ; x2 / > 0, then this PDE is elliptic. Applying Proposition 3.3, what geometrical properties of M can you prescribe at a given point and guarantee a local solution? 3. Verify (3.37). Compare with formula (**) on p. 210 of [Spi], Vol. 5. 4. Show that, in local coordinates on a 2-dimensional Riemannian manifold, the left side of (3.39) is given by   det uIj Ik D g 1 det.@j @k u/ C Ajk .x; ru/ @j @k u C Q.ru; ru/; where g D det.gjk /, Ajk .x; ru/ D ˙g jk j

0`

k 0 @` u;

4. Elliptic regularity I (interior estimates)

135

with “C” if j D k, “” if j ¤ k, j 0 and k 0 the indices complementary to j and k, and j ` k D @k g j ` C  j mk g m` ; and

Q.ru; ru/ D det. j k /;

 j k D j ` k @` u:

4. Elliptic regularity I (interior estimates) Here we will discuss two methods of establishing regularity of solutions to nonlinear elliptic PDE. The first is to consider regularity for a linear elliptic differential operator of order m (4.1)

A.x; D/ D

X

a˛ .x/ D ˛ ;

j˛jm

whose coefficients have limited regularity. The second method will involve use of paradifferential operators. For both methods, we will make use of the H¨older spaces C s .Rn / and Zygmund spaces Cs .Rn /, discussed in  8 of Chap. 13. Material in this section largely follows the exposition in [T]. Let us suppose a˛ .x/ 2 C s .Rn /; s 2 .0; 1/ n Z. Then A.x; / belongs to the m m symbol space Cs S1;0 , as defined in  9 of Chap. 13. Recall that p.x; / 2 Cs S1;ı , provided (4.2)

jD˛ p.x; /j  C˛ himj˛j

and (4.3)

kD˛ p.; /kCs .Rn /  C ˛ himj˛jCıs :

m We would like to establish regularity results for elliptic A.x; / 2 Cs S1;0 , by pseudodifferential operator techniques. It is not so convenient to work with an operator with symbol A.x; /1 . Rather, we will decompose A.x; / into a sum

(4.4)

A.x; / D A# .x; / C Ab .x; /;

in such a way that a good parametrix can be constructed for A# .x; D/, while Ab .x; D/ is regarded as a remainder term to be estimated. Pick ı 2 .0; 1/. As m shown in Proposition 9.9 of Chap. 13, any A.x; / 2 Cs S1;0 can be written in the form (4.4), with (4.5)

m A# .x; / 2 S1;ı ;

mıs Ab .x; / 2 Cs S1;ı :

136 14. Nonlinear Elliptic Equations

To Ab .x; D/ we apply Proposition 9.10 of Chap. 13, which, we recall, states that  H) p.x; D/ W CCr ! Cr ; (4.6) p.x; / 2 Cs S1;ı

.1  ı/s < r < s:

Consequently, (4.7)

Ab .x; D/ W CmCrıs ! Cr ;

.1  ı/s < r < s:

m be a parametrix for A# .x; D/, which is elliptic. Now let p.x; D/ 2 OPS1;ı 1 Hence, mod C ,

p.x; D/A.x; D/u D u C p.x; D/Ab .x; D/u;

(4.8) so if

A.x; D/u D f;

(4.9) then, mod C 1 , (4.10)

u D p.x; D/f  p.x; D/Ab .x; D/u:

In view of (4.7), we see that when (4.10) is satisfied, (4.11)

u 2 CmCrıs ; f 2 Cr H) u 2 CmCr :

We then have the following. m be elliptic, and suppose u solves (4.9). Proposition 4.1. Let A.x; / 2 Cs S1;0 Assuming

(4.12)

s > 0;

0 < ı < 1 and

 .1  ı/s < r < s;

we have (4.13)

u 2 C mCrıs ; f 2 Cr H) u 2 CmCr :

Note that, for j˛j D m; D ˛ u 2 Crıs , and r  ıs could be negative. However, a˛ .x/D ˛ u will still be well defined for a˛ 2 C s . Indeed, if (4.6) is applied to the special case of a multiplication operator, we have (4.14)

a 2 C s ; u 2 C H) au 2 C ; for  s < < s:

Note that the range of r in (4.12) can be rewritten as s < r  ıs < .1  ı/s. If we set r  ıs D s C ", this means 0 < " < .2  ı/s, so we can rewrite (4.13) as

4. Elliptic regularity I (interior estimates)

(4.15)

137

u 2 C msC" ; f 2 Cr H) u 2 CmCr ; provided " > 0; r < s;

as long as the relation r D .1  ı/s C " holds. Letting ı range over .0; 1/, we see that this will hold for any r 2 .sC"; "/. However, if r 2 Œ"; s/, we can first obtain mC from the hypothesis (4.15) that u 2 C , for any  < ". This improves the a priori regularity of u by almost s units. This argument can be iterated repeatedly, to yield: m Theorem 4.2. If A.x; / 2 C s S1;0 is elliptic and u solves (4.9), then (assuming s > 0)

(4.16)

u 2 C msC" ; f 2 Cr H) u 2 CmCr ; provided " > 0 and  s < r < s:

We can sharpen this up to obtain the following Schauder regularity result: Theorem 4.3. Under the hypotheses above, (4.17)

u 2 C msC" ; f 2 Cs H) u 2 CmCs :

Proof. Applying (4.16), we can assume u 2 CmCr with s  r > 0 arbitrarily small. Now if we invoke Proposition 9.7 of Chap. 13, which says (4.18)

m p.x; / 2 C r S1;1 H) p.x; D/ W CmCrC" ! Cr ;

for all " > 0, we can supplement 4.7 with (4.19)

Ab .x; D/ W CmCsısC" ! Cs ;

" > 0:

If ı > 0, and if " > 0 is picked small enough, we can write mCs ıs C" D mCr with r < s, so, under the hypotheses of (4.17), the right side of (4.8) belongs to CmCs , proving the theorem. We note that a similar argument also produces the regularity result: (4.20)

u 2 H msC";p ; f 2 Cs H) u 2 CmCs :

We now apply these results to solutions to the quasi-linear elliptic PDE (4.21)

X

a˛ .x; D m1 u/ D ˛ u D f:

j˛jm

As long as u 2 C m1Cs ; a˛ .x; D m1 u/ 2 C s . If also u 2 C msC" , we obtain (4.16) and (4.17). If r > s, using the conclusion u 2 CmCs , we obtain a˛ .x; D m1 u/ 2 C sC1 , so we can reapply (4.16) and (4.17) for further regularity, obtaining the following:

138 14. Nonlinear Elliptic Equations

Theorem 4.4. If u solves the quasi-linear elliptic PDE (4.21), then (4.22)

u 2 C m1Cs \ C msC" ; f 2 Cr H) u 2 CmCr ;

provided s > 0; " > 0, and s < r. Thus (4.23)

u 2 C m1Cs ; f 2 Cr H) u 2 CmCr ;

provided s>

(4.24)

1 ; 2

r > s  1:

We can sharpen Theorem 4.4 a bit as follows. Replace the hypothesis in (4.22) by u 2 C m1Cs \ H m1C;p ;

(4.25)

with p 2 .1; 1/. Recall that Proposition 9.10 of Chap. 13 gives both (4.6) and, for p 2 .1; 1/, (4.26)

m p.x; / 2 Cs S1;ı H) p.x; D/ W H rCm;p ! H r;p ;

.1  ı/s < r < s:

Parallel to (4.14), we have (4.27)

a 2 C s ; u 2 H ;p H) au 2 H ;p ; for  s < < s;

as a consequence of (4.26), so we see that the left side of (4.21) is well defined provided s C > 1. We have (4.8) and, by (4.26), (4.28)

Ab .x; D/ W H mCrıs;p ! H r;p ; for  .1  ı/s < r < s;

parallel to (4.7). Thus, if (4.25) holds, we obtain (4.29)

p.x; D/Ab .x; D/u 2 H m1CCıs;p ;

provided .1  ı/s < ıs  1 C < s, i.e., provided (4.30)

s C > 1 and  1 C C ıs < s:

Thus, if f 2 H ;p with  >  1, we manage to improve the regularity of u over the hypothesized (4.25). One way to record this gain is to use the Sobolev imbedding theorem: (4.31)

H m1CCıs;p  H m1C;p1 ;

p1 D

 ısp  pn >p 1C : n  ıs n

4. Elliptic regularity I (interior estimates)

139

If we assume f 2 Cr with r >  1, we can iterate this argument sufficiently often to obtain u 2 C m1C" , for arbitrary " > 0. Now we can arrange s C > 1C", so we are now in a position to apply Theorem 4.4. This proves the following: Theorem 4.5. If u solves the quasi-linear elliptic PDE (4.21), then (4.32)

u 2 C m1Cs \ H m1C;p ; f 2 Cr H) u 2 CmCr ;

provided 1 < p < 1 and s > 0;

(4.33)

s C > 1;

r >  1:

Note that if u 2 H m;p for some p > n, then u 2 C m1Cs for s D 1n=p > 0, and then (4.32) applies, with D 1, or even with D n=p C ". We next obtain a result regarding the regularity of solutions to a completely nonlinear elliptic system F .x; D m u/ D f:

(4.34)

We could apply Theorems 4.2 and 4.3 to the equation for uj D @u=@xj : (4.35)

X @F @f .x; D m u/D ˛ uj D Fxj .x; D m u/ C D fj : @˛ @xj

j˛jm

Suppose u 2 C mCs ; s > 0, so the coefficients a˛ .x/ D .@F=@˛ /.x; D m u/ 2 C s . If f 2 Cr , then fj 2 C s C Cr1 . We can apply Theorems 4.2 and 4.3 to uj provided u 2 C mC1sC" , to conclude that u 2 CmCsC1 [CmCr . This implication can be iterated as long as s C 1 < r, until we obtain u 2 CmCr . This argument has the drawback of requiring too much regularity of u, namely that u 2 C mC1sC" as well as u 2 C mCs . We can fix this up by considering difference quotients rather than derivatives @j u. Thus, for y 2 Rn ; jyj small, set   vy .x/ D jyj1 u.x C y/  u.x/ I vy satisfies the PDE (4.36)

X

ˆ˛y .x/D ˛ vy .x/ D Gy .x; D m u/;

j˛jm

where Z (4.37)

ˆ˛y .x/ D

1 0

  .@F=@˛ / x; tD m u.x/ C .1  t/D m u.x C y/ dt

140 14. Nonlinear Elliptic Equations

and Gy is an appropriate analogue of the right side of (4.35). Thus ˆ˛y is in C s , uniformly as jyj ! 0, if u 2 C mCs , while this hypothesis also gives a uniform bound on the C m1Cs -norm of vy . Now, for each y, Theorems 4.2 and 4.3 apply to vy , and one can get an estimate on kvy kC mC ;  D min.s; r  1/, uniform as jyj ! 0. Therefore, we have the following. Theorem 4.6. If u solves the elliptic PDE (4.34), then (4.38)

u 2 C mCs ; f 2 Cr H) u 2 CmCr ;

provided 0 < s < r:

(4.39)

We shall now give a second approach to regularity results for nonlinear elliptic PDE, making use of the paradifferential operator calculus developed in  10 of Chap. 13. In addition to giving another perspective on interior estimates, this will also serve as a warm-up for the work on boundary estimates in  8. If F is smooth in its arguments, then, as shown in (10.53)–(10.55) of Chap. 13, (4.40)

F .x; D m u/ D

X

M˛ .x; D/D ˛ u C F .x; D m ‰0 .D/u/;

j˛jm

  where F x; D m ‰0 .D/u 2 C 1 and M˛ .x; / D

(4.41)

X

m˛k .x/

kC1 ./;

k

with Z (4.42)

m˛k .x/ D

1 0

@F  ‰k .D/D m u C t @˛

kC1 .D/D

m

 u dt:

As shown in Proposition 10.7 of Chap. 13, we have, for r  0, (4.43)

0 0 0 u 2 C mCr H) M˛ .x; / 2 Ar0 S1;1  S1;1 \ C r S1;0 :

We recall from (10.31) of Chap. 13 that m (4.44) p.x; / 2 Ar0 S1;ı ” kD˛ p.; /kC rCs  C˛s himj˛jCıs ;

Consequently, if we set (4.45)

M.uI x; D/ D

X j˛jm

we obtain

M˛ .x; D/D ˛ ;

s  0:

4. Elliptic regularity I (interior estimates)

141

Proposition 4.7. If u 2 C mCr ; r  0, then (4.46)

F .x; D m u/ D M.uI x; D/u C R;

with R 2 C 1 and (4.47)

m m m  S1;1 \ C r S1;0 : M.uI x; / 2 Ar0 S1;1

Decomposing each M˛ .x; /, we have, by (10.60)–(10.61) of Chap. 13, (4.48)

M.uI x; / D M # .x; / C M b .x; /;

with (4.49)

m m  S1;ı M # .x; / 2 Ar0 S1;ı

and (4.50)

mır m mrı \ Ar0 S1;1  S1;1 : M b .x; / 2 C r S1;ı

Let us explicitly recall that (4.49) implies (4.51)

m ; Dxˇ M # .x; / 2 S1;ı mCı.jˇ jr/ ; S1;ı

jˇj  r; jˇj  r:

Note that the linearization of F .x; D m u/ at u is given by (4.52)

Lv D

X

MQ ˛ .x/D ˛ v;

j˛jm

where (4.53)

@F MQ ˛ .x/ D .x; D m u/: @˛

Comparison with (4.40)–(4.42) gives (for u 2 C mCr ) (4.54)

mr ; M.uI x; /  L.x; / 2 C r S1;1

by the same analysis as in the proof of the ı D 1 case of (9.35) of Chap. 13. More mrı generally, the difference in (4.54) belongs to C r S1;ı ; 0  ı  1. Thus L.x; / and M.uI x; / have many qualitative properties in common. m Consequently, given u 2 C mCr , the operator M # .x; D/ 2 OPS1;ı is  n microlocally elliptic in any direction .x0 ; 0 / 2 T R n 0 that is noncharacteristic

142 14. Nonlinear Elliptic Equations

for F .x; D m u/, which by definition means noncharacteristic for L. In particular, M # .x; D/ is elliptic if F .x; D m u/ is. Now if F .x; D m u/ D f

(4.55)

m is a parametrix for M # .x; D/, we have is elliptic and Q 2 OPS1;ı

u D Q.f  M b .x; D/u/;

(4.56)

mod C 1 :

By (4.50) we have (4.57)

QM b .x; D/ W H mrıCs;p ! H mCs;p ;

s > 0:

(In fact s > .1  ı/r suffices.) We deduce that (4.58)

u 2 H mırCs;p ; f 2 H s;p H) u 2 H mCs;p ;

granted r > 0; s > 0, and p 2 .1; 1/. There is a similar implication, with Sobolev spaces replaced by H¨older (or Zygmund) spaces. This sort of implication can be iterated, leading to a second proof of Theorem 4.6. We restate the result, including Sobolev estimates, which could also have been obtained by the first method used to prove Theorem 4.6. Theorem 4.8. Suppose, given r > 0, that u 2 C mCr satisfies (4.55) and this PDE is elliptic. Then, for each s > 0; p 2 .1; 1/, (4.59)

f 2 H s;p H) u 2 H mCs;p and f 2 Cs H) u 2 CmCs :

By way of further comparison with the methods used earlier in this section, we now rederive Theorem 4.5, on regularity for solutions to a quasi-linear elliptic PDE. Note that, in the quasi-linear case, (4.60)

F .x; D m u/ D

X

a˛ .x; D m1 u/D ˛ u D f;

j˛jm

the construction above gives F .x; D m u/ D M.uI x; D/u C R0 .u/ with the property that, for r  0, (4.61)

m m m1 m1 u 2 C mCr H) M.uI x; / 2 C rC1 S1;0 \ S1;1 C C r S1;0 \ S1;1 :

Of more interest to us now is that, for 0 < r < 1, (4.62)

m m mr \ S1;1 C S1;1 ; u 2 C m1Cr H) M.uI x; / 2 C r S1;0

4. Elliptic regularity I (interior estimates)

143

which follows from (10.23) of Chap. 13. Thus we can decompose the term in m m C r S1;0 \S1;1 via symbol smoothing, as in (10.60)–(10.61) of Chap. 13, and throw mr the term in S1;1 into the remainder, to get (4.63)

M.uI x; / D M # .x; / C M b .x; /;

with (4.64)

m M # .x; / 2 S1;ı ;

mrı M b .x; / 2 S1;1 :

m is a parametrix for the elliptic operator M # .x; D/, then If P .x; D/ 2 OPS1;ı whenever u 2 C m1Cr \ H m1C;p is a solution to (4.60), we have, mod C 1 ,

(4.65)

u D P .x; D/f  P .x; D/M b .x; D/u:

Now (4.66)

P .x; D/M b .x; D/ W H m1C;p ! H m1CCrı;p

if r C  > 1;

by the last part of (4.64). As long as this holds, we can iterate this argument and obtain Theorem 4.5, with a shorter proof than the one given before. Next we look at one example of a quasi-linear elliptic system in divergence form, with a couple of special features. One is that we will be able to assume less regularity a priori on u than in results above. The other is that the lower-order terms have a more significant impact on the analysis than above. After analyzing the following system, we will show how it arises in the study of the Ricci tensor. We consider second-order elliptic systems of the form X (4.67) @j ajk .x; u/@k u C B.x; u; ru/ D f: We assume that ajk .x; u/ and B.x; u; p/ are smooth in their arguments and that jB.x; u; p/j  C hpi2 :

(4.68)

Proposition 4.9. Assume that a solution u to (4.67) satisfies (4.69)

ru 2 Lq ; for some q > n; hence u 2 C r ;

for some r 2 .0; 1/. Then, if p 2 .q; 1/ and s  1, we have f 2 H s;p H) u 2 H sC2;p :

(4.70)

To begin the proof of Proposition 4.9, we write X (4.71) ajk .x; u/ @k u D Aj .uI x; D/u k

144 14. Nonlinear Elliptic Equations

mod C 1 , with (4.72)

1 1 1r \ S1;1 C S1;1 ; u 2 C r H) Aj .uI x; / 2 C r S1;0

as established in Chap. 13. Hence, given ı 2 .0; 1/, (4.73)

Aj .uI x; / D A#j .x; / C Abj .x; /; 1 ; A#j .x; / 2 S1;ı

1rı Abj .x; / 2 S1;1 :

It follows that we can write X (4.74) @j ajk .x; u/ @k u D P # u C P b u; with (4.75)

P# D

X

2 @j A#j .x; D/ 2 OPS1;ı ;

elliptic;

and (4.76)

X

Pb D

@j Abj .x; D/:

By Theorem 9.1 of Chap. 13, we have (4.77)

0

0

Abj .x; D/ W H 1rıC;p ! H ;p ;

for > 0; 1 < p 0 < 1:

In particular (taking D rı; p 0 D q), (4.78)

ru 2 Lq H) P b u 2 H 1Crı;q :

Now, if (4.79)

2 E # 2 OPS1;ı

denotes a parametrix of P # , we have, mod C 1 , (4.80)

u D E # f  E # B.x; u; ru/  E # P b u;

and we see that under the hypothesis (4.69), we have some control over the last term: (4.81)

E # P b u 2 H 1Crı;q  H 1;qQ ;

1 rı 1 D  : qQ q n

4. Elliptic regularity I (interior estimates)

145

Note also that under our hypothesis on B.x; u; p/, (4.82)

ru 2 Lq H) B.x; u; ru/ 2 Lq=2 :

Now, by Sobolev’s imbedding theorem, (4.83)

E # B.x; u; ru/ 2 H 1;pQ ;

with pQ D q=.2  q=n/ if q < 2n and for all pQ < 1 if q  2n. Note that pQ > q.1 C a=n/ if q D n C a. This treats the middle term on the right side of (4.80). Of course, the hypothesis on f yields (4.84)

E # f 2 H sC2;p ;

s C 2  1;

which is just where we want to place u. Having thus analyzed the three terms on the right side of (4.80), we have (4.85)

#

u 2 H 1;q ;

q # D min.p; Q p; q/: Q

Iterating this argument a finite number of times, we get u 2 H 1;p :

(4.86)

If s D 1 in (4.70), our work is done. If s > 1 in (4.70), we proceed as follows. We already have u 2 H 1;p , so ru 2 Lp . Thus, on the next pass through estimates of the form (4.78)–(4.83), we obtain (4.87)

E # P b u 2 H 1Crı;p ; E # B.x; u; ru/ 2 H 2;p=2  H 2n=p;p ;

and hence (4.88)

u 2 H 1C;p ;



n D min rı; 1  ; 1 C s : p

We can iterate this sort of argument a finite number of times until the conclusion in (4.70) is reached. Further results on elliptic systems of the form (4.67) will be given in  12B. We now apply Proposition 4.9 to estimates involving the Ricci tensor. Consider a Riemannian metric gjk defined on the unit ball B1  Rn . We will work under the following hypotheses: (i) For some constants aj 2 .0; 1/, there are estimates (4.89)

  0 < a0 I  gjk .x/  a1 I:

146 14. Nonlinear Elliptic Equations

(ii) The coordinates x1 ; : : : ; xn are harmonic, namely x` D 0:

(4.90)

Here,  is the Laplace operator determined by the metric gjk . In general, v D gjk @j @k v  ` @` v;

(4.91)

` D g jk  ` jk :

Note that x` D ` , so the coordinates are harmonic if and only if ` D 0. Thus, in harmonic coordinates, v D gjk @j @k v:

(4.92)

We will also assume some bounds on the Ricci tensor, and we desire to see how this influences the regularity of gjk in these coordinates. Generally, as can be derived from formulas in  3 of Appendix C, the Ricci tensor is given by 1 `m  g @` @m gjk  @j @k g`m 2  C @k @m g`j C @` @j gkm C Mjk .g; rg/ 1 1 1 D  g `m @` @m gjk C gj ` @k ` C gk` @j ` C Hjk .g; rg/; 2 2 2

Ricjk D (4.93)

with ` as in (4.91). In harmonic coordinates, we obtain (4.94)



1X @j g jk .x/ @k g`m C Q`m .g; rg/ D Ric`m ; 2

and Q`m .g; rg/ is a quadratic form in rg, with coefficients that are smooth functions of g, as long as (4.89) holds. Also, when (4.89) holds, the equation (4.94) is elliptic, of the form (4.67). Thus Proposition 4.9 implies the following. Proposition 4.10. Assume the metric tensor satisfies hypotheses (i) and (ii). Also assume that, on B1 , (4.95)

rgjk 2 Lq ;

for some q > n;

and (4.96)

Ric`m 2 H s;p ;

for some p 2 .q; 1/; s  1. Then, on the ball B9=10 , (4.97)

gjk 2 H sC2;p :

In [DK] it was shown that if gjk 2 C 2 , in harmonic coordinates, then, for k 2 ZC ; ˛ 2 .0; 1/, Ric`m 2 C kC˛ ) gjk 2 C kC2C˛ . Such results also follow

5. Isometric imbedding of Riemannian manifolds

147

by the methods used to prove Proposition 4.10. A result stronger than Proposition 4.10, using Morrey spaces, is proved in [T2].

Exercises 1. Consider the system F .x; D m u/ D f when X F .x; D m u/ D a˛ .x; D j u/ D ˛ u; j˛jm

for some j such that 0  j < m. Assume this quasi-linear system is elliptic. Given p; q 2 .1; 1/; r > 0, assume u 2 C j Cr \ H m1C;p ;

r C  > 1:

Show that f 2 H s;q H) u 2 H sCm;q :

5. Isometric imbedding of Riemannian manifolds In this section we will establish the following result. Theorem 5.1. If M is a compact Riemannian manifold, there exists a C 1 -map (5.1)

ˆ W M ! RN ;

which is an isometric imbedding. This was first proved by J. Nash [Na1], but the proof was vastly simplified by M. G¨unther [Gu1]–[Gu3]. These works also deal with noncompact Riemannian manifolds and derive good bounds for N , but to keep the exposition simple we will not cover these results. To prove Theorem 5.1, we can suppose without loss of generality that M is a torus T k . In fact, imbed M smoothly in some Euclidean space Rk I M will sit inside some box; identify opposite faces to have M  T k . Then smoothly extend the Riemannian metric on M to one on T k . If R denotes the set of smooth Riemannian metrics on T k and E is the set of such metrics arising from smooth imbeddings of T k into some Euclidean space, our goal is to prove (5.2)

E D R:

Now R is clearly an open convex cone in the Fr´echet space V D C 1 .T k ; S 2 T  /

148 14. Nonlinear Elliptic Equations

of smooth, second-order, symmetric, covariant tensor fields. As a preliminary to demonstrating (5.2), we show that the subset E shares some of these properties. Lemma 5.2. E is a convex cone in V . Proof. If g0 2 E, it is obvious from scaling the imbedding producing g0 that ˛g0 2 E, for any ˛ 2 .0; 1/. Suppose also that g1 2 E. If these metrics gj arise from imbeddings 'j W T k ! Rj , then g0 C g1 is a metric arising from the imbedding '0 ˚ '1 W T k ! R0 C1 . This proves the lemma. Using Lemma 5.2 plus some functional analysis, we will proceed to establish that any Riemannian metric on T k can be approximated by one in E. First, we define some more useful objects. If u W T k ! Rm is any smooth map, let u denote the symmetric tensor field on T k obtained by pulling back the Euclidean metric on Rm . In a natural local coordinate system on T k D Rk =Zk , arising from standard coordinates .x1 ; : : : ; xk / on Rk , u D

(5.3)

X @u` @u` dxi ˝ dxj : @xi @xj

i;j;`

Whenever u is an immersion, u is a Riemannian metric; and if u is an imbedding, then u is of course an element of E. Denote by C the set of tensor fields on T k of the form u . By the same reasoning as in Lemma 5.2, C is a convex cone in V . Lemma 5.3. E is a dense subset of R. Proof. If not, take g 2 R such that g … E, the closure of E in V . Now E is a closed, convex subset of V , so the Hahn–Banach theorem implies that there is a continuous linear functional ` W V ! R such that `.E/  0 while `.g/ D a > 0. Let us note that C  E (and hence C D E). In fact, if u W T k ! Rm is any smooth map and ' W T k ! Rn is an imbedding, then, for any " > 0; "' ˚ u W T k ! RnCm is an imbedding, and "'˚u D "2 ' C u 2 E. Taking " & 0, we have u 2 E. Consequently, the linear functional ` produced above has the property `.C/  0. Now we can represent ` as a k  k symmetric matrix of distributions `ij on T k , and we deduce that (5.4)

X˝

˛ @i f @j f; `ij  0;

8f 2 C 1 .T k /:

i;j

If we apply a Friedrichs mollifier J" , in the form of a convolution operator on T k , it follows easily that (5.4) holds with `ij 2 D0 .T k / replaced by ij D J" `ij 2 C 1 .T k /. Now it is an exercise to show that if ij 2 C 1 .T k / satisfies both ij D j i and the analogue of (5.4), then ƒ D .ij / is a negativesemidefinite, matrix-valued function on T k , and hence, for any positive-definite G D .gij / 2 C 1 .T k ; S 2 T  /,

5. Isometric imbedding of Riemannian manifolds

(5.5)

149

X˝ ˛ gij ; ij  0: i;j

Taking ij D J" `ij and passing to the limit " ! 0, we have X˝ ˛ gij ; `ij  0; (5.6) i;j

for any Riemannian metric tensor .gij / on T k . This contradicts the hypothesis that we can take g … E, so Lemma 5.3 is proved. The following result, to the effect that E has nonempty interior, is the analytical heart of the proof of Theorem 5.1. Lemma 5.4. There exist a Riemannian metric g0 2 E and a neighborhood U of 0 in V such that g0 C h 2 E whenever h 2 U . We now prove (5.2), hence Theorem 5.1, granted this result. Let g 2 R, and take g0 2 E, given by Lemma 5.4. Then set g1 D g C ˛.g  g0 /, where ˛ > 0 is picked sufficiently small that g1 2 R. It follows that g is a convex combination of g0 and g1 ; that is, g D ag0 C .1  a/g1 for some a 2 .0; 1/. By Lemma 5.4, we have an open set U  V such that g0 C h 2 E whenever h 2 U . But by Lemma 5.3, there exists h 2 U such that g1  bh 2 E; b D a=.1  a/. Thus g D a.g0 C h/ C .1  a/.g1  bh/ is a convex combination of elements of E, so by Lemma 5.1, g 2 E, as desired. We turn now to a proof of Lemma 5.4. The metric g0 will be one arising from a free imbedding (5.7)

u W T k ! R ;

defined as follows. Definition. An imbedding as in (5.7) is free provided that the k C k.k C 1/=2 vectors (5.8)

@j u.x/;

@j @k u.x/

are linearly independent in R , for each x 2 T k . Here, we regard T k D Rk =Zk , so u W Rk ! R , invariant under the translation action of Zk on Rk , and .x1 ; : : : xk / are the standard coordinates on Rk . It is not hard to establish the existence of free imbeddings; see the exercises. Now, given that u is a free imbedding and that .hij / is a smooth, symmetric tensor field that is small in some norm (stronger than the C 2 -norm), we want to find v 2 C 1 .T k ; R /, small in a norm at least as strong as the C 1 -norm, such that, with g0 D u ,

150 14. Nonlinear Elliptic Equations

(5.9)

X

@i .u` C v` /@j .u` C v` / D g0ij C hij ;

`

or equivalently, using the dot product on R , (5.10)

@i u  @j v C @j u  @i v C @i v  @j v D hij :

We want to solve for v. Now, such a system turns out to be highly underdetermined, and the key to success is to append convenient side conditions. Following P [Gu3], we apply   1 to (5.10), where  D @2j , obtaining

(5.11)

n n o o @i .  1/.@j u  v/ C v  @j v C @j .  1/.@i u  v/ C v  @i v 1 2 .  1/.@i @j u  v/ C @i v  @j v  @i @` v  @j @` v 2

1 Cv  @i @j v C .  1/hij D 0; 2

where we sum over `. Thus (5.10) will hold whenever v satisfies the new system   .  1/ i .x/  v D  v  @i v;   1 .  1/ ij .x/  v D  .  1/hij (5.12) 2

 1 C @i @` v  @j @` v  v  @i @j v  @i v  @j v : 2 Here we have set i .x/ D @i u.x/; ij .x/ D @i @j u.x/, smooth R -valued functions on T k . Now (5.12) is a system of k.k C 3/=2 D equations in unknowns, and it has the form 

  1 2 2 (5.13) .  1/ .x/v C Q.D v; D v/ D H D 0;  .  1/hij ; 2 where .x/ W R ! R is surjective for each x, by the linear independence hypothesis on (5.8), and Q is a bilinear function of its arguments D 2 v D fD ˛ v W j˛j  2g. This is hence an underdetermined system for v. We can obtain a determined system for a function w on T k with values in R , by setting (5.14)

v D .x/t w;

namely (5.15)

  e 2 w; D 2 w/ D H; .  1/ A.x/w C Q.D

Exercises

151

where, for each x 2 T k , A.x/ D .x/.x/t 2 End.R / is invertible:

(5.16)

If we denote the left side of (5.15) by F .w/, the operator F is a nonlinear differential operator of order 2, and we have (5.17)

  DF .w/f D .  1/ A.x/f C B.D 2 w; D 2 f /;

where B is a bilinear function of its arguments. In particular,   DF .0/f D .  1/ A.x/f :

(5.18)

We thus see that, for any r 2 RC n ZC , (5.19)

DF .0/ W C rC2 .T k ; R / ! C r .T k ; R / is invertible.

Consequently, if we fix r 2 RC n ZC , and if H 2 C r .T k ; R / has sufficiently small norm (i.e., if .hij / 2 C rC2 .T k ; S 2 T  / has sufficiently small norm), then (5.15) has a unique solution w 2 C rC2 .T k ; R / with small norm, and via (5.14) we get a solution v 2 C rC2 .T k ; R /, with small norm, to (5.13). If the norm of v is small enough, then of course u C v is also an imbedding. Furthermore, if the C rC2 -norm of w is small enough, then (5.15) is an elliptic system for w. By the regularity result of Theorem 4.6, we can deduce that w is C 1 (hence v is C 1 ) if h is C 1 . This concludes the proof of Lemma 5.4, hence of Nash’s imbedding theorem.

Exercises In Exercises 1–3, let B be the unit ball in Rk , centered at 0. Let .ij / be a smooth, symmetric, matrix-valued function on B such that XZ (5.20) .@i f /.x/ .@j f /.x/ ij .x/ dx  0; 8f 2 C01 .B/: i;j

1. Taking f" 2 C01 .B/ of the form f" .x/ D f ."2 x1 ; "1 x 0 /;

0 < " < 1;

examine the behavior as " & 0 of (5.20), with f replaced by f" . Establish that 11 .0/  0. k 2. Show that  the condition (5.20) is invariant under rotations of R , and deduce that ij .0/ is a negative-semidefinite matrix.  3. Deduce that ij .x/ is negative-semidefinite for all x 2 B. 4. Using the results above, demonstrate the implication (5.4) ) (5.5), used in the proof of Lemma 5.3.

152 14. Nonlinear Elliptic Equations 5. Suppose we have a C 1 -imbedding ' W T k ! Rn . Define a map W T k ! Rn ˚ S 2 Rn R ;

1 D n C n.n C 1/; 2

to have components 'j .x/; 1  j  n;

'i .x/'j .x/; 1  i  j  n:

Show that is a free imbedding. 6. Using Leibniz’ rule to expand derivatives of products, verify that (5.10) and (5.11) are equivalent, for v 2 C 1 .T k ; R /. 7. In [Na1] the system (5.10) was augmented with @i u  v D 0, yielding, instead of (5.12), the system i .x/  v D 0;  1 ij .x/  v D @i v  @j v  hij : 2

(5.21)

What makes this system more difficult to solve than (5.12)?

6. Minimal surfaces A minimal surface is one that is critical for the area functional. To begin, we consider a k-dimensional manifold M (generally with boundary) in Rn . Let  be a compactly supported normal field to M , and consider the one-parameter family of manifolds Ms  Rn , images of M under the maps 's .x/ D x C s.x/;

(6.1)

x 2 M:

We want a formula for the derivative of the k-dimensional area of Ms , at s D 0. Let us suppose  is supported on a single coordinate chart, and write Z (6.2) A.s/ D @1 X ^    ^ @k X d u1    d uk ; 

where   Rk parameterizes Ms by X.s; u/ D X0 .u/ C s.u/. We can also suppose this chart is chosen so that k@1 X0 ^    ^ @k X0 k D 1. Then we have A0 .0/ D k Z ˝ (6.3) X

˛ @1 X0 ^    ^ @j  ^    ^ @k X0 ; @1 X0 ^    ^ @k X0 d u1    d uk :

j D1

By the Weingarten formula (see (4.9) of Appendix C), we can replace @j  by A Ej , where Ej D @j X0 . Without loss of generality, for any fixed x 2 M , we can assume that E1 ; : : : ; Ek is an orthonormal basis of Tx M . Then ˝ ˛ ˝ ˛ (6.4) E1 ^    ^ A Ej ^    ^ Ek ; E1 ^    ^ Ek D A Ej ; Ej ;

6. Minimal surfaces

153

at x. Summing over j yields Tr A .x/, which is invariantly defined, so we have A0 .0/ D 

(6.5)

Z Tr A .x/ dA.x/; M

where A .x/ 2 End.Tx M / is the Weingarten map of M and dA.x/ the Riemannian k-dimensional area element. We say M is a minimal submanifold of Rn provided A0 .0/ D 0 for all variations of the form (6.1), for which the normal field  vanishes on @M . If we specialize to the case where k D n1 and M is an oriented hypersurface of Rn , letting N be the “outward” unit normal to M , for a variation Ms of M given by (6.6)

's .x/ D x C sf .x/N.x/;

x 2 M;

we hence have (6.7)

0

Z

A .0/ D 

Tr AN .x/ f .x/ dA.x/: M

The criterion for a hypersurface M of Rn to be minimal is hence that Tr AN D 0 on M . Recall from  4 of Appendix C that AN .x/ is a symmetric operator on Tx M . Its eigenvalues, which are all real, are called the principal curvatures of M at x. Various symmetric polynomials in these principal curvatures furnish quantities of interest. The mean curvature H.x/ of M at x is defined to be the mean value of these principal curvatures, that is, (6.8)

H.x/ D

1 Tr AN .x/: k

Thus a hypersurface M  Rn is a minimal submanifold of Rn precisely when H D 0 on M . Note that changing the sign of N changes the sign of AN , hence of H . Under such a sign change, the mean curvature vector (6.9)

H.x/ D H.x/N.x/

is invariant. In particular, this is well defined whether or not M is orientable, and its vanishing is the condition for M to be a minimal submanifold. There is the following useful formula for the mean curvature of a hypersurface M  Rn . Let X W M ,! Rn be the isometric imbedding. We claim that (6.10)

H.x/ D

1 X; k

154 14. Nonlinear Elliptic Equations

with k D n  1, where  is the Laplace operator on the Riemannian manifold M , acting componentwise on X . This is easy to see at a point p 2 M if we translate and rotate Rn to make p D 0 and represent M as the image of Rk D Rn1 under (6.11)

  Y .x 0 / D x 0 ; f .x 0 / ;

x 0 D .x1 ; : : : ; xk /; rf .0/ D 0:

Then one verifies that   X.p/ D @21 Y .0/ C    C @2k Y .0/ D 0; : : : ; 0; @21 f .0/ C    C @2k f .0/ ; and (6.10) follows from the formula (6.12)

hAN .0/X; Y i D

k X

@i @j f .0/ Xi Yj

i;j D1

for the second fundamental form of M at p, derived in (4.19) of Appendix C. More generally, if M  Rn has dimension k  n  1, we can define the mean curvature vector H.x/ by (6.13)

hH.x/; i D

1 Tr A .x/; k

H.x/ ? Tx M;

so the criterion for M to be a minimal submanifold is that H D 0. Furthermore, (6.10) continues to hold. This can be seen by the same type of argument used above; represent M as the image of Rk under (6.11), where now f .x 0 / D .xkC1 ; : : : ; xn /. Then (6.12) generalizes to (6.14)

hA .0/X; Y i D

k X

h; @i @j f .0/i Xi Yj ;

i;j D1

which yields (6.10). We record this observation. Proposition 6.1. Let X W M ! Rn be an isometric immersion of a Riemannian manifold into Rn . Then M is a minimal submanifold of Rn if and only if the coordinate functions x1 ; : : : ; xn are harmonic functions on M . A two-dimensional minimal submanifold of Rn is called a minimal surface. The theory is most developed in this case, and we will concentrate on the twodimensional case in the material below. When dim M D 2, we can extend Proposition 6.1 to cases where X W M ! Rn is not an isometric map. This occurs because, in such a case, the class of harmonic functions on M is invariant under conformal changes of metric. In fact, if  is the Laplace operator for a Riemannian metric gij on M and 1 that for

6. Minimal surfaces

155

g1ij D e 2u gij , then, since f D g1=2 @i .g ij g 1=2 @j f / and g1ij D e 2u g ij , while g11=2 D e ku g 1=2 (if dim M D k), we have 1 f D e 2u f C e ku hdf; de .k2/u i D e 2u f

(6.15)

if k D 2:

Hence ker  D ker 1 if k D 2. We hence have the following: Proposition 6.2. If  is a Riemannian manifold of dimension 2 and X W  ! Rn a smooth immersion, with image M , then M is a minimal surface provided X is harmonic and X W  ! M is conformal. In fact, granted that X W  ! M is conformal, M is minimal if and only if X is harmonic on . We can use this result to produce lots of examples of minimal surfaces, by the following classical device. Take  to be an open set in R2 D C, with coordinates .u1 ; u2 /. Given a map X W  ! Rn , with components xj W  ! R, form the complex-valued functions j ./

(6.16)

D

@xj @xj @ i D 2 xj ; @u1 @u2 @

 D u1 C i u2 :

Clearly, j is holomorphic if and only if xj is harmonic (for the standard flat metric on ), since  D 4.@=@/.@=@/. Furthermore, a short calculation gives n X

(6.17)

j ./

2

ˇ ˇ2 ˇ ˇ2 D ˇ@1 X ˇ  ˇ@2 X ˇ  2i @1 X  @2 X:

j D1

Granted that X W  ! Rn is an immersion, the criterion that it be conformal is precisely that this quantity vanish. We have the following result. Proposition 6.3. If

1; : : : ;

n

n X

(6.18)

are holomorphic functions on   C such that j ./

2

D0

on ;

j D1

while

P

j

j ./j

2

¤ 0 on , then setting Z

(6.19)

xj .u/ D Re

j ./

d

defines an immersion X W  ! Rn whose image is a minimal surface. If  is not simply connected, the domain of X is actually the universal covering surface of .

156 14. Nonlinear Elliptic Equations

We mention some particularly famous minimal surfaces in R3 that arise in such a fashion. Surely the premier candidate for (6.18) is sin2  C cos2   1 D 0:

(6.20) D sin ;

2 ./

D  cos , and

Here, take

1 ./

(6.21)

x1 D .cos u1 /.cosh u2 /;

3 ./

D i . Then (6.19) yields

x2 D .sin u1 /.cosh u2 /;

x3 D u2 :

The surface obtained in R3 is called the catenoid. It is the surface of revolution about the x3 -axis of the curve x1 D cosh x3 in the .x1  x3 /-plane. Whenever j ./ are holomorphic functions satisfying (6.18), so are e i j ./, for any  2 R. The resulting immersions X W  ! Rn give rise to a family of minimal surfaces M  Rn , which are said to be associated. In particular, M=2 is said to be conjugate to M D M0 . When M0 is the catenoid, defined by (6.21), the conjugate minimal surface arises from 1 ./ D i sin ; 2 ./ D i cos , and 3 ./ D 1 and is given by (6.22)

x1 D .sin u1 /.sinh u2 /;

x2 D .cos u1 /.sinh u2 /;

x3 D u1 :

This surface is called the helicoid. We mention that associated minimal surfaces are locally isometric but generally not congruent; that is, the isometry between the surfaces does not extend to a rigid motion of the ambient Euclidean space. The catenoid and helicoid were given as examples of minimal surfaces by Meusnier, in 1776. One systematic way to produce triples of holomorphic functions j ./ satisfying (6.18) is to take (6.23)

1

D

1 f .1  g 2 /; 2

2

D

i f .1 C g 2 /; 2

3

D fg;

for arbitrary holomorphic functions f and g on . More generally, g can be meromorphic on  as long as f has a zero of order 2m at each point where g has a pole of order m. The resulting map X W  ! M  R3 is called the Weierstrass–Enneper representation of the minimal surface M . It has an interesting connection with the Gauss map of M , which will be sketched in the exercises. The example arising from f D 1; g D  produces “Enneper’s surface.” This surface is immersed in R3 but not imbedded. For a long time the only known examples of complete imbedded minimal surfaces in R3 of finite topological type were the plane, the catenoid, and the helicoid, but in the 1980s it was proved by [HM1] that the surface obtained by taking g D  and f ./ D }./ (the Weierstrass }-function) is another example. Further examples have been found; computer graphics have been a valuable aid in this search; see [HM2].

6. Minimal surfaces

157

A natural question is how general is the class of minimal surfaces arising from the construction in Proposition 6.3. In fact, it is easy to see that every minimal M  Rn is at least locally representable in such a fashion, using the existence of local isothermal coordinates, established in  10 of Chap. 5. Thus any p 2 M has a neighborhood O such that there is a conformal diffeomorphism X W  ! O, for some open set   R2 . By Proposition 6.2 and the remark following it, if M is minimal, then X must be harmonic, so (6.16) furnishes the functions j ./ used in Proposition 6.3. Incidentally, this shows that any minimal surface in Rn is real analytic. As for the question of whether the construction of Proposition 6.3 globally represents every minimal surface, the answer here is also “yes.” A proof uses the fact that every noncompact Riemann surface (without boundary) is covered by either C or the unit disk in C. This is a more complete version of the uniformization theorem than the one we established in  2 of this chapter. A positive answer, for simply connected, compact minimal surfaces, with smooth boundary, is implied by the following result, which will also be useful for an attack on the Plateau problem. Proposition 6.4. If M is a compact, connected, simply connected Riemannian manifold of dimension 2, with nonempty, smooth boundary, then there exists a conformal diffeomorphism (6.24)

ˆ W M ! D;

where D D f.x; y/ 2 R2 W x 2 C y 2  1g. This is a slight generalization of the Riemann mapping theorem, established in  4 of Chap. 5, and it has a proof along the lines of the argument given there. Thus, fix p 2 M , and let G 2 D0 .M / \ C 1 .M n p/ be the unique solution to (6.25)

G D 2 ı;

G D 0 on @M:

Since M is simply connected, it is orientable, so we can pick a Hodge star operator, and dG D ˇ is a smooth closed 1-form on M n p. If  is a curve in M R of degree 1 about p, then ˇ can be calculated by deforming  to be a small curve about p. The parametrix construction for the solution to (6.25), in normal coordinates centered at p, gives G.x/  log dist.x; p/, and one establishes R that ˇ D 2 . Thus we can write ˇ D dH , where H is a smooth function on M n p, well defined mod 2 Z. Hence ˆ.x/ D e GCiH is a single-valued function, tending to 0 as x ! p, which one verifies to be the desired conformal diffeomorphism (6.24), by the same reasoning as used to complete the proof of Theorem 4.1 in Chap. 5. An immediate corollary is that the argument given above for the local representation of a minimal surface in the form (6.19) extends to a global representation of a compact, simply connected minimal surface, with smooth boundary.

158 14. Nonlinear Elliptic Equations

So far we have dealt with smooth surfaces, at least immersed in Rn . The theorem of J. Douglas and T. Rado that we now tackle deals with “generalized” surfaces, which we will simply define to be the images of two-dimensional manifolds under smooth maps into Rn (or some other manifold). The theorem, a partial answer to the “Plateau problem,” asserts the existence of an area-minimizing generalized surface whose boundary is a given simple, closed curve in Rn . To be precise, let  be a smooth, simple, closed curve in Rn , that is, a diffeomorphic image of S 1 . Let (6.26)

X D f' 2 C.D; Rn / \ C 1 .D; Rn / W ' W S 1 !  monotone, and ˛.'/ < 1g;

where ˛ is the area functional: Z (6.27)

j@1 ' ^ @2 'j dx1 dx2 :

˛.'/ D D

Then let (6.28)

A D inff˛.'/ W ' 2 X g:

The existence theorem of Douglas and Rado is the following: Theorem 6.5. There is a map ' 2 X such that ˛.'/ D A . We can choose ' 2 X such that ˛.' / & A , but f' g could hardly be expected to have a convergent subsequence unless some structure is imposed on the maps ' . The reason is that ˛.'/ D ˛.' ı / for any C 1 -diffeomorphism W D ! D. We say ' ı is a reparameterization of '. The key to success is to take ' , which approximately minimize not only the area functional ˛.'/ but also the energy functional Z (6.29)

#.'/ D

jr'.x/j2 dx1 dx2 ; D

so that we will also have #.' / & d , where (6.30)

d D inff#.'/ W ' 2 X g:

To relate these, we compare (6.29) and the area functional (6.27). To compare integrands, we have (6.31)

jr'j2 D j@1 'j2 C j@2 'j2 ;

6. Minimal surfaces

159

while the square of the integrand in (6.27) is equal to j@1 ' ^ @2 'j2 D j@1 'j2 j@2 'j2  h@1 '; @2 'i  j@1 'j2 j@2 'j2 2 1  j@1 'j2 C j@2 'j2 ; 4

(6.32)

where equality holds if and only if j@1 'j D j@2 'j and h@1 '; @2 'i D 0:

(6.33)

Whenever r' ¤ 0, this is the condition that ' be conformal. More generally, if (6.33) holds, but we allow r'.x/ D 0, we say that ' is essentially conformal. Thus, we have seen that, for each ' 2 X , ˛.'/ 

(6.34)

1 #.'/; 2

with equality if and only if ' is essentially conformal. The following result allows us to transform the problem of minimizing ˛.'/ over X into that of minimizing #.'/ over X , which will be an important tool in the proof of Theorem 6.5. Set (6.35)

1 n 1 X1 D f' 2 C .D; R / W ' W S !  diffeo.g:

Proposition 6.6. Given " > 0, any ' 2 X1 has a reparameterization ' ı that 1 #.' ı 2

(6.36)

such

/  ˛.'/ C ":

Proof. We will obtain this from Proposition 6.4, but that result may not apply nC2 to '.D/, so we do the by  following. Take ı > 0 and define ˆı W D ! R ˆı .x/ D '.x/; ıx . For any ı > 0; ˆı is a diffeomorphism of D onto its image, and if ı is very small, area ˆı .D/ is only a little larger than area '.D/. Now, by Proposition 6.4, there is a conformal diffeomorphism ‰ W ˆı .D/ ! D. 1  Set D ı D ‰ ı ˆı W D ! D. Then ˆı ı D ‰ 1 and, as established 1 above, .1=2/#.‰ / D Area.‰ 1 .D//, i.e., 1 2 #.ˆı

(6.37)

ı

  / D Area ˆı .D/ :

Since #.' ı /  #.ˆı ı /, the result (6.34) follows if ı is taken small enough. One can show that (6.38)

A D inff˛.'/ W ' 2 X1 g;

d D inff#.'/ W ' 2 X1 g:

160 14. Nonlinear Elliptic Equations

It then follows from Proposition 6.6 that A D .1=2/d , and if ' 2 X1 is chosen so that #.' / ! d , then a fortiori ˛.' / ! A . There is still an obstacle to obtaining a convergent subsequence of such f' g. Namely, the energy integral (6.29) is invariant under reparameterizations ' 7! ' ı for which W D ! D is a conformal diffeomorphism. We can put a clamp on this by noting that, given any two triples of (distinct) points fp1 ; p2 ; p2 g and fq1 ; q2 ; q3 g in S 1 D @D, there is a unique conformal diffeomorphism W D ! D such that .pj / D qj ; 1  j  3. Let us now make one choice of fpj g on S 1 —for example, the three cube roots of 1—and make one choice of a triple fqj g of distinct points in  . The following key compactness result will enable us to prove Theorem 6.5. Proposition 6.7. For any d 2 .d ; 1/, the set (6.39)

˚  †d D ' 2 X1 W ' harmonic; '.pj / D qj ; and #.'/  d

is relatively compact in C.D; Rn /. In view of the mapping properties of the Poisson integral, this result is equivalent to the relative compactness in C.@D; / of (6.40) SK D fu 2 C 1 .S 1 ;  / diffeo. W u.pj / D qj ; and kukH 1=2 .S 1 /  Kg; for any given K < 1. For u 2 SK , we have kukH 1=2 .S 1 / kPI ukH 1 .D/ . To demonstrate this compactness, there is no loss of generality in taking  D S 1  R2 and pj D qj . 1 We ı will p show that the oscillation of u over any arc I  S of length 2ı is  CK log.1=ı/. This modulus of continuity will imply the compactness, by Ascoli’s theorem. Pick a point z 2 S 1 . Let Cr denote the portion of the circle of radius r and center z which lies p in D. Thus Cr is an arc, of length  r. Let ı 2 .0; 1/. As r varies from ı to ı; Cr sweeps out part of an annulus, as illustrated in Fig. 6.1.

F IGURE 6.1 Annular Region in the Disk

6. Minimal surfaces

We claim there exists  2 Œı;

p ı such that s

Z jr'j ds  K

(6.41)

161

C

2 log 1ı

if K D kr'kL2 .D/ ; ' D PI u. To establish this, let Z !.r/ D r

jr'j2 ds: Cr

Then

Z ı

p

ı

dr D !.r/ r

p

Z

Z

ı

ı

jr'j2 ds dr D I  K 2 : Cr

By the mean-value theorem, there exists  2 Œı; p

Z I D !./ ı

ı

p

ı such that

!./ 1 dr D log : r 2 ı

For this value of , we have Z (6.42)

jr'j2 ds D

 C

2I 2K 2  : log 1ı log 1ı

Then Cauchy’s inequality yields (6.41), since length.C /  . This almost gives the desired p modulus of continuity. The arc C is mapped by ' into a curve of length  K 2 =log.1=ı/, whose endpoints divide  into two segments, one rather short (if ı is small) and one not so short. There are two possibilities: '.z/ is contained in either the short segment (as in Fig. 6.2) or the long segment (as in Fig. 6.3). However, as long as '.pj / D pj for three points pj , this latter possibility cannot occur. We see that

F IGURE 6.2 Mapping of an Arc

162 14. Nonlinear Elliptic Equations

F IGURE 6.3 Alternative Mapping of an Arc

s ju.a/  u.b/j  K

2 ; log 1ı

if a and b are the points where C intersects S 1 . Now the monotonicity of u along 1 S 1 guarantees q ı that the total variation of u on the (small) arc from a to b in S is  K 2 log.1=ı/. This establishes the modulus of continuity and concludes the proof. Now that we have Proposition 6.7, we proceed as follows. Pick a sequence ' in X1 such that #.' / ! d , so also ˛.' / ! Aˇ . Now we do not increase #.' / if we replace ' by the Poisson integral of ' ˇ@D , and we do not alter this energy integral if we reparameterize via a conformal diffeomorphism to take fpj g to fqj g. Thus we may as well suppose that ' 2 †d . Using Proposition 6.7 and passing to a subsequence, we can assume (6.43)

' ! '

in C.D; Rn /;

and we can furthermore arrange (6.44)

' ! '

weakly in H 1 .D; Rn /:

Of course, by interior estimates for harmonic functions, we have (6.45)

' ! '

in C 1 .D; Rn /:

The limit function ' is certainly harmonic on D. By (6.44), we of course have (6.46)

#.'/  lim #.' / D d : !1

Now (6.34) applies to ', so we have (6.47)

˛.'/ 

1 1 #.'/  d D A : 2 2

6. Minimal surfaces

163

On the other hand, (6.43) implies that ' W @D !  is monotone. Thus ' belongs to X . Hence we have (6.48)

˛.'/ D A :

This proves Theorem 6.5 and most of the following more precise result. Theorem 6.8. If  is a smooth, simple, closed curve in Rn , there exists a continuous map ' W D ! Rn such that (6.49)

#.'/ D d and ˛.'/ D A ;

(6.50)

' W D ! Rn is harmonic and essentially conformal;

(6.51)

' W S 1 ! ; homeomorphically:

Proof. We have (6.49) from (6.46)–(6.48). By the argument involving (6.31) and (6.32), this forces ' to be essentially conformal. It remains to demonstrate (6.51). We know that ' W S 1 !  , monotonically. If it fails to be a homeomorphism, there must be an interval I  S 1 on which ' is constant. Using a linear fractional transformation to map D conformally onto the upper half-plane C  C, we can regard ' as a harmonic and essentially conformal map of C ! Rn , constant on an interval I on the real axis R. Via the Schwartz reflection principle, we can extend ' to a harmonic function ' W C n .R n I / ! Rn : Now consider the holomorphic function W C n .R n I / ! C n , given by @'=@. As in the calculations leading to Proposition 6.3, the identities (6.52)

j@1 'j2  j@2 'j2 D 0;

./ D

@1 '  @2 ' D 0;

P which hold on C , imply njD1 j ./2 D 0 on C ; hence this holds on C n .R n I /, and so does (6.52). But since @1 ' D 0 on I , we deduce that @2 ' D 0 on I , hence D 0 on I , hence  0. This implies that ', being both Rn -valued and antiholomorphic, must be constant, which is impossible. This contradiction establishes (6.51). Theorem 6.8 furnishes a generalized minimal surface whose boundary is a given smooth, closed curve in Rn . We know that ' is smooth on D. It has been shown by [Hild] that ' is C 1 on D when the curve  is C 1 , as we have assumed here. It should be mentioned that Douglas and others treated the Plateau problem for simple, closed curves  that were not smooth. We have restricted attention to smooth  for simplicity. A treatment of the general case can be found in [Nit1]; see also [Nit2]. There remains the question of the smoothness of the image surface M D '.D/. The map ' W D ! Rn would fail to be an immersion at a point z 2 D where

164 14. Nonlinear Elliptic Equations

r'.z/ D 0. At such a point, the C n -valued holomorphic function D @'=@ must vanish; that is, each of its components must vanish. Since a holomorphic function on D  C that is not identically zero can vanish only on a discrete set, we have the following: Proposition 6.9. The map ' W D ! Rn parameterizing the generalized minimal surface in Theorem 6.8 has injective derivative except at a discrete set of points in D. If r'.z/ D 0, then '.z/ 2 M D '.D/ is said to be a branch point of the generalized minimal surface M ; we say M is a branched surface. If n  4, there are indeed generalized minimal surfaces with branch points that arise via Theorem 6.8. Results of Osserman [Oss2], complemented by [Gul], show that if n D 3, the construction of Theorem 6.8 yields a smooth minimal surface, immersed in R3 . Such a minimal surface need not be imbedded; for example, if  is a knot in R3 , such a surface with boundary equal to  is certainly not imbedded. If  is analytic, it is known that there cannot be branch points on the boundary, though this is open for merely smooth  . An extensive discussion of boundary regularity is given in Vol. 2 of [DHKW]. The following result of Rado yields one simple criterion for a generalized minimal surface to have no branch points. Proposition 6.10. Let  be a smooth, closed curve in Rn . If a minimal surface with boundary  produced by Theorem 6.8 has any branch points, then  has the property that (6.53)

for some p 2 Rn ; every hyperplane through p intersects  in at least four points.

D @'=@ vanishes at z0 . Let Proof. Suppose z0 2 D and r'.z0 / D 0, so L.x/ D ˛  x C c D 0 be the equation of an arbitrary hyperplane through  p D '.z0 /. Then h.x/ D L '.x/ is a (real-valued) harmonic function on D, satisfying (6.54)

h D 0 on D;

rh.z0 / D 0:

The proposition is then proved, by the following: Lemma 6.11. Any real-valued h 2 C 1 .D/ \ C.D/ having the property (6.54) must assume the value h.z0 / on at least four points on @D. We leave the proof as an exercise for the reader. The following result gives a condition under which a minimal surface constructed by Theorem 6.8 is the graph of a function.

6. Minimal surfaces

165

Proposition 6.12. Let O be a bounded convex domain in R2 with smooth boundary. Let g W @O ! Rn2 be smooth. Then there exists a function (6.55)

f 2 C 1 .O; Rn2 / \ C.O; Rn2 /;

whose graph is a minimal surface, and whose boundary is the curve   Rn that is the graph of g, so (6.56)

f Dg

on @O:

n constructed in Theorem 6.8. Set F .x/ D Proof. Let ' W D ! R be the function '1 .x/; '2 .x/ . Then F W D ! R2 is harmonic on D and F maps S 1 D @D homeomorphically onto @O. It follows from the convexity of O and the maximum principle for harmonic functions that F W D ! O. We claim that DF .x/ is invertible for each x 2 D. Indeed, if x0 2 D and DF .x0 / is singular, we can choose nonzero ˛ D .˛1 ; ˛2 / 2 R2 such that, at x D x0 , @'1 @'2 ˛1 C ˛2 D 0; j D 1; 2: @xj @xj

Then the function h.x/ D ˛1 '1 .x/ C ˛2 '2 .x/ has the property (6.54), so h.x/ must take the value h.x0 / at four distinct points of @D. Since F W @D ! @O is a homeomorphism, this forces the linear function ˛1 x1 C ˛2 x2 to take the same value at four distinct points of @O, which contradicts the convexity of O. Thus F W D ! O is a local diffeomorphism. Since F gives a homeomorphism of the boundaries of these regions, degree theory implies that F is a diffeomorphism of D onto O and a homeomorphism of D onto O. Consequently,the desired function in (6.55) is f D e ' ı F 1 , where e ' .x/ D '2 .x/; : : : ; 'n .x/ . Functions whose graphs are minimal surfaces satisfy a certain nonlinear PDE, called the minimal surface equation, which we will derive and study in  7. Let us mention that while one ingredient in the solution to the Plateau problem presented above is a version of the Riemann mapping theorem, Proposition 6.4, there are presentations for which the Riemann mapping theorem is a consequence of the argument, rather than an ingredient (see, e.g., [Nit2]). It is also of interest to consider the analogue of the Plateau problem when, instead of immersing the disk in Rn as a minimal surface with given boundary, one takes a surface of higher genus, and perhaps several boundary components. An extra complication is that Proposition 6.4 must be replaced by something more elaborate, since two compact surfaces with boundary which are diffeomorphic to each other but not to the disk may not be conformally equivalent. One needs to consider spaces of “moduli” of such surfaces; Theorem 4.2 of Chap. 5 deals with the easiest case after the disk. This problem was tackled by Douglas [Dou2] and by Courant [Cou2], but their work has been criticized by [ToT] and [Jos], who present alternative solutions. The paper [Jos] also treats the Plateau problem for surfaces in Riemannian manifolds, extending results of [Mor1].

166 14. Nonlinear Elliptic Equations

There have been successful attacks on problems in the theory of minimal submanifolds, particularly in higher dimension, using very different techniques, involving geometric measure theory, currents, and varifolds. Material on these important developments can be found in [Alm, Fed, Morg]. So far in this section, we have devoted all our attention to minimal submanifolds of Euclidean space. It is also interesting to consider minimal submanifolds of other Riemannian manifolds. We make a few brief comments on this topic. A great deal more can be found in [Cher, Law, Law2, Mor1, Pi] and in survey articles in [Bom]. Let Y be a smooth, compact Riemannian manifold. Assume Y is isometrically imbedded in Rn , which can always be arranged, by Nash’s theorem. Let M be a compact, k-dimensional submanifold of Y . We say M is a minimal submanifold of Y if its k-dimensional volume is a critical point with respect to small variations of M , within Y . The computations in (6.1)–(6.13) extend to this case. We need to take X D X.s; u/ with @s X.s; u/ D .s; u/, tangent to Y , rather than X.s; u/ D X0 .u/ C s.u/. Then these computations show that M is a minimal submanifold of Y if and only if, for each x 2 M , (6.57)

H.x/ ? Tx Y;

where H.x/ is the mean curvature vector of M (as a submanifold of Rn ), defined by (6.13). There is also a well-defined mean curvature vector HY .x/ 2 Tx Y , orthogonal to Tx M , obtained from the second fundamental form of M as a submanifold of Y . One sees that HY .x/ is the orthogonal projection of H.x/ onto Tx Y , so the condition that M be a minimal submanifold of Y is that HY D 0 on M . The formula (6.10) continues to hold for the isometric imbedding X W M ! Rn . Thus M is a minimal submanifold of Y if and only if, for each x 2 M , (6.58)

X.x/ ? Tx Y:

If dim M D 2, the formula (6.15) holds, so if M is given a new metric, conformally scaled by a factor e 2u , the new Laplace operator 1 has the property that 1 X D e 2u X , hence is parallel to X . Thus the property (6.58) is unaffected by such a conformal change of metric; we have the following extension of Proposition 6.2: Proposition 6.13. If M is a Riemannian manifold of dimension 2 and X W M ! Rn is a smooth imbedding, with image M1  Y , then M1 is a minimal submanifold of Y provided X W M ! M1 is conformal and, for each x 2 M , (6.59)

X.x/ ? TX.x/ Y:

We note that (6.59) alone specifies that X is a harmonic map from M into Y . Harmonic maps will be considered further in  11 and 12B; they will also be studied, via parabolic PDE, in Chap. 15,  2.

Exercises

167

Exercises 1. Consider the Gauss map N W M ! S 2 , for a smooth, oriented surface M  R3 . Show that N is antiholomorphic if and only if M is a minimal surface. (Hint: If N.p/ D q; DN.p/ W Tp M ! Tq S 2 Tp M is identified with AN . Compare (4.67) in Appendix C. Check when AN J D JAN , where J is counterclockwise e W M ! S2 rotation by 90ı , on Tp M:) Thus, if we define the antipodal Gauss map N e by N .p/ D N.p/, this map is holomorphic precisely when M is a minimal surface. 2. If x 2 S 2  R3 , pick v 2 Tx S 2  R3 , set w D J v 2 Tx S 2  R3 , and take  D v C iw 2 C 3 . Show that the one-dimensional, complex span of  is independent of the choice of v, and that we hence have a holomorphic map „ W S 2 ! CP 3 : Show that the image „.S 2 /  CP 3 is contained in the image of f 2 C 3 n 0 W 12 C 22 C 33 D 0g under the natural map C 3 n 0 ! CP 3 . 3. Suppose that M  R3 is a minimal surface constructed by the method of Proposition 6.3, via X W  ! M  R3 . Define ‰ W  ! C 3 n 0 by ‰ D . 1 ; 2 ; 3 /, and define X W  ! CP 3 by composing ‰ with the natural map C 3 n 0 ! CP 3 . Show that, for u 2 ,   e X.u/ : X.u/ D „ ı N For the relation between j and the Gauss map for minimal surfaces in Rn ; n > 3, see [Law]. 4. Give a detailed demonstration of (6.38). 5. In analogy with Proposition 6.4, extend Theorem 4.3 of Chap. 5 to the following result: Proposition. If M is a compact Riemannian manifold of dimension 2 which is homeomorphic to an annulus, then there exists a conformal diffeomorphism ‰ W M ! A ; for a unique  2 .0; 1/, where A D fz 2 C W   jzj  1g. 6. If e II is the second fundamental form of a minimal hypersurface M  Rn , show that e II has divergence zero. As in Chap. 2,  3, we define the divergence of a second-order tensor field T by T jk Ik . (Hint: Use the Codazzi equation (cf. Appendix C,  4, especially (4.18)) plus the zero trace condition.) e is the second fundamental form of a minimal submanifold M of codi7. Similarly, if II e has divergence zero. mension 1 in S n (with its standard metric), show that II (Hint: The Codazzi equation, from (4.16) of Appendix C, is

e /.X; Z/  .rY II e /.Y; Z/ D hR.X; Y /Z; N i; .rY II where r is the Levi–Civita connection on M I X; Y; Z are tangent to M I Z is normal to M (but tangent to S n ); and R is the curvature tensor of S n . In such a case, the right side vanishes. (See Exercise 6 in  4 of Appendix C.) Thus the argument needed for Exercise 6 above extends.) 8. Extend the result of Exercises 6–7 to the case where M is a codimension-1 minimal submanifold in any Riemannian manifold  with constant sectional curvature.

168 14. Nonlinear Elliptic Equations 9. Let M be a two-dimensional minimal submanifold of S 3 , with its standard metric. Assume M is diffeomorphic to S 2 . Show that M must be a “great sphere” in S 3 . e is a symmetric trace free tensor of divergence zero; that is, (Hint: By Exercise 7, II e belongs to II V D fu 2 C 1 .M; S02 T  / W div u D 0g; a space introduced in (10.47) of Chap. 10. As noted there, when M is a Riemann surface, V O. ˝ /. By Corollary 9.4 of Chap. 10, O. ˝ / D 0 when M has genus g D 0:) 10. Prove Lemma 6.11.

6B. Second variation of area In this appendix to  6, we take up a computation of the second variation of the area integral, and some implications, for a family of manifolds of dimension k, immersed in a Riemannian manifold Y . First, we take Y D Rn and suppose the family is given by X.s; u/ D X0 .u/ C s.u/, as in (6.1)–(6.5). Suppose, as in the computation (6.2)–(6.5), that k@1 X0 ^    ^ @k X0 k D 1 on M , while Ej D @j X0 form an orthonormal basis of Tx M , for a given point x 2 M . Then, extending (6.3), we have A0 .s/ D ˝ ˛ k R @1 X ^    ^ @j  ^    ^ @ X; @1 X ^    ^ @ X P k k d u1    d uk : k@1 X ^    ^ @k X k j D1

(6b.1)

Consequently, A00 .0/ will be the integral with respect to d u1    d uk of a sum of three terms: (6b.2) 

X˝

@1 X0 ^    ^ @i  ^    ^ @k X0 ; @1 X0 ^    ^ @k X0

i;j

C2

˝ ˛  @1 X0 ^    ^ @j  ^    ^ @k X0 ; @1 X0 ^    ^ @k X0

X˝ ˛ @1 X0 ^    ^ @i  ^    ^ @j  ^    ^ @k X0 ; @1 X0 ^    ^ @k X0 i <j

C

X˝

˛ @1 X0 ^    ^ @j  ^    ^ @k X0 ; @1 X0 ^    ^ @i  ^    ^ @k X0 :

i;j

Let us write (6b.3)

˛

A Ei D

X `

ai ` E` ;

6B. Second variation of area

169

with Ej D @j X0 as before. Then, as in (6.4), the first sum in (6b.2) is equal to 

(6b.4)

X

ai i ajj :

i;j

Let us move to the last sum in (6b.2). We use the Weingarten formula @j  D rj1   A Ej , to write this sum as X

(6b.5)

jj

a ai i C

i;j

X˝

˛ rj1 ; ri1  ;

i;j

at x. Note that the first sum in (6b.5) cancels (6b.4), while the last sum in (6b.5) can be written as kr 1 k2 . Here, r 1 is the connection induced on the normal bundle of M . Now we look at the middle term in (6b.2), namely, (6b.6) 2

XX

j m˝

ai ` a

˛ E1 ^    ^ E` ^    ^ Em ^    ^ Ek ; E1 ^    ^ Ek ;

i <j `;m

at x, where E` appears in the i th slot and Em appears in the j th slot in the k-fold wedge product. This is equal to 2

(6b.7)

X

 ai i ajj  aij aj i D 2 Tr ƒ2 A ;

i <j

at x. Thus we have (6b.8)

A00 .0/ D

Z h

i kr 1 k2 C 2 Tr ƒ2 A dA.x/:

M

If M is a hypersurface of Rn , and we take  D f N , where N is a unit normal field, then kr 1 k2 D krf k2 and (6b.7) is equal to (6b.9)

2

X˝

˛ R.Ej ; Ei /Ei ; Ej f 2 D Sf 2 ;

i <j

by the Theorema Egregium, where S is the scalar curvature of M . Consequently, if M  Rn is a hypersurface (with boundary), and the hypersurfaces Ms are given by (6.6), with area integral (6.2), then (6b.10)

00

A .0/ D

Z h M

i krf k2 C S.x/f 2 dA.x/:

170 14. Nonlinear Elliptic Equations

Recall that when dim M D 2, so M  R3 , S D 2K;

(6b.11)

where K is the Gauss curvature, which is  0 whenever M is a minimal surface in R3 . If M has general codimension in Rn , we can rewrite (6b.8) using the identity 2 Tr ƒ2 A D .Tr A /2  kA k2 ;

(6b.12)

where kA k denotes the Hilbert–Schmidt norm of A , that is, kA k2 D Tr.A A /: Recalling (6.13), if k D dim M , we get (6b.13)

Z h i kr 1 k2  kA k2 C k 2 hH.x/; i2 dA.x/: A .0/ D 00

M

Of course, the last term in the integrand vanishes for all compactly supported fields  normal to M when M is a minimal submanifold of Rn . We next suppose the family of manifolds Ms is contained in a manifold Y  Rn . Hence, as before, instead of X.s; u/ D X0 .u/Cs.u/, we require @s X.s; u/ D .s; u/ to be tangent to Y . We take X.0; u/ D X0 .u/. Then (6b.1) holds, and we need to add to (6b.2) the following term, in order to compute A00 .0/:

(6b.14)

ˆD

k X ˝

˛ @1 X0 ^    ^ @j ^    ^ @k X0 ; @1 X0 ^    ^ @k X0 ;

j D1

D @s  D @2s X: If, as before, @j X0 D Ej form an orthonormal basis of Tx M , for a given x 2 M , then (6b.15)

ˆD

k X

h@j ; Ej i;

at x:

j D1

Now, given the compactly supported field .0; u/, tangent to Y and normal to M , let us suppose that, for each u; u .s/ D X.s; u/ is a constant-speed geodesic in Y , such that u0 .0/ D .0; u/. Thus D u00 .0/ is normal to Y , and, by the Weingarten formula for M  Rn , (6b.16)

1

 A Ej ; @j D rE j

6B. Second variation of area

171

at x, where r 1 is the connection on the normal bundle to M  Rn and A is as before the Weingarten map for M  Rn . Thus (6b.17)

ˆD

X hA Ej ; Ej i D Tr A D khH.x/; i; j

where k D dim M . If we suppose M is a minimal submanifold of Y , then H.x/ is normal to Y , so, for any compactly supported field , normal to M and tangent to Y , the computationss (6b.13) supplemented by (6b.14)–(6b.17) gives (6b.18)

A00 .0/ D

Z h

i kr 1 k2  kA k2  khH.x/; i dA.x/:

M

Recall that A is the Weingarten map of M  Rn . We prefer to use B , the Weingarten map of M  Y . It is readily verified that A D B 2 End Tx M

(6b.19)

if  2 Tx Y and  ? Tx M ; see Exercise 13 in  4 of Appendix C. Thus in (6b.18) we can simply replace kA k2 by kB k2 . Also recall that r 1 in (6b.18) is the connection on the normal bundle to M  Rn . We prefer to use the connection on the normal bundle to M  Y , which we denote by r # . To relate these two objects, we use the identities (6b.20)

ej  C II Y .Ej ; /; @j  D rj1   A Ej ; @j  D r ej  D rj#   B Ej ; r

e denotes the covariant derivative on Y , and II Y is the second fundamenwhere r tal form of Y  Rn . In view of (6b.19), we obtain rj1  D rj#  C II Y .Ej ; /;

(6b.21)

a sum of terms tangent to Y and normal to Y , respectively. Hence (6b.22)

kr 1 k2 D kr # k2 C

X

kII Y .Ej ; /k2 :

j

Thus we can rewrite (6b.18) as Z h i X 00 kr # k2  kB k2 C kII Y .Ej ; /k2  Tr A dA.x/: (6b.23) A .0/ D M

j

172 14. Nonlinear Elliptic Equations

We want to replace the last two terms in this integrand by a quantity defined intrinsically by Ms  Y , not by the way Y is imbedded in Rn . Now Tr A D P M hII .Ej ; Ej /; i, where II M is the second fundamental form of M  Rn . On the other hand, it is easily verified that

D u00 .0/ D II Y .; /:

(6b.24)

Thus the last two terms in the integrand sum to (6b.25)

‰D

Xh

i kII Y .Ej ; /k2  hII Y .; /; II M .Ej ; Ej /i :

j

We can replace II M .Ej ; Ej / by II Y .Ej ; Ej / here, since these two objects have the same component normal to Y . Then Gauss’ formula implies ‰D

(6b.26)

X

hRY .; Ej /; Ej i;

j

where RY is the Riemann curvature tensor of Y . We define R 2 End Nx M , where N.M / is the normal bundle of N  Y , by (6b.27)

hR./; i D

X hRY .; Ej /; Ej i; j

at x, where fEj g is an orthonormal basis of Tx M . It follows easily that this is independent of the choice of such an orthonormal basis. Our calculation of A00 .0/ becomes (6b.28)

A00 .0/ D

Z h

˝ ˛i kr # k2  kB k2 C R./;  dA.x/

M

when M is a minimal submanifold of Y , where r # is the connection on the normal bundle to M  Y , B is the Weingarten map for M  Y , and R is defined by (6b.27). If we define a second-order differential operator L0 and a zero-order   operator B on C01 M; N.M / by (6b.29)

L0  D .r # / r # ;

hB./; i D Tr.B  B /;

respectively, we can write this as (6b.30)

A00 .0/ D .L; /L2 .M / ;

L D L0   B./ C R./:

We emphasize that these formulas, and the ones below, for A00 .0/ are valid for immersed minimal submanifolds of Y as well as for imbedded submanifolds.

6B. Second variation of area

173

Suppose that M has codimension 1 in Y and that Y and M are orientable. Complete the basis fEj g of Tx M to an orthonormal basis fEj W 1  j  k C 1g of Tx Y . In this case, EkC1 .x/ and .x/ are parallel, so hRY .; EkC1 /; EkC1 i D 0: Thus (6b.27) becomes (6b.31)

R./ D RicY 

if dim Y D dim M C 1;

where RicY denotes the Ricci tensor of Y . In such a case, taking  D f EkC1 D f , where  is a unit normal field to M , tangent to Y , we obtain A00 .0/ D (6b.32)

Z h

i   krf k2  kB k2 C hRicY ; i jf j2 dA.x/

M

D .Lf; f /L2 .M / ; where (6b.33)

' D kB k2  hRicY ; i:

Lf D f C 'f;

We can express ' in a different form, noting that

(6b.34)

hRicY ; i D S Y 

k X

hRicY Ej ; Ej i;

j D1

where S Y is the scalar curvature of Y . From Gauss’ formula we readily obtain, for general M  Y of any codimension,

(6b.35)

hRicY Ej ; Ej i D hRY .Ej ; /; Ej i C hRicM Ej ; Ej i X ˝ ˛ kII.Ej ; E` /k2  k HY ; II.Ej ; Ej / ; C `

where II denotes the second fundamental form of M  Y . Summing over 1  j  k, when M has codimension 1 in Y , and  is a unit normal to M , we get (6b.36)

2hRicY ; i D S Y  S M  kB k2 C kHY k2 :

174 14. Nonlinear Elliptic Equations

If M is a minimal submanifold of Y of codimension 1, this implies that 1 1 M .S  S Y /  kB k2 2 2 1 M Y D .S  S / C Tr ƒ2 B : 2

'D (6b.37)

We also note that when dim M D 2 and dim Y D 3, then, for x 2 M , (6b.38)

Tr ƒ2 B .x/ D K M .x/  K Y .Tx M /;

where K M D .1=2/S M is the Gauss curvature of M and K Y .Tx M / is the sectional curvature of Y , along the plane Tx M . We consider another special case, where dim M D 1. We have hR./; i D jj2 K Y .…M  /, where K Y .…M  / is the sectional curvature of Y along the plane in Tx Y spanned by Tx M and . In this case, to say M is minimal is to say it is eT , where r e is the covariant derivative a geodesic; hence B D 0 and r #  D r on Y , and T is a unit tangent vector to M . Thus (6b.28) becomes the familiar formula for the second variation of arc length for a geodesic: (6b.39)

`00 .0/ D

Z h

i eT k2  jj2 K Y .…  / ds; kr



where we have used  instead of M to denote the curve, and also ` instead of A and ds instead of dA, to denote arc length. The operators L and L are second-order elliptic operators that are self-adjoint, with domain H 2 .M /, if M is compact and without boundary, and with domain H 2 .M / \ H01 .M /, if M is compact with boundary. In such cases, the spectra of these operators consist of eigenvalues j % C1. If M is not compact, but B and R are bounded, we can use the Friedrichs method to define self-adjoint extensions L and L, which might have continuous spectrum. We say a minimal submanifold M  Y is stable if A00 .0/  0 for all smooth, compactly supported variations , normal to M (and vanishing on @M ). Thus the condition that M be stable is that the spectrum of L (equivalently, of L, if codim M D 1) be contained in Œ0; 1/. In particular, if M is actually area minimizing with respect to small perturbations, leaving @M fixed (which we will just call “area minimizing”), then it must be stable, so (6b.40)

M area minimizing H) spec L  Œ0; 1/:

The second variational formulas above provide necessary conditions for a minimal immersed submanifold to be stable. For example, suppose M is a boundaryless, codimension-1 minimal submanifold of Y , and both are orientable. Then we can take f D 1 in (6b.32), to get

6B. Second variation of area

(6b.41)

175

Z   kB k2 C hRicY ; i dA  0: M stable H) M

If dim M D 2 and dim Y D 3, then, by (6b.37), we have Z   kB k2 C S Y  2K M dA  0: (6b.42) M stable H) M

case, if M has genus g, the Gauss–Bonnet theorem implies that RIn this K M dA D 4 .1  g/, so Z   kB k2 C S Y dA  8 .1  g/: (6b.43) M stable H) M

This implies some nonexistence results. Proposition 6b.1. Assume that Y is a compact, oriented Riemannian manifold and that Y and M have no boundary. If the Ricci tensor RicY is positive-definite, then Y cannot contain any compact, oriented, area-minimizing immersed hypersurface M . If RicY is positivesemidefinite, then any such M would have to be totally geodesic in Y . Now assume dim Y D 3. If Y has scalar curvature S Y > 0 everywhere, then Y cannot contain any compact, oriented, area-minimizing immersed surface M of genus g  1. More generally, if S Y  0 everywhere, and if M is a compact, oriented, immersed hypersurface of genus g  1, then for M to be area minimizing it is necessary that g D 1 and that M be totally geodesic in Y . R. Schoen and S.-T. Yau [SY] obtained topological consequences for a compact, oriented 3-manifold Y from this together with the following existence theorem. Suppose M is a compact, oriented surface of genus g  1, and suppose the fundamental group 1 .Y / contains a subgroup isomorphic to 1 .M /. Then, given any Riemannian metric on Y , there is a smooth immersion of M into Y which is area minimizing with respect to small perturbations, as shown in [SY]. It follows that if Y is a compact, oriented Riemannian 3-manifold, whose scalar curvature S Y is everywhere positive, then 1 .Y / cannot have a subgroup isomorphic to 1 .M /, for any compact Riemann surface M of genus g  1. We will not prove the result of [SY] on the existence of such minimal immersions. Instead, we demonstrate a topological result, due to Synge, of a similar flavor but simpler to prove. It makes use of the second variational formula (6b.39) for arc length. Proposition 6b.2. If Y is a compact, oriented Riemannian manifold of even dimension, with positive sectional curvature everywhere, then Y is simply connected.

176 14. Nonlinear Elliptic Equations

Proof. It is a simple consequence of Ascoli’s theorem that there is a lengthminimizing, closed geodesic in each homotopy class of maps from S 1 to Y . Thus, if 1 .Y / ¤ 0, there is a nontrivial stable geodesic,  . Pick p 2 ; p normal to  at p (i.e., p 2 Np . /), and parallel translate  about  , obtaining  p 2 Np . / after one circuit. This defines an orientation-preserving, orthogonal, linear transformation  W Np  ! Np  . If Y has dimension 2k, then Np  has dimension 2k  1, so  2 SO.2k  1/. It follows that  must have an eigenvector in Np  , with eigenvalue 1. Thus we get a nontrivial, smooth section  of N. / which is parallel over , so (6b.39) implies Z K Y .…  / ds  0:

(6b.44)

If K Y .…/ > 0 everywhere, this is impossible. One might compare these results with Proposition 4.7 of Chap. 10, which states that if Y is a compact Riemannian manifold and RicY > 0, then the first cohomology group H1 .Y / D 0.

7. The minimal surface equation We now study a nonlinear PDE for functions whose graphs are minimal surfaces. We begin with a formula for the mean curvature of a hypersurface M  RnC1 defined by u.x/ D c, where ru ¤ 0 on M . If N D ru=jruj, we have the formula (7.1)

hAN X; Y i D jruj1 .D 2 u/.X; Y /;

for X; Y 2 Tx M , as shown in (4.26) of Appendix C. To take the trace of the restriction of D 2 u to Tx M , we merely take Tr.D 2 u/  D 2 u.N; N /. Of course, Tr.D 2 u/ D u. Thus, for x 2 M , (7.2)

h i Tr AN .x/ D jru.x/j1 u  jruj2 D 2 u.ru; ru/ :

Suppose now that M is given by the equation xnC1 D f .x 0 /;

x 0 D .x1 ; : : : ; xn /:

Thus we take u.x/ D xnC1  f .x 0 /, with ru D .rf; 1/. We obtain for the mean curvature the formula (7.3)

nH.x/ D 

i 1 h 2 2 hrf i f  D f .rf; rf / D M.f /; hrf i3

7. The minimal surface equation

177

where hrf i2 D 1 C jrf .x 0 /j2 . Written out more fully, the quantity in brackets above is (7.4)

X @2 f @f @f   f /: 1 C jrf j2 f  D M.f @xi @xj @xi @xj i;j

Thus the equation stating that a hypersurface xnC1 D f .x 0 / be a minimal submanifold of RnC1 is f / D 0: M.f

(7.5)

In case n D 2, we have the minimal surface equation, which can also be written as       (7.6) 1 C j@2 f j2 @21 f  2 @1 f  @2 f @1 @2 f C 1 C j@1 f j2 @22 f D 0: It can be verified that this PDE also holds for a minimal surface in Rn described by x 00 D f .x 0 /, where x 00 D .x3 ; : : : ; xn /, if (7.6) is regarded as a system of k equations in k unknowns, k D n  2, and .@1 f  @2 f / is the dot product of f /. Rk -valued functions. We continue to denote the left side of (7.6) by M.f Proposition 6.12 can be translated immediately into the following existence theorem for the minimal surface equation: Proposition 7.1. Let O be a bounded, convex domain in R2 with smooth boundary. Let g 2 C 1 .@O; Rk / be given. Then there is a solution u 2 C 1 .O; Rk / \ C.O; Rk /

(7.7) to the boundary problem

f M.u/ D 0;

(7.8)

ˇ uˇ@O D g:

When k D 1, we also have uniqueness, as a consequence of the following: Proposition 7.2. Let O be any bounded domain in Rn . Let uj 2 C 1 .O/ \ C.O/ be real-valued solutions to f j / D 0; M.u

(7.9)

uj D gj on @O;

for j D 1; 2. Then (7.10)

g1  g2 on @O H) u1  u2 on O:

Proof. We prove this by deriving a linear PDE for the difference v D u2  u1 and applying the maximum principle. In general, Z (7.11)

ˆ.u2 /  ˆ.u1 / D Lv;

1

LD 0

  Dˆ u2 C .1  /u1 d :

178 14. Nonlinear Elliptic Equations

Suppose ˆ is a second-order differential operator: ˆ.u/ D F .u; @u; @2 u/;

(7.12)

F D F .u; p; /:

Then, as in (3.4), (7.13)

Dˆ.u/ D F .u; @u; @2 u/ @2 v C Fp .u; @u; @2 u/ @v C Fu .u; @u; @2 u/v:

f When ˆ.u/ D M.u/ is given by (7.4), Fu .u; ; / D 0, and we have (7.14)

f D M.u/v D A.u/v C B.u/v;

where (7.15)

X @u @u @2 v   A.u/v D 1 C jruj2 v  @xi @xj @xi @xj i;j

is strongly elliptic, and B.u/ is a first-order differential operator. Consequently, we have (7.16)

f 2 /  M.u f 1 / D Av C Bv; M.u

 R1  where A D 0 A u2 C .1  /u2 d  is strongly elliptic of order 2 at each point of O, and B is a first-order differential operator, which annihilates constants. If (7.9) holds, then Av C Bv D 0. Now (7.10) follows from the maximum principle, Proposition 2.1 of Chap. 5. We have as of yet no estimates on jruj .x/j as x ! @O, so A, which is elliptic in O, could conceivably degenerate at @O. To achieve a situation where the results of Chap. 5,  2, apply, we could note that the hypotheses of Proposition 7.2 imply that, for any " > 0; u1  u2 C " on a neighborhood of @O. Alternatively, one can check that the proof of Proposition 2.1 in Chap. 5 works even if the elliptic operator is allowed to degenerate at the boundary. Either way, the maximum principle then applies to yield (7.10). While Proposition 7.2 is a sort of result that holds for a large class of secondorder, scalar, elliptic PDE, the next result is much more special and has interesting consequences. It implies that the size of a solution to the minimal surface equation (7.8) can sometimes be controlled by the behavior of g on part of the boundary. Proposition 7.3. Let O  R2 be a domain contained in the annulus f r1 < jxj < r2 , and let u 2 C 2 .O/ \ C.O/ solve M.u/ D 0. Set (7.17)

G.xI r/ D r cosh1



 jxj ; for jxj > r; r

G.xI r/  0:

7. The minimal surface equation

179

If (7.18)

u.x/  G.xI r1 / C M

on fx 2 @O W jxj > r1 g;

for some M 2 R, then (7.19)

u.x/  G.xI r1 / C M

on O:

Here, z D G.xI r1 / defines the lower half of a catenoid, over fx 2 R2 W jxj  r1 g. This function solves the minimal surface equation on jxj > r1 and vanishes on jxj D r1 . Proof. Given s 2 .r1 ; r2 /, let (7.20)

ˇ ˇ ".s/ D max ˇG.xI r1 /  G.xI s/ˇ: sjxjr2

The hypothesis (7.18) implies that (7.21)

u.x/  G.xI s/ C M C ".s/

on fx 2 @O W jxj  sg. We claim that (7.21) holds for x in (7.22)

O.s/ D O \ fx W s < jxj < r2 g:

Once this is established, (7.19) follows by taking s & r1 . To prove this, it suffices by Proposition 7.2 to show that (7.21) holds on @O.s/. Since it holds on @O, it remains to show that (7.21) holds for x in (7.23)

C.s/ D O \ fx W jxj D sg;

illustrated by a broken arc in Fig. 7.1. If not, then u.x/  G.xI s/ would have a maximum M1 > M C ".s/ at some point p 2 C.s/. By Proposition 7.1, we have u.x/  G.xI s/  M1 on O.s/. However, ru.x/ is bounded on a neighborhood of p, while (7.24)

@ G.xI s/ D 1 @r

on jxj D s:

This implies that u.x/  G.xI s/ > M1 , for all points in O.s/ sufficiently near p. This contradiction shows that (7.21) must hold on C.s/, and the proposition is proved. One implication is that if O  R2 is as illustrated in Fig. 7.1, it is not possible to solve the boundary problem (7.8) with g prescribed arbitrarily on all of @O. A more precise statement about domains O  R2 for which (7.8) is always solvable is the following:

180 14. Nonlinear Elliptic Equations

F IGURE 7.1 Nonconvex Region O

F IGURE 7.2 Another Nonconvex Region O

Proposition 7.4. Let O  R2 be a bounded, connected domain with smooth boundary. Then (7.8) has a solution for all g 2 C 1 .@O/ if and only if O is convex. Proof. The positive result is given in Proposition 7.1. Now, if O is not convex, let p 2 @O be a point where O is concave, as illustrated in Fig. 7.2. Pick a disk D whose boundary C is tangent to @O at p and such that, near p; C intersects the e D O n D, complement Oc only at p. Then apply Proposition 7.3 to the domain O taking the origin to be the center of D and r1 to be the radius of D. We deduce f that if u solves M.u/ D 0 on O, then (7.25)

u.x/  M C G.xI r1 / on @O n D H) u.p/  M;

which certainly restricts the class of functions g for which (7.8) can be solved.

7. The minimal surface equation

181

Note that the function v.x/ D G.xI r/ defined by (7.17) also provides an example of a solution to the minimal surface equation (7.8) on an annular region O D fx 2 R2 W r < jxj < sg; with smooth (in fact, locally constant) boundary values v D 0 on jxj D r;

v D r cosh1

s on jxj D s; r

which is not a smooth function, or even a Lipschitz function, on O. This is another phenomenon that is different when O is convex. We will establish the following: Proposition 7.5. If O  R2 is a bounded region with smooth boundary which is strictly convex (i.e., @O has positive curvature), and g 2 C 1 .@O/ is real-valued, then the solution to (7.8) is Lipschitz at each point x0 2 @O.   Proof. Given x0 2 @O, we have z0 D x0 ; g.x0 / 2   R3 , where  is the boundary of the minimal surface M which is the graph of z D u.x/. The strict convexity hypothesis on O implies that there are two planes …j in R3 through z0 , such that …1 lies below  and …2 above , and …j are given by z D ˛j  .xx0 /Cg.x0 / D wjx0 .x/; ˛j D ˛j .x0 / 2 R3 . There is an estimate of the form (7.26)

j˛j .x0 /j  K.x0 /kg ı x0 kC 2 ;

where x0 is the radial projection (from the center of O) of @O onto a circle C.x0 / containing O and tangent to @O at x0 , and K.x0 / depends on the curvature of C.x0 /. Now Proposition 7.2 applies to give (7.27)

w1x0 .x/  u.x/  w2x0 .x/;

x 2 O;

since linear functions solve the minimal surface equation. This establishes the Lipschitz continuity, with the quantitative estimate (7.28)

ju.x0 /  u.x/j  Ajx  x0 j;

x0 2 @O; x 2 O;

where (7.29)

A D sup j˛1 .x0 /j C j˛2 .x0 /j: x0 2@O

This result points toward an estimate on jru.x/j; x 2 O, for a solution to (7.8). We begin the line of reasoning that leads to such an estimate, a line that

182 14. Nonlinear Elliptic Equations

applies to other situations. First, let’s rederive the minimal surface equation, as the stationary condition for Z (7.30)

I.u/ D

  F ru.x/ dx;

O

where (7.31)

1=2  ; F .p/ D 1 C jpj2

so (7.30) gives the area of the graph of z D u.x/. The method used in Chapter 2,  1, yields the PDE (7.32)

X

Aij .ru/ @i @j u D 0;

where (7.33)

Aij .p/ D

@2 F : @pi @pj

Compare this with (1.68) and (1.36) of Chap. 2. When F .p/ is given by (7.31), we have   (7.34) Aij .p/ D hpi3 ıij hpi2  pi pj ; so in this case (7.32) is equal to M.u/, defined by (7.3). Now, when u is a sufficiently smooth solution to (7.32), we can apply @` D @=@x` to this equation and obtain the PDE X (7.35) @i Aij .ru/ @j w` D 0; for w` D @` u, not for all PDE of the form (7.32), but whenever Aij .p/ is symmetric in .i; j / and satisfies (7.36)

@Ai m @Aij D ; @pm @pj

which happens when Aij .p/ has the form (7.33). If (7.35) satisfies the ellipticity condition X   (7.37) Aij ru.x/ i j  C.x/jj2 ; C.x/ > 0; for x 2 O, then we can apply the maximum principle, to obtain the following:

7. The minimal surface equation

183

Proposition 7.6. Assume u 2 C 1 .O/ is real-valued and satisfies the PDE (7.32), with coefficients given by (7.33). If the ellipticity condition (7.37) holds, then @` u.x/ assumes its maximum and minimum values on @O; hence (7.38)

sup jru.x/j D sup jru.x/j: x2@O

x2O

Combining this result with Proposition 7.5, we have the following: Proposition 7.7. Let O  R2 be a bounded region with smooth boundary which is strictly convex, g 2 C 1 .@/ real-valued. If u 2 C 2 .O/ \ C 1 .O/ is a solution to (7.8), then there is an estimate (7.39)

kukC 1 .O/  C.O/ kgkC 2 .@O/ :

Note that the existence result of Proposition 7.1 does not provide us with the knowledge that u belongs to C 1 .O/, and thus it will take further work to demonstrate that the estimate (7.39) actually holds for an arbitrary real-valued solution to (7.8) when O  R2 is strictly convex and g is smooth. We will be in a position to establish this result, and further regularity, after sufficient theory is developed in the next two sections. See in particular Theorem 10.4. For now, we can regard this as motivation to develop the tools in the following sections, on the regularity of solutions to elliptic boundary problems. We next look at the Gauss curvature of a minimal surface M , given by z D u.x/; x 2 O  R2 . For a general u, the curvature is given by (7.40)

 2 K D 1 C jruj2 det



@2 u @xj @xk

 :

See (4.29) in Appendix C. When u satisfies the minimal surface equation, there are some other formulas for K, in terms of operations on (7.41)

1=2  ˆ.x/ D F .ru/1 D 1 C jruj2 ;

which we will list, leaving their verification as an exercise: (7.42) (7.43) (7.44)

jrˆj2 ; 1  ˆ2 1 ˆ; KD 2ˆ K D  log.1 C ˆ/: K D

Now if we alter the metric g induced on M via its imbedding in R3 by a conformal factor: (7.45)

g0 D .1 C ˆ/2 g D e 2v g;

v D log.1 C ˆ/;

184 14. Nonlinear Elliptic Equations

then, as in formula (1.30), we see that the Gauss curvature k of M in the new metric is (7.46)

k D .v C K/e 2v D 0I

in other words, the metric g0 D .1 C ˆ/2 g is flat! Using this observation, we can establish the following remarkable theorem of S. Bernstein: Theorem 7.8. If u W R2 ! R is an everywhere-defined C 2 -solution to the minimal surface equation, then u is a linear function. Proof. Consider the minimal surface M given by z D u.x/; x 2 R2 , in the metric g0 D .1 C ˆ/2 g, which, as we have seen, is flat. Now g0  g, so this is a complete metric on M . Thus .M; g 0 / is isometrically equivalent to R2 . Hence .M; g/ is conformally equivalent to C. On the other hand, the antipodal Gauss map (7.47)

e W M ! S 2 ; N

e D hrui1 .ru; 1/; N

e is contained in the lower is holomorphic; see Exercise 1 of  6. But the range of N 2 2 hemisphere of S , so if we take S D C [ f1g with the point at infinity identie yields a bounded holomorphic fied with the “north pole” .0; 0; 1/, we see that N e function on M C. By Liouville’s theorem, N must be constant. Thus M is a flat plane in R3 . It turns out that Bernstein’s theorem extends to u W Rn ! R, for n  7, by work of E. DeGiorgi, F. Almgren, and J. Simons, but not to n  8.

Exercises f.u/ is the differential operator given by (7.14)–(7.15), show that its principal 1. If D M symbol satisfies  2 2 2 2 (7.48)  D M e .u/ .x; / D 1 C jpj jj  .p  /  jj ; where p D ru.x/. 2. Show that the formula (7.3) for M.f / is equivalent to X     @j hrf i1 @j f D div hrf i1 rf : (7.49) M.f / D j

3. Give a detailed demonstration of the estimate (7.26) on the slope of planes that can lie above and below the graph of g over @O (assumed to have positive curvature), needed for the proof of Proposition 7.5. (Hint: In case @O is the unit circle S 1 , consider the cases g./ D cosk :) 4. Establish the formulas (7.42)–(7.44) for the Gauss curvature of a minimal surface.

8. Elliptic regularity II (boundary estimates)

185

8. Elliptic regularity II (boundary estimates) We establish estimates and regularity for solutions to nonlinear elliptic boundary problems. We treat completely nonlinear, second-order equations, obtaining L2 -Sobolev estimates for solutions assumed a priori to belong to C 2Cr .M /; r > 0. We make note of improved estimates for solutions to quasi-linear, second-order equations. In  10 we will show how such results, when supplemented by the DeGiorgi–Nash–Moser theory, apply to the solvability of the Dirichlet problem for certain quasi-linear elliptic PDE. Though we restrict attention to second-order equations, the analysis in this section extends readily to higher-order elliptic systems, such as we treated in  11 of Chap. 5. The exposition here is taken from [T]. Having looked at interior regularity in  4, we restrict attention to a collar neighborhood of the boundary @M D X , so we look at a PDE of the form (8.1)

@2y u D F .y; x; Dx2 u; Dx1 @y u/;

with y 2 Œ0; 1; x 2 X . We set (8.2)

v1 D ƒu;

v2 D @y u;

and produce a first-order system for v D .v1 ; v2 /,

(8.3)

@v1 D ƒv2 ; @y @v2 D F .y; x; Dx2 ƒ1 v1 ; Dx1 v2 /: @y

An operator like T D ƒ or T D Dx2 ƒ1 does not map C kC1Cr .I  X / to C .I  X /, but if we set [ C kCrC" .I  X /; (8.4) C kCrC .I  X / D kCr

">0

then (8.5)

T W C kC1CrC .I  X / ! C kCrC .I  X /:

Thus we will assume u 2 C 2CrC . This implies v 2 C 1CrC , and the arguments Dx2 ƒ1 v1 and Dx1 v2 appearing in (8.3) belong to C rC . We will be able to drop the “C” in the statement of the main result. Now if we treat y as a parameter and apply the paradifferential operator construction developed in  10 of Chap. 13 to the family of operators on functions of x, we obtain (8.6)

F .y; x; Dx2 ƒ1 v1 ; Dx1 v2 / D A1 .vI y; x; Dx /v1 C A2 .vI y; x; Dx /v2 C R.v/;

186 14. Nonlinear Elliptic Equations

with (for fixed y) R.v/ 2 C 1 .X /, (8.7)

1 1 1  C r S1;0 \ S1;1 Aj .vI y; x; / 2 Ar0 S1;1

and (8.8)

1 ; for jˇj  r; Dxˇ Aj 2 S1;1

1C.jˇ jr/ S1;1 ; for jˇj > r;

provided u 2 C 2CrC . Note that if we write F D F .y; x; ; /; ˛ D Dx˛ u .j˛j  2/; ˛ D ˛ Dx @y u .j˛j  1/, then we can set (8.9)

B1 .vI y; x; / D

X @F .D 2 ƒ1 v1 ; Dx1 v2 / ˛ hi1 @˛ x

j˛j2

(suppressing the y- and x-arguments of F ) and (8.10)

B2 .vI y; x; / D

X @F .D 2 ƒ1 v1 ; Dx1 v2 / ˛ : @˛ x

j˛j1

Thus 1r v 2 C 1CrC H) Aj  Bj 2 C r S1;1 :

(8.11)

Using (8.4), we can rewrite the system (8.3) as

(8.12)

@v1 D ƒv2 ; @y @v2 D A1 .x; D/v1 C A2 .x; D/v2 C R.v/: @y

We also write this as (8.13)

@v D K.vI y; x; Dx /v C R @y

.R 2 C 1 /;

where K.vI y; x; Dx / is a 2  2 matrix of first-order pseudodifferential operators. Q so Let us denote the symbol obtained by replacing Aj by Bj as K, (8.14)

1r K  KQ 2 C r S1;1 :

The ellipticity condition can be expressed as (8.15)

Q y; x; /  fz 2 C W jRe zj  C jjg; spec K.vI

8. Elliptic regularity II (boundary estimates)

187

for jj large. Hence we can make the same statement about the spectrum of the symbol K, for jj large, provided v 2 C 1CrC with r > 0. In order to derive L2 -Sobolev estimates, we will construct a symmetrizer, in a fashion similar to  11 in Chap. 5. In particular, we will make use of Lemma Q y; x; / denote the projection onto the fRe z > 0g 11.4 of Chap. 5. Let EQ D E.vI Q spectral space of K, defined by (8.16)

1 Q E.y; x; / D 2 i

Z

 1 Q d z; z  K.y; x; /



Q where  is a curve enclosing that part of the spectrum of K.y; x; / contained in fRe z > 0g. Then the symbol 1 AQ D .2EQ  1/KQ 2 C r Scl

(8.17)

m has spectrum in fRe z > 0g. (The symbol class C r Scl is defined as in (9.46) of r 0 Q Q constructed via Chap. 13.) Let P 2 C Scl be a symmetrizer for the symbol A, Lemma 11.4 of Chap. 5, namely,

  Q x; / ; PQ .y; x; / D ˆ A.y; where ˆ is as in (11.54)–(11.55) in Chap. 5. Thus PQ and .PQ AQ C AQ PQ / are positive-definite symbols, for jj  1. Q and E. Q It will be convenient We now want to apply symbol smoothing to PQ ; A, to modify the construction slightly, and smooth in both x and y. Thus we obtain m various symbols in S1;ı , with the understanding that the symbol classes reflect estimates on Dy;x -derivatives. For example, we obtain (with 0 < ı < 1) (8.18)

0 I P .y; x; / 2 S1;ı

rı P  PQ 2 C r S1;ı

by smoothing PQ , in .y; x/. We set (8.19)

QD

 1 P .y; x; Dx / C P .y; x; Dx / C Kƒ1 ; 2

with K > 0 picked to make the operator Q positive-definite on L2 .X /. Similarly, define A and E by smoothing AQ and EQ in .y; x/, so (8.20)

1 ; A.y; x; / 2 S1;ı

1rı A  AQ 2 C r S1;ı ;

0 ; E.y; x; / 2 S1;ı

rı E  EQ 2 C r S1;ı ;

and we smooth K, writing (8.21)

K D K0 C K b I

1 1rı 1rı K0 2 S1;ı ; K b 2 C r S1;ı \ S1;1 :

188 14. Nonlinear Elliptic Equations

Consequently, on the symbol level, (8.22)

A D .2E  1/K0 C Ab ;

1rı Ab 2 S1;ı ;

PA C A P  C jj; for jj large.

Q E, Q and AQ commute, for each Let us note that the homogeneous symbols K; .y; x; /; hence the commutators of the various symbols K; E; A have order  rı units less than the sum of the orders of these symbols; for example, (8.23)

1rı ŒE.y; x; /; K0 .y; x; / 2 S1;ı :

Using this symmetrizer construction, we will look for estimates for solutions to a system of the form (8.3) in the spaces Hk;s .M / D Hk;s .I  X /, with norms (8.24)

kvk2k;s D

k X j D0

k@jy ƒkj Cs v.y/k2L2 .I X/ :

We shall differentiate .Qƒs Ev; ƒs Ev/ and .Qƒs .1  E/v; ƒs .1  E/v/ with respect to y (these expressions being L2 .X /-inner products) and sum the two resulting expressions, to obtain the desired a priori estimates, parallel to the treatment in  11 of Chap. 5. Using (8.13), we have

(8.25)

d .Qƒs Ev; ƒs Ev/ D 2 Re.Qƒs E.Kv C R/; ƒs Ev/ dy C .Q0 ƒs Ev; ƒs Ev/ C 2 Re.Qƒs E 0 v; ƒs Ev/:

ı . Hence, for Note that given v 2 C 1CrC ; r > 0; Q0 and E 0 belong to OPS1;ı fixed y, each of the last two terms is bounded by

(8.26)

C kv.y/k2H sCı=2 :

Here and below, we will adopt the convention that C D C.kvkC 1CrC /, with a slight abuse of notation. Namely, v 2 C 1CrC belongs to C 1CrC" for some " > 0, and we loosely use kvkC 1CrC instead of kvkC 1CrC" . To analyze the first term on the right side of (8.25), we write .Qƒs E.Kv C R/; ƒs Ev/ D .Qƒs EK0 v; ƒs Ev/ (8.27)

C .Qƒs K b v; ƒs Ev/ C .Qƒs ER; ƒs Ev/;

8. Elliptic regularity II (boundary estimates)

189

where the last term is harmless and, for fixed y, (8.28)

j.Qƒs EK b v; ƒs Ev/j  C kv.y/k2H sC.1rı/=2 ;

provided s C .1  rı/=2  .1  rı/ > .1  ı/r, that is, (8.29)

s>

1 1  r C rı; 2 2

in view of (8.21). rı Q Since E.y; x; / is a projection, we have E.y; x; /2  E.y; x; / 2 S1;ı and (8.30)

 ; E.y; x; D/  E.y; x; D/2 D F .y; x; D/ 2 OPS1;ı

D min .rı; 1  ı/:

Thus (8.31)

QEK0 D QAE C GI

1 G.y/ 2 OPS1;ı :

Consequently, we can write the first term on the right side of (8.27) as (8.32)

.QAEƒs v; ƒs Ev/  .Gƒs v; ƒs Ev/ C .QŒƒs ; EK0 v; ƒs Ev/:

The last two terms in (8.32) are bounded (for each y) by (8.33)

C kv.y/k2H sC.1 /=2 :

As for the contribution of the first term in (8.32) to the estimation of (8.25), we have, for each y, (8.34)

.QAEƒs v; ƒs Ev/ D .QAƒs Ev; ƒs Ev/ C .QAŒE; ƒs v; ƒs v/;

the last term estimable by (8.33), and (8.35)

2 Re.QAƒs Ev; ƒs Ev/  C1 kEv.y/k2H sC1=2  C2 kEv.y/k2H s ;

by (8.22) and G˚arding’s inequality. Keeping track of the various ingredients in the analysis of (8.25), we see that

(8.36)

d .Qƒs Ev; ƒs Ev/  C1 kEv.y/k2H sC1=2 dy  C2 kv.y/k2H sC.1 /=2  C3 kR.y/k2H s ;

where Cj D Cj .kvkC 1CrC / > 0.

190 14. Nonlinear Elliptic Equations

A similar analysis gives d .Qƒs .1  E/v; ƒs .1  E/v/ (8.37) dy  C1 k.1  E/v.y/k2H sC1=2 C C2 kv.y/k2H sC.1=2/ C C3 kR.y/k2H s : Putting together these two estimates yields

(8.38)

1 C1 kv.y/k2H sC1=2  C1 kEv.y/k2H sC1=2 C C1 k.1  E/v.y/k2H sC1=2 2 d d .Qƒs Ev; ƒs Ev/  .Qƒs .1  E/v; ƒs .1  E/v/  dy dy C C2 kv.y/k2H sC.1 /=2 C C3 kR.y/k2H s :

Now standard arguments allow us to replace H sC.1/=2 by H t , with t << s. Then integration over y 2 Œ0; 1 gives (8.39)

C1 kvk20;sC1=2  kƒs Ev.1/k2L2 C kƒs .1  E/v.0/k2L2 C C2 kvk20;t C C3 kRk20;s :

Recalling that (8.40)

kvk21;s D kƒ1Cs vk2L2 .M / C kƒs @y vk2L2 .M /

and using (8.13) to estimate @y v, we have i h (8.41) kvk21;s1=2  C kEv.1/k2H s C k.1  E/v.0/k2H s C kvk20;t C kRk20;s ; with C D C.kvkC 1CrC /, provided that v 2 C 1CrC with r > 0 and that s satisfies the lower bound (8.29). Let us note that h i C1 kƒs .1  E/v.1/k2L2 C kƒs Ev.0/k2L2 could have been included on the left side of (8.39), so we also have the estimate (8.42)

k.1  E/v.1/k2H s C kEv.0/k2H s  right side of (8.41).

Having completed a first round of a priori estimates, we bring in a consideration of boundary conditions that might be imposed. Of course, the boundary conditions Ev.1/ D f1 ; .1  E/v.0/ D f0 are a possibility, but these are really a tool with which to analyze other, more naturally occurring boundary conditions. The “real” boundary conditions of interest include the Dirichlet condition on (8.1): (8.43)

u.0/ D f0 ;

u.1/ D f1 ;

8. Elliptic regularity II (boundary estimates)

191

various sorts of (possibly nonlinear) conditions involving first-order derivatives: Gj .x; D 1 u/ D fj ; at y D j .j D 0; 1/;

(8.44)

and when (8.1) is itself a K  K system, other possibilities, which can be analyzed in the same spirit. Now if we write D 1 u D .u; @x u; @y u/ D .ƒ1 v1 ; @x ƒ1 v1 ; v2 /, and use the paradifferential operator construction of Chap. 13,  10, we can write (8.44) as Hj .vI x; D/v D gj ; at y D j;

(8.45)

where, given v 2 C 1CrC , 0 0 0 S1;1  C 1Cr S1;0 \ S1;1 : Hj .vI x; / 2 A1Cr 0

(8.46)

Of course, (8.43) can be written in the same form, with Hj v D v1 . Now the following is the natural regularity hypothesis to make on (8.45); namely, that we have an estimate of the form X (8.47)

i h kv.j /k2H s  C kEv.0/k2H s C k.1  E/v.1/k2H s

j

CC

i Xh kHj .vI x; D/v.j /k2H s C kv.j /k2H s1 : j

We then say the boundary condition is regular. If we combine this with (8.41) and (8.42), we obtain the following fundamental estimate: Proposition 8.1. If v satisfies the elliptic system (8.3), together with the boundary condition (8.45), assumed to be regular, then (8.48)

kvk21;s1=2  C

hX

i kgj k2H s C kvk20;t C kRk20;s ;

j

provided v 2 H1;s1=2 \ C 1Cr ; r > 0, and s satisfies (8.29). We can take t << s. In case (8.44) holds, we can replace kgj kH s by kfj kH s , and in case the Dirichlet condition (8.43) holds and is regular, we can replace kgj kH s by kfj kH sC1 in (8.48). Here, we have taken the opportunity to drop the “C” from C 1CrC ; to justify this, we need only shift r slightly. For the same reason, we can assume that, in (8.1), u 2 C 2Cr , for some r > 0. In the rest of this section, we assume for simplicity that s  1=2 2 ZC [ f0g. We can now easily obtain higher-order estimates, of the form (8.49)

kvk2k;s1=2  C

hX j

i kgj k2H sCk1 C kvk20;t C kRk2k1;s ;

192 14. Nonlinear Elliptic Equations

for t << s  1=2, by induction from kvk2k;s1=2 D kvk2k1;sC1=2 C k@y vk2k1;s1=2 ; plus substituting the right side of (8.3) for @y v. This follows from the existence of Moser-type estimates: (8.50)

kF .; ; w1 ; w2 /kk;s1=2     C kw1 kL1 ; kw2 kL1 kw1 kk;s1=2 C kw2 kk;s1=2 ;

for k; k C s  1=2 > 0. If s  1=2 2 ZC [ f0g, such an estimate can be established by methods used in  3 of Chap. 13. We also obtain a corresponding regularity theorem, via inclusion of Friedrich mollifiers in the standard fashion. Thus replace ƒs by ƒs" D ƒs J" in (8.25) and repeat the analysis. One must keep in mind that K b must be applicable to v.y/ for the analogue of (8.28) to work. Given (8.21), we need v.y/ 2 H  with > 1  r. However, v 2 C 1Cr already implies this. We thus have the following result. Theorem 8.2. Let v be a solution to the elliptic system (8.3), satisfying the boundary conditions (8.45), assumed to be regular. Assume (8.51)

v 2 C 1Cr ;

r > 0;

and (8.52)

gj 2 H sCk1 .X /;

with s  1=2 2 ZC [ f0g. Then (8.53)

v 2 Hk;s1=2 .I  X /:

In particular, taking s D 1=2, and noting that (8.54)

Hk;0 .M / D H k .M /;

we can specialize this implication to (8.55)

gj 2 H k1=2 .X / H) v 2 H k .I  X /;

for k D 1; 2; 3; : : : , granted (8.51) (which makes the k D 1 case trivial). Note that, in (8.36)–(8.38), one could replace the term kR.y/k2H s by the product kR.y/kH s1=2  kv.y/kH sC1=2 ; then an absorption can be performed in (8.38), and hence in (8.39)–(8.41) we can substitute kRk20;s1=2 , and use kRk2k1;s1=2 in (8.49). We note that Theorem 8.2 is also valid for solutions to a nonhomogeneous elliptic system, where R in (8.13) can contain an extra term, belonging to

8. Elliptic regularity II (boundary estimates)

193

Hk1;s1=2 , and then the estimate (8.49), strengthened as indicated above, and consequent regularity theorem are still valid. If (8.1) is generalized to (8.56)

@2y u D F .Dx2 u; Dx1 @y u/ C f;

then a term of the form .0; f /t is added to (8.13). In view of the estimate (8.11) comparing the symbol of K with that obtained from the linearization of the original PDE (8.1), and the analogous result that holds for Hj , derived from Gj , we deduce the following: Proposition 8.3. Suppose that, at each point on @M , the linearization of the boundary condition of (8.44) is regular for the linearization of the PDE (8.1). Assume u 2 C 2Cr ; r > 0. Then the regularity estimate (8.49) holds. In particular, this holds for the Dirichlet problem, for any scalar (real) elliptic PDE of the form (8.1). We next establish a strengthened version of Theorem 8.2 when u solves a quasilinear, second-order elliptic PDE, with a regular boundary condition. Thus we are looking at the special case of (8.1) in which F .y; x; Dx2 u; Dx1 @y u/ D 

X

B j .x; y; D 1 u/ @j @y u

j

(8.57)



X

Ajk .x; y; D 1 u/ @j @k u

j;k

C F1 .x; y; D 1 u/: All the calculations done above apply, but some of the estimates are better. This is because when we derive the equation (8.13), namely, (8.58)

@v D K.vI y; x; Dx /v C R @y

.R 2 C 1 /

for v D .v1 ; v2 / D .ƒu; @y u/, (8.7) is improved to (8.59)

1 1r C S1;1 u 2 C 1CrC H) K 2 Ar0 S1;1

.r > 0/:

Compare with (4.62). Under the hypothesis u 2 C 1CrC , one has the result (8.17), 1 , which before required u 2 C 2CrC . Also (8.20)–(8.22) now hold AQ 2 C r Scl 1CrC for u 2 C . Thus all the a priori estimates, down through (8.49), hold, with C D C.kukC 1CrC /. As before, we can delete the “C.” One point that must be taken into consideration is that, for the estimates to work, one needs v.y/ 2 H  with > 1  r, and now this does not necessarily follow from the hypothesis u 2 C 1Cr . Hence we have the following regularity result. Compare the interior regularity established in Theorem 4.5.

194 14. Nonlinear Elliptic Equations

Theorem 8.4. Let u satisfy a second-order, quasi-linear elliptic PDE with a regular boundary condition, of the form (8.45), for v D .ƒu; @y u/. Assume that (8.60)

u 2 C 1Cr \ H1; ;

r > 0;

r C > 1:

Then, for k D 0; 1; 2; : : : , (8.61)

gj 2 H k1=2 .X / H) v 2 H k .I  X /:

The Dirichlet boundary condition is regular (if the PDE is real and scalar), and (8.62)

u.j / D fj 2 H kCs .X / H) v 2 Hk;s 1 .I  X / 2

if s > .1  r/=2. In particular, (8.63)

u.j / D fj 2 H kC1=2 .X / H) v 2 H k .I  X / H) u 2 H kC1 .I  X /:

We consider now the further special case F .y; x; Dx2 u; Dx1 @y u/ D  (8.64)

X

B j .x; y; u/ @j @y u

j



X

Ajk .x; y; u/ @j @k u C F1 .x; y; D 1 u/:

j;k

In this case, when we derive the system (8.58), we have the implication (8.65)

1 1r C S1;1 u 2 C rC .M / H) K 2 Ar0 S1;1

.r > 0/:

1 , and so forth. Therefore we Similarly, under this hypothesis, we have AQ 2 C r Scl have the following:

Proposition 8.5. If u satisfies the PDE (8.1) with F given by (8.64), then the conclusions of Theorem 8.4 hold when the hypothesis (8.60) is weakened to (8.66)

u 2 C r \ H1; ;

r C > 1:

Note that associated to this regularity is an estimate. For example, if u satisfies the Dirichlet boundary condition, we have, for k  2, (8.67)

  kukH k .M /  Ck .kukC r .M / / kuj@M kH k1=2 .@M / C kukL2 .M / ;

where we have used Poincar´e’s inequality to replace the H1; -norm of u by the L2 -norm on the right.

Exercises

195

Let us see to what extent the results obtained here apply to solutions to the minimal surface equation produced in  7. Recall the boundary problem (7.8): (8.68)

hrui2u 

X @u @u @2 u D 0; @xi @xj @xi @xj

u D g on @O;

i;j

where O is a strictly convex region in R2 , with smooth boundary. For this boundary problem, Theorem 8.4 applies, to yield the implication (8.69)

g 2 H kC1=2 .@O/ H) u 2 H kC1 .O/;

k D 0; 1; 2; : : : ;

provided we know that (8.70)

u 2 C 1Cr .O/ \ H1; .A/;

r > 0; r C > 1;

where A is a collar neighborhood of @O in O. Now, while we know that solutions to the minimal surface equation are smooth inside O (having proved that minimal surfaces are real analytic), we ˇ so far have only continuity of a solution u on O, plus a Lipschitz bound on uˇ@O and a hope of obtaining a bound in C 1 .O/. We therefore have a gap to close to be able to apply the results of this section to solutions of (8.68). The material of the next two sections will close this gap. As we’ll see, we will be able to treat (8.68), not only for dim O D 2, but also for dim O D n > 2. Also, the gap will be closed on a number of other quasi-linear elliptic PDE.

Exercises 1. Suppose u is a solution to a quasi-linear elliptic PDE of the form X

ajk .x; u/@j @k u C b.x; u; ru/ D 0 on M ;

satisfying boundary conditions B0 .x; u/u D g0 ;

B1 .x; u; D/u D g1 ;

on @M;

assumed to be regular. The operators Bj have order j . Generalizing (8.67), show that, for any r > 0; k  2, there is an estimate (8.71)    kukH k .M /  Ck kukC r .M / kg0 kH k1=2 .@M / C kg1 kH k3=2 .@M / C kukL2 .M / : 2. Extend Theorem 8.4 to nonhomogeneous, quasi-linear equations, X (8.72) ajk .x; D 1 u/ @j @k u C b.x; D 1 u/ D h.x/;

196 14. Nonlinear Elliptic Equations satisfying regular boundary conditions. If one uses the Dirichlet boundary condition, ˇ uˇ@M D g, show that (8.73)    kukH k .M /  Ck kukC 1Cr .M / kgkH k1=2 .@M / C khkH k2 .M / C kukL2 .M / : 3. Give a proof of the mapping property (8.5). 4. Prove the Moser-type estimate (8.50), when s  1=2 D ` 2 ZC [ f0g. (Hint. Rework Propositions 3.2–3.9 of Chap. 13, with H k replaced by Hk;` .)

9. Elliptic regularity III (DeGiorgi–Nash–Moser theory) As noted at the end of  8, there is a gap between conditions needed on the solution of boundary problems for many nonlinear elliptic PDEs, in order to obtain higherorder regularity, and conditions that solutions constructed by methods used so far in this chapter have been shown to satisfy. One method of closing this gap, that has proved useful in many cases, involves the study of second-order, scalar, linear elliptic PDE, in divergence form, whose coefficients have no regularity beyond being bounded and measurable. In this section we establish regularity for a class of PDE Lu D f , for secondorder operators of the form (using the summation convention)   (9.1) Lu D b 1 @j ajk b @k u ; where .ajk .x// is a positive-definite, bounded matrix and 0 < b0  b.x/  b1 ; b scalar, and ajk ; b are merely measurable. The breakthroughs on this were first achieved by DeGiorgi [DeG] and Nash [Na2]. We will present Moser’s derivation of interior bounds and H¨older continuity of solutions to Lu D 0, from [Mo2], and then Morrey’s analysis of the nonhomogeneous equation Lu D f and proof of boundary regularity, from [Mor2]. Other proofs can be found in [GT] and [KS]. We make a few preliminary remarks on (9.1). We will use ajk to define an inner product of vectors: (9.2)

hV; W i D Vj ajk Wk ;

and use b dx D dV as the volume element. In case gjk .x/ is a metric tensor, if one takes ajk D g jk and b D g 1=2 , then (9.1) defines the Laplace operator. For a compactly supported function w, Z (9.3) .Lu; w/ D  hru; rwi dV: The behavior of L on a nonlinear function of u; v D f .u/, plays an important role in estimates; we have (9.4)

v D f .u/ H) Lv D f 0 .u/Lu C f 00 .u/jruj2 ;

9. Elliptic regularity III (DeGiorgi–Nash–Moser theory)

197

where we set jV j2 D hV; V i. Also, taking w D 2 u in (9.3) gives the following important identity. If Lu D g on an open set  and 2 C01 ./, then Z (9.5)

Z 2

jruj2 dV D 2

Z h ru; ur i dV 

2

gu dV:

Applying Cauchy’s inequality to the first term on the right yields the useful estimate Z Z Z 1 2 2 (9.6) jruj2 dV  2 juj2 jr j2 dV  gu dV: 2 Given these preliminaries, we are ready to present an approach to sup norm estimates known as “Moser iteration.” Once this is done (in Theorem 9.3 below), we will then tackle H¨older estimates. To implement Moser iteration, consider a nested sequence of open sets with smooth boundary (9.7)

0    j j C1   

with intersection O, as illustrated in Fig. 9.1. We will make the geometrical hypothesisthat the distance of any point on @j C1 to @j is  Cj 2 . We want to estimate the sup norm of a function v on O in terms of its L2 -norm on 0 , assuming (9.8)

v > 0 is a subsolution of L .i.e., Lv  0/:

In view of (9.4), an example is (9.9)

v D .1 C u2 /1=2 ;

Lu D 0:

F IGURE 9.1 Setup for Moser Iteration

198 14. Nonlinear Elliptic Equations

We will obtain such an estimate in terms of the Sobolev constants .j / and Cj , defined below. Ingredients for the analysis include the following two lemmas, the first being a standard Sobolev inequality. Lemma 9.1. For v 2 H 1 .j /;  n=.n  2/, (9.10)

kv k2L2 .

j/

  .j / krvk2 L2 .

The next lemma follows from (9.6) if we take linearly to 0 on @j .

j/

C kvk2 L2 .

 j/

:

D 1 on j C1 , tending roughly

Lemma 9.2. If v > 0 is a subsolution of L, then, with Cj D C.j ; j C1 /, krvkL2 .j C1 /  Cj kvkL2 .j / :

(9.11)

Under the geometrical conditions indicated above on j , we can assume .j /  0 ;

(9.12)

Cj  C.j 2 C 1/:

Putting together the two lemmas, we see that when v satisfies (9.8),

(9.13)

kv k2L2 .

j C1 /

h  .j C1 / Cj2 kvk2 L2 . 

0 .Cj2

C

j

C kvk2 / L2 .

i j C1 /

1/kvk2 : L2 .j /

Fix 2 .1; n=.n  2/. Now, if v satisfies (9.8), so does j

vj D v ;

(9.14)

by (9.4). Note that vj C1 D vj . Now let (9.15)

Nj D kvkL2 j .

1= j

j/

D kvj kL2 . / ; j

so (9.16)

kvkL1 .O/  lim sup Nj : j !1

If we apply (9.13) to vj , we have (9.17)

kvj C1 k2L2 .

j C1 /

 0 .Cj2 C 1/kvj k2 : L2 . / j

j C1

Note that the left side is equal to Nj2 C1 , and the norm on the right is equal to Nj2

j C1

. Thus (9.17) is equivalent to

9. Elliptic regularity III (DeGiorgi–Nash–Moser theory)

199

h i1= j C1 Nj2C1  0 .Cj2 C 1/ Nj2 :

(9.18)

By (9.12), Cj2 C 1  C0 .j 4 C 1/, so lim sup Nj2  j !1

(9.19)

1 h Y

0 C0 .j 4 C 1/

j D0

2

 .0 C0 /1=. 1/ 4exp

i1= j C1

1 X

N02 3

j 1 log.j 4 C 1/5 N02

j D0

K

2

N02 ;

for finite K. This gives Moser’s sup-norm estimate: Theorem 9.3. If v > 0 is a subsolution of L, then kvkL1 .O/  KkvkL2 .0 / ;

(9.20) where K D K.0 ; C0 ; n/.

H¨older continuity of a solution to Lu D 0 will be obtained as a consequence of the following “Harnack inequality.” Let B D fx W jxj < g. Proposition 9.4. Let u  0 be a solution of Lu D 0 in B2r . Pick c0 2 .0; 1/. Suppose measfx 2 Br W u.x/  1g > c01 r n :

(9.21)

Then there is a constant c > 0 such that u.x/ > c 1 in Br=2 :

(9.22)

This will be established by examining v D f .u/ with f .u/ D maxf log.u C "/; 0g;

(9.23)

where " is chosen in .0; 1/. Note that f is convex, so v is a subsolution. Our first goal will be to estimate the L2 .Br /-norm of rv. Once this is done, Theorem 9.3 will be applied to estimate v from above (hence u from below) on Br=2 . We begin with a variant of (9.5), obtained by taking w D 2 f 0 .u/ in (9.3). The identity (for smooth f ) is Z (9.24)

2

f 00 jruj2 dV C 2

Z

h f 0 ru; r i dV D .Lu;

2

f 0 /:

200 14. Nonlinear Elliptic Equations

This vanishes if Lu D 0. Applying Cauchy’s inequality to the second integral, we obtain Z Z h i 1 2 (9.25) f 00 .u/  ı 2 f 0 .u/2 jruj2 dV  2 jr j2 dV: ı Now the function f .u/ in (9.23) has the property that h D e f is a convex functionI

(9.26)

indeed, in this case h.u/ D maxf.u C "/; 1g. Thus f 00  .f 0 /2 D e f h00  0:

(9.27)

Thus f 00 .u/jruj2  f 0 .u/2 jruj2 D jrvj2 if v D f .u/. Taking ı 2 D 1=2 in (9.25), we obtain Z Z 2 2 (9.28) jrvj dV  4 jr j2 dV; after one overcomes the minor problem that f 0 has a jump discontinuity. If we pick to D 1 on Br and go linearly to 0 on @B2r , we obtain the estimate Z jrvj2 dV  C r n2 ;

(9.29) Br

for v D f .u/, given that Lu D 0 and that (9.26) holds. Now the hypothesis (9.21) implies that v vanishes on a subset of Br of measure > c01 r n . Hence there is an elementary estimate of the form (9.30)

r

n

Z

Z v dV  C r 2

Br

2n

jrvj2 dV;

Br

which is bounded from above by (9.29). Now Theorem 9.3, together with a simple scaling argument, gives (9.31)

v.x/2  C r n

Z v 2 dV  C12 ;

x 2 Br=2 ;

Br

so (9.32)

u C "  e C1 ; for x 2 Br=2 ;

for all " 2 .0; 1/. Taking " ! 0, we have the proof of Proposition 9.4.

9. Elliptic regularity III (DeGiorgi–Nash–Moser theory)

201

We remark that Moser obtained a stronger Harnack inequality in [Mo3], by a more elaborate argument. In that work, the hypothesis (9.21) is weakened to sup u.x/  1:

(9.21a)

Br

To deduce the H¨older continuity of a solution to Lu D 0 given Proposition 9.4 is fairly simple. Following [Mo2], who followed DeGiorgi, we have from (9.20) a bound ju.x/j  K

(9.33)

on any compact subset O of 0 , given u 2 H 1 .0 /; Lu D 0. Fix x0 2 O, such that B .x0 /  O, and, for r  , let !.r/ D sup u.x/  inf u.x/;

(9.34)

Br

Br

where Br D Br .x0 /. Clearly, !./  2K. Adding a constant to u, we can assume (9.35)

sup u.x/ D  inf u.x/ D B

B

1 !./ D M: 2

Then uC D 1 C u=M and u D 1  u=M are also annihilated by L. They are both  0 and at least one of them satisfies the hypothesis (9.21), with r D =2. If, for example, uC does, then Proposition 9.4 implies uC .x/ > c 1

(9.36)

in B=4 ;

so (9.37)

 1  u.x/  M M 1  c

in B=4 :

Hence (9.38)

 1 !./; !.=4/  1  2c

which gives H¨older continuity: (9.39)

!.r/  !./

We state the result formally.

 r ˛ 

;

 1 : ˛ D  log4 1  2c

202 14. Nonlinear Elliptic Equations

Theorem 9.5. If u 2 H 1 .0 / solves Lu D 0, then for every compact O in 0 , there is an estimate kukC ˛ .O/  C kukL2 .0 / :

(9.40)

It will be convenient to replace (9.40) by an estimate involving Morrey spaces, which are discussed in Appendix A at the end of this chapter. We claim that under the hypotheses of Theorem 9.5, ˇ p ruˇO 2 M2 ;

(9.41)

pD

n ; 1˛

where the Morrey space M2p consists of functions f satisfying the q D 2 case of (A.2). The property (9.41) is stronger than (9.40), by Morrey’s lemma (Lemma A.1). To see (9.41), if BR is a ball of radius R centered at y; B2R  , then let c D u.y/ and replace u by u.x/  c in (9.6), to get 1 2 Taking

Z

Z 2

jruj dV  2

ju.x/  cj2 jr j2 dV:

2

D 1 on BR , going linearly to 0 on @B2R , gives Z jruj2 dV  C Rn2C2˛ ;

(9.42) BR

as needed to have (9.41). So far we have dealt with the homogeneous equation, Lu D 0. We now turn to regularity for solutions to a nonhomogeneous equation. We will follow a method of Morrey, and Morrey spaces will play a very important role in this analysis. We take L as in (9.1), with ajk measurable, satisfying (9.43)

0 < 0 jj2 

X

ajk .x/j k  1 jj2 ;

while for simplicity we assume b; b 1 2 Lip./. We consider a PDE Lu D f:

(9.44) It is clear that, for u 2 H01 ./, (9.45)

.Lu; u/  C

X

k@j uk2L2 ;

so we have an isomorphism (9.46)



L W H01 ./ ! H 1 ./:

9. Elliptic regularity III (DeGiorgi–Nash–Moser theory)

203

Thus, for any f 2 H 1 ./, (9.44) has a unique solution u 2 H01 ./. One can write such f as f D

(9.47)

X

@j gj ;

gj 2 L2 ./:

The solution u 2 H01 ./ then satisfies kuk2H 1 ./  C

(9.48)

X

kgj k2L2 :

Here C depends on ; 0 ; 1 , and b 2 Lip./. One can also consider the boundary problem Lv D 0 on ;

(9.49)

v D w on @;

given w 2 H 1 ./, where the latter condition means v  w 2 H01 ./. Indeed, setting v D u C w, the equation for u is Lu D Lw; u 2 H01 ./. Thus (9.49) is uniquely solvable, with an estimate krvkL2 ./  C krwkL2 ./ ;

(9.50)

where C has a dependence as in (9.48). Our present goal is to give Morrey’s proof of the following local regularity result. P Theorem 9.6. Suppose u 2 H 1 ./ solves (9.44), with f D @j gj ; gj 2 M2q ./; q > n, that is, Z jgj j2 dV  K12

(9.51)

 r n2C2 R

D1

;

n 2 .0; 1/: q

Br

Assume L is of the form (9.1), where the coefficients ajk satisfy (9.43) and b; b 1 2 Lip./. Let O  , and assume < 0 D ˛, for which Theorem 9.5 holds. Then u 2 C  .O/; more precisely, ru 2 M2q .O/, that is, Z jruj2 dV  K22

(9.52)

 r n2C2 R

:

Br

Morrey established this by using (9.48), (9.50), and an elegant dilation argument, in concert with Theorem 9.5. For this, suppose BR D BR .y/   for each y 2 O. We can write u D U C H on BR , where (9.53)

LU D

X

@j gj on BR ;

LH D 0 on BR ;

U 2 H01 .BR /;

H  u 2 H01 .BR /;

204 14. Nonlinear Elliptic Equations

and we have (9.54)

krU kL2 .BR /  C1 kgkL2 .BR / ;

where kgk2L2 D

P

krH kL2 .BR /  C2 krukL2 .BR / ;

kgj k2L2 . Let us set kF kr D kF kL2 .Br / :

(9.55)

Also let .gj ; R/ be the best constant K1 for which (9.51) is valid for 0 < r  R. If g .x/ D g.x/, note that

.g ;  1 S / D  n=2 .g; S /: Now define (9.56)

X ˚ @j gj ; on BS ; '.r/ D sup krU krS W U 2 H01 .BS /; LU D 

.gj ; S /  1; 0 < S  R :

Let us denote by 'S .r/ the sup in (9.56) with S fixed, in .0; R. Then 'S .r/ coincides with 'R .r/, with L replaced by the dilated operator, coming from the dilation taking BS to BR . More precisely, the dilated operator is LS D bS @j aS bS1 @k ; jk

(9.57) with

aS .x/ D ajk .SR1 x/; jk

bS .x/ D b.SR1 x/;

assuming 0 has been arranged to be the center of BR . To see this, note that if  D S=R, U .x/ D  1 U.x/, and gj .x/ D gj .x/, then (9.58)

LU D

X

@j gj ” LS U D

X

@j gj :

Also, rU .x/ D .rU /.x/, so krU kS= D  n=2 krU kS . Now for this family LS , one has a uniform bound on C in (9.48); hence '.r/ is finite for r 2 .0; 1. We also note that the bounds in (9.40) and (9.42) are uniformly valid for this family of operators. Theorem 9.6 will be proved when we show that (9.59)

'.r/  A r n=21C :

In fact, this will give the estimate (9.52) with u replaced by U ; meanwhile such an estimate with u replaced by H is a consequence of (9.42). Let H satisfy (9.42) with ˛ D 0 . We take < 0 . Pick S 2 .0; R and pick gj satisfying (9.51), with R replaced by S and K1 by 1 K. Write Pthe U of (9.53) as U D US CHS on BS , where US 2 H0 .BS /; LUS D LU D @j gj on BS . Clearly, (9.51) implies

9. Elliptic regularity III (DeGiorgi–Nash–Moser theory)

Z jgj j2 dV  K 2

(9.60)

 S n2C2  r n2C2 R

S

205

:

Br

Thus, as in (9.54) (and recalling the definition of '), we have krUS kS  A1 K

 S n=21C

(9.61)

R

;

krHS kS  A2 krU kS  A2 K'

S  : R

Now, suppose 0 < r < S < R. Then, applying (9.42) to HS , we have

(9.62)

krU kr  krUS kr C krHS kr  S n=21C  r   S  r n=21C0 C A3 K' K ' : R S R S

Therefore, setting s D r=R; t D S=R, we have the inequality (9.63)

'.s/  t n=21C '

s  t

C A3 '.t/

 s n=21C0 t

;

valid for 0 < s < t  1. Since it is clear that '.r/ is monotone and finite on .0; 1, it is an elementary exercise to deduce from (9.63) that '.r/ satisfies an estimate of the form (9.59), as long as < 0 . This proves Theorem 9.6. Now that we have interior regularity estimates for the nonhomogeneous problem, we will be able to use a few simple tricks to establish regularity up to the boundary for solutions to the Dirichlet problem (9.64)

Lu D

X

@j gj ;

u D f on @;

where L has the form (9.1),  is compact with smooth boundary, f 2 Lip.@/, and gj 2 Lq ./, with q > n. First, extend f to f 2 Lip./. Then u D v C f , where v solves X (9.65) Lv D @j hj ; v D 0 on @; where (9.66)

  @j hj D @j gj  b 1 @j ajk b @k f :

We will assume b 2 Lip./; then hj can be chosen in Lq also. The class of equations (9.65) is invariant under smooth changes of variables (indeed, invariant under Lipschitz homeomorphisms with Lipschitz inverses, having the further property of preserving volume up to a factor in Lip./). Thus

206 14. Nonlinear Elliptic Equations

make a change of variables to flatten out the boundary (locally), so we consider a solution v 2 H 1 to (9.65) in xn > 0; jxj  R. We can even arrange that b D 1. Now extend v to negative xn , to be odd under the reflection xn 7! xn . Also extend ajk .x/ to be even when j; k < n or j D k D n, and odd when j or k D n (but not both). Extend hj to be odd for j < n and even for j D n. With these extensions, we continue to have (9.65) holding, this time in the ball jxj  R. Thus interior regularity applies to this extension of v, yielding H¨older continuity. The following is hence proved. Theorem 9.7. Let u 2 H 1 ./ solve the PDE (9.67)

X

  X @j gj on ; b 1 @j ajk b @k u D

u D f on @:

Assume gj 2 Lq ./ with q > n D dim , and f 2 Lip.@/. Assume that b; b 1 2 Lip./ and that .ajk / is measurable and satisfies the uniform ellipticity condition (9.43). Then u has a H¨older estimate (9.68)

kukC  ./  C1

X

 kgj kLq ./ C kf kLip.@/ :

More precisely, if D 1  n=q 2 .0; 1/ is sufficiently small, then ru belongs to the Morrey space M2q ./, and (9.69)

krukM q ./  C2 2

X

 kgj kLq ./ C kf kLip.@/ :

In these estimates, Cj D Cj .; 1 ; 2 ; b/. So far in this section we have looked at differential operators of the form (9.1) in which .ajk / is symmetric, but unlike the nondivergence case, where ajk .x/ @j @k u D akj .x/ @j @k u, nonsymmetric cases do arise; we will see an example in  15. Thus we briefly describe the extension of the analysis of (9.1) to (9.70)

  Lu D b 1 @j Œajk C ! jk b @k u :

We make the same hypotheses on ajk .x/ and b.x/ as before, and we assume .! jk / is antisymmetric and bounded: (9.71)

! jk .x/ D ! kj .x/;

! jk 2 L1 ./:

We thus have both a positive symmetric form and an antisymmetric form defined at almost all x 2 : (9.72)

hV; W i D Vj ajk .x/Wk ;

ŒV; W  D Vj ! jk .x/Wk :

9. Elliptic regularity III (DeGiorgi–Nash–Moser theory)

207

We use the subscript L2 to indicate the integrated quantities: Z hv; wiL2 D

(9.73)

Z hv; wi dV;

Œv; wL2 D

Œv; w dV:

Then, in place of (9.3), we have .Lu; w/ D hru; rwiL2  Œru; rwL2 :

(9.74)

The formula (9.4) remains valid, with jruj2 D hru; rui, as before. Instead of (9.5), we have Z Z 2 2 (9.75) jruj2 dV D 2h ru; ur iL2 2Πru; ur L2  gu dV; when Lu D g on  and (9.76)

1 2

2 C01 ./. This leads to a minor change in (9.6):

Z

Z 2

jruj2 dV  .2 C C0 /

Z juj2 jr j2 dV 

2

gu dV;

where C0 is determined by the operator norm of .! jk /, relative to the inner product h ; i. From here, the proofs of Lemmas 9.1 and 9.2, and that of Theorem 9.3, go through without essential change, so we have the sup-norm estimate (9.20). In the proof of the Harnack inequality, (9.24) is replaced by Z 2

(9.77)

f 00 jruj2 dV C 2h f 0 ru; r iL2 C 2Πf 0 ru; r L2 D .Lu;

2

f 0 /:

Hence (9.25) still works if you replace the factor 1=ı 2 by .1 C C1 /=ı 2 , where again C1 is estimated by the size of .! jk /. Thus Proposition 9.4 extends to our present case, and hence so does the key regularity result, Theorem 9.5. Let us record what has been noted so far: Proposition 9.8. Assume Lu has the form (9.70), where .ajk / and b satisfy the hypotheses of Theorem 9.5, and .! jk / satisfies (9.71). If u 2 H 1 .0 / solves Lu D 0, then, for every compact O  0 , there is an estimate (9.78)

kukC ˛ .O/  C kukL2 .0 / :

The Morrey space estimates go through as before, and the analysis of (9.64) is also easily modified to incorporate the change in L. Thus we have the following: Proposition 9.9. The boundary regularity of Theorem 9.7 extends to the operators L of the form (9.70), under the hypothesis (9.71) on .! jk /.

208 14. Nonlinear Elliptic Equations

Exercises 1. Given the strengthened form of the Harnack inequality, in which the hypothesis (9.21) is replaced by (9.21a), produce a shorter form of the argument in (9.33)–(9.40) for H¨older continuity of solutions to Lu D 0. P 2. Show that in the statement of Theorem 9.7, @j gj in (9.67) can be replaced by hC

X

@j gj ;

gj 2 Lq ./;

h 2 Lp ./;

q > n; p >

P (Hint: Write h D @j hj for some hj 2 Lq ./:) 3. With L given by (9.1), consider X L1 D L C X; X D Aj .x/ @j :

n : 2

Show that in place of (9.4) and (9.6), we have v D f .u/ H) L1 v D f 0 .u/L1 u C f 00 .u/jruj2 and 1 2

Z 2

jruj2 dV 

Z  4jr j2 C 2A

2



Z juj2 dV 

2

u.L1 u/ dV;

P where A.x/2 D Aj .x/2 . Extend the sup-norm estimate of Theorem 9.3 to this case, given Aj 2 L1 ./. 4. With L given by (9.1), suppose u solves X   Lu C @j Aj .x/u C C.x/u D g on  2 Rn : Supppose we have Aj 2 Lq ./; C 2 Lp ./; g 2 Lp ./;

p>

n ; q > n; 2

and suppose we also have kukH 1 ./ C kukL1 ./  K;

ˇ uˇ@ D f 2 Lip.@/:

Show that, for some > 0; u 2 C  ./. (Hint: Apply Theorem 9.7, together with Exercise 2.)

10. The Dirichlet problem for quasi-linear elliptic equations The primary goal in this section is to establish the existence of smooth solutions to the Dirichlet problem for a quasi-linear elliptic PDE of the form (10.1)

X

Fpj pk .ru/@j @k u D 0 on ;

u D ' on @:

10. The Dirichlet problem for quasi-linear elliptic equations

209

More general equations will also be considered. As noted in (7.32), this is the PDE satisfied by a critical point of the function Z I.u/ D

(10.2)

F .ru/ dx 

defined on the space V'1 D fu 2 H 1 ./ W u D ' on @g: Assume ' 2 C 1 ./. We assume F is smooth and satisfies (10.3)

A1 .p/jj2 

X

Fpj pk .p/j k  A2 .p/jj2 ;

with Aj W Rn ! .0; 1/, continuous. We use the method of continuity, showing that, for each  2 Œ0; 1, there is a smooth solution to (10.4)

ˆ .D 2 u/ D 0 on ;

u D ' on @;

where ˆ1 .D 2 u/ D ˆ.D 2 u/ is the left side of (10.1) and '1 D '. We arrange a situation where (10.4) is clearly solvable for  D 0. For example, we might take '  ' and (10.5)

ˆ .D 2 u/ D ˆ.D 2 u/ C .1  /u D

X

Ajk  .ru/ @j @k u;

with (10.6)

h i 1 2 Ajk  .p/ D @pj @pk F .p/ C .1  /jpj : 2

Another possibility is to take (10.7)

ˆ .D 2 u/ D ˆ.D 2 u/;

' .x/ D '.x/;

since at  D 0 we have the solution u D 0 in this case. Let J be the largest interval containing f0g such that (10.7) has a solution u D u 2 C 1 ./ for each  2 J . We will show that J is all of Œ0; 1 by showing it is both open and closed in Œ0; 1. We will deal specifically with the method (10.5)–(10.6), but a similar argument can be applied to the method (10.7). Demonstrating the openness of J is the relatively easy part. Lemma 10.1. If 0 2 J , then, for some " > 0; Œ0 ; 0 C "/  J .

210 14. Nonlinear Elliptic Equations

Proof. Fix k large and define (10.8)

‰ W Œ0; 1  V'k ! H k2 ./

by ‰.; u/ D ˆ .D 2 u/, where (10.9)

V'k D fu 2 H k ./ W u D ' on @g:

This map is C 1 , and its derivative with respect to the second argument is (10.10)

D2 ‰.0 ; u/v D Lv;

where (10.11)

L W V0k D H k \ H01 ! H k2 ./

is given by (10.12)

Lv D

X

@j Ajk 0 .ru.x// @k v:

L is an elliptic operator with coefficients in C 1 ./ when u D u0 , clearly an isomorphism in (10.11). Thus, by the inverse function theorem, for  close enough to 0 , there will be u , close to u0 , such that ‰.; u / D 0. Since u 2 H k ./ solves the regular elliptic boundary problem (10.4), if we pick k large enough, we can apply the regularity result of Theorem 8.4 to deduce u 2 C 1 ./. The next task is to show that J is closed. This will follow from a sufficient a priori bound on solutions u D u ;  2 J . We start with fairly weak bounds. First, the maximum principle implies (10.13)

kukL1 .M / D k'kL1 .@M / ;

for each u D u ;  2 J . Next we estimate derivatives. Each w` D @` u satisfies (10.14)

X

@j Ajk .ru/@k w` D 0;

where Ajk .ru/ is given by (10.6); we drop the subscript . The next ingredient is a “boundary gradient estimate,” of the form (10.15)

jru.x/j  K; for x 2 @;

As we have seen in the discussion of the minimal surface equation in  7, whether this holds depends on the nature of the PDE and the region M . For now, we will

10. The Dirichlet problem for quasi-linear elliptic equations

211

make (10.15) a hypothesis. Then the maximum principle applied to (10.14) yields a uniform bound krukL1 ./  K:

(10.16)

For the next step of the argument, we will suppose for simplicity that  D T n1  Œ0; 1, for the present, and discuss the modification of the argument for the general case later. Under this assumption, in addition to (10.14), we also have (10.17)

w` D @` ' on @; for 1  `  n  1;

since @` is tangent to @ for 1  `  n  1. Now we can say that Theorem 9.7 applies to u` D @` u, for 1  `  n  1. Thus there is an r > 0 for which we have bounds (10.18)

kw` kC r ./  K;

1  `  n  1:

Let us note that Theorem 9.7 yields the bounds (10.19)

krw` kM p ./  K 0 ; 2

1  `  n  1;

which are more precise than (10.18); here 1  r D n=p. Away from the boundary, such a property on all first derivatives of a solution to (10.1) leads to the applicability of Schauder estimates to establish interior regularity. In the case of examining regularity at the boundary, more work is required since (10.18) does not include a derivative @n transverse to the boundary. Now, using (10.4), we can solve for @2n u in terms of @j @k u, for 1  j  n; 1  k  n  1. This will lead to the estimate (10.20)

kukC rC1 ./  K;

as we will now show. In order to prove (10.20), note that, by (10.19), (10.21)

@k @` u 2 M2p ./; for 1  `  n  1; 1  k  n;

where p 2 .n; 1/ and r 2 .0; 1/ are related by 1  r D n=p. Now the PDE (10.4) enables us to write @2n u as a linear combination of the terms in (10.21), with L1 ./-coefficients. Hence (10.22)

@2n u 2 M2p ./;

so (10.23)

r.@n u/ 2 M2p ./  M p ./:

212 14. Nonlinear Elliptic Equations

Morrey’s lemma (Lemma A.1) states that (10.24)

rv 2 M p ./ H) v 2 C r ./ if r D 1 

n 2 .0; 1/: p

Thus @n u 2 C r ./;

(10.25)

and this together with (10.18) yields (10.20). From this, plus the Morrey space inclusions (10.21)–(10.22), we have the hypothesis (8.60) of Theorem 8.4, with r > 0 and D 1. Thus, by Theorem 8.4, and the associated estimate (8.73), we deduce estimates kukH k ./  Kk ;

(10.26)

for k D 2; 3; : : : . Therefore, if Œ0; 1 /  J , as  % 1 , we can pick a subsequence of u converging weakly in H kC1 ./, hence strongly in H k ./. If k is picked large enough, the limit u1 is an element of H kC1 ./, solving (10.4) for  D 1 , and furthermore the regularity result Theorem 8.4 is applicable; hence u1 2 C 1 ./. This implies that J is closed. Hence we have a proof of the solvability of the boundary problem (10.1), for the special case  D T n1  Œ0; 1, granted the validity of the boundary gradient estimate (10.15). As noted, to have @` ; 1  P `  n  1, tangent to @M , we required  D T n1  Œ0; 1. For   Rn , if X D b` @` is a smooth vector field tangent to @, then uX D X u solves, in place of (10.14), (10.27)

X

@j Ajk .ru/ @k uX D

X

@j Fj ;

with Fj 2 L1 calculable in terms of ru. Thus Theorem 9.7 still applies, and the rest of the argument above extends easily. We have the following result. Theorem 10.2. Let F W Rn ! R be a smooth function satisfying (10.3). Let   Rn be a bounded domain with smooth boundary. Let ' 2 C 1 .@/. Then the Dirichlet problem (10.1) has a unique solution u 2 C 1 ./, provided the boundary gradient estimate (10.15) is valid for all solutions u D u to (10.4), for  2 Œ0; 1. Proof. Existence follows from the fact that J is open and closed in Œ0; 1, and nonempty, as 0 2 J . Uniqueness follows from the maximum principle argument used to establish Proposition 7.2. Let us record a result that implies uniqueness.

10. The Dirichlet problem for quasi-linear elliptic equations

213

Proposition 10.3. Let  be any bounded domain in Rn . Assume that u 2 C 1 ./ \ C./ are real-valued solutions to G.ru ; @2 u / D 0 on ;

(10.28)

u D g on @;

for  D 1; 2, where G D G.p; /;  D .jk /. Then, under the ellipticity hypothesis X @G .p; / j k  A.p/jj2 > 0; @jk

(10.29) we have

g1  g2 on @ H) u1  u2 on :

(10.30)

Proof. Same as Proposition 7.2. As shown there, v D u2  u1 satisfies the identity Lv D G.ru2 ; @2 u2 /  G.ru1 ; @2 u1 /, and L satisfies the conditions for the maximum principle, in the form of Proposition 2.1 of Chap. 5, given (10.29). It is also useful to note that we can replace the first part of (10.28) by G.ru2 ; @2 u2 /  G.ru1 ; @2 u1 /;

(10.31)

and the maximum principle still yields the conclusion (10.30). Since the boundary gradient estimate was verified in Proposition 7.5 for the minimal surface equation whenever   R2 has strictly convex boundary, we have existence of smooth solutions in that case. In fact, the proof of Proposition 7.5 works when   Rn is strictly convex, so that @ has positive Gauss curvature everywhere. We hence have the following result. Theorem 10.4. If   Rn is a bounded domain with smooth boundary that is strictly convex, then the Dirichlet problem (10.32)

˝

X @u @u ˛2 @2 u ru u  D 0; @xj @xk @xj @xk

u D g on @;

j;k

for a minimal hypersurface, has a unique solution u 2 C 1 ./, given g 2 C 1 .@/. In Proposition 7.1, it was shown that when n D 2, the equation (10.32) has a solution u 2 C 1 ./ \ C./, and Proposition 7.2 showed that such a solution must be unique. Hence in the case n D 2, Theorem 10.4 implies the regularity at @ for this solution, given ' 2 C 1 .@/. We now look at other cases where the boundary gradient estimate can be verified, by extending the argument used in Proposition 7.5. Some terminology is

214 14. Nonlinear Elliptic Equations

useful. Let us be given a nonlinear operator F .D 2 u/, and g 2 C 1 .@/. We say a function BC 2 C 2 ./ is an upper barrier at y 2 @ (for g), provided (10.33)

F .D 2 BC /  0 on ; BC  g on @;

BC 2 C 1 ./; BC .y/ D g.y/:

Similarly, we say B 2 C 2 ./ is a lower barrier at y (for g), provided (10.34)

F .D 2 B /  0 on ; B  g on @;

B 2 C 1 ./; B .y/ D g.y/:

An alternative expression is that g has an upper (or lower) barrier at y. Note well the requirement that B˙ belong to C 1 ./. We say g has upper (resp., lower) barriers along @ if there are upper (resp., lower) barriers for g at each y 2 @, with uniformly bounded C 1 ./-norms. The following result parallels Proposition 7.5. Proposition 10.5. Let   Rn be a bounded region with smooth boundary. Consider a nonlinear differential operator of the form F .D 2 u/ D G.ru; @2 u/, satisfying the ellipticity hypothesis (10.29). Assume that g has upper and lower barriers along @, whose gradients are everywhere bounded by K. Then a solution u 2 C 2 ./ \ C./ to F .D 2 u/ D 0; u D g on @, satisfies (10.35)

ju.y/  u.x/j  2Kjy  xj;

y 2 @; x 2 :

If u 2 C 2 ./ \ C 1 ./, then (10.36)

jru.x/j  2K;

x 2 :

Proof. Same as Proposition 7.5. If B˙y are the barriers for g at y 2 @, then By .x/  u.x/  BCy .x/;

x 2 ;

which readily yields (10.35). Note that w` D @` u satisfies the PDE (10.37)

X @G X @G @j @k w` C @j w` D 0 @jk @pj

on ;

so the maximum principle yields (10.36). Now, behind the specific implementation of Proposition 7.5 is the fact that when @ is strictly convex and g 2 C 1 .@/, there are linear functions B˙y , satisfying By  g  BCy on @; By .y/ D g.y/ D BCy .y/, with bounded gradients. Such functions B˙y are annihilated by operators of the form (10.1). Therefore, we have the following extension of Theorem 10.4.

10. The Dirichlet problem for quasi-linear elliptic equations

215

Theorem 10.6. If   Rn is a bounded domain with smooth boundary that is strictly convex, then the Dirichlet problem (10.1) has a unique solution u 2 C 1 ./, given ' 2 C 1 .@/, provided the ellipticity hypothesis (10.3) holds. next consider the construction of upper and lower barriers when F .D 2 u/ D P We jk A .ru/ @j @k u satisfies the uniform ellipticity condition 0 jj2 

(10.38)

X

Ajk .p/j k  1 jj2 ;

for some j 2 .0; 1/, independent of p. Given z 2 Rn ; R D jy  zj; ˛ 2 .0; 1/, set 2

2

Ey;z .x/ D e ˛r  e ˛R ;

(10.39)

r 2 D jx  zj2 :

A calculation, used already in the derivation of maximum principles in  2 of Chap. 5, gives X

Ajk .p/ @j @k Ey;z .x/

(10.40) D e ˛r

2

h

i 4˛ 2 Ajk .p/.xj  zj /.xk  zk /  2˛Aj j .p/ :

Under the hypothesis (10.38), we have (10.41)

X

Ajk .p/ @j @k Ey;z .x/  2˛e ˛r

2



 2˛0 jx  zj2  n1 :

To make use of these functions, we proceed as follows. Given y 2 @, pick z D z.y/ 2 Rn n  such that y is the closest point to z on . Given that  is compact and @ is smooth, we can arrange that jy  zj D R, a positive constant, with the property that R1 is greater than twice the absolute value of any principal curvature of @ at any point. Note that, for any choice of ˛ > 0; Ey;z .y/ D 0 and Ey;z .x/ < 0 for x 2  n fyg. From (10.41) we see that if ˛ is picked sufficiently large (namely, ˛ > n1 =2R2 0 ), then (10.42)

X

Ajk .p/ @j @k Ey;z .x/ > 0;

x 2 ;

for all p, since jx  zj  R. Now, given g 2 C 1 .@/, we can find K 2 .0; 1/ such that, for all x 2 @, (10.43)

B˙y .x/ D g.y/ KEy;z .x/ H) By .x/  g.x/  BCy .x/:

Consequently, we have upper and lower barriers for g along @. Therefore, we have the following existence theorem.

216 14. Nonlinear Elliptic Equations

Theorem 10.7. Let   Rn be any bounded region with smooth boundary. If the PDE (10.1) is uniformly elliptic, then (10.1) has a unique solution u 2 C 1 ./ for any ' 2 C 1 .@/. Certainly the equation (10.32) for minimal hypersurfaces is not uniformly elliptic. Here is an example of a uniformly elliptic equation. Take (10.44)

F .p/ D

p 2 p 1 C jpj2  a D jpj2  2a 1 C jpj2 C 1 C a2 ;

with a 2 .0; 1/. This models the potential energy of a stretched membrane, say a surface S  R3 , given by z D u.x/, with the property that each point in S is constrained to move parallel to the z-axis. Compare with (1.5) in Chap. 2. It is also natural to look at the variational equation for a stretched membrane for which gravity also contributes to the potential energy. Thus we replace F .p/ in (10.44) by F # .u; p/ D F .p/ C au;

(10.45)

where a is a positive constant. This is of a form not encompassed by the class considered so far in this section. The PDE for u in this case has the form (10.46)

div Fp# .u; ru/  Fu# .u; ru/ D 0;

which, when F # .u; p/ has the form (10.45), becomes (10.47)

X

Fpj pk .ru/ @j @k u  a D 0:

We want to extend the existence argument to this case, to produce a solution u 2 C 1 ./, with given boundary data ' 2 C 1 .@/. Using the continuity method, we need estimates parallel to (10.13)–(10.20). Now, since a > 0, the maximum principle implies (10.48)

sup u.x/ D sup '.y/: x2

y2@

To estimate kukL1 , we also need control of inf u.x/. Such an estimate will follow if we obtain an estimate on krukL1 ./ . To get this, note that the equation (10.14) for w` D @` u continues to hold. Again the maximum principle applies, so the boundary gradient estimate (10.15) continues to imply (10.16). Furthermore, the construction of upper and lower barriers in (10.39)–(10.43) is easily extended, so one has such a boundary gradient estimate. Now one needs to apply the DeGiorgi–Nash–Moser theory. Since (10.14) continues to hold, this application goes through without change, to yield (10.20), and the argument producing (10.26) also goes through as before. Thus Theorem 10.7 extends to PDE of the form (10.47).

10. The Dirichlet problem for quasi-linear elliptic equations

217

One might consider more general force fields, replacing the potential energy function (10.45) by F # .u; p/ D F .p/ C V .u/:

(10.49)

Then the PDE for u becomes X (10.50) Fpj pk .ru/@j @k u  V 0 .u/ D 0: In this case, w` D @` u satisfies (10.51)

X

@j Ajk .ru/@k w`  V 00 .u/w` D 0:

This time, we won’t start with an estimate on kukL1 , but we will aim directly for an estimate on krukL1 , which will serve to bound kukL1 , given that u D ' on @. The maximum principle applies to (10.51), to yield (10.52)

krukL1 ./ D sup jru.y/j; provided V 00 .u/  0: y2@

Next, we check whether the barrier construction (10.39)–(10.43) yields a boundary gradient estimate in this case. Having (10.43) (with g D '), we want (10.53)

H.D 2 BCy /  H.D 2 u/  H.D 2 By / on ;

in place of (10.42), where H.D 2 u/ is given by the left side of (10.50), and we want this sequence of inequalities together with (10.43) to yield (10.54)

By .x/  u.x/  BCy .x/;

x 2 :

To obtain (10.53), note that we can arrange the left side of (10.42) to exceed a large constant, and also a large multiple of Ey;z .x/. Note that the middle quentity in (10.53) is zero, so we want H.D 2 BCy /  0 and H.D 2 By /  0, on . We can certainly achieve this under the hypothesis that there is an estimate (10.55)

jV 0 .u/j  A1 C A2 juj:

In such a case, we have (10.53). To get (10.54) from this, we use the following extension of Proposition 10.3. Proposition 10.8. Let   Rn be bounded. Consider a nonlinear differential operator of the form (10.56)

H.x; D 2 u/ D G.x; u; ru; @2 u/;

218 14. Nonlinear Elliptic Equations

where G.x; u; p; / satisfies the ellipticity hypothesis (10.29), and @u G.x; u; p; /  0:

(10.57)

Then, given u 2 C 2 ./ \ C./, (10.58)

H.D 2 u2 /  H.D 2 u1 / on ; u1  u2 on @ H) u1  u2 on :

Proof. Same as Proposition 10.3. For the relevant maximum principle, replace Proposition 2.1 of Chap. 5 by Proposition 2.6 of that chapter. To continue our analysis of the PDE (10.50), Proposition 10.8 applies to give (10.53) ) (10.54), provided V 00 .u/  0. Consequently, we achieve a bound on krukL1 ./ , and hence also on kukL1 ./ , provided V .u/ satisfies the hypotheses stated in (10.52) and (10.55). It remains to apply the DeGiorgi–Nash–Moser theory. In the simplified case where  D T n1  Œ0; 1, we obtain (10.18), this time by regarding (10.51) as a nonhomogeneous PDE for w` , of the form (9.67), with one term @j gj , namely @` V 0 .u/. The L1 -estimate we have on u is more than enough to apply Theorem 9.7, so we again have (10.18)–(10.19). Next, the argument (10.21)– (10.23) goes through, so we again have (10.20) and the Morrey space inclusions (10.21)–(10.22). Hence the hypothesis (8.60) of Theorem 8.4 holds, with r > 0 and D 1. Theorem 8.4 yields kukH k ./  Kk ;

(10.59)

and a modification of the argument parallel to the use of (10.27) works for   Rn . The estimates above work for X ˇ (10.60)  Fpj pk .ru/@j @k u  V 0 .u/ C .1  /u D 0; uˇ@ D '; for all  2 Œ0; 1. Also, each linearized operator is seen to be invertible, provided V 00 .u/  0. Thus all the ingredients needed to use the method of continuity are in place. We have the following existence result. Proposition 10.9. Let   Rn be any bounded domain with smooth boundary. If the PDE (10.61)

X

Fpj pk .ru/@j @k u  V 0 .u/ D 0;

u D ' on @;

is uniformly elliptic, and if V 0 .u/ satisfies (10.62)

jV 0 .u/j  A1 C A2 juj;

V 00 .u/  0;

then (10.61) has a unique solution u 2 C 1 ./, given ' 2 C 1 .@/.

10. The Dirichlet problem for quasi-linear elliptic equations

219

Consider the case V .u/ D Au2 . This satisfies (10.62) if A  0 but not if A < 0. The case A < 0 corresponds to a repulsive force (away from u D 0) that increases linearly with distance. The physical basis for the failure of (10.61) to have a solution is that if u.x/ takes a large enough value, the repulsive force due to the potential V cannot be matched by the elastic force of the membrane. If Fpj pk .p/ is independent of p and 2A < 0 is an eigenvalue of the linear operator P Fpj pk @j @k , then certainly (10.61) is not solvable. 0 > A > `0 , where `0 is less On the other hand, if V .u/ D Au2 withP than the smallest eigenvalue of all operators Ajk @j @k with coefficients satisfying (10.38), then one can still hope to establish solvability for (10.61), in the uniformly elliptic case. We will not pursue the details on such existence results. We now consider more general equations, of the form (10.63)

H.D 2 u/ D

X

Fpj pk .ru/ @j @k u C g.x; u; ru/ D 0;

ˇ uˇ@ D ':

Fpj pk .ru/ @j @k u C g.x; u; ru/ D 0;

ˇ uˇ@ D ':

Consider the family (10.64) H .D 2 u/ D

X

We will prove the following: Proposition 10.10. Assume that the equation (10.63) satisfies the ellipticity condition (10.3) and that @u g.x; u; p/  0. Let   Rn be a bounded domain with smooth boundary, and let ' 2 C 1 .@/ be given. Assume that, for  2 Œ0; 1, any solution u D u to (10.64) has an a priori bound in C 1 ./. Then (10.63) has a solution u 2 C 1 ./. Proof. For w` D @` u, we have, in place of (10.14), (10.65)

X

@j Ajk .ru/ @k w` D @` g.x; u; ru/:

The C 1 -bound on u yields an L1 -bound on g.x; u; ru/, so, as in the proof of Proposition 10.9, we can use Theorem 9.7 and proceed from there to obtain highorder Sobolev estimates on solutions to (10.64). Thus the largest interval J in Œ0; 1 that contains  D 0 and such that (10.64) is solvable for all  2 J is closed. The hypothesis @u g  0 implies that the linearized equation at  D 0 is uniquely solvable, so, as in Lemma 10.1, J is open in Œ0; 1, and the proposition is proved. A simple example of (10.63) is the equation for a surface z D u.x/ of given constant mean curvature H : h i (10.66) hrui3 hrui2 u  D 2 u.ru; ru/ C nH D 0; u D ' on @;

220 14. Nonlinear Elliptic Equations

1=2  which is of the form (10.63), with F .p/ D 1 C jpj2 and g.x; u; p/ D nH . Note that members of the family (10.64) are all of the same type in this case, namely equations for surfaces with mean curvature H . We see that Proposition 10.3 applies to this equation. This implies uniqueness of solutions to (10.66), provided they exist, and also gives a tool to estimate L1 -norms, at least in some cases, by using equations of graphs of spheres of radius 1=H as candidates to bound u from above and below. We can also use such functions to construct barriers, replacing the linear functions used in the proof of Proposition 7.5. This change means that the class of domains and boundary data for which upper and lower barriers can be constructed is different when H ¤ 0 than it is in the minimal surface case H D 0. Note that if u solves (10.66), then w` D @` u solves a PDE of the form (10.14). Thus the maximum principle yields krukL1 ./ D sup@ jru.y/j. Consequently, we have the solvability of (10.66) whenever we can construct barriers to prove the boundary gradient estimate. The methods for constructing barriers described above do not exhaust the results one can obtain on boundary gradient estimates, which have been pushed quite far. We mention a result of H. Jenkins and J. Serrin. They have shown that the Dirichlet problem (10.66) for surfaces of constant mean curvature H is solvable for arbitrary ' 2 C 1 .@/ if and only if the mean curvature ~.y/ of @  Rn satisfies (10.67)

~.y/ 

n jH j; n1

8y 2 @:

In the special case n D 2; H D 0, this implies Proposition 7.3 in this chapter. See [GT] and [Se2] for proofs of this and extensions, including variable mean curvature H.x/, as well as extensive general discussions of boundary gradient estimates. We will have a little more practice constructing barriers and deducing boundary gradient estimates in  13 and 15 of this chapter. See the proofs of Lemma 13.12 and of the estimate (15.54). Results discussed above extend to more general second-order, scalar, quasi-linear PDE. In particular, Proposition 10.10 can be extended to all equations of the form X ˇ (10.68) ajk .x; u; ru/ @j @k u C b.x; u; ru/ D 0; uˇ@ D ': Let ' 2 C 1 .@/ be given. As long as it can be shown that, for each  2 Œ0; 1, a solution to X ˇ (10.69) ajk .x; u; ru/ @j @k u C b.x; u; ru/ D 0; uˇ@ D '; has an a priori bound in C 1 ./, then (10.68) has a solution u 2 C 1 ./. This result, due to O. Ladyzhenskaya and N. Ural’tseva, is proved in [GT] and [LU]. These references, as well as [Se2], also discuss conditions under which one can

Exercises

221

establish a boundary gradient estimate for solutions to such PDE, and when one can pass from that to a C 1 ./-estimate on solutions. The DeGiorgi–Nash–Moser estimates are still a major analytical tool in the proof of this general result, but further work is required beyond what was used to prove Proposition 10.10.

Exercises 1. Carry out the construction of barriers for the equation of a surface of constant mean curvature mentioned below (10.66) and thus obtain some existence results for this equation. Compare these results with the result of Jenkins and Serrin, stated in (10.67). Exercises 2–4 deal with quasi-linear elliptic equations of the form X ˇ (10.70) @j Ajk .x; u/@k u D 0 on ; uˇ@ D ': Assume there are positive functions Aj such that A1 .u/jj2 

X

Ajk .x; u/j k  A2 .u/jj2 :

2. Fix ' 2 C 1 .@/. Consider the operator ˆ.u/ D v, the solution to X ˇ @j Ajk .x; u/@k v D 0; v ˇ@ D ': Show that, for some r > 0, ˆ W C./ ! C r ./; continuously. Use the Schauder fixed-point theorem to deduce that ˆ has a fixed point in fu 2 C./ W sup juj  sup j'jg \ C r ./. 3. Show that this fixed point lies in C 1 ./. 4. Examine whether solutions to (10.70) are unique. 5. Extend results on (10.1) to the case X ˇ (10.71) @j Fpj .x; ru/ D 0; uˇ@ D '; arising from the search for critical points of I.u/ D case considered in (10.2).

R

 F .x; ru/

dx, generalizing the

In Exercises 6–9, we consider a PDE of the form X (10.72) @j aj .x; u; ru/ C b.x; u/ D 0 on : We assume aj and b are smooth in their arguments and jaj .x; u; p/j  C.u/hpi;

jrp aj .x; u; p/j  C.u/:

We make the ellipticity hypothesis X @aj @pk

.x; u; p/j k  A.u/jj2 ;

A.u/ > 0:

222 14. Nonlinear Elliptic Equations 6. Show that if u 2 H 1 ./ \ L1 ./ solves (10.72), then u solves a PDE of the form X @j Ajk .x/@k u C @j c j .x; u/ C b.x; u/ D 0; with

Ajk 2 L1 ;

X

Ajk .x/j k  Ajj2 :

(Hint: Start with aj .x; u; p/ D aj .x; u; 0/ C

e Ajk .x; u; p/ D

Z

X

e Ajk .x; u; p/pk ;

k 1 @aj

0

@pk

.x; u; sp/ ds:/

7. Deduce that if u 2 H 1 ./ \ L1 ./ solves (10.72), then u is H¨older continuous on the interior of . 8. Ifˇ  is a smooth, bounded region in Rn and u 2 H 1 ./ \ L1 ./ satisfies (10.72) and q uˇ@ D ' 2 C 1 .@/, show that u is H¨older continuous on  and that ru 2 M2 ./, for some q > n. 9. If u 2 C 2 ./ satisfies (10.72), show that u` D @` u satisfies   j @j apk .x; u; ru/ @k u` C @j auj .x; u; ru/u` j

C@j ax` .x; u; ru/ C bu .x; u/u` C bx` .x; u/ D 0: Discuss obtaining estimates on u in C 1Cr ./, given estimates on u in C 1 ./.

11. Direct methods in the calculus of variations We study the existence of minima (or other stationary points) of functionals of the form Z (11.1) I.u/ D F .x; u; ru/ dV .x/; 

on some set of functions, such as fu 2 B W u D g on @g, where B is a suitable Banach space of functions on , possibly taking values in RN , and g is a given smooth function on @. We assume  is a compact Riemannian manifold with boundary and (11.2)

F W RN  .RN ˝ T  / ! R is continuous:

Let us begin with a fairly direct generalization of the hypotheses (1.3)–(1.8) made in  1. Thus, let (11.3)

V D fu 2 H 1 .; RN / W u D g on @g:

11. Direct methods in the calculus of variations

223

For now, we assume that, for each x 2 , (11.4)

F .x; ; / W RN  .RN ˝ Tx / ! R is convex;

where the domain has its natural linear structure. We also assume (11.5)

A0 jj2  B0 juj  C0  F .x; u; /;

for some positive constants A0 ; B0 ; C0 , and (11.6)

   jF .x; u; /  F .x; v; /j  C ju  vj C j  j jj C jj C 1 :

These hypotheses will be relaxed below. Proposition 11.1. Assume  is connected, with nonempty boundary. Assume I.u/ < 1 for some u 2 V . Under the hypotheses (11.2)–(11.6), I has a minimum on V . Proof. As in the situation dealt with in Proposition 1.2, we see that I W V ! R is Lipschitz continuous, bounded below, and convex. Thus, if ˛0 D infV I.u/, then (11.7)

K" D fu 2 V W ˛0  I.u/  ˛0 C "g

is, for each " 2 .0; 1, a nonempty, closed, T convex subset of V . Hence K" is weakly compact in H 1 .; RN /. Hence ">0 K" D K0 ¤ ;, and inf I.u/ is assumed on K0 . We will state a rather general result whose proof is given by the argument above. Proposition 11.2. Let V be a closed, convex subset of a reflexive Banach space W , and let ˆ W V ! R be a continuous map, satisfying: (11.8) (11.9) (11.10)

inf ˆ D ˛0 2 .1; 1/; V   9 b > ˛0 such that ˆ1 Œ˛0 ; b is bounded in W;   8 y 2 .˛0 ; b; ˆ1 Œ˛0 ; y is convex.

Then there exists v 2 V such that ˆ.v/ D ˛0 . As above, the proof comes down to the observation that, for 0 < "  b  ˛0 ; K" is a nested family of subsets of W that are compact when W has the weak topology. This result encompasses such generalizations of Proposition 11.1 as the following. Given p 2 .1; 1/; g 2 C 1 .@; RN /, let (11.11)

V D fu 2 H 1;p .; RN / W u D g on @g:

224 14. Nonlinear Elliptic Equations

We continue to assume (11.4), but replace (11.5) and (11.6) by A0 jjp  B0 juj  C0  F .x; u; /;

(11.12)

for some positive A0 ; B0 ; C0 , and (11.13)

  p1 : jF .x; u; /  F .x; v; /j  C ju  vj C j  j jj C jj C 1

Then we have the following: Proposition 11.3. Assume  is connected, with nonempty boundary. Take p 2 .1; 1/, and assume I.u/ < 1 for some u 2 V . Under the hypotheses (11.2), (11.4), and (11.11)–(11.13), I has a minumum on V . It is useful to extend Propositions 11.1 and 11.3, replacing (11.4) by a hypothesis of convexity only in the last set of variables. Proposition 11.4. Make the hypotheses of Proposition 11.1, or more generally of Proposition 11.3, but weaken (11.4) to the hypothesis that F .x; u; / W RN ˝ Tx  ! R is convex,

(11.14)

for each .x; u/ 2   RN . Then I has a minimum on V . Proof. Let ˛0 D infV I.u/. The hypothesis (11.12) plus Poincar´e’s inequality imply that ˛0 > 1 and that (11.15)

B D fu 2 V W I.u/  ˛0 C 1g is bounded in H 1;p .; RN /:

Pick uj 2 B so that I.uj / ! ˛0 . Passing to a subsequence, we can assume (11.16)

uj ! u weakly in H 1;p .; RN /:

Hence uj ! u strongly in Lp .; RN /. We want to show that I.u/ D ˛0 :

(11.17) To this end, set

Z (11.18)

ˆ.u; v/ D

F .x; u; v/ dV .x/: 

With vj D ruj , we have (11.19)

ˆ.uj ; vj / ! ˛0 :

Also vj ! v D ru weakly in Lp .; RN ˝ T  /.

11. Direct methods in the calculus of variations

225

We can conclude that I.u/  ˛0 , and hence (11.17) holds if we show that (11.20)

ˆ.u; v/  ˛0 :

Now, by hypothesis (11.13) we have Z jˆ.uj ; vj /  ˆ.u; vj /j  C (11.21)

 p1 juj  uj jvj j C 1 dV .x/



 C 0 kuj  ukLp ./ ; so (11.22)

ˆ.u; vj / ! ˛0 :

This time, by (11.5), (11.6), and (11.14) we have that, for each " 2 .0; 1, (11.23)

K" D fw 2 Lp .; RN ˝ T  / W ˆ.u; w/  ˛0 C "g

is a closed, convex subset of Lp .; RN ˝ T  /. Hence K" is weakly compact, provided it is nonempty. Furthermore, by (11.22), vj 2 K"j with "j ! 0, so we have v 2 K0 . This implies (11.20), so Proposition 11.4 is proved. The following extension of Proposition 11.4 applies to certain constrained minimization problems. Proposition 11.5. Let p 2 .1; 1/, and let F .x; u; / satisfy the hypotheses of Proposition 11.4. Then, if S is any subset of V (givenˇby (11.11)) that is closed in the weak topology of H 1;p .; RN /, it follows that I ˇS has a minimum in S . Proof. Let ˛0 D infS I.u/, and take uj 2 S; I.uj / ! ˛0 . Since (11.15) holds, we can take a subsequence uj ! u weakly in H 1;p .; RN /, so u 2 S . We want to show that I.u/ D ˛0 . Indeed, if we form ˆ.u; v/ as in (11.18), then the argument involving (11.19)–(11.23) continues to hold, and our assertion is proved. For example, if X  RN is a closed subset, we could take (11.24)

S D fu 2 V W u.x/ 2 X for a.e. x 2 g;

and Proposition 11.5 applies. As a specific example, X could be a compact Riemannian manifold, isometrically imbedded in RN , and we could take p D 2; F .x; u; ru/ D jruj2 . The resulting minimum of I.u/ is a harmonic map of  into X . If u W  ! X is a harmonic map, it satisfies the PDE (11.25)

u  .u/.ru; ru/ D 0;

226 14. Nonlinear Elliptic Equations

where .u/.ru; ru/ is a certain quadratic form in ru. See  2 of Chap. 15 for a derivation. A generalization of the notion of harmonic map arises in the study of “liquid crystals.” One takes (11.26) F .x; u; ru/ D a1 jruj2 C a2 .div u/2 C a3 .u  curl u/2 C a4 ju  curl uj2 ; where Rthe coefficients aj are positive constants, and then one minimizes the functional  F .x; u; ru/ dV .x/ over a set S of the form (11.24), with X D S 2  R3 , namely, over (11.27)

S D fu 2 H 1 .; R3 / W ju.x/j D 1 a.e. on ; u D g on @g:

In this case, F .x; u; / has the form X 2 bj˛ .u/j˛ ; F .x; u; / D

bj;˛ .u/  a1 > 0;

j;˛

where each coefficient bj˛ .u/ is a polynomial of degree 2 in u. Clearly, this function is convex in . The function F .x; u; / does not satisfy (11.6); hence, in going through the argument establishing Proposition 11.4, we would need to replace the p D 2 case of (11.22) by Z (11.28) jˆ.uj ; vj /  ˆ.u; vj /j  C juj  uj  jvj j2 dV .x/: 

The following result covers integrands of the form (11.26), as well as many others. It assumes a slightly bigger lower bound on F than the previous results, but it greatly relaxes the hypotheses on how rapidly F can vary. Theorem 11.6. Assume  is connected, with nonempty boundary. Take p 2 .1; 1/, and set V D fu 2 H 1;p .; RN / W u D g on @g: Assume I.u/ < 1 for some u 2 V . Assume that F .x; u; / is smooth in its arguments and satisfies the convexity condition (11.14) in  and the lower bound (11.29)

A0 jjp  F .x; u; /;

for some A0 > 0. Then I has a minimum on V . 1;p N Also, ˇ if S is a subset of V that is closed in the weak topology of H .; R /, then I ˇS has a minimum in S .

11. Direct methods in the calculus of variations

227

Proof. Clearly, ˛0 D infS I.u/  0. With B as in (11.15), pick uj 2 B \ S so that I.uj / ! ˛0 ;

(11.30)

uj ! u weakly in H 1;p .; RN /:

Passing to a subsequence, we can assume uj ! u a.e. on . We need to show that Z (11.31) F .x; u; ru/ dV  ˛0 : 

By Egorov’s theorem, we can pick measurable sets E EC1    in , of measure < 2 , such that uj ! u uniformly on  n E . We can also arrange that ju.x/j C jru.x/j  C  2 ; for x 2  n E :

(11.32) Now, we have Z

Z F .x; u; ru/ dV D

nE

F .x; uj ; ruj / dV nE

Z

C

(11.33)

nE

Z

C



 F .x; uj ; ru/  F .x; uj ; ruj / dV



 F .x; u; ru/  F .x; uj ; ru/ dV:

nE

To estimate the second integral on the right side of (11.33), we use the convexity hypothesis to write (11.34)

F .x; uj ; ru/  F .x; uj ; ruj /  D F .x; uj ; ru/  .ru  ruj /:

Now, for each , (11.35)

D F .x; uj ; ru/ ! D F .x; u; ru/; uniformly on  n E ;

while ru  ruj ! 0 weakly in Lp .; Rn /, so Z (11.36)

lim

j !1



 F .x; uj ; ru/  F .x; uj ; ruj / dV D 0:

nE

Estimating the last integral in (11.33) is easy, since (11.37)

F .x; u; ru/  F .x; uj ; ru/ ! 0;

uniformly on  n E :

228 14. Nonlinear Elliptic Equations

Thus, from our analysis of (11.33), we have Z

Z F .x; u; ru/ dV  lim sup

(11.38)

j !1

nE

F .x; uj ; ruj / dV  ˛0 ; nE

for all , and taking  ! 1 gives (11.31). The theorem is proved. There are a number of variants of the results above. We mention one: Proposition 11.7. Assume that F is smooth in .x; u; /, that F .x; u; /  0;

(11.39) and that (11.40)

F .x; u; / W RN ˝ Tx  ! R is convex,

for each x; u. Suppose (11.41)

1;1 .; RN /: u ! u weakly in Hloc

Then (11.42)

I.u/  lim inf I.u /: !1

For a proof, and other extensions, see [Gia] or [Dac]. It is a result of J. Serrin [Se1] that, in the case where u is real-valued, the hypothesis (11.41) can be weakened to (11.43)

1;1 u ; u 2 Hloc ./;

u ! u in L1loc ./:

In [Mor2] there is an attempt to extend Serrin’s result to systems, but it was shown by [Eis] that such an extension is false. In [Dac] there is also a discussion of a replacement for convexity, due to Morrey, called “quasi-convexity.” For other contexts in which the convexity hypothesis is absent, and one often looks not for a minimizer but some sort of saddle point, see [Str2] and [Gia2]. In this section we have obtained solutions to extremal problems, but these solutions lie in Sobolev spaces with rather low regularity. The problem of higher regularity for such solutions is considered in  12.

Exercises 1. In Theorem 11.6, take p > n D dim  D N , and consider S D fu 2 V W det Du D 1; a.e. on g:

12. Quasi-linear elliptic systems

229

Show that S is closed in the weak topology of H 1;p .; Rn / and hence that Theorem 11.6 applies. (Hint: See (6.35)–(6.36) of Chap. 13.) 2. In Theorem 11.6, take p 2 .1; 1/;   Rn ; N D 1. Let h 2 C 1 ./, and consider S D fu 2 V W u  h on g: Show that S is closed in the weak topology of H 1;p ./ and hence that Theorem 11.6 applies. ˇ Say I ˇS achieves its minimum at u, and suppose you are given that u 2 C./, so O D fx 2  W u.x/ > h.x/g is open. Assume also that @F=@j and @F=@u satisfy convenient bounds. Show that, on O; u satisfies the PDE X @j Fj .x; u; ru/ C Fu .x; u; ru/ D 0: j

For more on this sort of variational problem, see [KS].

12. Quasi-linear elliptic systems Here we (partially) extend the study of the scalar equation (10.1) to a study of an N  N system (12.1)

jk

A˛ˇ .ru/@j @k uˇ D 0 on ;

u D ' on @;

where ' 2 C 1 .@; RN / is given. The hypothesis of strong ellipticity used previously is (12.2)

X

2 2 Ajk ˛ˇ .p/v˛ vˇ j k  C jvj jj ;

C > 0;

.p/ satisfy the very strong ellipticity but many nonlinear results require that Ajk ˛ˇ hypothesis: (12.3)

X

Ajk .p/j˛ kˇ  jj2 ; ˛ˇ

> 0:

We mention that, in much of the literature, (12.3) is called strong ellipticity and (12.2) is called the “Legendre–Hadamard condition.” In the case when (12.1) arises from minimizing the function Z (12.4)

I.u/ D

F .ru/ dx; 

230 14. Nonlinear Elliptic Equations

we have .p/ D @pj˛ @pkˇ F .p/: Ajk ˛ˇ

(12.5)

In such a case, (12.3) is the statement that F .p/ is a uniformly strongly convex function of p. If (12.5) holds, (12.1) can be written as (12.6)

X

@j G˛j .ru/ D 0 on ;

u D ' on @I

G˛j .p/ D @pj˛ F .p/:

j

We will assume a0 jpj2  b0  F .p/  a1 jpj2 C b1 ;

(12.7)

jG˛j .p/j  C0 hpi;

jAjk .p/j  C1 : ˛ˇ

These are called “controllable growth conditions.” If (12.5) holds, then jk

(12.8)

@j G˛j .ru/  @j G˛j .rv/ D @j A˛ˇ .x/@k .uˇ  v ˇ /; Z 1   Ajk sru C .1  s/rv ds: .x/ D Ajk ˛ˇ ˛ˇ 0

This leads to a uniqueness result: Proposition 12.1. Assume   Rn is a smoothly bounded domain, and assume that (12.3) and (12.7) hold. If u; v 2 H 1 .; RN / both solve (12.6), then u D v on . Proof. By (12.8), we have Z

jk

A˛ˇ .x/ @j .u˛  v ˛ / @k .uˇ  v ˇ / dx D 0;

(12.9) 

so (12.3) implies @j .u  v/ D 0, which immediately gives u D v. P Let X D b ` @` be a smooth vector field on , tangent to @. If we knew that u 2 H 2 ./, we could deduce that uX D X u is the unique solution in H 1 .; RN / to X X (12.10) @j Ajk .ru/ @k uX D @j f j C g; uX D X' on @; where (12.11)

f j D Ajk .ru/.@k b ` /.@` u/ C .@` b j /G˛` .ru/; g D .@` @j b ` /G˛j .ru/:

12. Quasi-linear elliptic systems

231

Under the growth hypothesis (12.7), jf j .x/j  C jru.x/j, so kf j kL2 ./  C krukL2 ./ . Similarly, kgkL2 ./  C krukL2 ./ C C . Hence, we can say that (12.10) has a unique solution, satisfying (12.12)

  kuX kH 1 ./  C kukH 1 ./ C k'kH 2 ./ C 1 :

It is unsatisfactory to hypothesize that u belong to H 2 ./, so we replace the differentiation of (12.6) by taking difference quotients. Let FXt denote the flow on  generated by X , and set uh D u ı FXh . Then uh extremizes a functional Z Ih .uh / D

(12.13)

Fh .x; ruh / dx; 

where Fh .x; p/ depends smoothly on .h; x; p/ and F0 .x; p/ D F .p/. (In fact, (12.13) is simply (12.4), after a coordinate change.) Thus uh satisfies the PDE (12.14)

@j .@pj˛ Fh /.x; ruh / D 0;

uh D 'k on @:

Applying the fundamental theorem of calculus to the difference of (12.14) and (12.6), we have (12.15)

@j Ajk .x/ @k ˛ˇ h

 uˇ  uˇ  j h D @j H˛h .x; ruh /; h

where Ajk .x/ is as in (12.8), with v D uh , and ˛ˇ h (12.16)

j

H˛h .x; p/ D

Z

h 0

d .@pj˛ Fs /.x; p/ ds: ds

As in the analysis of (12.10), we have (12.17)

  kh1 .uh  u/kH 1 ./  C kukH 1 ./ C k'kH 2 ./ C 1 :

Taking h ! 0, we have uX 2 H 1 .; RN /, with the estimate (12.12). From here, a standard use of ellipticity, parallel to the argument in (10.21)–(10.25), gives an H 1 -bound on a transversal derivative of u; hence u 2 H 2 .; Rn /, and (12.18)

  kukH 2 ./  C kukH 1 ./ C k'kH 2 ./ C 1 :

As in the scalar case, one of the keys to the further analysis of a solution to (12.6) is an examination of regularity for solutions to linear elliptic systems with L1 -coefficients. Thus we consider linear operators of the form

232 14. Nonlinear Elliptic Equations

(12.19)

Lu D b.x/

1

n X

  @j Ajk .x/b.x/ @k u ;

j;kD1

Compare with (9.1). Here u takes values in RN and each Ajk is an N  N matrix, with real-valued entries Ajk 2 L1 ./. We assume Ajk D Akj . As in (12.3), ˛ˇ ˛ˇ ˇ˛ we make the hypothesis (12.20)

1 jj2 

X

Ajk .x/j˛ kˇ  0 jj2 ; ˛ˇ

0 > 0;

jk

of very strong ellipticity. Thus A˛ˇ defines a positive-definite inner product h ; i on T  ˝ RN . We also assume (12.21)

0 < C0  b.x/  C1 :

Then b.x/ dx D dV defines a volume element, and, for ' 2 C01 .; RN /, Z (12.22)

.Lu; '/ D 

hru; r'i dV: 

We will establish the following result of [Mey]. Proposition 12.2. Let   Rn be a bounded domain with smooth boundary, let fj 2 Lq .; RN / for some q > 2, and let u be the unique solution in H01;2 ./ to (12.23)

Lu D

X

@j fj :

Assume L has the form (12.19), with coefficients Ajk 2 L1 ./, satisfying (12.20), and b 2 C 1 ./, satisfying (12.21). Then u 2 H 1;p ./, for some p > 2. Proof. We define the affine map (12.24)

T W H01;p ./ ! H01;p ./

as follows. Let  be the Laplace operator on , endowed with a smooth Riemannian metric whose volume element is dV D b.x/ dx, and adjust 0 ; 1 so (12.20) holds when jj2 is computed via the inner product . ; / on T  ˝ RN associated with this metric, so that Z (12.25) .u; '/ D  .ru; r'/ dV: 

12. Quasi-linear elliptic systems

233

Then we define T w D v to be the unique solution in H01;2 ./ to (12.26)

1 v D w  1 1 Lw C 1

X

@j fj :

p The mapping property (12.24) P holds for 2  p  q, by the L -estimates of Chap. 13. In fact, if v D @j gj ; v 2 H01;2 ./, then

(12.27)

krvkLp ./  C.p/kgkLp ./ :

If we fix r > 2, then, for 2  p  r, interpolation yields such an estimate, with (12.28)

 1 1 C D ; 2 r p

C.p/ D C.r/ ;

i.e.,  D

r p2 : p r 2

Hence C.p/ & 1, as p & 2. Now we see that T w1  T w2 D v1  v2 satisfies (12.29)

  .v1  v2 / D   1 1 L .w1  w2 / D rg;

where (12.30)

gj˛ D @j .w1˛  w2˛ /  1 1 A˛ˇ @k .w1  w2 /; jk

ˇ

ˇ

and hence, under our hypotheses, (12.31)

 0  kr.w1  w2 /kLp ./ ; kgkLp ./  1  1

so (12.32)

 0  kr.w1  w2 /kLp ./ ; kr.v1  v2 /kLp ./  C.p/ 1  1

  for 2  p  q. We see that, for some p > 2; C.p/ 1  0 =1 < 1; hence T is a contraction on H 1;p ./ in such a case. Thus T has a unique fixed point. This fixed point is u, so we have u 2 H01;p ./, as claimed. Corollary 12.3. With hypotheses as in Proposition 12.2, given a function H 1;q ./, the unique solution u 2 H 1;2 ./ satisfying (12.23) and (12.33)

uD

on @

also belongs to H 1;p ./, for some p > 2.

2

234 14. Nonlinear Elliptic Equations

Proof. Apply Proposition 12.2 to u 

.

Let us return to the analysis of a solution u 2 H 1 .; RN / to the nonlinear system (12.6), under the hypotheses of Proposition 12.1. Since we have established that u 2 H 2 .; RN /, we have a bound (12.34)

krukLq ./  A;

q > 2:

In fact, this holds with P q` D 2n=.n  2/ if n  3, and for all q < 1 if n D 2. As above, if X D b @` is a smooth vector field on , tangent to @, then uX D X u is the unique solution in H 1 .; RN / to (12.10), and we can now say that f j 2 Lq ./. Thus Corollary 12.3 gives (12.35)

X u 2 H 1;p ./;

for some p > 2;

with a bound, and again a standard use of ellipticity gives an H 1;p -bound on a transversal derivative of u. We have established the following result. Theorem 12.4. If u 2 H 1 .; RN / solves (12.6) on a smoothly bounded domain  2 Rn , and if the very strong ellipticity hypothesis (12.3) and the controllable growth hypothesis (12.7) hold, then u 2 H 2;p .; RN /, for some p > 2, and   (12.36) kukH 2;p ./  C krukL2 ./ C k'kH 2;q ./ C 1 : The case n D dim  D 2 of this result is particularly significant, since, for p > n, H 1;p ./  C r ./; r > 0. Thus, under the hypotheses of Theorem 12.4, we have u 2 C 1Cr ./, for some r > 0, if n D 2. Then the material of  8 applies to (12.1), so we have the following: Proposition 12.5. If u 2 H 1 .; RN / solves (12.6) on a smoothly bounded domain   R2 , and the hypotheses (12.3) and (12.7) hold, then u 2 C 1 ./, provided ' 2 C 1 .@/. When n D 2, we then have existence of a unique smooth solution to (12.1), given ' 2 C 1 .@/. In fact, we have two routes to such existence. We could obtain a minimizer u 2 H 1 .; RN / for (12.4), subject to the condition that ˇ ˇ u @ D ', by the results of  11, and then apply Proposition 12.5 to deduce smoothness. Alternatively, we could apply the continuity method, to solve (12.37)

Ajk .ru/@j @k uˇ D 0 on ; ˛ˇ

u D ' on @:

This is clearly solvable for  D 0, and the proof that the biggest -interval J  Œ0; 1, containing 0, on which (12.37) has a unique solution u 2 C 1 ./, is both open and closed is accomplished along lines similar to arguments in  10. However, unlike in  10, we do not need to establish a sup-norm bound on ru, or even on u; we make do with an H 1 -norm bound, which can be deduced from (12.3) as follows.

12. Quasi-linear elliptic systems

235

If Ajk ˛ˇ .x/ is given by (12.8), with v D ', we have Z (12.38)

Ajk .x/ @k .uˇ  ' ˇ / @j .u˛  ' ˛ / dx ˛ˇ



Z @j G˛j .r'/.u˛  ' ˛ / dx;

D 

for a solution to (12.37) (in case  D 1). Hence (12.39)

kr.u  '/k2L2 ./  C ku  'kL2 ./ :

Note the different exponents. We have ku  'k2L2 ./  C2 kr.u  '/k2L2 ./ , by Poincar´e’s inequality, so (12.40)

ku  'kL2 ./ 

C :

C2

Plugging this back into (12.39) gives (12.41)

kr.u  '/k2L2 ./ 

C2 ;

2 C2

which implies the desired H 1 -bound on u. Once we have the H 1 -bound on u D u , (12.36) gives an H 2;p -bound for some p > 2, hence a bound in C 1Cr ./, for some r > 0. Then the results of  8 give bounds in higher norms, sufficient to show that J is closed. Proposition 12.5 does not in itself imply all the results of  10 when dim  D 2, since the hypotheses (12.3) and (12.7) imply that (12.1) is uniformly elliptic. For example, the minimal surface equation is not covered by Proposition 12.5. However, it is a simple matter to prove the following result, which does (essentially) contain the n D 2 case of Theorem 10.2. Proposition 12.6. Assume Ajk ˛ˇ .p/ is smooth in p and satisfies (12.42)

2 Ajk ˛ˇ .p/j˛ kˇ  C.p/jj ;

C.p/ > 0:

Let   R2 be a smoothly bounded domain. Then the Dirichlet problem (12.1) has a unique solution u 2 C 1 ./, provided one has an a priori bound (12.43)

kru kL1 ./  K;

for all smooth solutions u D u to (12.37), for  2 Œ0; 1.

236 14. Nonlinear Elliptic Equations

Proof. Use the method of continuity, as above. To prove that J is closed, simply e .p/, satisfying (12.3) and (12.7). modify F .p/ on fp W jpj  K C 1g to obtain F The solution u to (12.1) for  2 J also solves the modified equation, for which (12.36) works, so as above we have strong norm bounds on u as  approaches an endpoint of J . Recall that, for scalar equations, (12.43) follows from a boundary gradient estimate, via the maximum principle. The maximum principle is not available for general elliptic N  N systems, even under the very strong ellipticity hypothesis, so (12.43) is then a more severe hypothesis. Moving beyond the case n D 2, we need to confront the fact that solutions to elliptic PDE of the form (12.1) need not be smooth everywhere. A number of examples have been found; we give one of J. Necas [Nec], where Ajk .p/ in ˛ˇ ˛ (12.1) has the form (12.5), satisfying (12.3), such that F .p/ satisfies jD F .p/j  C˛ hpij˛j jpj2 ; 8 ˛  0. Namely, take F .ru/ D (12.44)

@uij @ukk 1 @uij @uij C 2 @xk @xk 2 @xi @xj C

@uij @uak @u`b @ujk hrui2 ; @xi @xa @x` @xb 2

where u takes values in Mnn Rn , and we set (12.45)

D2

n3  1 ; n.n  1/.n3  n C 1/

D

4 C n : n2  n C 1

Since ; ! 0 as n ! 1, we have ellipticity for sufficiently large n. But for any n, (12.46)

uij .x/ D

xi xj jxj

is a solution to (12.1). Thus u is Lipschitz but not C 1 on every neighborhood of 0 2 Rn . See [Gia] for other examples. Also, when one looks at more general classes of nonlinear elliptic systems, there are examples of singular solutions even in the case n D 2; this is discussed further in  12B. We now discuss some results known as partial regularity, to the effect that solutions u 2 H 1 .; RN / to (12.1) can be singular only on relatively small subsets of . We will measure how small the singular set is via the Hausdorff s-dimensional measure Hs , which is defined for s 2 Œ0; 1/ as follows. First, given  > 0; S  Rn , set ( ) [ X  s Yj ; diam Yj   : diam Yj W S  (12.47) hs; .S / D inf j 1

j 1

12. Quasi-linear elliptic systems

237

Here diam Yj D supfjx  yj W x; y 2 Yj g. Each set function hs; is an outer measure on Rn . As  decreases, hs; .S / increases. Set hs .S / D lim hs; .S /:

(12.48)

!0

Then hs .S / is an outer measure. It is seen to be a metric outer measure, that is, if A; B  Rn and inffjx  yj W x 2 A; y 2 Bg > 0, then hs .A [ B/ D hs .A/ C hs .B/. It follows by a fundamental theorem of Caratheodory that every Borel set in Rn is hs -measurable. For any hs -measurable set A, we set Hs .A/ D s hs .A/;

(12.49)

s D

s=2 2s ; . 2s C 1/

the factor s being picked so that if k  n is an integer and S  Rn is a smooth, kdimensional surface, then Hk .S / is exactly the k-dimensional surface area of S . Treatments of Hausdorff measure can be found in [EG, Fed, Fol]. Our next goal will be to establish the following result. Assume n  3. Theorem 12.7. If   Rn is a smoothly bounded domain and u 2 H 1 .; RN / solves (12.1), then there exists an open 0   such that u 2 C 1 .0 / and Hr . n 0 / D 0; for some r < n  2:

(12.50)

We know from Theorem 12.4 that u 2 H 2;p .; RN /, for some p > 2. Hence (12.10) holds for derivatives of u; in particular, u` D @` u H) u` 2 H 1;p .; RN /

(12.51) and

@j Ajk .ru/@k u` D 0;

(12.52)

1  `  n:

Regarding this as an elliptic system for v D .@1 u; : : : ; @n u/, we see that to establish Theorem 12.7, it suffices to prove the following: Proposition 12.8. Assume that v 2 H 1;p .; RM /, for some p > 2, and that v solves the system @j Ajk .x; v/ @k v D 0;

(12.53) jk

where A˛ˇ .x; v/ is uniformly continuous in .x; v/ and satisfies (12.54)

jk

1 jj2  A˛ˇ .x; v/j˛ kˇ  0 jj2 ;

0 > 0:

Then there is an open 0   such that v is H¨older continuous on 0 , and (12.50) holds.

238 14. Nonlinear Elliptic Equations

In turn, we will derive Proposition 12.8 from the following more precise result: Proposition 12.9. Under the hypotheses of Proposition 12.8, consider the subset †   defined by (12.55)

x 2 † ” lim inf Rn

Z jv.y/  vx;R j2 dy > 0;

R!0

BR .x/

where (12.56)

vx;R D AvgBR .x/ v D

1 Vol BR .x/

Z v.y/ dy: BR .x/

Then (12.57)

Hr .†/ D 0; for some r < n  2;

e of  such that v is H¨older continuous on 0 D and † contains a closed subset † e  n †. Note that every point of continuity of v belongs to  n †; it follows from Proposition 12.9 that v is H¨older continuous on a neighborhood of every point of continuity, under the hypotheses of Proposition 12.8. As Lemma 12.11 will show, for this fact we need assume only that u 2 H 1;2 , instead of u 2 H 1;p for some p > 2. Let us first prove that †, defined by (12.55), has the property (12.57). First, by Poincar´e’s inequality, Z

n

(12.58)

†  x 2  W lim inf R

o jrv.y/j2 dy > 0 :

2n

R!0

BR .x/

Since rv 2 Lp ./ for some p > 2, H¨older’s inequality implies (12.59)

Z n †  x 2  W lim inf Rpn

o jrv.y/jp dy > 0 :

R!0

BR .x/

Therefore, (12.57) is a consequence of the following. Lemma 12.10. Given w 2 L1 ./; 0  s < n, let (12.60)

Z n Es D x 2  W lim sup r s r!0

Br .x/

o jw.y/j dy > 0 :

12. Quasi-linear elliptic systems

239

Then HsC" .Es / D 0;

(12.61)

8 " > 0:

It is actually true that Hs .Es / D 0 (see [EG] and [Gia]), but to shorten the argument we will merely prove the weaker result (12.61), which will suffice for our purposes. In fact, we will show that Hs .Esı / < 1;

(12.62) where

8 ı > 0;

Z n Esı D x 2  W lim sup r s r!0

o jw.y/j dy  ı :

Br .x/

This implies that HsC" .Esı / D 0; 8 " > 0, and since Es D yields (12.61). As a tool in the argument, we use the following:

S

n Es;1=n ,

this

Vitali covering lemma. Let C be a collection of closed balls in Rn (with positive radius) such that diam B < C0 < 1, for all B 2 C. Then there exists a countable family F of disjoint balls in C such that [

(12.63)

B2F

b B

[

B;

B2C

b is a ball concentric with B, with five times its radius. where B Sketch of proof. Take Cj D fB 2 C W 2j C0  diam B < 21j C0 g. Let F1 be a maximal disjoint collection of balls in C1 . Inductively, let Fk be a maximal disjoint set of balls in fB 2 Ck W B disjoint from all balls in F1 ; : : : ; Fk1 g: Then set F D

S

Fk . One can then verify (12.63).

To begin the proof of (12.62), note that, for each  > 0; Esı is covered by a collection C of balls Bx of radius rx < , such that Z jw.y/j dy  ırxs :

(12.64) Bx

Thus there is a collection F of disjoint balls B in C (of radius r ) such that b g covers Esı , so (12.63) holds. In particular, fB

240 14. Nonlinear Elliptic Equations

(12.65)

hs;5 .Esı /

 Cn

X

rs



Z Cn  ı S

jw.y/j dy 

Cn kwkL1 ./ ; ı

B

where Cn is independent of . This proves (12.62) and hence Lemma 12.10. Thus we have (12.57) in Proposition 12.9. To prove the other results stated in that proposition, we will establish the following: Lemma 12.11. Given  2 .0; 1/, there exist constants "0 D "0 .; n; M; 1 0 1 /;

R0 D R0 .; n; M; 1 0 1 /;

and furthermore there exists a constant A0 D A0 .n; M; 1 0 1 /; independent of , such that the following holds. If u 2 H 1 .; RM / solves (12.53) and if, for some x0 2  and some R < R0 .x0 / D min.R0 ; dist.x0 ; @//; we have (12.66)

U.x0 ; R/ < "20 ;

where (12.67)

U.x0 ; R/ D R

n

Z ju.y/  ux0 ;R j2 dy;

BR .x0 /

then (12.68)

U.x0 ; R/  2A0  2 U.x0 ; R/:

Let us show how this result yields Proposition 12.9. Pick ˛ 2 .0; 1/, and choose  2 .0; 1/ such that 2A0  22˛ D 1. Suppose x0 2  and R < min.R0 ; dist.x0 ; @//, and suppose (12.66) holds. Then (12.68) implies U.x0 ; R/   2˛ U.x0 ; R/: In particular, U.x0 ; R/ < U.x0 ; R/ < "20 , so inductively the implication (12.66) ) (12.68) yields U.x0 ;  k R/   2˛k U.x0 ; R/:

12. Quasi-linear elliptic systems

241

Hence, for  < R, (12.69)

U.x0 ; /  C

  2˛ R

U.x0 ; R/:

Note that, for fixed R > 0; U.x0 ; R/ is continuous in x0 , so if (12.66) holds at x0 , then we have U.x; R/ < "20 for every x in some neighborhood Br .x0 / of x0 , and hence   2˛ U.x; /  C U.x; R/; x 2 Br .x0 /I R that is, we have Z ju.y/  ux; j2 dy  CnC2˛ (12.70) B .x/

uniformly for x 2 Br .x0 /. This implies, by Proposition A.2,   (12.71) u 2 C ˛ Br .x0 / : In fact, we can say more. Extending some of the preliminary results of  9, we have, for a solution u 2 H 1 ./ of (12.53), estimates of the form Z 2 2 (12.72) krukL2 .B .x//  C ju.y/  ux; j2 dyI =2

B .x/

see Exercise 2 below. Consequently, (12.70) implies (12.73)

ˇ ruˇBr .x

0/

 q 2 M2 Br .x0 / ;

qD

n : 1˛

which by Morrey’s lemma implies (12.71). Thus, granted Lemma 12.11, Proposition 12.9 is proved, with (12.74)

0 D fx0 2  W

inf

R
U.x0 ; R/ < "20 g;

e since clearly †  n 0 D †. The proof of Lemma 12.11 (following the exposition in [Gia]) evolved from work of E. DeGiorgi [DeG2] and F. Almgren [Alm2] on regularity for minimal surfaces. It consists of blowing up small neighborhoods of x0 and obtaining a limiting PDE for a limit of the resulting dilations of u. As a preliminary to the proof of Lemma 12.11, we first identify the constant A0 . Lemma 12.12. There is a constant A0 D A0 .n; M; 1 =0 / such that whenever jk b˛ˇ are constants satisfying (12.75)

1 jj2 

X

jk b˛ˇ j˛ kˇ  0 jj2 ;

0 > 0;

242 14. Nonlinear Elliptic Equations

 the following holds. If u 2 H 1 B1 .0/; RM / solves jk @j b˛ˇ @k uˇ D 0 on B1 .0/;

(12.76) then, for all  2 .0; 1/,

U.0; /  A0 2 U.0; 1/:

(12.77)

Proof. For  2 .0; 1=2, we have Z (12.78) U.0; /  2n jru.y/j2 dy  Cn 2 kruk2L1 .B1=2 .0// : B .0/

On the other hand, regularity for the constant-coefficient, elliptic PDE (12.76) readily yields an estimate (12.79)

kruk2L1 .B1=2 .0//  B0 kruk2L2 .B

3=4 .0//

 B1 ku  u0;1 k2L2 .B

1 .0//

;

with Bj D Bj .n; M; 1 =0 /, from which (12.77) easily follows. We now tackle the proof of Lemma 12.11. If the conclusion (12.68) is false, then there exist  2 .0; 1/ and x 2 ; " ! 0; R ! 0, and u 2 H 1 .; RM /, solving (12.53), such that U .x ; R / D "2 ;

(12.80)

U .x ; R / > 2A0  2 "2 :

To implement the dilation argument mentioned above, we set   (12.81) v .x/ D "1  u .x C R x/  ux ;R : Then v solves (12.82)

 jk  @j A˛ˇ x C R x; " v .x/ C ux ;R @k vˇ D 0 on B1 .0/:

If we set V .0; / D 

n

Z jv .y/  v0; j2 dy

B .0/

(12.83) D

n n R "2  

Z ju .y/  ux ;R j2 dy;

BR .x /

we have (since v0;1 D 0) (12.84)

V .0; 1/ D kv k2L2 .B

1 .0//

D 1;

V .0; / > 2A0  2 :

12. Quasi-linear elliptic systems

243

Passing to a subsequence, we can assume that (12.85)

 v ! v weakly in L2 B1 .0/; RM /;

" v ! 0 a.e. in B1 .0/:

Also (12.86)

jk Ajk ˛ˇ .x ; ux ;R / ! b˛ˇ ;

an array of constants satisfying (12.75). The uniform continuity of Ajk then im˛ˇ plies (12.87)

  jk Ajk a.e. in B1 .0/: x C R x; " v .x/ C ux ;R ! b˛ˇ ˛ˇ

Now, as in (12.72), the fact that v solves (12.82) implies (12.88)

kv kH 1 .B .0//  C ;

8  < 1:

Hence, passing to a further subsequence if necessary, we have (12.89)

  v ! v strongly in L2loc B1 .0/ ;   rv ! rv weakly in L2loc B1 .0/ :

Since the functions in (12.87) are uniformly bounded on B1 .0/, these results imply that we can pass to the limit in (12.82), to conclude that (12.90)

jk @j b˛ˇ @k v ˇ D 0

on B1 .0/:

Then Lemma 12.12 implies (12.91)

V .0; /  A0  2 V .0; 1/;

which is  A0  2 by (12.85). On the other hand, (12.89) implies (12.92)

V .0; /  2A0  2

if (12.80) holds. This contradiction proves Lemma 12.11. Hence the proof of Proposition 12.9 is complete, so we have Theorem 12.7. Theorem 12.7 can be extended to a result on partial regularity up to the boundary (see [Gia]). There is a condition more general than strong convexity on the integrand in (12.4), known as “quasi-convexity,” under which extrema for (12.4) have been shown to possess partial regularity of the sort established in Theorem 12.7 (see [Ev3]).

244 14. Nonlinear Elliptic Equations

There are also some results on regularity everywhere for stationary points of (12.4) when  has dimension  3. A notable result of [U] is that such solutions are smooth on  provided F .ru/ in (12.4), in addition to being strongly convex in ru and satisfying the controllable growth conditions, depends only on jruj2 . A proof can also be found in [Gia].

Exercises In Exercises 1–3, we consider an N  N system X X jk @j fj˛ on B1 D fx 2 Rn W jxj < 1g; (12.93) @j A˛ˇ .x/@k uˇ D under the very strong ellipticity hypothesis (12.20). Assume fj 2 L2 .B1 /. 1. Show that, with C D C.0 ; 1 /, X kfj kL2 .B1 / : (12.94) krukL2 .B1=2 /  C kukL2 .B1 / C C (Hint: Extend (9.6).) 2. Let ır v.x/ D v.rx/. Show that, for r 2 .0; 1, (12.95)

kır .ru/kL2 .B1=2 /  C r 1 kır .u  u/kL2 .B1 / C C

X

kır fj kL2 .B1 / ;

where u D AvgB1 u. (Hint: First apply a dilation argument to (12.94). Then apply the result to u  u:) This sort of estimate is called a “Caccioppoli inequality.” 3. Deduce from Exercise 2 that if u 2 H 1 ./ solves (12.93), then (12.96) X 2n kır .ru/kL2 .B1=2 /  C kır .ru/kLq .B1 / C C kır fj kL2 .B1 / ; q D < 2: nC2 This sort of estimate is sometimes called a “reverse H¨older inequality.” 4. Deduce from (12.95) that if u 2 H 1 ./ solves (12.93), then, for 0 < r < 1, (12.97)

p

u 2 C r .B1 /; fj 2 M2 .B1 /; p D

n p H) ru 2 M2 .B1=2 /: 1r

Compare (9.41)–(9.42).   5. Let C.p/ be the constant in (12.27), in case  D B1 . Show that if C.n/ 1  0 =1 < 1, then a solution u 2 H01 ./ to (12.93) is H¨older continuous on B 1 , provided fj 2 Lq .B1 / for some q > n. Consider the problem of obtaining precise estimates on C.p/ in this case.

12B. Further results on quasi-linear systems Regularity questions can become more complex when lower-order terms are added to systems of the form (12.1). In fact, there are extra complications even for solutions to a semilinear system of the form (12b.1)

Lu C B.x; u; ru/ D f;

12B. Further results on quasi-linear systems

245

where L is a second-order, linear elliptic differential operator and B.x; u; p/ is smooth in its arguments. One limitation on what one could possibly prove is given by the following example of J. Frehse [Freh], namely that (12b.2)

u1 .x/ D sin log log jxj1 ;

u2 .x/ D cos log log jxj1

provides a bounded, weak solution to the 2  2 system 2.u1 C u2 / jruj2 D 0; 1 C juj2 2.u2  u1 / u2 C jruj2 D 0; 1 C juj2

u1 C (12b.3)

belonging to H 1 .B/, for any ball B  R2 , centered at the origin, of radius r < 1. Evidently, u is not continuous at the origin; one can also see that ru does not belong to Lp .B/ for any p > 2. (After all, that would force u to be H¨older continuous.) Thus Theorem 12.4 and Proposition 12.5 do not extend to this case. The following result shows that if a weak solution to such a semilinear system as (12b.1) has any H¨older continuity, then higher-order regularity results hold. Proposition 12B.1. Assume u 2 H 1 solves (12b.1) and B.x; u; p/ is a smooth function of its arguments, satisfying jB.x; u; p/j  C hpi2 :

(12b.4) Then, given r > 0; s > 1,

u 2 C r ; f 2 Cs H) u 2 CsC2 :

(12b.5) Proof. Write

u D Ef  EB.x; u; ru/;

(12b.6)

mod C 1 ;

2 is a parametrix for the elliptic operator L. We have Ef 2 where E 2 OPS1;0 sC2 C , and, since u 2 H 1 ) B.x; u; ru/ 2 L1 , we have

EB.x; u; ru/ 2 H 2;1C" ;

8 " > 0; >

n" : 1C"

If s  0, this implies u 2 H 2;1C" \ H r;p ;

(12b.7) for all p < 1, hence (12b.8)

u 2 ŒH 2;1C" ; H r;p  ;

8  2 .0; 1/:

246 14. Nonlinear Elliptic Equations

Results on such interpolation spaces follow from (6.30) of Chap. 13. If we set  D 1=2 and take p large enough, we have (12b.9)

u 2 H 1Cr=2;2C2" ;

8 " 2 .0; 1/; >

n" : 1C"

On the other hand, if we set  D .1  /=.2  r/, (assuming r < 1), we have (12b.10)

u 2 H 1;2q ;

8q<

1  12 r ; 1r

hence (12b.11)

B.x; u; ru/ 2 Lq ;

8q<

1  12 r ; 1r

r e.g., q D 1 C : 2

Another look at (12b.6) now yields (12b.12)

u 2 H 2;1Cr=2 \ H r;p ;

8p < 1;

provided s  0, which is an improvement of (12b.7). We can iterate this argument until we get (12b.5), provided s  0. If instead we merely assume s > 1, then, instead of (12b.7), we deduce from (12b.6) and EB.x; u; ru/ 2 H 2;1C" that (12b.13)

EB.x; u; ru/ 2 H 2;1C" \ H r;p

and hence (parallel to (12b.8)–(12b.11)) that \ EB.x; u; ru/ 2 ŒH 2;1C" ; H r;p 

2.0;1/ (12b.14)  H 1Cr=2;2 \ H 1;2Cr ; so another look at (12b.6) gives u 2 H 1;2Cr ; hence (12b.15)

B.x; u; ru/ 2 L1Cr=2 ;

so (12b.16)

EB.x; u; ru/ 2 H 2;1Cr=2 \ H r;p ;

and we can iterate this argument until (12b.5) is proved.

12B. Further results on quasi-linear systems

247

Note that Proposition 12B.1 applies to the semilinear system (11.25) for a harmonic map u W  ! X , where X is a submanifold of RN : u  .u/.ru; ru/ D 0:

(12b.17)

On the other hand, there are quasi-linear equations with a somewhat similar structure that also arise naturally in geometry, such as the system (4.94) satisfied by the metric tensor, in harmonic coordinates, when the Ricci tensor is given. This system has the following form, more general than (12b.1): X

(12b.18)

@j ajk .x; u/@k u C B.x; u; ru/ D f:

We assume that ajk .x; u/ and B.x; u; p/ are smooth in their arguments and that (12b.4) holds. Recall that we have established one regularity result for such a system in  4, namely, if n D dim  and n < q < p < 1, then u 2 H 1;q ; f 2 H s;p H) u 2 H sC2;p

(12b.19)

if s  1. Here, we want to weaken the hypothesis that u 2 H 1;q for some q > n, which of course implies u 2 C r ; r D 1  n=q. We will establish the following: Proposition 12B.2. Assume that u 2 H 1 solves (12b.18) and that B.x; u; p/ satisfies (12b.4). Also assume u 2 C r for some r > 0. Then (12b.20)

f 2 L1 H) u 2 H 2;1C" ;

8 " 2 .0; 1/; >

n" ; 1C"

and, if 1 < p < 1, f 2 Lp H) u 2 H 2;p :

(12b.21) More generally, for s  0, (12b.22)

f 2 H s;p H) u 2 H sC2;p :

To begin the proof, as in the demonstration of Proposition 4.9, we write (12b.23)

X

ajk .x; u/ @k u D Aj .uI x; D/u;

mod C 1 , with (12b.24)

1 1 1r \ S1;1 C S1;1 : u 2 C r H) Aj .uI x; / 2 C r S1;0

248 14. Nonlinear Elliptic Equations

Hence, given ı 2 .0; 1/, Aj .uI x; / D A#j .x; / C Abj .x; /;

(12b.25)

1 A#j .x; / 2 S1;ı ;

1rı Abj .x; / 2 S1;1 :

Thus we can write (12b.26)

X

@j ajk .x; / @k u D P # u C P b u;

with (12b.27)

P# D

X

2 @j A#j .x; D/ 2 OPS1;ı ;

elliptic

and Pb D

(12b.28)

X

@j Abj .x; D/:

Then we let 2 E # 2 OPS1;ı

(12b.29)

be a parametrix for P # , and we have (12b.30)

u D E # P b u C E # B.x; u; ru/ C E # f;

mod C 1 , and if u 2 C r , (12b.31)

P b W H ;p ! H 2Crı;p ;

P b W C ! C2Crı ;

provided 1 < p < 1 and  2 C rı > 1, so (12b.32)

> 1  rı:

Therefore, our hypotheses on u imply (12b.33)

E # P b u 2 H 1Crı;2 :

Now, if u 2 H 1 ./, then (12b.4) implies (12b.34)

B.x; u; ru/ 2 L1 ;

so, for small " > 0; > n"=.1 C "/, (12b.35)

E # B.x; u; ru/ 2 H 2;1C" :

12B. Further results on quasi-linear systems

249

Hence we have (12b.30), mod C 1 , with (12b.36)

E # P b u 2 H 1Crı;2 ;

E # B.x; u; ru/ 2 H 2;1C" ;

E # f 2 H 2;1C" :

This implies u 2 H 1Crı;1C" ; hence, by (12b.31), E # P b u 2 H 1C2rı;1C" :

(12b.37)

Another look at (12b.30) gives (12b.38)

u 2 H 1C2rı;1C" H

2;1C"

if 1 C 2rı  2  ; if 1 C 2rı  2  :

If the first of these alternatives holds, then E # P b u 2 H 1C3rı;1C" : We continue until the conclusion of (12b.20) is achieved. Given that u 2 C r and that (12b.20) holds, by interpolation we have (12b.39)

  u 2 H 2;1C" ; H r;p ;

8  2 .0; 1/;

using Cr  H r;p ; 8 > 0; p < 1. If we take  D 1=2 we get 1 1 1 D C ; q 2 C 2" 2p

u 2 H 1Cr=2;q ;

hence, taking p arbitrarily large, we have (12b.40)

u 2 H 1Cr=2;2C2" ;

8 " 2 .0; 1/; >

n" : 1C"

Note that this is an improvement of the original hypothesis that u 2 H 1;2 . On the other hand, if we take  D .1  /=.2  r/, we get (12b.41)

u 2 H 1;2q ;

8q<

1  12 r ; 1r

so (12b.42)

B.x; u; ru/ 2 Lq ;

8q<

1  12 r : 1r

250 14. Nonlinear Elliptic Equations

Hence E # B.x; u; ru/ 2 H 2;q :

(12b.43) Meanwhile, by (12b.40), (12b.44)

E # P b u 2 H 1Cr=2Crı;2 :

On the other hand, if we set (12b.45)

r q D1C ; 2

which satisfies the condition in (12b.41), we can take  r=.2 C r/ in (12b.39) and get (12b.46)

u 2 H ;q ;

8 <

4 C r2 ; 2Cr

E # P b u 2 H ;q ;

8<

4 C r2 C rı: 2Cr

hence (12b.47) Note that (12b.48)

4 C r2 1 C rı D 2  r C rı C r 2  r 3 C    ; 2Cr 4

which is > 2, for any given r 2 .0; 1/, if ı is taken close enough to 1. Now, another look at (12b.30) establishes the following special case of (12b.21): (12b.49)

r 1 < p  1 C ; f 2 Lp ./ H) u 2 H 2;p : 2

Under the hypotheses that u 2 C r and that (12b.49) holds, we have, parallel to (12b.39), (12b.50)

  u 2 H 2;p ; H r;Q ;

8  2 .0; 1/;

for all > 0; Q < 1. As before, we can take  1=.2  r/ and get (12b.51)

u 2 H 1;2q ;

8q <

1  12 r p: 1r

Hence, parallel to (12b.43), and as before using 1 C r=2 < .1  r=2/=.1  r/, we have

12B. Further results on quasi-linear systems

(12b.52)

251

E # B.x; u; ru/ 2 H 2;.1Cr=2/p :

Similarly, if we take  r=.2 C r/ in (12b.50), we get (12b.53)

u 2 H ;.1Cr=2/p ;

8 <

4 C r2 ; 2Cr

and hence

4 C r2 C rı: 2Cr As before, given r 2 .0; 1/, we can choose ı close enough to 1 that  > 2. Another look at (12b.30) establishes that E # P b u 2 H ;.1Cr=2/p ;

(12b.54)

8<

 r 2 1

Now we can iterate this argument repeatedly, and since, for all r > 0, we have .1 C r=2/k ! 1 as k ! 1, we obtain (12b.21). We next want to weaken the requirement of H¨older continuity on u. Proposition 12B.3. Let u 2 H 1 ./ solve (12b.18). Assume the very strong ellipticity condition (12b.55)

jk .x; u/j˛ kˇ  0 jj2 ; a˛ˇ

0 > 0:

Also assume B.x; u; ru/ is a quadratic form in ru. Assume furthermore that u is continuous on . Then, locally, if p > n=2, (12b.56)

f 2 M2p H) ru 2 M2q ;

for some q > n:

Hence u 2 C r , for some r > 0. To begin, given x0 2 , shrink  down to a smaller neighborhood, on which (12b.57)

ju.x/  u0 j  E;

for some u0 2 RM (if (12b.18) is an M  M system). We will specify E below. With the same notation as in (12.22), write Z   jk (12b.58) @j a .x; u/ @k u; w L2 D  hru; rwi dx; jk .x; u/ determines an inner product on Tx ˝ RM for each x 2 , in a so a˛ˇ fashion that depends on u, perhaps, but one has bounds on the set of inner products so arising. Now, if we let 2 C01 ./ and w D .x/2 .uu0 /, and take the inner product of (12b.18) with w, we have

252 14. Nonlinear Elliptic Equations

Z

Z 2

(12b.59)

jruj dx C 2 Z 

.ru/.r /.u  u0 / dx

2

.u  u0 /B.x; u; ru/ dx Z 2 f .u  u0 / dx: D

2

Hence we obtain the inequality Z

 jruj2  ju  u0 j  jB.x; u; ru/j  ı 2 jruj2 dx Z Z 1 2 2 2 jf j  ju  u0 j dx;  2 jr j ju  u0 j dx C ı 2

(12b.60)



for any ı 2 .0; 1/. Now, for some A < 1, we have jB.x; u; ru/j  Ajruj2 :

(12b.61)

Then we choose E in (12b.57) so that EA  1  a < 1:

(12b.62)

Then take ı 2 D a=2, and we have a (12b.63) 2

Z 2

2 jruj dx  a

Z

Z jr j juu0j dx C

2

2

2

2

jf jjuu0j dx:

Now, given x 2 , for R < dist.x; @/, define U.x; R/ as in (12.67) by (12b.64)

U.x; R/ D Rn

Z ju.y/  ux;R j2 dy;

BR .x/

ˇ where, as before, ux;R is the mean value of uˇB .x/ . The following result is R analogous to Lemma 12.11. Let A0 be the constant produced by Lemma 12.12, applied to the present case, and pick  such that A0 2  1=2. Lemma 12B.4. Let O  . There exist R0 > 0; # < 1, and C0 < 1 such that if x 2 O and r  R0 , then either (12b.65)

U.x; r/  C0 r 2.2n=p/ ;

or (12b.66)

U.x; r/  #U.x; r/:

12B. Further results on quasi-linear systems

253

Proof. If not, there exist x 2 O; R ! 0; # ! 1, and u 2 H 1 .; RM / solving (12b.18) such that U .x ; R / D "2 > C0 R2.2n=p/

(12b.67) and

U .x ; R / > # U .x ; R /:

(12b.68)

The hypothesis that u is continuous implies " ! 0. We want to obtain a contradiction. As in (12.81), set   v .x/ D "1  u .x C R x/  ux ;R :

(12b.69) Then v solves

 jk  @j a˛ˇ x C R x; " v .x/ C ux ;R @k vˇ (12b.70)

  R2 C " B x C R x; " v .x/ C ux ;R ; rv .x/ D  f: "

Note that, by the hypothesis (12b.67), R2 1 n=p < R : " C0 

(12b.71) Now set (12b.72)

V .0; r/ D r n

Z jv .y/  v0;r j2 dy:

Br .0/

Then, as in (12.84), we have (12b.73)

V .0; 1/ D kv k2L2 .B

1 .0//

D 1;

V .0; / > # :

Passing to a subsequence, we can assume that (12b.74)

  v ! v weakly in L2 B1 .0/; RM ;

" v ! 0 a.e. in B1 .0/:

jk Also, as in (12.87), there is an array of constants b˛ˇ such that

(12b.75)

 jk  jk a˛ˇ x C R x; " v .x/ C ux ;R ! b˛ˇ

and this is bounded convergence.

a.e. in B1 .0/;

254 14. Nonlinear Elliptic Equations

We next need to estimate the L2 -norm of rv , which will take just slightly more work than it did in (12.88).  Substituting " v .x x /=R Cux ;R for u .x/ in (12b.63), and replacing u0 by ux ;R , we have a 2 (12b.76)

Z

ˇ  x  x ˇ2  ˇ ˇrv ˇ dx R Z ˇ  x  x ˇ2 2 ˇ  ˇ  R2 jr j2 ˇv ˇ dx a R Z ˇ  x  x ˇ R2  ˇ ˇ 2 jf j  ˇv C ˇ dx; " R 2ˇ

  for 2 C01 BR .x / . Actually, for this new value of u0 , the estimate (12b.57) might change to ju.x/  u0 j  2E, so at this point we strengthen the hypothesis (12b.62) to 2EA  1  a < 1;

(12b.77)

n=p

2 in order to get  (12b.76).  Since R ="  R 1 R x/ 2 C0 B1 .0/ ,

a (12b.78) 2

Z

2 ‰ jrv j dx  a 2

2

Z

=C0 , we have, for ‰.x/ D

Rn=p jr‰j jv j dx C C0 2

2

.x C

Z ‰ 2 jF j  jv j dx;

where F .x/ D f .x C R x/. Since kv kL2 .B1 .0// D 1, if ‰  1, we have Z ‰ jF j  jv j dx  2

(12b.79)

 Z

jF j2 dx

1=2

 C1 Rn=p

B1 .0/ p

if f 2 M2 , so we have Z 2 C1 ‰ jrv j dx  jr‰j2 jv j2 dx C (12b.80) kf kM p : 2 a C0   This implies that v is bounded in H 1 B .0/ for each  < 1. Now, as in (12.89), we can pass to a further subsequence and obtain a 2

(12b.81)

Z

2

2

  v ! v strongly in L2loc B1 .0/ ;   rv ! rv weakly in L2loc B1 .0/ :

12B. Further results on quasi-linear systems

255

Thus, as in (12.90), we can pass to the limit in (12b.70), to obtain (12b.82)

jk @k v ˇ D 0 on B1 .0/: @j b˛ˇ

Also, by (12b.73), (12b.83)

V .0; 1/ D kvkL2 .B1 .0//  1;

V .0; /  1:

This contradicts Lemma 12.12, which requires V .0; /  .1=2/V .0; 1/. Now that we have Lemma 12B.4, the proof of Proposition 12B.3 is easily completed, by estimates similar to those in (12.69)–(12.73). We can combine Propositions 12B.2 and 12B.3 to obtain the following: Corollary 12B.5. Let u 2 H 1 ./ \ C./ solve (12b.18). If the very strong ellipticity condition (12b.53) holds and B.x; u; ru/ is a quadratic form in ru, then, given p  n=2; q 2 .1; 1/; s  0, (12b.84)

f 2 M2p \ H s;q H) u 2 H sC2;q :

We mention that there are improvements of Proposition 12B.3, in which the hypothesis that u is continuous is relaxed to the hypothesis that the local oscillation of u is sufficiently small (see [HW]). For a number of results in the case when the hypothesis (12b.4) is strengthened to jB.x; u; p/j  C hpia ; for some a < 2, see [Gia]. Extensions of Corollary 12B.5, involving Morrey space estimates, can be found in [T2]. Corollary 12B.5 implies that any harmonic map (satisfying (12b.17)) is smooth wherever it is continuous. An example of a discontinuous harmonic map from R3 to the unit sphere S 2  R3 is (12b.85)

u.x/ D

x : jxj

It has been shown by F. Helein [Hel2] that any harmonic map u W  ! M from a two-dimensional manifold  into a compact Riemannian manifold M is smooth. Here we will give the proof of Helein’s first result of this nature: Proposition 12B.6. Let  be a two-dimensional Riemannian manifold and let (12b.86)

u W  ! S m

be a harmonic map into the standard unit sphere S m  RmC1 . Then u 2 C 1 ./.

256 14. Nonlinear Elliptic Equations 1 Proof. We are assuming that u 2 Hloc ./, that u satisfies (12b.86), and that the components uj of u D .u1 ; : : : ; umC1 / satisfy

uj C uj jruj2 D 0:

(12b.87)

P Here, uj and jruj2 D jru` j2 are determined by the Riemannian metric on , but the property of being a harmonic map is invariant under conformal changes in this metric (see Chap. 15,  2, for more on this), so we may as well take  to be an open set in R2 , and  D @21 C @22 the standard Laplace operator. Now ju.x/j2 D 1 a.e. on  implies mC1 X

(12b.88)

uj .@i uj / D 0;

i D 1; 2;

j D1

and putting this together with (12b.87) gives (12b.89)

uj D 

mC1 X

.uj ruk  uk ruj /  ruk ;

8 j:

kD1

On the other hand, a calculation gives (12b.90)

div.uj ruk  uk ruj / D

X

@` .uj @` uk  uk @` uj / D 0;

` 1 for all j and k. Furthermore, since u 2 Hloc ./ \ L1 ./,

uj ruk  uk ruj 2 L2loc ./;

(12b.91)

ruk 2 L2loc ./:

Now Proposition 12.14 of Chap. 13 implies (12b.92)

X

.uj ruk  uk ruj /  ruk D fj 2 H1loc ./;

k

where H1loc ./ is the local Hardy space, discussed in  12 of Chap. 13. Also, by Corollary 12.12 of Chap. 13, when dim  D 2, (12b.93)

uj D fj 2 H1loc ./ H) uj 2 C./:

Now that we have u 2 C./, Proposition 12B.6 follows from Corollary 12B.5. If dim  > 2, there are results on partial regularity for harmonic maps u W  ! M , for energy-minimizing harmonic maps [SU] and for “stationary” harmonic maps; see [Ev4] and [Bet]. See also [Si2], for an exposition. On the other hand, there is an example due to T. Riviere [Riv] of a harmonic map for which there is no partial regularity.

12B. Further results on quasi-linear systems

257

We mention another system of the type (12b.1), the 3  3 system (12b.94)

u D 2H ux  uy on ;

u D g on @:

Here H is a real constant,  is a bounded open set in R2 , and g 2 C 1 .; R3 /. We seek u W  ! R3 . This equation arises in the study of surfaces in R3 of constant mean curvature H . In fact, if †  R3 is a surface and u W  ! † a conformal map (using, e.g., isothermal coordinates) then, by (6.10) and (6.15), † has constant mean curvature H if and only if (12b.94) holds. In one approach to the analogue of the Plateau problem for surfaces of mean curvature H , the problem (12b.94) plays a role parallel to that played by u D 0 in the study of the Plateau problem for minimal surfaces (the H D 0 case) in  6. For this reason, in some articles (12b.94) is called the “equation of prescribed mean curvature,” though that term is a bit of a misnomer. The equation (12b.94) is satisfied by a critical point of the functional (12b.95)

Z n o 1 2 J.u/ D jruj2 C H.u  ux  uy / dx dy; 2 3 

acting on the space (12b.96)

V D fu 2 H 1 .; R3 / W u D g on @g:

That J is well defined and smooth on V follows from the following estimate of Rado: (12b.97)

jV .u/  V .g/j2 

3 1  kruk2L2 C krgk2L2 ; 32

provided u D g on @, where Z (12b.98)

.u  ux  uy / dx dy:

V .u/ D 

The boundary problem (12b.94) is not solvable for all g, though it is known to be solvable provided (12b.99)

jH j  kgkL1  1:

We refer to [Str1] for a discussion of this and also a treatment of the Plateau problem for surfaces of mean curvature H , using (12b.94). Here we merely mention that given u 2 H 1 .; R3 /, solving (12b.94), the fact that (12b.100)

u 2 C.; R3 /

258 14. Nonlinear Elliptic Equations

then follows from Corollary 12.12 and Proposition 12.14 of Chap. 13, just as in (12b.93). Hence Corollary 12B.5 is applicable. This result, established by [Wen], was an important precursor to Proposition 12.13 of Chap. 13.

13. Elliptic regularity IV (Krylov–Safonov estimates) In this section we obtain estimates for solutions to second-order elliptic equations of the form (13.1)

Lu D f;

Lu D ajk .x/ @j @k u C b j .x/ @j u C c.x/u;

on a domain   Rn . We assume that ajk ; b j , and c are real-valued and that ajk 2 L1 ./, with jj2  ajk .x/j k  ƒjj2 ;

(13.2)

for certain ; ƒ 2 .0; 1/. We define D D det .ajk /;

(13.3)

D D D1=n :

A. Alexandrov [Al] proved that if jbj=D 2 Ln ./ and c  0 on , then (13.4)

2;n ./; u 2 C./ \ Hloc

Lu  f on ;

implies (13.5)

sup u.x/  sup uC .y/ C C kD1 f kLn ./ ;

x2

y2@

  where C D C n; diam ; kb=D kLn . We will not make use of this and will not include a proof, but we will establish the following result of I. Bakelman [B], essentially a more precise version of (13.5) for the special case b j D c D 0 (under stronger regularity hypotheses on u). It is used in some proofs of (13.5) (see [GT]). To formulate this result, set (13.6)

 C D fy 2  W u.x/  u.y/ C p  .x  y/; 8 x 2 ; for some p D p.y/ 2 Rn g:

C If u 2 C 1 ./, then y belongs if the graph of u lies everywhere  to  if and only below its tangent plane at y; u.y/ . If u 2 C 2 ./, then u is concave on  C , that is, .@j @k u/  0 on  C .

13. Elliptic regularity IV (Krylov–Safonov estimates)

259

Proposition 13.1. If u 2 C 2 ./ \ C./, we have (13.7)

x2

y2@

1 jk D .a @j @k u/ n C ;  L . / 1=n

d

sup u.x/  sup u.y/ C

nVn

where d D diam , and Vn is the volume of the unit ball in Rn . To establish this, we use the matrix inequality .det A/.det B/ 

(13.8)

1 n

Tr AB

n

;

for positive, symmetric, n  n matrices A and B. (See the exercise at the end of this section for a proof.) Setting (13.9)

  A D H.u/ D  @j @k u.x/ ;

  B D ajk .x/ ;

x 2  C;

where H.u/ is the Hessian matrix, as in (3.7a), we have (13.10)

 1 n jdet H.u/j  D1  ajk @j @k u n

on  C :

Thus Proposition 13.1 follows from Lemma 13.2. For u 2 C 2 ./ \ C./, we have (13.11)

sup u.x/  sup u.y/ C x2

y2@

Z d  1=n

Vn

jdet H.u/j dx

1=n

:

C

Proof. Replacing u by u  sup@ u, it suffices to assume u  0 on @. Define S ./ to be y2 .y/, where (13.12)

.y/ D fp 2 Rn W u.x/  u.y/ C p  .x  y/; 8 x 2 g;

so .y/ ¤ ; , y 2  C . Also, if u 2 C 1 ./ (as we assume here), (13.13)

.y/ D fDu.y/g; for y 2  C :

Thus the Lebesgue measure of ./ is given by (13.14)

      Ln ./ D Ln . C / D Ln Du. C / 

Z jdet H.u/j dx: C

260 14. Nonlinear Elliptic Equations

Thus it suffices to show that if u 2 C./ \ C 2 ./ and u  0 on @, then sup u.x/ 

(13.15)

x2

d Vn1=n

  Ln ./ :

This is basically a comparison result. Assume sup u > 0 is attained at x0. Let  W1 be the function on  whose graph is the cone with apex at x0 ; u.x0 / and base @  f0g. Then, if W1 .y/ denotes the function (13.12) with u replaced by W1 , we have u ./ W1 ./:

(13.16)

Similarly, if W2 is the function on Bd .x0 / whose graph is the cone with apex at x0 ; u.x0 / and base fx W jx  x0 j D d g  f0g, then   W1 ./ W2 Bd .x0 / :

(13.17) Finally, the inequality

sup W2 

(13.18)

d Vn1=n

  Ln W2 .Bd .x0 //

is elementary, so we have (13.15), and hence Lemma 13.2 is proved. We now make the assumption that ƒ  ; 

(13.19)

 jbj 2 

 ;

jcj  ; 

and establish the following local maximum principle, following [GT]. Proposition 13.3. Let u 2 H 2;n ./; Lu  f; f 2 Ln ./. Then, for any ball B D B2R .y/   and any p 2 .0; n, we have (13.20)

sup

u.x/  C

x2BR .y/

8 <

1 : Vol.B/

Z

.uC /p dx

1=p

C

9 =

R kf kLn .B/ ; ; 

B

where C D C.n; ; R2 ; p/. Proof. Translating and dilating, we can assume without loss of generality that 0 2  and B D B1 .0/. We will also assume that u 2 C 2 ./ \ H 2;n ./, since if (13.20) is established in this case, the more general case follows by a simple approximation argument.

13. Elliptic regularity IV (Krylov–Safonov estimates)

261

Given ˇ  1, define ˇ  .x/ D 1  jxj2 ; for jxj  1:

(13.21)

Setting v D u on B, we have (13.22)

ajk @j @k v D ajk @j @k u C 2ajk .@j /.@k u/ C uajk @j @k   .f  b j @j u  cu/ C 2ajk .@j /.@k u/ C uajk @j @k :

Let vC be as in (13.6), but with u replaced by v, and  replaced by B. Clearly, u  0 on vC . We have jDvj 

(13.23)

v 1  jxj

on vC ;

so jDuj D 1 jDv  uDj 

(13.24)

 1 v C ujDj  1  jxj

 2.1 C ˇ/1=ˇ u on vC : Hence (13.25)

ajk @j @k v 

n o  16ˇ 2 C 2ˇ ƒ2=ˇ C 2ˇjbj1=ˇ C c v C f  C 2=ˇ v C f;

on vC , where C D C.n; ˇ; ; /. Of course, ajk @j @k v  0 on vC . If ˇ  2, we have, upon applying Proposition 13.1 to v,

(13.26)

  1 sup v  C 2=ˇ v C Ln .B/ C kf kLn .B/  B

  1 12=ˇ C 2=ˇ .u / Ln .B/ C kf kLn .B/ :  C1 sup v C  B

Choose ˇ D 2n=p  2, so we have (13.27)

sup v  C1 B

 1p=n C p=n 1 sup v C ku kLp .B/ C kf kLn .B/ :  B

(Here we allow p < 1, in which case k  kLp is not a norm, but (13.27) is still valid.) Using the elementary inequality (13.28)

  a1p=n b p=n  "a C " n=p1 b;

8 " 2 .0; 1/;

262 14. Nonlinear Elliptic Equations

and taking a D supB v C ; b D kuC kLp .B/ , and " D 1=2C1, we have (the R D 1 case of) (13.20), so Proposition 13.3 is proved. Replacing u by u, we have an estimate on supBR .y/ .u/ when Lu  f . Thus, when Lu D f and the hypotheses of Proposition 13.3 hold, we have 8 <

(13.29)

1 sup juj  C : Vol.B/ BR .y/

Z jujp dx

1=p

9 = R C kf kLn .B/ : ; 

B

Next we establish a “weak Harnack inequality” of [KrS], which will lead to results on H¨older continuity of solutions of Lu D f . This result will also be applied directly in the next section, to results on solutions to certain completely nonlinear equations. Proposition 13.4. Assume u 2 H 2;n ./; Lu  f in ; f 2 Ln ./, and u  0 on a ball B D B2R .y/  . Then 0 (13.30)

B @

1 Vol.BR /

11=p

Z

C up dx A

  R  C inf u C kf kLn .B/ ; BR 

BR

for some positive p D p.n; ; R2 / and C D C.n; ; R2 /. As before, there is no loss of generality in assuming B D B1 .0/. Also, replacing L and f by 1 L and 1 f , we can assume  D 1. To begin the proof, take " > 0 and set 1 w D log ; u f gD ; u

u D u C " C kf kLn .B/ ; (13.31) v D w;

where  is given by (13.21). Note that w is large (positive) where u is small. We have ajk @j @k v D ajk @j @k w  2ajk .@j /.@k w/  wajk @j @k      ajk .@j w/.@k w/ C b j @j w C jcj C g (13.32)

 2ajk .@j /.@k w/  wajk @j @k  

2 jk a .@j /.@k /  wajk @j @k  C .jbj2 C jcj C g/; 

where the last inequality is obtained via Cauchy’s inequality, applied to the inner product hV; W i D Vj ajk Wk .

13. Elliptic regularity IV (Krylov–Safonov estimates)

263

Now the form of  implies that ajk @j @k   0 provided 2.ˇ  1/ajk xj xk C a jxj2  ajj , and hence jj

2ˇjxj2  nƒ H) ajk @j @k   0:

(13.33)

Thus, if ˛ 2 .0; 1/, then ˇ

(13.34)

n ; jxj  ˛ H) ajk @j @k   0: 2˛

Hence, on the set B C D fx 2 B W w.x/ > 0g, we have  ˇ 2 2 ajk @j @k v  4ˇ 2 1  jxj2 jxj C vB˛ sup B˛

  C jbj2 C jcj C g 

(13.35)

 4ˇ 2 ƒ C jbj2 C jcj C g C

ajk @j @k   

!

2nˇƒ vB˛ : 1  ˛2

Note that kgkLn .B/  1. Thus Proposition 13.1 yields   sup v  C 1 C kv C kLn .B˛ / ;

(13.36)

B

with C D C.n; ˛; ; /. Note that if u satisfies the hypotheses of Proposition 13.4 and t 2 .0; 1/, then u=t satisfies L.u=t/  f =t, and the analogue of w in (13.31) is w  k, where k D log.1=t/. The function g in (13.31) is unchanged, and, working through (13.32)–(13.36), we obtain the following extension of (13.36): (13.37)

  sup .w  k/  C 1 C k.w  k/C kLn .B˛ / ;

8 k 2 R;

B

with constants independent of k. The next stage in the proof of Proposition 13.4 will involve a decomposition into cubes of the sort used for Calderon–Zygmund estimates in  5 of Chap. 13. To set up some notation, given y 2 Rn ; R > 0, let QR .y/ denote the open cube centered at y, of edge 2R: (13.38)

QR .y/ D fx 2 Rn W jxj  yj j < R; 1  j  ng:

p If ˛ < 1= n, then Q˛ D Q˛ .0/  B. The cube decomposition we will use in the proof of Lemma 13.5 below can n be described in general as follows. R Let Q0 be a ncube in R , let '  0 be an 1 element of L .Q0 /, and suppose Q0 ' dx  tL .Q0 /; t 2 .0; 1/. Bisecting the edges of Q0 , we subdivide it into 2n subcubes. Those subcubes that satisfy

264 14. Nonlinear Elliptic Equations

R

' dx  tLn .Q/ are similarly subdivided, and this process is repeated indefinitely. Let F denote the set of subcubes so obtained that satisfy Q

Z ' dx > tLn .Q/I Q

e the we do not further subdivide these cubes. For each Q 2 F, denote by Q n e n n subcube whose subdivision gives Q. Since L .Q/=L .Q/ D 2 , we see that (13.39)

Also, setting F D (13.40)

t<

Z

1 n L .Q/

S Q2F

' dx  2n t;

8 Q 2 F:

Q

Q and G D Q0 n F , we have '  t;

a.e. in G:

This subdivision was also done in the proof of Lemma 5.5 in Chap. 13. Let us S eD e e also set F Q2F Q; since Q 2 F ) Q … F , we have Z (13.41)

e /: ' dx  tLn .F

e F In particular, when ' is the characteristic function  of a measurable subset  of Q0 , of measure  t  Ln .Q0 /, we deduce from (13.40)–(13.41) that (13.42)

e /  tLn .F e /: Ln ./ D Ln . \ F

We have the following measure-theoretic result: Lemma 13.5. Let Q0 be a cube in Rn ; w 2 L1 .Q0 /, and, for k 2 R, set (13.43)

k D fx 2 Q0 W w.x/  kg:

Suppose there are positive constants ı < 1 and C such that (13.44)

sup

.w  k/  C

Q0 \Q3r .z/

whenever k and Q D Qr .z/  Q0 satisfy (13.45)

Ln .k \ Q/  ıLn .Q/:

13. Elliptic regularity IV (Krylov–Safonov estimates)

265

Then, for all k 2 R, sup .w  k/  C

(13.46)

Q0

 ! log Ln .k /=Ln .Q0 / : 1C log ı

Proof. We show by induction that sup .w  k/  mC;

(13.47)

Q0

for any m 2 ZC and k 2 R such that Ln .k /  ı m Ln .Q0 /. This is true by hypothesis if m D 1. Suppose that it holds for m D M 2 ZC and that Ln .k /  ı M C1 Ln .Q0 /. Define e  k by e k D

(13.48)

[˚     Q3r .z/ \ Q0 W Ln Qr .z/ \ k  ı Ln Qr .z/ :

Applying the estimate (13.42), with t D ı, we see that either e  k D Q0 or Ln .e  k /  ı 1 Ln .k /  ı M vol.Q0 /;

(13.49)

and hence, replacing k by k C C , we obtain sup.w  k/  .M C 1/C;

(13.50)

Q0

which verifies (13.47) for m D M C 1. Now, the estimate (13.46) follows by choosing m appropriately, and the lemma is proved. Returning to the estimation of the functions defined in (13.31), we see that (13.36) implies (13.51)

     1=n sup v  C 1 C kv C kLn .Q˛ /  C 1 C vol.Q˛C / sup v C ; B

B

where Q˛ D Q˛ .0/, as stated below (13.38), and Q˛C D fx 2 Q˛ W v.x/ > 0g D fx 2 Q˛ W u.x/ < 1g: Hence, if C is the constant in (13.36), (13.52)

vol.Q˛C /  1 n  D  H) sup v  2C: vol.Q˛ / 4˛C B

Now choose ˛ D 1=3n, and take  D .4˛C /n , as in (13.52). Using the coordinate change x 7! ˛.x  z/=r, we obtain for any cube Q D Qr .z/ such that B3nr .z/  B, the implication

266 14. Nonlinear Elliptic Equations

(13.53)

vol.QC /   H) sup w  C.n; ; /: vol.Q/ Q3r .z/

With ˛ and  as specified above, take ı D 1  ; Q0 D Q˛ .0/, and note that the estimate (13.53) holds also when w is replaced by w  k, and QC is replaced by the set fx 2 Q W w.x/  k > 0g, as a consequence of (13.37). Let   .t/ D Ln fx 2 Q0 W u.x/ > tg :

(13.54)

Setting k D log 1=t, we have from Lemma 13.5 the estimate   .t/  C inf t 1 u ;

(13.55)

Q0

8 t > 0;

where C D C.n; ; /; D .n; ; /. Replacing the cube Q0 by the inscribed ball B˛ .0/; ˛ D 1=3n, and using the identity Z

Z

1

p

.u/ dx D p

(13.56)

t p1 .t/ dt;

0

Q0

we have Z (13.57)

 p .u/p dx  C inf u ; B˛

for p D

: 2

B˛

The inequality (13.30) then follows by letting " ! 0 if we use a covering argument to extend (13.57) to arbitrary ˛ < 1 (especially, ˛ D 1=2) and use the coordinate transformation x 7! .x y/=2R. Thus Proposition 13.4 is established. Putting together (13.29) and (13.30), we have the following. Corollary 13.6. Assume u 2 H 2;n ./; Lu D f on ; f 2 Ln ./, and u  0 on a ball B D B4R .y/  . Then (13.58)

sup u.x/  C1 BR .y/

 inf

B2R .y/

uC

 R kf kLn .B4R / ; 

for some C1 D C1 .n; ; R2 /. In particular, if u  0 on , (13.59)

Lu D 0 H) sup u.x/  C1 inf BR .y/

B2R .y/

u.x/:

We can use this to establish H¨older estimates on solutions to Lu D f . We will actually apply Corollary 13.6 to L1 D ajk @j @k C b j @j , so L1 u D f1 D f  cu. Suppose that

13. Elliptic regularity IV (Krylov–Safonov estimates)

aD

(13.60)

inf

B4R .y/

u  sup

267

u D b:

B4R .y/

Then v D .u  a/=.b  a/ is  0 on B4R .y/, and L1 v D f1 =.b  a/, so Corollary 13.6 yields (13.61)

sup BR .y/

  R 1 ua ua  C1 inf C kf  cukLn .B4R / : ba B2R .y/ b  a  ba

Without loss of generality, we can assume C1  1. Now given this, one of the following two cases must hold: (i)

C1 inf

1 ua ua  sup ; ba 2 BR .y/ b  a

(ii)

C1 inf

1 ua ua < sup : ba 2 BR .y/ b  a

B2R .y/

B2R .y/

If case (i) holds, then either sup BR .y/

1 ua  ba 2

or

inf

B2R .y/

1 ua  ; ba 4C1

and hence (since we are assuming C1  1) (13.62)



1 (i) H) osc u  1  4C1 BR .y/

osc u:

B4R .y/

If case (ii) holds, then sup BR .y/

2R 1 ua  kf  cukLn .B4R / ; ba  ba

so (13.63)

(ii) H) osc u  BR .y/

2R kf  cukLn .B4R / ; 

which is bounded by C2 R in view of the sup-norm estimate (13.29). Consequently, under the hypotheses of Corollary 13.6, we have (13.64)

   1  osc u  max C2 R; 1  osc u ; C1 B4R .y/ BR .y/

268 14. Nonlinear Elliptic Equations

  with C1 D C1 .n; ; R02 /; C2 D C2 .n; ; R02 / kf kLn ./ C kukLn ./ , given B4R0 .y/  ; R  R0 . Therefore, we have the following: Theorem 13.7. Assume u 2 H 2;n ./; Lu D f , and f 2 Ln ./. Given O  , there is a positive D .O; ; n; ; / such that   kukC  .O/  A kukLn ./ C kf kLn ./ ;

(13.65)

with A D A.O; ; n; ; /. Some boundary regularity results follow fairly easily from the methods developed above. For the present, assume  is a smoothly bounded region in Rn , that u 2 H 2;n ./ \ C./;

(13.66)

ˇ uˇ@  0;

and that Lu D f on . Let B D B2R .y/ be a ball centered at y 2 @. Then, extending (13.20), we have, for any p 2 .0; n, 8 <

(13.67)

sup \BR .y/

1 uC : vol.B/

Z

.uC /p dx

1=p

9 = R C kf kLn .B\/ ; ; 

B\

with C D C.n; ; R2 ; p/. To establish this, extend u to be 0 on B n . This extended function might not belong to H 2;n .B/, but the proof of Proposition 13.3 can still be seen to apply, given the following observation: Lemma 13.8. Assume that u satisfies the hypotheses of Proposition 13.1 and that e and set u D 0 on  e n . Then   , (13.68)

e d D1 .ajk @j @k u/ n C ; sup u  sup u C  L .e  / 1=n nVn e  @e 

e and e where e d D diam ,  C is the upper contact set of u, defined as in (13.6), e with , replaced by . Note that if u.x/ > 0 anywhere on , then e  C   C. The following result extends Proposition 13.4. Proposition 13.9. Assume u 2 H 2;n ./; Lu D f on ; u  0 on B \ . Set (13.69)

m D inf u; B\@

13. Elliptic regularity IV (Krylov–Safonov estimates)

269

and   e u.x/ D min m; u.x/ ;

(13.70)

x 2 B \ ; x 2 B n :

m;

Then 0 (13.71)

B @

1 vol.BR /

Z

11=p C .e u /p dx A

C

BR

 inf

\BR

uC

 R kf kLn .B\/ ; 

for some positive p D p.n; ; R2 / and C D C.n; ; R2 /. Proof. One adapts the proof of Proposition 13.4, with u replaced by e u. One gets an estimate of the form (13.53), with w replaced by w  k; k   log m. From there, one gets an estimate of the form (13.55), for 0 < t  m. But .t/ D 0 for t > m, so (13.71) follows as before. This leads as before to a H¨older estimate: ˇ Proposition 13.10. Assume u 2 H 2;n ./; Lu D f 2 Ln ./; uˇ@ D ' 2 C ˇ .@/, and ˇ > 0. Then there is a positive D .; n; ; ; ˇ/ such that (13.72)

  kukC  ./  A kukLn ./ C kf kLn ./ C k'kC ˇ .@/ ;

with A D A.; n; ; ; ˇ/. We next establish another type of boundary estimate, which will also be very useful in applications in the following sections. The following result is due to [Kry2]; we follow the exposition in [Kaz] of a proof of L. Caffarelli. Proposition 13.11. Assume u 2 C 2 ./ satisfies (13.73)

Lu D f;

ˇ uˇ@ D 0:

Assume (13.74)

kukL1 ./ C krukL1 ./ C kf kL1 ./  K:

Then there is a H¨older estimate for the normal derivative of u on @: (13.75)

k@ ukC ˛ .@/  CK;

for some positive ˛ D ˛.; n; ; ; ƒ; K/ and C D C.; n; ; ; ƒ/.

270 14. Nonlinear Elliptic Equations

To prove this, we can flatten out a portion of the boundary. After having done so, absorb the terms b j .x/@j u C c.x/u into f . It suffices to assume that (13.76) where

Lu D f on B C ;

Lu D ajk .x/ @j @k u;

B C D fx 2 Rn W jxj < 4; xn  0g;

and that (13.77)

u D 0 on † D fx 2 Rn W jxj < 4; xn D 0g;

and to show that there is an estimate (13.78)

k@n ukC ˛ ./  CK;

C D C.n; ; ƒ/;

where K is as in (13.74), with  replaced by B C , ˛ D ˛.n; ; ƒ; K/ > 0, and  D fx 2 † W jxj  1g:

(13.79) Note that, for .x 0 ; 0/ 2 †,

@n u.x 0 ; 0/ D v.x 0 ; 0/;

(13.80) where

v.x/ D xn1 u.x/:

(13.81)

Let us fix some notation. Given R  1 and ı D =9nƒ < 1=2, let

(13.82)

 ˚ Q.R/ D x 2 B C W jx 0 j  R; 0  xn  ıR ; ˚  1 QC .R/ D x 2 Q.R/ W ıR  xn  ıR 2

(see Fig. 13.1). Then set (13.83)

mR D inf v; Q.R/

MR D sup v; Q.R/

so oscQ.R/ v D MR  mR . Before proving Proposition 13.11, we establish two lemmas. Lemma 13.12. Under the hypotheses (13.76) and (13.77), if also u  0 on Q.R/, then (13.84)

inf

QC .R/

v

2 ı

inf

Q.R=2/

vC

R sup jf j: 

13. Elliptic regularity IV (Krylov–Safonov estimates)

271

F IGURE 13.1 Setup for Boundary Estimate

Proof. Let  D inffv.x/ W jx 0 j  R; xn D ıRg, and set (13.85)

  2ı 1  1  xn ıR  xn sup jf j: z.x/ D xn ı  2 jx 0 j2 C xn  R R 2

Given ı 2 .0; 1=2, we have the following behavior on @Q.R/:

(13.86)

z.x/ D 0; for x D .x 0 ; 0/; z.x/ < 0 on fx 2 Q.R/ W jx 0 j D Rg;

(bottom), (side),

on fx 2 Q.R/ W xn D ıRg (top).

z.x/ < 2 ı 2 R < ıR Also, (13.87)

Lz   sup jf j  f

on Q.R/ if ı D

 : 9nƒ

Since u  0 on Q.R/ and u D xn v   ıR on the top of Q.R/, we have (13.88)

L.u  z/  0 on Q.R/;

u  z on @Q.R/:

Thus, by the maximum principle, u  z on Q.R/, so v.z/  z.x/=xn on Q.R/. Hence (13.89)

inf

Q.R=2/

 R ı  sup jf j : 2 

v

Since   infQC .R/ v, this yields (13.84). Lemma 13.13. If u satisfies (13.76) and (13.77) and u  0 on Q.2R/, then (13.90)

sup v  C QC .R/

with C D C.n; ; ƒ; K/.

 inf

QC .R/

 v C R sup jf j ;

272 14. Nonlinear Elliptic Equations

Proof. By (13.58), if x 2 QC .R/; r D ıR=8, we have sup u  C

(13.91)

Br .x/



 inf u C r 2 sup jf j :

Br .x/

Since ıR=2  xn  ıR on QC .R/, (13.90) follows from this plus a simple covering argument. We now prove Proposition 13.11. The various factors Cj will all have the form Cj D Cj .n; ; ƒ; K/. If we apply (13.90), with u replaced by u  m2R xn  0, on Q.2R/, we obtain (13.92)

sup .v  m2R /  C1



QC .R/

 inf .v  m2R / C R sup jf j :

QC .R/

By Lemma 13.12, this is

(13.93)

 C2



inf .v  m2R / C R sup jf j Q.R=2/   D C2 mR=2  m2R C R sup jf j :



Reasoning similarly, with u replaced by M2R xn  u  0 on Q.2R/, we have (13.94)

  sup .M2R  v/  C2 M2R  MR=2 C R sup jf j :

QC .R/

Summing these two inequalities yields   (13.95) M2R  m2R  C3 .M2R  m2R /  .MR=2  mR=2 / C R sup jf j ; which implies (13.96)

osc v  # osc v C R sup jf j;

Q.R=2/

Q.2R/

with # D 11=C3 < 1. This readily implies the H¨older estimate (13.78), proving Proposition 13.11.

Exercises 1. Prove the matrix inequality (13.8). (Hint: Set C D A1=2  0 and reduce (13.8) to (13.97)

1 Tr X  .det X/1=n ; n

for X D CBC  0. This is equivalent to the inequality (13.98)

1 .1 C    C n /  .1    n /1=n ; n

j > 0;

14. Regularity for a class of completely nonlinear equations

273

which is called the arithmetic-geometric mean inequality. It can be deduced from the facts that log x is concave and that any concave function ' satisfies (13.99)

'

1

 1  .1 C    C n /  '.1 / C    C '.n / :/ n n

14. Regularity for a class of completely nonlinear equations In this section we derive H¨older estimates on the second derivatives of real-valued solutions to nonlinear PDE of the form (14.1)

F .x; D 2 u/ D 0;

satisfying the following conditions. First we require uniform strong ellipticity: (14.2)

jj2  @j k F .x; u; ru; @2 u/j k  ƒjj2 ;

with ; ƒ 2 .0; 1/, constants. Next, we require that F be a concave function of : (14.3)

@j k @`m F .x; u; p; /„jk „`m  0;

„jk D „kj ;

provided  D @2 u.x/; p D ru.x/. As an example, consider (14.4)

F .x; u; p; / D log det   f .x; u; p/:

Then .D F /„ D Tr. 1 „/, so the quantity (14.3) is equal to (14.5)

    Tr  1 „ 1 „ D  Tr  1=2 „ 1 „ 1=2 ;

„t D „;

provided the real, symmetric, n  n matrix  is positive-definite, and  1=2 is the positive-definite square root of  1 . Then the function (14.4) satisfies (14.3), on the region where  is positive-definite. It also satisfies (14.2) for @2 u.x/ D  2 K, any compact set of positive-definite, real, n  n matrices. In particular, if F is a bounded set in C 2 ./ such that .@j @k u/ is positive-definite for each u 2 F , and (14.1) holds, with jf .x; u; ru/j  C0 , then (14.2) holds, uniformly for u 2 F . We first establish interior estimates on solutions to (14.1). We will make use of results of  13 to establish these estimates, following [Ev], with simplifications of [GT]. To begin, let 2 Rn be a unit vector and apply @ to (14.1), to get (14.6)

Fij @i @j @ u C Fpi @i @ u C Fu @ u C i @xi F D 0:

274 14. Nonlinear Elliptic Equations

Then apply @ again, to obtain (14.7)

Fij @i @j @2 u C .@ij @k` F /.@i @j @ u/.@k @` @ u/ 2 2 CAij  .x; D u/ @i @j @ u C B .x; D u/ D 0;

where 2 k Aij  .x; D u/ D 2.@ij @pk F /.@k @ u/ C 2.@ij @u F /.@ u/ C 2 .@ij @xk F /;

and B .x; D 2 u/ also involves first- and second-order derivatives of F . Given the concavity of F , we have the differential inequality Fij @i @j @2 u  Aij  @i @j @ u  B ;

(14.8)

ij 2 2 where Aij  D A .x; D u/; B D B .x; D u/. If we set

h D

(14.9)

@2 u  1 1C ; 2 1CM

M D sup j@2 uj; 

then (14.8) implies Fij @i @j h 

(14.10)

 C  A0 j@3 uj C B0 ; 1CM

where   A0 D A0 kukC 2 ./ ;

(14.11)

  B0 D B0 kukC 2 ./ :

Now let f k W 1  k  N g be a collection of unit vectors, and set hk D hk ;

(14.12)

vD

N X

h2k :

kD1

Use hk in (14.10), multiply this by hk , and sum over k, to obtain (14.13)

N X kD1

 1 C  A0 j@3 uj C B0 : Fij .@i hk /.@j hk /  Fij @i @j v  2 1CM

Make sure that f k W 1  k  N g contains the set (14.14)

U D fej W 1  j  ng [ f21=2 .ei ˙ ej / W 1  i < j  ng;

14. Regularity for a class of completely nonlinear equations

275

where fej g is the standard basis of Rn . Consequently, j@3 uj2 D

(14.15)

X

j@i @j @` uj2  4.1 C M /2

i;j;`

N X

j@hk j2 :

kD1

The ellipticity condition (14.2) implies N X

(14.16)

Fij .@i hk /.@j hk /  

kD1

N X

j@hk j2 :

kD1

Now, take " 2 .0; 1/, and set wk D hk C "v:

(14.17) We have (14.18) "

N X

1 j@hk j  Fij @i @j wk  C 2

(

2

kD1

A0

N X

j@hk j

2

1=2

kD1

B0 C 1CM

) :

Thus, by Cauchy’s inequality, Fij @i @j wk   ;

(14.19)

D

B0  Cn  A20 C :  " 1CM

We now prepare to apply Proposition 13.4. Let BR  B2R be concentric balls in , and set Wks D sup wk ; BsR

(14.20) !.sR/ D

Mks D sup hk ;

N X kD1

BsR

osc hk D

BsR

N X

mks D inf hk ; BsR

.Mks  mks /:

kD1

Applying Proposition 13.4 to (14.19), we have 0 (14.21)

B @

1 vol BR

Z

11=p  p C Wk2  wk dx A

 C.Wk2  Wk1 C R2 /;

BR

where p D p.n; ƒ=/ > 0; C D C.n; ƒ=/. Denote the left side of (14.21) by ˆp;R .Wk2  wk /:

276 14. Nonlinear Elliptic Equations

Note that Wk2  wk  Mk2  hk  2"!.2R/;

(14.22)

Wk2  Wk1  Mk2  Mk1 C 2"!.2R/:

Hence ˚  ˆp;R .Mk2  hk /  C Mk2  Mk1 C "!.2R/ C R2 :

(14.23) Consequently,

ˆp;R (14.24)

X

 X .Mk2  hk /  N 1=p ˆp;R .Mk2  hk /

k

k

 ˚  .1 C "/!.2R/  !.R/ C R2 :

We want a complementary estimate on ˆp;R .h`  m`2 /. We exploit the concavity of F in  again to obtain    Fij y; D 2 u.y/ @i @j u.y/  @i @j u.x/      F y; Du.y/; @2 u.x/  F y; Du.y/; @2 u.y/ (14.25)     D F y; Du.y/; @2 u.x/  F x; Du.x/; @2 u.x/  D0 jx  yj; where   D0 D D0 kukC 2 ./ :

(14.26)

The equality in (14.25) follows from F .x; D 2 u/ D 0. At this point, we impose a special condition on the unit vectors k used to define hk above. The following is a result of [MW]: Lemma 14.1. Given 0 <  < ƒ < 1, let S.; ƒ/ denote the set of positivedefinite, real, n  n matrices with spectrum in Œ; ƒ. Then there exist N 2 ZC and  < ƒ in .0; 1/, depending only on n; , and ƒ, and unit vectors k 2 Rn ; 1  k  N , such that f k W 1  k  N g U;

(14.27)

where U is defined by (14.14), and such that every A 2 S.; ƒ/ can be written in the form (14.28)

AD

N X

ˇk Pk ;

ˇk 2 Œ ; ƒ ;

kD1

where Pk is the orthogonal projection of Rn onto the linear span of k .

14. Regularity for a class of completely nonlinear equations

277

Proof. Let the set of real, symmetric, n  n matrices be denoted as Symm.n/ Rn.nC1/=2 . Note that A 2 Symm.n/ belongs to S.; ƒ/ if and only if jvj2  v  Av  ƒjvj2 ;

8 v 2 Rn :

Thus S.; ƒ/ is seen to be a compact, convex subset of Symm.n/. Also, S.; ƒ/ is contained in the interior of S.1 ; ƒ1 / if 0 < 1 <  < ƒ < ƒ1 . It suffices to prove the lemma in the case ƒ D 1=2n. Suppose 0 <  < 1=2n. By the spectral theorem for elements of Symm.n/; S.=2; 1=2n/ is contained in the interior of the convex hull CH.P/ of the set P D f0g [ fP W 2 S n1  Rn g: Thus, there exists a finite subset A U of unit vectors such that S.=2; 1=2n/ is contained in the interior of CH.P0 /, with P0 D f0g [ fP W 2 Ag. Write A as f k W 1  k  N g. Then any element of S.=2; 1=2n/ has a representation of P e e the form N kD1 ˇ k Pk , with ˇ k 2 Œ0; 1. Now, if we take A 2 S.; 1=2n/, it follows that A

N  1  X  Pk 2 S ; ; 2N 2 2n

kD1

 PN e e so A D kD1 ˇ k C =2N Pk has the form (14.28), with ˇk D ˇ k C =2N 2 =2N ; 2 . This proves the lemma. If we choose the set f k W 1  k  N g of unit vectors to satisfy the condition of Lemma 14.1, then    Fij y; D 2 u.y/ @i @j u.y/  @i @j u.x/ D (14.29)

N X

  ˇk .y/ @2k u.y/  @2k u.x/

kD1

D 2.1 C M /

N X

  ˇk .y/ hk .y/  hk .x/ ;

kD1

with ˇk .y/ 2 Œ ; ƒ . Consequently, for x 2 B2R ; y 2 BR , we have from (14.25) that (14.30)

N X kD1

  ˇk .y/ hk .y/  hk .x/  C e R;

e D

D0 : .1 C M /

278 14. Nonlinear Elliptic Equations

Hence, for any ` 2 f1; : : : ; N g, X o 1 n  C e R C ƒ M  h .y/ k2 k  k¤` n X o Mk2  hk .y/ ; C e R C

h` .y/  m`2  (14.31)

k¤`

where C D C.n; ƒ=/. We can use (14.24) to estimate the right side of (14.31), obtaining (14.32)

˚  ˆp;R .h`  m`2 /  C .1 C "/!.2R/  !.R/ C e R C R2 :

Setting ` D k, adding (14.32) to (14.23), and then summing over k, we obtain (14.33)

 ˚ !.2R/  C .1 C "/!.2R/  !.R/ C e R C R2 ;

and hence (14.34)

    1 C " !.2R/ C e R C R2 : !.R/  1  C

Now C is independent of ", though is not. Thus fix " D 1=2C , to obtain (14.35)

   1  !.2R/ C e R C R2 : !.R/  1  2C

From this it follows that if B2R0   and R  R0 , we have (14.36)

osc @2 u  C BR

 R ˛   .1 C M / 1 C e R0 C R02 ; R0

where C and ˛ are positive constants depending only on n and ƒ=. We have proved the following interior estimate: Proposition 14.2. Let u 2 C 4 ./ satisfy (14.1), and assume that (14.2) and (14.3) hold. Then, for any O  , there is an estimate (14.37)

  k@2 ukC ˛ .O/  C O; ; n; ; ƒ; kF kC 2 ; kukC 2 ./ :

In fact, examining the derivation of (14.36), we can specify the dependence on O; . If O is a ball, and jx  yj   for all x 2 O; y 2 @, then (14.38)

  k@2 ukC ˛ .O/  C n; ; ƒ; kF kC 2 ; kukC 2 ./ ˛ :

14. Regularity for a class of completely nonlinear equations

279

We now tackle global estimates on ˇ for solutions to the Dirichlet problem for (14.1). We first obtain estimates for @2 uˇ@ . ˇ Lemma 14.3. Under the hypotheses of Proposition 14.2, if uˇ@ D ', there is an estimate (14.39)

  k@2 ukC ˛ .@/  C ; n; ; ƒ; kF kC 2 ; kukC 2 ./ ; k'kC 3 .@/ :

Proof. Let Y D b ` .x/@` be a smooth vector field tangent to @, and consider v D Y u, which solves the boundary problem Fij @i @j v D G.x/;

(14.40)

ˇ v ˇ@ D Y';

where (14.41)

G.x/ D 2Fij .@i B ` /.@j @` u/ C Fij .@i @j b ` /@` u C Fpi .@i b ` /.@` u/  Fpi @i v  Fu v  b ` @x` F:

The hypotheses give a bound on kGkL1 ./ in terms of the right side of (14.39). If 2 C 2 ./ denotes an extension of Y' from @ to , then Proposition 13.11, applied to v  , yields an estimate k@ Y ukC ˛ .@/  C;

(14.42)

where C is of the form ˇ (14.39). On the other hand, the ellipticity of (14.1)ˇ allows oneˇ to solve for @2 uˇ@ in terms of quantities estimated in (14.42), plus uˇ@ and ruˇ@ , and second-order tangential derivatives of u, so (14.39) is proved. We now want to estimate j@2 u.x/  @2 u.x0 /j, given x0 2 @; x 2 ;  2 Rn a unit vector. For simplicity, we will strengthen the concavity hypothesis (14.3) to strong concavity: (14.43)

@j k @`m F .x; u; p; /„jk „`m  0 j„j2 ;

„ D „t ;

for some 0 > 0, when  D @2 u; p D ru. Then we can improve (14.8) to (14.44)

2 2 Fij @i @j .@2 u/  Aij @i @j @ u  B  0 j@ @ uj  C1 ;

by Cauchy’s inequality, where   C1 D C1 n; ; ƒ; 0 ; kA .x; D 2 u/kL1 ; kB .x; D 2 u/kL1 : Now the function (14.45)

W .x/ D C2 jx  x0 j˛

.0 < ˛ < 1/

280 14. Nonlinear Elliptic Equations

is concave on Rn n fx0 g, and if C2 is sufficiently large, compared to C1  diam./2˛ =, we have LW  C1 ;

(14.46)

Lv D Fij @i @j v:

Hence, by the maximum principle, (14.47)

@2 u  @2 .x0 / C W on @ H) @2 u  @2 u.x0 / C W on :

Now the estimate (14.39) implies that the hypothesis of (14.47) is satisfied, provided that also C2  k@2 ukC ˛ .@/ , so we have the one-sided estimate given by the conclusion of (14.47). For the reverse estimate, use (14.25), with y D x0 , together with (14.29), to write (14.48)

N X

  ˇk .x0 / @2k u.x0 /  @2k u.x/  D0 jx  x0 j:

kD1

Recall that ˇk .x0 / 2 Œ ; ƒ ;  > 0. This together with (14.47) implies j@2k u.x/  @2k u.x0 /j  C3 jx  x0 j˛ ;

(14.49)

with C3 of the form (14.39), and we can express any @j @` u as a linear combination of the @2k u, to obtain the following: Lemma 14.4. If we have the hypotheses of Lemma 14.3, and we also assume (14.43), then there is an estimate (14.50)

j@2 u.x/  @2 u.x0 /j  C jx  x0 j˛ ;

x0 2 @; x 2 ;

with (14.51)

  C D C ; n; ; ƒ; 0 ; kF kC 2 ; kukC 2 ./ ; k'kC 3 .@/ :

We now put (14.38) and (14.50) together to obtain a H¨older estimate for @2 u on . To estimate j@2 u.x/  @2 u.y/j, given x; y 2 , suppose dist.x; @/ C dist.y; @/ D 2, and consider two cases: (i) jx  yj < 2 , (ii) jx  yj  2 . In case (i), we can use (14.38) to deduce that (14.52)

j@2 u.x/  @2 u.y/j  C jx  yj˛ ˛  C jx  yj˛=2 :

14. Regularity for a class of completely nonlinear equations

281

In case (ii), let x 0 2 @ minimize the distance from x to @, and let y 0 2 @ minimize the distance from y to @. Thus (14.53)

jx  x 0 j  2  2jx  yj1=2 ;

jy  y 0 j  2  2jx  yj1=2 ;

jx 0  y 0 j  jx  yj C jx 0  xj C jy 0  yj  jx  yj C 4jx  yj1=2 :

Thus j@2 u.x/  @2 u.y/j  j@2 u.x/  @2 u.x 0 /j C j@2 u.x 0 /  @2 u.y 0 /j (14.54)

C j@2 u.y 0 /  @2 u.y/j e jx  x 0 j˛ C C e jx 0  y 0 j˛ C C e jy 0  yj˛ C  C jx  yj˛=2 :

In (14.52) and (14.54), C has the form (14.51). Taking r D ˛=2, we have the following global estimate: ˇ Proposition 14.5. Let u 2 C 4 ./ satisfy (14.1), with uˇ@ D '. Assume the ellipticity hypothesis (14.2) and the strong concavity hypothesis (14.43). Then there is an estimate (14.55)

  kukC 2Cr ./  C ; n; ; ƒ; 0 ; kF kC 2 ; kukC 2 ./ ; k'kC 3 .@/ ;

for some r > 0, depending on the same quantities as C . Now that we have this estimate, the continuity method yields the following existence result. For  2 Œ0; 1, consider a family of boundary problems (14.56)

F .x; D 2 u/ D 0 on ;

ˇ uˇ@ D ' :

Assume F and ' are smooth in all variables, including . Also, assume that the ellipticity condition (14.2) and the strong concavity condition (14.43) hold, uniformly in , for any smooth solution u . Theorem 14.6. Assume there is a uniform bound in C 2 ./ for any solution u 2 C 1 ./ of (14.56). Also assume that @u F  0. Then, if (14.56) has a solution in C 1 ./ for  D 0, it has a smooth solution for  D 1. With some more work, one can replace the strong concavity hypothesis (14.43) by (14.3); see [CKNS]. There is an interesting class of elliptic PDE, known as Bellman equations, for which F .x; u; p; / is concave but not strongly concave in , and also it is Lipschitz but not C 1 in its arguments; see [Ev2] for an analysis. Verifying the hypothesis in Theorem 14.6 that u is bounded in C 2 ./ can be a nontrivial task. We will tackle this, for Monge–Ampere equations, in the next section.

282 14. Nonlinear Elliptic Equations

Exercises 1. Discuss the Dirichlet problem for u C @21 u C

1=2 1 D e u ; 1 C .u/2 2

for  0.

15. Monge–Ampere equations Here we look at equations of Monge–Ampere type: (15.1)

det H.u/  F .x; u; ru/ D 0 on ;

u D ' on @;

where  is a smoothly bounded domain in Rn , which we will assume to be strongly convex. As in (3.7a), H.u/ D .@j @k u/ is the Hessian matrix. We assume F .x; u; ru/ > 0, say F .x; u; ru/ D exp f .x; u; ru/, and look for a convex solution to (15.1). It is convenient to set (15.2)

G.u/ D log det H.u/  f .x; u; ru/;

so (15.1) is equivalent to G.u/ D 0 on ; u D ' on @. Note that (15.3)

DG.u/v D gjk @j @k v  .@pj f /.x; u; ru/ @j v  .@u f /.x; u; ru/v;

where .gjk / is the inverse matrix of .@j @k u/, which we will also denote as .gjk /. We will assume (15.4)

.@u f /.x; u; p/  0;

this hypothesis being equivalent to .@u F /.x; u; p/  0. The hypotheses made above do not suffice to guarantee that (15.1) has a solution. Consider the following example: (15.5)

 2 det H.u/  K 1 C jruj2 D 0 on ;

u D 0 on @;

where  is a domain in R2 . Compare with (3.41). Let K be a positive constant. If there is a convex solution u, the surface † D f.x; u.x// W x 2 g is a surface in R3 with Gauss curvature K. If  is convex, then the Gauss map N W † ! S 2 is one-to-one and the image N.†/ has area equal to K  Area./. But N.†/ must be contained in a hemisphere of S 2 , so we must have K  Area./  2 . We deduce that if K  Area./ > 2 , then (15.5) has no solution. To avoid this obstruction to existence, we hypothesize that there exists ub 2 1 C ./, which is convex and satisfies (15.6)

log det H.ub /  f .x; ub ; rub /  0 on ;

ub D ' on @:

15. Monge–Ampere equations

283

We call ub a lower solution to (15.1). Note that the first part of (15.6) is equivalent to det H.ub /  F .x; ub ; rub /. In such a case, we will use the method of continuity and seek a convex u 2 C 1 ./ solving

(15.7)

log det H.u /  f .x; u ; ru /   D .1  / log det H.ub /  f .x; ub ; rub / D .1  /h.x/;

for 2 Œ0; 1 and u D ' on @. Note that u0 D ub solves (15.7) for D 0. If such u exists for all 2 Œ0; 1, then u D u1 is the desired solution to (15.1). Let J be the largest interval in Œ0; 1, containing 0, such that (15.7) has a convex solution u 2 C 1 ./ for all 2 J . Since the linear operator in (15.3) is elliptic and invertible (by the maximum principle) under the hypothesis (15.4), the same sort of argument used in the proof of Lemma 10.1 shows that J is open, and the real work is to show that J is closed. In this case, we need to obtain bounds on u in C 2C ./, for some > 0, in order to apply the regularity theory of  8 and conclude that J is closed. Lemma 15.1. Given   2 J , we have ub  u  u

(15.8)

on :

Proof. The operator G.u/ satisfies the hypotheses of Proposition 10.8; since ub D u D u on @, (15.8) follows. In particular, taking D , we have uniqueness of the solution u 2 C 1 ./ to (15.7). Next we record some estimates that are simple consequences of convexity alone: Lemma 15.2. Assume  is convex. For any 2 J , u  sup ' on 

(15.9)

@

and (15.10)

sup jru .x/j  sup jru .y/j:

x2

y2@

have a bound on u in C 1 ./ if we bound ru on @. Since ˇThus we will 1 ˇ u @ D ' 2 C .@/, it remains to bound the normal derivative @ u on @. Assume @ points out of . Then (15.8) implies (15.11)

@ u .y/  @ ub .y/;

8 y 2 @:

284 14. Nonlinear Elliptic Equations

On the other hand, a lower bound on @ u .y/ follows from convexity alone. In fact, if .y/ is the outward normal to @ at y, say e y D y  `.y/.y/ is the other point in @ through which the normal line passes. Then convexity of u implies   (15.12) u sy C .1  s/e y  s'.y/ C .1  s/'. e y /; for 0  s  1. Noting that `.y/ D jy  e y j, we have @ u .y/ 

'. e y /  '.y/ : je y  yj

Thus we have the next result: Lemma 15.3. If  is convex, then, for any 2 J , (15.13)

sup jru j  Lip1 .'/ C sup jrub j: 



Here, Lip1 .'/ denotes the Lipschitz constant of ': (15.14)

Lip1 .'/ D

j'.y/  '.y 0 /j : jy  y 0 j

sup

y;y 0 2@

We now look for C 2 -bounds on solutions to (15.7). For notational simplicity, we write (15.7) as ˇ (15.15) log det H.u/  f .x; u; ru/ D 0; uˇ@ D '; where the second term on the left is f .x; u; ru/ D f .x; u; ru/ C .1  /h.x/; and we drop the . By (15.4) and (15.6), we have f .x; u; p/ > 0 and .@u f /.x; u; p/  0. Since u is convex, it suffices to estimate pure second derivatives @2 u from above. Following [CNS], who followed [LiP2], we make use of the function 2 =2

w D e ˇ jruj

@2 u;

where ˇ is a constant that will be chosen later. Suppose this is maximized, among all unit  2 Rn ; x 2 , at  D 0 ; x D x0 . Rotating coordinates, we can assume gjk .x0 / D @j @k u.x0 / is in diagonal form and 0 D .1; 0; : : : ; 0/. Set u11 D @21 u, so we take (15.16)

2 =2

w D e ˇ jruj

u11 D

.ru/u11 :

We now derive some identities and inequalities valid on all of .

15. Monge–Ampere equations

285

Differentiating (15.15), we obtain g ij @i @j @` u D @` f .x; u; ru/;

(15.17)

gij @i @j u11 D g i ` g j m .@i @j @1 u/.@k @m @1 u/ C @21 f;

where .g ij / is the inverse matrix to .gij / D .@i @j u/, as above. Also, a calculation gives (15.18)

2 w 1 @i w D .log /pk @i @k u C u1 11 .@i @1 u/;

w 1 @i @j w D w 2 .@i w/.@j w/ C .log /pk p` .@i @k u/.@j @` u/ 2 2 2 C .log /pk .@i @j @k u/ C u1 11 @i @j u11  u11 .@i @1 u/.@j @1 u/: ij Forming w 1 g ij @i @j w and using (15.17) to rewrite the term u1 11 g @i @j u11 , we obtain 1 ij

(15.19)

g @i @j w h i  u11 .log /pk p` g ij .@i @k u/.@j @` u/ C .log /pk g ij @i @j @k u ij 2 2 2 C gi k g i ` .@i @j @1 u/.@k @` @1 u/  u1 11 g .@i @1 u/.@j @1 u/ C @1 f:

Now we have .log /pk D ˇpk and .log /pk p` D ˇı k` , and hence (15.20)

.log /pk p` g ij .@i @k u/.@j @` u/ D ˇı k` ı j k .@j @` u/ D ˇu:

Let us assume the following bounds hold on f .x; u; p/: (15.21)

j.rf /.x; u; p/j  ;

j.@2 f /.x; u; p/j  :

Using the first identity in (15.17), we have (15.22)

u11 .log /pk g ij @i @j @k u C @21 f    fpi .w 1 @i w/u11  C 1 C j@2 uj2 C ˇ.1 C j@2 uj/ ;

  with C D C ; krukL1 ./ . 2 Now, let us look at x0 , where, recall, e ˇ jruj =2 @21 u is maximal, among all values 2 of e ˇ jru.x/j =2 @2 u.x/. If x0 2  (i.e., x0 … @), then @i w.x0 / D 0 and the left side of (15.19) is  0 at x0 . Furthermore, due to the diagonal nature of .g ij / at x0 , we easily verify that g 11 g ij i1 j1  g ij g k` i k j ` , and hence (15.23)

ij 2 2 ik j` u1 11 g .@i @1 u/.@j @1 u/  g g .@i @j @1 u/.@k @` @1 u/;

286 14. Nonlinear Elliptic Equations

at x0 . Thus the evaluation of (15.19) at x0 implies the estimate (15.24)

  0  ˇ.@21 u/.u/   C 1 C j@2 uj2 C ˇ.1 C j@2 uj/

if x0 … @. Hence, with X D @21 u.x0 /, .ˇ  C1 /X 2  ˇC2 .1 C X / C ;

(15.25)

where C1 and C2 depend on and krukL1 , but not on ˇ. Taking ˇ large, we obtain a bound on X : (15.26)

  @21 u.x0 /  C ; krukL1 ./

if x0 … @:

On the other hand, if sup w is achieved on @, we have   sup j@2 u.x/j  sup j@2 uj  exp ˇkrukL1 : x;

@

This establishes the following. Lemma 15.4. If u 2 C 3 ./ \ C 2 ./ solves (15.15) and the hypotheses above hold, then i h  (15.27) sup j@2 uj  C ; krukL1 ./ 1 C sup j@2 uj : @



To estimate @2 u at a boundary point y 2 @, suppose coordinates are rotated so that .y/ is parallel to the xn -axis. Pick vector fields Yj , tangent to @, so that Yj .y/ D @j ; 1  j  n  1. Then we easily get (15.28)

j@j @k u.y/j  jYj Yk '.y/j C C jru.y/j;

1  j; k  n  1:

In fact, for later reference, we note the following. Suppose Yj is the vector field tangent to @, equal to @j at y, and obtained by parallel transport along geodesics emanating from y. If Yk D bk` @` , then (15.29)

  Yj Yk u.y/ D @j @k u.y/ C @j bk` .y/ @` u.y/   D @j @k u.y/ C r@0j Yk u.y/;

where r 0 is the standard flat connection on Rn . If r is the Levi–Civita connection f .@j ; @k / @ at y, where on @, we have r@j Yk D 0 at y, hence r@0j Yk D II f is the second fundamental form @ D N is the outward-pointing normal and II of @; see  4 of Appendix C. Hence (15.30)

f .@j ; @k / @ u.y/; @j @k u.y/ D Yj Yk u.y/ C II

1  j; k  n  1:

15. Monge–Ampere equations

287

Later it will be important to note that strong convexity of @ implies positive f. definiteness of II We next need to estimate @n Yk u.y/; 1  k  n  1. If Yk D bk` .x/ @` , then vk D Yk u satisfies the equation (15.31)

g ij @i @j vk  fpi @i vk D A.x/ C gij Bij .x/;

where (15.32)

A.x/ D 2@i bki C fx` bk` C fu vk C fpi .@i bk` / @` u; Bij .x/ D .@i @j bk` / @` u;

ˇ and vk ˇ@ D Yk '. This follows by multiplying the first identity in (15.17) by bk` and summing over `; one also makes use of the identity gij @j @` u D ı i ` . We first derive a boundary gradient estimate for vk D Yk u when (15.15) takes the simpler form (15.33)

log det H.u/  f .x; u/ D 0;

ˇ uˇ@ D 'I

that is, ru is not an argument of f . Here, we follow [Au]. We assume ' 2 C 1 ./, set (15.34)

wk D Yk .u  '/ D vk  Yk ';

then let ˛ and ˇ be real numbers, to be fixed below, and set (15.35)

w ek D wk C ˛h C ˇ.u  '/:

Here, h 2 C 1 ./ is picked to vanish on @ and satisfy a strong convexity condition: (15.36)

.@i @j h/  I;

ˇ hˇ@ D 0:

The hypothesis that  is strongly convex is equivalent to the existence of such a function. Now, a calculation using (15.31) (and noting that in this case fpi D 0) gives (15.37)

eij .x/; g ij @i @j w ek D A.x/ C nˇ C gij B

ˇ w ek ˇ@ D 0;

where A.x/ is as in (15.32) (with the last term equal to zero), and (15.38)

eij .x/ D Bij .x/  @i @j Yk ' C ˛ @i @j h  ˇ @i @j ': B

288 14. Nonlinear Elliptic Equations

We now choose ˛ and ˇ. Pick ˇ D ˇ0 , so large that A.x/ C nˇ0  0. This eij /  0. Then w done, pick ˛ D ˛0 , so large that .B ek0 , defined by (15.34) with ˛ D ˛0 ; ˇ D ˇ0 , satisfies (15.39)

g ij @i @j w ek0  0;

ˇ w ek0 ˇ@ D 0:

Similarly, pick ˇ D ˇ1 sufficiently negative that A.x/ C nˇ1  0, and then pick eij /  0. Then, w ˛ D ˛1 sufficiently negative that .B ek1 , defined by (15.35) with ˛ D ˛1 and ˇ D ˇ1 , satisfies (15.40)

ek1  0; gij @i @j w

ˇ w ek1 ˇ@ D 0:

The maximum principle implies w ek0  0 and w ek1  0; hence (15.41)

Yk '  ˛1 h  ˇ1 .u  '/  Yk u  Yk '  ˛0 h  ˇ0 .u  '/:

Thus, if @ denotes the normal derivative at @, (15.42)

j@ Yk uj  .˛0  ˛1 /j@ hj C .ˇ0  ˇ1 /j@ u  @ 'j C j@ Yk 'j;

when u solves (15.33). In view of the example (15.5), for a surface with Gauss curvature K, we have ample motivation to estimate the normal derivative of Yk u when u solves the more general equation (15.15). We now tackle this, following [CNS]. Generally, if wk D Yk .u  '/, (15.31) yields (15.43)

gij @i @j wk  fpi @i wk     D A.x/ C fpi @i Yk ' C g ij Bij .x/  @i @j Yk ' D ˆ.x/:

Note that, given a bound for u in C 1 ./, we have (15.44)

jˆ.x/j  C C C gjj ;

where g jj is the trace of .g ij /. Translate coordinates so that y D 0. Recall that we assume .y/ is parallel to the xn -axis. Assume xn  0 on . As above, assume h 2 C 1 ./ satisfies (15.36). Take 2 .0; 1=4/ and M 2 .0; 1/, and set h .x/ D h.x/  jxj2 . We have .gij @i @j  fpi @i /.h C M xn2 / (15.45)

D g ij @i @j h  fpi @i h C 2M g nn  2Mfpn xn    1  g jj C 2M g nn  Mfpn xn C fpi @i h : 2

15. Monge–Ampere equations

289

The arithmetic-geometric mean inequality implies 

M 1    n

1=n



 1 X j C M n ; n j
and if the eigenvalues of .g ij / are n      1 , we have g nn  n , and hence (15.46)



1=n

M det.gij /



 1  jj g C M g nn : n

Given a positive lower bound on det.gij / D 1=F .x; u; ru/, we have 1 jj g C 2M g nn  cgjj C c1 M 1=n : 2

(15.47) Hence (15.45) implies (15.48)

.g ij @i @j  fpi @i /.h C M xn2 /  cg jj C c1 M 1=n  c2  c3 M xn :

At this point, fix M sufficiently large that c1 M 1=n  1 C c2 , so that (15.49)

.g ij @i @j  fpi @i /.h C M xn2 /  1 C cg jj  c3 M xn

on :

Now, let O" D fx 2  W 0 < xn < "g; as illustrated in Fig. 15.1. We can then pick " sufficiently small that (e.g., with D 1=8) (15.50)

.gij @i @j  fpi @i /.h C M xn2 /  cg jj C

1 2

on O" :

Note that the function h has the property rh ¤ 0 on @. Thus, after possibly further shrinking ", we have (15.51)

h C M xn2 

0 c4 < 0

on @O" \ @; on  \ fxn D "g:

F IGURE 15.1 Setup for Normal Derivative Estimate

290 14. Nonlinear Elliptic Equations

With " > 0 so fixed, we can then pick A sufficiently large (depending on kukC 1 ./ ) that c4 A  kYk ukL1 ./ ; hence (15.52)

wk C A.h C M xn2 /  0; wk  A.h C M xn2 /  0

on @O" . We can also pick A so large that (by (15.50) and (15.43)–(15.44)) (15.53)

  .g ij @i @j  fpi @i / wk C A.h C M xn2 /  0;   .g ij @i @j  fpi @i / wk  A.h C M xn2 /  0

on O" . The maximum principle then implies that (15.52) holds on O" . Thus (15.54)

j@n Yk u.y/j  Aj@n h .y/j:

This completes our estimation of @n Yk u.y/, begun at (15.31). We prepare to tackle the estimation of @2n u.y/. A key ingredient will be a positive lower bound on @2j u.y/, for 1  j  n  1. In order to get this, we make a further (temporary) hypothesis, namely that there is a strictly convex function u# 2 C 1 ./ satisfying (15.55)

log det H.u# /  f .x; u# ; ru# /  0 on ;

ˇ u# ˇ@ D ':

The function u# is called an upper solution to (15.1). The proof of (15.8) yields (15.56)

ub  u  u  u#

on ;

for   2 J . In the present context, where we have dropped the and where u 2 C 1 ./ is a solution to (15.15), this means ub  u  u# on . Consequently, complementing (15.11), we have (15.57)

@ u  @ u#

on @:

Now let Yj be the vector field tangent to @, equal to @j at y, used in (15.30). We have (15.58)

@2j u.y/ D Yj2 u.y/ C j @ u.y/;

f .@j ; @j / > 0;

j D II

for 1  j  n  1, by (15.30), assuming @ is strongly convex. There is a similar identity for @2j u# .y/. Since u D u# D ' on @, subtraction yields (15.59)

  @2j u.y/ D @2j u# .y/ C j @ u.y/  @ u# .y/  @2j u# .y/;

15. Monge–Ampere equations

291

for 1  j  n  1, the inequality following from (15.57). Since u# is assumed to be a given strongly convex function, this yields a positive lower bound: (15.60)

@2j u.y/  K0 > 0;

1  j  n  1:

2 Now we can get anupper bound  on @n u.y/. Rotating the x1 : : : xn1 coordinate axes, we can assume @j @k u.y/ 1j;kn1 is diagonal. Then, at y,

(15.61)

det H.u/ D .@2n u/

n1 Y

.@2j u/ C ~.@2 u/;

j D1

where ~ is an n-linear form in @2 u.y/ that does not contain @2n u.y/. Since det H.u/ D f .x; u; ru/ and we have estimates on ru, as well as @j @k u.y/ for @j @k ¤ @2n , we deduce that (15.62)

K0n1 @2n u.y/  K1 :

This completes the estimation of kukC 2 ./ . Once we have a bound in C 2 ./ for solutions to (15.15), we can apply Theorem 14.6 to deduce the existence of a solution u 2 C 1 ./ to (15.1). We thus have the following: Proposition 15.5. Let   Rn be a smoothly bounded, open set with strongly convex boundary. Consider the Dirichlet problem (15.1), with ' 2 C 1 .@/. Assume F .x; u; p/ is a smooth function of its arguments satisfying F .x; u; p/ > 0;

@u F .x; u; p/  0:

Furthermore, assume (15.1) has a lower solution ub , and an upper solution u# 2 C 1 ./. Then (15.1) has a unique convex solution u 2 C 1 ./. After a little more work, we will show that we need not assume the existence of an upper solution u# . Note that u# was not needed for the estimates of s0 D sup juj;

s1 D sup jruj

in Lemmas 15.1–15.3. Thus, if we take a constant a satisfying 0 < a < inf fF .x; u; p/ W x 2 ; juj  s0 ; jpj  s1 g; then any smooth, strongly convex u# satisfying (15.63)

det H.u# /  a on ;

ˇ u# ˇ@ D ';

292 14. Nonlinear Elliptic Equations

will serve as an upper solution to (15.1). Thus, for arbitrary a > 0, we want to produce u# 2 C 1 ./, which is strongly convex and satisfies (15.63). For this purpose, it is more than sufficient to have the following result, which is of interest in its own right. Proposition 15.6. Let   Rn be a smoothly bounded, open set with strongly convex boundary. Let ' 2 C 1 .@/ be given and assume F 2 C 1 ./ is positive. Then there is a unique convex solution u 2 C 1 ./ to ˇ (15.64) det H.u/ D F .x/; uˇ@ D ': Proof. First, note that (15.64) always has a lower solution. In fact, if you extend ' to an element of C 1 ./ and let h 2 C 1 ./ be as in (15.36), then ub D ' Ch will work, for sufficiently large . Following the proof of Proposition 15.5, we see that to establish Proposition 15.6, it suffices to obtain an a priori estimate in C 2 ./ for a solution to (15.64). All the arguments used above to establish Proposition 15.5 apply in this case, up to the use of u# , in (15.55)–(15.59), to establish the estimate (15.60), namely, @2j u.y/  K0 > 0;

(15.65)

1  j  n  1:

Recall that y is an arbitrarily selected point in @, and we have rotated coordinates so that the normal .y/ to @ is parallel to the xn -axis. If we establish (15.65) in this case, without using the hypothesis that an upper solution exists, then the rest of the previous argument giving an estimate in C 2 ./ will work, and Proposition 15.6 will be proved. We establish (15.65), following [CNS], via a certain barrier function. It suffices to treat the case j D 1. We can also assume that y is the origin in Rn and that, near y; @ is given by (15.66)

0

xn D .x / D

n1 X

Bj xj2 C O.jx 0 j3 /;

Bj > 0;

j D1

where x 0 D .x1 ; : : : ; xn1 /. Note that adding a linear term to u leaves the left side of (15.64) unchanged and also has no effect on @2j u. Thus, without loss of generality, we can assume that u.0/ D 0;

(15.67)

@j u.0/ D 0; 1  j  n  1:

We have, on @, (15.68)

uD'D

1 X jk xj xk C ~3 .x 0 / C O.jxj4 /; 2 j;k
where ~3 .x 0 / is a polynomial, homogeneous of degree 3 in x 0 .

15. Monge–Ampere equations

293

Now consider  D B11 11 : ˇ This function satisfies det H.Qu/ D F .x/. Looking at uQ ˇ@ D '  .x 0 /, we see that the coefficients of x12 cancel out here. We claim there is an estimate of the form   X X ˇ (15.70) uQ ˇ@  a1j x1 xj C C xk2 C jxj4 : (15.69)

uQ .x/ D u.x/  xn ;

1<j n

1
Indeed, in light of our remark about the disappearance of x12 , we need only worry about a multiple of x13 , which can be dominated on @ by a term of the form a1n x1 xn plus a multiple of the quantity in parentheses in (15.70). The barrier function will take the form (15.71)

W .x/ D

1 X .a1j x1 C Bxj /2 C ıjxj2  "xn : 2B 1<j n

Take B >> C , then fix ı > 0 small, and take " << ı. We can do this in such a fashion as to arrange (15.72)

W  uQ on @:

Note that 2ı is the smallest eigenvalue of H.W /, and all the other eigenvalues are bounded above independently of ı 2 .0; 1/, so choosing ı small enough gives (15.73)

det H.W / < F .x/

on :

Then W is an upper barrier for uQ ; the maximum principle yields (15.74)

uQ  W

on :

Consequently, (15.75)

@n uQ .0/  @n W .0/ D ":

As noted above, our construction (15.69) yields   (15.76) @21 uQ x 0 ; .x 0 / D 0; at x 0 D 0; that is, @21 uQ C .@n uQ /@21  D 0, at x 0 D 0. Hence (15.77)

@21 u.0/ D @21 uQ .0/ D @n uQ .0/  @21 .0/  "@21 .0/:

This proves the j D 1 case of (15.65), as needed, so Proposition 15.6 is proved.

294 14. Nonlinear Elliptic Equations

In light of the comments made after the statement of Proposition 15.5, we have Corollary 15.7. In Proposition 15.5, the hypothesis that there exists an upper solution u# can be omitted. There are some results for Monge–Ampere equations on nonconvex domains; see [GS] and [HRS]. In addition to the Monge–Ampere equations studied here, there are complex Monge–Ampere equations, whose study has been very important in complex function theory and differential geometry; see [Au, BT, CKNS, Fef, Yau1].

Exercises 1. Let   R2 be a strongly convex, smoothly bounded region. Let us assume that F 2 C 1 ./; ' 2 C 1 .@/, and F > 0. Show that ˇ det H.u/ D F .x/ on ; uˇ@ D '; has exactly two solutions in C 1 ./, one convex and one concave. 2. Suppose the hypothesis @u F .x; u; p/  0 in Proposition 15.5 is dropped. Establish the existence of solutions, using the Leray–Schauder theory. 3. Given  as in Proposition 15.5, ' 2 C 1 .@/, show that there exists K0 > 0 such that, for all K 2 .0; K0 /, there is a unique convex solution uK 2 C 1 ./ to (15.78)

 .nC2/=2 on ; det H.uK / D K 1 C jruK j2

ˇ uK ˇ@ D ':

(Hint: Show that the convex solution to (15.64), with F D 1, yields a lower solution for (15.78), provided K > 0 is sufficiently small.) Note that the graph of uK is a surface with Gauss curvature K. 4. With uK as in Exercise 3, show that there is u0 2 Lip1 ./ such that (15.79)

uK % u0

as K & 0:

In what sense can you say that u0 solves (15.80)

det H.u0 / D 0 on ;

ˇ u0 ˇ@ D '?

See [RT] and [TU] for more on (15.80).

16. Elliptic equations in two variables We have seen in  12 that results on quasi-linear, uniformly elliptic equations for real-valued functions on a domain  are obtained more easily when dim  D 2 than when dim   3 and have extensions to systems that do not work in higher dimensions. Here we will obtain results on completely nonlinear equations for functions of two variables which are more general than those established in  14 for functions of n variables. The key is the following result of Morrey on linear

16. Elliptic equations in two variables

295

equations with bounded measurable coefficients, whose conclusion is stronger than that of Theorem 13.7: Theorem 16.1. Assume u 2 C 2 ./ and Lu D f on   R2 , where Lu D

(16.1)

2 X

ajk .x/ @j @k u:

j;kD1

Assume ajk D akj are measurable on  and jj2  ajk .x/j k  ƒjj2 ;

(16.2)

for some ; ƒ 2 .0; 1/. Pick p > 2. Then, for O  , there is a > 0 such that   kukC 1C .O/  C kukH 1 ./ C kf kLp ./ ;

(16.3)

where C D C.O; ; p; ; ƒ/. Proof. Let Vj D @j u. Then these functions satisfy the divergence-form equations   f    a12 C @ ; @ D @ @ V V 2 1 2 2 1 1 a a22 a22     22 12   a f a @1 @1 V2 C @2 11 @2 V2 C 2 11 @1 V2 D @2 11 : a a a @1

(16.4)

 a11

@ V C2 22 1 1

Proposition 9.8 applies to each of these equations, yielding (16.5)

  kVj kC  .O/  C kVj kL2 ./ C kf kLp ./ :

This yields the desired estimate (16.3). Morrey’s original proof of Theorem 16.1 came earlier than the DeGiorgiNash-Moser estimate used in the proof above. Instead, he used estimates on quasi-conformal mappings (see [Mor2]). We apply Theorem 16.1 to estimates for real-valued solutions to equations of the form (16.6)

F .x; u; ru; @2 u/ D f

on   R2 ;

where F D F .x; u; p; / is a smooth function of its arguments satisfying the ellipticity condition

(16.7)

jj2 

X @F .x; u; p; /j k  ƒjj2 ; @jk

0 <  D .u; p; /;

ƒ D ƒ.u; p; /:

296 14. Nonlinear Elliptic Equations

For h > 0; ` D 1; 2, set   V`h .x/ D h1 u.x C he` /  u.x/ :

(16.8)

Then V`h satisfies the equation X jk a`h .x/@j @k V`h D g`h .x/ (16.9) j;k jk on h D fx 2  W dist.x; R2 n / > hg, where the coefficients a`h .x/ are given by

(16.10)

Z

jk

a`h .x/ D

1 0

 @F  x C she` ; : : : ; s@2 `h u C .1  s/@2 u ds; @jk

with `h u.x/ D u.x C he` /, and the functions g`h .x/ are given by g`h .x/ D 

X Z 0

j

Z

1

 0

(16.11)

Z

1

  @F  x C she` ; : : : ; s@2 `h u C .1  s/@2 u ds @j V`k @pj

 @F  x C she` ; : : : ; s@2 `h C .1  s/@2 u ds V`h @u

 @F  x C she` ; : : : ; s@2 `h u C .1  s/@2 u ds 0 @x`   C h1 f .x C he` /  f .x/ : 

1

Theorem 16.1 then yields an estimate (16.12)

  kV`h kC 1C .O/  C kV`h kL2 ./ C kg`h kLp ./ ;

with C D C.O; ; p; ; ƒ; kukC 2 ./ /. Note that (16.13)

  kg`h kLp ./  C kukC 2 ./ C h1 .`h f  f / Lp ./ :

Letting h ! 0, we have the following: Theorem 16.2. Assume that   R2 , that u 2 C 2 ./ solves (16.6), that the ellipticity condition (16.7) holds, and that f 2 H 1;p ./, for some p > 2. Then, given O  , there is a > 0 such that u 2 C 2C .O/ and (16.14)

  kukC 2C .O/  C 1 C kf kH 1;p ./ ;

16. Elliptic equations in two variables

297

where (16.15)

  C D C O; ; p; ; ƒ; kukC 2 ./ :

For estimates up to the boundary, we use the following complement to Theorem 16.1: Proposition 16.3. If u 2 C 2 ./ and the hypotheses of Theorem 16.1 hold, then there is an estimate (16.16)

  kukC 1C ./  C kukH 1;p ./ C k'kC 2 .@/ C kf kLp ./ ;

ˇ where ' D uˇ@ and C D C.; p; ; ƒ/. Proof. Given y 2 @, locally flatten @ near y, using a coordinate change, transforming it to the x1 -axis. In the new coordinates, u satisfies an elliptic equation of the form (16.17)

e: e ajk @j @k u D f  e b j @j u D f

e1 D e1 D @1 u satisfies an analogue of the first equation in (16.4), while V Then V @1 ' on the flattened part of @. Thus Proposition 9.9 (or rather the local version e1 in C  .U \ /, for some mentioned at the end of  9) yields an estimate on V 2 neighborhood U of y in R . Thus, for any smooth vector field X on R2 , tangent to @, we have an estimate on kX ukC  ./ by the right side of (16.16). Furthermore, by Proposition 9.9, there is a Morrey space estimate (16.18)

krX ukM q ./  RHS; 2

for some q > 2, where “RHS” stands for the right side of (16.16). We may as well e 2 Lp ./  M q ./. Then (16.17) and (16.18) together assume q  p, so f 2 imply (16.19)

k@j @k ukM q ./  RHS; 2

for all j; k  2, which in turn implies (16.16). We now establish the following: Theorem 16.4. Assume that   R2 and that u 2 C 3 ./ solves (16.6),ˇ with the ellipticity condition (16.7), with f 2 H 1;p ./ for some p > 2, and uˇ@ D '. Then, for some > 0, there is an estimate (16.20)

  kukC 2C ./  C 1 C k'kC 3 .@/ C kf kH 1;p ./ ;

298 14. Nonlinear Elliptic Equations

where (16.21)

  C D C ; p; ; ƒ; kukC 2 ./ :

Proof. If X D b ` @` is a smooth vector field in R2 , tangent to @, then X u satisfies (16.22)

Fj k @j @k .X u/ D  Fpj @j .X u/  Fu X u C Fj k .@j @k b ` /.@` u/ C 2Fj k .@j b ` /.@k @` u/ C Fpj .@j b ` /.@` u/ C Xf;

and X u D X' on @. Thus Proposition 16.3 applies. We have a C 1C ./estimate on X u, and even better, a Morrey space estimate: (16.23)

k@j @k X ukM q ./  RHS; 2

for some q > 2, and for all j; k  2, where “RHS” now stands for the right side of (16.20). The proof is almost done. Parallel to (16.22), we have, for any `, (16.24)

Fj k @j @k @` u D Fpj @j @` u  Fu @` u C @` f:

Thus we can solve for @j @k @` u in terms of functions of the form @j @k X u and other terms estimable in the M2q ./-norm by the right side of (16.20). Hence we have (16.20), and even the stronger estimate (16.25)

k@3 ukM q ./  RHS: 2

From this result the continuity method readily gives the following: Theorem 16.5. Let  be a smoothly bounded domain in R2 . Let the function F .x; u; p; / depend smoothly on all its arguments, for 2 Œ0; 1, and let ' 2 C 1 ./ have smooth dependence on . Assume that, for each 2 Œ0; 1, @u F .x; u; p; /  0 and that the ellipticity condition (16.7) holds. Also assume that, for any solution u 2 C 1 ./ to the equation (16.26)

F .x; u ; ru ; @2 u / D 0 on ;

ˇ u ˇ@ D ' ;

A. Morrey spaces

299

there is a C 2 ./-bound: ku kC 2 ./  K:

(16.27)

If (16.26) has a solution in C 1 ./ for D 0, then it has a solution in C 1 ./ for D 1.

Exercises 1. In the proof of Theorem 16.1, can you replace the use of Proposition 9.8 by a result analogous to Proposition 12.5? 2. Suppose that, in (16.7),  and ƒ are independent of . Obtain a variant of Theorem 16.5 in which (16.27) is weakened to a bound in C 1 ./.

A. Morrey spaces Given f 2 L1loc .Rn /; p 2 Œ1; 1/, one says f 2 M p .Rn / provided that (A.1)

R

n

Z

jf .x/j dx  C Rn=p ;

BR

for all balls BR of radius R  1 in Rn . More generally, if 1  q  p and f 2 Lqloc .Rn /, we will say f 2 Mqp .Rn / provided that, for all such BR , (A.2)

Rn

Z

jf .x/jq dx  C Rnq=p :

BR

The spaces Mqp .Rn / are called R Morrey spaces. If we set ıR f .x/ D f .Rx/, the left side of (A.2) is equal to B1 jıR f .x/jq dx, so an equivalent condition is (A.3)

kıR f kLq .B1 /  C 0 Rn=p ;

for all balls B1 of radius 1, and for all R 2 .0; 1. It follows from H¨older’s inequality that Lpunif .Rn / D Mpp .Rn /  Mqp .Rn /  M p .Rn /: We can give an equivalent characterization of M p in terms of the heat kernel. 2 Let pr ./ D e jrj . Then, given f 2 L1unif .Rn /, (A.4)

f 2 M p .Rn / ” pr .D/jf j  C r n=p ;

300 14. Nonlinear Elliptic Equations

for 0 < r  1. To see the implication ), given x 2 Rn write f D f1 C f2 , where f1 is the restriction of f to the unit ball B1 .x/ centered at x, and f2 is the restriction of f to the complement. That pr .D/jf1 j.x/  C r n=p , for r 2 .0; 1, follows easily from the characterization (A.1) and the formula 2 =4r 2

pr .D/ıx .y/ D .4 r 2 /n=2 e jxyj

;

while this formula also implies that pr .D/jf2 j.x/ is rapidly decreasing as r & 0. The implication ( is similarly easy to verify. Note that f satisfies (A.4) H) jpr .D/f j  C r n=p :

(A.5)

Recall the Zygmund spaces Cr .Rn /; r 2 R, introduced in  8 of Chap. 13, with norms defined as follows. Let ‰0 ./ 2 C01 .Rn / be equal to 1 for jj  1, set ‰k ./ D ‰0 .2k /, and let k ./ D ‰k ./  ‰k1 ./. The set f k ./g is a Littlewood–Paley partition of unity. One sets kf kCr D sup 2kr k

(A.6)

k

k .D/f

kL1 :

For r 2 .0; 1/ n ZC ; Cr coincides with the H¨older space C r , and C1 is the classical Zygmund space. As shown in Chap. 13, one has, for all m; r 2 R, m P 2 OPS1;0 H) P W Cr ! Crm :

(A.7)

The following relation exists between Zygmund spaces and Morrey spaces. From (A.4)–(A.5) we readily obtain the inclusion M p .Rn /  Cn=p .Rn /:

(A.8)

From this we deduce a result known as Morrey’s lemma: Lemma A.1. If p > n, then, for f 2 S 0 .Rn /, (A.9)

r rf 2 M p .Rn / H) f 2 Cloc .Rn /;

r D1

n 2 .0; 1/: p

Proof. We can write (A.10) f D

n X

Bj .@j f / C Rf;

Bj 2 OPS 1 .Rn /; R 2 OPS 1 .Rn /:

j D1

Then (A.7)–(A.8) imply that Bj @j f 2 Cr .Rn /, if the hypothesis of (A.9) holds.

A. Morrey spaces

301

If   Rn is a bounded region, we say f 2 Mqp ./ if fQ 2 Mqp .Rn /, where fQ.x/ D f .x/ for x 2 ; 0 for x … . If @ is smooth, it is easy to extend (A.9) to the implication (for p > n): rf 2 M p ./ H) f 2 C r ./;

(A.11)

r D1

n 2 .0; 1/; p

via a simple reflection argument (across @). One also considers homogeneous versions of Morrey spaces. If p 2 .1; 1/ q p and 1  q  p; f 2 Lloc .Rn /, we say f 2 Mq .Rn / provided (A.2) holds for all R 2 .0; 1/, not just for R  1. Note that if we set Z  1=q kf kMpq D sup Rn=p Rn jf .x/jq dx ;

(A.12)

R

BR

where R runs over .0; 1/ and BR over all balls of radius R, then kır f kMpq D r n=p kf kMpq ;

(A.13)

where ır f .x/ D f .rx/. This is the same type of scaling as the Lp .Rn /-norm. It is clear that compactly supported elements of Mqp .Rn / and of Mpq .Rn / coincide. In a number of references, including [P], Mpq is denoted Lq; , with  D n  1  q=p . The following refinement of Morrey’s lemma is due to S. Campanato. Proposition A.2. Given p 2 Œ1; 1/; s 2 .0; 1/, assume that u 2 Lploc .Rn / and that, for each ball BR .x/ with R  1, there exists ˛ 2 C such that Z ju.y/  ˛jp dy  CRnCps :

(A.14) BR .x/

Then s u 2 Cloc .Rn /:

(A.15)

Proof. Pick ' 2 C01 .Rn / to beR a radial function, supported on jxj  1, such that b ' ./  0, and let D ', so dx D 0. It suffices to show that ˇ ˇ.

(A.16) where have (A.17)

R .x/

R

ˇ

u/.x/ˇ  CRs ;

R  1;

  D Rn .R1 x/. Note that, for fixed x; R; ˛ D ˛ BR .x/ , we .

R

u/.x/ D

R

.u  ˛/.x/;

302 14. Nonlinear Elliptic Equations

so

(A.18)

ˇ ˇ ˇ. R u/.x/ˇ  k R kLp0 .BR .0// ku  ˛kLp .BR .x// !1=p0 Z 

R

np 0

j .R

1

y/j

p0

ju.y/  ˛j dy p

dy

BR .0/

C R

n

!1=p

Z BR .x/

R

n=p 0

R

n=p

R DR ; s

s

as desired.

B. Leray–Schauder fixed-point theorems We will demonstrate several fixed-point theorems that are useful for nonlinear PDE. The first, known as Schauder’s fixed-point theorem, is an infinite dimensional extension of Brouwer’s fixed-point theorem, which we recall. Proposition B.1. If K is a compact, convex set in a finite-dimensional vector space V , and F W K ! K is a continuous map, then F has a fixed point. This was proved in  19 of Chap. 1, specifically when K was the closed unit ball in Rn . Now, given any compact convex K  V , if we translate it, we can assume 0 2 K. Let W denote the smallest vector space in V that contains K; say dimR W D n. Thus there is a basis of W , of the form E  K. Clearly, the convex hull of E has nonempty interior in W . From here, it is easily established that K is homeomorphic to the closed unit ball in Rn . A quicker reduction to the case of a ball goes like this. Put an inner product on V , and say a ball B  V contains K. Let W B ! K map a point x to the point in K closest to x. Then consider a fixed point of F ı W B ! K  B. The following is Schauder’s generalization: Theorem B.2. If K is a compact, convex set in a Banach space V , and F W K ! K is a continuous map, then F has a fixed point. Proof. Whether or not V has a countable dense set, K certainly does; say fvj W j 2 ZC g is dense in K. For each n  1, let Vn be the linear span of fv1 ; : : : ; vn g and Kn  K the closed, convex hull of fv1 ; : : : ; vn g. Thus Kn is a compact, convex subset of Vn , a linear space of dimension  n. We define continuous maps Qn W K ! Kn as follows. Cover K by balls of radius ın centered at the points vj ; 1  j  n. Let f'nj W 1  j  ng be a partition of unity subordinate to this cover, satisfying 0  'j  1. Then set (B.1)

Qn .v/ D

n X j D1

'nj .v/vj ;

Qn W K ! Kn :

B. Leray–Schauder fixed-point theorems

303

Since 'nj .v/ D 0 unless kv  vj k  ın , it follows that (B.2)

kQn .v/  vk  ın :

The denseness of fvj W j 2 ZC g in K implies we can take ın ! 0 as n ! ˇ 1. Now consider the maps Fn W Kn ! Kn , given by Fn D Qn ı F ˇKn . By Proposition B.1, each Fn has a fixed point xn 2 Kn . Now (B.3)

Qn F .xn / D xn H) kF .xn /  xn k  ın :

Since K is compact, .xn / has a limit point x 2 K and (B.3) implies F .x/ D x, as desired. It is easy to extend Theorem B.2 to the case where V is a Fr´echet space, using a translation-invariant distance function. In fact, a theorem of Tychonov extends it to general locally convex V . The following slight extension of Theorem B.2 is technically useful: Corollary B.3. Let E be a closed, convex set in a Banach space V , and let F W E ! E be a continuous map such that F .E/ is relatively compact. Then F has a fixed point. ˇ Proof. The closed, convex hull K of F .E/ is compact; simply consider F ˇK , which maps K to itself. Corollary B.4. Let B be the open unit ball in a Banach space V . Let F W B ! V be a continuous map such that F .B/ is relatively compact and F .@B/  B. Then F has a fixed point. Proof. Define a map G W B ! B by G.x/ D F .x/

if kF .x/k  1;

G.x/ D

F .x/ kF .x/k

if kF .x/k  1:

Then G W B ! B is continuous and G.B/ is relatively compact. Corollary B.3 implies that G has a fixed point; G.x/ D x. The hypothesis F .@B/  B implies kxk < 1, so F .x/ D G.x/ D x. The following Leray-Schauder theorem is the one we directly apply to such results as Theorem 1.10. The argument here follows [GT]. Theorem B.5. Let V be a Banach space, and let F W Œ0; 1  V ! V be a continuous, compact map, such that F .0; v/ D v0 is independent of v 2 V . Suppose there exists M < 1 such that, for all . ; x/ 2 Œ0; 1  V , (B.4)

F . ; x/ D x H) kxk < M:

Then the map F1 W V ! V given by F1 .v/ D F .1; v/ has a fixed point.

304 14. Nonlinear Elliptic Equations

Proof. Without loss of generality, we can assume v0 D 0 and M D 1. Let B be the open unit ball in V . Given " 2 .0; 1, define G" W B ! V by

G" .x/ D F

1  kxk x ; " kxk  x  F 1; 1"

 if

1  "  kxk  1;

if

kxk  1  ":

Note that G" .@B/ D 0. For each " 2 .0; 1, Corollary B.4 applies to G" . Hence each G" has a fixed point x."/. Let xk D x.1=k/, and set   k D k 1  kxk k if 1

if

1  kxk k  1; k 1 kxk k  1  ; k

1

so k 2 .0; 1 and F . k ; xk / D xk . Passing to a subsequence, we have . k ; xk / ! . ; x/ in Œ0; 1  B, since the map F is compact. We claim D 1. Indeed, if < 1, then kxk k  1  1=k for large k, hence kxk D 1 and F . ; x/ D x, contradicting (B.4) (with M D 1). Thus k ! 1 and we have F .1; x/ D x, as desired. There are more general results, involving Leray-Schauder “degree theory,” which can be found in [Schw, Ni6, Deim].

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[Spi] M. Spivak, A Comprehensive Introduction to Differential Geometry, Vols. 1–5, Publish or Perish Press, Berkeley, Calif., 1979. [Sto] J. J. Stoker, Differential Geometry, Wiley-Interscience, New York, 1969. [Str1] M. Struwe, Plateau’s Problem and the Calculus of Variations, Princeton University Press, Princeton, N. J., 1988. [Str2] M. Struwe, Variational Methods, Springer, New York, 1990. [T] M. Taylor, Pseudodifferential Operators and Nonlinear PDE, Birkh¨auser, Boston, 1991. [T2] M. Taylor, Microlocal analysis on Morrey spaces, In Singularities and Oscillations (J. Rauch and M. Taylor, eds.) IMA Vol. 91, Springer-Verlag, New York, 1997, pp. 97–135. [ToT] F. Tomi and A. Tromba, Existence Theorems for Minimal Surfaces of Non-zero Genus Spanning a Contour, Memoirs AMS #382, Providence, R. I., 1988. [Tro] G. Troianiello, Elliptic Differential Equations and Obstacle Problems, Plenum, New York, 1987. [Tru1] N. Trudinger, Local estimates for subsolutions and supersolutions of general second order elliptic quasilinear equations, Invent. Math. 61(1980), 67–79. [Tru2] N. Trudinger, Elliptic equations in nondivergence form, Proc. Miniconf. on Partial Differential Equations, Canberra, 1981, pp. 1–16. [Tru3] N. Trudinger, Fully nonlinear, uniformly elliptic equations under natural structure conditions, Trans. AMS 278(1983), 751–769. [Tru4] N. Trudinger, H¨older gradient estimates for fully nonlinear elliptic equations, Proc. Roy. Soc. Edinburgh 108(1988), 57–65. [TU] N. Trudinger and J. Urbas, On the Dirichlet problem for the prescribed Gauss curvature equation, Bull. Austral. Math. Soc. 28(1983), 217–231. [U] K. Uhlenbeck, Regularity for a class of nonlinear elliptic systems, Acta Math. 38(1977), 219–240. [Wen] H. Wente, Large solutions to the volume constrained Plateau problem, Arch. Rat. Mech. Anal. 75(1980), 59–77. [Wid] K. Widman, On the H¨older continuity of solutions of elliptic partial differential equations in two variables with coefficients in L1 , Comm. Pure Appl. Math. 22(1969), 669–682. [Yau1] S.-T. Yau, On the Ricci curvature of a compact K¨ahler manifold and the complex Monge–Ampere equation I, CPAM 31(1979), 339–411. [Yau2] S.-T. Yau (ed.), Seminar on Differential Geometry, Princeton University Press, Princeton, N. J., 1982. [Yau3] S.-T. Yau, Survey on partial differential equations in differential geometry, pp. 3–72 in S.-T. Yau (ed.), Seminar on Differential Geometry, Princeton University Press, Princeton, N. J., 1982.

15 Nonlinear Parabolic Equations

Introduction We begin this chapter with some general results on the existence and regularity of solutions to semilinear parabolic PDE, first treating the pure initial-value problem in  1, for PDE of the form (0.1)

@u D Lu C F .t; x; u; ru/; @t

u.0/ D f;

where u is defined on Œ0; T /  M , and M has no boundary. Some of the results established in  1 will be useful in the next chapter, on nonlinear, hyperbolic equations. We also give a precursor to results on the global existence of weak solutions, which will be examined further in Chap. 17, in the context of the Navier–Stokes equations for fluids. In  2 we present a useful geometrical application of the theory of semilinear PDE, to the study of harmonic maps between compact Riemannian manifolds when the target space has negative curvature. In  3 we extend some of the results of  1 to the case @M ¤ ;, when boundary conditions are placed on u. Section 4 is devoted to the study of reaction-diffusion equations, of the form (0.2)

@u D Lu C X.u/; @t

where u takes values in R` and X is a vector field on R` . Such systems arise in models of chemical reactions and in mathematical biology. One way to analyze the interplay of diffusion and the reaction due to X.u/ in (0.2) is via a nonlinear Trotter product formula, discussed in  5. In  6 we examine a model for the melting of ice. The source of the nonlinearity in this problem is different from those considered in  1–5; it is due to the equations specifying the interface where water meets ice, a “moving boundary.”

M.E. Taylor, Partial Differential Equations III: Nonlinear Equations, Applied Mathematical Sciences 117, DOI 10.1007/978-1-4419-7049-7 3, c Springer Science+Business Media, LLC 1996, 2011 

313

314 15. Nonlinear Parabolic Equations

In  7–9 we study quasi-linear parabolic PDE, beginning with fairly elementary results in  7. The estimates established there need to be strengthened in order to be useful for global existence results. One stage of such strengthening is done in  8, using the paradifferential operator calculus developed in  10 of Chap. 13. We also include here some results on completely nonlinear parabolic equations and on quasi-linear systems that are “Petrowski-parabolic.” The next stage of strengthening consists of Nash–Moser estimates, carried out in  9 and then applied to some global existence results. This theory mainly applies to scalar equations, but we also point out some `  ` systems to which the Nash– Moser estimates can be applied, including some systems of reaction-diffusion equations in which there is nonlinear diffusion as well as nonlinear interaction.

1. Semilinear parabolic equations In this section we look at equations of the form @u D Lu C F .t; x; u; ru/; @t

(1.1)

u.0/ D f;

for u.t; x/, a function on Œ0; T   M . We assume M has no boundary; the case @M ¤ ; will be treated in  3. Generally, L will be a second-order, negativesemidefinite, elliptic differential operator (e.g., L D ), where  is the Laplace operator on a complete Riemannian manifold M and  is a positive constant. We suppose F is C 1 in its arguments. We will begin with very general considerations, which often apply to an even more general class of linear operators L. For short, we suppress .t; x/-variables and set ˆ.u/ D F .u; ru/: We convert (1.1) to the integral equation Z

t

u.t/ D e tL f C

(1.2)

e .t s/L ˆ.u.s// ds D ‰u.t/:

0

We want to set up a Banach space C.Œ0; T ; X / preserved by the map ‰ and establish that (1.2) has a solution via the contraction mapping principle. We assume that f 2 X , a Banach space of functions, and that there is another Banach space Y such that the following four conditions hold: (1.3)

e tL W X ! X is a strongly continuous semigroup, for t  0;

(1.4)

ˆ W X ! Y is Lipschitz, uniformly on bounded sets;

(1.5)

tL

e

W Y ! X; for t > 0;

and, for some  < 1,

1. Semilinear parabolic equations

(1.6)

315

ke tL kL.Y;X/  C t  ; for t 2 .0; 1:

We will give a variety of examples later. Given these conditions, it is easy to see that ‰ acts on C.Œ0; T ; X /, for each T > 0. Fix ˛ > 0, and set (1.7)

Z D fu 2 C.Œ0; T ; X / W u.0/ D f; ku.t/  f kX  ˛g:

We want to pick T small enough that ‰ W Z ! Z is a contraction. By (1.3), we can choose T1 so that ke tL f  f kX  ˛=2 for t 2 Œ0; T1 . Now, if u 2 Z, then, by (1.4), we have a bound kˆ.u.s//kY  K1 , for s 2 Œ0; T1 , so, using (1.6), we have Z t      (1.8) e .t s/L ˆ u.s/ ds   C t 1 K1 :  X

0

If we pick T2  T1 small enough, this will be  ˛=2 for t 2 Œ0; T2 ; hence ‰ W Z ! Z, provided T  T2 . To arrange that ‰ be a contraction, we again use (1.4) to obtain     kˆ u.s/  ˆ v.s/ kY  Kku.s/  v.s/kX ; for u; v 2 Z. Hence, for t 2 Œ0; T2 ,

(1.9)

Z t      e tL ˆ.u.s//  ˆ.v.s// ds  k‰.u/.t/  ‰.v/.t/kX D 

X

0

 C t 1 K sup ku.s/  v.s/kX I and now if T  T2 is chosen small enough, we have C T 1 K < 1, making ‰ a contraction mapping on Z. Thus ‰ has a unique fixed point u in Z, solving (1.2). We have proved the following: Proposition 1.1. If X and Y are Banach spaces for which (1.3)–(1.6) hold, then the parabolic equation (1.1), with initial data f 2 X , has a unique solution u 2 C.Œ0; T ; X /, where T > 0 is estimable from below in terms of kf kX . As an example, let M be a compact Riemannian manifold, and consider (1.10)

X D C 1 .M /;

Y D C.M /:

In this case we have the conditions (1.3)–(1.6) if L D . In particular, (1.11)

ke t  kL.C;C 1 /  C t 1=2 ; for t 2 .0; 1:

Thus we have short-time solutions to (1.1) with f 2 C 1 .M /. It will be useful to weaken the hypothesis (1.3) a bit. Consider a pair of Banach spaces X and Z of functions, or distributions, on M , such that there are continu-

316 15. Nonlinear Parabolic Equations

ous inclusions C01 .M /  X  Z  D0 .M /: We will say that a function u.t/ taking values in X , for t 2 I , some interval in R, belongs to C.I; X / provided u.t/ is locally bounded in X , and u 2 C.I; Z/. More generally, this defines C.I; X / for any locally compact Hausdorff space I . Then we say e tL is an almost continuous semigroup on X provided e tL is uniformly bounded on X for t 2 Œ0; T , given T < 1, e .sCt /L u D e sL e tL u, for each u 2 X; s; t 2 Œ0; 1/, and u 2 X H) e tL u 2 C.Œ0; 1/; X /: Examples include e t  on L1 .M / and on H¨older spaces C r .M /; r 2 RC n ZC , when M is compact. The space C.I; X / may depend on the choice of Z, but we omit reference to Z in the notation. For example, when we consider e t  on L1 .M /, with M compact, we might fix p < 1 and take Z D Lp .M /. The proof of Proposition 1.1 readily extends to the following variant: Proposition 1.1A. Let X and Y be Banach spaces for which (1.4)–(1.6) hold. In place of (1.3), we assume e tL is an almost continuous semigroup on X . Also, we augment (1.4) with the condition that ˆ W C.I; X / ! C.I; Y /. Then the initialvalue problem (1.1), given f 2 X , has a unique solution u 2 C.Œ0; T ; X /, where T > 0 is estimable from below in terms of kf kX . As examples, we can consider (1.12)

X D C rC1 .M /;

Y D C r .M /;

r  0. If r is not an integer, these are H¨older spaces. We have, for any s > 0, (1.13)

ke t  kL.C r ;C rCs /  Cs t s=2 ;

0 < t  1:

It follows from (1.2) that if f 2 C rC1 and one has a solution u in the space C.Œ0; T ; C rC1 /, then actually, for each t > 0; u.t/ 2 C rCs for every s < 2. We can iterate this argument repeatedly, and also, via the PDE (1.1), obtain the regularity of t-derivatives of u, proving: Proposition 1.2. Given f 2 C 1 .M /; L D , the equation (1.1) has, for some T > 0, a unique solution (1.14)

    u 2 C Œ0; T ; C 1 .M / \ C 1 .0; T   M :

A number of different pairs X and Y can be constructed; it is particularly of interest to have results for cases other than X D C 1 .M /; Y D C.M /, as these are often useful for establishing the existence of global solutions. When

1. Semilinear parabolic equations

317

(1.4) holds depends on the nature of the nonlinearity in (1.1). We list here some estimates that bear on when (1.6) holds, in case L D . The bound in the right column is on the operator norm over 0 < t  1. In the cases listed here, we assume that p  q, and s  r. (1.15)

Y

bound on ke t  kL.Y;X/

X

C t .n=2/.1=q1=p/ I C t .1=2/.sr/ I C t .n=2/.1=q1=p/.1=2/.sr/ I P We now take a look at the case F .u; ru/ D j @j Fj .u/ of (1.1), with L D ; that is, Lq .M / H r;p .M / H r;q .M /

(1.16)

Lp .M / H s;p .M / H s;p .M /

X @u D u C @j Fj .u/; @t

u.0/ D f:

j

For simplicity, we take M D T n . The limiting case  D 0 of this, which we will consider in  5 of the next chapter, includes important cases of quasi-linear, hyperbolic equations. We will assume each Fj is smooth in its arguments (u can take values in RK ) and satisfies estimates (1.17)

jFj .u/j  C huip ;

jrFj .u/j  C huip1 ;

for some p 2 Œ1; 1/. We will show that the Banach spaces (1.18)

Y D H 1;q=p .M /

X D Lq .M /;

satisfy the conditions (1.3)–(1.6) for a certain range of q. First, we need q  p, so q=p  1 in (1.18). Only (1.4) and (1.6) need to be investigated. For (1.4) we need Fj W Lq ! Lq=p to be locally Lipschitz. To get this, write

(1.19)

Fj .u/  Fj .v/ D Gj .u; v/.u  v/; Z 1   Fj0 su C .1  s/v ds: Gj .u; v/ D 0

By (1.17), we have an estimate on kGj .u; v/kLq=.p1/ , and, by the generalized H¨older inequality, (1.20)

kFj .u/  Fj .v/kLq=p  kGj kLq=.p1/ ku  vkLq ;

so we have (1.4). To check (1.6), we use the third estimate in (1.15), to get (1.21)

ke t  kL.H 1;q=p ;Lq /  C t .n=2/.p=q1=q/1=2 ;

318 15. Nonlinear Parabolic Equations

for 0 < t  1, so we require n.p  1/=q < 1. Therefore, we have part of the following result: Proposition 1.3. Under the hypothesis (1.17), if f 2 Lq .M /, the PDE (1.16) has a unique solution u 2 C.Œ0; T ; Lq .M //, provided (1.22)

q  p and q > n.p  1/:

Furthermore, u 2 C 1 ..0; T   M /. It remains to establish the smoothness. First, replacing Lq by Lq1 in (1.21), we see that, for any t 2 .0; T ; u.t/ 2 Lq1 for all q1 < q=.pq=n/. As pq=n < 1, this means q1 exceeds q by a factor > 1. Iterating this gives u.t/ 2 Lqj , where qj exceeds qj 1 by increasing factors. Once you have qj > np, the next iteration gives u.t/ 2 C r .M /, for some r > 0. Now, consider the spaces (1.23)

X D C r .M /;

Y D H r1";q .M /;

where q is chosen very large, and " > 0 very small. The fact that u 7! Fj .u/ is locally Lipschitz from C r .M / to C r .M /, hence to H r";p .M /, gives (1.4) in this case, and estimates from the third line of (1.15), together with Sobolev imbedding theorems, give (1.6), and furthermore establish that actually, for each t > 0; u.t/ 2 C r1 .M /, for r1  r > 0, estimable from below. Repeating this argument a finite number of times, we obtain u.t/ 2 C rj .M /, with rj > 1. At this point, the regularity result of Proposition 1.2 applies. We can now establish a global existence theorem for solutions to (1.16). Proposition 1.4. Suppose Fj satisfy (1.17) with p D 1. Then, given f 2 L2 .M /, the equation (1.16) has a unique solution (1.24)

    u 2 C Œ0; 1/; L2 .M / \ C 1 .0; 1/  M ;

  provided, when u takes values in RK ; Fj .u/ D F 1 j .u/; : : : ; F K j .u/ , that (1.25)

@F k j @F i j D ; @ui @uk

1  i; k  K:

Proof. We have u 2 C.Œ0; T ; L2 / \ C 1 ..0; T /  M /, since (1.22) holds with q D 2. To get global existence, it therefore suffices to bound ku.t/kL2 ; we prove this is nonincreasing. Indeed, for t > 0,

(1.26)

X   d ku.t/k2L2 D 2 u.t/; @j Fj .u.t//  2kru.t/k2L2 dt X    2 u.t/; @j Fj .u.t// :

1. Semilinear parabolic equations

319

Now by (1.25) there exist smooth Gj such that F k j D @Gj =@uk , and hence the right side of (1.26) is equal to 2

(1.27)

XZ

@j Gj .u/ d u D 0:

The proof is complete. The hypothesis (1.25) implies that the  D 0 analogue of (1.16) is a symmetric hyperbolic system, as will be seen in the next chapter. The condition p D 1 for (1.17) is rather restrictive. In the case of a scalar equation, we can eliminate this restriction, at least for bounded initial data, obtaining the following important existence theorem. Proposition 1.5. If (1.16) is scalar and f 2 L1 .M /, then there is a unique solution u 2 L1 .Œ0; 1/  M / \ C 1 ..0; 1/  M /; such that, as t & 0; u.t/ ! f in Lp .M / for all p < 1. Proof. Suppose kf kL1  M . Alter Fj .u/ on juj  M C 1=2, obtaining FQj .u/, constant on u  M  1 and on u  M C 1. Then Proposition 1.4 yields a global solution u to the modified PDE. This u solves (1.28)

X @u D u C aj .t; x/@j u; @t

aj .t; x/ D FQj0 .u.t; x//;

so the maximum principle for linear parabolic equations applies; ku.t/kL1 is nonincreasing. Thus ku.t/kL1  M for all t, and hence u solves the original PDE. The solution operator produced from Proposition 1.5 has an important L1 -contractive property, which will be useful for passing to the  D 0 limit in  6 of the next chapter. We present an elegant demonstration from [Ho]. Proposition 1.6. Let uj be solutions to the equation (1.16) in the scalar case, with initial data uj .0/ D fj 2 L1 .M /. Then, for each t > 0, (1.29)

ku1 .t/  u2 .t/kL1 .M /  kf1  f2 kL1 .M / :

Proof. Set v D u1  u2 . Then v solves (1.30)

X   @v D v C @j ˆj .u1 ; u2 /v ; @t

with

Z ˆj .u1 ; u2 / D

0

1

  Fj0 su1 C .1  s/u2 ds;

320 15. Nonlinear Parabolic Equations

so Fj .u1 /  Fj .u2 / D ˆj .u1 ; u2 /.u1  u2 /. Set Gj .t; x/ D ˆj .u1 ; u2 /. Now, for given T > 0, let w solve the backward evolution equation (1.31)

X @w D w C Gj .t; x/@j w; @t

w.T / D w0 2 C 1 .M /:

Then w.t/ is well defined for t  T , and the maximum principle yields (1.32)

kw.t/kL1  kw0 kL1 ; for t  T:

Note that kv.T /kL1 is the sup of .v.T /; w0 / over kw0 kL1  1. Now, for t 2 .0; T /, we have

(1.33)

X  d .v; w/ D .v; w/ C @j .Gj v/; w dt X  .v; w/ C .v; Gj @j w/ D 0:

  Since v.0/; w.0/  kv.0/kL1 kw.0/kL1 , this proves (1.29). We next produce global weak solutions to (1.16), for K  K systems, with the symmetry hypothesis (1.25), in case (1.17) holds with p D 2. As before, we take M D T n . We will use a version of what is sometimes called a Galerkin method to produce a sequence of approximations, converging to a solution to (1.16). Give " > 0, define the projection P" on L2 .M / by P" f .x/ D

X

fO.k/e i kx ;

jkj1="

where, for k 2 Zn ; fO.k/ form the Fourier coefficients of f . Consider the initialvalue problem (1.34)

X @u" D P" P" u" C P" @j Fj .P" u" /; @t

u" .0/ D P" f:

We take f 2 L2 .M /. For each " 2 .0; 1, ODE theory gives a unique short-time solution, satisfying u" .t/ D P" u" .t/. Furthermore, (1.35)

X  d ku" .t/k2L2 D 2.P" P" u" ; u" / C 2 P" @j Fj .P" u" /; u" : dt

1. Semilinear parabolic equations

321

The first term on the right is 2krP" u" .t/k2L2  0. The last term is equal to 2 (1.36)

X X   @j Fj .P" u" /; P" u" D 2 Fj .P" u" /; @j P" u" XZ   D 2 @j Gj .P" u" / dx D 0;

where Gj is as in (1.27). We deduce that ku" .t/kL2  kf kL2 :

(1.37)

Hence, for each " > 0, (1.34) is solvable for all t > 0, and (1.38)

fu" W " 2 .0; 1g is bounded in L1 .RC ; L2 .M //:

Note that further use of (1.35)–(1.37) gives Z (1.39)

T

krP" u" .t/k2L2 dt D kP" f k2  ku" .T /k2L2 ;

2 0

for any T 2 .0; 1/. Hence, for each bounded interval I D Œ0; T , since P" u" D u" , fu" g is bounded in L2 .I; H 1 .M //:

(1.40)

Given that jFj .u/j  C hui2, it follows from (1.38) that (1.41)

fFj .P" u" /g is bounded in L1 .RC ; L1 .M //  L1 .RC ; H n=2ı .M //;

for each ı > 0. Now using the evolution equation (1.34) for @u" =@t and (1.40)– (1.41), we conclude that (1.42)

n @u o "

@t

is bounded in L2 .I; H n=21ı .M //;

hence (1.43)

fu" g bounded in H 1 .I; H n=21ı .M //:

Now we can interpolate between (1.40) and (1.43) to obtain (1.44)

fu" g bounded in H s .I; H 1s.n=2C1Cı/ .M //;

322 15. Nonlinear Parabolic Equations

for each s 2 Œ0; 1. Now if we pick s > 0 very small and apply Rellich’s theorem, we deduce that (1.45)

fu" W 0 < "  1g is compact in L2 .I; H 1 .M //;

for all  > 0. The rest of the argument is easy. Given T < 1, we can pick a sequence uk D u"k ; "k ! 0, such that uk ! u in L2 .Œ0; T ; H 1 .M //; in norm.

(1.46)

We can arrange that this hold for all T < 1, by a diagonal argument. We can also assume that uk is weakly convergent in each space specified in (1.38) and (1.40), and that @uk =@t is weakly convergent in the space given in (1.42). From (1.46) we deduce (1.47)

Fj .P"k u"k / ! Fj .u/ in L1 .Œ0; T ; L1 .M //; in norm,

as k ! 1, hence (1.48)

@j Fj .P"k u"k / ! @j Fj .u/ in L1 .Œ0; T ; H 1;1 .M //:

Using H 1;1 .M /  H n=21ı .M /, we see that each term in (1.34) converges as "k ! 0. We have proved the following: Proposition 1.7. If jFj .u/j  C hui2 and jrFj .u/j  C hui, then, for each f 2 L2 .M /, a K  K system of the form (1.16), satisfying the symmetry hypothesis (1.25), possesses a global weak solution (1.49)

u 2 L1 .RC ; L2 .M // \ L2loc .RC ; H 1 .M //   \ Liploc RC ; H 2 .M / C H n=21ı .M / :

When reading the discussion of the Navier–Stokes equations in Chap. 17, one will note a similar argument establishing a classical result of Hopf on global weak solutions to that system.

Exercises 1. Verify the estimates on operator norms of e t  W Y ! X listed in (1.15). 2. Show that, given f 2 C 1 .M /; M D T n , the solution to @u D u C F .t; u; ru/; @t

u.0/ D f;

continues to exist as long as ku.t/kL1 does not blow up, provided this equation is scalar and Fu  0. (Hint: Derive a PDE for uj D @u=@xj and apply the maximum principle.)

Exercises

323

3. Generalize the treatment of PDE (1.16), done above in the case M D T n , to the following situation for a general compact Riemannian manifold M : @u D u C div F .u/; @t where (a) u is scalar and F .u/ D F .x; u/ 2 Tx M , for x 2 M; u 2 R, (b) u is a vector field and F .u/ D F .x; u/ 2 ˝2 Tx M , for x 2 M; u 2 Tx M . Consider other generalizations. 4. More generally, extend the treatment of (1.16) to @u D u C DF .u/; @t

u.0/ D f;

where D is a first-order differential operator on the compact Riemannian manifold M , and F satisfies the estimates (1.17). What additional properties must D have for Proposition 1.4 to extend? 5. For given ; " > 0; k 2 ZC , consider the .4k/-order operator L D   "2k : Show that ke tL kL.Y;X/ satisfies estimates of the form (1.15), where, in the right column, one replaces t  by t =2k , and C depends on  and ". 6. Consider the PDE X @u @j Fj .u/; D u  "2k u C @t

(1.50)

u.0/ D f:

Suppose Fj satisfies (1.17), that is, jFj .u/j  C huip ;

(1.51)

jrFj .u/j  C huip1 :

Show that there is a unique local solution u 2 C.Œ0; T ; Lq .M // \ C 1 ..0; T   M / given f 2 Lq .M /, provided q  p and q >

n.p  1/ : 4k  1

7. Suppose that (1.51) holds with p D 2 and that dim M D n < 8k  2. Suppose also that the symmetry hypothesis (1.25) holds (for a K  K system), so F k j .u/ D @Gj =@uk . Given f 2 L2 .M /, show that (1.50) has a unique global solution u 2 C.Œ0; 1/; L2 .M // \ C 1 ..0; 1/  M /, and ku.t/kL2  kf k2L2 , for t > 0. 8. Let u D u" be the solution to (1.50) under the hypotheses of Exercise 7. We take  > 0 fixed and let " & 0. Obtain bounds on fu" W " 2 .0; 1g which imply that a subsequence converges to a weak solution u0 of the " D 0 case of (1.50), thus providing another proof of Proposition 1.7. (Hint: Start with the following analogue of (1.39): Z

T

2 0

Z kru" .t/k2L2 dt C 2"

T

0

kk u" .t/k2L2 dt D kf k2L2  ku" .T /k2L2 :/

324 15. Nonlinear Parabolic Equations 9. Let u be a smooth solution for 0 < t < T of the system (1.16), under the hypothesis (1.25) of Proposition 1.4, namely, X @u D u C @j Fj .u/; @t

(1.52)

@ui F k j D @uk F i j ;

u.0/ D f:

Thus F k j D @uk Gj . Show that

 XZ  d @uk @ui Gj .u/ @j uk @2` ui dx krx u.t/k2L2 D 2kuk2L2  2 dt 2 1   2kuk2L2 C ˆ ku.t/kL1 krx uk2L2 C kuk2L2 ; 

where (1.53)

ˆ.M / D sup k@ui @uk Gj .u/k D sup k@uk Fj .u/k: jujM

jujM

Rt

Integrating this and using the estimate on  0 krx u./k2L2 d  that follows from (1.26)–(1.27), deduce that, for 0 < t < T , Z t (1.54) krx u.t/k2L2 C  ku./k2L2 d   krx f k2L2 C  2 ‰.u; t/2 kf k2L2 ; 0

where ‰.u; t/ D ˆ.M /, with M D supfku./kL1 W 0    tg. 10. In the context of Exercise 9, suppose that the space dimension is n D 1. Note that in this case, ku.t/k2L1  C krx u.t/kL2 ku.t/kL2 C C ku.t/k2L2 : Show that under the hypothesis ˆ.M /M 2 ! 0; as M ! C1; we have a bound on ku.t/kH 1 as t % T , and hence a global existence result for (1.52). Compare with [Smo], p. 427. 11. Solve the system (1.55)

ut D uxx C u.u2x C vx2 /; u.0; x/ D A cos kx;

vt D vxx C v.u2x C vx2 /; v.0; x/ D A sin kx;

with A > 1. Here, x 2 S 1 D R=2Z. Show that the maximal t-interval of existence in RC is Œ0; C.A/=k 2 /. This example is given in [LSU] and attributed to E. Heinz. 12. Consider the multidimensional “Burger’s equation” ut C ru u D u;

(1.56)

u.0; x/ D f .x/;

for u.t; x/ W RC  T n ! Rn . Show that, for each t > 0, sup juj .t; x/j  sup jfj .x/j;

x2T n

x2T n

1  j  n:

Deduce that (1.56) has a global solution. (Hint: Show that X d ku.t/k2H k  C dt

X

j;` j˛jCjˇ jk

k.D ˛ uj /.D ˇ u` /kL2 kukH kC1  2kruk2H k ;

and use Proposition 3.6 of Chap. 13 to estimate k.D ˛ uj /.D ˇ u` /kL2 :) Note that the case n D 1 is also treated by Proposition 1.5.

2. Applications to harmonic maps

325

2. Applications to harmonic maps Let M and N be compact Riemannian manifolds. Using Nash’s result, proved in  5 of Chap. 14, we take N to be isometrically imbedded in some Euclidean space; N  Rk . A harmonic map u W M ! N is a critical point for the energy functional Z 1 (2.1) E.u/ D jru.x/j2 dV .x/; 2 M

among all such maps. In the integrand, we use the natural square norm on Tx M ˝ Tu.x/ N  Tx M ˝ Rk . The quantity (2.1) clearly depends only on the metrics on M and N , not on the choice of isometric imbedding of N into Euclidean space. If us is a smooth family of maps from M to N , then Z ˇ d E.us /ˇsD0 D  v.x/u.x/ dV; (2.2) ds where u D u0 , and v.x/ D .@=@s/us .x/ 2 Tu.x/ N . One can vary u0 so that v is any map M ! Rk such that v.x/ 2 Tu.x/ N , so the stationary condition is that (2.3)

u.x/ ? Tu.x/ N; for all x 2 M:

We can rewrite the stationary condition (2.3) by a process similar to that used in (11.12)–(11.14) in Chap. 1. Suppose that, near a point z 2 N  Rk ; N is given by (2.4)

f` .y/ D 0;

1  `  L;

where L D k  dim N , with rf` .y/ linearly independent in Rk , for each y near z. If u W M ! N is smooth and u.x/ is close to z, then we have (2.5)

X @f` @u D 0; @u @xj 

1  `  L; 1  j  m;

where .x1 ; : : : ; xm / is a local coordinate system on M . Hence (2.6)

X @f` X @2 f` @u @u u D  g jk : @u @u @u @xk @xj  ;;j;k

Since fry f` .y/ W 1  `  Lg is a basis of the orthogonal complement in Rk of Ty N , it follows that, for smooth u W M ! N , the normal component of u depends only on the first-order derivatives of u, and is quadratic in ru; that is, we have a formula (2.7)

.u/N D .u/.ru; ru/:

326 15. Nonlinear Parabolic Equations

Thus the stationary condition (2.3) for u is equivalent to u  .u/.ru; ru/ D 0:

(2.8)

Denote the left side of (2.8) by .u/; it follows from (2.7) that, given u 2 C 2 .M; N /; .u/ is tangent to N at u.x/. J. Eells and J. Sampson [ES] proved the following result. Theorem 2.1. Suppose N has negative sectional curvature everywhere. Then, given v 2 C 1 .M; N /, there exists a harmonic map w 2 C 1 .M; N / which is homotopic to v. As in [ES], the existence of w will be established via solving the PDE (2.9)

@u D u  .u/.ru; ru/; @t

u.0/ D v:

It will be shown that under the hypothesis of negative sectional curvature on N , there is a smooth solution to (2.9) for all t  0 and that, for a sequence tk ! 1; u.tk / tends to the desired w. In outline, our treatment follows that presented in [J2], with some simplifications arising from taking N to be imbedded in Rk (as in [Str]), and also some simplifications in the use of parabolic theory. The local solvability of (2.9) follows directly from Proposition 1.2. Since .u/ is tangent to N for u 2 C 1 .M; N /, it follows that u.t/ W M ! N for each t in the interval Œ0; T / on which the solution to (2.9) exists. To get global existence for (2.9), it suffices to estimate ku.t/kC 1 . In order to estimate rx u, we use a differential inequality for the energy density e.t; x/ D

(2.10)

1 jrx u.t; x/j2 : 2

In fact, there is the identity

(2.11)

˛ 1˝ @e  e D  jN r 2 uj2  du  RicM .ej /; du  ej @t 2 ˛ 1˝ N C R .du  ej ; du  ek /du  ek ; du  ej ; 2

where fej g is an orthonormal frame at Tx M and we sum over repeated indices. The operator N r 2 is obtained from the second covariant derivative: N

r 2 u.x/ W ˝2 Tx M ! Tu.x/ N:

See the exercises for a derivation of (2.11).

2. Applications to harmonic maps

327

Given that N has negative sectional curvature, (2.11) implies the inequality @e  e  ce: @t

(2.12)

If f .t; x/ D e ct e.t; x/, we have @f =@t  f  0, and the maximum principle yields f .t; x/  kf .0; /kL1 , hence e.t; x/  e ct krvk2L1 :

(2.13)

This C 1 -estimate implies the global existence of a solution to (2.9), by Proposition 1.2. For the rest of Theorem 2.1, we need further bounds on u, including an improvement of (2.13). For the total energy Z (2.14)

E.t/ D

e.t; x/ dV .x/ D

1 2

M

Z jruj2 dV .x/; M

we claim there is the identity (2.15)

E 0 .t/ D 

Z jut j2 dV .x/: M

R Indeed, one easily obtains E 0 .t/ D  hut ; ui dV .x/. Then replace u by ut C .u/.ru; ru/. Since ut is tangent to N and .u/.ru; ru/ is normal to N , (2.15) follows. The desired improvement of (2.13) will be a consequence of the following estimate: Lemma 2.2. Let e.t; x/  0 satisfy the differential inequality (2.12). Assume that Z E.t/ D

e.t; x/ dV .x/  E0

is bounded. Then there is a uniform estimate (2.16)

t  1;

e.t; x/  e c K E0 ;

where K depends only on the geometry of M . Proof. Writing @e=@t  e D ce  g; g.t; x/  0, we have, for 0  s  1, Z (2.17)

s

e.t C s; x/ D e s.Cc/ e.t; x/  0

 e s.Cc/ e.t; x/:

e .s/.Cc/ g.; x/ d 

328 15. Nonlinear Parabolic Equations

Since e s.Cc/ is uniformly bounded from L1 .M / to L1 .M / for s 2 Œ1=2; 1, the bound (2.16) for t 2 Œ1=2; 1/ follows from the hypothesized L1 -bound on e.t/. We remark that a more elaborate argument, which can be found on pp. 84–86 of [J2], yields an explicit bound K depending on the injectivity radius of M and the first (nonzero) eigenvalue of the Laplace operator on M . Since Lemma 2.2 applies to e.t; x/ D jruj2 when u solves (2.9), we see that solutions to (2.9) satisfy (2.18)

ku.t/kC 1  K1 kvkC 1 ; for all t  0:

Hence, by the regularity estimate in Proposition 1.2, there are uniform bounds (2.19)

ku.t/kC `  K` kvkC 1 ;

t  1;

for each ` < 1. Of course there are consequently also uniform Sobolev bounds. Now, by (2.15), E.t/ is positive and monotone decreasing as t % 1. Thus R the quantity M jut .t; x/j2 dV .x/ is an integrable function of t, so there exists a sequence tj ! 1 such that (2.20)

kut .tj ; /kL2 ! 0:

From (2.19) and the PDE (2.9), we have bounds kut .t; /kH k  Ck ; and interpolation with (2.20) then gives, for any ` 2 ZC , (2.21)

kut .tj ; /kH ` ! 0:

Therefore, by the PDE (2.9), one has for uj .x/ D u.tj ; x/, (2.22)

uj  .uj /.ruj ; ruj / ! 0 in H ` .M /;

as well as a uniform bound from (2.19). It easily follows that a subsequence converges in a strong norm to an element w 2 C 1 .M; N / solving (2.8) and homotopic to v, which completes the proof of Theorem 2.1. We next show that there is an energy-minimizing harmonic map w W M ! N within each homotopy class when N has negative sectional curvature. Proposition 2.3. Under the hypotheses of Theorem 2.1, if we are given v 2 C 1 .M; N /, then there is a smooth map w W M ! N that is harmonic, and homotopic to v, and such that E.w/  E.v/ Q for any vQ 2 C 1 .M; N / homotopic to v.

2. Applications to harmonic maps

329

Proof. If ˛ is the infimum of the energies of smooth maps homotopic to v, pick v , homotopic to v, such that E.v / & ˛. Then solve (2.9), for u , with initial data u .0/ D v . We have some sequence u .tj / ! w 2 C 1 .M; N /, harmonic. The proof of Theorem 2.1 gives E.w /  E.v /, hence E.w / ! ˛. Also, via (2.16) and (2.19), we have uniform C ` -bounds on w , for all `. Thus fw g has a limit point w with the desired properties. We record a local existence result for parabolic equations with a structure like that of (2.9), with initial data less smooth than C 1 . Thus we look at equations of the form (1.1), with (2.23)

F .x; Dx1 u/ D B.u/.ru; ru/;

a quadratic form in ru. In this case, we take (2.24)

X D H 1;p ;

Y D Lq ;

qD

p ; 2

p > n;

and verify the conditions (1.3)–(1.6), using the Sobolev imbedding result H s;p  Lnp=.nsp/ ; p <

n : s

This yields the following: Proposition 2.4. If (2.23) is a quadratic form in ru, then the PDE (2.25)

@u D u C B.u/.ru; ru/; @t

u.0/ D f;

has a solution in C.Œ0; T ; H 1;p / \ C 1 ..0; T /  M /, provided f 2 H 1;p .M /, p > n. The smoothness is established by the same sort of arguments as described before. Of course, the proof of Proposition 2.4 yields persistence of solutions as long as ku.t/kH 1;p is bounded for some p > n. We mention further results on harmonic maps. First, in the setting of Theorem 2.1, that is, when N has negative sectional curvature, any harmonic map is energy minimizing in its homotopy class, a fact that makes Proposition 2.3 superfluous. An elegant proof of this fact can be found in [Sch]. It is followed by a proof of a uniqueness result of P. Hartman, which says that under the hypotheses of Theorem 2.1, any two homotopic harmonic maps coincide, unless both have rank  1. Theorem 2.1 does not extend to arbitrary N . For example, it was established by Eells and Wood that if v 2 C 1 .T 2 ; S 2 / has degree 1, then v is not homotopic to a harmonic map. Among positive results not contained in Theorem 2.1, we mention a result of Lemaire and Sacks–Uhlenbeck that if 2 .N / D 0 and dim

330 15. Nonlinear Parabolic Equations

M D 2, then any v 2 C 1 .M; N / is homotopic to a smooth harmonic map. If dim M  3, there are nonsmooth harmonic maps, and there has been considerable work on the nature of possible singularities. Details on matters mentioned in this paragraph, and further references, can be found in [Hild, J1, Str, Str2]. We also refer to [Ham] for extensions of Theorem 2.1 to cases where M and N have boundary. In case M and N are compact Riemann surfaces of genus  2 (endowed with metrics of negative curvature, as done in  2 of Chap. 14), harmonic maps of degree 1 are unique and are diffeomorphisms, as shown by R. Schoen and S.-T. Yau. They measure well the degree to which M and N may fail to be conformally equivalent, and they provide an excellent analytical tool for the study of Teichmuller theory, replacing the more classical use of “quasi-conformal maps.” This material is treated in [Tro]. We mention some other important geometrical results attacked via parabolic equations. R. Hamilton [Ham2] obtained topological information on 3-manifolds with positive Ricci curvature and in [Ham3] provided another approach to the uniformization theorem for surfaces, an approach that works for the sphere as well as for surfaces of higher genus; see also [Chow]. S. Donaldson [Don] constructed Hermitian–Einstein metrics on stable bundles over compact algebraic surfaces; see [Siu] for an exposition. Some facets of the Yamabe problem were treated via the “Yamabe flow” in [Ye]. Hamilton’s Ricci flow equation @g D 2 Ric.g/ @t is a degenerate parabolic equation, but D. DeTurk [DeT] produced a strongly parabolic modification, which fits into the framework of  7 of this chapter, giving short time solutions. Solutions typically develop singularities, and there has been a lot of work on their behavior. Work of G. Perelman, [Per1]–[Per3], was a tremendous breakthrough, greatly refining understanding of the Ricci flow and using this to prove the Poincar´e Conjecture and Thurston’s Geometrization Conjecture, for compact 3-dimensional manifolds. This work has generated a large additional body of work, quite a bit of it devoted to giving more digestible presentations of Perelman’s work. We refer to [CZ] and [MT] for such presentations, and other references.

Exercises For Exercises 1–3, choose local coordinates x near a point p 2 M and local coordinates y near q D u.p/ 2 N . Then the energy density is given by 1 @u @u k` g .x/h .u.t; x//; 2 @xk @x`   where u.x/ D u1 .x/;    ; un .x/ in the y-coordinate system, n D dim N . Here, gk` and h define the metrics on M and N , respectively, and we use the summation

(2.26)

e.t; x/ D

Exercises

331

convention, here and below. Assume the coordinate systems are normal at p and q, respectively. 1. Using these coordinate systems, show that the PDE (2.9) takes the form (2.27)

@2 u @u  g k` D g k` @t @xk @x`

M

j k`

@u C g k` @xj

N

 

@u @u ; @xk @x`

where M j k` and N   are the connection coefficients of M and N , respectively. 2. Differentiating (2.27), show that, at p, # " @2 gkj @3 u 1 @2 gkj @2 gkk @u @ @u C D C   @t @x` @xk @xk @x` 2 @xk @x` @xk @x` @xj @x` @xj (2.28) " # 1 @2 h @2 h˛ @2 h˛ @uˇ @u @u˛  C  : 2 @y˛ @yˇ @y @yˇ @y @yˇ @x` @xk @xk 3. Using (2.28), show that, at p, 

(2.29)

@e @2 u @2 u C e D @t @xj @xk @xj @xk

" #

1 @2 g`k @2 gi i @2 g`i @2 gi ` @u @u  C   2 @xi @xi @x` @xk @x` @xk @xi @xk @x` @xk # "

@2 h @2 h @u @u @u @u @2 h 1 @2 h : C   C 2 @y @y @y @y @y @y @y @y @xj @xj @xk @xk

Obtain the identity (2.11) by showing that this is equal, at p, to jN r 2 uj2 C

@u @u @u @u @u @u 1 1 N RicM jk @x @x  2 R @x @x @x @x : 2 j j j k k k

To define N r 2 u.x/, let E ! M denote the pull-back u T N , with its pulled-back connection e r . To Du W TM !; T N we associate Du 2 C 1 .M; T  ˝ E/. If r # denotes the product connection on T  M ˝ E, we have (2.30)

N

r 2 u D r # Du 2 C 1 .M; T  ˝ T  ˝ E/:

Compare the construction of second covariant derivatives in Chap. 2,  3, and Appendix C,  2. If N  Rk , let F ! M be the pull-back uT  Rk , with its pulled-back (flat) connection r 0 . We have Du 2 C 1 .M; T  ˝ E/  C 1 .M; T  ˝ F / and (2.31)

r 2 u D r 0 Du 2 C 1 .M; T  ˝ T  ˝ F /;

obtained by taking the Hessian of u componentwise. 4. Show that (2.32)

N

r 2 u.X; Y / D PE r 2 u.X; Y /;

where PE W F ! E is orthogonal projection on each fiber. Parallel to (2.7), produce a formula

332 15. Nonlinear Parabolic Equations (2.33)

r 2 u D N r 2 u C G.u/.ru; ru/;

orthogonal decomposition.

Relate G.u/ to the second fundamental form of N  Rk ; show that   (2.34) G.u/.ru; ru/.X; Y / D II N Du.x/X; Du.x/Y : 5. Suppose N is a hypersurface of Rk , given by N D fx 2 Rk W '.x/ D C g, with r' ¤ 0 on N . Show that .u/.ru; ru/ in (2.7) is given in this case by 3 2   X   r' u.x/ 2 5 4 @j u.x/  D ' u.x/  @j u.x/ ˇ  (2.35) .u/.ru; ru/ D  ˇ : ˇr' u.x/ ˇ2 j

Compare with the geodesic equation (11.14) in Chap. 1. 6. If dim M D 2, show that the energy E.u/ given by (2.1) of a smooth map u W M ! N is invariant under a conformal change in the metric of M , that is, under replacing the metric tensor g on M by g 0 D e 2f g, for some real-valued f 2 C 1 .M /. 7. Show that any isometry w W M ! N of M onto N is a harmonic map. 8. Show that if dim M D dim N D 2 and w W M ! N is a conformal diffeomorphism, then it is harmonic. (Hint: Recall Exercise 6.) e  N that is a minimal 9. If u W M ! N is an isometry of M onto a submanifold M submanifold, show that u is harmonic. 10. If dim M D 2 and f W M ! N , show that   E.f /  Area f .M / ; with equality if and only if f is conformal.

3. Semilinear equations on regions with boundary The initial-value problem (3.1)

@u D u C F .t; x; u; ru/; @t

u.0/ D f;

for u D u.t; x/, was studied in  1 for x 2 M , a compact manifold without boundary. Here we extend many of these results to the case where x 2 M , a compact manifold with boundary. As in  1, we assume F is smooth in its arguments. We will deal specifically with the Dirichlet problem: (3.2)

u D 0 on RC  @M:

There is an analogous development for other boundary conditions, such as Neumann or Robin boundary conditions. Recall that Propositions 1.1 and 1.1A were phrased on a very general level, so a number of short-time existence results in this case follow simply by verifying

3. Semilinear equations on regions with boundary

333

the hypotheses (1.3)–(1.6), for appropriate Banach spaces X and Y on M . For example, somewhat parallel to (1.10), consider X D Cb1 .M /; Y D C.M /, where, for j  0, we set (3.3)

Cbj .M / D ff 2 C j .M / W f D 0 on @M g:

In Proposition 7.4 of Chap. 13, it is shown that e t  is a strongly continuous semigroup on Cb1 .M /. Also, (7.52) of Chap. 13 gives (3.4)

ke t  f kC 1 .M /  C t 1=2 kf kL1 ;

for 0 < t  1;

so we have the following: Proposition 3.1. If f 2 Cb1 .M /, then (3.1)–(3.2) has a unique solution (3.5)

  u 2 C Œ0; T /; C 1 .M / ;

for some T > 0, estimable from below in terms of kf kC 1 . If we specialize to F independent of ru, hence look at (3.6)

@u D Lu C F .t; x; u/; @t

u.0/ D f;

we can take X D Cb .M /; Y D C.M /, and, by arguments similar to those used above, we obtain the following result: Proposition 3.2. If f 2 Cb .M /, then (3.6), (3.2) has a unique solution (3.7)

  u 2 C Œ0; T /; C.M / :

for some T > 0, estimable from below in terms of kf kL1 . We can obtain further regularity results on solutions to (3.1) and (3.6), with boundary condition (3.2), making use of regularity results for (3.8)

@u D u C g.t; x/; @t

u.t; x/ D 0 for x 2 @M;

established in Exercises 4–10 of Chap. 6,  1. To recall the result, let us set, for k 2 ZC , (3.9) Hk .I M / D fu 2 L2 .I M / W @jt u 2 L2 .I; H 2k2j .M //; 0  j  kg:

334 15. Nonlinear Parabolic Equations

The result is that if (3.8) holds on I  M , with I D Œ0; T0 , then g 2 Hk .I  M / H) u 2 HkC1 .I 0  M /;

(3.10)

for I 0 D Œ"; T0 ; " > 0. Taking g D F .t; x; u; ru/ for u in Proposition 3.1 and g D F .t; x; u/ for u in Proposition 3.2, we have in both cases g 2 H0 .I  M /, whenever T0 < T , and hence u 2 H1 .I 0  M /;

(3.11)

in both cases. One also has higher order regularity. For simplicity, we restrict attention to the setting of Proposition 3.2. Proposition 3.3. Assume F is smooth in its arguments. The solution (3.7) of (3.6), (3.2) has the property   u 2 C 1 .0; T /  M :

(3.12)

Proof. In this case, we start with the implication (3.13)

u 2 C.I  M / \ H1 .I 0  M / H) F .t; x; u/ 2 H1 .I 0  M /;

as follows from the chain rule and Moser estimates, as in Proposition 3.9 in Chap. 13. Applying (3.10) then gives u 2 H2 .I 0  M /. More generally, (3.14)

u 2 C.I  M / \ Hk .I 0  M / H) F .t; x; u/ 2 Hk .I 0  M /:

Repeated applications of this plus (3.10) then yield u 2 HkC1 .I 0  M / for all k, which implies (3.12).

Exercises 1. Work out results parallel to those presented in this section, when the Dirichlet boundary condition (3.2) is replaced by Neumann or Robin boundary conditions. 2. Consider the 3-D Burger equation (3.15)

ut C ru u D u;

u.0; x/ D f .x/;

u.t; x/ D 0; for x 2 @ ;

where u W RC  ! R3 , and is a bounded domain in R3 with smooth boundary. Show that the set-up to prove local existence works, with X D H01 . /;

Y D L3=2 . /:

(Hint: Show that H01 . /  L2 . /  L3=2 . / and D.1=4 /  L3 . /, hence ke t  f kH 1 . /  C t 3=4 kf kL3=2 . / ; for 0 < t  1:/

4. Reaction-diffusion equations

335

4. Reaction-diffusion equations Here we study `  ` systems of the form @u D Lu C X.u/; @t

(4.1)

u.0/ D f;

where u D u.t; x/ takes values in R` ; X is a real vector field on R` , and L is a second-order differential operator, which we assume to be a negative-semidefinite, self-adjoint operator on L2 .M /. We take M to be a complete Riemannian manifold, of dimension n, often either Rn or compact. The numbers n and ` are unrelated. We do not assume L is elliptic, though that possibility is not precluded. Such a system arises when “substances” S ; 1    `, whose concentrations are measured by u , are simultaneously diffusing and interacting via a mechanism that changes these quantities. Recall from the introduction to Chap. 11 the relation between the quantity u of S and its flux J , in case S is being neither created nor destroyed. This generalizes to the identity @ @t

Z

Z u .t; x/ dV .x/ D 

O

Z N  J dS.x/ C

@O

  X u.t; x/ dV .x/

O

if X .u/ is a measure of the rate at which S is created, due to interactions with the “environment,” namely, with the other S . Consequently, by the divergence theorem, @u D div J C X .u/: @t If we assume that each S obeys a diffusion law independent of the other substances, of the form considered in Chap. 11, that is, J D d grad u ; then we obtain the system (4.1), with L D D, where D is a diagonal `` matrix with diagonal entries d  0; we allow the possibility d D 0, which means S is not diffusing. An example of the sort of system that arises this way is the Fitzhugh–Nagumo system:

(4.2)

@v @2 v D D 2 C f .v/  w; @t @x @w D ".v   w/; @t

with f .v/ D v.a  v/.v  1/:

336 15. Nonlinear Parabolic Equations

In this case, (4.3)

LD

D@2x 0

0 : 0

Here D is a positive constant. This arose as a model for activity along the axon of a nerve, with v and w related to the voltage and the ion concentration, respectively. We will mention other examples later in this section. While we will mention what various examples model, we will not go into the mechanisms behind the models. Excellent discussions of all these models and more can be found in [Mur]. One property L in (4.3) has is the following generalization of the maximum principle: Invariance property. There is a compact, convex neighborhood K of the origin in R` such that if f 2 L2 .M /, then, for all t  0, (4.4)

f .x/ 2 K for all x H) e tL f .x/ 2 K for all x:

Thus, if f; g 2 L2 .M / have compact support, (4.5)

ke tL f kL1  kf kL1 ;

with  independent of t  0. If we defined a norm on R` so that K \ .K/ was the unit ball, would have  D 1. Note that, for such f and g, we have (4.6)

j.e tL f; g/j D j.f; e tL g/j  kf kL1 kgkL1 ;

so ke tL f kL1  kf kL1 . Thus e tL has a unique extension to a linear map (4.7)

e tL W Lp .M / ! Lp .M /;

ke tL k  p ;

in case p D 1, hence, by interpolation, for 1  p  2, and, by duality, for 2  p  1, uniqueness for p D 1 holding in the class of operators whose adjoints preserve L1 .M /. As mentioned above, in many examples of reaction-diffusion equations, L D DL0 , where D is a diagonal `  ` matrix, with constant entries dj  0, and L0 is a scalar operator, generating a diffusion semigroup on L2 .M /; in fact, often M D R and L0 D @2 =@x 2 . For such L, any rectangular region of the form K D fy 2 R` W aj  yj  bj g has the invariance property (4.4). If some of the diagonal entries dj coincide, there will be a somewhat larger set of such invariant regions. We apply the technique of  1 to obtain solutions to (4.1), rewritten as the integral equation Z (4.8)

t

u.t/ D e tL f C 0

  e .t s/L X u.s/ ds:

4. Reaction-diffusion equations

337

Proposition 4.1. Let V be a Banach space of functions on M with values in R` such that (4.9)

e tL W V ! V is a strongly continuous semigroup, for t  0;

and (4.10)

X W V ! V is Lipschitz, uniformly on bounded sets,

where .Xf /.x/ D X.f .x//. Then (4.8) has a unique solution   u 2 C Œ0; T ; V ; where T > 0 is estimable from below in terms of kf kV . The proof is simply a specialization of that used for Proposition 1.1. Note that (4.10) holds for a variety of spaces, such as V D Lp .M; R` /; V D C.M; R` /, when X is a vector field on R` satisfying (4.11)

kX.y/k  C1 ;

krX.y/k  C2 ;

8 y 2 R` ;

provided M is compact. If M has infinite volume, you also need X.0/ D 0 for V D Lp .M; R` / to work. Whenever X has this property, and L satisfies the invariance property (4.4), it follows that Proposition 4.1 applies, for initial data f 2 Lp .M; R` /; 1  p < 1. If, in addition, e tL W C.M / ! C.M /, we also have short-time solutions to (4.8) for f 2 C.M; R` /. For example, if M D Rn and L has constant coefficients, then (4.7) implies (4.12)

e tL W H k;p .Rn / ! H k;p .Rn /;

k > 0:

Also (4.13)

e tL W Co .Rn / ! Co .Rn /;

for t  0, since Co .Rn /, the space of continuous functions vanishing at infinity, is the closure of H k;2 .Rn / in L1 .Rn /, for k > n=2. Another useful example when M D Rn is the space (4.14)

cn g; BC.Rn / D ff 2 C.Rn / W f extends continuously to R

cn is the compactification of Rn via the sphere at infinity (approached where R radially). For k 2 ZC , we say f 2 BC k .Rn / provided D ˛ f 2 BC.Rn / whenever j˛j  k. If M D Rn and (4.12) holds, then Proposition 4.1 applies with V D k;p H .Rn ; R` / whenever the vector field X and all its derivatives of order  k

338 15. Nonlinear Parabolic Equations

are bounded on R` (and X.0/ D 0). It also applies to BC.Rn ; R` /. Now if L is not elliptic, we have no extension of the regularity result in Proposition 1.2. By a different technique we can show that under certain circumstances, if f belongs likeH k;p .Rn ; R` /, then a solution u.t/ persists as a solution  to a space   in k;p C Œ0; T ; H .Rn / as long as it persists as a solution in C Œ0; T ; Co .Rn / . To get this, we reexamine the iterative formula used to solve (4.8), namely Z (4.15)

uj C1 .t/ D e tL f C

0

t

  e .t s/L X uj .s/ ds:

As long as (4.9) holds for the Banach space V , we have Z kuj C1 .t/kV  ke tL f kV C C (4.16)

t

e K.t s/ kX.uj .s//kV ds

0

 A.t/ C C te Kt sup kX.uj .s//kV 0st

and (4.17)

kuj C1 .t/  uj .t/kV  C te Kt sup kX.uj .s//  X.uj 1 .s//kV : 0st

Now, as shown in Chap. 13,  3, for such spaces as V D H k;p .Rn /, there are Moser estimates, of the form (4.18)

kuvkV  C kukL1 kvkV C C kukV kvkL1

and (4.19)

   kF .u/kV  C kukL1 1 C kukV ;

C. / D

sup

jF ./ .x/j:

jxj;jjk

In particular, kX.u/kV satisfies an estimate of the form (4.19). Also, we can write Z X.u/  X.v/ D Y .u; v/.u  v/;

Y.u; v/ D

1

  DX u C .1  /v d

0

and obtain the estimate

(4.20)

kX .u/  X.v/kV    C kukL1 C kvkL1 ku  vkV    C C kukL1 C kvkL1 kukV C kvkV ku  vkL1 :

From (4.16) we deduce (4.21)

   kuj C1 .t/kV  A.t/ C te Kt sup C kuj .s/kL1 1 C kuj .s/kV : 0st

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339

If fuj .t/ W j 2 ZC g is bounded in L1 .M / for 0  t  T , this takes the form kuj C1 .t/kV  B1 C Bt sup kuj .s/kV ;

(4.22)

0st

for 0  t  T . Also, in such a case, (4.17) and (4.20) yield kuj C1 .t/  uj .t/kV  Bt sup kuj .s/  uj 1 .s/kV (4.23)

C Bt sup 0st



0st

 kuj .s/kV C kuj 1 .s/kV kuj .s/  uj 1 .s/kL1 :

Now, in (4.22) and (4.23), B may depend on the choice of the space V , but it does not depend on the V -norm of any uj .s/, only on the L1 -norm. Let us assume that u0 .t/ D e tL f satisfies ku0 .t/kV  B1 , for 0  t  T; B1  B. This is the B1 used in (4.22). Assume T0  1=4B; T0  1=16BB1, and T0  T . Then kuj .t/kV   2B1 for 0  t  T0 , for all j 2 ZC , so fuj W j 2 ZC g is bounded in C Œ0; T0 ; V . In such a case, (4.23) yields, for 0  t  T0 , kuj C1 .t/  uj .t/kV  (4.24)

1 sup kuj .s/  uj 1 .s/kV 4 0st 1 sup kuj .s/  uj 1 .s/kL1 ; C 4 0st

  so fuj W j 2 ZC g is in fact Cauchy in C Œ0; T0 ; V , having therefore a limit u 2 C.Œ0; T0 ; V / satisfying (4.8). The size of the interval Œ0; T0  on which this argument works depends on the choice of V and the size of ku.0/kL1 , but not on the size of ku.0/kV . We can iterate this argument on intervals of length T0 as long as ku.t/kL1 is bounded, thus establishing the following. Proposition 4.2. Suppose V is a Banach space of functions such that (4.9)–(4.10) 1 and the Moser estimates (4.18)–(4.19) hold.   Let f 2 V \ L .M /, and suppose  1 (4.8) has a solution u 2 L Œ0; T /  M . Then, in fact, u 2 C Œ0; T /; V . If V D H k;p .M /, with k  2, we thus have (4.25)

    u 2 C Œ0; T /; H k;p .M / \ C 1 Œ0; T /; H k2;p .M / ;

solving (4.1). Global existence results can be established for (4.1) when f takes values in a bounded subset of R` shown to be invariant under the nonlinear solution operator to (4.1). An example of this is the following: Proposition 4.3. In (4.1), assume Lu D Du, where D is a diagonal `  ` matrix with diagonal entries dj  0 and  acts on u componentwise, as the

340 15. Nonlinear Parabolic Equations

Laplace operator on a Riemannian manifold M . Assume M is compact and f 2 H k;p .M; R` /; k > 2 C n=p. Or assume M D Rn , with its Euclidean metric and f 2 BC 2 .Rn ; R` /. Consider a rectangle R  R` , of the form R D fy 2 R` W aj  yj  bj g:

(4.26)

Suppose that, for each y 2 @R, X.y/  N < 0;

(4.27)

ı

where N is any outer normal to R. If f takes values in the interior R of R, then ı

the solution to (4.1) exists and takes values in R for all t  0. ı

Proof. First suppose M is compact. If there is an exit from R, we can pick .t0 ; x0 / such that uj .t0 ; x0 / D aj or bj ;

(4.28)

ı

for some j D 1; : : : ; `, and u.t; x/ 2 R for all t < t0 ; x 2 M . Pick bj , for example. Then @t uj .t0 ; x0 /  0:

(4.29)

Now '.x/ D uj .t0 ; x/ must have a maximum at x D x0 , so @t uj .t0 ; x0 / D dj uj C Xj .u/  Xj .u/:

(4.30)

  However, (4.27) implies Xj u.t0 ; x0 / < 0, so (4.29) and (4.30) contradict each other. In case M D Rn , the existence of such .t0 ; x0 / 2 RC  Rn is problematic, cn , since u has a unique continuous though we can find such .t0 ; x0 / 2 RC  R cn and R cn is compact. We still have @t u.t0 ; x0 /  0, and u extension to RC  R C n c is continuous on R  R , but it is not obvious in this case that u.t0 ; x0 /  0, unless x0 lies in Rn , not at infinity. Thus we argue as follows.

e

2

Let B C .Rn / denote ff 2 BC 2 .Rn / W D ˛ f D 0 at 1; for j˛j D 2g. This Banach space is also one for which Propositions 4.1 and 4.2 work. Furthermore, the argument above regarding u.t0 ; x0 / does work if we replace f 2 BC 2 .Rn ; R` /

e

2

by f 2 B C .Rn ; R` /. Additionally, we can take a sequence of such f so that f ! f in BC.Rn ; R` /, and obtain solutions u such that u .t; x/ ! u.t; x/ uniformly on Œ0; T   Rn for any T < 1. We can replace R by a slightly smaller ı

rectangle R1 , for which (4.27) holds, and arrange that each f takes values in R1 . ı

Then u.t; x/ always takes values in R1  R. This completes the proof in the case M D Rn .

4. Reaction-diffusion equations

341

As an example of Proposition 4.3, we consider the Fitzhugh–Nagumo system (4.2), in which the vector field X on R2 is (4.31)

  X.v; w/ D f .v/  w; ".v   w/ ;

f .v/ D v.1  v/.v  a/:

In Fig. 4.1 we illustrate an invariant rectangle R that arises from the choices (4.32)

 D 20;

a D 0:4;

" D 0:01:

This invariant region contains three critical points of X , two sinks and a saddle. For this construction to work, we need the following: The top edge of R lies above the line w D v=; while the bottom edge of R lies below this line; the left edge of R lies to the left of the curve w D f .v/; while the right edge of R lies to the right of this curve. The two curves mentioned here are the “isoclines,” defining where X2 D 0 and X1 D 0, respectively. The condition just stated implies that X points down on the top edge of R, up on the bottom edge, to the right on the left edge, and to the left on the right edge. In Fig. 4.1 we also depict a smaller invariant rectangle R0 , which contains only one critical point of X , the sink at .0; 0/. Figure 4.2 is a similar illustration, with  changed from 20 to 10; in this case X has only one critical point. The vector field (4.31) does not actually satisfy the hypothesis (4.11), since the coefficients blow up at infinity. But one can alter X outside R to produce a vector e to which Propositions 4.1 and 4.2 apply. As long as the initial function field X u.0/ D f takes values inside R, one has a solution to (4.2). While Proposition 4.3 is an elementary consequence of the maximum principle, this result can also be seen to follow quite transparently from a “nonlinear

F IGURE 4.1 Invariant Rectangles for Fitzhugh-Nagumo System

342 15. Nonlinear Parabolic Equations

F IGURE 4.2 Invariant Rectangles with Different Parameters

Trotter product formula,” namely a solution to (4.1) satisfies  n (4.33) u.t/ D lim e .t =n/L F t =n .f /; n!1

where if FXt is the flow on R` generated by X , then (4.34)

  F t f .x/ D FXt f .x/ :

We will prove this in the next section. See Proposition 5.4 for a precise statement. We mention that if f 2 BC 1 .Rn ; R` /, then (4.33) converges in  C Œ0; T ; BC 0 .Rn ; R` / . We can use this result to prove the following, which is somewhat stronger than Proposition 4.3. Proposition 4.4. Assume X 2 C 2 .R` / and u.0/ D f 2 BC 1 .Rn ; R` /, and let L be a second-order differential operator with constant coefficients, such that e tL is a contraction on BC 0 .Rn ; R` /, for t  0. Assume there is a family fKs W 0  s < 1g of compact subsets of R` such that each Ks has the invariance property (4.4). Furthermore, assume that (4.35)

FXt .Ks /  KsCt ;

s; t 2 RC :

If u.0/ D f takes values in K0 , then (4.1) has a solution for all t 2 RC , and u.t; x/ 2 Kt . Proof. This is a simple consequence of the product formula (4.33). In cases where L is diagonal and fKs g is a certain shrinking family of rectangles, this result was proved in [RaSm], by different means. An example to which their result applies arises when K0 is the rectangle R0 in Fig. 4.1. Then Ks is a family of rectangles shrinking to the origin as s ! 1, and one gets decay of any solution to (4.2) whose initial function u.0/ D f takes values in such a

4. Reaction-diffusion equations

343

rectangle K0 . Of course, if there were no diffusion (i.e., D D 0 in (4.2)), one would get such decay whenever u.0/ D f took values in the region of R2 for which the origin is an attractor. One then has the question of whether a sufficient degree of diffusion could change the situation. We will return to this point shortly. For the system (4.2), there are families of rectangles Ks such that K0 contains an arbitrarily large disk centered at the origin, which contract to KT D R, satisfying (4.35). Hence any solution to (4.2) with initial data in BC 1 .R; R2 / exists for all t  0, and, for t large, u.t/ takes values in R. However, in the cases illustrated in both Figs. 4.1 and 4.2, there is not a family of rectangles having the property (4.35) taking R to R0 , and in fact not all solutions to (4.2) with initial data in BC 1 .R; R2 / will decay to a constant function. One class of nondecaying solutions to reaction-diffusion equations of particular interest is the class of “traveling wave solutions,” which, in case M D R and L has constant coefficients, are sought in the form (4.36)

u.t; x/ D '.x  ct/:

Suppose L D D@2x , where D is a diagonal matrix, with entries dj  0. Then '.s/ must satisfy the second-order `  ` system of ODEs: (4.37) Using (4.38)

D' 00 C c' 0 C X.'/ D 0: D ' 0 , we convert this to a first-order .2`/  .2`/ system '0 D ;

0

D

D c

 X.'/:

If some dj D 0, it is best not to use j . Let us first take a closer look at the scalar case, which we write as (4.39)

@v @2 v D D 2 C g.v/: @t @x

Then a traveling wave v.t; x/ D '.x  ct/ arises when '.s/ satisfies the single ODE (4.40) With (4.41)

D' 00 C c' 0 C g.'/ D 0: D ' 0 , we have the 2  2 system '0 D ;

0

D c

 g.'/;

taking D D 1 without essential loss of generality. This is amenable to a simple phase-plane analysis. The vector field Y D Yg whose orbits are specified by (4.41) has critical points at D 0; g.'/ D 0. For a general smooth g in (4.39)–(4.41), if ' D ˛ is a zero

344 15. Nonlinear Parabolic Equations

of g, and if g 0 .˛/ D , then the linearized ODE about the critical point .˛; 0/ of Y is

du 0 1 D Au; A D : (4.42)  c dt Note that (4.43)

Tr A D c;

det A D :

This establishes the following: Lemma 4.5. If g.˛/ D 0, the critical point .˛; 0/ of the vector field Y defined by (4.41) is a saddle if g 0 .˛/ < 0; a sink if g 0 .˛/ > 0 and c > 0; a source if g0 .˛/ > 0 and c < 0: Of course, when c D 0, (4.41) is in Hamiltonian form, with energy function (4.44)

1 E.'; / D 2

Z 2

C G.'/;

G.'/ D

g.'/ d':

In that case, the integral curves of Y are the level curves of E.'; /, and a nondegenerate critical point for Y is either a saddle or a center. For c D 0; v.t; x/ D '.x/ is a stationary solution to the PDE (4.39). If c ¤ 0, we can switch signs of s if necessary and assume c > 0. Then (4.40) models motion on a line, in a force field, with damping, due to friction proportional to the velocity. On any orbit of (4.41) we have (4.45)

dE D c .s/2  0: ds

This implies that Y cannot have a nontrivial periodic orbit if c > 0. Let us consider a case where g has three distinct zeros, ˛1 ; ˛2 ; ˛3 , as depicted in Fig. 4.3. In this case, Y has saddles at .˛1 ; 0/ and .˛3 ; 0/, and a sink at .˛2 ; 0/. Now the three points .˛j ; 0/ are also critical points of the function E.'; /, defined by (4.44), and, depending on whether the critical values at .˛1 ; 0/ and .˛3 ; 0/ are equal or not, the level curves of E.'; / (orbits of the c D 0 case of (4.41)) are as depicted in Fig. 4.4. When we take small c > 0, the orbits of Y in the cases (a) and (b), respectively, are perturbed to those depicted in Fig. 4.5. In case (a), both saddles are connected to the sink, while in case (b) just one saddle is connected to the sink. In case (b), if we let c increase, eventually the phase plane has the same behavior as (a). There will consequently be a particular value c D c0 where an orbit connects the saddle .˛ ; 0/ to the saddle .˛ ; 0/, where ˛ is the zero of g for

4. Reaction-diffusion equations

345

F IGURE 4.3 Function with Three Zeros

F IGURE 4.4 Vector Fields with Centers

F IGURE 4.5 Vector Fields with Spiral Sinks

R which G.'/ D g.'/ d' has the largest value. An orbit connecting two different saddles is called a “heteroclinic orbit.” (Note that in case (b), at c D 0 there is an orbit connecting the other saddle .˛ ; 0/ to itself; such an orbit is called a “homoclinic orbit.”) In an obvious sense, ˛ is the endpoint (either ˛1 or ˛3 ) of the “smaller” of the two “humps” of D g.'/ in Fig. 4.3, the size being measured by the area enclosed by the curve and the horizontal axis. Such an orbit of Y connecting .˛ ; 0/ to .˛ ; 0/ then gives rise to a traveling wave solution u.t; x/ D '.x  c0 t/, which, for each t  0, tends to ˛ as x ! 1 and to ˛ as x ! C1. If ˛ is the remaining zero of g.v/, then for each c > 0, there is a traveling wave u.t; x/ D e ' .x  ct/, which tends to ˛ as x ! 1 and to ˛ as x ! C1; and if c > c0 , there is a traveling wave u.t; x/ D '.x  ct/, which tends to ˛ as x ! 1 and to ˛ as x ! C1.

346 15. Nonlinear Parabolic Equations

Such traveling waves yield a transport of quantities much faster than straight diffusion processes, described by @u=@t D Du. Yet this speed is due not to any convective term in (4.1), but rather to the coupling with the nonlinear term X.u/. Such behavior, according to Murray [Mur], was “a major factor in starting the whole mathematical field of reaction-diffusion theory.” Note that in the limiting case of (4.2) where " D 0; w D w0 is independent of t, and we get a scalar equation of the form (4.39), with g.v/ D f .v/  w0 , if w0 is also independent of x. Another widely studied example of (4.39) is g.v/ D v.1  v/:

(4.46)

In this case the vector field Y has two critical points: a saddle and a sink. This case of (4.39) is called the Kolmogorov–Petrovskii–Piskunov equation. It is also called the Fisher equation, when studied as a model for the spread of an advanlabeleous gene in a population; see [Mur]. If (4.1) is a 2 2 system with L D D, then one gets a vector field on R4 from (4.38), provided D is positive-definite. If d1 > 0 but d2 D 0, then, as noted above, one omits 2 and obtains a 3  3 system. For example, for the Fitzhugh–Nagumo system (4.2), one obtains traveling waves u D .v; w/ D .'1 ; '2 /, provided '1 ; '2 , and 1 satisfy the system '10 D (4.47)

1;

 1 c 1 C f .'1 /  '2 ; D  " '20 D  '1  '2 : c 0 1

D

This has the form (4.48)

 0 D Zc ./;

for  D .'1 ; 1 ; '2 /, where Zc is a vector field on R3 . Various techniques have been brought to bear to analyze orbits of such a vector field. An important role has been played by C. Conley’s theory of “isolating blocks”; see [Car, Con, Smo]. It has been shown that, for small positive ", there exist c such that Zc has a periodic orbit, yielding periodic traveling waves for (4.2). Also, for certain c D c."/, Zc has been shown to have a homoclinic orbit, with .0; 0; 0/ as limit point. Such homoclinic orbits have been found numerically, with the aid of computer graphics, in [Rab]. The traveling wave arising from such a homoclinic orbit is called a pulse. (It follows from (4.45) that such a pulse cannot arise for scalar equations of the form (4.39) if D > 0:) There is a phenomenological interpretation when (4.2) is taken as a model of activity  along the axon  of a nerve. As seen above, a sufficiently small initial condition v0 .x/; w0 .x/ produces a solution decaying to .0; 0/ at t ! 1. This traveling wave then arises from a sufficiently large initial condition. One says a “threshold behavior” is involved.

4. Reaction-diffusion equations

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For a variant of the Fitzhugh–Nagumo system proposed by H. McKean, [Wan] has established the existence of “multiple impulse” traveling wave solutions. An interesting question is the following: For given initial data, when can you say that the solution u.t/ behaves for large t like a traveling wave? For the Kolmogorov–Petrovskii–Piskunov equation, work has been done on this question in [KPP] and [McK]. For other work, see [AW1, AW2, Bram, Fi]. If M D Rn ; n > 1, and L D D, one can seek a solution to (4.1) in the form of a traveling plane wave, u.t; x/ D '.x  !  ct/, where ! 2 Rn is a unit vector. Again '.s/ satisfies the ODE (4.37). In addition to plane waves, other interesting sorts arise in the multidimensional case, including “spiral waves” and “scroll waves.” We won’t go into these here; see [Grin] for an introductory account. Let us return to the evolution of small initial data f . Recall the argument that, for sup jf .x/j sufficiently small, a solution to the Fitzhugh–Nagumo system (4.2) decays uniformly to 0. For that argument, we used more than the fact that .0; 0/ is a sink for the vector field X in that case; we also used a family of contracting rectangles. It turns out that, for a general reaction-diffusion equation (4.1) for which X has a sink at p 2 R` , specifying that f .x/ be uniformly close to p does not necessarily lead to a solution u.t/ tending to p as t ! 1. One can have the phenomenon of “diffusion-driven instability,” or a “Turing instability,” which we now describe. For simplicity, let us assume L D D with D D diag.d1 ; : : : ; d` /, where  is the Laplace operator (acting componentwise) on an `-tuple of functions on a compact manifold M . We first give examples of this instability when X is a linear vector field, X.u/ D M u, so that Lu C X.u/ D .L C M /u is a linear operator. If ffj g is an orthonormal basis of L2 .M / consisting of eigenfunctions of , satisfying fj D ˛j2 fj , then Lu C M u satisfies (4.49)

  .L C M /.yfj / D ˛j2 Dy C My fj ;

y 2 R` :

Now, under the hypothesis that 0 2 R` is a sink for X , we have that both of the `  ` matrices ˛j2 D and M have all their eigenvalues in the left half-plane. All there remains to the construction is the realization that if two matrices have this property but do not commute, then their sum need not have this property. Consider the following 2  2 case: (4.50)

DD

1

d

;

M D



b  1 a2 : b a2

Assume 0 < b < 1 C a2 ; a > 0. Thus Tr M D b  .1 C a2 / < 0, while det M D a2 > 0, so M has spectrum in the left half-plane. As before, assume d > 0. With D ˛j2 , consider (4.51)

N D M  D D

b1 a2 : b a2  d

348 15. Nonlinear Parabolic Equations

Of course, Tr N < 0 if > 0; meanwhile, (4.52)

  det N D d 2 C a2 C d.1  b/ C a2 D p. /:

The matrix N will fail to have spectrum in the left half-plane, for some > 0, if p. / is not always > 0 for > 0, hence if p. / has a positive root. From the quadratic formula, the roots of p. / are (4.53)

r˙ D 

1 a2 C d.1  b/ ˙ 2d 2d

q

2 a2 C d.1  b/  4a2 d :

 Thus p. / will have positive roots if and only if a2 C d.1  b/ < 0 and a2 C 2 d.1  b/ > 4a2 d . Recalling the conditions on a and b to make Tr M < 0, we have the following requirements on the positive numbers b; a; d : (4.54)

b  1 < a2 < .b  1/d;

2.b C 1/a2 d < .b  1/2 d 2 C a4 ;

which also requires b > 1; d > 1. For example, we could choose b D 2; a2 D 2, and d D 20, yielding (4.55)

DD

1

20



;

1 2 M D : 2 2

Under these circumstances, M  D will have a positive eigenvalue for (4.56)

2 .r ; rC /  .0; 1/;

where r˙ are given by (4.53). Consequently, if the Laplace operator  on M has an eigenvalue ˛j2 whose negative is in the interval (4.56), arbitrarily small initial data of the form yfj will be magnified exponentially by the solution operator to ut D .L C M /u, provided y has a nonzero component in the positive eigenspace of M  ˛j2 D, despite the fact that the origin is a stable equilibrium for the evolution if the diffusion term is omitted. An example of a nonlinear reaction-diffusion equation that exhibits this phenomenon is the “Brusselator,”

(4.57)

@v D v C v 2 w  .b C 1/v C a; @t @w D dw  v 2 w C bv; @t

governing a certain system of chemical reactions. We assume a; b; d > 0. The vector field X (which incidentally has flow leaving invariant the quadrant v; w  0) has a critical point at .a; b=a/, and its linearization at this critical point

4. Reaction-diffusion equations

349

is given by the matrix M in (4.50). Thus if u0 D .v0 ; w0 / is a small perturbation of the constant state .a; b=a/, if the estimates (4.54) hold, and if  has an eigenvalue whose negative is in the range (4.56), then a vector multiple of the eigenfunction fj will be amplified by the evolution (4.57). Of course, once this acquires appreciable size, nonlinear effects take over. In some cases, a spatial pattern emerges, reflecting the behavior of the eigenfunction fj .x/. One then has the phenomenon of “pattern formation.” In light of the instability just mentioned, we see some limitations on using invariant rectangular regions to obtain estimates. Consider the following more general type of Fitzhugh–Nagumo system: (4.58)

@v @2 v D D 2 C f .v/ C a.v; w/; @t @x

@w D b.v; w/; @t

where f; a, and b are assumed to be smooth and satisfy (4.59)

  ja.v; w/j  A jvj C jwj C 1 ;

  jb.v; w/j  B jvj C jwj C 1 ;

and (4.60)

f .v/  C1 v; for v  C2 ;

f .v/  C1 v; for v  C2 ;

where A; B; C1 , and C2 are positive constants. There need be no large invariant rectangles in such a case, as the example f .v/ D .2A C 2B C 1/v shows. Nevertheless, one will have global solutions to (4.58) with data in BC 1 .R; R2 /. In fact, this is a special case of the following result. To state the result, we use the following family of rectangular solids. Let Q.s/ be the cube in R` centered at 0, with volume .2s/` , and let F˙j .s/ be the face of this cube whose outward normal is ˙ej , where fej W 1  j  `g is the standard basis of R` . Proposition 4.6. Let L D D with D D diag.d1 ; : : : ; d` / in (4.1). Assume the components Xj of X satisfy, for some C0 2 .0; 1/, (4.61)

Xj .y/  CC0 s for y 2 FCj .s/; Xj .y/  C0 s for y 2 Fj .s/;

for all s  C2 . Then (4.1) has a global solution, for any f 2 BC 1 .Rn ; R` /. Proof. We will obtain this as a consequence of (4.33). Use the norm kyk D maxj jyj j on R` to construct the norm on function spaces. The hypothesis implies (4.62)

kFXt yk  e C0 t kyk;

t  0;

350 15. Nonlinear Parabolic Equations

whenever kyk  C2 . Consequently,     .t =n/L t =n n  F f  e

(4.63)

L1

   e C0 t kf kL1 C C2 ;

so by (4.33) we have the bound on the solution to (4.1):   ku.t/kL1  e C0 t kf kL1 C C2 :

(4.64)

Note that this is an application of Proposition 4.4, in a case where fKs g is an increasing family of rectangular solids. Other proofs of global existence for (4.58) under the hypotheses (4.59)–(4.60) are given in [Rau] and [Rot]. There are some widely studied reaction-diffusion equations to which Proposition 4.6 does not apply, but for which global existence can nevertheless be established. For example, the following models the progress of an epidemic, where v is the density of individuals susceptible to a disease and w is the density of infective individuals: @v D rvw; @t

(4.65)

@w D Dw C rvw  aw: @t

Assume r; a; D > 0. In this model, only the sick individuals wander about. Let’s suppose  is the Laplace operator on a compact two-dimensional manifold (e.g., the surface of a planet). One can see that the domain u; v  0 is invariant; initial data for (4.65) should take values in this domain. We might consider squares of side s, whose bottom and left sides lie on the axes, but the analogue of (4.61) fails for X2 D rvw  aw, though of course X1  0 is fine. To get a good estimate on a short-time solution to (4.65), taking values in the first quadrant in R2 , note that  @ v C w D Dw  aw: @t

(4.66) Integrating gives d dt

(4.67)

Z

Z .v C w/ dV D a

M

w dV  0: M

R

By positivity, .v C w/ dV D kv.t/kL1 C kw.t/kL1 , which is monotonically decreasing; hence both kv.t/kL1 and kw.t/kL1 are uniformly bounded. Of course, we have already noted that kv.t/kL1  kv0 kL1 . Thus, inserting these bounds into the second equation in (4.65), we have (4.68)

@w D Dw C g.t; x/; @t

Exercises

351

where (4.69)

kg.t/kL1 .M /  rkv.t/kL1 kw.t/kL1 C akw.t/kL1  C:

Now use of Z (4.70)

w.t/ D e

tD

w0 C

t

e .t s/D g.s/ ds

0

plus the estimate (4.71)

ke s kL.L1 ;Lp /  C s .11=p/

when dim M D 2, yields an Lp -estimate on w.t/, and another application of (4.70) then yields an L1 -estimate on w.t/, hence global existence. Actually, for a complete argument, we should replace vw in the two parts of (4.65) by ˇ .vw/, where ˇ .s/ D s for jsj  , and ˇ .s/ D  C 1 for s   C 1, get global solvability for such PDE, with L1 -estimates, and take  ! 1. We leave the details to the reader. The exercises below contain some other examples of global existence results. In [Rot] there are treatments of global existence for a number of interesting reaction-diffusion equations, via methods that vary from case to case.

Exercises 1. Establish the following analogue of Proposition 4.6: Proposition 4.6A. Let L D D with D D diag.d1 ; : : : ; d` / in (4.1). Assume that the set CC D fy 2 R` W each yj  0g is invariant under the flow generated by X. C If FCj .s/ is as in Proposition 4.6, set FC j .s/ D C \ FCj .s/, and assume that each component Xj of X satisfies Xj .y/  C0 s; for y 2 FC j .s/; for all s  C2 . Then (4.1) has a global solution, for any f 2 BC 1 .Rn ; R` / taking values in the set CC . 2. The following is called the Belousov–Zhabotinski system. It models certain chemical reactions, exhibiting remarkable properties:

(4.72)

@v D v C v.1  v  rw/ C Lrw; @t @w D w  bvw  M w: @t

Assume r; L; b; M > 0. Show that the vector field X has flow that leaves invariant the quadrant fv; w  0g. Show that Proposition 4.6A applies to yield a global solvability result.

352 15. Nonlinear Parabolic Equations 3. The following system models a predator-prey interaction:

(4.73)

@v D Dv C v.1  v  w/; @t @w D w C aw.v  b/; @t

where v is the density of prey, w the density of predators. Assume D  0; a > 0, and 0 < b < 1. Show that the vector field X has a flow that leaves invariant the quadrant fv; w  0g D CC . Show that Proposition 4.6A does not apply to this system. Demonstrate global existence of solutions to this system, for initial data taking values in the set CC . (Hint: Start with the identity (4.74)

w 1 @ vC D Dv C w C v  v 2  bw @t a a

and integrate, to obtain L1 -bounds. Also use (4.75)

@v  Dv  v @t

to obtain an L1 -bound on v. (If D > 0, recall Lemma 2.2.) Then pursue stronger bounds on w:) 4. If the model (4.65) of an epidemic is extended to cases where susceptible and infective populations both diffuse, we have (4.76)

@v D D1 v  rvw; @t

@w D Dw C rvw  aw; @t

where D1 ; D; r; a > 0. Establish global solvability for this system, for initial data taking values in CC . 5. Study global solvability for the Brusselator system (4.57), given initial data with values in CC . (Hint: After getting an L1 -bound on v C w, use @w  dw  bv; @t and an appropriately modified version of the argument suggested for Exercise 3, to get a stronger bound on w. Once you have this, use (4.77)

   @ v C w   v C w D .d  1/w  v C a @t

to obtain a stronger bound on v C w:) 6. Consider the following system, modeling a chemical reaction A C B ˛ C : at  D1 a D c  ab; (4.78)

bt  D2 b D c  ab; ct  D3 c D ab  c:

Note that X leaves invariant the octant CC D fa; b; c  0g. Assume Dj > 0. Establish the global solvability of solutions with initial data in CC . Assume  is the Laplace

5. A nonlinear Trotter product formula

353

operator on M , compact, with dim M  3. (Hint: First get L1 -bounds on a C c and b C c. Then use at  D1 a  c; bt  D2 b  c; to get Lp -bounds on a and b, for some p > 2 (if dim M  3). Then use ct  D3 c  ab to get Lp -bounds on c. Continue. Alternatively, apply an argument parallel to (4.77) to a C c, and relax the requirement on dim M:) For a treatment that works for dim M  5 (and @M ¤ ;), see [Rot]. 7. Extend results of this section to the case where L D D, where D is a diagonal matrix, D D diag.d1 ; : : : ; d` /, and  is the Laplace operator on a compact manifold M with boundary. Consider each of the following boundary conditions: ˇ uj ˇRC @M D 0; ˇ (b) Neumann, @ uj ˇRC @M D 0; ˇ (c) Robin, @ uj  aj .x/uj ˇRC @M D 0: (a) Dirichlet,

Apply such a boundary condition only if dj > 0. Also, consider nonhomogeneous boundary conditions.

5. A nonlinear Trotter product formula In this section we discuss an approach to approximating the solutions to nonlinear parabolic equations of the form (5.1)

@u D Lu C X.u/; @t

u.0/ D f;

and some generalizations, to be mentioned below, by a process involving successively solving the two simpler equations (5.2)

@u D Lu; @t

@u D X.u/; @t

over small time intervals, and composing the resulting solution operators. If F t denotes the nonlinear evolution operator solving the equation @u=@t D X.u/, we seek to show that the solution to (5.1) satisfies (5.3)

u.t/ D lim

n!1



e .t =n/L F t =n

n

.f /:

This is a nonlinear analogue of the Trotter product formula, discussed in Appendix A of Chap. 11. It is a popular tool in the numerical study of nonlinear evolution equations, where it is also called the “splitting method.”

354 15. Nonlinear Parabolic Equations

We will tackle this via a variant of the analysis used in (A.17)–(A.30) in our treatment of the Trotter product formula in Chap. 11. The author came to understand this approach through conversations with J. T. Beale on the work [BG]. Other approaches are discussed in [CHMM]. We begin by setting k  vk D e .1=n/L F 1=n .f /

(5.4) and then set

v.t/ D e sL F s vk ; for t D

(5.5)

1 k C s; 0  s < : n n

Then (under suitable hypotheses on L, etc.) v.t/ ! vkC1 as t % .k C 1/=n, and, for k=n < t < .k C 1/=n, @v D Lv C e sL X.F s vk / D Lv C X.v/ C R.t/; @t

(5.6)

where, again for t D k=n C s; 0  s < 1=n, (5.7)

R.t/ D e sL X.F s vk /  X.v/     D e sL  I X.F s vk / C X.F s vk /  X.e sL F s vk / :

To compare v.t/ with the solution u.t/ to (5.1), set w D v  u. Subtracting (5.1) from (5.6) gives @w D Lw C X.v/  X.u/ C R.t/; @t

(5.8) and if we write

Z (5.9)

X.v/  X.u/ D

1

  DX sv C .1  s/u ds D Y .u; v/w;

0

we have for w the linear PDE (5.10)

@w D Lw C A.t; x/w C R.t/; @t

w.0/ D 0;

where (5.11)

  A.t; x/ D Y u.t; x/; v.t; x/ ;

which is an `  ` matrix function if (5.1) is an `  ` system.

5. A nonlinear Trotter product formula

355

We will treat this in a fashion similar to (A.24)–(A.28) in Chap. 11. To recall some points that arose there, we expect to show that R.t/ is small only in a weaker norm than that used to measure the size of v  u. In our first set of results, we compensate by exploiting smoothing properties of e tL . Thus, for now we assume that L is a negative-semidefinite, second-order, elliptic differential operator. For the sake of definiteness, let us suppose L acts on (`-tuples of) functions on Rn , with domain D.L/ D H 2 .Rn /:

(5.12)

We will seek to estimate v  u in some V -norm. Now, by Duhamel’s principle, Z (5.13)

w.t/ D

t

  e .t /L A./w./ C R./ d :

0

Pick T > 0;  2 .0; 1/, and Banach spaces of functions V; W for which we have an estimate of the form (5.14)

ke tL gkV  C t  kgkW ;

0 < t  T:

The next step is to estimate the W -norm of R.t/, given by (5.7). We have separated this into two parts: (5.15)

R1 .t/ D .e sL  I /X.F s vk /;

R2 .t/ D X.F s vk /  X.e sL F s vk /;

where t D k=n C s; 0  s < 1=n. Parallel to (A.26), we need an estimate of the form (5.16)

ke sL  I kL.V;W /  C s ı ;

ı > 0;

to estimate R1 .t/. Of course, this requires that W have a weaker topology than V . Granted this estimate, since s 2 Œ0; 1=n in (5.15), we obtain (5.17)

kR1 .t/kW  C nı kˆ1 .t/kV ;

where (5.18)

  ˆ1 .t; x/ D X ‰1 .t; x/ ;

with (5.19)

  ‰1 .t; x/ D F s vk .x/ D FXs vk .x/ ;

356 15. Nonlinear Parabolic Equations

where FXs is the flow on R` generated by X , a vector field on R` . Meanwhile, (5.20)

R2 .t/ D ˆ1 .t/  ˆ2 .t/;

where ˆ1 .t/ is as in (5.18)–(5.19) and (5.21)

  ˆ2 .t; x/ D X ‰2 .t; x/ ;

‰2 .t/ D e sL ‰1 .t/:

Thus, with Y .u; v/ given by (5.9), (5.22)

R2 .t/ D Z.t/.I  e sL /‰1 .t/;

  Z.t/ D Y ‰1 .t/; ‰2 .t/ ;

so, again using (5.16), we have (5.23)

kR2 .t/kW  C nı kZ.t/kL.W / k‰1 .t/kV ;

where Z.t/ denotes the operation of left multiplication by the matrix-valued function Z.t; x/. There remains the task of estimating the right sides of (5.17) and (5.23). This involves estimating the V -norms of

(5.24)

k  vk D e .1=n/L F 1=n f; ‰2 .t/ D e sL ‰1 .t/;

‰1 .t/ D F s vk ;   ˆj .t/ D X ‰j .t/ ;

  and the L.W /-norm of Z.t/ D Y ˆ1 .t/; ˆ2 .t/ . Thus, we want the estimates (5.25)

ke tL kL.V /  e ct ;

kF t .f /kV  e ct kf kV ;

0  t  T;

rather than weaker estimates in which e ct is replaced by C1 e ct . On most of our favorite Banach spaces V; e tL is frequently a contraction semigroup, while the second estimate in (5.25) may require more work to establish. Actually, we need this second estimate only for kf kV  some constant C1 . We get a good estimate on all the quantities in (5.24) if the estimates (5.25) hold and also (5.26)

X W V ! V is bounded,

where Xf .x/ D X.f .x//. By (5.26) we mean that X.S / is bounded in V whenever S is a bounded subset of V . In most examples, X will be locally Lipschitz, which is more than sufficient. Granted these hypotheses, to get a good bound on Z.t/ it suffices to have that (5.27)

Y W V  V ! L.W / is bounded;

where Y.f; g/.x/ D Y .f .x/; g.x//. Let us summarize this analysis:

5. A nonlinear Trotter product formula

357

Proposition 5.1. Let V and W be Banach spaces of (`-tuples of) functions for which e tL satisfies the estimates (5.28) ke tL kL.V /  e ct ;

ke tL kL.W;V /  C t  ;

ke tL  I kL.V;W /  C t ı ;

for 0 < t  T , with some ı > 0; 0 <  < 1. Let X be a vector field, generating a flow FXt on R` , satisfying kF t .f /kV  C2 ; for kf kV  C1 ;

(5.29) and, for kf kV  C1 ,

kF t .f /kV  e ct kf kV ;

(5.30)

for 0  t  T , where F t f .x/ D FXt .f .x//. Assume also that (5.31)

X W V ! V and Y W V  V ! L.W / \ L.V / are bounded,

where Xf .x/ D X.f .x// and   Y.f; g/.x/ D Y f .x/; g.x/ D

Z

1

  DX sg.x/ C .1  s/f .x/ ds:

0

    If f 2 V; u 2 C Œ0; T ; V is a solution to (5.1), and v 2 C Œ0; T ; V is defined by (5.4)–(5.5), then, for 0  t  T , (5.32)

  kv.t/  u.t/kV  C kf kV  nı :

Proof. The hypothesis (5.31) also yields an L.V /-bound on A./ in (5.13), so we have Z t (5.33) kw.t/kV  A e c.t / kw./kV d  C kF .t/kV ; 0

where A is a constant and Z

t

F .t/ D

e .t /L R./ d :

0

From the hypotheses (5.28)–(5.31) and the consequent estimates in (5.17) and (5.23), we have (5.34)

  kF .t/kV  C kf kV

Z

t 0

  .t  / d   nı D B kf kV  nı t 1 :

358 15. Nonlinear Parabolic Equations

Thus ˇ.t/ D kw.t/kV satisfies the integral inequality Z (5.35)

t

ˇ.t/  A

e c.t / ˇ./ d  C B  nı t 1 ;

ˇ.0/ D 0;

0

where A and B depend on kf kV . The conclusion (5.32) follows from Gronwall’s inequality. As one simple example of useful Banach spaces, we consider (5.36)

V D BC 1 .Rn /;

W D BC 0 .Rn /;

where, as in (4.14), BCk .Rn / denotes the space of functions whose derivatives of order  k are bounded and continuous on Rn and extend continuously to the cn via the sphere at infinity (approached radially). This is a subcompactification R space of the space BC k .Rn /, consisting of functions whose derivatives of order  k are bounded and continuous on Rn . We want the functions to take values in R` , but we suppress that in the notation. Suppose L is a constant-coefficient, second-order, elliptic, self-adjoint operator. If (5.1) is an `  ` system, let us hypothesize the invariance property (4.4), so, with an appropriate norm on R` , we have that e tL is a contraction semigroup on V (and on W ). Furthermore, the other estimates in (5.28) hold in this case, with  D ı D 1=2. To investigate the estimate (5.30), we have

(5.37)

kF t f kBC 1 D kF t f kL1 C kD.F t f /kL1      D sup F t f .x/  ` C sup DF t .f / ı Df .x/ x

X

R

x

R`

:

Thus (5.30) holds, provided (5.38)

kFXt .y/kR`  e ct kykR` ;

0  t  T;

and (5.39)

kDFXt .y/kL.R` /  e ct ;

0  t  T:

As shown in  6 of Chap. 1, DFXt .y/ D G t .y/ satisfies the linear ODE (5.40)

  d t G .y/ D DX FXt .y/ G t .y/; dt

G 0 .y/ D I:

Consequently, it is clear that (5.38) and (5.39) hold as long as X is a C 1 -vector field on R` , satisfying (5.41)

kX.y/kR`  c;

kDX.y/kL.R` /  c:

5. A nonlinear Trotter product formula

359

These conditions are also enough to yield the boundedness of the maps X W V ! V and Y W V  V ! L.W /, in (5.31), but in order to have boundedness of Y W V  V ! L.V /, we need C 1 -bounds on Y .f; g/, hence C 1 -bounds on DX . In other words, we need X 2 BC 2 .R` /. We have the following result.   Proposition 5.2. Let u 2 C Œ0; T ; BC 1 .Rn / solve (5.1), and let v.t/ be defined by (5.4)–(5.5). Assume that L is a constant-coefficient, second-order, elliptic operator, generating a contraction semigroup on BC 0 .Rn / and that X is a vector field on R` with coefficients in BC 2 .R` /. Then, for any bounded interval t 2 Œ0; T , (5.42)

  ku.t/  v.t/kBC 1  C kf kBC 1  n1=2 :

As another example of Banach spaces to which Proposition 5.1 applies, consider (5.43)

V D H k .Rn /;

W D H k2 .Rn /;

k>

n ; 0 <  < 1: 2

Assume k 2 ZC . Then (5.28) holds, with ı D  . We have the Moser estimate (5.44)

    kX.f /kH k  Ck kf kL1  1 C kf kH k ;

where (5.45)

˚  Ck . / D Ck0 sup X ./ .f / W jf j  ; jj  k :

Thus (5.31) is seen to hold as long as X 2 BC k .R` /. To see whether (5.30) holds, we estimate .d=dt/kF t f k2H k , exploiting (5.44) to obtain

(5.46)

  d kF t f k2H k D 2 X.F t f /; F t f H k dt     Ck kF t f kL1 kF t f kH k C kF t f k2H k :

  Now for kF t f kH k  1, the right side is  2Ck kF t f kL1 kF t k2H k . If X 2   BC k .R` /, there is a bound on 2Ck kF t f kL1 strong enough to yield (5.30). We have the following result:   Proposition 5.3. Assume k > n=2 is an integer. Let u 2 C Œ0; T ; H k .Rn / solve (5.1), and let v.t/ be defined by (5.4)–(5.5). Assume that L is a constantcoefficient, second-order, elliptic operator, generating a contraction semigroup on L2 .Rn /, and that X is a vector field on R` with coefficients in BC k .R` /. Then, for any bounded interval t 2 Œ0; T , (5.47)

  ku.t/  v.t/kH k  C kf kH k  n ;

360 15. Nonlinear Parabolic Equations

for any  < 1. Furthermore, for any " > 0, (5.48)

  ku.t/  v.t/kH k"  C" kf kH k  n1 :

e D H k2 .Rn /, we easily get It remains to establish (5.48). Indeed, if we set W 1 tL kR.t/kW e  C n , via use of ke  I kL.V;W e /  ct, instead of the last estimate e D H k" .Rn /, replacing the second estimate of of (5.28). Then we can use V .1"=2/ (5.28) by ke tL kL.W , and parallel the analysis in (5.33)–(5.35) e;e V /  C" t to obtain (5.48). It is desirable to have product formulas for which the existence of solutions to (5.1) is a conclusion rather than a hypothesis. Suppose that v, given by (5.4)–(5.5), is compared, not with the solution u to (5.1), but to the function e v , constructed by the same process as v, but using intervals of half the length. Thus, for an integer or half-integer k, define 2k  e v k D e .1=2n/L F 1=2n .f /;

(5.49) and set (5.50)

v k ; for t D e v .t/ D e sL F s e

1 k C s; 0  s  : n 2n

Parallel to (5.6), we have @e v e D Le v C X.e v / C R.t/; @t

(5.51)

where, for t D k=n C s; 0  s < 1=2n, (5.52)

  e D .e sL  I /X.F s e R.t/ v k / C X.F s e v k /  X.e sL F s e vk / :

Consequently, w e D v e v satisfies the PDE (5.53)

@e w e D Le wCe A.t; x/e w C R.t/  R.t/; @t

w e.0/ D 0;

where, parallel to (5.11), (5.54)

  e A.t; x/ D Y e v .t; x/; v.t; x/ :

Pick Banach spaces V and W as above, and assume f 2 V . As long as the hypotheses (5.28)–(5.31) hold, we again have (5.55)

ı e kR.t/  R.t/k W  Cn ;

0  t  T:

We also have bounds on kv.t/kV and ke v kV , independent of n, hence bounds on e A.t; x/, so the analysis in (5.33)–(5.35) extends to yield

5. A nonlinear Trotter product formula

kv.t/  e v .t/kV  C nı ;

(5.56)

361

0  t  T:

Consequently, if we take n D 2j and denote v, defined by (5.4)–(5.5), by u.j / , so e v is logically denoted u.j C1/ , we have (5.57)

˚

   u.j / W j 2 ZC is Cauchy in C Œ0; T ; V ;

and the limit is seen to satisfy (5.1). There are some unsatisfactory aspects of using the smoothing of e tL that follows when L is elliptic. For example, Propositions 5.1–5.3 do not apply to the Fitzhugh–Nagumo system (4.2), since the operator L given by (4.3) is not elliptic. We now derive a convergence result that does not make use of such a hypothesis; the conclusion will be weaker, in that we get convergence in a weaker norm. We will establish the following variant of Proposition 5.1: Proposition 5.4. Let V and W be Banach spaces of (`-tuples of) functions for which e tL satisfies the estimates (5.58)

ke tL kL.V /  e ct ;

ke tL kL.W /  e ct ;

ke tL  I kL.V;W /  C t ı ;

` for 0 < t  T , with some ı > 0. Let X be a vector field  on R , generating a t t t flow FX , whose action on functions via F f .x/ D FX f .x/ satisfies (5.29)– (5.31).Take f 2 V . Then (5.1) has a solution u 2 C Œ0; T ; W , and the function v 2 C Œ0; T ; V given by (5.4)–(5.5) satisfies

(5.59)

kv.t/  u.t/kW  C nı ;

0  t  T:

Proof. If v and e v are defined by (5.4)–(5.5) and by (5.49)–(5.50), we will show that (5.60)

sup kv.t/kV  B;

0t T

with B independent of n, and that (5.61)

kv.t/  e v .t/kW  C nı ;

0  t  T:

In fact, the hypotheses (5.58) together with (5.29)–(5.30) immediately yields (5.60). If we also have (5.31), then there is the estimate (5.62)

kR.t/kW  C nı ;

ı e kR.t/k W  Cn ;

established just as before. Again, w e D v e v solves the PDE (5.53), and hence, parallel to (5.33)–(5.34), we have

362 15. Nonlinear Parabolic Equations

Z (5.63)

ke w .t/kW  A

t 0

e c.t / ke w ./kW d  C C 0 nı ;

ke w .0/kW D 0:

Thus Gronwall’s inequality yields (5.61), and the proposition follows. Note that in Proposition 5.4, we can weaken the hypothesis (5.31) to (5.64)

X W V ! V and Y W V  V ! L.W / are bounded;

omitting mention of L.V /. Let us also note that the limit function u 2   C Œ0; T ; W also satisfies   u 2 L1 Œ0; T ; V ;

(5.65)

provided V is reflexive. Proposition 5.4 essentially applies to the Fitzhugh–Nagumo system (4.2), which we recall:

(5.66)

@v @2 v D D 2 C f .v/  w; @t @x @w D ".v   w/: @t

  As we did in  4, we modify the vector field X.v; w/ D f .v/  w; ".v   w/ outside some compact set to keep its components and sufficiently many of their derivatives bounded.

Exercises 1. Investigate Strang’s splitting method:  n u.t/ D lim F t =2n e .t =n/L F t =2n .f /: n!1

Obtain faster convergence than that given by (5.48) for the splitting method (5.3). 2. Write a computer program to solve numerically the Fitzhugh–Nagumo system (4.2), using the splitting method. Take M D S 1 . Use (4.32) to specify the constants ; a, and ". Alternatively, take  D 10. Try various values of D. Use the FFT to solve the linear PDE @v=@t D D@2x v, and use a reasonable difference scheme to integrate the planar vector field X.

6. The Stefan problem The Stefan problem models the melting of ice. We consider the problem in one space dimension. We assume that the point separating ice from water at time t is given by x D s.t/, with water, at a temperature u.t; x/  0, on the left, and ice, at

6. The Stefan problem

363

temperature 0, on the right. Let us also assume that the region x  0 is occupied by a solid maintained at temperature 0. In appropriate units, u and s satisfy the equations ut D uxx ;

(6.1)

u.0; x/ D f .x/;

u.t; 0/ D 0;

u.t; s.t// D 0;

where 0  x  s.t/ and sP D a ux .t; s.t//;

(6.2)

s.0/ D 1:

We suppose f is given, in C 1 .I /; I D Œ0; 1, such that f .x/  0 and f .0/ D f .1/ D 0. In (6.2), a is a positive constant. It is convenient to change variables, setting v.t; x/ D u.t; s.t/x/, for 0  x  1. The equations then become

(6.3)

sP vt D s.t/2 vxx C x vx ; v.0; x/ D f .x/; s v.t; 0/ D 0; v.t; 1/ D 0;

and sP D 

(6.4)

a vx .t; 1/: s

Note that (6.4) is equivalent to .d=dt/s 2 D 2avx .t; 1/, so if we set .t/ D s.t/2 , we can rewrite the system as (6.5) vt D .t/1 vxx C

1 P xvx ; 2

v.0; x/ D f .x/;

P D 2a vx .t; 1/; .t/

(6.6)

v.t; 0/ D v.t; 1/ D 0;

.0/ D 1:

Note that the system (6.5)–(6.6) is equivalent to the system of integral equations Z

(6.7)

  ˇ./e ˛.t;/ xvx ./ d ; 0 Z t vx .; 1/ d ; .t/ D 1  2a

v.t/ D e ˛.t;0/ f C

(6.8)

t

0

where Z (6.9)

t

˛.t; / D 

d D s./2

Z

t 

d ; ./

ˇ./ D

P sP ./ 1 ./ D : s./ 2 ./

364 15. Nonlinear Parabolic Equations

Here, e t  is the solution operator to the heat equation on RC  I , with Dirichlet boundary conditions at x D 0; 1. We will construct a short-time solution as a limit of approximations as follows. Start with 0 .t/RD 1  2af 0 .1/t. Solve (6.5) for v1 .t; x/, with  D 1 . Then set t 1 .t/ D 1  2a 0 @x v1 .; 1/ d . Now solve (6.5) for v2 .t; x/, with  D 1 . Then Rt set 2 .t/ D 1  2a 0 @x v2 .; 1/ d , and continue. Thus, when you have j .t/, solve for vj C1 .t; x/ the equation

(6.10)

1 Pj @ vj C1 D j .t/1 @2x vj C1 C x @x vj C1 ; @t 2 j

vj C1 .0; x/ D f .x/;

vj C1 .t; 0/ D vj C1 .t; 1/ D 0: Then set Z (6.11)

j C1 .t/ D 1  2a

t 0

@x vj C1 .; 1/ d :

Lemma 6.1. Suppose j .t/ satisfies (6.12)

Pj .0/ D 2af 0 .1/;

j .0/ D 1;

Pj  0:

Then j C1 also has these properties. Proof. The first two properties are obvious from (6.11), which implies (6.13)

Pj C1 .t/ D 2a @x vj C1 .t; 1/:

Furthermore, the maximum principle applied to (6.10) yields vj C1 .t; x/  0:

(6.14)

Since vj C1 .t; 1/ D 0, we must have @x vj C1 .t; 1/  0. The PDE (6.10) for vj C1 is equivalent to Z (6.15)

vj C1 .t/ D e ˛j .t;0/ f C

t 0

  ˇj ./e ˛j .t;/ x@x vj C1 ./ d ;

where Z (6.16)

˛j .t; / D

t 

d ; j ./

ˇj ./ D

1 Pj ./ : 2 j ./

One way to analyze e t  on functions on I is to construct S 1 , the “double” of I , and use the identity

6. The Stefan problem

365

  e t  g D  e t  Og ;

(6.17)

where Og is the extension of g 2 L2 .I / to Og 2 L2 .S 1 /, which is odd with respect to the natural involution on S 1 (i.e., the reflection across @I ), and G is the restriction of G 2 L2 .S 1 / to I . It is useful to note that (6.18)

O W Cbr .I / ! C r .S 1 /; for 0  r < 2;

where Cbr .I / is the subspace of u 2 C r .I / such that u.0/ D u.1/ D 0. If r D 1 C ; 0 <  < 1, then C r .I / D C 1; .I /. Furthermore, O W Cb1;1 .I / ! C 1;1 .S 1 /:

(6.19) It is useful to note that (6.20)

˛ g e ˛ .@x g/ D @x eN

if g 2 C 1 .I /;

˛ is the solution operator to the heat equation on RC  I , with Neumann where eN boundary conditions, as can be seen by taking the even extension of g to S 1 . Hence (6.15) can be written as

(6.21)

vj C1 .t/ D e ˛j .t;0/ f Z t   ˛ .t;/ ˇj ./ @x eNj Mx  e ˛j .t;/ vj C1 ./ d ; C 0

where Mx is multiplication by x. In analogy with (6.17), we have   t g D  e t  Eg ; eN

(6.22)

where Eg is the even extension of g to S 1 . In place of (6.18)–(6.19), we have (6.23)

E W C r .I / ! C r .S 1 /; EWC

0;1

.I / ! C

0;1

for 0  r < 1;

1

.S /:

We now look for estimates on vj C1 and j C1 . The simplest is the uniform estimate (6.24)

kvj C1 .t/kL1  kf kL1 ;

which follows from the maximum principle. Other estimates can be derived using (6.15) and (6.21) together with such estimates as (6.25)

ke t  gkC r  C t r=2 kgkL1 ;

t keN gkC r  C t r=2 kgkL1 ;

366 15. Nonlinear Parabolic Equations

valid for any f 2 L1 .I /, any r > 0; t 2 .0; T , with C D C.r; T /. Hence, using (6.21), we obtain, for 0 <  < 1, an estimate kvj C1 .t/kC   ke ˛j  f kC  C Aj .t/kf kL1 ;

(6.26) where

Z Aj .t/ D A

(6.27)

0

t

ˇj ./˛j .t; /.1C/=2 d :

Now, by (6.16), ˛j .t; /  j .t/1 .t  /, granted that Pj  0, so Z Aj .t/  A j .t/

.1C/=2

(6.28)  B j .t/.1C/=2

Pj ./ .t  /.1C/=2 d  0 j ./ h i sup Pj ./ t .1/=2 : t

0t

Now we can apply (6.21) again to obtain, for 0 < r < 1; 0 <  < 1;  C r ¤ 1, (6.29)

kvj C1 .t/kC Cr  ke ˛j  f kC Cr C Ajr .t/ sup kvj C1 ./kC  ; 0t

using (6.30)

ke t  gkC Cr  C t r=2 kgkC  ;

r > 0;  2 Œ0; 2/; g 2 Cbr .I /;

t keN gkC Cr  C t r=2 kgkC  ;

r > 0;  2 Œ0; 1/; g 2 C r .I /;

for t 2 .0; T . If  C r D 1, it is necessary to replace C 1 by the Zygmund space C1 . Combining this with (6.26), we obtain, for (6.31)

Njr .t/ D sup kvj ./kC r ; 0t

the estimates (6.32)

Nj C1;Cr .t/  C0 kf kC Cr C C1 Ajr .t/kf kC  C C2 Ajr .t/Aj .t/kf kL1 :

Recall that (6.33)

Pj ./  2akvj ./kC 1 :

Hence (6.34)

j .t/  1 C 2atNj1 .t/;

6. The Stefan problem

367

where Nj1 .t/ is the case r D 1 of (6.31). Therefore, by (6.28), (6.35)

h i Aj .t/  2aB 1 C a.1 C /Nj1 .t/t Nj1 .t/t .1/=2 :

Consequently, taking r D  2 .1=2; 1/, so 2 2 .1; 2/, we have   Nj C1;2 .t/  P Nj1 .t/t; Nj1 .t/t .1/=2 ;

(6.36)

where P .X; Y / is a polynomial of degree 4, with coefficients depending on such quantities as kf kC 2 , but not on j . A fortiori, we have   Nj C1;1 .t/  P Nj1 .t/t; Nj1 .t/t .1/=2 :

(6.37)

Such an estimate automatically implies a uniform bound Nj1 .t/  K; for t 2 Œ0; T ;

(6.38)

for some T > 0, chosen sufficiently small. Appealing again to (6.36), we conclude furthermore that there are uniform bounds Nj;2 .t/  K ; for t 2 Œ0; T ; 2 < 2:

(6.39) That is to say, (6.40)

  fvj W j 2 ZC g is bounded in C Œ0; T ; C r .I / ;

r < 2:

Taking r D 1, we conclude that (6.41)

  fj W j 2 ZC g is bounded in C 1 Œ0; T  :

Of course, we know that each j .t/ is monotone increasing, with j .0/ D 1. From (6.40) and (6.18), we have (6.42)

  fOvj W j 2 ZC g bounded in C Œ0; T ; C r .S 1 / ;

r < 2:

  Also, fE.xvj / W j 2 ZC g is bounded in C Œ0; T ; C 0;1 .S 1 / , so we deduce from (6.10) that (6.43)

  f@t .Ovj / W j 2 ZC g is bounded in C Œ0; T ; C.2r/ .S 1 / ;

Interpolation with (6.42), together with Ascoli’s theorem, gives (6.44)

  fOvj W2 ZC g compact in C Œ0; T ; Cr2 .S 1 / ;

r < 2:

368 15. Nonlinear Parabolic Equations

for r < 2; 2 .0; 1/. It follows that (6.45)

  fvj W j 2 ZC g is compact in C 1=2ı Œ0; T ; C 1 .I / ; for all ı > 0:

Consequently, (6.41) is sharpened to (6.46)

  fj W j 2 ZC g is compact in C 3=2ı Œ0; T  ;

for all ı > 0. It follows that fvj g has a limit point (6.47)

\

v2

  C Œ0; T ; C 2ı2 .I / ;

0< <1;ı>0

and fj g has a limit point (6.48)

2

\

  C 3=2ı Œ0; T  :

ı>0

It remains to show that such v;  are unique and give a solution to the Stefan problem. To investigate this, choose 0 .t/ satisfying (6.49)

0 .0/ D 1;

P0 .0/ D 2af 0 .1/;

P0  0I

define w1 .t; x/ to solve (6.5) with  D 0 ; then set Z 1 .t/ D 1  2a

t 0

@x w1 .; 1/ d ;

and continue, obtaining a sequence wj ; j ; j 2 ZC , in a fashion similar to that used to get the sequence vj ; j . As in Lemma 6.1, we see that each j satisfies (6.12). Now we want to compare the differences vj  wj and j  j with vj C1  wj C1 and j C1  j C1 . Set V D vj C1  wj C1 . Thus V satisfies the PDE

(6.50)

@V 1 Pj D j1 Vxx C xVx C @t 2 j C

1 2

1 1 @xx wj C1  j j ! Pj Pj x@x wj C1 ;  j j



together with (6.51)

V .0; x/ D 0;

V .t; 0/ D V .t; 1/ D 0:

6. The Stefan problem

369

Note that the analysis above also gives uniform estimates of the form (6.40)– (6.46) on wj and j . Now, for V we have the integral equation Z

V .t/ D

(6.52)

  ˇj ./e ˛j .t;/ x@x V ./ d  0

Z t 1 1  e ˛j .t;/ @xx wj C1 ./ d  C j ./ j ./ 0 ! Z  1 t Pj ./ Pj ./ ˛j .t;/   e x@x wj C1 ./ d  C 2 0 j ./ j ./ t

D S1 C S2 C S3 ; where ˇj ./ and ˛j .t; / are as in (6.16). As in (6.21), we replace the integrand in S1 by   ˛ .t;/ ˇj ./ @x eNj Mx  e ˛j .t;/ V ./:

(6.53) Thus

Z

(6.54)

t

ˇj ./˛j .t; /1=2 kV ./kC 1 d  0 " # Z t 1=2 P  Bj .t/ sup j ./ .t  /1=2 kV ./k

kS1 kC 1  A

0t

0

C1

d

 C t 1=2 sup kV ./kC 1 ; 0t

provided 0  t  T , with T small enough that the uniform estimates on j and Pj apply. It does not seem feasible to get a good estimate on S2 in terms of the C 1 -norm of wj C1 , but we do have the following: Z kS2 kC 1  A (6.55) C

t 0

jj ./  j ./j ˛j .t; /.2/=2 kwj C1 ./kC 1C d 

sup jj ./  j ./j  sup kwj C1 ./kC 1C  t =2 ;

0t

0t

for any  2 .0; 1/. Finally,

(6.56)

kS3 kC 1

ˇ ˇ ˇ P ./ P ./ ˇ ˇ j ˇ j   C sup ˇ ˇ sup kwj C1 ./k  t 1=2 : ˇ ˇ 0t  ./  ./ j j 0t

370 15. Nonlinear Parabolic Equations

Consequently, for t  T sufficiently small, 0 <  < 1, we have 1 sup kV ./kC 1 2 0t (6.57)

 C sup jj ./  j ./j  sup kwj C1 ./kC 1C  t =2 0t 0t ˇ ˇ ˇ P ./ P ./ ˇ ˇ j ˇ j  C C sup ˇ ˇ  sup kwj C1 ./kC 1  t 1=2 : j ./ ˇ 0t 0t ˇ j ./

Therefore sup jPj C1 ./  Pj C1 ./j

0t

(6.58)

 C sup jj ./  j ./j  sup kwj C1 ./kC 1C  t =2 0t

0t

C C sup jPj ./  Pj ./j sup kwj C1 ./kC 1  t 1=2 : 0t

0t

It follows easily that, for T small enough, (6.59)

kj  j kC 1 .Œ0;T / ! 0 and kvj  wj kC.Œ0;T ;C 1 .I // ! 0;

as j ! 1. Thus we have the following short-time existence result: Proposition 6.2. Given f 2 C 1 .I /; f  0; f .0/ D f .1/ D 0, there are a T > 0 and a unique solution v;  to (6.5)–(6.6), satisfying (6.47)–(6.48). Hence there is a unique solution u; s to (6.1)–(6.2) on 0  t  T , satisfying (6.60)

  u 2 C Œ0; T ; C r2 .I / ;

  s 2 C 3=2ı Œ0; T  ;

sP  0;

for all 2 Œ0; 1/; r < 2; ı > 0. We want to improve this to a global existence theorem. To do this, we need further estimates on the local solution v; s. First, it will be useful to have some regularity results on v not given by (6.60). Lemma 6.3. The solution v of Proposition 6.2 satisfies (6.61)

    5 v 2 C Œ0; T ; H r .I / \ C 1 Œ0; T ; H r2 .I / ; for all r < : 2

Proof. This follows by arguments similar to those used above, plus the following variant of (6.18): (6.62)

O W H s .I / ! H s .S 1 /; for 0  s <

1 : 2

6. The Stefan problem

371

We know from (6.60) that xvx ./ is continuous in  2 Œ0; T  with values in 1 C 1" .I /  H 12" .I /  H 2 " .I /, so use of the integral equation (6.7) gives (6.61). We now take a look at Z

1

h.t/ D

(6.63)

v.t; x/ dx; 0

which, by (6.14), is kv.t/kL1 . We have 1 dh D dt 

(6.64)

Z

1

0

@2x v.t; x/ dx C

Z 1 P 1 x@x v.t; x/ dx; 2 0

and integrations by parts give for the right side: ! Z P 1 P 1   @x v.t; 0/  v.t; x/ dx 2a 2 0

1 j

(6.65)

D

1 sP 1 sP  2 @x v.t; 0/  h.t/: as s s

Consequently, d   sP 1 sh D   @x v.t; 0/; dt a s

(6.66)

and integration of this gives (6.67)

s.t/h.t/ C

1 s.t/ C a

Z

t 0

1 1 @x v.; 0/ d  D C s./ a

Z

1

f .x/ dx: 0

From (6.14), @x v.t; 0/  0, so each term on the left side of (6.67) is positive. This gives the upper bound in the two-sided bound, Z (6.68)

1  s.t/  1 C a

1

f .x/ dx D A;

0

the lower bound following from the monotonicity sP  0. Thus 1  .t/  A2 . Hence, in (6.7)–(6.9), we have (6.69)

A2 .t  /  ˛.t; /  t  :

We can likewise examine .d=dt/kv.t/k2 , but since that analysis won’t be crucial for our existence theorem, we leave it to the exercises.

372 15. Nonlinear Parabolic Equations

We next look at the rate of change of k@x v.t/k2L2 . Since @t v D 0 for x D 0; 1, we have

(6.70)

 1 d  @x v.t/2 2 D .@x @t v; @x v/ D .@t v; @2 v/ x L 2 dt 2  1 1 P  x@x v; @2x v ; D  @2x v L2   2

P gives and an integration by parts, plus use of @x v.t; 1/ D .t/=2a, (6.71)

P P2 P     d  @x v.t/2 2 D  2 @2 v 2 2     C 1  @x v 2 2 x L L L 2 dt   8a 2

or, equivalently, (6.72)

s

P P2     d 1 @x v 2 2 D  2 @2 v 2 2     : x L L dt s   8a2

Since the right side of (6.72) is  0, this gives, upon integration, (6.73)

k@x v.t/k2L2  s.t/k@x f k2L2 :

Note that, by (6.68), the right side is  Ak@x f k2L2 , which is independent of t. Using (6.73) and (6.7), we have, for r 2 Œ1; 2/, Z (6.74)

kv.t/kH r  ke ˛.t;0/ f kH r C C k@x f kL2

t

ˇ./˛.t; /r=2 d ;

0

and the first term on the right is  kf kH r , since f 2 H r .I / \ H01 .I / H) Of 2 H r .S 1 /; for r < 5=2. By (6.69), we deduce that, for r 2 Œ1; 2/, Z (6.75)

kv.t/kH r  C1 C C2

t

sP ./ .t  /r=2 d ;

0

with Cj D Cj .r/kf kH r independent of t. Taking r 2 .3=2; 2/, and using sP .t/ D vx .t; 1/=2a, which is  C kvkH r , we deduce that Z (6.76)

sP.t/  K1 C K2

t 0

sP ./.t  /r=2 d :

6. The Stefan problem

373

From this we can establish the following important estimate: Lemma 6.4. If v solves (6.3) for 0  t  T and satisfies (6.61), then sup sP .t/  K0 ;

(6.77)

0t T

where K0 D K0 .kf kH r / .r D 3=2 C "/ is independent of T . R Proof. Pick  > 0 small enough that 0 t r=2 dt  1=2K2. Thus, writing the interval Œ0; t as Œ0; t   [ Œt  ; t, we have Z (6.78)

K2

t

sP ./ .t  /r=2 d  

0

  1 sup sP./ C C2 r=2 s.t  /  1 : 2 t

We conclude from (6.76) and (6.68) that (6.79)

sup sP .t/  0t T

1 sup sP .t/ C K1 C K2 r=2 akf kL1 ; 2 0t T

which gives (6.77). Returning to (6.75), we deduce that the solution to (6.3) given by Proposition 6.2 satisfies, for any r 2 Œ1; 2/, (6.80)

kv.t/kH r .I /  Kr ;

0  t  T;

with Kr independent of T . We know that xvx ./ has an H s -bound for any s < 1, and, via (6.62), we can use such a bound on xvx ./ for s < 12 , to conclude, via (6.7), that (6.80) holds for any r 2 Œ1; 5=2/. Now familiar methods establish the following: Theorem 6.5. Given f 2 C 1 .I /; f  0; f .0/ D f .1/ D 0, there is a unique solution v;  to (6.5)–(6.6), defined for all t 2 Œ0; 1/, satisfying (6.81)

    v 2 C Œ0; 1/; H r .I / \ C 1 Œ0; 1/; H r2 .I / ;

r<

5 ; 2

and (6.82)

   2 C  Œ0; 1/ ;

<

3 : 2

We now tackle the task of showing that u and s, or equivalently v and , are smooth for t 2 .0; 1/ D J . It is convenient to set Z (6.83)

V .T; x/ D v.t; x/;

T D ˛.t; 0/ D 0

t

./1 d ;

374 15. Nonlinear Parabolic Equations

so @T V .T; x/ D .t/@t v.t; x/, and we have (6.84)

@V D Vxx C .T /xVx ; @T

.T / D

1P .t/; 2

with (6.85)

V .0; x/ D f .x/;

V .t; x/ D 0; for x 2 @I:

Note that (6.6) is equivalent to

.T / D aVx .T; 1/:

(6.86) In place of (6.7), we use

Z (6.87)

V .T / D e

T

T

f C 0

 

./e .T / xVx ./ d :

The results (6.81) and (6.82) imply (6.88)     V 2 C Œ0; 1/; H r .I / \ C 1 Œ0; 1/; H r2 .I / ;

 

2 C 1=2ı Œ0; 1/ ;

  for any r < 5=2; ı > 0. Consequently, V 2 C 1=2ı Œ0; 1/; H 3=2ı .I / for all   ı > 0, so ./xVx ./ 2 C 1=2ı Œ0; 1/; H 1=2ı .I / . The following lemma is useful. Lemma 6.6. Suppose Z G.T / D

T

e .T / F ./ d :

0

Then, for any r > 0; s 2 .0; 1=2/,       F 2 C Œ0; 1/; L2 .I / \C r .0; 1/; H s .I / H) G 2 C r .0; 1/; H sC2ı .I / ; for all ı > 0. The proof is straightforward. Applying this to F ./ D ./xVx./, we deduce that the right side of (6.87) belongs to C 1=2ı .0; 1/; H 5=2ı .I / , for all ı > 0. Thus, with J D .0; 1/, (6.89)

  V 2 C 1=2ı J; H 5=2ı .I / :

Note that this is stronger than the first inclusion in (6.88). Making use of the PDE (6.84), we deduce that VT 2 C 1=2ı .J; H 1=2ı .I //, so

6. The Stefan problem

375

  V 2 C 3=2ı J; H 1=2ı .I / :

(6.90)

Interpolation of (6.89) and (6.90) gives   V 2 C 1ı J; H 3=2ı .I / I

(6.91) hence, by (6.86), (6.92)

2 C 1ı .J /:

Now we have improved all three parts of (6.88), essentially increasing the degree of regularity in T by one half, at least for T 2 J D .0; 1/. Iterating this argument, we obtain V 2 C j=2ı .J; H 5=2ı .I // \ C 1Cj=2ı .J; H 1=2ı .I //; (6.93)

2 C 1=2Cj=2ı .J /;

for each j 2 ZC . We are well on the way to establishing the following: Proposition 6.7. The solutions v;  of Theorem 6.5 have the property (6.94)

  v 2 C 1 .0; 1/  I ;

   2 C 1 .0; 1/ :

Proof. That  2 C 1 .J / follows from 2 C 1 .J /. For the rest, it suffices to show that V 2 C 1 .J  I /. We get this from (6.93) together with the PDE (6.84). In fact, this yields (6.95)

Vxx 2 C 1 .J; H 3=2ı .I //;

hence (6.96)

V 2 C 1 .J; H 7=2ı .I //:

Iterating this argument finishes the proof. A number of variants of (6.1)–(6.2) are studied. For example, one often sees a nonhomogeneous boundary condition at the left boundary: (6.97)

u.t; 0/ D g.t/:

Or the boundary condition at x D 0 may be of Neumann type: (6.98)

ux .0; t/ D h.t/:

376 15. Nonlinear Parabolic Equations

Both the PDE and the boundary conditions may have t-dependent coefficients. For example, the PDE might be ut D A.t/uxx :

(6.99)

Some studies of these problems can be found in Chap. 8 of [Fr1] and in [KMP], where particular attention is paid to the nature of the dependence of the solution on the coefficient A.t/, assumed to be > 0. There are also two-phase Stefan problems, where the ice is not assumed to be at temperature 0, but rather at a temperature ui .t; x/  0, to be determined as part of the problem. Furthermore, these problems are most interesting in higherdimensional space. More material on this can be found in [Fr2].

Exercises 1. If v solves (6.3)–(6.4), show that 2  2 d   2 s v.t/L2 D  vx .t/L2 I dt s hence

Z s.t/kv.t/k2L2

t

C2

0

2  s./1 vx ./L2 d  D kf k2L2 :

2. If u satisfies (6.1)–(6.2), show that Z (6.100)

s.t/2 D 1 C 2a

1

Z xf .x/ dx  2a

0

s.t /

xu.t; x/ dx: 0

Compare the upper bound on s.t/ this gives with (6.68). Show that, conversely, (6.1) and (6.100) imply (6.1)–(6.2). This result, or rather its analogue in the more general context of the nonhomogeneous boundary condition (6.97), played a role in the analysis in [CH].

7. Quasi-linear parabolic equations I In this section we begin to study the initial-value problem (7.1)

X @u D Ajk .t; x; Dx1 u/ @j @k u C B.t; x; Dx1 u/; @t

u.0/ D f:

j;k

Here, u takes values in RK , and each Ajk can be a symmetric K  K matrix; we assume Ajk and B are smooth in their arguments. We assume for simplicity that x 2 M D T n , the n-dimensional torus. Modifications for a more general,

7. Quasi-linear parabolic equations I

377

compact M will be contained in the stronger analysis made in  8. We impose the following “strong parabolicity condition”: (7.2)

X

Ajk .t; x; Dx1 u/j k  C0 jj2 I;

j;k

where to say that a pair of symmetric K  K matrices Sj satisfies S1  S2 is to say that S1  S2 is a positive-semidefinite matrix. We will use a “modified Galerkin method” to produce a short-time solution. We consider the approximating equation

(7.3)

X @u" D J" Ajk .t; x; Dx1 J" u" /@j @k J" u" C J" B.t; x; Dx1 J" u" / @t D J" L" J" u" C J" B" ; u" .0/ D J" f:

Here J" is a Friedrichs mollifier, which we can take in the form p J" D '." /; with an even function ' 2 S.R/; '.0/ D 1. Equivalently, the Fourier coefficients fO.k/ of f 2 D0 .T n / are related to those of J" f by .J" f /O.k/ D '."jkj/fO.k/;

k 2 Zn :

For any fixed " > 0, the right side of (7.3) is Lipschitz in u" with values in practically any Banach space of functions, so the existence of short-time solutions to (7.3) follows by the material of Chap. 1. Our task will be to show that the solution u" exists for t in an interval independent of " 2 .0; 1 and has a limit as " & 0, solving (7.1). To do this, we estimate the H ` -norm of solutions to (7.3). We begin with (7.4)

d kD ˛ u" .t/k2L2 D 2.D ˛ J" L" J" u" ; D ˛ u" / C 2.D ˛ B" ; D ˛ J" u" /: dt

Since J" commutes with D ˛ and is self-adjoint, we can write the first term on the right as (7.5)

2.L" D ˛ J" u" ; D ˛ J" u" / C 2.ŒD ˛ ; L" J" u" ; D ˛ J" u" /:

To analyze the first term in (7.5), write it as (7.6)

2.L" v; v/ D 2

X X .Ajk .ŒAjk " @j v; @k v/ C 2 " ; @k  @j v; v/; j;k

378 15. Nonlinear Parabolic Equations

where Ajk D Ajk .t; x; Dx1 J" u" / and v D D ˛ J" u" . Note that, by the strong " ellipticity hypothesis (7.2), we have X

(7.7)

2 .Ajk " @j v; @k v/  C0 krvkL2 :

P The commutator ŒD ˛ ; L"  D ŒD ˛ ; Ajk "  @j @k can be treated using the Moser estimates established in Chap. 13. From Proposition 3.7 of Chap. 13 we deduce that

(7.8)

kŒD ˛ ; L" wkL2  X jk kAjk C " kH ` k@j @k wkL1 C krA" kL1 k@j @k wkH `1 ; j;k

provided j˛j  `. Since ŒAjk " ; @k w D  estimate (7.9)

P

.@k Ajk " /w, we have the elementary

jk kŒAjk " ; @k @j vkL2  C krA" kL1 k@j vkL2 :

Furthermore, Proposition 3.9 of Chap. 13 implies (7.10)

   1 C kJ" u" kH `C1 ; kAjk " kH `  C` kJ" u" kC 1

  jk and we have the elementary estimate krA" kL1  C kJ" u" kC 1 kJ" u" kC 2 . Hence (7.5) is less than or equal to (7.11)

2C0 krD ˛ J" u" .t/k2L2     C C kJ" u" kC 1 kJ" u" kC 2 1 C kJ" u" kH `C1  kD ˛ J" u" kL2 :

Furthermore, we have a bound    (7.12) 2.D ˛ B" ; D ˛ J" u" /  C kJ" u" kC 1 1 C kJ" u" kH `C1  kD ˛ J" u" kL2 ; by the analogue of (7.10) for kB.t; x; Dx1 J" u" /kH ` . Consequently, we have an upper bound for (7.4). Summing over j˛j  `, we obtain

(7.13)

d ku" .t/k2H `   2C0 kJ" u" k2H `C1 dt    C C1 kJ" u" kC 2 1 C kJ" u" kH `C1 kJ" u" kH ` :

Using AB  C0 A2 C .1=4C0/B 2 , with A D kJ" u" kH `C1 , we obtain (7.14)

   d ku" .t/k2H `  C0 kJ" u" k2H `C1 C C2 kJ" u" kC 2 kJ" u" k2H ` C 1 : dt

7. Quasi-linear parabolic equations I

379

In particular, since fJ" W 0 < "  1g is uniformly bounded on each space C j .M / and H ` .M /, we have an estimate (7.15)

   d ku" .t/k2H `  C` ku" kC 2 ku" .t/k2H ` C 1 : dt

This estimate permits the following analysis of the evolution equations (7.3). Lemma 7.1. Given f 2 H ` ; ` > n=2 C 2, the solution to (7.3) exists for t in an interval I D Œ0; A/, independent of ", and satisfies an estimate ku" .t/kH `  K.t/;

(7.16)

t 2 I;

independent of " 2 .0; 1. Proof. Using  imbedding theorem, we can dominate the right side of  the Sobolev (7.15) by E ku" .t/k2H ` , so ku" .t/k2H ` D y.t/ satisfies the differential inequality

(7.17)

dy  E.y/; dt

y.0/ D kf k2H ` :

Gronwall’s inequality then yields a function K.t/, finite on some interval I D Œ0; A/, giving an upper bound for all y.t/ satisfying (7.17). This I and K.t/ work for (7.16). We are now prepared to establish the following existence result: Theorem 7.2. If (7.1) satisfies the parabolicity hypothesis (7.2), and if f 2 H ` .M /, with ` > n=2 C 2, then there is a solution u, on an interval I D Œ0; T /, such that (7.18)

    u 2 L1 I; H ` .M / \ Lip I; H `2 .M / :

Proof. Take the I above and shrink it slightly. The bounded family u" 2 C.I; H ` / \ C 1 .I; H `2 / will have a weak limit point u satisfying (7.18). Furthermore, by Ascoli’s theorem (in the form given in Exercise 5, in  6 of Appendix A), there is a sequence (7.19)

  u" ! u in C I; H `2 .M / ;

since the inclusion H ` ,! H `2 is compact. In addition,  interpolation  inequalities imply that fu" W 0 < "  1g is bounded in C I; H `2 .M / for each

380 15. Nonlinear Parabolic Equations

2 .0; 1/. Since the inclusion H `2 ,! C 2 .M / is compact for small > 0 if ` > n=2 C 2, we can arrange that   (7.20) u" ! u in C I; C 2 .M / : Consequently, with " D " , (7.21)

J"

X

Ajk .t; x; Dx1 J" u" / @j @k J" u" !

X

Ajk .t; x; Dx1 u/ @j @k u;

J" B.t; x; Dx1 J" u" / ! B.t; x; Dx1 u/

in C.I  M /, while clearly @u" =@t ! @u=@t weakly. Thus (7.1) follows in the limit from (7.3), and the theorem is proved. We turn now to questions of the uniqueness, stability, and rate of convergence of u" to u; we can treat these questions simultaneously. Thus, with " 2 Œ0; 1, we compare a solution u to (7.1) with a solution u" to (7.22)

X @u" D J" Ajk .t; x; Dx1 J" u" / @j @k J" u" C J" B.t; x; Dx1 J" u" /; @t u" .0/ D h:

For brevity, we suppress the .t; x/-dependence and write @u D L.Dx1 u; D/u C B.Dx1 u/; @t @u" D J" L.Dx1 J" u" ; D/J" u" C J" B.Dx1 J" u" /: @t

(7.23)

Let v D u  u" . Subtracting the two equations in (7.23), we have

(7.24)

@v D L.Dx1 u; D/v C L.Dx1 u; D/u"  J" L.Dx1 J" u" ; D/J" u" @t C B.Dx1 u/  J" B.Dx1 J" u" /:

Write L.Dx1 u; D/u"  J" L.Dx1 J" u" ; D/J" u"  D L.Dx1 u; D/  L.Dx1 u" ; D/ u" C .1  J" /L.Dx1 u" ; D/u" (7.25)   CJ" L.Dx1 u" ; D/.1  J" /u" C J" L.Dx1 u" ; D/  L.Dx1 J" u" ; D/ J" u" 

and   B.Dx1 u/  J" B.Dx1 J" u" / D B.Dx1 u/  B.Dx1 u" / (7.26)

C .1  J" /B.Dx1 u" /   C J" B.Dx1 u" /  B.Dx1 J" u" / :

7. Quasi-linear parabolic equations I

381

Now write B.Dx1 u/  B.Dx1 w/ D G.Dx1 u; Dx1 w/.Dx1 u  Dx1 w/; Z 1   1 1 B 0 Dx1 u C .1  /Dx1 w d ; G.Dx u; Dx w/ D

(7.27)

0

and similarly (7.28)

L.Dx1 u; D/  L.Dx1 w; D/ D .Dx1 u  Dx1 w/  M.Dx1 u; Dx1 w; D/:

Then (7.24) yields (7.29)

@v D L.Dx1 u; D/v C A.Dx1 u; Dx2 u" /Dx1 v C R" ; @t

where (7.30)

A.Dx1 u; Dx2 u" /Dx1 v D Dx1 v  M.Dx1 u; Dx1 u" ; D/u" C G.Dx1 u; Dx1 u" /Dx1 v

incorporates the first terms on the right sides of (7.25) and (7.26), and R" is the sum of the rest of the terms in (7.25) and (7.26). Note that each term making up R" has as a factor I  J" , acting on either Dx1 u" ; B.Dx1 u" /, or L.Dx1 u" ; D/u" . Thus there is an estimate    (7.31) kR" .t/k2L2  C` ku" .t/kC 2 1 C ku" .t/k2H ` r` ."/2 ; where (7.32)

r` ."/ D kI  J" kL.H `2 ;L2 /  kI  J" kL.H ` ;H 2 / :

Now, estimating .d=dt/kv.t/k2L2 via techniques parallel to those used for (7.4)–(7.15) yields (7.33)

d kv.t/k2L2  C.t/kv.t/k2L2 C S.t/; dt

with (7.34)

  C.t/ D C ku" .t/kC 2 ; ku.t/kC 2 ;

S.t/ D kR" .t/k2L2 :

Consequently, by Gronwall’s inequality, with K.t/ D (7.35)

Rt 0

C./ d ,



Z t S./e K./ d  ; kv.t/k2L2  e K.t / kf  hk2L2 C 0

for t 2 Œ0; T /. Thus we have

382 15. Nonlinear Parabolic Equations

Proposition 7.3. For ` > n=2 C 2, solutions to (7.1) satisfying (7.18) are unique. They are limits of soutions u" to (7.3), and, for t 2 I , (7.36)

ku.t/  u" .t/kL2  K1 .t/kI  J" kL.H `2 ;L2 / :

p Note that if J" D '." / and ' 2 S.R/ satisfies '. / D 1 for j j  1, we have the operator norm estimate (7.37)

kI  J" kL.H `2 ;L2 /  C "`2 :

We next establish smoothness of the solution u given by Theorem 7.2, away from t D 0. Proposition 7.4. The solution u of Theorem 7.2 has the property that   u 2 C 1 .0; T /  M :

(7.38)

Proof. Fix any S R< T and take J D Œ0; S /. If we integrate (7.14) over J , we obtain a bound on J kJ" u" .t/k2H `C1 dt, provided we assume ` > n=2C2, so that   we can appeal to a bound on C2 kJ" u" .t/kC 2 and on kJ" u" .t/k2H ` , for t 2 J . Thus   u 2 L2 J; H `C1 .M / :

(7.39)

  Recall that we know u 2 Lip I; H `2 .M / . It follows that there is a subset E of I such that (7.40)

meas.E/ D 0;

t0 2 I n E H) u.t0 / 2 H `C1 .M /:

Given t0 2 I n E, consider the initial-value problem (7.41)

X @U D Ajk .t; x; Dx1 U / @j @k U C B.t; x; Dx1 U /; @t

U.t0 / D u.t0 /:

By the uniqueness result of Proposition 7.3, U.t/ D u.t/ for t0  t < T . Now, the proof of Theorem 7.2 gives a length L > 0, independent of t0 2 J , such that the approximation U" defined by the obvious analogue of (7.3) converges to U weakly in L1 .Œt0 ; t0 C L; H ` .M //. In particular, kU" .t/kC 2 is bounded on Œt0 ; t0 C L. On the other hand, there is also an analogue of (7.15), with ` replaced by ` C 1: (7.42)

   d kU" .t/k2H `C1  C`C1 kU" .t/kC 2 kU" .t/k2H `C1 C 1 : dt

7. Quasi-linear parabolic equations I

383

Consequently, U" is bounded in C.Œt0 ; t0 C L; H `C1 .M //, and we obtain (7.43)

    u 2 L1 Œt0 ; t0 C L; H `C1 .M / \ Lip Œt0 ; t0 C L; H `1 .M / :

Since the exceptional set E has measure 0, this is enough to guarantee that (7.44)

`C1 .M // \ Liploc .J; H `1 .M //; u 2 L1 loc .J; H

and since J is obtained by shrinking I as little as one likes, we have (7.44) with J replaced by I . Now we can iterate this argument, obtaining `Cj u 2 L1 .M // for each j 2 ZC , from which (7.38) is easily deduced. loc .I; H We can now sharpen the description (7.18) of the solution u in another fashion: Proposition 7.5. The solution u of Theorem 7.2 has the property that (7.45)

    u 2 C I; H ` .M / \ C 1 I; H `2 .M / :

Proof. It suffices to show that u.t/ is continuous at t D 0, with values in H ` .M /. We know that as t & 0; u.t/ is bounded in H ` .M / and converges to u.0/ D f in H `2 .M /; hence u.t/ ! f weakly in H ` as t & 0. To deduce that u.t/ ! f in H ` -norm, it suffices to show that (7.46)

lim sup ku.t/kH `  kf kH ` : t &0

However, the bounds on ku" .t/kH ` implied by (7.15) easily yield this result. Now that we have smoothness, (7.38), an argument parallel to but a bit simpler than that used to produce (7.4)–(7.15) gives    d ku.t/k2H `  C` ku.t/kC 2 ku.t/k2H ` C 1 ; dt   for a solution u 2 C 1 .0; T /M to (7.1). This implies the following persistence result: (7.47)

  Proposition 7.6. Suppose u 2 C 1 .0; T /  M is a solution to (7.1). Assume also that (7.48)

ku.t/kC 2  K < 1;

for t 2 .0; T /. Then  there exists T1 > T such that u extends to a solution to (7.1), belonging to C 1 .0; T1 /  M .

384 15. Nonlinear Parabolic Equations

A special case of (7.1) is the class of systems of the form (7.49)

X @u D Ajk .t; x; u/ @j @k u C B.t; x; Dx1 u/; @t

u.0/ D f:

j;k

We retain the strong parabolicity hypothesis (7.2). In this case, when one does estimates of the form (7.5)–(7.15), and so forth, C 2 -norms can be systematically replaced by C 1 -norms. In particular, for a local smooth solution to (7.49), we have the following improvement of (7.47): (7.50)

   d ku.t/k2H `  C` ku.t/kC 1 ku.t/k2H ` C 1 : dt

Thus we have the following: Proposition 7.7. If (7.49) is strongly parabolic and f 2 H ` .M / with ` > n=2 C 1, then there is a solution u, on an interval I D Œ0; T /, such that (7.51)

    u 2 C Œ0; T /; H ` .M / \ C 1 .0; T /  M :

Furthermore, if (7.52)

ku.t/kC 1  K < 1;

for t 2 Œ0; T /, then  there exists T1 > T such that u extends to a solution to (7.49), belonging to C 1 .0; T1 /  M . We apply this to obtain a global existence result for a scalar parabolic equation, in one space variable, of the form (7.53)

@u D A.u/@2x u C g.u; ux /; @t

u.0/ D f:

Take M D S 1 . We assume g.u; p/ is smooth in its arguments. We will exploit the maximum principle to obtain a bound on ux , which satisfies the equation

(7.54)

@ ux D A.u/ @2x .ux / C A0 .u/ux @x .ux / @t C gp .u; ux / @x .ux / C gu .u; ux /ux :

The only restriction on applying the maximum principle to estimate jux j is that we need gu .u; ux /  0. We can fix this by considering e tK ux , which satisfies (7.55)

  @  tK  e ux D e tK R  Kux ; @t

7. Quasi-linear parabolic equations I

385

where R is the right side of (7.54). The maximum principle yields (7.56)

kux kC 0  e tK k@x f kC 0 ;

provided gu .u; ux /  K:

(7.57) We have the following result:

Proposition 7.8. Given f 2 H 2 .S 1 /, suppose you have a global a priori bound ku.t/kL1  K0 ;

(7.58)

for a solution to the scalar equation (7.53). If there is also an a priori bound (7.57) (for juj  K0 ), which follows automatically in case g D g.u/ is a smooth function of u alone, then (7.53) has a solution for all t 2 Œ0; 1/. The class of equations described by (7.53) includes those of the form (7.59)

  @u D @x A.u/ @x u C '.u/; @t

u.0/ D f:

In fact, this is of the form (7.53), with (7.60)

g.u; ux / D A0 .u/u2x C '.u/:

Thus (7.61)

gu .u; ux / D A00 .u/u2x C ' 0 .u/:

In such a case, (7.57) applies if and only if A00 .u/  0, that is, A.u/ is concave in u. For example, Proposition 7.8 applies to the equation (7.62)

  @u D @x u @x u C '.u/; @t

u.0/ D f;

in cases where it can be shown that, for some a; b 2 .0; 1/; a  u.t; x/  b for all t  0; x 2 S 1 . This in turn holds if f .x/ takes values in the interval Œa; b with '.a/ > 0 and '.b/ < 0, by arguments similar to the proof of Proposition 4.3. A specific example is the equation (7.63)

@u @ D @t @x



@u u C u.1  u/; @x

u.0/ D f;

arising in models of population growth (see [Grin], p. 224, or [Mur], p. 289). This is similar to reaction-diffusion equations studied in  4, but this time there is a

386 15. Nonlinear Parabolic Equations

nonlinear diffusion as well as a nonlinear reaction. In this case we see that (7.63) has a global solution, given smooth f with values in a interval I D Œa; b, with a > 0I u.t; x/ 2 I for all .t; x/ 2 RC  S 1 if also b > 1. This existence result is rather special; a much larger class of global existence results will be established in  9.

Exercises 1. In the setting of Proposition 7.3, given u.0/ D f 2 H ` .M /, initial data for (7.1), work out estimates for ku.t/  u" .t/kH j .M / ; 1  j  `  1: 2. Establish global solvability on Œ0; 1/  S 1 for @u D A.u/ @2x u C '.u/; @t

(7.64)

u.0/ D f;

given f 2 H 2 .S 1 /, under the hypotheses a  f .x/  b;

'.a/  0;

'.b/  0;

and A.u/  C > 0; for a  u  b: 3. Establish global solvability on Œ0; 1/  S 1 for @u D A.ux /uxx ; @t

(7.65)

u.0/ D f;

given f 2 H 3 .S 1 /, under the hypothesis (7.66)

A.p/  C > 0 and A00 .p/  0; for jpj  sup jf 0 .x/j:

(Hint: The function v D ux satisfies   @v D @x A.v/ @x v ; @t

v.0/ D f 0 .x/:

Estimate vx D uxx :) Consider the example (7.67)

1=2  @u uxx ; D 1  u2x @t

assuming jf 0 .x/j  a < 1, or the example (7.68)

@u D .1 C u2x /1 uxx ; @t

p assuming jf 0 .x/j  b < 1=3. A much more general global existence result is derived in  9. See Exercise 3 of  9 for a better existence result for (7.68).

8. Quasi-linear parabolic equations II (sharper estimates)

387

8. Quasi-linear parabolic equations II (sharper estimates) While most of the analysis in  7 was fairly straightforward, the results are not as sharp as they can be, and we obtain sharper results here, making use of paradifferential operator calculus. The improvements obtained here will be coupled with Nash–Moser estimates and applied to global existence results in the next section. Most of the material of this section follows the exposition in [Tay]. Though we intend to concentrate on the quasi-linear case, we begin with completely nonlinear equations: @u D F .t; x; Dx2 u/; @t

(8.1)

u.0/ D f;

for u taking values in RK . We suppose F D F .t; x; /;  D .˛j W j˛j  2; 1  j  K/ is smooth in its arguments, and our strong parabolicity hypothesis is X (8.2) Re .@F=@˛ / ˛  C jj2 I; j˛jD2

for  2 Rn , where Re A D .1=2/.A C A /, for a K  K matrix A. Using the paradifferential operator calculus developed in Chap. 13,  10, we write F .t; x; Dx2 v/ D M.vI t; x; D/v C R.v/:

(8.3)

By Proposition 10.7 of Chap. 13, we have, for r > 0, (8.4)

2 2 2 v.t/ 2 C 2Cr H) M.vI t; x; / 2 Ar0 S1;1  C r S1;0 \ S1;1 ;

m where the symbol class Ar0 S1;ı is defined by (10.31) of Chap. 13. The hypothesis (8.2) implies

(8.5)

Re M.vI t; x; /  C jj2 I > 0;

for jj large. Note that symbol smoothing in x, as in (9.27) of Chap. 13, gives (8.6)

M.vI t; x; / D M # .t; x; / C M b .t; x; /;

and when (8.4) holds (for fixed t), (8.7)

2 M # .t; x; / 2 Ar0 S1;ı ;

2rı M b .t; x; / 2 S1;1 :

We also have (8.8) for jj large.

Re M # .t; x; /  C jj2 I > 0;

388 15. Nonlinear Parabolic Equations

We will obtain a solution to (8.1) as a limit of solutions u" to (8.9)

@u" D J" F .t; x; Dx2 J" u" /; @t

u" .0/ D f:

Thus we need to show that u" .t; x/ exists on an interval t 2 Œ0; T / independent of " 2 .0; 1 and has a limit as " ! 0 solving (8.1). As before, all this follows from an estimate on the H s -norm, and we begin with

(8.10)

d kƒs u" .t/k2L2 D 2.ƒs J" F .t; x; Dx2 J" u" /; ƒs u" / dt D 2.ƒs M" J" u" ; ƒs J" u" / C 2.ƒs R" ; ƒs J" u" /:

The last term is easily bounded by   C.ku" .t/kL2 / kJ" u" .t/k2H s C 1 : Here M" D M.J" u" I t; x; D/. Writing M" D M"# C M"b as in (8.6), we see that .ƒs M"b J" u" ; ƒs J" u" / (8.11)

D .ƒs1 M"b J" u" ; ƒsC1 J" u" /  C.kJ" u" kC 2Cr /kJ" u" kH sC1rı kJ" u" kH sC1 ;

for s > 1, since by (8.7), M"b W H sC1rı ! H s1 . We next estimate (8.12)

.ƒs M"# J" u" ; ƒs J" u" / D .M"# ƒs J" u" ; ƒs J" u" / C .Œƒs ; M"# J" u" ; ƒs J" u" /:

sC2r if 0 < r < 1, By (8.7), plus (10.99) of Chap. 13, we have Œƒs ; M"#  2 OPS1;ı so the last term in (8.12) is bounded by

(8.13)

.ƒ1 Œƒs ; M"# J" u" ; ƒsC1 J" u" /  C.ku" kC 2Cr /kJ" u" kH sC1r  kJ" u" kH sC1 :

Finally, G˚arding’s inequality (Theorem 6.1 of Chap. 7) applies to M"# : (8.14)

.M"# w; w/  C0 kwk2H 1 C C1 .ku" kC 2Cr /kwk2L2 :

Putting together the previous estimates, we obtain (8.15)

1 d ku" .t/k2H s   C0 kJ" u" k2H sC1 C C.ku" kC 2Cr /kJ" u" k2H sC1rı ; dt 2

8. Quasi-linear parabolic equations II (sharper estimates)

389

and using Poincar´e’s inequality, we can replace C0 =2 by C0 =4 and the H sC1rı -norm by the H s -norm, getting

(8.16)

1 d ku" .t/k2H s   C0 kJ" u" .t/k2H sC1 dt 4 C C 0 .ku" .t/kC 2Cr /kJ" u" .t/k2H s :

From here, the arguments used to establish Theorem 7.2 through Proposition 7.6 yield the following result: Proposition 8.1. If (8.1) is strongly parabolic and f 2 H s .M /, with s > n=2 C 2, then there is a unique solution (8.17)

u 2 C.Œ0; T /; H s .M // \ C 1 ..0; T /  M /;

which persists as long as ku.t/kC 2Cr is bounded, given r > 0. Note that if the method of quasi-linearization were applied to (8.1) in concert with the results of  7, we would require s > n=2 C 3 and for persistence of the solution would need a bound on ku.t/kC 3 . We now specialize to the quasi-linear case (7.1), that is, (8.18)

X @u D Ajk .t; x; Dx1 u/ @j @k u C B.t; x; Dx1 u/; @t

u.0/ D f:

j;k

This is the special case of (8.1) in which (8.19)

F .t; x; Dx2 u/ D

X

Ajk .t; x; Dx1 u/ @j @k u C B.t; x; Dx1 u/:

We form M.vI t; x; D/ as before, by (8.3). In this case, we can replace (8.4) by (8.20)

2 2r C S1;1 : v 2 C 1Cr H) M.vI t; x; / 2 Ar0 S1;1

Thus we can produce a decomposition (8.6) such that (8.7) holds for v 2 C 1Cr . Hence the estimates (8.11)–(8.16) all hold with constants depending on the C 1Cr -norm of u" .t/, rather than the C 2Cr -norm, and we have the following improvement of Theorem 7.2 and Proposition 7.6: Proposition 8.2. If the quasi-linear system (8.18) is strongly parabolic and f 2 H s .M /, s > n=2 C 1, then there is a unique solution satisfying (8.17), which persists as long as ku.t/kC 1Cr is bounded, given r > 0. We look at the parabolic equation (8.21)

X @u D Ajk .t; x; u/ @j @k u C B.t; x; u/; @t

390 15. Nonlinear Parabolic Equations

which is a special case of (8.1), with (8.22)

F .t; x; Dx2 u/ D

X

Ajk .t; x; u/ @j @k u C B.t; x; u/:

In this case, if r > 0, we have (8.23)

2 2r v 2 C r H) M.vI t; x; / 2 Ar0 S1;1 C S1;1 ;

and the following results: Proposition 8.3. Assume the system (8.21) is strongly parabolic. If f 2 H s .M /, s > n=2 C 1, then there is a unique solution satisfying (8.17), which persists as long as ku.t/kC r is bounded, given r > 0. It is also of interest to consider the case (8.24)

X @u D @j Ajk .t; x; u/ @k u; @t

u.0/ D f:

Arguments similar to those done above yield the following. Proposition 8.4. If the system (8.24) is strongly parabolic, and if f 2 H s .M /; s > n=2 C 1, then there is a unique solution to (8.24), satisfying (8.17), which persists as long as ku.t/kC r is bounded, for some r > 0. We continue to study the quasi-linear system (8.18), but we replace the strong parabolicity hypothesis (7.2) with the following more general hypothesis on (8.25)

L2 .t; v; x; / D 

X

Ajk .t; x; v/j k I

j;k

namely, (8.26)

spec L2 .t; v; x; /  fz 2 C W Re z  C0 jj2 g;

for some C0 > 0. When this holds, we say that the system (8.18) is Petrowskiparabolic. Again we will try to produce the solution to (8.18) as a limit of solutions u" to (8.9). In order to get estimates, we construct a symmetrizer. Lemma 8.5. Given (8.26), there exists P0 .t; v; x; /, smooth in its arguments, for  ¤ 0, homogeneous of degree 0 in , positive-definite (i.e., P0  cI > 0), such that .P0 L2 C L2 P0 / is also positive-definite, that is, (8.27)

.P0 L2 C L2 P0 /  C jj2 I > 0:

8. Quasi-linear parabolic equations II (sharper estimates)

391

Such a construction is done in Chap. 5. We briefly recall the argument used there, where this result is stated as Lemma 11.5. The symmetrizer P0 , which is not unique, is constructed by establishing first that if L2 is a fixed K  K matrix with spectrum in Re z < 0, then there exists a K  K matrix P0 such that P0 and .P0 L2 C L2 P0 / are positive-definite. This is an exercise in linear algebra. One then observes the following facts. One, for a given positive matrix P0 , the set of L2 such that .P0 L2 C L2 P0 / is positive-definite is open. Next, for given L2 with spectrum in Re z < 0, the set fP0 W P0 > 0; .P0 L2 C L2 P0 / > 0g is an open convex set of matrices, within the linear space of self adjoint K  K matrices. Using this and a partition-of-unity argument, one can establish the following, which then yields Lemma 8.5. (Compare with Lemma 11.4 in Chap. 5. Also compare with the construction in  8 of Chap. 15.) Lemma 8.6. If M K denotes the space of real K  K matrices with spectrum in C the space of positive-definite (complex) K  K matrices, there Re z < 0 and PK is a smooth map C ˆ W M K ! PK ; homogeneous of degree 0, such that if L 2 M K and P D ˆ.L/, then .PL C C . L P / 2 PK Having constructed P0 .t; v; x; /, note that, for fixed t; r 2 R, (8.28)

2 u 2 C 1Cr H) L.t; Dx1 u; x; / 2 Cr Scl

P0 .t; Dx1 u; x; /

2

and

0 Cr Scl :

Now apply symbol smoothing in x to PQ0 .t; x; / D P0 .t; Dx1 u; x; /, to obtain (8.29)

0 P .t/ 2 OP Ar0 S1;ı I

rı P .t/  PQ .t; Dx1 u; x; D/ 2 OP C r S1;ı :

Then set (8.30)

QD

1 .P C P  / C Kƒ1 ; 2

with K > 0 chosen so that Q is positive-definite on L2 . Now, with u" defined as the solution to (8.9), u" .0/ D f , we estimate (8.31)

d .ƒs u" ; Q" ƒs u" / D 2.ƒs @t u" ; Q" ƒs u" / C .ƒs u" ; P"0 ƒs u" /; dt

where P" is obtained as in (8.29)–(8.30), from symbol smoothing of the family of operators PQ" D P0 .t; Dx1 J" u" ; x; D/, and Q" comes from P" via (8.30). Note 2r that if u" .t/ is bounded in C 1Cr .M /, then P"0 .t/ is bounded in OPS1;ı .M /, so (8.32)

  j.ƒs u" ; P"0 ƒs u" /j  C ku" .t/kC 1Cr ku" .t/k2H sC1r=2 :

392 15. Nonlinear Parabolic Equations

We can write the first term on the right side of (8.31) as twice (8.33)

.Q" ƒs J" M" J" u" ; ƒs u" / C .Q" ƒs R" ; ƒs u" /;

where M" is as in (8.10). The last term here is easily dominated by (8.34)

C.ku" .t/kC 1 /kJ" u" .t/kH sC1  ku" .t/kH s :

We write the first term in (8.33) as (8.35)

.Q" M" ƒs J" u" ; ƒs J" u" / C .Q" Œƒs ; M" J" u" ; ƒs J" u" / C .ŒQ" ƒs ; J" M" J" u" ; ƒs u" /:

0 We have Q" .t/ 2 OP Ar0 S1;ı , by (10.100) of Chap. 13, and hence, by (10.99) of Chap. 13,

(8.36)

ŒQ" ƒs ; J"  bounded in L.H s1 ; L2 /;

with a bound given in terms of ku" kC 1Cr if r > 1. Furthermore, we have (8.37)

kM" J" u" kH s1  C.ku" kC 1Cr /kJ" u" kH sC1 ;

so we can dominate the last term in (8.35) by (8.38)

C.ku" .t/kC 1Cr /kJ" u" kH sC1  ku" kH s ;

provided r > 1. Moving to the second term in (8.35), since 2 2r M" 2 OP Ar0 S1;1 C OPS1;1 ;

we have (8.39)

  kŒƒs ; M" vkL2  C ku" kC 1Cr kvkH sC1 ;

provided r > 1. Hence the second term in (8.35) is also bounded by (8.38). This brings us to the first term in (8.35), and for this we apply the G˚arding inequality to the main term arising from M" D M"# C M"b , to get (8.40)

.Q" M" v; v/  C0 kvk2H 1 C C.ku" kC 2 /kvk2L2 :

Substituting v D ƒs J" u" and using the other estimates on terms from (8.31), we have

(8.41)

d .ƒs u" ;Q" ƒs u" /  C0 kJ" u" k2H sC1 dt   C C.ku" kC 3Cı /ku" kH s kJ" u" kH sC1 C ku" kH s

Exercises

393

which we can further dominate as in (8.16). Note that (8.32) is the worst term; we need r > 2 for it to be useful. From here, all the other arguments yielding Propositions 8.1 and 8.2 apply, and we have the following: Proposition 8.7. Given the Petrowski-parabolicity hypothesis (8.25)–(8.26), if f 2 H s .M / and s > n=2 C 3, then (8.18) has a unique solution (8.42)

u 2 C.Œ0; T /; H s .M // \ C 1 ..0; T /  M /;

for some T > 0, which persists as long as ku.t/kC 1Cr is bounded, for some r > 0. In order to check the persistence result, we run through (8.31)–(8.41) with u" replaced by the solution u, and with J" replaced by I . In such a case, the analogue of (8.32) is useful for any r > 0. The analogue of (8.36) is vacuous, so (8.38) works for any r > 0. An analogue of (8.11)–(8.13) can be applied to (8.39); recalling that this time we have (8.7) for u 2 C 1Cr , we also obtain a useful estimate whenever r > 0. This gives the persistence result stated above.

Exercises In Exercises 1–10, we look at the system

(8.43)

@u D Mu  ar  .urv/; @t bu @v D Dv C  v: @t uCh

We assume that M; D; ; a; b, and h are positive constants, and  is the Laplace operator on a compact Riemannian manifold. This arises in a model of chemotaxis, the attraction of cells to a chemical stimulus. Here, u D u.t; x/ represents the concentration of cells, and v D v.t; x/ the concentration of a certain chemical (see [Grin], p. 194, or [Mur]). 1. Show that (8.43) is a Petrowski-parabolic system. 2. If .u; v/ is a sufficiently smooth solution for t 2 Œ0; T /, show that (8.44)

u.0/  0; v.0/  0 H) u.t/  0; v.t/  0;

8 t 2 Œ0; T /:

(Hint: If we can deduce u.t/  0, the result follows for Z t   e .D/.t / ' u./ d ; v.t/ D e .D/t v.0/ C 0

'.u/ D

bu : uCh

Temporarily strengthen the hypothesis on u to u.0; x/ > 0, and modify the first equation in (8.43) to ut D Mu  ar  .urv/ C "; with small " > 0. Show that u.t; x/ > 0 for t in the interval of existence by considering the first t0 at which, for some x0 2 M; u.t0 ; x0 / D 0. Derive the contradictory

394 15. Nonlinear Parabolic Equations estimate @t u.t0 ; x0 /  ". To pass from the modified problem to the original, you may find it necessary to work Exercises 3–10 for the modified problem, which will involve no extra work.) 3. Show that ku.t/kL1 .M / is constant, for t 2 Œ0; T /. (Hint: Integrate the first equation in (8.43) over x 2 M , and use the positivity of u:) Note: The desired conclusion is slightly different for the modified problem. 4. Given the conclusion of (8.44), show that, for I D Œ"; T /; r 2 .0; 1/, (8.45)

sup kv.t/kC 1Cr .M / < 1:

t 2I

(Hint: Regard the second equation in (8.43) as a nonhomogeneous linear equation for v, with nonhomogeneous term F .t; x/ D bu=.u C h/ 2 L1 .I  M /:) 5. Show that, for any ı > 0, (8.46)

sup ku.t/kH 1ı;1 .M / < 1:

t 2I

(Hint: Regard the first equation in (8.43) as a nonhomogeneous linear equation for u, with nonhomogeneous term G.t; x/ D ar  H.t; x/, where H D urv 2 L1 .I; L1 .M //:) 6. Given (8.45)–(8.46), deduce that H 2 L1 .I; H r;1 .M //, for any r 2 .0; 1/. Hence improve (8.46) to (8.47)

sup ku.t/kH 2ı;1 .M / < 1;

t 2I

  for any ı > 0. Consequently, for p 2 1; n=.n  1/ , (8.48)

sup ku.t/kH 1;p .M / < 1:

t 2I

  7. Now deduce that H 2 L1 .I; H r;p .M //, for any r 2 .0; 1/; p 2 1; n=.n  1/ . Hence improve (8.48) to (8.49)

sup ku.t/kH 2ı;p .M / < 1:

t 2I

8. Iterate the argument above, to establish (8.49) for all p < 1, hence (8.50)

sup ku.t/kC 1Cr .M / < 1;

t 2I

for any r < 1. 9. Using (8.50), improve the estimate (8.45) to sup kv.t/kC 3Cr .M / < 1;

t 2I

for any r < 1. Then improve (8.50) to supI ku.t/kC 2Cr .M / < 1, and then to sup ku.t/kC 3Cr .M / < 1: t 2I

10. Now deduce the solvability of (8.43) for all t > 0, given (8.44).

Exercises

395

In Exercises 11–12, we look at a strongly parabolic K  K system of the form ut D A.u/uxx C g.u; ux /;   11. If u 2 C 1 .0; T /  M solves (8.51), show that (8.51)

(8.52)

x 2 S 1:

   d kux .t/k2L2 .S 1 /  C0 kuxx .t/k2L2 C 2g u.t/; ux .t/ L2 kuxx .t/kL2 dt 

  C0 2  g u.t/; ux .t/ 2 2 ; kuxx .t/k2L2 C L 2 C0

where 2A.u/  C0 > 0. 12. Suppose you can establish that the solution u possesses the following property: For each t 2 .0; T /; ku.t; /kL1  C1 < 1. Suppose jg.v; p/j  C2 .1 C jpj/;

(8.53)

  for jvj  C1 . Show that u extends to a solution u 2 C 1 .0; T1 /  M of (8.51), for some T1 > T . (Hint: Use Proposition 8.3.) In Exercises 13–15, we look at a strongly parabolic K  K system of the form @u D @x A.u/ @x u C f .u/; @t   13. If u 2 C 1 .0; T /  M solves (8.54), show that (8.54)

(8.55)

x 2 S 1:

d kux .t/k2L2 .S 1 /  .ˇku.t/kL1  C0 /kuxx .t/k2L2 dt    C 2f 0 u.t/ L1 kux .t/k2L2 ;

where 2A.u/  C0 > 0;

ˇ D sup 6kDA.u/k: u

(Hint: Use the estimate kux k2L4  3kukL1 k@2x ukL2 ; which follows from the p D 1; k D 2 case of Proposition 3.1 in Chap. 13.) 14. Improve the estimate (8.55) to (8.56)

  d kux .t/k2L2  ˇN .u/  C0 kuxx k2L2 C 2kf 0 .u/kL1 kux k2L2 ; dt

where (8.57)

N .g/ D inf kg  kL1 .S 1 / D 2R

1 osc g: 2

15. Suppose you can establish that the solution u possesses the following property: For each t 2 .0; T /; u.t; / takes values in a region Kt  RK so small that

396 15. Nonlinear Parabolic Equations   N u.t/  C0 =ˇ. Assume kvk  C1 < 1, for v 2 Kt . Show that u extends to a solution u 2 C 1 .0; T1 /  M of (8.54), for some T1 > T . Compare with the treatment of (7.59). See also the treatment of (9.61). 16. Rework Exercise 12, weakening the hypothesis (8.53) to jg.v; p/j  C2 .1 C jpj/ C ˛C0 jpj2 ;

(8.58)

˛<

1 ; 6C1

for jvj  C1 .

9. Quasi-linear parabolic equations III (Nash–Moser estimates) We will be able to get global solutions to a certain class of quasi-linear parabolic equations by applying the results of  8 together with H¨older estimates for solutions to scalar equations of the form @u  Lu D 0; @t

(9.1)

Lu D b 1

X

  @j ajk b @k u ;

j;k

where ajk ; b; b 1 2 L1 . The operator L is as in (9.1) of Chap. 14, and we make the same ellipticity hypothesis as used there; thus we assume (9.2)

0

X

j2 

X

ajk .t; x/j k  1

X

j2 ;

b0  b.x/  b1 ;

with (9.3)

0 < 0  1 < 1;

0 < b0  b1 < 1:

We take b independent of t. H¨older estimates for solutions to (9.1) under these hypotheses were first proved by Nash [Na]. Moser [Mos2] established a Harnack inequality that yielded such H¨older estimates; a simpler proof is given in [Mos3]. Another treatment of Nash’s results has been given in [FS]. All these arguments are more elaborate than that used for elliptic equations in Chap. 14, partly because they produce a sharper sort of Harnack inequality. Here, we follow [Kru], who obtained a parabolic analogue of the weaker Harnack inequality discussed in Chap. 14, by methods parallel to those in Moser’s first treatment of the elliptic case, in [Mos1]. As in  9 of Chap. 14, which we will refer to as “14” for short, we use ajk to define an inner product of vectors in Rn : (9.4)

hV; W i D

X

Vj ajk Wk I

9. Quasi-linear parabolic equations III (Nash–Moser estimates)

397

we use the square norm jV j2 D hV; V i; and we use b dx D dV to define the volume element. Parallel to (9.4) of “14,” we have v D f .u/ H) .@t  L/v D f 0 .u/.@t  L/u  f 00 .u/jruj2:

(9.5)

We say v is a subsolution of @t  L provided .@t  L/v  0. Thus we see that u 7! f .u/ takes solutions to .@t  L/u D 0 to subsolutions if f is convex, while it takes subsolutions to subsolutions if f is both convex and increasing. Next, parallel to (9.3) of “14,” we have “ “ “ (9.6) w.@t  L/u dt dV D hrx u; rx wi dt dV C w@t u dt dV; Q

Q

Q

where Q D I  D ŒT1 ; T2   and w vanishes near I  @ . If we set w D 2 u, where .t; x/ is C 1 and vanishes for x near @ , we obtain the following analogue of (9.5) of “14”: “ 2 jrx uj2 dt dV “ “ 2 (9.7) gu dt dV D 2 h rx u; urx i dt dV C Z Z “ 1 1 2 2 u.T2 ; x/ dV C u.T1 ; x/ dV; C .@t 2 /u2 dt dV  2 2 provided .@t  L/u D g. Consequently, parallel to the estimate (9.6) of “14,” we have “ Z 1 1 2 2 jrx uj2 dt dV C u.T2 ; x/2 dV 2 2 “   1 (9.8) 2 u2 jrx j2 C @t 2 dt dV 2 “ Z 1 2 2 gu dt dV C u.T1 ; x/2 dV: C 2 We now proceed to a Moser iteration argument, parallel to (9.7)–(9.20) of “14.” Given Q D I  , consider nested sequences of regions D 0    j

j C1    in Rn and intervals I D I0    Ij Ij C1    , with e D J O intersections O and J , respectively, so we have Qj D Ij  j & Q (see Fig. 9.1). Let us assume I D Œ0; T  and Ij D Œj ; T , with J D ŒT =2; T . We suppose that the distance of any point in @ j C1 to @ j is j 2 and that the length of Ij n Ij C1 is j 2 . We want to estimate the sup norm of a function v e in terms of its L2 -norm on Q, assuming on Q (9.9)

v > 0 and .@t  L/v  0:

398 15. Nonlinear Parabolic Equations

F IGURE 9.1 Setup for Moser Iteration

In view of (9.5), an example is 1=2  ; v D 1 C u2

(9.10)

Lu D 0:

We will obtain such an estimate in terms of certain Sobolev constants, .Qj / and Cj , arising in the following two lemmas, which are analogous to Lemmas 9.1 and 9.2 of “14.” Lemma 9.1. For sufficiently regular v defined on Qj , and with   n=.n  2/, we have   kv k2L2 .Q /  .Qj / j .v/ 1 krx vk2 ; C

.v/ j 2 L .Qj / j (9.11)

j .v/ D sup kv.t/k2L2 . / : t 2Ij

j

Proof. This is a consequence of the following slightly sharper form of (9.10) in “14”:   2. 1/ 2 (9.12) kv k2L2 . /  . j / krx vk2L2 . / kvkL 2 . / C kvkL2 . / : j

j

j

j

Indeed, integrating (9.12) over t 2 Ij gives (9.11). Next, we have Lemma 9.2. If v > 0 is a subsolution of @t  L, then, (9.13)

krx vkL2 .Qj C1 / C sup

t 2Ij C1

kv.t/kL2 . j C1 /  Cj kvkL2 .Qj / ;

where Cj D C.Qj ; Qj C1 /. D Proof. This follows from (9.8), with u D v, if we let T1 D j , pick 'j .x/j .t/, with 'j .x/ D 0 for x near @ j , while 'j .x/ D 1 for x 2 j C1 , and j .j / D 0, while j .t/ D 1 for t 2 Ij C1 . Then let T2 run over Œj C1 ; T .

9. Quasi-linear parabolic equations III (Nash–Moser estimates)

399

We construct the functions 'j and j to go from 0 to 1 roughly linearly, over a layer of width Cj 2 . As in (9.12) of “14,” we can arrange that (9.14)

.Qj /  0 ;

Cj  C0 .j 2 C 1/:

Putting together these two lemmas, we see that when v satisfies (9.9), (9.15)

kv k2L2 .Q

j C1 /

 0 .Cj2 C 1/kvk2 : L2 .Q / j

j

Now, if v satisfies (9.8), so does vj D v , by (9.5). Note that vj C1 D vj . From here, the estimate on (9.16)

1= j

kvkL1 .e Q/  lim sup kvj kL2 .Q j !1

j/

goes precisely like the estimates on (9.16) in “14,” so we have the sup-norm estimate: Theorem 9.3. If v > 0 is a subsolution of @t  L, then (9.17)

kvkL1 .e Q/  KkvkL2 .Q/ ;

where K D K.0 ; C0 ; n/. Next we prepare to establish a Harnack inequality. Parallel to (9.24) of “14,” we take w D 2 f 0 .u/ in (9.6), to get “ Z   2 00 2 2 f .u/jrx uj dt dV C f u.T2 ; x/ dV “ “ 0 (9.18) .@t /f .u/ dt dV D 2 h f .u/rx u; rx i dt dV C 2 Z   2 C f u.T1 ; x/ dV if .@t  L/u D 0 on ŒT1 ; T2   , and to satisfy the differential inequality (9.19)

.t; x/ D 0 for x near @ . If we pick f .u/

f 00 .u/  f 0 .u/2 ;

we have from (9.18) that “ Z   1 2 00 2 f .u/jrx uj2 dt dV C f u.T2 ; x/ dV 2 “ “ (9.20) 2 jrx j2 dt dV C 4 t f .u/ dt dV Z   2 C f u.T1 ; x/ dV;

400 15. Nonlinear Parabolic Equations

provided .@t  L/u D 0 on ŒT1 ; T2   . Since f 00 .u/jrx uj2  f 0 .u/2 jrx uj2 D jrx vj2 , we have

“

(9.21) 2 If we take

(9.22)

1 2 jrx

“

Z 2 jrx vj2 dt dV C v.T2 ; x/ dV  “ Z 2 j2 dt dV C 4 v dt dV C v.T1 ; x/ dV: t 2

.t; x/ D '.x/ 2 C01 . /, we have 1 2

“

Z ' 2 jrx vj2 dt dV C ' 2 v.T2 ; x/ dV Z Z  2.T2  T1 / jrx 'j2 dV C ' 2 v.T1 ; x/ dV:

We will apply the estimate (9.22) in the following situation. Suppose .@t  L/u D 0 on Q D Œ0; T   ; u  0 on , and (9.23)

measf.t; x/ 2 Q W u.t; x/  1g 

1 meas Q: 2

Let be a ball in Rn and O a concentric ball, such that (9.24)

meas O 

3 meas : 4

Here, dV D b dx is used to compute the measure of a set in Rn . Given h > 0, let (9.25)

Ot .h/ D fx 2 O W u.t; x/  hg;

t .h/ D fx 2 W u.t; x/  hg:

Pick ' 2 C01 . / such that ' D 1 on O, and set (9.26)

v D f .u/ D logC

1 : uCh

Note that f satisfies the differential inequality (9.19), and f .u/ D 0 for u  1. From the hypothesis (9.23), we can pick T1 2 .0; T / such that (9.27)

meas T1 .1/ 

1 meas : 2

We let t be any point in .T1 ; T  and apply (9.22), with T2 D t (discarding the first integral). Since v  log.1=2h/ for x 2 O n Ot .h/ while v  log.1= h/ on and v D 0 on at least half of , we get (9.28)

   1 1  1 meas O n Ot .h/  K C log meas ; log 2h 2 h

9. Quasi-linear parabolic equations III (Nash–Moser estimates)

401

with K independent of h. In view of (9.24), this implies meas Ot .h/ 

(9.29)

K 1 1 meas  ; 4 1  ı.h/ .h/

where .h/ D log

1 ; 2h

ı.h/ D

log 2 : log h1

Taking h sufficiently small, we have Lemma 9.4. If u  0 on Q D Œ0; T   satisfies .@t  L/u D 0, then, under the hypotheses (9.23) and (9.24), there exist h > 0 and T1 < T such that, for all t 2 .T1 ; T , ˚  1 meas x 2 O W u.t; x/  h  meas O: 5

(9.30)

We are now ready to prove the following Harnack-type inequality: Proposition 9.5. Let u  0 be a solution to .@t  L/u D 0 on Q D Œ0; T   , where is a ball in Rn centered at x0 . Assume that (9.23) holds. Then there is e a number  < T , and  > 0, depending only on Q and the a concentric ball , quantities j ; bj in (9.2), such that u.t; x/  

(9.31)

e D Q: e on Œ; T  

Proof. Pick 0 2 .T1 ; T /, and let Q0 D Œ0 ; T   O. We will apply (9.22), with the double integral taken over Q0 , and with v D f .u/ D logC

(9.32)

h : uC"

Here, h is as in (9.30), and we will take " 2 .0; h=2. With ' 2 C01 .O/, (9.22) yields (9.33)

1 2

“

Z ' jrx vj dt dV  K C 2

2

O

Q0

h ' 2 v.0 ; x/ dV  K C C1 log : "

Now v D f .u/ D 0 for u  h, hence on the set Ot .h/, whose measure was estimated from below in (9.30). Thus, for each t 2 Œ0 ; T , Z

Z v.t; x/ dV  C2 2

(9.34) e O

e O

ˇ ˇ ˇrx v.t; x/ˇ2 dV

402 15. Nonlinear Parabolic Equations

e to be a ball concentric with O, such that meas O e  .9=10/ meas O. if we take O e We make ' D 1 on O and conclude that “ (9.35)

h v 2 dt dV  C3 C C4 log ; "

e R D Œ0 ; T   O:

R

Since the function f in (9.32) is convex, we see that Theorem 9.3 applies to v. e  R such that Hence we obtain Q (9.36)

kvkL1 .e Q/  C kvkL2 .R/  C log

3h : "

Now, if we require that " 2 .0; h=2 and take " sufficiently small, this forces u  "1=2  "

(9.37)

e on Q;

and the proposition is proved. We now deduce the H¨older continuity of a solution to .@t  L/u D 0 on Q D Œ0; T   from Proposition 9.5, by an argument parallel to that of (9.33)– (9.39) of “14.” We have from (9.17) a bound ju.t; x/j  K on any compact subset e of .0; T   . Fix .t0 ; x0 / 2 Q, e and let Q !.r/ D sup u.t; x/  inf u.t; x/;

(9.38)

Br

Br

where (9.39)

˚  Br D .t; x/ W 0  t0  t  ar 2 ; jx  x0 j  ar :

e for r  . Clearly, !./  2K. Adding a constant to u, we can Say Br  Q assume (9.40)

sup u.t; x/ D  inf u.t; x/ D B

B

1 !./ D M: 2

Then uC D 1 C u=M and u D 1  u=M are annihilated by @t  L. They are both  0 and at least one of them satisfies the hypotheses of Proposition 9.5 after we rescale B , dilating x by a factor of 1 and t by a factor of 2 . If, for example, Proposition 9.5 applies to uC , we have uC .t; x/   in B  , for some 2 .0; 1/. Hence !. /  .1  =2/!./. Iterating this argument, we obtain (9.41)

   !.  /  1  !./; 2

9. Quasi-linear parabolic equations III (Nash–Moser estimates)

403

which implies H¨older continuity: (9.42)

!.r/  C r ˛ ;

for an appropriate ˛ > 0. We have proved the following: Theorem 9.6. If u is a real-valued solution to (9.1) on I  , with I D Œ0; T /, then, given J D ŒT0 ; T /; T0 2 .0; T /; O  , we have for some  > 0 an estimate (9.43)

kukC  .J O/  C kukL2 .I  / ;

where C depends on the quantities j ; bj in (9.2), but not on the modulus of continuity of ajk .t; x/ or of b.t; x/. Theorem 9.6 has the following implication: Theorem 9.7. Let M be a compact, smooth manifold. Suppose u is a bounded, real-valued function satisfying (9.44)

  @u D div A.t; x/ grad u @t

on Œt0 ; t0 C a  M . Assume that A.t; x/ 2 End.Tx M / satisfies (9.45)

˝ ˛ 0 jj2  A.t; x/;   1 jj2 ;

where the inner product and square norm are given by the metric tensor on M . Then u.t0 C a; x/ D w.x/ belongs to C r .M / for some r > 0, and there is an estimate (9.46)

kwkC r  K.M; a; 0 ; 1 /ku.t0 ; /kL1 :

In particular, the factor K.M; a; 0 ; 1 / does not depend on the modulus of continuity of A. We are now ready to establish some global existence results. For simplicity, we take M D T n . Proposition 9.8. Consider the equation (9.47)

X @u D @j Ajk .t; x; u/ @k u; @t

u.0/ D f:

Assume this is a scalar parabolic equation, so ajk D Ajk .t; x; u/ satisfies (9.2), with j D j .u/. Then the solution guaranteed by Proposition 8.4 exists for all t > 0.

404 15. Nonlinear Parabolic Equations

Proof. An L1 -bound on u.t/ follows from the maximum principle, and then (9.46) gives a C r -bound on u.t/, for some r > 0. Hence global existence follows from Proposition 8.4. Let us also consider the parabolic analogue of the PDE (10.1) of Chap. 14, namely, (9.48)

X @u D Ajk .ru/ @j @k u; @t

u.0/ D f;

with Ajk .p/ D Fpj pk .p/:

(9.49)

Again assume u is scalar. Also, for simplicity, we take M D T n . We make the hypothesis of uniform ellipticity: X (9.50) A1 jj2  Fpj pk .p/j k  A2 jj2 ; with 0 < A1 < A2 < 1. Then Proposition 8.2 applies, given f 2 H s .M /, s > n=2 C 1. Furthermore, u` D @` u satisfies (9.51)

X @u` D @j Ajk .ru/ @k u` ; @t

u` .0/ D f` D @` f:

The maximum principle applies to both (9.48) and (9.51). Thus, given u 2 C.Œ0; T ; H s / \ C 1 ..0; T /  M /, (9.52)

ju.t; x/j  kf kL1 ;

ju` .t; x/j  kf` kL1 ;

0  t < T:

Now the Nash–Moser theory applies to (9.51), to yield (9.53)

ku` .t; /kC r .M /  K;

0  t < T;

for some r > 0, as long as the ellipticity hypothesis (9.50) holds. Hence again we can apply Proposition 8.4 to obtain global solvability: Theorem 9.9. If F .p/ satisfies (9.50), then the scalar equation (9.48) has a solution for all t > 0, given f 2 H s .M /; s > n=2 C 1. Parallel to the extension of estimates for solutions of Lu D 0 to the case Lu D f made in Theorem 9.6 of Chap. 14, there is an extension of Theorem 9.6 of this chapter to the case (9.54) where L has the form (9.1).

@u D Lu C f; @t

9. Quasi-linear parabolic equations III (Nash–Moser estimates)

405

Theorem 9.10. Assume u is a real-valued solution to (9.54) on I  , with (9.55)

sup kf .t/kLp .M /  K0 ;

p>

t 2I

n : 2

Then u continues to satisfy an estimate of the form (9.43), with C also depending on K0 . It is possible to modify the proof of Theorem 9.6 in Chap. 14 to establish this. Other approaches can be found in [LSU] and [Kry]. We omit details. With this, we can extend the existence theory for (9.47) to scalar equations of the form (9.56)

X @u D @j Ajk .t; x; u/ @k u C '.u/; @t

u.0/ D f:

An example is the equation (9.57)

X @ @u D @t @xj j



@u u C u.1  u/; @xj

u.0/ D f;

the multidimensional case of the equation (7.63) for a model of population growth. We have the following result: Proposition 9.11. Assume the equation (9.56) satisfies the parabolicity condition (9.2), with j D j .u/. Suppose we have a1 < a2 in R, with '.a1 /  0; '.a2 /  0. If f 2 C 1 .M/ takes values  in the interval Œa1 ; a2 , then (9.56) has a unique solution u 2 C 1 Œ0; 1/  M . Proof. The local solution u 2 C 1 .Œ0; T /  M / given by Proposition 8.3 has the property that (9.58)

u.t; x/ 2 Œa1 ; a2 ;

8 t 2 Œ0; T /; x 2 M:

With this L1 -bound, we deduce a C r -bound on u.t/, from Theorem 9.10, and hence the continuation of u beyond t D T , for any T < 1. To see that (9.58) holds, we could apply a maximum-principle-type argument. Alternatively, we can extend the Trotter product formula of  5 to treat timedependent operators, replacing L by L.t/. Then, for t 2 Œ0; T /, (9.59)

u.t/ D lim S.t; tn1 /F t =n    S.t1 ; 0/F t =n f; n!1

where tj D .j=n/t; S.t; s/ is the solution operator to (9.60)

X   @v D @j Ajk t; x; u.t; x/ @k v; @t

S.t; s/v.s/ D v.t/;

406 15. Nonlinear Parabolic Equations

and F t is the flow on R generated by ', viewed as a vector field on R. In this case, F t =n and S.tj C1 ; tj / both preserve the class of smooth functions with values in Œa1 ; a2 . We see that Proposition 9.11 applies to the population growth model (9.57) whenever a1 2 .0; 1 and a2 2 Œ1; 1/. We now mention some systems for which global existence can be proved via Theorems 9.6–9.10. Keeping M D T n , let u D .u1 ; : : : ; u` / take values in R` , and consider (9.61)

n X @u @u  @  D D.u/ C X.u/; @t @xj @xj

u.0/ D f;

j D1

where X is a vector field in R` and D.u/ is a diagonal `  ` matrix, with diagonal entries dk 2 C 1 .R` / satisfying dk .u/ > 0;

(9.62)

8 u 2 R` :

We have the following; compare with Proposition 4.4. Proposition 9.12. Assume there is a family of rectangles (9.63)

Kt D fv 2 R` W aj .t/  vj  bj .t/; 1  j  `g

such that FXt .Ks /  KsCt ;

(9.64)

s; t 2 RC ;

where FXt is the flow on R` generated by X . If f 2 C 1 .M / takes values in K0 , then, under the hypothesis (9.62) on the diagonal matrix D.u/, the system (9.61) has a solution for all t 2 RC , and u.t; x/ 2 Kt . Proof. Using a product formula of the form (9.59), where S.t; s/ is the solution operator to (9.65)

n X @v @v  @  D D.u/ ; @t @xj @xj

S.t; s/v.s/ D v.t/;

j D1

and F t D FXt , we see that if u is a smooth solution to (9.61) for t 2 Œ0; T /, then u.t; x/ 2 Kt for all .t; x/ 2 Œ0; T /  M , provided f .x/ 2 K0 for all x 2 M . This gives an L1 -bound on u.t/. Now, for 1  k  `, regard each uk as a solution to the nonhomogeneous scalar equation (9.66)

X @  @uk @uk  D dk .u/ C Fk ; @t @xj @xj j

  Fk .t; x/ D Xk u.t; x/ :

References

407

We can apply Theorem 9.10 to obtain H¨older estimates on each uk . Thus the solution continues past t D T , for any T < 1.

Exercises 1. Show that the scalar equation (9.56) has a solution for all t 2 Œ0; 1/ provided there exist C; M 2 .0; 1/ such that u  M ) '.u/  C u;

u  M ) '.u/  C juj:

2. Formulate and establish generalizations to appropriate quasi-linear equations of results in Exercises 2–6 of  4, on reaction-diffusion equations. 3. Reconsider (7.68), namely, (9.67)

@u D .1 C u2x /1 uxx ; @t

u.0; x/ D f .x/:

p Demonstrate global solvability, without the hypothesis jf 0 .x/j  b < 1=3. More generally, solve (7.65), under only the first of the two hypotheses in (7.66).

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[Tay] M. Taylor, Pseudodifferential Operators and Nonlinear PDE, Birkh¨auser, Boston, 1991. [Tro] A. Tromba, Teichmuller Theory in Riemannian Geometry, ETH Lectures in Math., Birkh¨auser, Basel, 1992. [Tso] K. Tso, Deforming a hypersurface by its Gauss–Kronecker curvature, CPAM 38(1985), 867–882. [Wan] W.-P. Wang, Multiple impulse solutions to McKean’s caricature of the nerve equation, CPAM 41(1988), 71–103; 997–1025. [Ye] R. Ye, Global existence and convergence of Yamabe flow, J. Diff. Geom. 39(1994), 35–50.

16 Nonlinear Hyperbolic Equations

Introduction Here we study nonlinear hyperbolic equations, with emphasis on quasi-linear systems arising from continuum mechanics, describing such physical phenomena as vibrating strings and membranes and the motion of a compressible fluid, such as air. Sections 1–3 establish the local solvability for various types of nonlinear hyperbolic systems, following closely the presentation in [Tay]. At the end of  1 we give some examples of some equations for which smooth solutions break down in finite time. In one case, there is a weak solution that persists, with a singularity. This is explored more fully later in the chapter. In  4 we prove the Cauchy–Kowalewsky theorem, in the nonlinear case, using the method of Garabedian [Gb2] to transform the problem to a quasi-linear, symmetric hyperbolic system. In  5 we derive the equations of ideal compressible fluid flow and discuss some classical results of Bernoulli, Kelvin, and Helmholtz regarding the significance of the vorticity of a fluid flow. In  6 we begin the study of weak solutions to quasi-linear hyperbolic systems of conservation law type, possessing singularities called shocks. Section 6 is devoted to scalar equations, for which there is a well-developed theory. We then study k  k systems of conservation laws, with k  2, in  7–10, restricting attention to the case of one space variable. Section 7 is devoted to the “Riemann problem,” in which piecewise-constant initial data are given. Section 8 discusses the role of “entropy” and of “Riemann invariants” for systems of conservation laws. These concepts are used in  9, where we establish a result of R. DiPerna [DiP4] on the global existence of entropy-satisfying weak solutions for a class of 2  2 systems, in one space variable. The first nonlinear hyperbolic system we derived, in  1 of Chap. 2, was the system for vibrating strings. We return to this in  10. Far from setting down a definitive analysis, we make note of some further subtleties that arise in the study

M.E. Taylor, Partial Differential Equations III: Nonlinear Equations, Applied Mathematical Sciences 117, DOI 10.1007/978-1-4419-7049-7 4, c Springer Science+Business Media, LLC 1996, 2011 

413

414 16. Nonlinear Hyperbolic Equations

of vibrating strings, giving rise to problems that have by no means been overcome. This starkly illustrates that in the study of nonlinear hyperbolic equations, a great deal remains to be done.

1. Quasi-linear, symmetric hyperbolic systems In this section we examine existence, uniqueness, and regularity for solutions to a system of equations of the form (1.1)

@u D L.t; x; u; Dx /u C g.t; x; u/; @t

u.0/ D f:

We derive a short-time existence theorem under the following assumptions. We suppose that X (1.2) L.t; x; u; Dx /v D Aj .t; x; u/ @j v j

and that each Aj is a K  K matrix, smooth in its arguments, and furthermore symmetric: Aj D Aj :

(1.3)

We suppose g is smooth in its arguments, with values in RK I u D u.t; x/ takes values in RK . We then say (1.1) is a symmetric hyperbolic system. For simplicity, we suppose x 2 M D T n , though any compact manifold M can be treated with minor modifications, as can the case M D Rn . We will suppose f 2 H k .M /; k > n=2 C 1. Our strategy will be to obtain a solution to (1.1) as a limit of solutions u" to (1.4)

@u" D J" L" J" u" C g" ; @t

u" .0/ D f;

where (1.5)

L" v D

X

Aj .t; x; J" u" / @j v

j

and (1.6)

g" D J" g.t; x; J" u" /:

In (1.4), f might also be replaced by J" f , though this is not crucial. Here, fJ" W 0 < "  1g is a Friedrichs mollifier. For M D T n , we can define J" by a Fourier series representation:

1. Quasi-linear, symmetric hyperbolic systems



(1.7)

 J" v O.`/ D '."`/v.`/; O

415

` 2 Zn ;

given ' 2 C01 .Rn /, real-valued, '.0/ D 1. For any " > 0, (1.4) can be regarded as a system of ODEs for u" , for which we know there is a unique solution, for t close to 0. Our task will be to show that the solution u" exists for t in an interval independent of " 2 .0; 1 and has a limit as " & 0 solving (1.1). To do this, we estimate the H k -norm of solutions to (1.4). We begin with (1.8)

d kD ˛ u" .t/k2L2 D 2.D ˛ J" L" J" u" ; D ˛ u" / C 2.D ˛ g" ; D ˛ u" /: dt

Since J" commutes with D ˛ and is self-adjoint, we can write the first term on the right as (1.9)

2.L" D ˛ J" u" ; D ˛ J" u" / C 2.ŒD ˛ ; L" J" u" ; D ˛ J" u" /:

To estimate the first term in (1.9), note that, by the symmetry hypothesis (1.3), .L" C L" /v D 

(1.10)

X

Œ@j Aj .t; x; J" u" /v;

j

so we have (1.11)

  2.L" D ˛ J" u" ; D ˛ J" u" /  C kJ" u" .t/kC 1 kD ˛ J" u" k2L2 :

Next, consider (1.12)

ŒD ˛ ; L" v D

 X D ˛ .Aj" @j v/  Aj" D ˛ .@j v/ ; j

where Aj" D Aj .t; x; J" u" /. By the Moser estimates from Chap. 13,  3 (see Proposition 3.7 there), we have (1.13)  X kŒD ˛ ; L" vkL2  C kAj" kH k k@j vkL1 C krAj" kL1 k@j vkH k1 ; j

provided j˛j  k. We use this estimate with v D J" u" . We also use the estimate (1.14)

   kAj .t; x; J" u" /kH k  Ck kJ" u" kL1 1 C kJ" u" kH k ;

which follows from Proposition 3.9 of Chap. 13. This gives us control over the terms in (1.9), hence of the first term on the right side of (1.8). Consequently, we obtain an estimate of the form (1.15)

   d ku" .t/k2H k  Ck kJ" u" .t/kC 1 1 C kJ" u" .t/k2H k : dt

416 16. Nonlinear Hyperbolic Equations

This puts us in a position to prove the following: Lemma 1.1. Given f 2 H k ; k > n=2 C 1, the solution to (1.4) exists for t in an interval I D .A; B/, independent of ", and satisfies an estimate ku" .t/kH k  K.t/;

(1.16)

t 2 I;

independent of " 2 .0; 1. Proof. Using  the Sobolev  imbedding theorem, we can dominate the right side of (1.15) by E ku" .t/k2H k , so ku" .t/k2H k D y.t/ satisfies the differential inequality (1.17)

dy  E.y/; dt

y.0/ D kf k2H k :

Gronwall’s inequality yields a function K.t/, finite on some interval Œ0; B/, giving an upper bound for all y.t/ satisfying (1.17). Using time-reversibility of the class of symmetric hyperbolic systems, we also get a bound K.t/ for y.t/ on an interval .A; 0. This I D .A; B/ and K.t/ work for (1.16). We are now prepared to establish the following existence result: Theorem 1.2. Provided (1.1) is symmetric hyperbolic and f 2 H k .M /, with k > n=2 C 1, then there is a solution u, on an interval I about 0, with (1.18)

u 2 L1 .I; H k .M // \ Lip.I; H k1 .M //:

Proof. Take the I above and shrink it slightly. The bounded family u" 2 C.I; H k / \ C 1 .I; H k1 / will have a weak limit point u satisfying (1.18). Furthermore, by Ascoli’s theorem, there is a sequence (1.19)

u" ! u in C.I; H k1 .M //;

since the inclusion H k  H k1 is compact. Also, by interpolation inequalities, fu" W 0 < "  1g is bounded in C  .I; H k .M // for each  2 .0; 1/, so since the inclusion H k ,! C 1 .M / is compact for small  > 0 if k > n=2 C 1, we can arrange that (1.20)

u" ! u in C.I; C 1 .M //:

1. Quasi-linear, symmetric hyperbolic systems

417

Consequently, with " D " , (1.21)

J" L.t; x; J" u" ; D/J" u" C J" g.t; x; J" u" / ! L.t; x; u; D/u C g.t; x; u/

in C.I  M /;

while clearly @u" =@t ! @u=@t weakly. Thus (1.1) follows in the limit from (1.4). Let us also note that, with y.t/ D ku" .t/k2H k , we have, by (1.15), (1.22)

dy  a.t/y C a.t/; dt

  a.t/ D Ck kJ" u" .t/kC 1 ;

so Z t   y.t/  e b.t / y.0/ C a.s/e b.s/ ds ;

(1.23)

0

Rt

with b.t/ D 0 a.s/ ds. It follows that we have fu" W 0 < "  1g bounded in C.I; H k / \ Lip.I; H k1 /, as long as k > n=2 C 1, with convergence (1.19)–(1.21). A careful study of the estimates shows that I can be taken to be independent of k (provided k > 12 n C 1). In fact, a stronger result will be established in Proposition 1.5. There are questions of the uniqueness, stability, and rate of convergence of u" to u, which we can treat simultaneously. Thus, with " 2 Œ0; 1, we compare a solution u to (1.1) with a solution u" to (1.24)

@u" D J" L.t; x; J" u" ; D/J" u" C J" g.t; x; J" u" /; @t

u" .0/ D h:

Set v D u  u" , and subtract (1.24) from (1.1). Suppressing the variables .t; x/, we have (1.25)

@v D L.u; D/v C L.u; D/u"  J" L.J" u" ; D/J" u" C g.u/  J" g.J" u" /: @t

Write

(1.26)

L.u; D/u"  J" L.J" u" ; D/J" u"   D L.u; D/  L.u" ; D/ u" C .1  J" /L.u" ; D/u" C J" L.u" ; D/.1  J" /u"   C J" L.u" ; D/  L.J" u" ; D/ J" u" ;

and (1.27)

g.u/  J" g.J" u" / D Œg.u/  g.u" / C .1  J" /g.u" / C J" Œg.u" /  g.J" u" /:

418 16. Nonlinear Hyperbolic Equations

Now write g.u/  g.w/ D G.u; w/.u  w/; Z 1   g 0 u C .1  /w d ; G.u; w/ D

(1.28)

0

and similarly (1.29)

L.u; D/  L.w; D/ D .u  w/  M.u; w; D/:

Then (1.25) yields (1.30)

@v D L.u; D/v C A.u; u" ; ru" /v C R" ; @t

where (1.31)

A.u; u" ; ru" /v D v  M.u; u" ; D/u" C G.u; u" /v

incorporates the first terms on the right sides of (1.26) and (1.27), and R" is the sum of the rest of the terms in (1.26) and (1.27). Note that each term making up R" has as a factor I  J" , acting on either u" ; g.u" /, or L.u" ; D/u" . Thus there is an estimate    (1.32) kR" .t/k2L2  Ck ku" .t/kC 1 1 C ku" .t/k2H k rk ."/2 ; where (1.33)

rk ."/ D kI  J" kL.H k1 ;L2 /  kI  J" kL.H k ;H 1 / :

Now, estimating .d=dt/kv.t/k2L2 via the obvious analogue of (1.8)–(1.15) yields (1.34)

d kv.t/k2L2  C.t/kv.t/k2L2 C S.t/; dt

with (1.35)

  C.t/ D C ku" .t/kC 1 ; ku.t/kC 1 ;

S.t/ D kR" .t/k2L2 :

Consequently, by Gronwall’s inequality, with K.t/ D (1.36)

Rt 0

C./ d ,

Z t   kv.t/k2L2  e K.t / kf  hk2L2 C S./e K./ d  ; 0

for t 2 Œ0; B/. A similar argument with time reversed covers t 2 .A; 0, and we have the following:

1. Quasi-linear, symmetric hyperbolic systems

419

Proposition 1.3. For k > n=2 C 1, solutions to (1.1) satisfying (1.18) are unique. They are limits of solutions u" to (1.4), and, for t 2 I , (1.37)

ku.t/  u" .t/kL2  K1 .t/kI  J" kL.H k1 ;L2 / :

Note that if J" is defined by (1.7) and './ D 1 for jj  1, we have the operator norm estimate (1.38)

kI  J" kL.H k1 ;L2 /  C "k1 :

Returning to properties of solutions of (1.1), we want to establish the following small but nice improvement of (1.18): Proposition 1.4. Given f 2 H k ; k > n=2 C 1, the solution u to (1.1) satisfies (1.39)

u 2 C.I; H k /:

For the proof, note that (1.18) implies that u.t/ is a continuous function of t with values in H k .M /, given the weak topology. To establish (1.39), it suffices to demonstrate that the norm ku.t/kH k is a continuous function of t. We estimate the rate of change of ku.t/k2H k by a device similar to the analysis of (1.8). Unfortunately, it is not useful to look directly at .d=dt/kD ˛ u.t/k2L2 when j˛j D k, since LD ˛ u may not be in L2 . To get around this, we throw in a factor of J" , and for j˛j  k look at

(1.40)

  d kD ˛ J" u.t/k2L2 D 2 D ˛ J" L.u; D/u; D ˛ J" u dt   C 2 D ˛ J" g.u/; D ˛ J" u :

As above, we have suppressed the dependence on .t; x/, for notational convenience. The last term on the right is easy to estimate; we write the first term as (1.41) 2.D ˛ L.u; D/u; D ˛ J"2 u/ D 2.LD ˛ u; D ˛ J"2 u/ C 2.ŒD ˛ ; Lu; D ˛ J"2 u/: Here, for fixed t; L.u; D/D ˛ u 2 H 1 .M /, which can be paired with D ˛ J"2 u 2 C 1 .M /. We still have the Moser-type estimate (1.42)

kŒD ˛ ; LukL2  C kAj .u/kH k kukC 1 C C kAj .u/kC 1 kukH k ;

parallel to (1.13), which gives control over the last term in (1.41). We can write the first term on the right side of (1.41) as (1.43)

    .L C L /D ˛ J" u; D ˛ J" u C 2 ŒJ" ; LD ˛ u; D ˛ u :

420 16. Nonlinear Hyperbolic Equations

The first term is bounded just as in (1.10)–(1.11). As for the last term, we have (1.44)

ŒJ" ; Lw D

X ŒAj .u/; J"  @j w: j

Now the nature of J" as a Friedrichs mollifier implies the estimate (1.45)

kŒAj ; J" @j wkL2  C kAj kC 1 kwkL2 I

see Chap. 13,  1, Exercises 1–3. Consequently, we have a bound (1.46)

  d kJ" u.t/k2H k  C ku.t/kC 1 ku.t/k2H k ; dt

the right side being independent of " 2 .0; 1. This, together with the same analysis with time reversed, shows that kJ" u.t/k2H k D N" .t/ is Lipschitz continuous in t, uniformly in ". As J" u.t/ ! u.t/ in H k -norm for each t 2 I , it follows that ku.t/k2H k D N0 .t/ D lim N" .t/ has this same Lipschitz continuity. Proposition 1.4 is proved. Unlike the linear case, nonlinear hyperbolic equations need not have smooth solutions for all t. We will give some examples at the end of this section. Here we will show, following [Mj], that in a general context, the breakdown of a classical solution must involve a blow-up of either supx ju.t; x/j or supx jrx u.t; x/j.   Proposition 1.5. Suppose u 2 C Œ0; T /; H k .M / ; k > n=2 C 1 (n D dim M ), and assume u solves the symmetric hyperbolic system (1.1) for t 2 .0; T /. Assume also that (1.47)

ku.t/kC 1 .M /  K < 1;

for t 2 Œ0; T /. Then there exists T 1 > T such that u extends to a solution to (1.1),  belonging to C Œ0; T1 /; H k .M / . We remark that, if Aj .t; x; u/ and g.t; x; u/ are C 1 in a region R  M  , rather than in all of R  M  RK , we also require (1.48)

u.t; x/  1  ; for t 2 Œ0; T /:

Proof. This follows easily from the estimate (1.46). As noted above, with N" .t/ D kJ" u.t/k2H k , we have N" .t/ ! N0 .t/ D ku.t/k2H k pointwise as " ! 0, and (1.46) takes the form dN" =dt  C1 .t/N0 .t/. If we write this in an equivalent integral form: Z (1.49)

N" .t C /  N" .t/ C

t C t

C1 .s/N0 .s/ ds;

1. Quasi-linear, symmetric hyperbolic systems

421

it is clear that we can pass to the limit " ! 0, obtaining the differential inequality dN 0  C.ku.t/kC 1 /N0 .t/ dt

(1.50)

for the Lipschitz function N0 .t/. Now Gronwall’s inequality implies that N0 .t/ cannot blow up as t % T unless ku.t/kC 1 does, so we are done. One consequence of this is local existence of C 1 -solutions: Corollary 1.6. If (1.1) is a symmetric hyperbolic system and f 2 C 1 .M /, then there is a solution u 2 C 1 .I  M /, for an interval I about 0. Proof. Pick k > n=2 C 1, and apply Theorem 1.2 (plus Proposition 1.4) to get a solution u 2 C.I; H k .M //. We can also apply these results with f 2 H ` .M /, for ` arbitrarily large, together with uniqueness, to get u 2 C.J; H ` .M //, for some interval J about 0, but possibly J is smaller than I . But then we can use Proposition 1.5 (for both forward and backward time) to obtain u 2 C.I; H ` .M //. This holds, for fixed I , and for arbitrarily large `. From this it easily follows that u 2 C 1 .I  M /. We make some complementary remarks on results that can be obtained from the estimates derived in this section. In particular, the arguments above hold when Aj .t; x; u/ and g.t; x; u/ have only H k -regularity in the variables .x; u/, as long as k > n=2 C 1. This is of interest even in the linear case, so we record the following conclusion: Proposition 1.7. Given Aj .t; x/ and g.t; x/ in C.I; H k .M //; k > Aj D Aj , the initial-value problem (1.51)

X @u D Aj .t; x/ @j u C g.t; x/; @t

1 n 2

C 1;

u.0/ D f 2 H k .M /;

j

has a unique solution in C.I; H k .M //. In some approaches to quasi-linear equations, this result is established first and used as a tool to solve (1.1), via an iteration of the form (1.52)

X @ uC1 D Aj .t; x; u / @j uC1 C g.t; x; u /; @t

uC1 .0/ D f;

j

beginning, say, with u0 .t/ D f . Then one’s task is to show that fu g converges, at least on some interval I about t D 0, to a solution to (1.1). For details on this approach, see [Mj1]; see also Exercises 3–6 below. The approach used to prove Theorem 1.2 has connections with numerical methods used to find approximate solutions to (1.1). The approximation (1.4)

422 16. Nonlinear Hyperbolic Equations

is a special case of what are sometimes called Galerkin methods. Estimates established above, particularly Proposition 1.3, thus provide justification for some classes of Galerkin methods. For nonlinear hyperbolic equations, short-time, smooth solutions might not extend to solutions defined and smooth for all t. We mention two simple examples of equations whose classical solutions break down in finite time. First consider (1.53)

@u D u2 ; @t

u.0; x/ D 1:

The solution is (1.54)

u.t; x/ D

1 ; 1t

for t < 1, which blows up as t % 1. The second example is (1.55)

ut C uux D 0;

2

u.0; x/ D e x :

Writing the equation as (1.56)

@ @  Cu u D 0; @t @x

we see that u.t; x/ is constant on straight lines through .x; 0/, with slope u.0; x/1 , in the .x; t/-plane, as illustrated in Fig. 1.1. The line through .0; 0/ has slope 1, and that through .1; 0/ has slope e; these lines must intersect, and by that time the classical solution must break down. In this second example, u.t; x/ does not become unbounded, but it is clear that supx jux .t; x/j does. As we will discuss further in  7, this provides an example of the formation of a shock wave. A detailed study of breakdown mechanisms is given in [Al].

F IGURE 1.1 Crossing Characteristics

Exercises

423

Exercises 1. Establish the results of this section when M is any compact Riemannian manifold, by the following route. Let fXj W 1  j  N g be a finite collection of smooth vector fields that span the tangent space Tx M for each x. With J D .j1 ; : : : ; jk /, set X J D Xj1    Xjk ; set jJ j D k. Also set X ; D I; j;j D 0. Then use the square norm kuk2H k D

X jJ jk

kX J uk2L2 :

Also, let J" D e " . To establish an analogue of (1.15), it will be useful to have ŒX J ; J"  bounded in OPSk1 1;0 .M /; for jJ j D k; " 2 .0; 1: 2. Consider a completely nonlinear system @u D F .t; x; u; rx u/; @t

(1.57)

u.0/ D f:

Suppose u takes values in RK . Form a first-order system for .v0 ; v1 ; : : : ; vn / D .u; @1 u; : : : ; @n u/:

(1.58)

@v0 D F .t; x; v/; @t n X @vj .@v` F /.t; x; v/ @` vj C .@xj F /.t; x; v/; D @t

1  j  n;

`D1

with initial data v.0/ D .f; @1 f; : : : ; @n f /: We say (1.57) is symmetric hyperbolic if each @v` F is a symmetric K  K matrix. Apply methods of this section to (1.58), and then show that (1.57) has a unique solution u 2 C.I; H k .M //, given f 2 H k .M /; k > n=2 C 2. Exercises 3–6 sketch how one can use a slight extension of Proposition 1.7 to show that the iterative method (1.52) yields u converging for jtj small to a solution to the quasi-linear PDE (1.1). Assume f 2 H k .M /; k > n=2 C 1. 3. Extend Proposition 1.7, by taking f 2 H ` , and g 2 C.I; H ` /, for ` 2 Œ0; k (while keeping Aj 2 C.I; H k / and k > n=2 C 1), and obtaining u 2 C.I; H ` /. 4. Granted Proposition 1.7, show that fu g is bounded in C.I; H k .M //, after possibly shrinking I . (Hint: Produce an estimate of the form Z t n o Z t  2 2 ' ./ d  exp kuC1 .t/kH k  kf kH k C  .s/ ds ; 0

where ' .s/ D '.ku .s/kH k / and inequality.) 5. Derive an estimate of the form

 .s/

0

D

.ku .s/kH k /. Then apply Gronwall’s

kuC1 .t/  u .t/k2H k1  Ajtj sup ku .s/  u1 .s/k2H k1 ; s2Œ0;t 

424 16. Nonlinear Hyperbolic Equations

6. 7.

8.

9.

for t 2 I , and deduce that fu g is Cauchy in C.I; H k1 .M //, after possibly further shrinking I . (Hint: With w D uC1  u , look at a linear hyperbolic equation for w and apply the extension of Proposition 1.7 to it, with ` D k  1:) Deduce that fu g has a limit u 2 C.I; H k1 .M // \ L1 .I; H k .M //, solving (1.1). Suppose u1 and u2 are sufficiently smooth solutions to (1.1), with initial data uj .0/ D fj . Assume (1.1) is symmetric hyperbolic. Produce a linear, symmetric hyperbolic equation satisfied by u1  u2 . If f1 D f2 on an open set O  M , deduce that u1 D u2 on a certain subset of R  M , thus obtaining a finite propagation speed result, as a consequence of the finite propagation speed for solutions to linear hyperbolic systems, established via (5.26)–(5.34) of Chap. 6. Obtain a smooth solution to (1.1) on a neighborhood of f0g  M in R  M when f 2 C 1 .M / and M is any open subset of Rn . (Hint: To get a solution to (1.1) on a neighborhood of .0; x0 /, identify some neighborhood of x0 in M with an open set in T n and modify (1.1) to a PDE for functions on R  T n . Make use of finite propagation speed to solve the problem.) Let T be the largest positive number such that (1.55) has a smooth solution for 0  t < T . Show that, in this example, ku.t/kC 1=3 .R/  K < 1; for 0  t < T :

(Hint: For s D T  t % 0, consider similarities of the graph of x 7! u.t; x/ D y with the graph of x D y 3  sy:) 10. Show that the rays in Fig. 1.1 are given by   2 ˆ.x; t/ D x C te x ; t ; and deduce that T in Exercise 9 is given by r e T D : 2 11. Consider a semilinear, hyperbolic system (1.59)

@u D Lu C g.u/; @t

u.0/ D f:

Paralleling the  results of Proposition 1.5, show that solutions in the space  C I; H k .M / , k > n=2, persist as long as one has a bound (1.60)

ku.t/kL1 .M /  K < 1;

t 2 I:

In Exercises 12–14, we consider the semilinear system (1.59), under the following hypothesis: (1.61)

g.0/ D 0;

jg 0 .u/j  C:

For simplicity, take M D T n . 12. Let u" be a solution to an approximating equation, of the form (1.62)

@u" D J" LJ" u" C J" g.J" u" /; @t

u" .0/ D f:

2. Symmetrizable hyperbolic systems

425

Show that d ku" k2L2  C ku" k2L2 ; dt

d kru" k2L2  C kru" k2L2 : dt

Deduce that, for any " > 0, (1.62) has a solution, defined for all t 2 R, and, for any compact I  R, we have     u" bounded in L1 I; H 1 .M / \ Lip I; L2 .M / : 1 13. Deduce that, passing to a subsequence u"k , we have a limit point u 2 L1 loc .R; H .M // 2 \ Liploc .R; L .M //, such that   u"k ! u in C I; L2 .M /

  in norm, for all compact I  R; hence g.J"k u"k / ! g.u/ in C R; L2 .M / , and u solves (1.59). Examine the issue of uniqueness. Remark: This result appears in [JMR]. The proof there uses the iterative method (1.52). 14. If dim M D 1, combine the results of Exercises 11 and 13 to produce a global smooth solution to (1.59), under the hypothesis (1.61), given f 2 C 1 .M / and g smooth. Remark: If dim M is large, the global smoothness of u is open. For some results, see [BW].

2. Symmetrizable hyperbolic systems The results of the previous section extend to the case (2.1)

A0 .t; x; u/

n X @u D Aj .t; x; u/ @j u C g.t; x; u/; @t

u.0/ D f;

j D1

where, as in (1.3), all Aj are symmetric, and furthermore A0 .t; x; u/  cI > 0:

(2.2) We have the following:

Proposition 2.1. Given f 2 H k .M /; k > n=2C1, the existence and uniqueness results of  1 continue to hold for (2.1). We obtain the solution u to (2.1) as a limit of solutions u" to (2.3)

A0 .t; x; J" u" /

@u" D J" L" J" u" C g" ; @t

u" .0/ D f;

where L" and g" are as in (1.5)–(1.6). We need to parallel the estimates of  1, particularly (1.8)–(1.15). The key is to replace the L2 -inner products by

426 16. Nonlinear Hyperbolic Equations

(2.4)



w; A0" .t/w

 L2

;

A0" .t/ D A0 .t; x; J" u" /;

which by hypothesis (2.2) will define equivalent L2 norms. We have

(2.5)

   d  ˛ D u" ; A0" .t/D ˛ u" D 2 D ˛ .@u" =@t/; A0" .t/D ˛ u" dt   C D ˛ u" ; A00" .t/D ˛ u" :

Here and below, the L2 -inner product is understood. The first term on the right side of (2.5) can be written as (2.6)

    2 D ˛ A0" @t u" ; D ˛ u" C 2 ŒD ˛ ; A0" @t u" ; D ˛ u" I

in the first of these terms, we replace A0" .@u" =@t/ by the right side of (2.3), and estimate the resulting expression by the same method as was applied to the right side of (1.8) in  1. The commutator ŒD ˛ ; A0"  is amenable to a Moser-type estimate parallel to (1.12); then substitute for @u" =@t; A1 0" times the right side of (2.3), and the last term in (2.6) is easily estimated. It remains to treat the last term in (2.5). We have A00" .t/ D

(2.7)

d A0 .t; x; J" u" .t; x//; dt

hence (2.8)

  kA00" .t/kL1  C kJ" u" .t/kL1 ; kJ" u0" .t/kL1 :

Of course, k@u" =@tkL1 can be estimated by ku" .t/kC 1 , due to (2.3). Consequently, we obtain an estimate parallel to (1.15), namely (2.9)

   d X .D ˛ u" ; A0" D ˛ u" /  Ck ku" .t/kC 1 1 C kJ" u" .t/k2H k : dt j˛jk

From here, the rest of the parallel with  1 is clear. The class of systems (2.1), with all Aj D Aj and A0  cI > 0, is an extension of the class of symmetric hyperbolic systems. We call a system (2.10)

n X @u D Bj .t; x; u/ @j u C g.t; x; u/; @t

u.0/ D f;

j D1

a symmetrizable hyperbolic system provided there exist A0 .t; x; u/, positivedefinite, such that A0 .t; x; u/Bj .t; x; u/ D Aj .t; x; u/ are all symmetric. Then applying A0 .t; x; u/ to (2.10) yields an equation of the form (2.1) (with different g and f ), so the existence and uniqueness results of  1 hold. The factor A0 .t; x; u/ is called a symmetrizer.

2. Symmetrizable hyperbolic systems

427

An important example of such a situation is provided by the equations of compressible fluid flow:

(2.11)

1 @v C rv v C grad p D 0; @t  @ C rv  C  div v D 0: @t

Here v is the velocity field of a fluid of density  D .t; x/. We consider the model in which p is assumed to be a function of . In this situation one says the flow is isentropic. A particular example is (2.12)

p./ D A  ;

with A > 0; 1 < < 2; for air, D 1:4 is a good approximation. One calls (2.12) an equation of state. Further discussion of how (2.11) arises will be given in  5. The system (2.11) is not a symmetric hyperbolic system as it stands. However, one can multiply the two equations by b./ D =p 0 ./ and 1 , respectively, obtaining (2.13)

    @ v b./ 0 b./rv grad v D  : 0 1 @t  div 1 rv 

Now (2.13) is a symmetric hyperbolic system of the form (2.1). Recall that (2.14)

.div v; f /L2 D .v; grad f /L2 :

Thus the results of  1 apply to the equation (2.11) for compressible fluid flow, as long as  is bounded away from zero. Another popular form of the equations for compressible fluid flow is obtained by rewriting (2.11) as a system for .p; v/; using (2.12), one has

(2.15)

@p C rv p C . p/ div v D 0; @t @v C rv v C .p/ grad p D 0; @t

where .p/ D 1=.p/ D .A=p/1= . This is also symmetrizable. Multiplying these two equations by . p/1 and .p/, respectively, we can rewrite the system as     @ p . p/1 0 . p/1 rv div p D : 0 .p/ @t v grad .p/rv v See Exercises 3–4 below for another approach to symmetrizing (2.11).

428 16. Nonlinear Hyperbolic Equations

We now introduce a more general notion of symmetrizer, following Lax [L1], which will bring in pseudodifferential operators. We will say that a function R.t; u; x; /, smooth on R  RK  T  M n 0, homogeneous of degree 0 in , is a symmetrizer for (2.10) provided (2.16)

R.t; u; x; / is a positive-definite, K  K matrix

and (2.17)

R.t; u; x; /

X

Bj .t; x; u/j is self-adjoint;

for each .t; u; x; /. We then say (2.10) is symmetrizable. One reason for the importance of this notion is the following: Proposition 2.2. Whenever (2.10) is strictly hyperbolic, it is symmetrizable. Proof. If we denote the eigenvalues of L.t; u; x; / D

P

Bj .t; x; u/j by

1 .t; u; x; / <    < K .t; u; x; /; then the  are well-defined C 1 -functions of .t; u; x; /, homogeneous of degree 1 in . If P .t; u; x; / are the projections onto the  -eigenspaces of L, (2.18)

P D

1 2 i

Z

 1  L.t; u; x; / d ;



then P is smooth and homogeneous of degree 0 in . Then (2.19)

R.t; u; x; / D

X

Pj .t; u; x; / Pj .t; u; x; /

j

gives the desired symmetrizer. We will use results on pseudodifferential operators with nonregular symbols, developed in Chap. 13,  9. Note that (2.20)

0 u 2 C 1Cr H) R 2 C 1Cr Scl ;

where the symbol class on the right is defined as in (9.46) of Chap. 13. Now, with R D R.t; u; x; D/, set (2.21)

QD

1 .R C R / C Kƒ1 ; 2

where K > 0 is chosen so that Q is a positive-definite operator on L2 .

2. Symmetrizable hyperbolic systems

429

We will work with approximate solutions u" to (2.10), given by (1.4), with (2.22)

L" v D

X

Bj .t; x; J" u" / @j v:

j

Given j˛j D k, we want to obtain estimates on .D ˛ u" .t/; Q" D ˛ u" .t//, where Q" arises by the process above, from R" D R.t; J" u" ; x; /. We begin with

(2.23)

 d ˛ D u" ; Q" D ˛ u" dt   D 2 D ˛ @t u" ; Q" D ˛ u" C .D ˛ u" ; Q"0 D ˛ u" /     D 2 Re D ˛ @t u" ; R" D ˛ u" C 2K D ˛ @t u" ; ƒ1 D ˛ u" C 2 Re.D ˛ u" ; R"0 D ˛ u" /:

For the last term, we have the estimate (2.24)

  j.D ˛ u" ; R"0 D ˛ u" /j  C ku" .t/kC 1 ku" .t/k2H k :

We can write the first term on the (far) right side of (2.23) as twice the real part of (2.25)

.R" D ˛ J" L" J" u" ; D ˛ u" / C .R" D ˛ g" ; D ˛ u" :/

The last term has an easy estimate. We write the first term in (2.25) as (2.26)

.R" L" D ˛ J" u" ; D ˛ J" u" / C .R" ŒD ˛ ; L" J" u" ; D ˛ J" u" / C .ŒR" D ˛ ; J" L" J" u" ; D ˛ u" /:

0 Note that as long as (2.20) holds, with r > 0; R" also has symbol in C 1Cr Scl , and we have, by Proposition 9.9 of Chap. 13,

(2.27)

R" D R"# C R"b ;

0 R"# 2 OPS1;ı ;

.1Cr/ı R"b 2 OP C 1Cr S1;ı :

Furthermore, by (9.42) of Chap. 13, (2.28)

0 ; Dx˛ R"# .x; / 2 S1;ı

j˛j D 1

if r > 0. In (2.27) and (2.28) we have uniform bounds for " 2 .0; 1. Take ı close enough to 1 that .1 C r/ı  1. We then have ŒR" ; J"  bounded in L.H 1 ; L2 /, upon applying Proposition 9.10 of Chap. 13 to R"b . Hence we have (2.29)

ŒR" D ˛ ; J"  bounded in L.H k1 ; L2 /;

430 16. Nonlinear Hyperbolic Equations

with bound given in terms of ku" .t/kC 1Cr . Now Moser estimates yield (2.30)

    kL" J" u" kH k1  C ku" kL1 ku" kH k C C ku" kC 1 ku" kH k1 :

Consequently, we deduce (2.31)

ˇ ˇ   ˇ ŒR" D ˛ ; J" L" J" u" ; D ˛ u" ˇ  C ku" .t/kC 1Cr ku" .t/k2 k : H

Moving to the second term in (2.26), note that, for L D (2.32)

ŒD ˛ ; L D

X

P

Bj .t; x; u/ @j ,

ŒD ˛ ; Bj .t; x; u/ @j v:

j

By the Moser estimate, as in (1.13), we have (2.33)

i Xh

˛

ŒD ; Lv 2  C kBj kLip1 kvkH k C kBj kH k kvkLip1 : L j

  Hence the second term in (2.26) is bounded by C ku" kC 1 ku" k2H k . It remains to estimate the first term in (2.26). We claim that   j.R" L" v; v/j  C ku" kC 1 kvk2L2 :

(2.34)

To see this, parallel to (2.27), we can write (2.35)

L" D L#" C Lb" ;

1 L#" 2 OPS1;ı ;

1.1Cr/ı Lb" 2 OP C 1Cr S1;ı ;

and, parallel to (2.28), (2.36)

1 ; Dx˛ L#" .x; / 2 S1;ı

j˛j D 1:

Now, provided .1 C r/ı  1, (2.37)

R" L" D R"# L#" mod L.L2 /

and (2.38)

 # #  0 ; R" L" D R"# L#" mod OPS1;ı

so we have (2.34). Our analysis of (2.23) is complete; we have, for any r > 0, (2.39)

  d .D ˛ u" ; Q" D ˛ u" /  C ku" .t/kC 1Cr ku" .t/k2H k ; dt

j˛j D k:

Exercises

431

From here we can parallel the rest of the argument of  1, to prove the following: Theorem 2.3. If (2.10) is symmetrizable, in particular if it is strictly hyperbolic, the initial-value problem, with u.0/ D f 2 H k .M /, has a unique local solution u 2 C.I; H k .M // whenever k > n=2 C 1. We have the following slightly weakened analogue of the persistence result, Proposition 1.5:   Proposition 2.4. Suppose u 2 C Œ0; T /; H k .M / ; k > n=2 C 1, and assume u solves the symmetrizable hyperbolic system (2.10) for t 2 .0; T /. Assume also that, for some r > 0, ku.t/kC 1Cr .M /  K < 1;

(2.40)

for t 2 Œ0; T /. Then  there exists T1 > T such that u extends to a solution to (2.10), belonging to C Œ0; T1 /; H k .M / . For the proof of this (and also for the proof of the part of Theorem 2.3 asserting that whenever f 2 H k .M /, then u is continuous, not just bounded, in t, with values in H k .M /), one estimates  d ˛ D J" u.t/; QD ˛ J" u.t/ dt in place of (1.40). Then estimates parallel to (2.24)–(2.39) arise, as the reader can verify, yielding the bound (2.41)

   d X ˛ D J" u.t/; QD ˛ J" u.t/  C ku.t/kC 1Cr ku.t/k2H k : dt j˛jk

If we use this in place of (1.46), the proof of Proposition 1.5 can be parallelled to establish Proposition 2.4. It follows that the result given in Corollary 1.6, on the local existence of C 1 solutions, extends to the case of symmetrizable hyperbolic systems (2.10). We mention that actually Proposition 2.4 can be sharpened to the level of Proposition 1.5. In fact, they can both be improved; the norms C 1Cr .M / and C 1 .M / appearing in the statements of these results can be weakened to the Zygmund norm C1 .M /. A proof, which is somewhat more complicated than the proof of the result established here, can be found in Chap. 5 of [Tay].

Exercises 1. Show that, for smooth solutions, (2.11) is equivalent to (2.42)

t C div.v/ D 0; vt C rv v C grad h./ D 0;

432 16. Nonlinear Hyperbolic Equations assuming p D p./. Here, h./ satisfies h0 ./ D 1 p 0 ./: 2. Assume v is a solution to (2.42) of the form v D rx '.t; x/, for some real-valued '. One says v defines a potential flow. Show that if ' and  vanish at infinity appropriately and h.0/ D 0, then (2.43)

1 't C jrx 'j2 C h./ D 0: 2

This is part of Bernoulli’s law for compressible fluid flow. Compare with (5.45). 3. Set m D v, the momentum density. Show that, for smooth solutions, (2.42) is equivalent to (2.44)

t C div m D 0; mt C div.

1

m ˝ m/ C grad p./ D 0:

(Hint: Make use of the identity div.u ˝ v/ D .div v/u C rv u:) 4. Show that a symmetrizer for the system (2.44) is given by ! 1 p 0 ./ C 1 jvj2 v m ; vD :   v t I Reconsider this problem after doing Exercise 4 in  8, in light of formulas (8.26)–(8.29) for one space dimension, and of formula (5.53) in general. 5. Consider the one space variable case of (2.10): (2.45)

ut D B.t; x; u/ux C g.t; x; u/;

u.0/ D f:

Show that if this is strictly hyperbolic, that is, B.t; x; u/ is a K  K matrix-valued function whose eigenvalues  .t; x; u/ are all real and distinct, then (2.45) is symmetrizable in the easy sense defined after (2.10). (Hint: Eliminate the s from the proof of Proposition 2.2.)

3. Second-order and higher-order hyperbolic systems We begin our discussion of second-order equations with quasi-linear systems, of the form X X ut t  Ajk .t; x; D 1 u/ @j @k u  B j .t; x; D 1 u/ @j @t u j j;k (3.1) 1 D C.t; x; D u/: For now, we assume Ajk and B j are scalar, though we allow u to take values in RL . Here D 1 u stands for .u; ut ; rx u/, which we also denote W D .u; u0 ; u1 ; : : : ; un /, so

3. Second-order and higher-order hyperbolic systems

(3.2)

u0 D

@u ; @t

uj D

@u ; @xj

433

1  j  n:

We obtain a first-order system for W , namely

(3.3)

@u D u0 ; @t X X @u0 D Ajk .t; x; W / @j uk C B j .t; x; W / @j u0 C C.t; x; W /; @t @uj D @j u0 ; @t

which is a system of the form (3.4)

X @W D Hj .t; x; W / @j W C g.t; x; W /: @t j

We can apply to each side the matrix 0

1 R D @0

(3.5)

1

0 1

A A1

(tensored with the L  L identity matrix), where A1 is the inverse of the matrix A D .Ajk /. The matrix R is positive-definite as long as A is, that is, as long as A is symmetric and (3.6)

X

Ajk .t; x; W /j k  C jj2 ;

C > 0:

Under this hypothesis, (3.3) is symmetrizable. Consequently we have: Proposition 3.1. Under the hypothesis (3.6), if we pick initial data f 2 H kC1 .M /, g 2 H k .M /; k > n=2 C 1, then (3.1) has a unique local solution (3.7)

    u 2 C I; H kC1 .M / \ C 1 I; H k .M /

satisfying u.0/ D f; ut .0/ D g. Proof. Define W D .u; u0 ; u1 ; : : : ; un /, as the solution to (3.3), with initial data (3.8)

u.0/ D f;

u0 .0/ D g;

uj .0/ D @j f:

By Proposition 2.1, we know that there is a unique local solution W 2 C .I; H k .M //. It remains to show that u possesses all the stated properties. That

434 16. Nonlinear Hyperbolic Equations

u.0/ D f is obvious, and the first line of (3.3) yields ut .0/ D u0 .0/ D g. Also, ut D u0 2 C.I; H k /, which gives part of (3.7). The key to completing the proof is to show that if W satisfies (3.3) with initial data (3.8), then in fact uj D @u=@xj on I  M . To this end, set @u vj D uj  : @xj Since we know that @u=@t D u0 , applying @=@t to each side yields @uj @u0 @vj D  D 0; @t @t @xj by the last line of (3.3). Since uj .0/ D @j u.0/ by (3.8), it follows that vj D 0, so indeed uj D @j u. Then substituting ut for u0 and @j u for uj in the middle line of (3.3) yields the desired equation (3.1) for u. Finally, since uj 2 C.I; H k /, we have rx u 2 C.I; H k /, and consequently u 2 C.I; H kC1 /. As in  1, we first take M D T n . Parallel to Exercise 7 in  1, we can establish a finite propagation speed result and then, as in Exercise 8 of  1, obtain a local solution to (3.1) for other M . We note that (3.6) is stronger than the natural hypothesis of strict hyperbolicity, which is that, for  ¤ 0, the characteristic polynomial (3.9)

2 

X

B j .t; x; W /j  

j

X

Ajk .t; x; W /j k

j;k

has two distinct real roots,  D  .t; W; x; /. However, in the more general strictly hyperbolic case, using Cauchy data to define a Lorentz metric over the initial surface ft D 0g, we can effect a local coordinate change so that, at t D 0, .Ajk / is positive-definite, when the PDE is written in these coordinates, and then the local existence in Proposition 3.1 (and the comment following its proof) applies. Let us reformulate this result, in a more invariant fashion. Consider a PDE of the form X (3.10) ajk .t; x; D 1 u/ @j @k u C F .t; x; D 1 u/ D 0: j;k

We let u take values in RL but assume ajk .t; x; W / is real-valued. Assume the matrix .ajk / has an inverse, .ajk /.   Proposition 3.2. Assume ajk .t; x; W / defines a Lorentz metric on O and S  O is a spacelike hypersurface, on which smooth Cauchy data are given: (3.11)

ˇ uˇS D f;

ˇ Y uˇS D g;

3. Second-order and higher-order hyperbolic systems

435

where Y is a vector field transverse to S . Then the initial-value problem (3.10– 3.11) has a unique smooth solution on some neighborhood of S in O. In Chap. 18 we will apply this result to Einstein’s gravitational equations. We now look at a second-order, quasi-linear, L  L system of the form @2 u X jk  A .x; Dx1 u/ @j @k u D F .x; Dx1 u/; @t 2

(3.12)

j;k

where, for each j; k 2 f1; : : : ; ng; Ajk .x; W / is a smooth, L  L, matrix-valued function satisfying a0 jj2 I 

(3.13)

X

Ajk .x; W /j k  a1 jj2 I;

j;k

for some a0 ; a1 2 .0; 1/. This includes equations of vibrating membranes and elastic solids studied in  1 of Chap. 2. In particular, the condition (3.13) reflects the condition (1.60) of Chap. 2. Note that the system (3.12) might not be strictly hyperbolic. Here, using results of Chap. 13,  10, we will write X

Ajk .x; Dx1 u/ @j @k u  F .x; Dx1 u/

in terms of a paradifferential operator: (3.14)

X

Ajk .t; x; Dx1 u/ @j @k u  F .x; Dx1 u/ D M.uI x; D/u C R.u/;

j;k

where R.u/ 2 C 1 and (parallel to (8.20) of Chap. 15) if r > 0, (3.15)

2 1r u 2 C 2Cr H) M.uI x; / 2 A1Cr S1;1 C S1;1 : 0

Thus, given ı 2 .0; 1/, we can use the symbol-smoothing process as in (10.101)– (10.104) of Chap. 13 to write (3.16)

M.uI x; / D M # .uI x; / C M b .uI x; /; 2 S1;ı ; M # .uI x; / 2 A1Cr 0

2.1Cr/ı M b .uI x; / 2 S1;1 :

As in (3.13) we have (with perhaps different constants aj ) (3.17)

a0 jj2 I  M # .uI x; /  a1 jj2 I;

436 16. Nonlinear Hyperbolic Equations

for jj  1. We can assume M # .uI x; /  I , for jj  1. Thus, given (3.15), 1 S1;ı : M # .uI x; /1=2 D G.uI x; / 2 A1Cr 0

(3.18) Now let us set (3.19)

H.uI x; D/ D

 1 1 G.uI x; D/ C G.uI x; D/ C I 2 OP A1Cr S1;ı ; 0 2

which is self-adjoint and positive-definite and satisfies 2.1Cr/ı 1 C OPS1;1 : (3.20) H.uI x; D/2  M.uI x; D/ D B.uI x; D/ 2 OPS1;ı 1 , and set Set E.uI x; D/ D H.uI x; D/1 2 OPS1;ı

v D H.uI x; D/u;

(3.21)

w D ut :

We have the system

(3.22)

ut D w; vt D H.uI x; D/w C C1 .uI x; D/v; wt D H.uI x; D/v C C2 .uI x; D/v C R.u/;

where (3.23)

0 ; C1 .uI x; D/ D @t H.uI x; D/  E.uI x; D/ 2 OPS1;ı 0  C2 .uI x; D/ D B.uI x; D/E.uI x; D/ 2 OPS1;ı C OPS1;1 ;

provided ı is sufficiently close to 1 that 1  .1 C r/ı D  < 0. Somewhat parallel to (1.4), we obtain solutions to (3.22) as limits of solutions u" to

(3.24)

@t u" D J" w" ; @t v" D J" H.J" u" I x; D/J" w" C J" C1 .J" u" I x; D/J" v" ; @t w" D J" H.J" u" I x; D/J" v" C J" C2 .J" u" I x; D/J" v" C R.J" u" /:

Indeed, setting U" D .u" ; v" ; w" /, one obtains an estimate (3.25)

i



 h

 d

ƒs U" .t/ 2 2  C kU" kC 1Cr ƒs U" .t/ 2 2 C 1 ; L L dt

from which local existence follows, by arguments similar to those used in  1. We record the result.

3. Second-order and higher-order hyperbolic systems

437

Proposition 3.3. Under the hypothesis (3.13), if we pick initial data f 2 H sC1 .M /, g 2 H s .M /, s > n=2 C 1, then (3.12) has a unique local solution     u 2 C I; H sC1 .M / \ C 1 I; H s .M / ;

(3.26)

satisfying u.0/ D f; ut .0/ D g. Having considered some quasi-linear equations, we now look at a completely nonlinear, second-order equation: (3.27)

ut t D F .t; x; D 1 u; @1x ut ; @2x u/;

u.0/ D f; ut .0/ D g:

Here F D F .t; x; ; ; / is smooth in its arguments; D . jk / D .@j @k u/, and so on. We assume u is real-valued. As before, set v D .v0 ; v1 ; : : : ; vn / D .u; @1 u; : : : ; @n u/. We obtain for v a quasi-linear system of the form

(3.28)

@2t v0 D F .t; x; D 1 v/; X .@j k F /.t; x; D 1 v/ @j @k vi @2t vi D j;k

C

X .@ j F /.t; x; D 1 v/ @j @t vi C Gi .t; x; D 1 v/; j

with initial data (3.29)

v.0/ D .f; @1 f; : : : ; @n f /; vt .0/ D .g; @1 g; : : : ; @n g/:

The system (3.28) is not quite of the form (3.1), but the difference is minor. One can reduce this to a first-order system and construct a symmetrizer in the same fashion, as long as (3.30)

2 

X

.@j k F /.t; x; D 1 v/j k 

X

.@ j F /.t; x; D 1 v/j 

has two distinct real roots  for each  ¤ 0. This is the strict hyperbolicity condition. Proposition 3.1 holds also for (3.28), so we have the following: Proposition 3.4. If (3.27) is strictly hyperbolic, then given f 2 H kC1 .M /;

g 2 H k .M /;

k>

1 n C 2; 2

there is locally a unique solution u 2 C.I; H kC1 .M // \ C 1 .I; H k .M //:

438 16. Nonlinear Hyperbolic Equations

This proposition applies to the equations of prescribed Gaussian curvature, for a surface S that is the graph of y D u.x/; x 2   Rn , under certain circumstances. The Gauss curvature K.x/ is related to u.x/ via the PDE (3.31)

 .nC2/=2 det H.u/  K.x/ 1 C jruj2 D 0;

where H.u/ is the Hessian matrix, H.u/ D .@j @k u/:

(3.32)

Note that, if F .u/ D det H.u/, then DF .u/v D TrŒC.u/H.v/;

(3.33)

where C.u/ is the cofactor matrix of H.u/, so H.u/C.u/ D Œdet H.u/I:

(3.34)

Of course, (3.31) is elliptic if K > 0. Suppose K is negative and on the hypersurface † D fxn D 0g Cauchy data are prescribed, u D f .x 0 /; @n u D g.x 0 /; x 0 D .x1 ; : : : ; xn1 /. Then @k @j u D @k @j f on † for 1  j; k  n  1; @n @j u D @j g on † for 1  j  n  1, and then (3.31) uniquely specifies @2n u, hence H.u/, on †, provided det H.f / ¤ 0. If the matrix H.u/ has signature .n  1; 1/, and if † is spacelike for its quadratic form, then (3.31) is a hyperbolic Monge–Ampere equation, and Proposition 3.4 applies. We next treat quasi-linear equations of degree m,

(3.35)

@m t uD

m1 X

Aj .t; x; D m1 u; Dx / @jt u C C.t; x; D m1 u/;

j D0

with initial conditions (3.36)

u.0/ D fm1 : u.0/ D f0 ; @t u.0/ D f1 ; : : : ; @m1 t

Here, Aj .t; x; w; Dx / is a differential operator, homogeneous of degree m  j . Assume u takes values in RK , but for simplicity we suppose the operators Aj have scalar coefficients. We will produce a first-order system for v D .v0 ; : : : ; vm1 / with (3.37)

v0 D ƒm1 u; : : : ; vj D ƒmj 1 @t u; : : : ; vm1 D @m1 u: t j

3. Second-order and higher-order hyperbolic systems

439

We have

(3.38)

@t v0 D ƒv1 ; :: : @t vm2 D ƒvm1 ; X Aj .t; x; P v; Dx /ƒ1Cj m vj C C.t; x; P v/; @t vm1 D ˇ j

ˇ

where P v D D m1 u (i.e., @x @t u D @x ƒj C1m vj ), so P 2 OPS 0 . Note that the operator Aj .t; x; P v; Dx /ƒ1Cj m is of order 1. The initial condition for (3.38) is (3.39)

v0 .0/ D ƒm1 f0 ; : : : ; vj .0/ D ƒmj 1 fj ; : : : ; vm1 .0/ D fm1 :

The system (3.38) has the form (3.40)

@t v D L.t; x; P v; D/v C G.t; x; P v/;

where L is an m  m matrix of pseudodifferential operators, which are scalar (though each entry acts on K-vectors). Note that the eigenvalues of the principal symbol of L are i  .t; x; v; /, where  D  are the roots of the characteristic equation (3.41)

m 

m1 X

Aj .t; x; P v; / j D 0:

j D0

We will make the hypothesis of strict hyperbolicity, that for  ¤ 0 this equation has m distinct real roots, so L.t; x; P v; / has m distinct purely imaginary eigenvalues. Consequently, as in Proposition 2.2, there exists a symmetrizer, an m  m, matrix-valued function R.t; x; w; /, homogeneous of degree 0 in  and smooth in its arguments, such that, for  ¤ 0, (3.42)

R.t; x; w; /

is positive-definite,

R.t; x; w; /L.t; x; w; /

is skew-adjoint.

Note that, given r 2 .0; 1/ n ZC , (3.43)

v 2 C 1Cr H) L.t; x; P v; / 2 C 1Cr S 1 R.t; x; P v; / 2 C

1Cr

and

0

S :

From here, an argument directly parallel to (2.21)–(2.39) establishes the solvability of (3.38)–(3.39). We have the following result:

440 16. Nonlinear Hyperbolic Equations

Theorem 3.5. If (3.35) is strictly hyperbolic, and we prescribe initial data fj 2 H sCm1j .M /; s > n=2 C 1, then there is a unique local solution u 2 C.I; H sCm1 .M // \ C m1 .I; H s .M //; which persists as long as, for some r > 0, u.t/kC 1Cr ku.t/kC mCr C    C k@m1 t is bounded. In [Tay] it is shown that the solution persists as long as ku.t/kCm C    C k@m1 u.t/kC1 t is bounded. While there is a relative abundance of second-order hyperbolic equations and systems arising in various situations, particularly in mathematical physics, compared to the higher-order case, nevertheless there is value in studying higher-order equations, in addition to the fact that such study arises as a “natural” extension of the second-order case. We mention as an example the appearance of a third-order, quasi-linear hyperbolic equation, arising from the study of relativistic fluid motion; this will be discussed in  6 and 8 of Chap. 18.

Exercises 1. Formulate and prove a finite propagation speed result for solutions to (3.1). 2. Recall Exercise 2 of  2, dealing with the equation (2.42) for compressible fluid flow when v has the special form v D rx '.t; x/. Show that ' satisfies the second-order PDE X @j Hj .r'/ D 0; (3.44) @t H0 .r'/ C j 1

where r' D .'t ; rx '/ and the functions Hj are given by  1 H0 .r'/ D K 't C jrx 'j2 ; 2 (3.45) Hj .r'/ D .@j '/H0 .r'/;

j  1:

Here, K is the inverse function of h, defined by: y D h./ ”  D K.y/: Examine the hyperbolicity of this PDE. 3. Consider three-dimensional Minkowski space R1;2 D f.t; x; y/g, with metric ds2 D dt2 C dx2 C dy2 . Let S be a surface in R1;2 , given by y D u.t; x/:

Exercises

441

Show that the condition for S to be a minimal surface in R1;2 is that .1 C u2x /ut t  2.ut  ux /uxt  .1  u2t /uxx D 0:

(3.46)

Show that this is hyperbolic provided u2t < 1 C u2x , and that this holds provided the induced metric tensor on S has signature .1; 1/. (Hint: To get (3.46), adapt the calculations used to produce the minimal surface equation (7.6) in Chap. 14.)

Exercises on nonlinear Klein–Gordon equations, and variants In these exercises we consider the initial-value problem for semilinear hyperbolic equations of the form ut t  u C m2 u D f .u/;

(3.47)

for real-valued u. Here,  is the Laplace operator on a compact Riemannian manifold M , p or on Rn . We assume m > 0, and set ƒ D  C m2 . 1. Show that, for s > 0, sufficiently smooth solutions to (3.47) satisfy    d  sC1 2 ukL2 C kƒs ut k2L2 D 2 ƒs f .u/; ƒs ut L2 : kƒ dt

(3.48)

2. Using arguments such as those that arose in proving Proposition 1.5, show that smooth solutions to (3.47) persist as long as ku.t/kL1 can be bounded. 3. Note that the s D 0 case of (3.48) can be written as Z  d (3.49) kruk2L2 C m2 kuk2L2 C kut k2L2 D 2 ut f .u/ dV: dt M

Thus, if f .u/ D

g 0 .u/,

we have Z

(3.50)

kru.t/k2L2 C m2 ku.t/k2L2 C kut .t/k2L2 

  g u.t/ dV D const.

Deduce that (3.51)

g  0 H) ku.t/k2H 1 C kut .t/k2L2  const.

4. Deduce that (3.47) is globally solvable for nice initial data, provided that f .u/ D g 0 .u/ with g.u/  0 and that dim M D n D 1. 5. Note that the s D 1 case of (3.48) can be written as (3.52)

i d h kLuk2L2 C krut k2L2 C m2 kut k2L2 dt     D 2 rf .u/; rut L2 C 2m2 f .u/; ut L2 ;

where L D  C m2 . Assume dim M D n D 3, so that, by Proposition 2.2 of Chap. 13, H 1 .M /  L6 .M /:

442 16. Nonlinear Hyperbolic Equations Deduce that the right side of (3.52) is then  krf .u/k2L2 C krut k2L2 C m2 kf .u/k2L2 C m2 kut k2L2

(3.53)

 C kf 0 .u/k2L3 kLuk2L2 C m2 kf .u/k2L2 C krut k2L2 C m2 kut k2L2 :

(Hint: To estimate kf 0 .u/ruk2L2 , use kvwk2L2  kvk2L2p kwk2 2p0 with 2p 0 D 6, so L 2p D 3:) 3 0 2 2 6. If f .u/ D u , then kf .u/kL3  9kukL6  C kukH 1 and kf .u/kL2  kuk3L6 . Making use of (3.51) to estimate kukH 1 , demonstrate global solvability for ut t  u C m2 u D u3 ;

(3.54)

with nice initial data, given that dim M D n D 3. For further material on nonlinear Klein–Gordon equations, including treatments of (3.54) with u3 replaced by u5 , see [Gril, Ra, Re, Seg, St, Str]. In Exercises 7–12, we consider the equation (3.47) under the hypotheses (3.55)

jf .`/ .u/j  C` ;

f .0/ D 0;

`  1:

An example is f .u/ D sin u; then (3.47) is called the sine–Gordon equation. 7. Show that if u is a sufficiently smooth solution to (3.47), and we take the “energy” E.t/ D kƒu.t/k2L2 C kut .t/k2L2 , then dE  C C CE.t/; dt and hence ku.t/kH 1  C.t/:

(3.56)

This partially extends Exercise 3, in that f .u/ D g 0 .u/, with g.u/  C1 juj2 . 8. Deduce that (3.47) is globally solvable for nice initial data (given (3.55)), provided that n D 1. In Exercises 9–11, assume that n  2 and that u.0/ D u0 2 H s .Rn /; ut .0/ D u1 2 H s1 .Rn /; s > n=2 C 1. 9. Establish an estimate of the form ku.t/kH 2  C.t/;

(3.57)

and deduce that (3.47) is globally solvable (given (3.55)), provided n D 2 or 3. (Hint: Write u.t/ D v.t/ C w.t/, where v.t/ solves vt t  .  m2 /v D 0;

v.0/ D u0 ; vt .0/ D u1 ;

and Z (3.58)

w.t/ D

t 0

 sin.t  s/ƒ  f u.s/ ds: ƒ

Exercises

443

To get (3.57) from this, establish the estimate kf .u.t//kH 1  C.t/;

(3.59) from (3.56).) 10. Suppose n D 4. Show that

ku.t/kH 3  C.t/;

(3.60)

and deduce that (3.47) is globally solvable (given (3.55)), provided n D 4. (Hint: Start with k@j @k f .u/kL2  C1 k@j @k ukL2 C C2 kruk2L4 , and use the Sobolev estimate (3.61)

k'kL2p .Rn /  C kr'kL2 .Rn / ;

pD

n ; n2

to deduce that (3.62)

n D 4 H) k@j @k f .u/kL2  C kukH 2 C C kuk2H 2 :

Then use (3.58) to estimate kw.t/kH 3 :) 11. Show that (3.60) also holds when n D 5. Deduce that (3.47) is globally solvable (given (3.55)), provided n D 5. (Hint: Start with k@j @k f .u/kLp  C1 k@j @k ukLp C C2 kruk2L2p , and apply (3.61), with p D 5=3, to get (3.63)

n D 5 H) kf .u/kH 2;5=3  C.t/:

Use the Sobolev imbedding result H ;p .Rn /  Lnp=.np/ .Rn / to deduce (3.64)

kf .u.t//kH 21=2  C.t/:

Use (3.58) to deduce (3.65)

n D 5 H) ku.t/kH 2C1=2  C.t/:

Iterate this argument, to get (3.60).) 12. Derive results on the global existence of weak solutions to (3.47), under the hypothesis (3.55), analogous to those in Exercises 12 and 13 of  1. For further results on the equation (3.47), under hypotheses like (3.55), but more general, see [BW] and [Str].

Exercises on wave maps In these exercises, we consider the initial-value problem for semilinear hyperbolic systems of the form (3.66)

ut t  u D B.x; u; ru/;

where B.x; u; p/ is smooth in .x; u/ and a quadratic form in p. Here,  is the Laplace operator on a compact Riemannian manifold X, u.t; x/ takes values in R` , and ru D rt;x u.

444 16. Nonlinear Hyperbolic Equations 1. Show that, for s  0, sufficiently smooth solutions to (3.66) satisfy    d krx ƒs u.t/k2L2 C k@t ƒs u.t/k2 D 2 ƒs ut ; ƒs B.x; u; ru/ L2 : dt

(3.67)

2. Using arguments such as those that arose in proving Proposition 1.5, show that smooth solutions to (3.66) persist as long as ku.t/kC 1 C k@t u.t/kL1 can be bounded. 3. Suppose that, for t 2 I; u.t; x/ solves (3.66) and u W I  X ! N , where N is a submanifold of R` . Suppose also that, for all .t; x/ıI  X, B.x; u; ru/ ? Tu N:

(3.68) Show that e.t; x/ D

(3.69)

1 1 jut j2 C jrx uj2 ; 2 2

Z E.t/ D

e.t; x/ dV .x/; X

satisfies dE D 0: dt

(3.70)

(Hint: The hypothesis (3.68) implies ut  B.x; u; ru/ D 0. Then use (3.67), with s D 0:) In Exercises 4–6, suppose X is the flat torus T n , or perhaps X D Rn . Assume (3.68) holds. Define mj .t; x/ D ut  @j u:

(3.71) 4. Show that (3.72)

@e X @mj D 0:  @t @xj j

(Hint: Start with @t e D ut  ut t C rx u  rx ut , and use the equation (3.66); then use ut  B.x; u; ru/ D 0:) 5. Show that, for each j D 1; : : : ; n, (3.73)

X˚  @mj @e @i .@i u  @j u/  @j .@i u  @i u/ : D  @t @xj i

(Hint: Use @j u  B.x; u; ru/ to get @t mj D u  @j u C ut  @j ut ; then compute @j e and subtract.) The considerations of Exercises 1–5 apply to the “wave map” equation (3.74)

ut t  u D .u/.ru; ru/;

4. Equations in the complex domain and the Cauchy–Kowalewsky theorem

445

where ru D rt;x u and .u/.ru; ru/ is as in the harmonic map equation (10.25) of Chap. 14. Indeed, (3.74) is the analogue of the harmonic map equation for a map u W M ! N when N is Riemannian but M is Lorentzian. 6. Suppose n D 1. Then X D S 1 (or R1 ). Show that (3.74) has a global smooth solution, for smooth Cauchy data, u.0/ D f; ut .0/ D g, satisfying f W X ! N; g.x/ 2 Tf .x/ N . (Hint: In this case, (3.72)–(3.73) imply @2t e  @21 e D 0, which gives a pointwise bound for e.t; x/:) This argument follows [Sha]. For results in higher dimensions, including global weak solutions and singularity formation, see [Sha], and references given therein.

4. Equations in the complex domain and the Cauchy–Kowalewsky theorem Consider an mth order, nonlinear system of PDE of the form

(4.1)

@m u D A.t; x; Dxm u; Dxm1 @t u; : : : ; Dx @m1 u/; t @t m u.0; x/ D gm1 .x/: u.0; x/ D g0 .x/; : : : ; @m1 t

The Cauchy–Kowalewsky theorem is the following: Theorem 4.1. If A is real analytic in its arguments and gj are real analytic, for x 2 O  Rn , then there is a unique u.t; x/ that is real analytic for x 2 O1  O; t near 0, and satisfies (4.1). We established the linear case of this in Chap. 6. Here, in order to prove Theorem 4.1, we use a method of Garabedian [Gb1, Gb2], to transmutate (4.1) into a symmetric hyperbolic system for a function of .t; x; y/. To begin, by a simple argument, it suffices to consider a general first-order, quasi-linear, N  N system, of the form (4.2)

n X @u @u D Aj .t; x; u/ C f .t; x; u/; @t @xj

u.0; x/ D g.x/:

j D1

We assume that Aj and f are real analytic in their arguments, and we use these symbols also to denote the holomorphic extensions of these functions. Similarly, we assume g is analytic, with holomorphic extension g.z/. We want to solve (4.2) for u which is real analytic, that is, we want to extend u to u.t; x; y/, so as to be holomorphic in z D x C iy, so that (4.3)

@u @u Ci D 0: @xj @yj

446 16. Nonlinear Hyperbolic Equations

Now, multiplying this by iBj and adding to (4.2), we have (4.4)

n n X X   @u @u @u D Aj C iBj  Bj C f .t; x; u/: @t @xj @yj j D1

j D1

We arrange for this to be symmetric hyperbolic by taking Bj .t; z; u/ D

(4.5)

 1  Aj  Aj : 2i

Thus we have a local smooth solution to (4.4), given smooth initial data u.0; x; y/ D g.x; y/. Now, if g.x; y/ is holomorphic for .x; y/ 2 U , we want to show that u.t; x; y/ is holomorphic for .x; y/ 2 U1  U if t is close to 0. To see this, set vj D

(4.6)

@u 1  @u @u  D Ci : 2 @xj @yj @zj

Then n n n X X   @v X   @u @v @v D  Bj C Aj C iBj @z Aj @t @xj @yj @xj j D1

(4.7)

C

j D1

n X 

j D1



i @z Bj vj C @z f .t; z; u/:

j D1

Since Aj .t; z; u/ and f .t; z; u/ are holomorphic in z and u, @z Aj .t; z; u/ D

X @Aj

@u

v D Cj .t; z; u/v ;

and similarly @z f .t; z; u/ D F .t; z; u/v . Thus (4.8)

n n n X X   @v X @v @v D Aj C iBj  Bj C Ev C Gj vj ; @t @xj @yj j D1

with ED

X

j D1

Cj .t; z; u/ C F .t; z; u/;

j D1

Gj D i @z Bj :

j

This is a symmetric hyperbolic, .N n/  .N n/ system for v D .v W 1    N; 1    n/. The hypothesis that g.x; y/ is holomorphic for .x; y/ 2 U means v.0; x; y/ D 0 for .x; y/ 2 U . Thus, by finite propagation speed, v.t; x; y/ D 0 on a neighborhood of f0g  U .

Exercises

447

Thus we have a solution to (4.2) which is holomorphic in x C iy, under the hypotheses of Theorem 4.1. We have not yet established analyticity in t; in fact, so far we have not used the analyticity of Aj and f in t. We do this now. As above, we use Aj ; f , and u also to denote the holomorphic extensions to D t C i s. Having u for s D 0, and desiring @u=@t D i @u=@s, we produce u.t; s; x; y/ as the solution to (4.9)

n X @u @u Di Aj C if; @s @xj

u.t; 0; x; y/ D solution to (4.4):

j D1

Applying iBj# to (4.3) and adding to (4.9), we get (4.10)

n n X X   @u @u @u D iAj C iBj#  Bj# C if; @s @xj @yj j D1

j D1

which we arrange to be symmetric hyperbolic by taking (4.11)

Bj# .t; s; x; y/ D 

 1  A C Aj : 2 j

To see that the solution to (4.9) is holomorphic in t C i s, let (4.12)

wD

@u  @u 1  @u Ci D : 2 @t @s @z0

By the initial condition for u at s D 0 given in (4.9), we have w D 0 for s D 0. Meanwhile, parallel to (4.7), w satisfies a symmetric hyperbolic system, so u is holomorphic in t Cis. This establishes the Cauchy–Kowalewsky theorem for (4.2), and the general case (4.1) follows easily. There are other proofs of the Cauchy–Kowalewsky theorem. Some work by estimating the terms in the power series of u.t; x/ about .0; x0 /. Such proofs are often presented near the beginning of PDE books, as they are elementary, though many students have grumbled that going through this somewhat elaborate argument at such an early stage is rather painful. The proof presented above reflects an aesthetic sensibility that prefers the use of complex function theory to powerseries arguments. Another sort of proof, with a similar aesthetic, is given in [Nir]; see also [Ovs] and [Cafl]. There is an extension of the Cauchy–Kowalewsky theorem to systems (not necessarily determined), known as Cartan–K¨ahler theory. An account of this and many important ramifications can be found in [BCG3].

Exercises 1. Fill in the details of reducing (4.1) to (4.2).

448 16. Nonlinear Hyperbolic Equations

5. Compressible fluid motion We begin with a brief derivation of the equations of ideal compressible fluid flow on a region . Suppose a fluid “particle” has position F .t; x/ at time t, with F .0; x/ D x. Thus the velocity field of the fluid is (5.1)

v.t; y/ D Ft .t; x/ 2 Ty ;

y D F .t; x/;

where Ft .t; x/ D .@=@t/F .t; x/. If y 2 @, we assume that v.t; y/ is tangent to @. We want to write down a Lagrangian for the motion. At any time t, the kinetic energy of the fluid is Z 1 K.t/ D jv.t; y/j2 .t; y/ dy 2  Z (5.2) 1 jFt .t; x/j2 0 .x/ dx; D 2 

where .t; y/ is the density of the fluid, and 0 .x/ D .0; x/. Thus (5.3)

0 .x/ D .t; y/ det Dx F .t; x/;

y D F .t; x/:

In the simplest models, the potential energy density is a function of fluid density alone: Z   V .t/ D W .t; y/ .t; y/ dy 

Z

(5.4) D

  W .t; F .t; x// 0 .x/ dx:



Set W ./ D Q.1 /; 0 .x/ D 0 .x/1 . In such a case, the Lagrangian action integral is Z Z h  i 1 (5.5) L.F / D jFt .t; x/j2  Q 0 .x/ det Dx F .t; x/ 0 .x/ dx dt 2 I 

defined on the space of maps F W I   ! , where I is an arbitrary time interval Œt0 ; t1   Œ0; 1/. We seek to produce a PDE describing the critical points of L. Split L.F / into L.F / D LK .F /  LV .F /, with obvious notation. Then “ D E d  Ft .t; x/; w t; F .t; x/ 0 .x/ dx dt DLK .F /w D dt (5.6) “ D E @v C v  ry v; w.t; Q y/ .t; y/ dy dt; D @t

5. Compressible fluid motion

449

  upon an integration by parts, since .d=dt/v t; F .t; x/ D @v=@t C v  ry v. We have set w.t; Q y/ D w.t; x/; y D F .t; x/. Next, “ (5.7)

DLV .F /w D

  Q0 0 .x/ det Dx F .t; x/ det Dx F .t; x/    Tr Dx F .t; x/1 Dx w.t; x/ dx d t:

    Now Dx w.t; x/ D Dx wQ t; F .t; x/ D Dy wQ t; F .t; x/ Dx F .t; x/, so (5.8)

    Tr Dx F .t; x/1 Dx w.t; x/ D Tr Dy wQ t; F .t; x/   D div wQ t; F .t; x/ :

Hence “ DLV .F /w D “

(5.9) D

  Q y/ dy dt Q0 .t; y/1 div w.t; ˝ ˛ Q y/ dy dt: Q00 .1 /2 ry .t; y/; w.t;

Since W ./ D Q.1 /, we have Q00 .1 /2 D 2 W 00 ./2W 0 ./ D X 00 ./ if we set X./ D W ./;

(5.10) so we can write “ (5.11)

DLV .F /w D

˝ 00 ˛ X ./ry ; w.t; Q y/ .t; y/ dy dt:

Thus we have the Euler equations: (5.12) (5.13)

@v C rv v C X 00 ./r D 0; @t @ C div.v/ D 0: @t

Equation (5.12) expresses the stationary condition, DL.F /w D 0 for all smooth vector fields w, tangent to @, while (5.13) simply expresses conservation of matter. Replacing v  rx v by rv v as we have done above makes these equations valid when  is a Riemannian manifold with boundary. The boundary condition, as we have said, is (5.14)

v.t; x/ k @;

x 2 @:

450 16. Nonlinear Hyperbolic Equations

  Recognizing @v=@t C rv v D .d=dt/v t; F .t; x/ as the acceleration of a fluid particle, we rewrite (5.12) in a form reflecting Newton’s law F D ma: (5.15)



 @v @t

 C rv v D rx p:

The real-valued function p is called the pressure of the fluid. Comparison with (5.12) gives p D p./ and (5.16)

p 0 ./ D X 00 ./: 

The relation p D p./ is called an equation of state; the function p./ depends upon physical properties of the fluid. Making use of the identity (5.17)

div.u ˝ v/ D .div v/u C ru v;

we can rewrite the system (5.12)–(5.13), with X 00 ./r replaced by rp=, in the form (5.18)

.v/t C div.v ˝ v/ C rp D 0; t C div.v/ D 0;

which is convenient for consideration of nonsmooth solutions. It is natural to assume that W ./ is an increasing function of . One common model takes (5.19)

W ./ D ˛ 1 ;

˛ > 0; 1 < < 2:

In such a case, we have an equation of state of the form (5.20)

p./ D A ;

A D .  1/˛ > 0:

Experiments indicate that for air, under normal conditions, this provides a good approximation to the equation of state if we take D 1:4. Obviously, these formulas lose validity when  becomes so large that air becomes as dense as a liquid, but in that situation other physical phenomena come into play, and the entire problem has to be reformulated. We will rewrite Euler’s equation, letting vQ denote the 1-form corresponding to the vector field v via the Riemannian metric on . Then (5.12) is equivalent to (5.21)

@vQ C rv vQ D dx0 ./; @t

0

X ./ D

Z

p 0 ./ d: 

5. Compressible fluid motion

451

In turn, we will rewrite this, using the Lie derivative. Recall that, for any vector field Z; rv Z D Lv Z C rZ v, by the zero-torsion condition on r. Using this, we deduce that 1 hLv vQ  rv v; Q Zi D hv; Q rZ vi D hd jvj2 ; Zi; 2 so (5.21) is equivalent to 1  @vQ C Lv vQ D d jvj2  X 0 ./ : @t 2

(5.22)

A physically important object derived from the velocity field is the vorticity, which we define to be Q D d v; Q

(5.23)

for each t a 2-form on . Applying the exterior derivative to (5.22) gives the Vorticity equation @Q C Lv Q D 0: @t

(5.24)

It is also useful to consider vorticity in another form. Namely, to Q we associate a section  of ƒn2 T (n D dim ), so that the identity Q ^ ˛ D h; ˛i!

(5.25)

holds, for every .n  2/-form ˛, where ! is the volume form on , which we assume to be oriented. We have Lv Q ^ ˛ D Lv .Q ^ ˛/  Q ^ Lv ˛ D hLv ; ˛i! C h; Lv ˛i! C .div v/h; ˛i!  Q ^ Lv ˛ D hLv ; ˛i! C .div v/h; ˛i!; so (5.24) implies (5.26)

@ C Lv  C .div v/ D 0: @t

This takes a neater form if we consider vorticity divided by : (5.27)

wD

 : 

452 16. Nonlinear Hyperbolic Equations

   Then the left side of (5.26) is equal to  @w=@t C Lv w C @=@t C rv  C .div v/ w, and if we use (5.13), we see that @w C Lv w D 0: @t

(5.28)

This vorticity equation takes special forms in two and three dimensions, respectively. When dim  D n D 2; w is a scalar field, often denoted as w D 1 rot v;

(5.29) and (5.28) becomes the 2-D vorticity equation.

@w C v  grad w D 0; @t

(5.30) which is a conservation law.

If n D 3; w is a vector field, denoted as w D 1 curl v;

(5.31) and (5.28) becomes the 3-D vorticity equation.

@w C Œv; w D 0; @t

(5.32) or equivalently, (5.33)

@w C rv w  rw v D 0: @t

The first form (5.23) of the vorticity equation implies (5.34)

Q Q .0/ D .F t / .t/;

Q Q x/. Similarly, (5.28) yields D .t; where F t .x/ D F .t; x/; .t/.x/ (5.35)

w.t; y/ D ƒn2 DF t .x/ w.0; x/;

y D F .t; x/;

where DF t .x/ W Tx  ! Ty  is the derivative. In case n D 2, this is simply w.t; y/ D w.0; x/, the conservation law mentioned after (5.30).

5. Compressible fluid motion

453

One implication of (5.34) is the following. Let S be an oriented surface in , with boundary C ; let S.t/ be the image of S under F t , and C.t/ the image of C ; then (5.34) yields Z Z Q D .0/: Q (5.36) .t/ S

S.t /

Since Q D d v, Q this implies the following: Kelvin’s circulation theorem. Z

Z v.t/ Q D

(5.37)

v.0/: Q C

C.t /

We take a look at some phenomena special to the case dim  D n D 3, where the vorticity  is a vector field on , for each t. Fix t0 and consider  D .t0 /. Let S be an oriented surface in , transversal to . A vortex tube T is defined to be the union of orbits of  through S , to a second transversal surface S2 . For simplicity we will assume that none of these orbits ends at a zero of the vorticity field, though more general cases can be handled by a limiting argument. Since d Q D d 2 vQ D 0, we can use Stokes’ theorem to write Z Z Q (5.38) 0 D d Q D : T

@T

Now @T consists of three pieces: S and S2 (with opposite orientations) and the lateral boundary L the union of the orbits of  from @S to @S2 . Clearly, the pullback of Q to L is 0, so (5.38) implies Z Z Q Q (5.39)  D : S

S2

Applying Stokes’ theorem again, for Q D d v, Q we have Helmholtz’ theorem. For any two curves C; C2 enclosing a vortex tube, Z Z (5.40) vQ D v: Q C

C2

This common value is called the strength of the vortex tube T . Also, note that if T is a vortex tube at t0 D 0, then, for each t; T .t/, the image of T under F t , is a vortex tube, as a consequence of (5.35), with n D 3, since  and w D = have the same integral curves. Furthermore, (5.37) implies that the strength of T .t/ is independent of t. This conclusion is also part of Helmholtz’ theorem.

454 16. Nonlinear Hyperbolic Equations

If we write Lv vQ in terms of exterior derivatives, we obtain from (5.22) the equivalent formula (5.41)

1  @vQ C .d v/cv Q D d jvj2 C X 0 ./ : @t 2

We can use this to obtain various results known collectively as Bernoulli’s law. First, taking the inner product of (5.41) with v, we obtain (5.42)

 1 @  Lv jvj2 D Lv X 0 ./: 2 @t

Now, consider the special case when the flow v is irrotational (i.e., d vQ D 0). The vorticity equation (5.24) implies that if this holds for any t, then it holds for all t. If  is simply connected, we can pick x0 2  and define a velocity potential '.t; x/ by Z x (5.43) '.t; x/ D v; Q x0

the integral being independent of path. Thus d' D v, Q and (5.41) implies (5.44)

d

 @'

 1 C jvj2 C X 0 ./ D 0 @t 2

on , for an irrotational flow on a simply connected domain . In other words, in such a case, (5.45)

1 @' C jvj2 C X 0 ./ D H.t/ @t 2

is a function of t alone. This is Bernoulli’s law for irrotational flow. Another special type of flow is steady flow, for which vt D 0 and t D 0. In such a case, the equation (5.42) becomes (5.46)

Lv

1 2

 jvj2 C X 0 ./ D 0;

that is, the function .1=2/jvj2 C X 0 ./ is constant on the integral curves of v, called streamlines. For steady flow, the equation (5.13) becomes (5.47)

div.v/ D 0; i.e., d. v/ Q D 0:

If dim  D 2 and  is simply connected, this implies that there is a function on , called a stream function, such that (5.48)

 vQ D d ; i.e., vQ D 

1 d : 

5. Compressible fluid motion

455

In particular, v is orthogonal to r , so the stream function is also constant on the integral curves of v, namely, the streamlines. One is temped to deduce from (5.46) that, for some function H W R ! R, 1 2 jvj C X 0 ./ D H. / 2

(5.49)

in this case, and certainly this works out in some cases. If a flow is both steady and irrotational, then from (5.44) we get d

(5.50)

1 2

 jvj2 C X 0 ./ D 0;

which is stronger than (5.46). We next discuss conservation of energy in compressible fluid flow. The total energy (5.51)

E.t/ D K.t/ C V .t/ D

Z n  o 1 jv.t; x/j2 C W .t; x/ .t; x/ dx 2 

is constant, for smooth solutions to (5.12)–(5.13). In fact, a calculation gives (5.52)

E 0 .t/ D

Z

Z @t e.t; x/ dx D 



div ˆ.t; x/ dx D 0; 

where e.t; x/ D

(5.53)

1 jvj2 C X./ 2

is the total energy density and (5.54)

ˆ.t; x/ D

1 2

 jvj2 C X 0 ./ v D .e C p/v:

One passes from the first integral in (5.52) to the second via (5.55)

@t e.t; x/ C div ˆ.t; x/ D 0;

which is a consequence of (5.12)–(5.13), for smooth solutions. As we will see in  8 in the special case n D 1, the equation (5.55) can break down in the presence of shocks. “Entropy satisfying” solutions with shocks then have the property that E.t/ is a nonincreasing function of t. Now any equation of physics in which energy is not precisely conserved must be incomplete. Dissipated energy always goes somewhere. Energy dissipated by

456 16. Nonlinear Hyperbolic Equations

shocks acts to heat up the fluid. Say the heat energy density of the fluid is h. One way to extend (5.18) is to couple a PDE of the form (5.56)

@t .h/ C div.hv/ D @t e  div ˆ:

In such a case, solutions preserve the total energy Z .e C h/ dx:

(5.57) 

For smooth solutions, the left side of (5.56) is equal to   .ht C rv h/ C h t C div.v/ ; so in that case we are equivalently adjoining the equation (5.58)

.ht C rv h/ D et  div ˆ:

The right side of (5.58) vanishes for smooth solutions, recall, so we simply have ht C rv h D 0, describing the transport of heat along the fluid trajectories. (We are neglecting the diffusion of heat here.) If we consider the total energy intensity (5.59)

ED

1 2 jvj C 1 X./ C h; 2

so E D e C h, we obtain @t .E/ C div.Ev/ C div.pv/   D @t e C div .e C p/v C @t .h/ C div.hv/; whose vanishing is equivalent to (5.56). Using this, we have the augmented system

(5.60)

.v/t C div.v ˝ v/ C rp D 0; t C div.v/ D 0; .E/t C div.Ev/ C div.pv/ D 0:

As in (5.20), this is supplemented by an equation of state, which in this context can take a more general form than p D p./, namely p D p.; E/. Compare with (5.62) below. We mention another extension of the system (5.18), based on ideas from thermodynamics. Namely, a new variable, denoted as S , for “entropy,” is introduced, and one adjoins .S /t C div.S v/ D 0, to (5.18), so the augmented system takes the form

6. Weak solutions to scalar conservation laws; the viscosity method

(5.61)

457

.v/t C div.v ˝ v/ C rp D 0; t C div.v/ D 0; .S /t C div.S v/ D 0:

For smooth solutions, the left side of the last equation is equal to   .St C rv S / C S t C div.v/ ; so in that case we are equivalently adjoining the equation St C rv S D 0. Adjoining the last equation in (5.61) apparently does not affect the system (5.18) itself, but, as in the case of (5.60), it opens the door for a significant change, for it is now meaningful, and in fact physically realistic, to consider more general equations of state, (5.62)

p D p.; S /:

In particular, one often generalizes (5.20) to (5.63)

p D A.S / :

Brief discussions of the thermodynamic concepts underlying (5.61) can be found in [CF] and [LL]. In [CF] there is a discussion of how the system (5.60) leads to (5.61), while [LL] discusses how (5.61) leads to (5.60). It must be mentioned that certain aspects of the behavior of gases, related to interpenetration, are not captured in the model of a fluid as described in this section. Another model, involving the “Boltzmann equation,” is used. We say no more about this, but mention the books [CIP] and [RL] for treatments and further references.

Exercises 1. Write down the equations of radially symmetric compressible fluid flow, as a system in one “space” variable.

6. Weak solutions to scalar conservation laws; the viscosity method For real-valued u D u.t; x/, we will obtain global weak solutions to PDE of the form (6.1)

X @u D @j Fj .u/; @t

u.0/ D f;

458 16. Nonlinear Hyperbolic Equations

for t  0; x 2 T n D M , as limits of solutions u to (6.2)

X @u D u C @j Fj .u /; @t

u .0/ D f:

This method of producing solutions to (6.1) is called the viscosity method. Recall from Proposition 1.5 of Chap. 15 that, for each  > 0; f 2 L1 .M /, (6.2) has a unique global solution u 2 L1 .Œ0; 1/  M / \ C 1 ..0; 1/  M /; with ku .t/kL1  kf kL1 ;

(6.3)

for each t  0, and furthermore if uj solve (6.2) with uj D fj , then, for each t > 0, ku1 .t/  u2 .t/kL1  kf1  f2 kL1 ;

(6.4)

by Proposition 1.6 in that section. We will use these facts to show that as  & 0; fu g has a limit point u solving (6.1), provided f 2 L1 .M / \ BV .M /, where, with M.M / denoting the space of finite Borel measures on M , BV .M / D fu 2 D0 .M / W ru 2 M.M /g:

(6.5)

As shown in Chap. 13,  1, BV .M /  Ln=.n1/ .M /. Of course, that BV  L1 for n D 1 is a standard result in introductory measure theory courses. Our analysis begins with the following: Lemma 6.1. If f 2 BV .M / and u solves (6.2), then (6.6)

fu W  2 .0; 1g is bounded in L1 .RC ; BV /:

Proof. If we define y f .x/ D f .x C y/, it is clear that (6.7)

f 2 BV H) kf  y f kL1  C jyj;

for jyj  1=2. Now apply (6.4) with f1 D f; f2 D y f to obtain, for each t  0, (6.8)

ku .t/  y u .t/kL1  C jyj;

which yields (6.6). Now if we write @j Fj .u / D Fj0 .u /@j u , and note the boundedness in the sup norm of Fj0 .u /, we deduce that

6. Weak solutions to scalar conservation laws; the viscosity method

(6.9)

459

f@j Fj .u / W  2 .0; 1g is bounded in L1 .RC ; M.M //:

Let us use the inclusion (6.10)

M.M /  H ı;p .M /;

p 0 ı > n;

a consequence of Sobolev’s imbedding theorem, which implies (6.11)

BV .M /  H 1ı;p .M /:

We thinkP of choosing ı small and p close to 1. We deduce from (6.6) and (6.9) that fuC @j Fj .u /g is bounded in L1 .RC ; H 1ı;p .M //, and hence, by (6.2), (6.12)

f@t u g is bounded in L1 .RC ; H 1ı;p /:

Thus, for t; t 0 > 0, (6.13)

ku .t/  u .t 0 /kH 1ı;p .M /  C jt  t 0 j;

with C independent of  2 .0; 1. We now use the following interpolation inequality, a special case of results established in Chap. 13: 1  kvkH ";p  C kvkH 1ı;p  kvkH 1ı;p ;

where  2 .0; 1/ and " D .1  /.1  ı/ C .1  ı/ D 1  2  ı C ı is > 0 if  is chosen small and positive. We apply this to (6.13) and the following consequence of (6.6) and (6.11): (6.14)

ku .t/  u .t 0 /kH 1ı;p  C;

to conclude that, for some  > 0; " > 0, (6.15)

fu g is bounded in C  .Œ0; T ; H ";p .M //;

for all T < 1; hence, by Ascoli’s theorem, (6.16)

fu g is compact in C.Œ0; T ; Lp .M //;

for all T < 1. From here, producing a limit point u solving (6.1) is easy. Given T < 1, by (6.16) we can pass to a subsequence k ! 0 such that (6.17)

uk D uk ! u in C.Œ0; T ; Lp .M //I

460 16. Nonlinear Hyperbolic Equations

by a diagonal argument we can arrange this to hold for all T < 1. We can also assume uk .t; x/ ! u.t; x/ pointwise a.e. on RC  M . In view of the pointwise boundedness (6.3), we deduce (6.18)

Fj .uk / ! Fj .u/ in Lp .Œ0; T   M /;

as k ! 1, for each T . Hence we have weak convergence: (6.19)

@u @uk ! ; @t @t

k uk ! 0;

@j Fj .uk / ! @j Fj .u/;

implying that u solves (6.1). We summarize: Proposition 6.2. Given f 2 L1 .M / \ BV .M /, the solutions u to (6.2) have a weak limit point (6.20)

u 2 C.Œ0; 1/; Lp .M // \ L1 .RC  M / \ L1 .RC ; BV .M //;

for all p < 1, solving (6.1). As we will see below, weak solutions to (6.1) in the class (6.20) need not be unique. However, there is uniqueness for those solutions obtained by the viscosity method. A device that provides a proof of this, together with an intrinsic characterization of these viscosity solutions, is furnished by “entropy inequalities,” which we now discuss. Let W R ! R be any C 2 -convex function (so 00 > 0). Note that, for v D v.t; x/; @t .v/ D 0 .v/ @t v and @2j .v/ D 0 .v/ @2j v C 00 .v/.@j v/2 , so  .v/ D 0 .v/v C 00 .v/jrx vj2 : Thus, if u solves (6.2), and if we multiply each side by 0 .u /, we obtain (6.21)

X @

.u / D  .u /   00 .u /jru j2 C @j qj .u /; @t

where, using 0 .v/ @j Fj .v/ D 0j .v/Fj0 .v/ @j v and @j qj .v/ D qj0 .v/ @j v, we require of qj that (6.22)

qj0 .v/ D 0 .v/Fj0 .v/:

Now, for uk ! u as above, we have derived weak convergence .uk / !

.u/ and, by the same reasoning, qj .uk / ! qj .u/, but we have no basis to say that jruk j2 ! jruj2 , and in fact this convergence can fail (otherwise the inequality we derive would always be an equality). Taking this into account, we abstract from (6.21) the inequality

6. Weak solutions to scalar conservation laws; the viscosity method

461

X @

.u /  @j qj .u /   .u /; @t

(6.23)

using convexity of , and then, passing to the limit uk ! u, obtain X @

.u/  @j qj .u/  0; @t

(6.24)

in the sense that we have a nonpositive measure on .0; 1/  M on the left side. In other words,   (6.25) ' 2 C01 .0; 1/  M ; '  0; implies (6.26)

“ n o X    

u.t; x/ 't  qj u.t; x/ @j ' dx dt  0:

By a limiting argument, we can let .u/ tend to ju  kj, for any given k 2 R, and use qj .u/ D sgn.u  k/ŒFj .u/  Fj .k/, to deduce (using the summation convention) “ n (6.27)

o   ju  kj't  sgn.u  k/ Fj .u/  Fj .k/ @j ' dx dt  0;

for all ' satisfying (6.25). That (6.27) holds for all k 2 R is called Kruzhkov’s entropy condition. The following is Kruzhkov’s key result: Proposition 6.3. If u and v belong to the space in (6.20) and both satisfy Kruzhkov’s entropy condition, and if u.0; x/ D f .x/; v.0; x/ D g.x/, then, for t > 0, ku.t/  v.t/kL1  kf  gkL1 :

(6.28)

Proof. Let us write the entropy condition for v in the form (using the summation convention) “ n (6.29)

  @' o jv  `j's  sgn.v  `/ Fj .v/  Fj .`/ dy ds  0; @yj

for all ` 2 R. Let ' D '.s; t; x; y/ be smooth and compactly supported in s > 0; t > 0, and '  0. Now substitute v.s; y/ for k in (6.27), u.t; x/ for ` in (6.29), integrate both over dx dy ds dt, and sum, to get ZZZZ n ˇ ˇ   ˇu.t; x/  v.s; y/ˇ.'t C 's /  sgn u.t; x/  v.s; y/ (6.30)

  @' @' o dx dy ds dt  0:  Fj .u/  Fj .v/ C @xj @yj

462 16. Nonlinear Hyperbolic Equations

We now consider the following functions ': '.s; t; x; y/ D f .t/dh .t  s/ıh .x  y/;

(6.31)

where f; dh ; ıh  0 and, as h ! 0; dh and ıh approach the delta functions on R and T n D M , respectively. With such a choice, note that @'=@xj C @'=@yj D 0 and 't C 's D f 0 .t/dh .t  s/ıh .x  y/. Passing to the limit h ! 0 yields “ (6.32)

ˇ ˇ ˇu.t; x/  v.t; x/ˇ f 0 .t/ dx dt  0;

  for all nonnegative f 2 C01 .0; 1/ , which in turn implies d ku.t/  v.t/kL1  0; dt

(6.33) yielding (6.28).

We have given all the arguments necessary to establish the following: Corollary 6.4. Given f 2 L1 .M / \ BV .M /, the weak solutions to (6.1) belonging to the space (6.20) which are limits of solutions u to (6.2) are unique. Given two such fj , initial data for viscosity solutions uj , we have ku1 .t/  u2 .t/kL1  kf1  f2 kL1 ;

(6.34)

for t  0. Furthermore, a weak solution to (6.1) is a viscosity solution if and only if the entropy inequality (6.27) holds for all k 2 R. As a complementary remark, we note that if u, belonging to (6.20), satisfies Kruzhkov’s entropy condition, then automatically u is a weak solution to (6.1). Indeed, let v be the viscosity solution with the same initial data as u; by (6.28), v D u. Note that (6.27) can be rewritten as “ (6.35)

n X @' o ju  kj 't  dx dt  0; Gj .u; k/ @xj

where Gj .u; k/ D ŒFj .u/  Fj .k/=.u  k/ is smooth in its arguments. The formula (6.30) can be similarly rewritten; also, (6.32) can be generalized to “ (6.36)

X ˇ ˇn @' o ˇu.t; x/  v.t; x/ˇ @'  Gj .u; v/ dx dt  0; @t @xj

for a pair u; v satisfying Kruzhkov’s entropy condition. Suppose their initial data are bounded in sup norm by M , which therefore bounds u.t/ and v.t/ for all t  0; pick A so that

6. Weak solutions to scalar conservation laws; the viscosity method

juj; jvj  M H)

(6.37)

X

Gj .u; v/2  A2 :

Now pick '.t; x/ D f .t/ .t; x/, with f as above and (6.38)

t

463

satisfying

C Ajrx j  0;

so that (6.39)

t

C

X

jGj .u; v/j  j@j j  0:

Then (6.36) implies “ (6.40)

ˇ ˇ ˇu.t; x/  v.t; x/ˇf 0 .t/ .t; x/ dx dt  0:

By a limiting argument, we can let Œ0; 1/  T n of the form

be the characteristic function of a set in

f.t; x/ W jx  x0 j  B  Atg:

(6.41)

Then, refining (6.33), we deduce that Z

ˇ ˇ ˇu.t; x/  v.t; x/ˇ dx D D.t/ &

(6.42)

as t % :

jxx0 jBAt

In particular, if u.0; x/ D v.0; x/ on fx W jx  x0 j  Bg, we deduce the following result on finite propagation speed: Proposition 6.5. If u and v are viscosity solutions to (6.1), bounded by M , with initial data f and g which agree on a set fx W jx  x0 j  Bg, and if A is large enough that (6.37) holds, then u and v coincide on the set (6.41). In light of this, we have in a natural fashion unique, global entropy-satisfying weak solutions to (6.1), for t  0; x 2 Rn , provided the initial data belong to L1 .Rn / and have bounded variation. We next consider weak solutions to (6.1) with discontinuities of the simplest sort; namely, we suppose that u.t; x/ is defined for t  0; x 2 R, and that there is a smooth curve , given by x D x.t/, such that u.t; x/ is smooth on either side of , with a simple jump across . If .x; t/ 2 , denote by Œu D Œu.x; t/ the size of this jump: (6.43)

Œu D lim u.x.t/ C "; t/  u.x.t/  "; t/: "&0

464 16. Nonlinear Hyperbolic Equations

If F W R ! R is smooth, we let ŒF  denote the jump in F .u/ across . Now, if such u solves (6.44)

ut C F .u/x D 0

  on RC  R n , then this object on RC  R will be a measure supported on I u will be a weak solution everywhere provided this measure vanishes. It is a simple exercise to evaluate this measure in terms of the jumps Œu and ŒF  and the slope of , or equivalently the speed s D dx=dt, as being proportional to sŒu  ŒF . In other words, such a u provides a weak solution to (6.44) precisely when (6.45)

sŒu D ŒF 

on :

This condition is called the jump condition, or the Rankine–Hugoniot condition. A special case of solutions to (6.44) off are functions u that are piecewise constant. Thus the jumps are constant, so s is constant, so is a line; we may as well call it the line x D st (possibly shifting the origin on the x-axis). See Fig. 6.1. If u D u` on the left side of and u D ur on the right side of , the Rankine–Hugoniot condition becomes (6.46)

sD

F .ur /  F .u` / : ur  u`

An initial-value problem with such piecewise-constant initial data is called a Riemann problem. Let us describe two explicit weak solutions to (6.47)

ut C

1  2 u xD0 2

of this form, in Fig. 6.2. Claim 6.6. Figure 6.2A describes an entropy-satisfying solution of (6.47), while Fig. 6.2B describes an entropy-violating solution.

F IGURE 6.1 Shock Wave

6. Weak solutions to scalar conservation laws; the viscosity method

465

F IGURE 6.2 Entropy Satisfaction and Violation

In each figure we have drawn in integral curves of the vector fields @=@t C F 0 .u/.@=@x/ in the regions where u is smooth. Note that in Fig. 6.2A these curves run into , while in Fig. 6.2B these curves diverge from . These assertions are consequences of the following result of Oleinik: Proposition 6.7. Let u.t; x/ be a piecewise smooth solution to (6.44) on RC  R with jump across , satisfying the jump condition (6.45). Then the entropy condition holds if and only if (i) in case ur < u` : The  graph of y D F .u/ over Œur ; u`  lies below the chord connecting the point ur ; F .ur / to u` ; F .u` / ; (ii) in case ur > u` : The graph of y D F .u/ over Œu` ; ur  lies above the chord. These two cases are illustrated in Fig. 6.3. A weak solution to (6.44) which satisfies the hypotheses of Proposition 6.7 is said to satisfy Oleinik’s “condition (E).” Proof. As a slight variation on Kruzhkov’s convex functions, it suffices to consider the weakly convex functions

.u/ D 0; u  k;

for u < k; for u > k;

F IGURE 6.3 Oleinik’s Condition (E)

466 16. Nonlinear Hyperbolic Equations

plugged into the inequality t C qx  0, with q.u/ D 0; F .u/  F .k/;

for u < k; for u > k;

as k runs over R. In fact only for k between ur and u` is t C qx nonzero; in such a case it is a measure supported on , which is  0 if and only if   s .u` /  .ur /  F .u` /  F .ur /: The jump condition (6.46) on s then implies (6.48)

F .k/ 

k  u` ur  k F .u` / C F .ur /; ur  u` ur  u`

for k between ur and u` , which is equivalent to the content of (i)–(ii). Note that if F is convex (i.e., F 00 > 0), as in the example (6.47), then the content of (i) and (ii) is (6.49)

F 0 .u` / > s > F 0 .ur /

.for F 00 > 0/;

a result that, for F .u/ D u2 =2, holds in the situation of Fig. 6.2A but not in that of Fig. 6.2B. For weak solutions to (6.1) with these simple discontinuities, if the entropy conditions are satisfied, the discontinuities are called shock waves. Thus the discontinuity depicted in Fig. 6.2A is a shock, but the one in Fig. 6.2B is not. The Riemann problem for (6.47) with initial data u` D 0; ur D 1, has an entropy-satisfying solution, different from that of Fig. 6.2B, which can be obtained as a special case of the following construction. Namely, we look for a piecewise smooth solution of (6.44), with initial data u.0; x/ D u` for x < 0; ur for x > 0, and which is Lipschitz continuous for t > 0, in the form (6.50)

u.t; x/ D v.t 1 x/:

The PDE (6.44) yields for v the ODE (6.51)

  v 0 .s/ F 0 .v.s//  s D 0:

We look for v.s/ Lipschitz on R, satisfying alternatively v 0 .s/ D 0 and F 0 .v.s// D s on subintervals of R, such that v.1/ D u` and v.C1/ D ur . Let us suppose that F .u/ is convex (F 00 > 0) for u between u` and ur and that the shock condition (6.49) is violated (i.e., we suppose u` < ur ). Since F 0 .u/ is monotone increasing on u`  u  ur , we can define an inverse map D .F 0 /1 , G W ŒF 0 .u` /; F 0 .ur / ! Œu` ; ur :

6. Weak solutions to scalar conservation laws; the viscosity method

467

F IGURE 6.4 Rarefaction Wave

Then setting

(6.52)

8 ˆ < u` ; v.s/ D G.s/; ˆ : ur ;

for s < F 0 .u` /; for F 0 .u` /  s  F 0 .ur /; for s > F 0 .ur /

completes the construction. For the PDE (6.47), with F 0 .u/ D u, the solution so produced is illustrated in Fig. 6.4. There is a fan of lines through .0; 0/ drawn in this figure, with speeds s running from 0 to 1, and u D s on the line with speed dx=dt D s. Solutions to (6.44) constructed in this fashion are called rarefaction waves. If F is concave between u` and ur , an analogous construction works, provided u` > ur . Rarefaction waves always satisfy the entropy conditions, since if u is a weak solution to (6.44), .u/t C q.u/x D 0 on any open set on which u is Lipschitz. In case F .u/ is either convex or concave over all of R, any Riemann problem for (6.44) has an entropy-satisfying solution, which is either a shock wave or a rarefaction wave. In these two respective cases we say u` is connected to ur by a shock wave or by a rarefaction wave. If F 00 .u/ changes sign, there are other possibilities. We illustrate one here; let ur < u` , and say F .u/ is as depicted in Fig. 6.5 (with an inflection point at v1 ).

F IGURE 6.5 More Complex Nonlinearity

468 16. Nonlinear Hyperbolic Equations

F IGURE 6.6 Rarefaction and Shock

F IGURE 6.7 Rarefaction Bounded by a Shock

By the analysis above, we see that if v1  v  v2 , we can connect u` to v by a rarefaction wave, and we can connect v and ur by a shock, as illustrated in Fig. 6.6. These can be fitted together provided ŒF .v/  F .ur /=.v  ur /  F 0 .v/. This requires v D v2 , so the solution is realized by a rarefaction wave bordered by a shock, as illustrated in Fig. 6.7. We now illustrate the entropy solution to ut C .1=2/.u2/x D 0 with initial data equal to the characteristic function of an interval, namely, (6.53)

u.0; x/ D 1; for 0  x  1; 0 otherwise:

For 0  t  2, this solution is a straightforward amalgamation of the rarefaction wave of Fig. 6.4 and the shock wave of Fig. 6.2A.For t > 2, there is an  interaction of the rarefaction wave and the shock wave. Let x./; t./ denote a point on the shock front (for t  2) where u D . From Œu D ; ŒF  D  2 =2, and s D ŒF =Œu D =2, we deduce  x x 0 ./ D D : t 0 ./ 2 2t 1=2 Hence x 0 =x D t 0 =2t, so log x D .1=2/ log p t C C , or x D kt . Since x D 2 at t D 2 on the shock front, this gives k D 2. Thus the shock front is given by

(6.54)

xD

p 2t; for t  2:

Exercises

469

F IGURE 6.8 Curved Shock Front

This is illustrated in Fig. 6.8. Note that the interaction of these waves leads to decay: r 2 (6.55) sup u.t; x/ D ; for t  2: t x

Exercises Exercises 1–3 examine a difference scheme approximation to (6.1), used by [CwS] and [Kot]. Let h D t; " D xj , and let ƒ be the n-dimensional lattice ƒ D fx 2 Rn W x D "˛; ˛ 2 Zn g: We want to approximate a solution u.t; x/ to (6.1) at t D hk; x D "˛, by u.k; ˛/, defined on ZC  ƒ, satisfying the difference scheme " # n   o 1 1 Xn  u k; ˛ C ı.j / C u k; ˛  ı.j / u.k C 1; ˛/  h 2n j D1 (6.56) n   o 1 Xn  Fj u.k; ˛ C ı.j //  Fj u.k; ˛  ı.j // D 0; C 2" j D1

for k  0, with initial condition u.0; ˛/ D f .˛/:

(6.57)

Here, ı.j / D .0; : : : ; 1; : : : ; 0/, with the 1 in the j th position. We impose the “stability condition” (6.58)

0
" ; An

A D max j

sup jwjM

jFj0 .w/j:

470 16. Nonlinear Hyperbolic Equations 1. Show that sup jf .˛/j  M H) ju.k; ˛/j  M:

(6.59)

˛

     (Hint: Write Fj u.k; ˛ C ı.j //  Fj u.k; ˛  ı.j // D ˆk˛j u.k; ˛ C ı.j //   u.k; ˛  ı.j // . Then rewrite (6.56) as u.k C 1; ˛/ D

n   o 1 Xn  u k; ˛ C ı.j / C u k; ˛  ı.j / 2n j D1

(6.60) 

n n    o h X ˆk˛j u k; ˛ C ı.j /  u k; ˛  ı.j / : 2" j D1

Hence u.k C 1; ˛/ D

X

k˛ˇ u.k; ˇ/;

ˇ 2ƒ

P where ˇ k˛ˇ D 1, and, given (6.58), k˛ˇ  0. Deduce that ju.k C 1; ˛/j  supˇ ju.k; ˇ/j:) 2. If v.k; ˛/ solves (6.56) with v.0; ˛/ D g.˛/, show that Xˇ ˇ Xˇ ˇ ˇu.k; ˛/  v.k; ˛/ˇ  ˇf .˛/  g.˛/ˇ: (6.61) ˛2ƒ

˛2ƒ

Compare with (6.4). Deduce that (6.62)

n X n X X ˇ  ˇ   ˇ X  ˇ ˇu k; ˛  u k; ˛ C ı.j / ˇ  ˇf .˛/  f ˛ C ı.j / ˇ: j D1 ˛2ƒ

j D1 ˛2ƒ

(Hint: With w.k; ˛/ D u.k; ˛/  v.k; ˛/, deduce from (6.56) that w.k C 1; ˛/ D

n   o 1 Xn  w k; ˛ C ı.j / C w k; ˛  ı.j / 2n j D1

(6.63) 

h 2"

n n X

   o ‰k;˛Cı.j / w k; ˛ C ı.j /  ‰k;˛ı.j / w k; ˛  ı.j / ;

j D1

      where Fj u.k; ˛/  Fj v.k; ˛/ D ‰k˛ w k; ˛ . Multiply (6.63) by k˛ D sgn w .k C 1; ˛/ and sum over ˛, to get X X jw.k C 1; ˛/j D k˛ w.k; ˛/; ˛

˛

where k˛ D

   o 1 Xn nh nh 1 ‰k˛ k;˛ı.j / C 1 C ‰k˛ k;˛Cı.j / : 2n " " j

Using 1 ˙ .nh="/‰k˛  0, deduce that 1  k˛  1:)

Exercises

471

3. Show that X (6.64)

n X X ˇ ˇ ˇ  ˇ  h1 ˇu.k C 1; ˛/  u.k; ˛/ˇ  A "1 ˇf ˛ C ı.j /  f .˛/ˇ j D1 ˛2ƒ

˛

C

"2

1 2n h

n X

X

ˇ    ˇ "2 ˇf ˛ C ı.j /  2f .˛/ C f ˛  ı.j / ˇ:

j D1 ˛2ƒ

(Hint: Set v.k; ˛/ D u.k C 1; ˛/, and apply (6.61). Then use (6.56) to analyze u.1; ˛/  f .˛/.) Let us use the notation # " n   o 1 1 Xn  t u.k; ˛/ D u k; ˛ C ı.j / C u k; ˛  ı.j / ; u.k C 1; ˛/  h 2n j D1 (6.65)   i 1h  v k; ˛ C ı.j /  v k; ˛  ı.j / ; j v.k; ˛/ D 2" so (6.56) takes the form (6.66)

t u C

n X

j Fj .u/ D 0:

j D1

The following is a special case of a result in [L4]. 4. Let and qj be as in (6.22). Assume 0 < m  00 .u/  M < 1; and strengthen (6.58) to

r  m "  1C 1 : An M Show that a solution u to (6.66) also satisfies X j qj .u/  0: (6.67) t .u/ C h

j

Compare with (6.24). 5. Let u .t; x/ be the entropy solution to ut C .1=2/.u2 /x D 0 with initial data u .0; x/ D  1 ; 0

for 0  x  ; otherwise:

Compare u to the solution to (6.53), illustrated in Fig. 6.8. Note that, given 0 <  < 1, we have u .t; x/ D u1 .t; x/ for large t, so there is no backward uniqueness. Show that as  ! 0; u ! u0 , depicted in Fig. 6.9. Show that u0 is an entropy solution of 1 ut C .u2 /x D 0; u.0; x/ D ı.x/: 2

472 16. Nonlinear Hyperbolic Equations

F IGURE 6.9 Solution with Initial Data ı.x/

7. Systems of conservation laws in one space variable; Riemann problems Here we consider L  L first-order systems of the form ut C F .u/x D 0;

(7.1)

where x belongs to either R or S 1 D R=Z. Here, u takes values in RL , or perhaps in some region   RL , and F W  ! RL is smooth. Assume  is simply connected. If u is a smooth solution of (7.1), then (7.2)

ut C A.u/ux D 0;

A.u/ D Du F .u/:

Thus A.u/ is an L  L matrix. We typically make the hypothesis of strict hyperbolicity, that A.u/ has L real and distinct eigenvalues: (7.3)

A.u/rj .u/ D j .u/rj .u/;

1 .u/ <    < L .u/:

The vectors rj .u/ 2 RL are eigenvectors of A.u/. The equation (7.1) is said to be a system of conservation laws because, if u.t; x/ either vanishes sufficiently rapidly as x ! ˙1 or is defined for x 2 S 1 , then Z (7.4) u.t; x/ dx D C is independent of t; thus the components of this vector are conserved quantities. To see this, using (7.1), we have d dt

Z

Z u.t; x/ dx D 

F .u/x dx D 0;

7. Systems of conservation laws in one space variable; Riemann problems

473

by the fundamental theorem of calculus. As we will see in  8, (7.1) will sometimes give rise to other “conservation laws” for u. We give a couple of examples of systems of conservation laws. First consider equations of isentropic compressible fluid flow. When x 2 Rn and n D 1, then the system (2.11) for compressible fluid flow specializes to vt C vvx D 

(7.5)

px ; 

t C vx C vx D 0: We assume p D p./ is a given function of , the most common relation being p./ D A ;

(7.6)

A > 0; 1 < < 2;

as in (2.12). We can rewrite (7.5) in conservation form: vt C

(7.7)

1 2

v 2 C q./



D 0;

x

t C .v/x D 0; where q 0 ./ D p 0 ./=. If p./ is given by (7.6), we can take q./ D

A  1  : 1

Alternatively, we can set m D v, the momentum density, and rewrite (7.5) as t C mx D 0;   m2 C p D 0: mt C x 

(7.8)

In this case, we have u D .; m/ and (7.9)

A.u/ D

m2

 2

0 C p 0 ./

1 2m

!

 D

0 v 2 C p 0 ./

1 ; 2v

which has eigenvalues and eigenvectors: (7.10)

p

˙ D v ˙ p 0 ./;

1 : r˙ D

˙ 

As a second example, consider this second-order equation, for real-valued V : (7.11)

Vt t  K.Vx /x D 0;

474 16. Nonlinear Hyperbolic Equations

which is a special case of (3.12). As discussed in  1 of Chap. 2, this equation arises as the stationary condition for an action integral (7.12)

“ h i 1 2 J.V / D Vt  F .Vx / dx dt: 2

Here, F .Vx / is the potential energy density. Thus K.v/ has the form K.v/ D F 0 .v/: If we set v D Vx ;

(7.13)

w D Vt ;

we get the 2  2 system vt  wx D 0;

(7.14)

wt  K.v/x D 0:

In this case, u D .v; w/ and  (7.15)

A.u/ D

0 Kv

1 ; 0

Kv D F 00 .v/:

We assume F 00 .v/ > 0. Then (7.14) is strictly hyperbolic; A.u/ has eigenvalues and eigenvectors (7.16)

p

˙ D ˙ K v ;

1 : r˙ D  ˙ 

As in the scalar case examined in  6, we expect classical solutions to (7.1) to break down, and we hope to extend these to weak solutions, with shocks, and so forth. Our next goal is to study the Riemann problem for (7.1), (7.17)

u.0; x/ D u` ;

for x < 0;

ur ;

for x > 0;

given u` ; ur 2 RL , and try to obtain a solution in terms of shocks and rarefaction waves, extending the material of (6.43)–(6.52). We first consider rarefaction waves, solutions to (7.1) of the form (7.18)

u.t; x/ D '.t 1 x/;

7. Systems of conservation laws in one space variable; Riemann problems

475

for '.s/ which is Lipschitz and piecewise smooth. Now ut D .x=t 2 /' 0 .x=t/ and ux D .1=t/'.x=t/, so (7.2) implies 

(7.19)

 A.'.s//  s ' 0 .s/ D 0:

Thus, on any open interval where ' 0 .s/ ¤ 0, we need, for some j 2 f1; : : : ; Lg, (7.20)

 

j '.s/ D s;

  ' 0 .s/ D ˛j .s/rj '.s/ ;

where rj .u/ is the j -eigenvector of A.u/ and ˛j .s/ is real-valued. Differentiating the first of these identities and using the second, we have (7.21)

    ˛j .s/ rj '.s/  r j '.s/ D 1:

We say that (7.1) is genuinely nonlinear in the j th field if rj .u/  r j .u/ is nowhere zero (on the domain of definition,   RL ). Granted the condition of genuine nonlinearity, one typically rescales the eigenvector rj .u/, so that (7.22)

rj .u/  r j .u/ D 1:

Then (7.20) holds with ˛j .s/ D 1. Consequently, if (7.1) is genuinely nonlinear in the j th field and u` 2 RL is given, then there is a smooth curve in RL , with one endpoint at u` , called the j -rarefaction curve: (7.23)

'jr .u` I /;

0    j ;

for some j > 0, so that (7.24)

'jr .u` I 0/ D u` ;

and, for any  2 .0; j /, the function u defined by 8 x ˆ u ; < j .u` /; for ˆ ˆ ` t ˆ <    x D  2 j .u` /; j 'jr .u` I / ; for (7.25) u.t; x/ D 'jr .u` I /; ˆ t ˆ ˆ ˆ : ' r .u I / D u ; for x > .u / r j r j ` t is a j -rarefaction wave. See Fig. 7.1. Note that given (7.22), we have (7.26)

d r ' .u` I 0/ D rj .u` /: d j

476 16. Nonlinear Hyperbolic Equations

F IGURE 7.1 J-Rarefaction Wave

Next we consider weak solutions to (7.1) of the form (7.27)

u.t; x/ D u` ; ur ;

for x < st; for x > st;

for t > 0, given s 2 R, the “shock speed.” As in (6.45), the condition that this define a weak solution to (7.1) is the Rankine–Hugoniot condition: (7.28)

sŒu D ŒF ;

where Œu and ŒF  are the jumps in these quantities across the line x D st; in other words, (7.29)

F .ur /  F .u` / D s.ur  u` /:

If course, if L > 1, unlike in (6.46), we cannot simply divide by ur  u` ; the identity (7.29) now implies the nontrivial relation that the vector F .ur /  F .u` / 2 RL be parallel to ur  u` . We will produce curves 'js .u` I /, smooth on  2 .j ; 0, for some j > 0, so that (7.30)

'js .u` I 0/ D u` ;

and, for any  2 .j ; 0, the function u defined by (7.27) is a weak solution to (7.1), with (7.31)

ur D 'js .u` I /;

s D sj ./;

where sj ./ is also smooth on .j ; 0. For notational convenience, set './ D 'js .u` I /. Thus we want (7.32)

    F './  F .u` / D sj ./ './  u` :

If this holds, then taking the -derivative yields (7.33)

      A './  sj ./ ' 0 ./ D sj0 ./ './  u` :

7. Systems of conservation laws in one space variable; Riemann problems

477

If this holds, setting  D 0 gives (7.34)

  A.u` /  sj .0/ ' 0 .0/ D 0;

so sj .0/ D j .u` /;

(7.35)

and ' 0 .0/ is proportional to rj .u` /. Reparameterizing in , if ' 0 .0/ ¤ 0, we can assume ' 0 .0/ D rj .u` /:

(7.36)

We now show that such a smooth curve './ exists. Guided by (7.36), we set (7.37)

'./ D u` C  rj .u` / C  ./

and show that, for  close to 0, there exists ./ 2 RL near 0, such that (7.33) holds. We will require that ./ 2 Vj , the linear span of the eigenvectors of A.u` / other than rj .u` /. Then we want to solve for 2 Vj ; 2 R:      (7.38)  1 F .u` C  rj .u` / C  /  F .u` /  j .u` / C rj .u` / C D 0: Denote the left side by ˆ , so ˆ W O  R ! RL ;

(7.39)

where O is a neighborhood of 0 in Vj . This extends smoothly to  D 0, with      ˆ0 . ; / D A.u` / rj .u` / C  j .u` / C rj .u` / C   (7.40) D A.u` /  j .u` /   rj .u` /: Note that ˆ0 .0; 0/ D 0. Also, (7.41)

   Dˆ0 .0; 0/ D A.u` /  j .u` /  rj .u` /;

which is an invertible linear map of Vj ˚R ! RL . The  inverse function theorem implies that, at least for  close to 0, ˆ ./; ./ D 0 for a uniquely defined smooth ./; ./ satisfying .0/ D 0; .0/ D 0. We see that the curve './ is defined on a two-sided neighborhood of  D 0, but, taking a cue from  6, we will restrict this to   0 to define the j -shock curve 'js .u` I /. Comparing (7.36) with (7.26), we see that 'js .u` I / and the j rarefaction curve 'jr .u` I / fit together to form a C 1 -curve, for  2 .j ; j /; we denote this curve by 'j .u` I /.

478 16. Nonlinear Hyperbolic Equations

In fact, assuming genuine nonlinearity, we can arrange that 'j .u` I / be a C 2 curve, after perhaps a further reparameterization of 'js .u` I /. To see this, we compute the second -derivatives at  D 0. This time, for notational simplicity, we denote the j -shock curve by 's ./ and the j -rarefaction curve by 'r ./. Recall that, given (7.22), the second equation in (7.20) becomes   'r0 ./ D rj 'r ./ :

(7.42)

Differentiation of this plus use of (7.26) yields 'r00 .0/ D rrj .u` / rj .u` /:

(7.43)

  Next, we take the -derivative of (7.33). Set A./ D A 's ./ . We get  (7.44)

   A./  sj ./ 's00 ./ C A0 ./  sj0 ./ 's0 ./   D sj00 ./ 's ./  u` C sj0 ./'s0 ./:

Thus, since sj .0/ D j .u` / and 's0 .0/ D rj .u` /, we have     A.0/  j .u` / 's00 .0/ D sj0 .0/  A0 .0/ rj .u` /:

(7.45)

       Now A./r j 's ./ D j 's ./ rj 's ./ . Let us write this identity as A./  

j ./ rj ./ D 0 and differentiate, to obtain  (7.46)

   A.0/  j .u` / rj0 .0/ D 0j .0/  A0 .0/ rj .u` /:

Subtracting from (7.45), we get  (7.47)

    A.u` /  j .u` / 's00 .0/  rj0 .0/ D 2sj0 .0/  0j .0/ rj .u` /:

Now the left side of (7.47) belongs to Vj , which is complementary to the span of rj .u` /, so both sides of (7.47) must vanish. This implies (7.48)

sj0 .0/ D

1 0 1 1

.0/ D 's0 .0/  r j .u` / D ; 2 j 2 2

and, since 's00 .0/  rj0 .0/ belongs to the null space of A.u` /  j .u` /, (7.49) for some ˇ 2 R.

's00 .0/ D rj0 .0/ C ˇrj .u` /;

7. Systems of conservation laws in one space variable; Riemann problems

479

Note that rj0 .0/ coincides with the quantity in (7.43). We claim that we can reparameterize 's ./ so that ˇ D 0 in (7.49), by taking (7.50)

e ' s ./ D '. C ˛ 2 /;

' 0s .0/ D 's0 .0/, and for appropriate ˛. Indeed, we have e ' s .0/ D 's .0/; e (7.51)

e ' 00s .0/ D 's00 .0/ C 2˛'s0 .0/ D 's00 .0/ C 2˛rj .u` /:

Thus, taking ˛ D ˇ=2 in (7.50) accomplishes this goal. Replacing 's ./ by (7.50), we arrange that the curve 'j .u` I / is C 2 in . Note that if ur D 'js .u` I /, for some  2 .j ; 0, the identity (7.48) together with (7.35) implies that the shock speed s D sj ./ of the weak solution (7.17) satisfies j .ur / < s < j .u` /, at least if  is close enough to 0. In view of the ordering of the eigenvalues of A.u/, we have the inequalities (7.52)

j 1 .u` / < s < j .u` /;

j .ur / < s < j C1 .ur /;

for  sufficiently close to 0. These are called the Lax j -shock conditions. The corresponding weak solutions are called shock waves. The function 'j .u` I / is in fact C 2 in .u` I /. We can define a C 2 -map (7.53)

    ‰.u` I 1 ; : : : ; L / D 'L 'L1    .'1 .u` /I 1 /    /I L1 I L :

Since .d=d /'j .u` I 0/ D rj .u` / and the eigenvectors rj .u` / form a basis of RL , we can use the inverse function theorem to conclude the following: Proposition 7.1. Assume the L  L system (7.1) is strictly hyperbolic and genuinely nonlinear in each field. Given u` 2 , there is a neighborhood O of u` such that if ur 2 O, then there is a weak solution to (7.1) with initial data (7.54)

u.0; x/ D u` ;

for x < 0;

ur ;

for x > 0;

consisting of a set of rarefaction waves and/or shock waves satisfying the Lax conditions (7.52). See Fig. 7.2 for an illustration, with L D 4. We consider how Proposition 7.1 applies to some examples. First consider the system (7.14), arising from the second-order equation (7.11). Here, with r˙ and

˙ given by (7.16), we have (7.55)

1 r˙  r ˙ D ˙ Kv1=2 Kvv : 2

480 16. Nonlinear Hyperbolic Equations

F IGURE 7.2 Shocks and Rarefactions

The strict hyperbolicity assumption is Kv ¤ 0 on . Given this, the hypothesis of genuine nonlinearity is that Kvv is nowhere vanishing. To achieve (7.22), we would rescale r˙ , changing it to p  Kv 1 p : r˙ D 2 Kv Kvv

(7.56)

In this case, given u` D .v` ; w` / 2   R2 , the rarefaction curves emanating from u` are the forward orbits of the vector fields rC and r , starting at u` . The jump condition (7.29) takes the form w`  wr D s.vr  v` /;

(7.57)

K.v` /  K.vr / D s.wr  w` /;

in this case. This requires K.v` /  K.vr / D s 2 .v`  vr /, so (7.58)

s w`  wr K.v` /  K.vr / D˙ : v`  vr v`  vr

This defines a pair of curves through u` ; half of each such curve makes up a shock curve. One occurrence of (7.11) is to describe longitudinal waves in a string, with V .t; x/ denoting the position of a point of the string, constrained to move along the x-axis. Physically, a real string would greatly resist being compressed to a degree that Vx D v ! 0. Thus a reasonable potential energy function F .v/ has the property that F .v/ ! C1 as v & 0; recall K.v/ D F 0 .v/. A situation yielding a strictly hyperbolic, genuinely nonlinear PDE is depicted in Fig. 7.3, in which F is convex, K is monotone increasing and concave, Kv is positive and monotone decreasing, and Kvv is negative. Here,  D f.v; w/ W v > 0g. We illustrate the rarefaction and shock curves through a point u` 2 , in Fig. 7.4, for such a case. A specific example is (7.59) F .v/ D

1 C v2 ; v

K.v/ D 1 

1 ; v2

K 0 .v/ D

2 ; v3

K 00 .v/ D 

6 : v4

7. Systems of conservation laws in one space variable; Riemann problems

F IGURE 7.3 Typical String Potential

F IGURE 7.4 Rarefaction and Shock Curves Through u`

481

482 16. Nonlinear Hyperbolic Equations

F IGURE 7.5 Solutions to Riemann Problems

In Fig. 7.5 we illustrate the solution of the Riemann problem (7.17), with ur D u1 and ur D u2 , respectively, where u1 and u2 are as pictured in Fig. 7.4. However, it must be noted that such an example as (7.59) is exceptional. A real elastic substance would tend to have a potential energy function F .v/ that increases much more rapidly for large (or even moderate) v. A specific example is 1 1 C C v; v 1v 2 2 K 0 .v/ D 3 C ; v .1  v/3 F .v/ D

(7.60)

1 1 C C 1; v2 .1  v/2  1 1 ; K 00 .v/ D 6 4  4 v .1  v/ K.v/ D 

on  D f.v; w/ W 0 < v < 1g. In this case, the system (7.14) is genuinely nonlinear except on the line fv D 1=2g. Another situation giving rise to (7.11) is a model of a string, vibrating in R2 , but (magically) constrained to have only transverse vibrations, so a point whose   coordinate on the string is x is at the point x; V .t; x/ 2 R2 at time t. In such a case,  D R2 and F .v/ has the form F .v/ D f .v 2 /, so K.v/ D 2f 0 .v 2 /v: Thus K.v/ is a smooth odd function on R. Hence Kvv is also odd and must vanish at v D 0. Thus genuine nonlinearity must fail at v D 0. We will return to this a little later; see (7.85)–(7.91). We next investigate how Proposition 7.1 applies to the equations of isentropic compressible fluid flow, in the form (7.8), which can be cast in the form vt  wx D 0; wt  K.v; w/x D 0;

(7.61)

a generalization of the form (7.14), if we set (7.62)

v D ;

w D m;

K.v; w/ D

w2 C p.v/: v

(This v is not the v in (7.5).) For smooth solutions, (7.61) takes the form (7.2) with  0 1 (7.63) A.u/ D  : Kv Kw

7. Systems of conservation laws in one space variable; Riemann problems

483

This has eigenvalues and eigenvectors (7.64)

1 1

˙ D  K w ˙ 2 2

q

1 :  ˙

 2 C 4K ; Kw v

r˙ D

With K.v; w/ given by (7.62), we have (7.65)

˙ D

m p 0 ˙ p ./; 

which is equivalent to (7.10). In this case, (7.66)

p 1  00 p 0 ./  D ˙ A . 3/=2 ; r˙  r ˙ D ˙ p p ./ C  p 0 ./

the last identity holding when p./ D A , as in (7.6). Thus the system (7.8) is genuinely nonlinear in the region  D f.; m/ W  > 0g. A number of important cases of Riemann problems are not covered by Proposition 7.1. We will take a look at some of them here, though our treatment will not be nearly exhaustive. First, we consider a condition that is directly opposite to the hypothesis of genuine nonlinearity. We say the j th field is linearly degenerate provided (7.67)

rj .u/  r j .u/ D 0

on :

In such a case, the integral curve of Rj D rj  r through u` , which we denote now by 'jc .u` I / instead of (7.23), does not produce a set of data ur for which there is a rarefaction wave solution to (7.17), of the form (7.18)–(7.20), but we do have the following. Lemma 7.2. Under the linear degeneracy hypothesis (7.67), if we set (7.68)

s D j .u` /;

and let ur D 'jc .u` I / for any  (for which the flow is defined), then (7.69)

u.t; x/ D u` ; ur ;

for x < st; for x > st

defines for t  0 a weak solution to the Riemann problem (7.17); that is, the Rankine–Hugoniot condition (7.29) is satisfied. Furthermore, (7.70)

j .ur / D s:

484 16. Nonlinear Hyperbolic Equations

Proof. Setting './ D 'jc .u` I /, we have   ' 0 ./ D rj './ ;

(7.71)

' 0 .0/ D u` :

By the definition of rj , this implies      A './  j './ ' 0 ./ D 0:

(7.72)

Now the Rankine–Hugoniot condition (7.29) for ur D './, with s D j .u` /, holds for all  if and only if i  d h  F './  j .u` /'./ D 0; d

(7.73) or equivalently,

    A './  j .u` / ' 0 ./ D 0:

(7.74) On the other hand,

        d

j './ D ' 0 ./  r j './ D rj './  r j './ D 0; d so (7.75)

 

j './ D j .u` / D s;

8 :

This implies (7.70) and also shows that the left sides of (7.72) and (7.74) are equal, so the lemma is proved. When the j th field is linearly degenerate, the weak solution to the Riemann problem defined by (7.69) is called a contact discontinuity. The term “contact” refers to the identity (7.70), that is, to (7.76)

j .u` / D s D j .ur /;

which contrasts with the shock condition (7.52). Note that in defining 'jc .u` I /, we do not restrict  to be  0, as for a j -shock curve, nor do we restrict  to be  0, as for a j -rarefaction curve. Rather,  runs over an interval containing 0 in its interior. There is a straightforward extension of Proposition 7.1: Proposition 7.3. Assume that the L  L system (7.1) is strictly hyperbolic and that each field is either genuinely nonlinear or linearly degenerate. Given u` 2 , there is a neighborhood O of u` such that if ur 2 O, then there is a weak solution to (7.1) with initial data

7. Systems of conservation laws in one space variable; Riemann problems

(7.77)

u.0; x/ D u` ; ur ;

485

for x < 0; for x > 0;

consisting of a set of rarefaction waves, shock waves satisfying the Lax condition (7.52), and contact discontinuities. An important example is the following system: t C .v/x D 0; (7.78)

.v/t C .v /x C p.; S /x D 0; 2

.S /t C .S v/x D 0; for a one-dimensional compressible fluid that is not isentropic; here S.t; x/ is the “entropy,” and the equation of state p D p./ is generalized to p D p.; S /. Compare with (5.61)–(5.62). Using m D v as before, we can write this system as

(7.79)

mt C

 m2

t C mx D 0;  C p.; S / D 0;

x  .S /t C .mS /x D 0:

Note that, for smooth solutions, we can replace the last equation by St C

(7.80)

m Sx D 0: 

In this case, we have u D .; m; S / and 0

(7.81)

0 B m2 C @p A.u/ D @ 2 @ 0 0 0 B D @v 2 C @p @ 0

1 2m

0 1 2v 0

0

1

@p C @S A m

0

1

@p C : @S A

v

Note that A.u/ leaves invariant the two-dimensional space f.a; b; 0/g, so as in (7.10) we have eigenvalues and eigenvectors s (7.82)

˙ D v ˙

@p ; @

r˙ D .1; ˙ ; 0/t :

486 16. Nonlinear Hyperbolic Equations

Also, by inspection A.u/t has eigenvector .0; 0; 1/t , with eigenvalue v, which must also be an eigenvalue of A.u/; we have   m p t m p t (7.83)

0 D v D ; r0 D 1; v;  D 1; ;  :  pS  pS Thus (7.84)

r0  r 0 D 

m m 1 C  D 0: 2   

Of course r˙  r ˙ are still given by (7.66). Thus we have one linearly degenerate field and two genuinely nonlinear fields for the 3  3 system (7.79). In  10 we will see that the study of a string vibrating in a plane gives rise to a 4  4 system that, in some cases, has two linearly degenerate fields and two genuinely nonlinear fields, though for such a system there are also more complicated possibilities. We now return to the 2  2 system (7.14), i.e., vt  wx D 0; wt  K.v/x D 0;

(7.85)

in cases such as those mentioned after (7.60), that is, K.v/ D 2f 0 .v 2 /v;

(7.86)

where  D R2 and f 0 is smooth, with f 0 .0/ > 0. Thus, as computed before, we have (7.87)

p

˙ D ˙ K v ;

r˙ D .1;  ˙ /t ;

1 r˙  r ˙ D ˙ Kv1=2 Kvv ; 2

or, with the ˙ subscript replaced by j I ˙1 D .1/j ; j D 1; 2, (7.88)

1 Rj j D .1/j Kvv Kv1=2 : 2

The genuine nonlinearity condition fails on the line v D 0. We will assume that f 0 is behaved so that Kv > 0 on R; Kvv > 0 on .0; 1/, Kvv < 0 on .1; 0/, and Kvvv .0/ > 0. Set (7.89)

j˙ D f.v; w/ W ˙Rj j > 0g;

so in the case we are considering, the regions j˙ are pictured in Fig. 7.6. In Fig. 7.7 we depict the various shock and rarefaction curves emanating from u` on the left and those emanating from ur on the right. The rarefaction curves, which are integral cuves of Rj , terminate upon hitting the vertical axis fv D 0g.

7. Systems of conservation laws in one space variable; Riemann problems

487

j

F IGURE 7.6 The Regions ˙

F IGURE 7.7 Rarefaction and Shock Curves Through u` and ur

On the other hand, the shock curves continue to produce solutions to the Riemann problem even after they cross this axis, though the Lax shock conditions might break down eventually. Note that the rarefaction curves from u` are flow-outs of j Rj in C and flow-outs of Rj in j . We look at the question of how to solve the Riemann problem when u` cannot be connected to curves that avoid the vertical axis v D 0. In Fig. 7.8 we indicate in one case how to extend the curve '1 .u` I / for positive , beyond the point where this curve (which initially, for  > 0, is an integral curve of R1 ) intersects the vertical axis. To decide precisely which ur lie on this continued curve, it is easiest to work backward from ur , along the shock curve 1 , continued across the vertical axis into the region fv < 0g. Let ua denote the first point along 1 at which the Lax shock condition fails. Thus the solution to the Riemann problem with initial data ua for x < 0; ur for x > 0, has a one-sided contact discontinuity, in the sense that the speed s satisfies (7.90)

1 .ua / D s < 1 .ur /:

Then the flow-out from ua under R1 gives rise to u` that are connected to ur by a solution such as that indicated in Fig. 7.9. Thus the solution consists of a rarefaction wave connecting u` to ua , followed by a jump discontinuity that is a one-sided contact and one-sided shock, as stated in (7.90).

488 16. Nonlinear Hyperbolic Equations

F IGURE 7.8 Connecting u` to ur

F IGURE 7.9 One-Sided Contact Discontinuity

In Fig. 7.10, we take the case illustrated by Fig. 7.8 and relabel the old ur as um , taking a new ur , connected to um by S2 [ e S 2 , consisting of the shock curve out of um , continued beyond the vertical axis until the Lax shock condition fails, at ub , and then followed by the flow-out from ub under R2 . The resulting solution to the Riemann problem is depicted in Fig. 7.11. First we have the 1-rarefaction connecting u` to ua , followed by the jump discontinuity connecting ua to um , as in Fig. 7.9. Then we have the jump discontinuity connecting um to ub , satisfying the shock/contact condition (7.91)

2 .um / < s D 2 .ub /:

Finally, ub is connected to ur by a 2-rarefaction.

7. Systems of conservation laws in one space variable; Riemann problems

489

F IGURE 7.10 Connecting u` to ur

F IGURE 7.11 Two One-Sided Contacts

Figures 7.9 and 7.11 should remind one of Fig. 6.7, depicting the solution to a Riemann problem for a scalar conservation law, satisfying Oleinik’s condition (E). In fact, it can be verified that the discontinuities produced by the construction above satisfy the following admissibility condition. Say a weak solution to (7.85) is equal to .v` ; w` / for x < st and to .vr ; wr / for x > st; t  0. Then the admissibility condition is that, for all v between v` and vr , either (7.92)

K.v/  K.v` / K.vr /  K.v` /  v  v` vr  v`

.if s  0/;

K.vr /  K.v` / K.v/  K.v` /  v  v` vr  v`

.if s  0/:

or (7.93)

Compare this to the formulation (6.48) of condition (E).

490 16. Nonlinear Hyperbolic Equations

In [Liu1] there is a treatment of a class of 2  2 systems, containing the case just described, in which an extension of condition (E) is derived. See also [Wen]. This study is extended to n  n systems in [Liu2]. Further interesting phenomena for the Riemann problem arise when there is breakdown of strict hyperbolicity. Material on this can be found in [KK2, SS2], and in the collection of articles in [KK3]. We will not go into such results here, though some mention will be made in  10. In addition to solving the Riemann problem when u` and ur are close, one also wants solutions, when possible, when u` and ur are far apart. There are a number of results along these lines, which can be found in [DD,KK1,Liu2,SJ]. We restrict our discussion of this to a single example. We give an example, from [LS], of a strictly hyperbolic, genuinely nonlinear system for which the Riemann problem is solvable for arbitrary u` ; ur 2 , but some of the solutions do not fit into the framework of Proposition 7.1. Namely, consider the 2  2 system (7.5)–(7.6) describing compressible fluid flow, for u D .v; /, with  D f.v; / W  > 0g. As seen in (7.10), if we switch to p .m; /coordinates, with m D v, then there are eigenvalues ˙ D m= ˙ p 0 ./ and eigenvectors R˙pD @=@ C ˙ @=@m. Thus integral curves of R˙ satisfy P D 1; m P D m= ˙ p 0 ./; hence m P  mP vP D D˙ 2

p p 0 ./ ; 

that is, integral curves of R˙ through .v` ; ` / are given by Z (7.94)

v  v` D ˙

`

p Z p p 0 .s/ ds D ˙ A s . 3/=2 ds: s `

If 2 .1; 2/, as assumed in (7.6), then these rarefaction curves intersect the axis  D 0. Note that if we normalize R˙ so that R˙ ˙ D 1, then (7.95)



R˙ D A 3 

  3 1=2

"p

# p 0 ./ @ @ ˙ :  @v @

Furthermore, specializing (7.58), we see that the shock curves from u` are given by

(7.96)

   `  v  v` D  p./  p.` / `

1=2 ;

for ˙ .`  / > 0:

Note that these shock curves never reach the axis  D 0. See Fig. 7.12 for a picture of the shock and rarefaction curves emanating from u` . Now, as in Fig. 7.13, pick u0 D .v0 ; 0 / 2  and consider the “triangular” region T , with apex at u0 , bounded by the integral curves of R (forward) and

7. Systems of conservation laws in one space variable; Riemann problems

491

F IGURE 7.12 Shock and Rarefaction Curves Through u`

F IGURE 7.13 Vacuum Region

of RC (backward) through u0 , and by the axis  D 0. This is a bounded region. Given any u` ; ur 2 T , we will produce a solution to the Riemann problem, whose intermediate state also belongs to T (or at least to T ). In fact, as seen in Fig. 7.13, if u` 2 T , the rarefaction and shock waves described before suffice to do this for ur in all of T except for a smaller triangular region in the lower right corner of T , which we call the “vacuum region.” This is bounded by part of @T , plus part of the integral curve of RC emanating from u , where u is the point of intersection of the R -integral curve through u` with f D 0g. What we do if ur belongs to this vacuum region is indicated in Figs. 7.14 and 7.15. Namely, u` is connectedpto the vacuum by a rarefaction wave, whose speed on the left is  .u` / D v`  p 0 .` / and whose speed on the right is  .u / D

 .v  ; 0/ D v  (since p 0 .0/ D 0 when (7.6) holds). Next, if ua D .v a ; 0/ is the point on the axis f D 0g from which issues the RC -integral curve through ur ,

492 16. Nonlinear Hyperbolic Equations

F IGURE 7.14 Connecting u` to ur Through the Vacuum

F IGURE 7.15 Associated Solution to the Riemann Problem

then the vacuum is connected to ur by a rarefaction wave whose speed on the left is C .ua / D v a > v  (if ua ¤ u ) and whose speed on the right is C .ur /. In the special case that ua D u , the vacuum state disappears, except for a single ray, along which the two rarefaction waves fit together. This concludes our discussion in this section of examples of the Riemann problem. In  10 there is further discussion for equations of vibrating strings. Continuing a theme from  6, we next explore the relation between the shock condition (7.52) and the possibility that the solution u is a limit as " & 0 of solutions to (7.97)

@t u" C @x F .u" / D "@2x u" :

Here, we will look for solutions to (7.97) of the form   (7.98) u" .t; x/ D v "1 .x  ct/ : This satisfies (7.97) if and only if (7.99)

 d  F .v/  cv./ D v 00 ./; d

7. Systems of conservation laws in one space variable; Riemann problems

493

or equivalently, if and only if there exist b 2 RL such that (7.100)

v 0 ./ D F .v/  cv  b D ˆcb .v/:

In other words, v./ should be an integral curve of the vector field ˆcb . The requirement that the limit u.t; x/ satisfy the Riemann problem (7.17) is equivalent to (7.101)

v.1/ D u` ;

v.C1/ D ur :

Consequently, u` and ur should be critical points of the vector field ˆcb , connected by a “heteroclinic orbit.” If this happens, we say u` is connected to ur via a “viscous profile.” For u` and ur to be critical points of ˆcb , we need (7.102)

F .u` /  cu` D b D F .ur /  cur ;

hence (7.103)

F .ur /  F .u` / D c.ur  u` /:

This is precisely the Rankine–Hugoniot condition (7.29), with s D c. Now, consider the behavior of the vector field ˆcb near each of these critical points. The linearization near u0 D u` or ur is given by   (7.104) V .u0 C v/ D A.u0 /  s v: Now, if (7.52) holds (i.e., j .ur / < s < j .u` /), and if ur and u` are sufficiently close, then A.u` /  s has L  .j  1/ positive eigenvalues and j  1 negative eigenvalues, while A.ur /  s has L  j positive eigenvalues and j negative eigenvalues. The qualitative theory of ODE guarantees the existence of a heteroclinic orbit from u` to ur (if they are sufficiently close). We will not give the proof here, but confine our discussion to a presentation of Fig. 7.16, illustrating the 2  2 case in which u` is connected to ur by a 1-shock. The ODE theory involved here has been developed quite far, in order also to investigate cases where u` and ur are not close but can still be shown to be connected by a viscous profile. The book [Smo] gives a detailed discussion of this. We mention a variant of the viscosity method described above, which was used in [DD]. Namely, we look at a family of solutions to (7.105)

@t u" C @x F .u" / D "t @2x u"

of the form (7.106)

u" .t; x/ D v" .t 1 x/;

494 16. Nonlinear Hyperbolic Equations

F IGURE 7.16 Forcing a Heteroclinic Orbit

where v" ./ solves (7.107)

  "v"00 ./ D A.v" /   v"0 ./;

and (7.108)

v" .1/ D u` ;

v" .C1/ D ur :

Setting w" ./ D v"0 ./, we get a .2L/.2L/ first-order system for V" D .v" ; w" /: (7.109)

    V"0 ./ D ‰ ; V" ./ D w" ./; "1 ŒA.v" /  w" ./ ;

with (7.110)

V" .1/ D .u` ; 0/;

V" .C1/ D .ur ; 0/:

The paper [DD] considered such solutions when (7.1) is a 2  2 system, satisfying (7.111)

@F1 < 0; @u2

@F2 < 0; @u1

8 u 2 R2 ;

a condition that guarantees strict hyperbolicity. In particular, it is shown in [DD] that this viscosity method leads to a solution to the Riemann problem for all data .u` ; ur / whenever (7.1) is a symmetric hyperbolic 22 system, satisfying (7.111). We mention another “viscosity method” that has been applied to 2  2 systems of the form (7.14). Namely, for " > 0, consider (7.112)

vt  wx D 0; wt  K.v/x D "vxt :

7. Systems of conservation laws in one space variable; Riemann problems

495

This comes via v D ux ; w D ut , from the equation (7.113)

ut t  K.ux /x D "uxxt ;

which arises in the study of viscoelastic bars; see [Sh1]  and [Sl]. We  look for a traveling wave solution U D .v; w/ of the form U .x  st/=" , satisfying U.1/ D .v` ; w` /; U.C1/ D .vr ; wr /. Thus we require (7.114)

s.v  v` /  .w  w` / D 0;   s.w  w` /  K.v/  K.v` / D sv 0 ./;

hence (7.115) sv 0 ./ D K.v/  K.v` /  s 2 .v  v` /I

v.1/ D v` ; v.C1/ D vr :

For this to be possible, one requires that .v/ D K.v/  K.v` /  s 2 .v  v` / vanish at v D vr as well as v D v` ; this together with the first part of (7.114) e D .v` ; w` / for x < constitutes precisely the Rankine–Hugoniot condition, that U st; .vr ; wr / for x > st; t  0, be a weak solution to (7.14). In addition, in order to solve (7.115), one requires that v` be a source for the vector field .sgn s/ .v/@=@v on R, that vr be a sink, and that there be no other zeros of .v/ for v between v` and vr . Thus we require K.v/  K.v` /  s 2 > 0; v  v` for v between v` and vr < if s > 0, and the reverse inequality if s < 0. Note that this implies the admissibility condition (7.92)–(7.93), given that K.vr /K.v` / D s 2 .vr  v` /. See the exercises after  8 for more on this viscosity method. There is a method for approximating a solution to (9.1) with general initial data, via solving a sequence of Riemann problems, called the Glimm scheme, after [Gl1], where it is used as a tool to establish the existence of global solutions for certain classes of initial-value problems. The method is the following: Divide the x-axis into intervals J of length `. In each interval J , pick a point x , at random, evaluate u.0; x / D a , and now consider the piecewise-constant initial data so obtained. Assuming, for example, that (8.1) is strictly hyperbolic and genuinely nonlinear, and ju.0; x/j  C , one can obtain for small h a weak solution v.t; x/ to (8.1) on .t; x/ 2 Œ0; h  R, consisting locally of solutions to Riemann problems; see Fig. 7.17. Now, pick a new sequence y of random points in J , evaluate v.h; y / D b , and repeat this construction to define v.t; x/ for .t; x/ 2 Œh; 2h  R. Continue. In [Gl1] there are results giving conditions under which one has v D v`;h well defined for .t; x/ 2 RC  R, and convergent to a weak solution as ` ! 0; h D c0 `. Further results can be found in [GL, DiP1, Liu5]; see also the treatment in [Smo]. In  9 we will describe a different method, due to [DiP4], to establish global existence for a class of systems of conservation laws.

496 16. Nonlinear Hyperbolic Equations

F IGURE 7.17 Setup for Glimm’s Scheme

Exercises In Exercises 1–3, we consider some shock interaction problems for a system of the form (7.1). Assume (7.1) is a 2  2 sysyem, strictly hyperbolic and genuinely nonlinear. Assume u` and ur are sufficiently close together. 1. Suppose that, for t < t0 ; u takes three constant values, u` ; um ; ur , in regions separated by shocks of the opposite family, with shock speeds sC ; s . Assume the faster shock is to the left. Thus these shocks must intersect; say they do so at t D t0 (see Fig. 7.18). Show that the solution to the Riemann problem at t D t0 , with data u` ; ur , consists of two shocks, s ; sC , as depicted in Fig. 7.18. In particular, there are no rarefaction waves. 2. Suppose that, for t < t0 ; u takes on three constant values u` ; um ; ur , in regions separated by shocks of the same family, say sC , and assume that the left shock has higher speed than the right shock. Thus these two shocks must intersect; say they do so at t D t0 (see Fig. 7.19). Show that the solution to the Riemann problem at t D t0 , with data u` ; ur , consists of a shock of the same family as those that interacted, together (perhaps) with either a shock wave or a rarefaction wave of the other family. (Hint: Study Fig. 7.4.) If only the second possibility can occur when two shocks of the same family collide, the 2  2 system is said to satisfy the “shock interaction condition.” This condition was introduced by Glimm and Lax; see [GL]. 3. Show that the shock interaction condition holds, at least for sufficiently weak shocks, provided that  D R2 and, for each u` 2 , the curves '1 .u` I / and '2 .u` I / are

F IGURE 7.18 Situation for Exercise 1

Exercises

497

F IGURE 7.19 Situation for Exercise 2

F IGURE 7.20 Situation for Exercise 3

F IGURE 7.21 Possible Attack on Exercise 3

both strongly convex, as in Fig. 7.20. Here, 'j .u` I / is obtained by piecing together the rarefaction curve 'jr .u` I / and the shock curve 'js .u` I /. (Hint: Show that if, for example, um lies on the 2-shock curve from u` , as in Fig. 7.21, then the 2-wave curve S2 [ e R2 is as pictured in that figure, as is the continuation of '2r .u` I / '2 .um I / D e for  < 0. To do this, you will need to look at @3 'j .u` I ˙0/. See [SJ].)

498 16. Nonlinear Hyperbolic Equations 4. Strengthen Proposition 7.1 as follows. Under the hypotheses of that proposition: Claim. Given u0 2 , there is a neighborhood O of u0 such that if u` ; ur 2 O, then there is a weak solution to (7.1) with initial data u.0; x/ D u` for x < 0; ur for x > 0. What is the difference? Similarly strengthen Proposition 7.3. 5. Consider shock wave solutions to the system produced in Exercise 1 of  5, namely, spherically symmetric shocks in compressible fluids. 6. Show that a solution to the system (7.1) is given by   (7.116) u.t; x/ D v '.t; x/ ; where ' is real-valued, satisfying the scalar conservation law   (7.117) 't C j v.'/ 'x D 0;   for some j , and v 0 .s/ is parallel to rj v.s/ , with j ; rj as in (7.3). Such a solution is called a simple wave. Rarefaction waves are a special case, called centered simple waves. Considering (7.117), study the breakdown of simple waves.

8. Entropy-flux pairs and Riemann invariants As in  7, we work with an L  L system of conservation laws in one space variable: (8.1)

ut C F .u/x D 0;

where u takes values in   RL and F W  ! RL is smooth. Thus smooth solutions also satisfy (8.2)

ut C A.u/ux D 0;

A.u/ D Du F .u/:

As noted in  7, if u.t; x/ vanishes sufficiently rapidly as x ! ˙1, then Z (8.3)

u.t; x/ dx 2 RL

is independent of t; so each component of (8.3) is a conserved quantity. An entropy-flux pair is a pair of functions (8.4)

; q W  ! R

with the property that the equation (8.1) implies

8. Entropy-flux pairs and Riemann invariants

499

.u/t C q.u/x D 0

(8.5)

as long as u is smooth. If there is such a pair, again given appropriate behavior as x ! ˙1, we have Z   d

u.t; x/ dx D 0; (8.6) dt so Z (8.7)

 

u.t; x/ dx D I .u/

is independent of t, hence is another conserved quantity, provided u.t; x/ is smooth. As we’ll see below, the situation is different for nonsmooth, weak solutions to (8.1). To produce a more operational characterization of entropy-flux pairs, apply the chain rule to the left side of (8.5), to get ut  r .u/ C ux  rq.u/, and substitute ut D A.u/ux from (8.2), to get (8.8)

 

.u/t C q.u/x D ux  A.u/t r .u/ C rq.u/ :

Thus the condition for . ; q/ to be an entropy-flux pair for (8.1) is that A.u/t r .u/ D rq.u/:

(8.9)

Note that (8.9) consists of L equations in two unknowns. Thus it is overdetermined if L  3. For L  3, some special structure is usually required to produce nontrivial entropy-flux pairs. For example, if A.u/ is symmetric, so @Fj =@uk D @Fk =@uj , and if   RL is simply connected, we can set F` .u/ D @g=@u` . In such a case, (8.10)

.u/ D

1X 2 uj ; 2

q.u/ D

X

uj Fj .u/  g.u/;

is seen to define an entropy-flux pair. Note that in this case is a strictly convex function of u. If L D 2, then (8.9) is a system of two equations in two unknowns. We can convert it to a single equation for as follows (assuming  is simply connected). The condition that Akj .u/ @ =@uk be a gradient field is that (8.11)

@  @  @  @  Akj .u/ D Ak` .u/ ; @u` @uk @uj @uk

for all j; `. We use the summation convention and hence sum over k in (8.11). We need verify (8.11) only for j < `, hence for j D 1; ` D 2, if L D 2. Carrying out the differentiation, we can write (8.11) as

500 16. Nonlinear Hyperbolic Equations



(8.12)

 @2 D 0; @um @uk

ı m ` Akj .u/  ı m j Ak` .u/

8 j < `:

In case L D 2, this becomes the single equation B11 .u/

(8.13)

@2 @2 @2 C 2B .u/ C B .u/ D 0; 12 22 @u2 @u1 @u21 @u22

with B11 .u/ D A12 .u/ D  B22 .u/ D A21 .u/ D

(8.14)

@F1 ; @u2

@F2 ; @u1

2B12 .u/ D A11 .u/  A22 .u/ D

@F1 @F2  : @u1 @u2

Lemma 8.1. If (8.2) is a 2  2 system, then (8.13) is a linear hyperbolic equation for if and only if (8.2) is strictly hyperbolic. Proof. The  equation (8.13) is hyperbolic if and only if the matrix B.u/ D  Bjk .u/ has negative determinant. We have 1 det B.u/ D A12 A21  .A11  A22 /2 4 1 2 D  .A11  2A11 A22 C A222 C 4A12 A21 /: 4 Meanwhile,   det A.u/  D 2  .A11 C A22 / C A11 A22  A12 A21 ; so A.u/ has two real and distinct eigenvalues if and only if .A11 C A22 /2  4.A11 A22  A12 A21 / > 0: This last quantity is seen to be equal to 4 det B.u/, so the lemma is proved. We will be particularly interested in producing entropy-flux pairs . ; q/ such that is convex. The reason for doing so is explained by the following result, which extends (6.21)–(6.24). Proposition 8.2. Consider solutions u" of (8.15)

@t u" C A.u" /@x u" D "@2x u" ;

" > 0:

8. Entropy-flux pairs and Riemann invariants

501

Suppose that, as " & 0; u" converges boundedly a.e. to u, a weak solution of @t u C @x F .u/ D 0:

(8.16)

If . ; q/ is an entropy-flux pair and is convex, then

.u/t C q.u/x  0;

(8.17)

in the sense that this is a nonpositive measure. Here, if F; , and q are defined on an open set   RL , we assume u" .t; x/ 2 K  . Proof. Take the dot product of (8.15) with r .u" / to get @t .u" / C @x q.u" / D "r .u" /  @2x u" :

(8.18) Use the identity

(8.19) .v/xx D r .v/  vxx C

X

jk .v/.@x vj /.@x vk /;

j;k

jk .v/ D

@2 ; @vk @vj

to get

(8.20)

.u" /t C q.u" /x D " .u" /xx  "

X

jk .u" /.@x uj" /.@x uk" /

 " .u" /xx ;

by convexity of . Now passing to the limit " ! 0 gives (8.21)

.u" / ! .u/;

q.u" / ! q.u/;

boundedly and a.e., hence weak in L1 , while the right side of (8.20) tends to 0 in the distributional topology. This yields (8.17). The inequality (8.17) is called an entropy condition. Suppose u is a weak solution to (8.1) which is smooth on a region O  R2 except for a simple jump across a curve  O. If . ; q/ is an entropy-flux pair, then .u/t C q.u/x D 0 on O n . Suppose (8.17) holds for u. Then the negative measure .u/t C q.u/x D  is supported on ; in fact, for continuous ' with compact support in O, Z (8.22)



Z ' d D



 sŒ   Œq ' d;

502 16. Nonlinear Hyperbolic Equations

where Œ  and Œq are the jumps of and q across , in the direction of increasing t; s D dx=dt on is the shock speed; and d is the arclength along . Consequently, such an entropy-satisfying weak solution of (8.1) has the property sŒ   Œq  0 on :

(8.23)

We remarked in  7 that if u` and ur are close and the Riemann problem (7.17) has a solution consisting of a j -shock, satisfying the Lax shock condition (7.52), then u` and ur are connected by a viscous profile; we sketched a proof for 2  2 systems. It follows from Proposition 8.2 that such solutions satisfy the entropy condition (8.17), for all convex entropies. We give some explicit examples of entropy-flux pairs. First consider the system (7.14), namely, vt  wx D 0;

(8.24)

wt  K.v/x D 0;

for which ˙ and r˙ are given by (7.16). In this case, one can use (8.25)

1

.v; w/ D w 2 C 2

Z

v

q.v; w/ D wK.v/:

K.s/ ds; v0

Note that is strongly convex as long as K 0 .v/ > 0. For the equation (7.5) of isentropic compressible fluid flow, we can set (8.26)

1

.v; / D v 2  C X./; 2

0

Z



X ./ D 0

p 0 .s/ ds; s

which is the total energy, with flux q.v; / D

(8.27)

1 2

 v 2  C X 0 ./ v:

In the .; m/-coordinates used to express the PDE in conservation form (7.8), we have

.; m/ D

(8.28)

m2 C X./: 2

In this case (8.29)

D D 2

p 0 . /

C

 m2

m2 3

 m2 1

!

 1 p 0 ./ C v 2 D v 

so .; m/ is strongly convex as long as p 0 ./ > 0.

v ; 1

8. Entropy-flux pairs and Riemann invariants

503

We aim to present a construction of P. Lax of a large family of entropy-flux pairs, for 2  2 systems. In order to do this, and also for further analysis in  9, it is useful to introduce the concept of a Riemann invariant. If A.u/ D Du F .u/ has eigenvalues and eigenvectors j .u/; rj .u/, as in (7.3), we say a smooth function  W  ! R is a k-Riemann invariant provided rk  r D 0. In the case of a system of the form (7.14), where r˙ D .1;  ˙ /t ; ˙ D

˙ .v/, we see that Riemann invariants are constant on integral curves of @=@v 

˙ .v/ @=@w, that is, curves satisfying dv=dw D 1= ˙ .v/, so we can take Z (8.30)

˙ .v; w/ D w C

v v0

Z

˙ .s/ ds D w ˙

v

p K 0 .s/ ds:

v0

Also, any functions of these are Riemann invariants. In the case of the system (7.8) for compressible p fluids (in .; m/ coordinates), where we have r˙ D .1; ˙ /t ; ˙ D m= ˙ p 0 ./, the Riemann invariants are constant onpintegral curves of @=@ C ˙ @=@m (i.e., curves satisfying d m=d D m= ˙ p 0 ./). If we switch to .; v/-coordinates, with v p D m=, then d m=d D  dv=d C v, so these level curves satisfy  dv=d D ˙ p 0 ./. Hence we can take Z (8.31)

˙ .; v/ D v

0

p p p 0 .s/ 2 A . 1/=2 ds D v

 ; s 1

the latter identity holding when p./ D A , with > 1, and we take 0 D 0. The following is a useful characterization of Riemann invariants. Proposition 8.3. Suppose that (8.1) is a strictly hyperbolic 2  2 system and that  has a coordinate system .1 ; 2 /, such that k is a k-Riemann invariant. Then, for k D 1; 2, (8.32)

A.u/t rk .u/ D j .u/rk .u/;

j ¤ k:

Conversely, for j D 1; 2, (8.33)

A.u/t r.u/ D j .u/r.u/ H)  is a k-Riemann invariant, k ¤ j:

Proof. Since fr1 .u/; r2 .u/g is a basis of R2 for each u 2 , we see that (8.34)

rk .u/  .u/ D 0 H) .u/ D ˛.u/rk .u/;

for some scalar ˛.u/. Meanwhile, (8.35)

A.u/t .u/ D j .u/ .u/ ” rk  A.u/t D j rk  :

504 16. Nonlinear Hyperbolic Equations

Since also rk  A.u/t D  A.u/rk D k rk  and j ¤ k , we see that (8.36)

A.u/t .u/ D j .u/ H) rk .u/  .u/ D 0 H) .u/ D ˛.u/rk .u/;

the last implication by (8.34). However, since A.u/t does have a nonzero j eigenspace, this yields (8.32). It also establishes the converse, (8.33). Proposition 8.3 has the following consequence: Proposition 8.4. Suppose that (8.1) is a strictly hyperbolic 2  2 system and that  has a coordinate system k ; k D 1; 2, consisting of k-Riemann invariants. If u is a Lipschitz solution of (8.1), then @t 1 .u/ C 2 .u/@x 1 .u/ D 0;

(8.37)

@t 2 .u/ C 1 .u/@x 2 .u/ D 0:

Proof. For j ¤ k, we have

(8.38)

@t j .u/ C k .u/@x j .u/ D @t u  rj .u/ C k .u/@x u  rj .u/ D @t u  rj .u/ C @x u  A.u/t rj .u/   D @t u C A.u/@x u  rj .u/;

the second identity by (8.32). This proves (8.37). Following [L4], we now present a geometrical-optics-type construction of solutions to (8.9), for certain 2  2 systems, which yields convex entropy functions in favorable circumstances. We look for solutions of the form  

D e k' 0 C k 1 1 C    C k N N C e

N ; (8.39)   q D e k' q0 C k 1 q1 C    C k N qN C e qN ; where ' D '.u/; j D j .u/; qj D qj .u/; k is a parameter that will be taken large, and we will havee

N ;e q N D O.k N /. In fact, plugging this ansatz into (8.9) and equating like powers of k, we obtain q0 r' D 0 A.u/t r';

(8.40) and, for 0  j  N  1, (8.41)

nqj C1 r' C rqj D j C1 A.u/t r' C A.u/t r j :

If 0 ¤ 0, (8.40) says (8.42)

A.u/t r' D

q0 r';

0

8. Entropy-flux pairs and Riemann invariants

505

so q0 = 0 is an eigenvalue of A.u/t and r' an associated eigenvector. By Proposition 8.3, the equation (8.40) holds provided we take (8.43)

q0 D ` 0 ;

' D k ;

k ¤ `;

where ` is one of the two eigenvalues of A.u/ and k is a k-Riemann invariant. We have solved the eikonal equation for '. For definiteness, let us take k D 1; ` D 2. Rather than tackle (8.41) directly, let us note that (8.9) is equivalent to (8.44)

R q D  R ;

R D r  r;

 D 1; 2:

Thus we can rewrite (8.40) and (8.41) as (8.45)

q0 R ' D 0  R ';

 D 1; 2;

and, for 0  j  N  1, (8.46)

qj C1 R ' C R qj D j C1  R ' C  R j ;

 D 1; 2:

Clearly, (8.43) yields '; q0 ; 0 satisfying (8.45). We have R1 ' D 0;

(8.47)

R2 ' D R2 1 :

Thus (8.46) takes the form (8.48)

R1 qj D 1 R1 j ;

.qj C1  2 j C1 /.R2 k / D 2 R2 j  R2 qj :

For j D 0, using q0 D 2 0 , we obtain the transport equation (8.49)

R1 0 C

R1 2

0 D 0;

2  1

which is an ODE along each integral curve of R1 . This specifies 0 , given initial data on a curve transverse to R1 , and then q0 is specified by (8.43). We can arrange that 0 > 0. Note that this specification of 0 ; q0 is independent of the choice of 1-Riemann invariant ' D 1 . Similarly the higher transport equations (i.e., (8.48) for j  1), give j and qj , for j  1. Compare the geometrical optics construction in  6 of Chap. 6. Once the transport equations have been solved to high order, one is left with a nonhomogeneous, linear hyperbolic system to solve, to obtain exact solutions . ; q/ to (8.9). It is also useful to write the transport equation (8.46) using the Riemann invariants .1 ; 2 / as coordinates on , if that can be done. We obtain for D .1 ; 2 / and q D q.1 ; 2 / the system

506 16. Nonlinear Hyperbolic Equations

(8.50)

@q @ D 2 ; @1 @1

@q @ D 1 ; @2 @2

equivalent to (8.9) and to (8.44), and, if ' D 1 , then (8.46) becomes (8.51)

@qj @ j D 1 ; @2 @2

qj C1  2 j C1 D 2

@qj @ j  : @1 @1

The equation (8.49) takes the form (8.52)

1 @ 0 @ 2 C

0 D 0: @2

2  1 @2

As stated in (8.43), we have q0 D 2 0 . We also record one implication of (8.51) for 1 ; q1 : (8.53)

q1  2 1 D 

@ 2

0 : @1

In particular, if 0 > 0, then q1  2 1 has the opposite sign to @ 2 =@1 (if this is nonvanishing, which is the case if (8.1) is genuinely nonlinear). Since it is of interest to have convex entropies , we make note of the following result, whose proof involves a straightforward calculation: Proposition 8.5. If .k/ is given by (8.39), with 0 > 0 on , then, for k sufficiently large and positive, .k/ is strongly convex on any given 0  , provided r' ¤ 0 on  and, at any point u0 2 , if V D a1 @=@u1 C a2 @=@u2 , is a unit vector orthogonal to r'.u0 /, then (8.54)

V 2 '.u0 / > 0:

If ' satisfies the hypotheses of Proposition 8.5, we say ' is (strongly) quasiconvex. Clearly, (8.54) implies that a tangent line to f' D cg at u0 lies in f' > cg on a punctured neighborhood of u0 . Equivalently, ' is quasi-convex on   R2 if and only if the curvature vector of each level curve f' D cg at any point u0 2  is antiparallel to the vector r'.u0 /. Note that if  is convex and ' is quasi-convex on , then each region f'  cg is convex. Thus a favorable situation for exploiting the construction (8.39) to obtain a strongly convex entropy is one where  has a coordinate system .1 ; 2 / consisting of quasi-convex Riemann invariants. Note that if this is the case, we can form j D e j , for some large constant , and obtain a coordinate system consisting of strongly convex Riemann invariants. Consider the Riemann invariants ˙ of (8.30), for the system (7.14), containing models of elasticity. We see that C and  are quasi-convex, where K 00 .v/ > 0, and that C and  are quasi-convex, where K 00 .v/ < 0, granted that K 0 .v/ is

Exercises

507

nowhere vanishing. As for the Riemann invariants (8.31) for the system (7.7) of compressible fluid flow, with variables .v; /, given 1 < < 3 we have C and  quasi-convex on f.v; / W  > 0g. We end this section with the remark that the proof of Proposition 8.4 provides just a taste of the use of geometrical optics in nonlinear PDE, extending such developments of geometrical optics for linear PDE as discussed in Chap. 6. For further results on nonlinear geometrical optics, one can consult [JMR] and [Kic], and references given therein. In particular, [Kic] describes how constructions of nonlinear geometrical optics lead to such “soliton equations” as the Korteweg– deVries equation, the sine-Gordon equation, and the “nonlinear Schr¨odinger equation.” Studies of propagation of weak singularities of solutions to nonlinear equations, initiated in [Bon] and [RR], have also been pursued in a number of papers. Expositions of some of these results are given in [Bea, H, Tay].

Exercises 1. Assume . ; q/ is an entropy-flux pair for (8.1), and fix u0 2 . Show that

e

.u/ D .u/  .u0 /  .u  u0 /  r .u0 /;   e q.u/ D q.u/  q.u0 /  F .u/  F .u0 /  r .u0 /

(8.55)

.u/  0, and it is also an entropy-flux pair. Note that if is strictly convex, then e vanishes if and only if u D u0 . Exercises 2–4 involve an L  L system of conservation laws in n space variables: (8.56)

ut C

n X

@j Fj .u/ D 0;

j D1

where Fj W  ! RL ;  open in RL . An entropy-flux pair is a pair of functions

W  ! R;

q W  ! Rn ;

satisfying Aj .u/t r .u/ D rqj .u/; 1  j  n;   where Aj .u/ D Du Fj .u/; q.u/ D q1 .u/; : : : ; qn .u/ . This material is from [FL2]. 2. Show that if (8.57) holds, then any smooth solution to (8.56) also satisfies X

.u/t C @j qj .u/ D 0:

(8.57)

j

3. Show that if each Aj .u/ is a symmetric L  L matrix, then an entropy-flux pair is given by X 1 u` Fj ` .u/  gj .u/;

.u/ D juj2 ; qj .u/ D 2 `   where Fj .u/ D Fj1 .u/; : : : ; FjL .u/ ; Fj ` .u/ D @gj =@u` .

508 16. Nonlinear Hyperbolic Equations 4. Show that if there is an entropy-flux pair . ; q/ such that is strongly convex, then the positive-definite, L  L matrix .@2 =@uj @uk / is a symmetrizer for (8.56). In Exercises 5–7, let u" D .v" ; w" / be smooth solutions to (8.58)

@t v"  @x w" D 0; @t w"  @x K.v" / D "@x @t v" ;

for t  0. Assume " > 0. 5. If either x 2 S 1 or the functions in (8.58) decrease fast enough as jxj ! 1, show that E.t/ D

Z h  i 1 w.t; x/2 C K v.t; x/ dx 2

satisfies dE D " dt

Z wx .t; x/2 dx:

6. If . ; q/ is an entropy-flux pair for (8.59)

vt  wx D 0; wt  K.v/x D 0;

show that @t .u" / C @x q.u" / D "

@ .u" / @2x w" : @w

If (8.60)

@ .u" / D 0 .w" /; @w

and is convex (which holds for . ; q/ given by (8.25)), deduce that @t .u" / C @x q.u" /  "@2x .w" /: 7. Now suppose that, as " & 0; u" converges boundedly to u D .v; w/, a weak solution to (8.59). If . ; q/ is an entropy-flux pair and (8.60) holds, with convex, deduce that (8.61)

.u/t C q.u/x  0;

in the same sense as (8.17). Taking . ; q/ as in (8.25), deduce that if u has a jump across , as in (8.23), then Z K.v` /.vr  v` /  K.vr /.vr  v` / 

vr

v` Z vr v`

1 K./ d  .wr  w` /2 ; 2 1 K./ d C .wr  w` /2 : 2

9. Global weak solutions of some 2  2 systems

509

9. Global weak solutions of some 2  2 systems Here we establish existence, for all t  0, of entropy-satisfying weak solutions to a class of 2  2 systems of conservation laws in one space variable: (9.1)

ut C F .u/x D 0;

u.0; x/ D f .x/:

We will take x 2 S 1 D R=Z; modifications for x 2 R are not difficult. We assume f takes values in a certain convex open set   R2 and F W  ! R2 is smooth. As before, we set A.u/ D DF .u/, a 2  2 matrix-valued function of u. We assume strict hyperbolicity; namely, A.u/ has real, distinct eigenvalues

1 .u/ < 2 .u/, with associated eigenvectors r1 .u/; r2 .u/. We will assume that  has a global coordinate system .1 ; 2 /, where j 2 C 1 ./ is a j -Riemann invariant. In fact, we assume that  maps  diffeomorphically onto a region R D f W A1 < 1 < B1 ; A2 < 2 < B2 g; where 1  Aj < Bj  C1. The assumptions stated in this paragraph will be called the “standard hypotheses” on (9.1). We will obtain a solution to (9.1) as a limit of solutions to (9.2)

@t u" C @x F .u" / D "@2x u" ;

u" .0; x/ D f .x/:

Methods of Chap. 15,  1 (particularly Proposition 1.3 there), yield, for any " > 0, a solution u" .t/, defined for 0  t < T ."/, given any f 2 L1 .S 1 /, taking values in a compact subset of . The solution is C 1 on .0; T ."//  S 1 and continues as long as we have u" .t; x/ 2 K;

(9.3)

for some compact K  . For now we make the hypothesis that (9.3) holds, for all t  0. We also have the identity Z (9.4)

ku" .t/k2L2 C "

0

t

k@x u" .s/k2L2 ds D kf k2L2 :

To study the behavior of the solutions u" to (9.2) as " ! 0, we use the theory of Young measures, developed in  11 of Chap. 13. By Proposition 11.3 of Chap. 13, there exists a sequence uj D u"j , with "j ! 0, and an element .u; / 2 Y 1 .RC  S 1 / such that (9.5)

uj ! .u; / in Y 1 .RC  S 1 /:

510 16. Nonlinear Hyperbolic Equations

By Proposition 11.1 and Corollary 11.2 of Chap. 13, F .uj / ! F weak in L1 .RC  S 1 /;

(9.6) where

Z F .x/ D

(9.7)

F .y/ d t;x .y/;

a.e. .t; x/ 2 RC  S 1 :

R2

Since "@2x uj ! 0 in D0 .RC  S 1 /, this implies @t u C @x F D 0:

(9.8)

To conclude that u is a weak solution to (9.1), we need to show that F D F .u/, which will follow if we can show that the convergence uj ! .u; / in Y 1 .RC  S 1 / is sharp (i.e., D u ), or equivalently, that t;x is a point mass on R2 , for almost every .t; x/ 2 RC  S 1 . Following [DiP4] we use entropy-flux pairs as a tool for examining , in a chain of reasoning parallel to, but somewhat more elaborate than, that used to treat the scalar case in  11 of Chap. 13. For any smooth entropy-flux pair . ; q/, we have @t .u" / C @x q.u" / D "@2x .u" /  "@x u"  00 .u" / @x u" ;

(9.9)

where 00 .u" / is the 2  2 Hessian matrix of second-order partial derivatives of . We have the identity Z

T

(9.10) " 0

Z

@x u"  00 .u" / @x u" dx dt D

Z

 

f .x/ dx 

Z

 

u" .T; x/ dx:

We rewrite (9.9) as (9.11)

@t .u" / C @x q.u" / D "@2x .u" /  R" ;

with (9.12)

R" bounded in L1 .RC  S 1 /:

If is convex, this follows directly from (9.10), since then the left side of (9.10) is the integral of a positivepquantity. But even if is not assumed to be convex, we can appeal to (9.4) to say "@x u" is bounded in L2 .RC  S 1 /, and this plus (9.3) implies (9.12). 0 deduce from (9.3)–(9.4) that the quantity p Since @x .u" / D .u" / @2x u" ,Cwe also "@x .u" / is bounded in L .R  S 1 /. Hence (9.13)

"@2x .u" / ! 0 in H 1 .RC  S 1 /; as " ! 0:

9. Global weak solutions of some 2  2 systems

511

Now we can apply Lemma 12.6 of Chap. 13 (Murat’s lemma) to deduce from (9.11)–(9.13) that (9.14)

1 @t .u" / C @x q.u" / is precompact in Hloc .RC  S 1 /:

Now, let . 1 ; q1 / and . 2 ; q2 / be any two entropy-flux pairs, and consider the vector-valued functions (9.15)

  vj D 1 .uj /; q1 .uj / ;

  wj D q2 .uj /;  2 .uj / ;

where uj is as in (9.5). By (9.14), we have (9.16)

div vj ;

rot wj

1 precompact in Hloc .RC  S 1 /:

Also the L1 bound on uj implies that vj and wj are bounded in L1 .RC  S 1 /, and a fortiori in L2loc .RC  S 1 /. Therefore, we can apply the div-curl lemma, either in the form developed in the exercises after  8 of Chap. 5 or in the form developed in the exercises after  6 of Chap. 13. We have (9.17)

vj  wj ! v  w in D0 .RC  S 1 /;

v D . 1 ; q 1 /; w D .q 2 ;  2 /:

In view of the L1 -bounds, we hence have (9.18)

1 .uj /q2 .uj /  2 .uj /q1 .uj / ! 1 q 2  2 q 1 weak in L1 .RC  S 1 /:

Recall that we want to show that any measure  D t;x , arising in the disintegration of the measure in (9.5), is supported at a point. We are assuming that there are global coordinates .1 ; 2 / on  consisting of Riemann invariants. Let (9.19)

R D f W aj  j  ajC g

be a minimal rectangle (in -coordinates) containing the support of . The following provides the key technical result: Lemma 9.1. If a1 < a1C , then each closed vertical side of R must contain a point where @ 2 =@1 D 0. Proof. We have from (9.18) that (9.20)

h; 1 q2  2 q1 i D h; 1 ih; q2 i  h; 2 ih; q1 i;

  for all entropy-flux pairs . j ; qj /. Let .k/; q.k/ be a family of entropy-flux pairs of the form (8.39), with k 2 R; jkj large, so that .k/ > 0. Thus, for jkj large, we can define a probability measure k by

512 16. Nonlinear Hyperbolic Equations

(9.21)

hk ; f i D

h; .k/f i : h; .k/i

We can take a subsequence kn ! C1 such that (9.22)

kn ! C ; kn !  ; weak in M./:

In view of the exponential factor e k1 in .k/, it is clear that (9.23)

supp ˙  R \ f1 D a1˙ g:

˙ Now set ˙ 2 D h ; 2 i. We claim that

(9.24)

˙ h; q  ˙ 2 i D h ; q  2 i;

for every entropy-flux pair . ; q/. To establish this, use (9.20) with . 1 ; q1 / D . ; q/ and . 2 ; q2 / D .k/; q.k/ . We get (9.25)

h; q.k/i h; q.k/  .k/qi D h; i  h; qi: h; .k/i h; .k/i

Since, by (8.43), q0 D 2 0 in the expansion (8.39), we have (9.26)

h; 2 .k/i h; q.k/i D C O.k 1 / D hk ; 2 i C O.k 1 /: h; .k/i h; .k/i

Now, letting k D ˙kn and passing to the limit yield h˙ ; 2 i D ˙ 2 for (9.26). Similarly, (9.27)

h; q.k/i ! h˙ ; 2 i; h; .k/i

so (9.25) yields (9.24) in the limit.     Now, use (9.20) with . 1 ; q1 / D .k/; q.k/ ; . 2 ; q2 / D .k/; q.k/ . Thus (9.28)

h; .k/q.k/  .k/q.k/i h; q.k/i h; q.k/i D  : h; .k/ih; .k/i h; .k/i h; .k/i

C The right side converges to  2  2 as k D kn ! C1. Meanwhile, note that 1

.k/q.k/  .k/q.k/ D O.k /. Also h; .k/ih; .k/i ! C1, faster C  than e k.a1 a1 "/ , by the definition of R, if a1 < a1C . Thus the left side of (9.28) tends to zero. We deduce that

(9.29)



C 2 D 2 :

9. Global weak solutions of some 2  2 systems

513

The identities (9.24) and (9.29) imply that hC ; q  2 i D h ; q  2 i;

(9.30)

  for every entropy-flux pair . ; q/. Now with . ; q/ D .k/; q.k/ , we have (9.31)

˛ ˙˝ h˙ ; q  2 i D e ka1 ˙ ; .q1  2 1 /k 1 C O.k 2 / ;

where 1 k 1 and q1 k 1 are the second terms in the expansion (8.39). If a1 < a1C , the identity of these two expressions forces h˙ ; q1  2 1 i D 0. By (8.53), this implies D (9.32)

˙ ; 0

@ 2 E D 0: @1

Since ˙ are probability measures and 0 > 0, this forces @ 2 =@1 to change sign on supp ˙ , proving the lemma. Corollary 9.2. If (9.1) is genuinely nonlinear, so @ 1 =@2 and @ 2 =@1 are both nowhere vanishing, then  is supported at a point. We therefore have the following result: Theorem 9.3. Assume that (9.1) satisfies the standard hypotheses and that solutions u" to (9.2) satisfy (9.3). If (9.1) is genuinely nonlinear, then there is a sequence u"j ! u, converging boundedly and pointwise a.e., such that u solves (9.1). Also, u satisfies the entropy inequality @t .u/ C @x q.u/  0, for every entropy-flux pair . ; q/ such that is convex (on a neighborhood of K). Certain cases of (9.1) that satisfy the standard hypotheses but for which genuine nonlinearity fails, not everywhere on , but just on a curve, are amenable to treatment via the following extension of Lemma 9.1: Lemma 9.4. If both characteristic fields of (9.1) are genuinely nonlinear outside a curve 2 D .1 /, with strictly monotone, then  is supported at a point. Proof. By Lemma 9.1, each closed side of the rectangle R must intersect this curve, so it must go through a pair of opposite vertices of R; call them P and Q. By (9.32), we see that C and  must be supported at these points. Thus (9.24) and (9.29) imply that q.Q/  2 .Q/ .Q/ D q.P /  2 .P / .P /:

(9.33)

We have the same sort of identity with 2 replaced by 1 , so (9.34)



  

2 .Q/  1 .Q/ .Q/ D 2 .P /  1 .P / .P /;

514 16. Nonlinear Hyperbolic Equations

for every entropy . In particular, we can take .u/ D uj  Qj ; j D 1; 2, to deduce from (9.34) that P D Q, since the strict hyperbolicity hypothesis implies

2 .P /  1 .P / ¤ 0. This implies R is a point, so the lemma is proved. For an example of when this applies, consider the system (7.14), namely, (9.35)

vt  wx D 0; wt  K.v/x D 0;

which, by (7.16), is strictly hyperbolic provided K 0 .v/ ¤ 0. By (7.55), (9.36)

1 r˙  r ˙ D ˙ Kv1=2 Kvv ; 2

so we have genuine nonlinearity provided K 00 .v/ ¤ 0. However, in cases modeling the transverse vibrations of a string, by (7.12), we might have, for example, (9.37)

K.v/ D v C av 3 ;

for some positive constant a. Then K 0 .v/ D 1 C 3av 2 > 0, but K 00 .v/ D 6av vanishes, at v D 0. In this case, Riemann invariants are given by (8.30), that is, Z (9.38)

˙ D w ˙

v

p K 0 .s/ ds;

0

so genuine nonlinearity fails on the line C D  (i.e., 2 D 1 ). Thus Lemma 9.4 applies in this case. To make use of Theorem 9.3 and the analogous consequence of Lemma 9.4, we need to verify (9.3). The following result of [CCS] is sometimes useful for this: Proposition 9.5. Let O    R2 be a compact, convex region whose boundary consists of a finite number of level curves j of Riemann invariants, j , such that rj points away from O on j ; more precisely, (9.39)

.u  y/  rj .u/ > 0; for u 2 j ; y 2 O:

If f 2 L1 .S 1 / and f .x/ 2 K  O for all x 2 S 1 , then, for any " > 0, the solution to (9.40)

@t u" C @x F .u" / D "@2x u" ;

exists on Œ0; 1/  S 1 , and u" .t; x/ 2 O.

u" .0; x/ D f .x/

9. Global weak solutions of some 2  2 systems

515

Proof. We remark that it suffices to prove the result under the further hypothesis that f 2 C 1 .S 1 /. First, for any ı > 0, consider (9.41)

@t u"ı C @x F .u"ı / D "@2x u"ı  ır.u"ı /;

u"ı .0; x/ D f .x/;

where we pick y 2 O and take .u/ D ju  yj2 . This has a unique local solution. If we show that u"ı .t; x/ 2 O, for all .t; x/, then it has a solution on Œ0; 1/  S 1 . If it is not true that u"ı .t; x/ 2 O for all .t; x/, there is a first t0 > 0 such that, for some x0 2 S 1 ; u.t0 ; x0 / 2 @O. Say u.t0 ; x0 / lies on the level curve j . Take the dot product of (9.41) with rj .u"ı /, to get (via (8.32)) (9.42)

@t j .u"ı / C k .u"ı / @x j .u"ı / D "@2x j .u"ı /  ".@x u"ı /  j00 .u"ı / @x u"ı  ırj .u"ı /  r.u"ı /:

Our geometrical hypothesis on O implies (9.43)

.@x u"ı /  j00 .u"ı /@x u"ı  0

and rj .u"ı /  r.u"ı / > 0;

at .t0 ; x0 /. Meanwhile, the characterization of .t0 ; x0 / implies (9.44)

@x j .u"ı / D 0; and @2x j .u"ı /  0;

at .t0 ; x0 /. Plugging (9.43)–(9.44) into (9.42) yields @t j .u"ı / < 0 at .t0 ; x0 /, an impossibility. Thus u"ı 2 O for all .t; x/ 2 Œ0; 1/  S 1 . Now, if (9.40) has a solution on Œ0; T /  S 1 , analysis of the nonhomogeneous linear parabolic equation satisfied by w"ı D u"  u"ı shows that u"ı ! u" on Œ0; T /  S 1 , as ı ! 0, so it follows that u" .t; x/ 2 O, and hence that (9.40) has a global solution, as asserted. As an example of a case to which Proposition 9.5 applies, consider the system (9.35), with K.v/ given by (9.37), modeling transverse vibrations of a string. There are arbitrarily large, invariant regions O in  D R2 of the form depicted in Fig. 9.1. Here, @O D 1 [ 2 [ 3 [ 4 , as depicted, and we take Z ˙ D w ˙ (9.45)

v

p K 0 .s/ ds;

0

1 D C on 1 ;

3 D C on 3 ;

2 D  on 2 ;

4 D  on 4 :

Another example, with  D f.v; w/ W 0 < v < 1g, is depicted in Fig. 9.2. This applies also to the system (9.35), but with K.v/ given by (7.60). It models longitudinal waves in a string. In this case, there are invariant regions of the form O containing arbitrary compact subsets of .

516 16. Nonlinear Hyperbolic Equations

F IGURE 9.1 Setting for Proposition 9.5

Since we have seen that Lemma 9.4 applies in these cases, it follows that the conclusion of Theorem 9.3, that is, the existence of global entropy-satisfying solutions, holds, given initial data with range in any compact subset of .

Exercises 1. As one specific way to end the proof of Proposition 9.5, show that w"ı D u"ı  u" satisfies @t w"ı C @x .G"ı w"ı / D "@2x w"ı  ır.u"ı / C r.u" /;

F IGURE 9.2 Another Setting for Proposition 9.5

w"ı .0; x/ D 0;

10. Vibrating strings revisited

517

R   where G"ı D 01 DF su"ı C .1  s/u" ds. Deduce that there exists K < 1 such that, for "; ı;  2 .0; 1, K d kw .t/k2L2  kw"ı .t/k2L2 C K.ı C /; dt "ı " granted that u"ı .t; x/; u" .t; x/ 2 O, for all .t; x/. Use Gronwall’s inequality to estimate kw"ı .t/k2L2 , showing that, for fixed " 2 .0; 1, it tends to zero as ı;  ! 0, locally uniformly in t 2 Œ0; 1/. Use this to show that u"ı ! u" , as ı ! 0.

10. Vibrating strings revisited As we have mentioned, the equation for a string vibrating in Rk was derived in  1 of Chap. 2, from an action integral of the form (10.1)

“ h ˇ2  i m ˇˇ ut .t; x/ˇ  F ux .t; x/ dx dt; 2

J.u/ D

I 

where x 2  D Œ0; L; t 2 I D .t0 ; t1 /. Assume that the mass density m is a positive constant. The stationary condition is (10.2)

mut t  F 0 .ux /x D 0;

which is a second-order, k  k system. If we set (10.3)

v D ux ;

w D ut ;

we get a first-order, .2k/  .2k/ system: (10.4)

vt  wx D 0; wt  K.v/x D 0;

where (10.5)

K.v/ D

1 0 F .v/: m

Let us assume that F .ux / is a function of jux j2 alone: (10.6)

F .ux / D f .jux j2 /:

Then K.v/ has the form (10.7)

K.v/ D

2 0 f .jvj2 /v: m

518 16. Nonlinear Hyperbolic Equations

We can write (10.4) in quasi-linear form as @ @t

(10.8)

  v 0 D w DK.v/

I 0



vx ; wx

where, for b 2 Rk , (10.9)

DK.v/b D

4 2 0 f .jvj2 /b C f 00 .jvj2 /.v  b/v; m m

DK.v/ D

4 2 0 f .jvj2 /I C f 00 .jvj2 /jvj2 Pv ; m m

that is, (10.10)

Pv being the orthogonal projection of Rk onto the line spanned by v (if v ¤ 0). Writing (10.8) as Ut  A.U /Ux D 0;

(10.11)

for U D .v; w/t , we see that the eigenvalues of A.U / are given by q (10.12) Spec A.u/ D f˙ j W j 2 Spec DK.v/g: Now, if k D 1; DK.v/ is scalar: DK.v/ D

(10.13)

1 00 F .v/: m

As long as F 00 .v/ > 0, the system (10.8) is strictly hyperbolic, with characteristic speeds r 1 00

˙ D ˙ F .v/: m In this case, the system (10.4) describes longitudinal vibrations of a string. The Riemann problem for this system was considered in (7.55)–(7.60), and DiPerna’s global existence theorem was applied in the discussion of Fig. 9.2. On the other hand, if k > 1, then (10.14)

Spec DK.v/ D

n2 m

f 0 .jvj2 /;

o 2 0 4 f .jvj2 / C f 00 .jvj2 /jvj2 ; m m

where the first listed eigenvalue has multiplicity k  1 and the last one has multiplicity 1. We can rewrite these eigenvalues, using the notion of “tension” T .r/, defined so that (10.15)

F 0 .v/ D T .jvj/

v ; jvj

10. Vibrating strings revisited

519

F IGURE 10.1 Graph of f

F IGURE 10.2 Graph of T

that is, so 2f 0 .jvj2 / D T .jvj/=jvj. A calculation gives 2f 0 .jvj2 / C 4f 00 .jvj2 /jvj2 D T 0 .jvj/; so (10.16)

( Spec DK.v/ D

)   1 T jvj 1 0   ; T jvj : m jvj m

The basic expected behavior of the function f .r/ is discussed in  7, around the formula (7.60). The function f .r/ should be expected to behave as in Fig. 10.1. For r larger than a certain a; f .r/ should increase. On the other hand, also f .r/ should get very large as r & 0, since the material of the string would resist compression. This means for the tension T .r/ that T .r/ > 0 for r > a and T .r/ < 0 for 0 < r < a. On the other hand, we expect T .r/ to increase whenever r increases, so T 0 .r/ > 0 for all r. Such behavior of the tension is depicted in Fig. 10.2.

520 16. Nonlinear Hyperbolic Equations

We conclude that when jvj > a, then ( s (10.17)

Spec A.U / D ˙

) r 1 T .jvj/ 1 0  ;˙ T jvj m jvj m

consists of real numbers. If k D 2, we have four eigenvalues. These are all distinct as long as f 00 .jvj2 / ¤ 0, that is, as long as the function f .r/ is strongly convex. If this convexity fails somewhere on jvj > a, then the system (10.4) will not be strictly hyperbolic, but it will be symmetrizable hyperbolic, as long as jvj > a. On the other hand, when jvj < a, then Spec A.U /, which is still given by (10.17), has two purely imaginary elements, as well as two real elements (the former being eigenvalues with multiplicity k  1). Thus (10.4) is not hyperbolic in the region jvj < a. Let us concentrate for now on the region jvj > a, where (10.4) is hyperbolic, and examine whether it is genuinely nonlinear. We consider the case k D 2. Let us denote the two eigenvalues of DK.v/ given by (10.16) by j .v/: (10.18)

1 .v/ D

1 T .jvj/ ; m jvj

2 .v/ D

1 0  T jvj : m

Thus (10.19)

f 00 .jvj2 / > 0 H) 2 .v/ > 1 .v/; f 00 .jvj2 / < 0 H) 2 .v/ < 1 .v/:

From (10.10) we see that we can take as eigenvectors of DK.v/ (10.20)

r2 .v/ D v;

r1 .v/ D J v;

where J W R2 ! R2 is counterclockwise rotation by 90ı . It follows that eigenvectors of A.U / corresponding to the eigenvalues (10.21)

q j ˙ D ˙ j .v/

are given by rj .v/ : j ˙ rj .v/

 (10.22)

rj ˙ D

10. Vibrating strings revisited

521

Thus (10.23)

rj ˙  rj ˙ D ˙rj .v/  r

q

1

j .v/ D ˙ p rj .v/  r j .v/: 2 j .v/

Now, by (10.20), if we use polar coordinates .r; / on R2 , with r 2 D v12 C v22 , then (10.24)

R2 D r

@ ; @r

R1 D

@ ; @

so (10.25)

r1  r 1 .v/ D 0;

r2  r 2 .v/ D

1 00 T .jvj/jvj: m

Thus we see that within the hyperbolic region jvj > a, (10.4) has two linearly degenerate fields and two fields that are genuinely nonlinear as long as T 00 .jvj/ ¤ 0. We now describe an interesting complication that arises in the treatment of the system (10.4) when k  2. Namely, even if initial data lie entirely in the hyperbolic region, the solution might not stay in the hyperbolic region. Consider the following simple example, with k D 2. We let v.0; x/; w.0; x/ be initial data for a purely longitudinal wave, so that the motion of the string is confined to the x1 -axis. Thus, we take   w1 .0; x/ v1 .0; x/ ; w.0; x/ D : (10.26) v.0; x/ D 0 0 For all t  0, the solution will have the form   w1 .t; x/ v .t; x/ ; w.t; x/ D ; (10.27) v.t; x/ D 1 0 0 where the pair .v1 ; w1 / satisfies the k D 1 case of (10.4).   Suppose K.v/ is given by (10.7) and T .jvj/ D 2f 0 jvj2 jvj has the behavior indicated in Fig. 10.2; also, let us assume f is real  analytic on .0; 1/. Introduce another variable , and let v1 .t; x; /; w1 .t; x; / solve the k D 1 case of (10.4), with initial data (10.28)

v1 .0; x; / D a C ; w1 .0; x; / D b sin x;

where b is some positive constant. By the Cauchy–Kowalewsky theorem, there is a T > 0 such that there is a unique, real-analytic solution defined for jtj < T , for all x 2 R (periodic of period 2), and for all j j  a=2. Note that (10.29)

@t v1 .0; 0; / D b:

522 16. Nonlinear Hyperbolic Equations

It follows easily from the implicit function theorem that, for all > 0 sufficiently small, there exists t. / 2 .0; T / such that   v1 t. /; 0; < a:

(10.30)

This is a well-behaved solution to the longitudinal wave problem, but the solution so produced to the k D 2 case of (10.4), having the form (10.27), clearly has the property that (10.31)



t  t v.t. /; 0; /; w.t. /; 0; / D v1 .t. /; 0; /; 0I w1 .t. /; 0; /; 0

does not belong to the hyperbolic region, despite the fact that the initial data do. Note that, for the system under consideration, solutions to the Riemann problem for .v1 ; w1 / have the behavior discussed in  7, illustrated by Fig. 7.4 there. For example, the situation illustrated in Fig. 10.3 can arise. Here, we have Riemann data (10.32)

U1` D .v1` ; w1` /t ;

U1r D .v1r ; w1r /t ;

v1` > a; v1r > a;

but the intermediate state U1m has the form (10.33)

U1m D .v1m ; w1m /t ;

v1m < a:

This is also a well-behaved solution to the longitudinal wave problem, but the solution so produced to the k D 2 case of (10.4) is the following. We have the Riemann problem (10.34)

U` D .v1` ; 0I w1` ; 0/t ;

Ur .v1r ; 0I w1r ; 0/t ;

F IGURE 10.3 Connecting U1` to U1r

10. Vibrating strings revisited

523

and a weak solution to (10.4), involving two jumps, with intermediate state (10.35)

Um D .v1m ; 0I w1m ; 0/t :

Clearly, Um does not belong to the hyperbolic region for the k D 2 case of (10.4), even though U` and Ur do belong to the hyperbolic region. M. Shearer, [Sh1, Sh2] (see also [CRS]), has proposed a method for solving Riemann problems for a class of systems, including the system for vibrating strings considered here, which leaves the hyperbolic region invariant. The solution produced by this method to the Riemann problem described in the preceding paragraph has an intermediate state Um different from the one described above. The situation is depicted in Fig. 10.4. Here U1m D .v1m ; w1m / with v1m < 0 (in fact, v1m < a). The physical interpretation is that the string develops a kink and doubles back on itself. For motion strictly confined to one dimension, this would not be allowable, as it involves interpenetration of different string segments. If the string has two or more dimensions in which to move, one thinks of these segments as lying side by side; however, one does not ask which segment lies on which side; for example, for k D 2, one does not ask whether the configuration is as in Fig. 10.5A or as in Fig. 10.5B. Of course, there is only one real-analytic solution with the initial data (10.26)– (10.28); there is no real-analytic modification that stays in the hyperbolic region.

F IGURE 10.4 More Complex Connection

524 16. Nonlinear Hyperbolic Equations

F IGURE 10.5 Crinkled Strings

In [PS] there is a study of the behavior of approximations of such solutions via Glimm’s scheme. It is found that typically these approximations do not converge, even weakly, to the smooth solution. Further material on systems that change type can be found in [KS]. Also, papers in [KK3] deal with systems for which strict hyperbolicity can fail, as can happen in the hyperbolic region for (10.4) if f 00 .r/ D 0 for some r > a2 .

Exercises 1. Work out the equations for radially symmetric vibrations of a two-dimensional membrane in R3 . Perform an analysis parallel to that done in this section for the vibrating string system.

References [Al] S. Alinhac, Blowup for Nonlinear Hyperbolic Equations, Birkh¨auser, Boston, 1995. [AHPR] A. Anile, J. Hunter, P. Pantano, and G. Russo, Ray Methods for Nonlinear Waves in Fluids and Plasmas, Longman, New York, 1993. [Ant] S. Antman, The equations for large vibrations of strings, Am. Math. Mon 87(1980), 359–370. [Ba] J. Ball (ed.), Systems of Nonlinear Partial Differential Equations, Reidel, Boston, 1983. [BKM] T. Beale, T. Kato, and A. Majda, Remarks on the breakdown of smooth solutions for the 3-d Euler equations, Comm. Math. Phys. 94(1984), 61–66. [Bea] M. Beals, Propagation and Interaction of Singularities in Nonlinear Hyperbolic Problems, Birkh¨auser, Boston, 1989. [BB] M. Beals and M. Bezard, Low regularity solutions for field equations, Commun. Pure Appl. Math. 21(1996), 79–124. [BMR] M. Beals, R. Melrose, and J. Rauch (eds.), Microlocal Analysis and Nonlinear Waves, IMA Vols. in Math. and its Appl., Vol. 30, Springer, New York, 1991. [Bon] J.-M. Bony, Calcul symbolique et propagation des singularities pour les e´ quations aux deriv´ees nonlin´eaires, Ann. Sci. Ecole Norm. Sup. 14(1981), 209–246. [BW] P. Brenner and W. von Wahl, Global classical solutions of nonlinear wave equations, Math. Zeit. 176(1981), 87–121. [BCG3] R. Bryant, S. Chern, R. Gardner, H. Goldschmidt, and P. Griffiths, Exterior Differential Systems, MSRI Publ. #18, Springer, New York, 1991. [Cafl] R. Caflisch, A simplified version of the abstract Cauchy-Kowalevski theorem with weak singularity, Bull. AMS 23(1990), 495–500.

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526 16. Nonlinear Hyperbolic Equations [Frei] H. Freist¨uhler, Dynamical stability and vanishing viscosity: a case study of a non-strictly hyperbolic system, CPAM 45(1992), 561–582. [Fdm] A. Friedman, A new proof and generalizations of the Cauchy-Kowalevski theorem, Trans. AMS 98(1961), 1–20. [FL1] K. Friedrichs and P. Lax, On symmetrizable differential operators, Proc. Symp. Pure Math. 10(1967) 128–137. [FL2] K. Friedrichs and P. Lax, Systems of conservation laws with a convex extension, Proc. Natl. Acad. Sci. USA 68(1971), 1686–1688. [Gb1] P. Garabedian, Partial Differential Equations, Wiley, New York, 1964. [Gb2] P. Garabedian, Stability of Cauchy’s problem in space for analytic systems of arbitrary type, J. Math. Mech. 9(1960), 905–914. [Gel] I. Gel’fand, Some problems in the theory of quasilinear equations, Usp. Mat. Nauk 14(1959), 87–115; AMS Transl. 29(1963), 295–381. [Gl1] J. Glimm, Solutions in the large for nonlinear systems of equations, CPAM 18(1965), 697–715. [Gl2] J. Glimm, Nonlinear and stochastic phenomena: the grand challenge for partial differential equations, SIAM Rev. 33(1991), 626–643. [GL] J. Glimm and P. Lax, Decay of Solutions of Systems of Nonlinear Hyperbolic Conservation Laws, Memoirs AMS #101, Providence, R. I., 1970. [Gril] M. Grillakis, Regularity and asymptotic behavior of the wave equation with a critical nonlinearity, Ann. Math. 132(1990), 485–509. [Hof1] D. Hoff, Invariant regions for systems of conservation laws, TAMS 289(1985), 591–610. [Hof2] D. Hoff, Global existence for 1D compressible, isentropic Navier-Stokes equations with large initial data, TAMS 303(1987), 169–181. [Hop] E. Hopf, The partial differential equation ut C uux D uxx , CPAM 3(1950), 201–230. [H] L. H¨ormander, Non-linear Hyperbolic Differential Equations. Lecture Notes, Lund University, 1986-1987. [HKM] T. Hughes, T. Kato, and J. Marsden, Well-posed quasi-linear second order hyperbolic systems with applications to nonlinear elastodynamics and general relativity, Arch. Rat. Mech. Anal. 63(1976), 273–294. [HM] T. Hughes and J. Marsden, A Short Course in Fluid Mechanics, Publish or Perish, Boston, 1976. [JMR] J. Joly, G. Metivier, and J. Rauch, Non linear oscillations beyond caustics, Prepublication 94-14, IRMAR, Rennes, France, 1994. [JRS] D. Joseph, M. Renardy, and J. Saut, Hyperbolicity and change of type in the flow of viscoelastic fluids, Arch. Rat. Mech. Anal. 87(1985), 213–251. [K] T. Kato, Quasi-linear equations of evolution, with applications to partial differential equations, Springer LNM 448(1974), 25–70. [KK1] B. Keyfitz and H. Kranzer, Existence and uniqueness of entropy solutions to the Riemann problem for hyperbolic systems of two nonlinear conservation laws, J. Diff. Equ. 27(1978), 444–476. [KK2] B. Keyfitz and H. Kranzer, A system of non-strictly hyperbolic conservation laws arising in elasticity theory, Arch. Rat. Mech. Anal. 72(1980), 219–241. [KK3] B. Keyfitz and H. Kranzer (eds.), Nonstrictly Hyperbolic Conservation Laws, Contemp. Math #60, AMS, Providence, R. I., 1987. [KS] B. Keyfitz and M. Shearer (eds.), Nonlinear Evolution Equations that Change Type, IMA Vol. in Math. and its Appl., Springer, New York, 1990. [Kic] S. Kichenassamy, Nonlinear Wave Equations, Marcel Dekker, New York, 1995.

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528 16. Nonlinear Hyperbolic Equations [Men] R. Menikoff, Analogies between Riemann problems for 1-D fluid dynamics and 2-D steady supersonic flow, pp.225–240 in W. Lindquist (ed.), Current Progress in Hyperbolic Systems: Riemann Problems and Computations, Contemp. Math., Vol. 100, AMS, Providence, R. I., 1989. [Met1] G. Metivier, Interaction de deux chocs pour un syst`eme de deux lois de conservation en dimension deux d’espace, TAMS 296(1986), 431–479. [Met2] G. Metivier, Stability of multi-dimensional weak shocks, Comm. PDE 15(1990), 983–1028. [Mora] C. Morawetz, An alternative proof of DiPerna’s theorem, CPAM 45(1991), 1081– 1090. [Nir] L. Nirenberg, An abstract form for the nonlinear Cauchy-Kowalevski theorem, J. Diff. Geom. 6(1972), 561–576. [Nis] T. Nishida, Global solutions for an initial boundary value problem of a quasilinear hyperbolic system, Proc. Jpn. Acad. 44(1968), 642–646. [NS] T. Nishida and J. Smoller, Solutions in the large for some nonlinear hyperbolic conservation laws, CPAM 26(1973), 183–200. [OT] H. Ockendon and A. Tayler, Inviscid Fluid Flows, Appl. Math. Sci. #43, Springer, New York, 1983. [Ol1] O. Oleinik, Discontinuous solutions of non-linear differential equations, Uspekhi Mat. Nauk. 12(1957), 3–73. AMS Transl. 26, 95–172. [Ol2] O. Oleinik, On the uniqueness of the generalized solution of the Cauchy problem for a nonlinear system of equations occurring in mechanics, Uspekhi Mat. Nauk. 12(1957), 169–176. [Ovs] L. Ovsjannikov, A nonlinear Cauchy problem in a scale of Banach spaces, Sov. Math. Dokl. 12(1971), 1497–1502. [PS] R. Pego and D. Serre, Instabilities in Glimm’s scheme for two systems of mixed type, SIAM J. Numer. Anal. 25(1988), 965–989. [Ra] J. Rauch, The u5 -Klein-Gordon equation, Pitman Res. Notes in Math. #53, pp. 335–364. [RR] J. Rauch and M. Reed, Propagation of singularities for semilinear hyperbolic equations in one space variable, Ann. Math. 111(1980), 531–552. [Re] M. Reed, Abstract Non-Linear Wave Equations, LNM #507, Springer, New York, 1976. [RL] P. Resibois and M. DeLeener, Classical Kinetic Theory of Fluids, Wiley, New York, 1977. [Rub] B. Rubino, On the vanishing viscosity approximation to the Cauchy problem for a 2  2 system of conservation laws, Ann. Inst. H. Poincar´e (Analyse non lin´eaire) 10(1993), 627–656. [SS1] D. Schaeffer and M. Shearer, The classification of 2  2 systems of non-strictly hyperbolic conservation laws with application to oil recovery, CPAM 40(1987), 141–178. [SS2] D. Schaeffer and M. Shearer, Riemann problems for nonstrictly hyperbolic 2  2 systems of conservation laws, TAMS 304(1987), 267–306. [Seg] I. Segal, The global Cauchy problem for a relativistic scalar field with power interaction, Bull. Soc. Math. France 91(1963), 129–135. [Se] D. Serre, La compacit´e par compensation pour les syst`emes hyperboliques nonlin´eaires de deux equations a une dimension d’espace, J. Math. Pures et Appl. 65(1986), 423–468. [Sha] J. Shatah, Weak solutions and development of singularities of the SU(2) -model, CPAM 49(1988), 459–469.

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17 Euler and Navier–Stokes Equations for Incompressible Fluids

Introduction This chapter deals with equations describing motion of an incompressible fluid moving in a fixed compact space M , which it fills completely. We consider two types of fluid motion, with or without viscosity, and two types of compact space, a compact smooth Riemannian manifold with or without boundary. The two types of fluid motion are modeled by the Euler equation (0.1)

@u C ru u D grad p; @t

divu D 0;

for the velocity field u, in the absence of viscosity, and the Navier–Stokes equation (0.2)

@u C ru u D Lu  grad p; @t

div u D 0;

in the presence of viscosity. In (0.2),  is a positive constant and L is the secondorder differential operator (0.3)

Lu D div Def u;

which on flat Euclidean space is equal to u, when div u D 0. If there is a boundary, the Euler equation has boundary condition n  u D 0, that is, u is tangent to the boundary, while for the Navier–Stokes equation one poses the no-slip boundary condition u D 0 on @M . In  1 we derive (0.1) in several forms; we also derive the vorticity equation for the object that is curl u when dim M D 3. We discuss some of the classical physical interpretations of these equations, such as Kelvin’s circulation theorem and Helmholtz’ theorem on vortex tubes, and include in the exercises other topics, such as steady flows and Bernoulli’s law. These phenomena can be compared with analogues for compressible flow, discussed in  5 of Chap. 16.

M.E. Taylor, Partial Differential Equations III: Nonlinear Equations, Applied Mathematical Sciences 117, DOI 10.1007/978-1-4419-7049-7 5, c Springer Science+Business Media, LLC 1996, 2011 

531

532 17. Euler and Navier–Stokes Equations for Incompressible Fluids

Sections 2–5 discuss the existence, uniqueness and regularity of solutions to (0.1) and (0.2), on regions with or without boundary. We have devoted separate sections to treatments first without boundary and then with boundary, for these equations, at a cost of a small amount of redundancy. By and large, different analytical problems are emphasized in the separate sections, and their division seems reasonable from a pedagogical point of view. The treatments in  2–5 are intended to parallel to a good degree the treatment of nonlinear parabolic and hyperbolic equations in Chaps. 15 and 16. Among the significant differences, there is the role of the vorticity equation, which leads to global solutions when dim M D 2. For dim M  3, the question of whether smooth solutions exist for all t  0 is still open, with a few exceptions, such as small initial data for (0.2). These problems, as well as variants, such as free boundary problems for fluid flow, remain exciting and perplexing. In  6 we tackle the question of how solutions to the Navier–Stokes equations on a bounded region behave when the viscosity tends to zero. We stick to two special cases, in which this difficult question turns out to be somewhat tractable. The first is the class of 2D flows on a disk that are circularly symmetric. The second is a class of 3D circular pipe flows, whose detailed description can be found in  6. These cases yield convergence of the velocity fields to the fields solving associated Euler equations, though not in a particularly strong norm, due to boundary layer effects. Section 7 investigates how such velocity convergence yields information on the convergence of the flows generated by such time-varying vector fields. In Appendix A we discuss boundary regularity for the Stokes operator, needed for the analysis in  5.

1. Euler’s equations for ideal incompressible fluid flow An incompressible fluid flow on a region  defines a one-parameter family of volume-preserving diffeomorphisms (1.1)

F .t; / W  ! ;

where  is a Riemannian manifold with boundary; if @ is nonempty, we suppose it is preserved under the flow. The flow can be described in terms of its velocity field (1.2)

u.t; y/ D Ft .t; x/ 2 Ty ;

y D F .t; x/;

where Ft .t; x/ D .@=@t/F .t; x/. If y 2 @, we assume u.t; y/ is tangent to @. We want to derive Euler’s equation, a nonlinear PDE for u describing the dynamics of fluid flow. We will assume the fluid has uniform density.

1. Euler’s equations for ideal incompressible fluid flow

533

If we suppose there are no external forces acting on the fluid, the dynamics are determined by the constraint condition, that F .t; / preserve volume, or equivalently, that div u.t; / D 0 for all t. The Lagrangian involves the kinetic energy alone, so we seek to find critical points of (1.3)

L.F / D

1 2

Z Z I

˝ ˛ Ft .t; x/; Ft .t; x/ dV dt;



on the space of maps F W I   !  (where I D Œt0 ; t1 /, with the volumepreserving property. For simplicity, we first treat the case where  is a domain in Rn . A variation of F is of the form F .s; t; x/, with @F=@s D v.t; F .t; x//, at s D 0, where div v D 0; v is tangent to @, and v D 0 for t D t0 and t D t1 . We have E d  v t; F .t; x/ dV dt dt “ D E   d  D u t; F .t; x/ ; v t; F .t; x/ dV dt dt “ D E @u C u  rx u; v dV dt: D @t

DL.F /v D (1.4)

“ D

Ft .t; x/;

The stationary condition is that this last integral vanish for all such v, and hence, for each t, Z D E @u C u  rx u; v dV D 0; (1.5) @t 

for all vector fields v on  (tangent to @), satisfying div v D 0. To restate this as a differential equation, let (1.6)

˚  V D v 2 C 1 .; T / W div v D 0; v tangent to @ ;

and let P denote the orthogonal projection of L2 .; T / onto the closure of the space V . The operator P is often called the Leray projection. The stationary condition becomes (1.7)

@u C P .u  rx u/ D 0; @t

in addition to the conditions (1.8)

div u D 0

on 

534 17. Euler and Navier–Stokes Equations for Incompressible Fluids

and u tangent to @:

(1.9)

For a general Riemannian manifold , one has a similar calculation, with u  rx u in (1.5) generalized simply to ru u, where r is the Riemannian connection on . Thus (1.7) generalizes to Euler’s equation, first form. (1.10)

@u C P .ru u/ D 0: @t

Suppose now  is compact. According to the Hodge decomposition, the orthogonal complement in L2 .; T / of the range of P is equal to the space ˚  grad p W p 2 H 1 ./ : This fact is derived in the problem set following  9 in Chap. 5, entitled “Exercises on spaces of gradient and divergence-free vector fields”; see (9.79)–(9.80). Thus we can rewrite (1.10) as Euler’s equation, second form. (1.11)

@u C ru u D grad p: @t

Here, p is a scalar function, determined uniquely up to an additive constant (assuming  is connected). The function p is identified as “pressure.” It is useful to derive some other forms of Euler’s equation. In particular, let uQ denote the 1-form corresponding to the vector field u via the Riemannian metric on . Then (1.11) is equivalent to (1.12)

@Qu C ru uQ D dp: @t

We will rewrite this using the Lie derivative. Recall that, for any vector field X , ru X D Lu X C rX u; by the zero-torsion condition on r. Using this, we deduce that (1.13)

hLu uQ  ru uQ ; X i D hQu; rX ui:

In case hQu; vi D hu; vi (the Riemannian inner product), we have (1.14)

hQu; rX ui D

1 hd juj2 ; X i; 2

using the notation juj2 D hu; ui, so (1.12) is equivalent to

1. Euler’s equations for ideal incompressible fluid flow

535

Euler’s equation, third form. (1.15)

1  @Qu C Lu uQ D d juj2  p : @t 2

Writing the Lie derivative in terms of exterior derivatives, we obtain (1.16)

1  @Qu C .d uQ /cu D d juj2 C p : @t 2

Note also that the condition div u D 0 can be rewritten as ı uQ D 0:

(1.17)

In the study of Euler’s equation, a major role is played by the vorticity, which we proceed to define. In its first form, the vorticity will be taken to be wQ D d uQ ;

(1.18)

for each t a 2-form on . The Euler equation leads to a PDE for vorticity; indeed, applying the exterior derivative to (1.15) gives immediately the Vorticity equation, first form. @wQ C Lu wQ D 0; @t

(1.19) or equivalently, from (1.16), (1.20)

  @wQ C d wcu Q D 0: @t

It is convenient to express this in terms of the covariant derivative. In analogy to (1.13), for any 2-form ˇ and vector fields X and Y , we have (1.21)

.ru ˇ  Lu ˇ/.X; Y / D ˇ.rX u; Y / C ˇ.X; rY u/ D .ˇ#ru/.X; Y /;

where the last identity defines ˇ#ru. Thus we can rewrite (1.19) as Vorticity equation, second form. (1.22)

@wQ C ru wQ  w#ru Q D 0: @t

It is also useful to consider vorticity in another form. Namely, to wQ we associate a section w of ƒn2 T (n D dim ), so that the identity

536 17. Euler and Navier–Stokes Equations for Incompressible Fluids

(1.23)

wQ ^ ˛ D hw; ˛i!

holds, for every .n  2/-form ˛, where ! is the volume form on . (We assume  is oriented.) The correspondence wQ $ w given by (1.23) depends only on the volume element !. Hence (1.24)

e

div u D 0 H) Lu wQ D Lu w;

so (1.19) yields the Vorticity equation, third form. (1.25)

@w C Lu w D 0: @t

This vorticity equation takes special forms in two and three dimensions, respectively. When dim  D n D 2; w is a scalar field, often denoted as (1.26)

w D rot u;

and (1.25) becomes the 2-D vorticity equation. (1.27)

@w C u  grad w D 0: @t

This is a conservation law. As we will see, this has special implications for twodimensional incompressible fluid flow. If n D 3; w is a vector field, denoted as (1.28)

w D curl u;

and (1.25) becomes the 3-D vorticity equation. (1.29)

@w C Œu; w D 0; @t

or equivalently, (1.30)

@w C ru w  rw u D 0: @t

Note that (1.28) is a generalization of the notion of the curl of a vector field on flat R3 . Compare with material in the second exercise set following  8 in Chap. 5.

1. Euler’s equations for ideal incompressible fluid flow

537

The first form of the vorticity equation, (1.19), implies   (1.31) w.0/ Q D F t w.t/; Q where F t .x/ D F .t; x/; w.t/.x/ Q D w.t; Q x/. Similarly, the third form, (1.25), yields (1.32)

w.t; y/ D ƒn2 DF t .x/ w.0; x/;

y D F .t; x/;

where DF t .x/ W Tx  ! Ty  is the derivative. In case n D 2, this last identity is simply w.t; y/ D w.0; x/, the conservation law mentioned after (1.27). One implication of (1.31) is the following. Let S be an oriented surface in , with boundary C ; let S.t/ be the image of S under F t , and C.t/ the image of C ; then (1.31) yields Z Z (1.33) w.t/ Q D w.0/: Q S

S.t /

Since wQ D d uQ , this implies the following: Kelvin’s circulation theorem. Z

Z uQ .t/ D

(1.34)

uQ .0/: C

C.t /

We take a look at some phenomena special to the case dim  D n D 3, where the vorticity w is a vector field on , for each t. Fix t0 , and consider w D w.t0 /. Let S be an oriented surface in , transversal to w. A vortex tube T is defined to be the union of orbits of w through S , to a second transversal surface S2 (see Fig. 1.1). For simplicity we will assume that none of these orbits ends at a zero of the vorticity field, though more general cases can be handled by a limiting argument. Since d wQ D d 2 uQ D 0, we can use Stokes’ theorem to write Z Z Q (1.35) 0 D d wQ D w: T

@T

F IGURE 1.1 Vortex Tube

538 17. Euler and Navier–Stokes Equations for Incompressible Fluids

Now @T consists of three pieces, S and S2 (with opposite orientations) and the lateral boundary L, the union of the orbits of w from @S to @S2 . Clearly, the pull-back of wQ to L is 0, so (1.35) implies Z

Z wQ D

(1.36) S

w: Q S2

Applying Stokes’ theorem again, for wQ D d uQ , we have Helmholtz’ theorem. For any two curves C; C2 enclosing a vortex tube, Z

Z uQ D

(1.37) C

uQ : C2

This common value is called the strength of the vortex tube T . Also note that if T is a vortex tube at t0 D 0, then, for each t; T .t/, the image of T under F t , is a vortex tube, as a consequence of (1.32) (with n D 3), and furthermore (1.34) implies that the strength of T .t/ is independent of t. This conclusion is also part of Helmholtz’ theorem. To close this section, we note that the Euler equation for an ideal incompressible fluid flow with an external force f is @u C ru u D grad p C f; @t in place of (1.11). If f is conservative, of the form f D  grad ', then (1.12) is replaced by @Qu C ru uQ D d.p C '/: @t Thus the vorticity wQ D d uQ continues to satisfy (1.19), and other phenomena discussed above can be treated in this extra generality. Indeed, in the case we have considered, of a completely confined, incompressible flow of a fluid of uniform density, adding such a conservative force field has no effect on the velocity field u, just on the pressure, though in other situations such a force field could have more pronounced effects.

Exercises 1. Using the divergence theorem, show that whenever div u D 0; u tangent to @;  compact, and f 2 C 1 ./, we have Z Lu f dV D 0: 

Exercises

539

Hence show that, for any smooth vector field X on , Z hru X; Xi dV D 0: 

From this, conclude that any (sufficiently smooth) u solving (1.7)–(1.9) satisfies the conservation of energy law d ku.t/k2L2 ./ D 0: dt

(1.38)

2. When dim  D n D 3, show that the vorticity field w is divergence free. (Hint: div curl.) 3. If u; v are vector fields, uQ the 1-form associated to u, it is generally true that rv uQ D rv u, but not that Lv uQ D Lv u. Why is that? 4. A fluid flow is called stationary provided u is independent of t. Establish Bernoulli’s law, that for a stationary solution of Euler’s equations (1.7)–(1.9), the function .1=2/juj2 C p is constant along any streamline (i.e., an integral curve of u). In the nonstationary case, show that

e

e

 1 @  Lu juj2 D Lu p: 2 @t (Hint: Use Euler’s equation in the form (1.16); take the inner product of both sides with u:) 5. Suppose dim  D 3. Recall from the auxiliary exercise set after  8 in Chap. 5 the characterization u  v D X ” XQ D .Qu ^ v/: Q Show that the form (1.16) of Euler’s equation is equivalent to (1.39)

 1 @u C .curl u/  u D grad juj2 C p : @t 2

Also, if   R3 , deduce this from (1.11) together with the identity grad.u  v/ D u  rv C v  ru C u  curl v C v  curl u; which is derived in (8.63) of Chap. 5. 6. Deduce the 3-D vorticity equation (1.30) by applying curl to both sides of (1.39) and using the identity curl.u  v/ D v  ru  u  rv C .div v/u  .div u/v; which is derived in (8.62) of Chap. 5. Also show that the vorticity equation can be written as (1.40)

wt C ru w D .Def u/w;

Def v D

1 .rv C rv t /: 2

(Hint: w  w D 0:) 7. In the setting of Exercise 5, show that, for a stationary flow, .1=2/juj2 C p is constant along both any streamline and any vortex line (i.e., an integral curve of w D curl u).

540 17. Euler and Navier–Stokes Equations for Incompressible Fluids 8. For dim  D 3, note that (1.29) implies Œu; w D 0 for a stationary flow, with w D curl u. What does Frobenius’s theorem imply about this? 9. Suppose u is a (sufficiently smooth) solution to the Euler equation (1.11), also satisfying (1.9), namely, u is tangent to @. Show that if u.0/ has vanishing divergence, then u.t/ has vanishing divergence for all t. (Hint: Use the Hodge decomposition discussed between (1.10) and (1.11).) 10. Suppose uQ , the 1-form associated to u, and a 2-form wQ satisfy the coupled system @Qu C wcu Q D dˆ; @t

(1.41)

11.

12. 13.

14.

@wQ C d.wcu/ Q D 0: @t

Show that if w.0/ Q D d uQ .0/, then w.t/ Q D d uQ .t/ for all t. (Hint: Set WQ .t/ D d uQ .t/, so by the first half of (1.41), @WQ =@t C d.wcu/ Q D 0. Subtract this from the second equation of the pair (1.41).) If u generates a 1-parameter group of isometries of , show that u provides a stationary solution to the Euler equations. (Hint: Show that Def u D 0 ) ru u D .1=2/ grad juj2 :) A flow is called irrotational if the vorticity wQ vanishes. Show that if w.0/ Q D 0, then w.t/ Q D 0 for all t, under the hypotheses of this section. If a flow is both stationary and irrotational, show that Bernoulli’s law can be strengthened to 1 2 juj C p is constant on : 2 The common statement of this is that higher fluid velocity means lower pressure (within the limited set of circumstances for which this law holds). (Hint: Use (1.16).) Suppose  is compact. Show that the space of 1-forms uQ on  satisfying ı uQ D 0;

d uQ D 0 on ;

h; ui D 0 on @;

is the finite-dimensional space of harmonic 1-forms HA 1 , with absolute boundary conditions, figuring into the Hodge decomposition, introduced in (9.36) of Chap. 5. Show that, for uQ .0/ 2 HA 1 , Euler’s equation becomes the finite-dimensional system (1.42)

@Qu C PhA .ru uQ / D 0; @t

where PhA is the orthogonal projection of L2 .; ƒ1 / onto HA 1. 15. In the context of Exercise 14, show that an irrotational Euler flow must be stationary, that is, the flow described by (1.42) is trivial. (Hint: By (1.16), @Qu=@t D  d .1=2/juj2 C p , which is orthogonal to HA 1 :) 16. Suppose  is a bounded region in R2 , with k C 1 (smooth) boundary components j . Show that HA 1 is the k-dimensional space 1 HA 1 D fdf W f 2 C ./; f D 0 on ; f D cj on j g;

where the cj are arbitrary constants. Show that a holomorphic diffeomorphism F W A  ! O takes HA 1 ./ to H1 .O/.

Exercises

541

17. If  is a planar region as in Exercise 16, show that the space V of velocity fields for Euler flows defined by (1.6) can be characterized as V D fu W uQ D df; f 2 C 1 ./; f D cj on j g: Given u in this space, an associated f is called a stream function. Show that it is constant along each streamline of u. 18. In the context of Exercise 17, note that w D rot u D f . Show that u  rw D 0, hence @w=@t D 0, whenever f satisfies a PDE of the form (1.43)

f D ˆ.f / on ;

f D cj on j :

19. When uQ .0/ D df for f satisfying (1.43), show that the resulting flow is stationary, that is, @Qu=@t D 0, not merely @w=@t D 0. (Hint: In this case, uQ satisfies the linear evolution equation @Qu C PhA .w  uQ / D 0; @t as a consequence of (1.16). It suffices to show that PhA .w  uQ .0// D 0, but indeed w  uQ .0/ D ˆ.f /df D d .f /:) Note: When  is simply connected, the argument simplifies. 20. Let  be a compact Riemannian manifold, u a solution to (1.7)–(1.9), with associated vorticity w. Q When does @u @wQ D 0; for all t H) D 0‹ @t @t Begin by considering the following cases: (a) H1 ./ D 0. (Hint: Use Hodge theory.) (b) dim H1 ./ D 1. (Hint: Use conservation of energy.) (c)   R2 . (Hint: Generalize Exercise 19.) 21. Using the exercises on “spaces of gradient and divergence-free vector fields” in  9 of Chap. 5, show that if we identify vector fields and 1-forms, the Leray projection P is given by (1.44)

P u D PıA u C PhA u;

i.e., .I  P /u D PdA u D d ıG A u:

22. Let  be a smooth, bounded region in R3 and u a solution to the Euler equation on I  , where I is a t-interval containing 0. Assume the vorticity w vanishes on @ at t D 0. (a) Show that w D 0 on @, for all t 2 I . (b) Show that the quantity Z (1.45) h.t/ D u.t; x/  w.t; x/ dx; 

is independent of t. This is called the helicity. (Hint: Use formulas for the adjoint of ru when div u D 0; ditto for rw ; recall Exercise 2.) (c) Show that the quantities Z Z (1.46) I.t/ D x  w.t; x/ dx; A.t/ D jxj2 w.t; x/ dx 



542 17. Euler and Navier–Stokes Equations for Incompressible Fluids are independent of t. These are called the impulse and the angular impulse, respectively. Consider these questions when the hypothesis on w is relaxed to w tangent to @ at t D 0. 23. Extend results on the conservation of helicity to other 3-manifolds , via a computation of (1.47)

.@t C Lu /.Qu ^ w/: Q

24. If we consider the motion of an incompressible fluid of variable density .t; x/, the Euler equations are modified to (1.48)

.ut C ru u/ D grad p;

t C ru  D 0;

and, as before, div u D 0; u tangent to @. Show that, in this case, the vorticity wQ D d uQ satisfies (1.49)

@t wQ C Lu wQ D 2 d ^ dp:

(Results in subsequent sections will not apply to this case.)

2. Existence of solutions to the Euler equations In this section we will examine the existence of solutions to the initial value problem for the Euler equation: (2.1)

@u C P ru u D 0; @t

u.0/ D u0 ;

given div u0 D 0, where P is the orthogonal projection of L2 .M; TM / onto the space V of divergence-free vector fields. We suppose M is compact without boundary; regions with boundary will be treated in the next section. We take an approach very similar to that used for symmetric hyperbolic equations in  2 of Chap. 16. Thus, with J" a Friedrichs mollifier such as used there, we consider the approximating equations (2.2)

@u" C PJ" ru" J" u" D 0; @t

u" .0/ D u0 :

As in that case, we want to show that u" exists on an interval independent of ", and we want to obtain uniform estimates that allow us to pass to the limit " ! 0. We begin by estimating the L2 -norm. Noting that u" .t/ D P u" .t/, we have

(2.3)

d ku" .t/k2L2 D 2.PJ" ru" J" u" ; u" / dt D 2.ru" J" u" ; J" u" /:

2. Existence of solutions to the Euler equations

543

Now, generally, we have rv w D rv w  .div v/w;

(2.4)

as shown in  3 of Chap. 2. Consequently, when div v D 0, we have .rv w; w/ D .rv w; w/ D 0:

(2.5)

Thus (2.3) yields .d=dt/ku" .t/k2L2 D 0, or ku" .t/kL2 D ku0 kL2 :

(2.6)

It follows that (2.2) is solvable for all t 2 R, when " > 0. The next step, to estimate higher-order derivatives of u" , is accomplished in almost exact parallel with the analysis (1.8) of Chap. 16, for symmetric hyperbolic systems. Again, to make things simple, let us suppose M D T n ; modifications for the more general case will be sketched below. Then P and J" can be taken to be convolution operators, so P; J" , and D ˛ all commute. Then

(2.7)

d kD ˛ u" .t/k2L2 D 2.D ˛ PJ" ru" J" u" ; D ˛ u" / dt D 2.D ˛ L" J" u" ; D ˛ J" u" /;

where we have set (2.8)

L" w D L.u" ; D/w;

with (2.9)

L.v; D/w D rv w;

a first-order differential operator on w whose coefficients Lj .v/ depend linearly on v. By (2.4), L" C L" D 0;

(2.10) since div u" D 0, so (2.7) yields (2.11)

d kD ˛ u" .t/k2L2 D 2.ŒL" ; D ˛ J" u" ; D ˛ J" u" /: dt

Now, just as in (1.13) of Chap. 16, the Moser estimates from  3 of Chap. 13 yield

544 17. Euler and Navier–Stokes Equations for Incompressible Fluids

(2.12)

kŒL" ; D ˛ wkL2  X kLj .u" /kH k k@j wkL1 C krLj .u" /kL1 k@j wkH k1 : C j

Keep in mind that Lj .u" / is linear in u" . Applying this with w D J" u" , and summing over j˛j  k, we have the basic estimate d ku" .t/k2H k  C ku" .t/kC 1 ku" .t/k2H k ; dt

(2.13)

parallel to the estimate (1.15) in Chap. 16, but with a more precise dependence on ku" .t/kC 1 , which will be useful later on. From here, the elementary arguments used to prove Theorem 1.2 in Chap. 16 extend without change to yield the following: Theorem 2.1. Given u0 2 H k .M /; k > n=2 C 1, with div u0 D 0, there is a solution u to (2.1) on an interval I about 0, with u 2 L1 .I; H k .M // \ Lip.I; H k1 .M //:

(2.14)

We can also establish the uniqueness, and treat the stability and rate of convergence of u" to u, just as was done in Chap. 16,  1. Thus, with " 2 Œ0; 1, we compare a solution u to (2.1) to a solution u" to @u" C PJ" ru" J" u" D 0; @t

(2.15)

u" .0/ D v0 :

Setting v D uu" , we can form an equation for v analogous to (1.25) in Chap. 16, and the analysis (1.25)–(1.36) there goes through without change, to give (2.16)

  kv.t/k2L2  K0 .t/ ku0  v0 k2L2 C K2 .t/kI  J" k2L.H k1 ;L2 / :

Thus we have Proposition 2.2. Given k > n=2 C 1, solutions to (2.1) satisfying (2.14) are unique. They are limits of solutions u" to (2.2), and for t 2 I , (2.17)

ku.t/  u" .t/kL2  K1 .t/kI  J" kL.H k1 ;L2 / :

Continuing to follow Chap. 16, we can next look at

(2.18)

d kD ˛ J" u.t/k2L2 D 2.D ˛ J" P ru u; D ˛ J" u/ dt D 2.D ˛ J" L.u; D/u; D ˛ J" u/;

2. Existence of solutions to the Euler equations

545

given the commutativity of P with D ˛ J" , and then we can follow the analysis of (1.40)–(1.45) given there without any change, to get (2.19)

  d kJ" u.t/k2H k  C 1 C ku.t/kC 1 ku.t/k2H k ; dt

for the solution u to (2.1) constructed above. Now, as in the proof of Proposition 5.1 in Chap. 16, we can note that (2.19) is equivalent to an integral inequality, and pass to the limit " ! 0, to deduce (2.20)

  d ku.t/k2H k  C 1 C ku.t/kC 1 ku.t/k2H k ; dt

parallel to (1.46) of Chap. 16, but with a significantly more precise dependence on ku.t/kC 1 . Consequently, as in Proposition 1.4 of Chap. 16, we can sharpen the first part of (2.14) to u 2 C.I; H k .M //: Furthermore, we can deduce that if u 2 C.I; H k .M // solves the Euler equation, I D .a; b/, then u continues beyond the endpoints unless ku.t/kC 1 blows up at an endpoint. However, for the Euler equations, there is the following important sharpening, due to Beale–Kato–Majda [BKM]: Proposition 2.3. If u 2 C.I; H k .M // solves the Euler equations, k > n=2 C 1, and if (2.21)

sup kw.t/kL1  K < 1; t 2I

where w is the vorticity, then the solution u continues to an interval I 0 , containing I in its interior, u 2 C.I 0 ; H k .M //. For the proof, recall that if uQ .t/ and w.t/ Q are the 1-form and 2-form on M , associated to u and w, then (2.22)

wQ D d uQ ;

ı uQ D 0:

Hence ı wQ D ıd uQ C d ı uQ D Qu, where  is the Hodge Laplacian, so (2.23)

uQ D Gı wQ C P0 uQ ;

where P0 is a projection onto the space of harmonic 1-forms on M , which is a finite-dimensional space of C 1 -forms. Now Gı is a pseudodifferential operator of order 1: (2.24)

Gı D A 2 OPS 1 .M /:

546 17. Euler and Navier–Stokes Equations for Incompressible Fluids

Consequently, kGı wk Q H 1;p  Cp kwkLp for any p 2 .1; 1/. This breaks down for p D 1, but, as we show below, we have, for any s > n=2, (2.25)

  kAwk Q C 1  C 1 C logC kwk Q L1 C C: Q H s kwk

Therefore, under the hypothesis (2.21), we obtain an estimate (2.26)

  ku.t/kC 1  C 1 C logC kuk2H k ;

provided k > n=2 C 1, using (2.23) and the facts that kwk Q H k1  ckukH k and that ku.t/kL2 is constant. Thus (2.20) yields the differential inequality (2.27)

dy  C.1 C logC y/y; dt

y.t/ D ku.t/k2H k :

Now one form of Gronwall’s inequality (cf. Chap. 1, (5.19)–(5.21)) states that if Y .t/ solves (2.28)

dY D F .t; Y /; dt

Y .0/ D y.0/;

while dy=dt  F .t; y/, and if @F=@y  0, then y.t/  Y .t/ for t  0. We apply this to F .t; Y / D C.1 C logC Y /Y , so (2.28) gives Z (2.29)

dY D C t C C1 : .1 C logC Y /Y

Since Z (2.30) 1

1

dY D 1; .1 C logC Y /Y

we see that Y .t/ exists for all t 2 Œ0; 1/ in this case. This provides an upper bound (2.31)

ku.t/k2H k  Y .t/;

as long as (2.21) holds. Thus Proposition 2.3 will be proved once we establish the estimate (2.25). We will establish a general result, which contains (2.25). 0 Lemma 2.4. If P 2 OPS1;0 ; s > n=2, then

(2.32)

h  kuk s i H : kP ukL1  C kukL1  1 C log kukL1

2. Existence of solutions to the Euler equations

547

We suppose the norms are arranged to satisfy kukL1  kukH s . Another way to write the result is in the form (2.33)

 1 kP ukL1  C "ı kukH s C C log kukL1 ; "

for 0 < "  1, with C independent of ". Then, letting "ı D kukL1 =kukH s yields (2.32). The estimate (2.33) is valid when s > n=2 C ı. We will derive (2.33) from an estimate relating the L1 -, H s -, and C0 -norms. The Zygmund spaces Cr are defined in  8 of Chap. 13. It suffices to prove (2.33) with P replaced by P C cI , where c is greater than 0 the L2 -operator norm of P ; hence we can assume P 2 OPS1;0 is elliptic and 0 invertible, with inverse Q 2 OPS1;0 . Then (2.33) is equivalent to (2.34)

 1 kQukL1 : kukL1  C "ı kukH s C C log "

Now since Q W C0 ! C0 , with inverse P , and the C0 -norm is weaker than the L1 -norm, this estimate is a consequence of (2.35)

 1 kukC0 ; kukL1  C "ı kukH s C C log "

for s > n=2 C ı. This result is proved in Chap. 13,  8; see Proposition 8.11 there. We now have (2.25), so the proof of Proposition 2.3 is complete. One consequence of Proposition 2.3 is the following classical result. Proposition 2.5. If dim M D 2, u0 2 H k .M /; k > 2, and div u0 D 0, then the solution to the Euler equation (2.1) exists for all t 2 RI u 2 C.R; H k .M //. Proof. Recall that in this case w is a scalar field and the vorticity equation is (2.36)

@w C ru w D 0; @t

which implies that, as long as u 2 C.I; H k .M //; t 2 I , (2.37)

kw.t/kL1 D kw.0/kL1 :

Thus the hypothesis (2.21) is fulfilled. When dim M  3, the vorticity equation takes a more complicated form, which does not lead to (2.37). It remains a major outstanding problem to decide whether smooth solutions to the Euler equation (2.1) persist in this case. There are numerical studies of three-dimensional Euler flows, with particular attention to the evolution of the vorticity, such as [BM].

548 17. Euler and Navier–Stokes Equations for Incompressible Fluids

Having discussed details in the case M D T n , we now describe modifications when M is a more general compact Riemannian manifold without boundary. One modification is to estimate, instead of (2.7),

(2.38)

d k` u" .t/k2L2 D 2.` PJ" ru" J" u" ; ` u" / dt D 2.` PL" J" u" ; ` J" u" /;

the latter identity holding provided ; P , and J" all commute. This can be arranged by taking J" D e " I P and  automatically commute here. In this case, with D ˛ replaced by ` , (2.11)–(2.12) go through, to yield the basic estimate (2.13), provided k D 2` > n=2 C 1. When Œn=2 is even, this gives again the results of Theorem 2.1–Proposition 2.5. When Œn=2 is odd, the results obtained this way are slightly weaker, if ` is restricted to be an integer. An alternative approach, which fully recovers Theorem 2.1–Proposition 2.5, is the following. Let fXj g be a finite collection of vector fields on M , spanning Tx M at each x, and for J D .j1 ; : : : ; jk /, let X J D rXj1    rXjk , a differential operator of order k D jJ j. We estimate (2.39)

d kX J u" .t/k2L2 D 2.X J PJ" L" J" u" ; X J u" /: dt

We can still arrange that P and J" commute, and write this as (2.40)

2.L" X J J" u" ; X J J" u" /  2.ŒX J ; L" J" u" ; X J J" u" /  2.X J L" J" u" ; ŒX J ; PJ" u" /  2.ŒX J ; PJ" L" J" u" ; X J u" /:

Of these four terms, the first is analyzed as before, due to (2.10). For the second term we have the same type of Moser estimate as in (2.12). The new terms to analyze are the last two terms in (2.40). In both cases the key is to see that, for " 2 .0; 1, (2.41)

k1 ŒX J ; PJ"  is bounded in OPS1;0 .M / if jJ j D k;

0 which follows from the containment P 2 OPS1;0 .M / and the boundedness of 0 J J" in OPS1;0 .M /. If we push one factor Xj1 in X from the left side to the right side of the third inner product in (2.40), we dominate each of the last two terms by

(2.42)

C kL" J" u" kH k1  ku" kH k

if jJ j D k. To complete the estimate, we use the identity (2.43)

div.u ˝ v/ D .div v/u C rv u;

2. Existence of solutions to the Euler equations

549

which yields L" J" u" D div.J" u" ˝ u" /:

(2.44)

Now, by the Moser estimates, we have (2.45)

kL" J" u" kH k1  C kJ" u" ˝ u" kH k  C ku" kL1 ku" kH k :

Consequently, we again obtain the estimate (2.13), and hence the proofs of Theorem 2.1–Proposition 2.5 again go through. So far in this section we have discussed strong solutions to the Euler equations, for which there is a uniqueness result known. We now give a result of [DM], on the existence of weak solutions to the two-dimensional Euler equations, with initial data less regular than in Proposition 2.5. Proposition 2.6. If dim M D 2 and u0 2 H 1;p .M /, for some p > 1, then there exists a weak solution to (2.1):     u 2 L1 RC ; H 1;p .M / \ C RC ; L2 .M / :

(2.46)

Proof. Take fj 2 C 1 .M /; fj ! u0 in H 1;p .M /, and let vj 2 C 1 .RC  M / solve (2.47)

@vj C P div.vj ˝ vj / D 0; @t

div vj D 0;

vj .0/ D fj :

Here we have used (2.43) to write rvj vj D div.vj ˝ vj /. Let wj D rot vj , so wj .0/ ! rot u0 in Lp .M /. Hence kwj .0/kLp is bounded in j , and the vorticity equation implies (2.48)

kwj .t/kLp  C;

8 t; j:

Also kvj .0/kL2 is bounded and hence kvj .t/kL2 is bounded, so (2.49)

kvj .t/kH 1;p  C:

The Sobolev imbedding theorem gives H 1;p .M /  L2C2ı .M /; ı > 0, when dim M D 2, so (2.50)

kvj .t/ ˝ vj .t/kL1Cı  C:

Hence, by (2.47), (2.51)

k@t vj .t/kH 1;1Cı  C:

550 17. Euler and Navier–Stokes Equations for Incompressible Fluids

An interpolation of (2.49) and (2.51) gives   (2.52) vj bounded in C r Œ0; 1/; Ls .M / ; for some r > 0; s > 2. Together with (2.49), this implies   (2.53) kvj k compact in C Œ0; T ; L2 .M / ; for any T < 1. Thus we can choose a subsequence vj such that   (2.54) vj ! u in C Œ0; T ; L2 .M / ; 8 T < 1; the convergence being in norm. Hence (2.55)

  vj ˝ vj ! u ˝ u in C RC ; L1 .M / ;

so (2.56)

  P div.vj ˝ vj / ! P div.u ˝ u/ in C RC ; D0 .M / ;

so the limit satisfies (2.1). The question of the uniqueness of a weak solution obtained in Proposition 2.6 is open. It is of interest to consider the case when rot u0 D w0 is not in Lp .M / for some p > 1, but just in L1 .M /, or more generally, let w0 be a finite measure on M . This problem was addressed in [DM], which produced a “measure-valued solution” (i.e., a “fuzzy solution,” in the terminology used in Chap. 13,  11). In [Del] it was shown that if w0 is a positive measure (and M D R2 ), then there is a global weak solution; see also [Mj5]. Other work, with particular attention to cases where rot u0 is a linear combination of delta functions, is discussed in [MP]; see also [Cho]. We also mention the extension of Proposition 2.6 in [Cha], to the case w0 2 L.log L/. The following provides extra information on the limiting case p D 1 of Proposition 2.6: Proposition 2.7. If dim M D 2, rot u0 2 L1 .M /, and u is a weak solution to (2.1) given by Proposition 2.6, then (2.57)

u 2 C.RC  M /;

and, for each t 2 RC , in any local coordinate chart on M , if jx  yj  1=2, (2.58)

ju.t; x/  u.t; y/j  C jx  yj log

1 krot u0 kL1 : jx  yj

Furthermore, u generates a flow, consisting of homeomorphisms F t W M ! M .

2. Existence of solutions to the Euler equations

551

Proof. The continuity in (2.57) holds whenever u0 2 H 1;p .M / with p > 2, as can be deduced from (2.46), its corollary (2.59)

  @t u 2 L1 RC ; Lp .M / ;

p > 2;

and interpolation. In fact, this gives a H¨older estimate on u. Next, we have (2.60)

krot u.t/kL1  krot u0 kL1 ;

8 t  0:

Since u.t/ is obtained from rot u.t/ via (2.23), the estimate (2.58) is a consequence of the fact that (2.61)

A 2 OPS 1 .M / H) A W L1 .M / ! LLip.M /;

where, with ı.x; y/ D dist.x; y/; .ı/ D ı log.1=ı/, (2.62)

˚   LLip.M / D f 2 C.M / W jf .x/  f .y/j  C ı.x; y/ :

The result (2.61) can be established directly from integral kernel estimates. Alternatively, (2.61) follows from the inclusion (2.63)

C1 .M /  LLip.M /;

since we know that A 2 OPS 1 .M / ) A W L1 .M / ! C1 .M /. In turn, the inclusion (2.63) is a consequence of the following characterization of LLip, due to [BaC]: Let ‰0 2 C01 .Rn / satisfy ‰0 . / D 1 for j j  1, and set ‰k . / D ‰0 .2k /. Recall that, with 0 D ‰0 ; k D ‰k  ‰k1 for k  1, f 2 C0 .Rn / ” k

k .D/f

kL1  C:

It follows that, for any u 2 E 0 .Rn /, (2.64)

u 2 C1 .Rn / ” kr

k .D/ukL1

 C:

By comparison, we have the following: Lemma 2.8. Given u 2 E 0 .Rn /, we have (2.65)

u 2 LLip.Rn / ” kr‰k .D/ukL1  C.k C 1/:

We leave the details of either of these approaches to (2.61) as an exercise. Now, for t-dependent vector fields satisfying (2.57)–(2.58), the existence and uniqueness of solutions of the associated ODEs, and continuous dependence on initial data, are established in Appendix A of Chap. 1, and the rest of Proposition 2.7 follows.

552 17. Euler and Navier–Stokes Equations for Incompressible Fluids

We mention that uniqueness has been established for solutions to (2.1) described by Proposition 2.7; see [Kt1] and [Yud]. A special case of Proposition 2.7 is that for which rot u0 is piecewise constant. One says these are “vortex patches.” There has been considerable interest in properties of the evolution of such vortex patches; see [Che3] and also [BeC].

Exercises 1. Refine the estimate (2.13) to (2.66)

d ku" .t/k2H k  C kru" kL1 ku" .t/k2H k ; dt

for k > n=2 C 1. 2. Using interpolation inequalities, show that if k D s C r; s D n=2 C 1 C ı, then d 2.1C / ku" .t/k2H k  C ku" .t/k k ; H dt

D

s : 2k

3. Give a treatment of the Euler equation with an external force term: (2.67)

@u C ru u D grad p C f; @t

div u D 0:

4. The enstrophy of an smooth Euler flow is defined by (2.68)

Ens.t/ D kw.t/k2L2 .M / ;

w D vorticity.

If u is a smooth solution to (2.1) on I  M; t 2 I , and dim M D 3, show that (2.69)

  d kw.t/k2L2 D 2 rw u; w L2 : dt

5. Recall the deformation tensor associated to a vector field u, (2.70)

Def.u/ D

 1 ru C rut ; 2

which measures the degree to which the flow of u distorts the metric tensor g. Denote by #u the associated second-order, symmetric covariant tensor field (i.e., #u D .1=2/Lu g). Show that when dim M D 3, (2.69) is equivalent to Z d kw.t/k2L2 D 2 #u .w; w/ dV: (2.71) dt M

6. Show that the estimate (2.32) can be generalized and sharpened to (2.72)

h  kuk s;p i H ; kP ukL1  C kukC 0  1 C log  kukC 0 

given ı 2 Œ0; 1/; p 2 .1; 1/, and s > n=p. 7. Prove Lemma 2.8, and hence deduce (2.61).

0 P 2 OPS1;ı ;

3. Euler flows on bounded regions

553

3. Euler flows on bounded regions Having discussed the existence of solutions to the Euler equations for flows on a compact manifold without boundary in  2, we now consider the case of a compact manifold M with boundary @M (and interior M ). We want to solve the PDE @u C P ru u D 0; @t

(3.1)

div u D 0;

with boundary condition uD0

(3.2)

on @M;

where  is the normal to @M , and initial condition u.0/ D u0 :

(3.3) We work on the spaces (3.4)

ˇ V k D fu 2 H k .M; TM / W div u D 0;   uˇ@M D 0g:

As shown in the third problem set in  9 of Chap. 5 (see (9.79), V 0 is the closure of V (given by (1.6)) in L2 .M; TM /. Hence the Leray projection P is the orthogonal projection of L2 .M; TM / onto V 0 . This result uses the Hodge decomposition, and results on the Hodge Laplacian with absolute boundary conditions, which also imply that P W H k .M; TM / ! V k :

(3.5)

Furthermore, the Hodge decomposition yields the characterization .I  P /v D grad p;

(3.6)

where p is uniquely defined up to an additive constant by (3.7)

p D div v on M;



@p D   v on @M: @

See also Exercises 1–2 at the end of this section. The following estimates will play a central role in our analysis of the Euler equations. Proposition 3.1. Let u and v be C 1 -vector fields in M . Assume u 2 V k . If v 2 H kC1 .M /, then (3.8)

ˇ ˇ.ru v; v/

Hk

 ˇ ˇ  C kukC 1 kvk

Hk

 C kukH k kvkC 1 kvkH k ;

554 17. Euler and Navier–Stokes Equations for Incompressible Fluids

while if v 2 V k , then (3.9)

    .1  P /ru v  k  C kukC 1 kvk k C kuk k kvkC 1 : H H H

Proof. We begin with the k D 0 case of (3.8). Indeed, Green’s formula gives  (3.10) .ru v; w/L2 D .v; ru w/L2  v; .div u/w/L2 C

Z h; ui hv; wi dS:

@M

ˇ If div u D 0 and   uˇ@M D 0, the last two terms vanish, so the k D 0 case of (3.8) is sharpened to (3.11)

.ru v; v/L2 D 0

if u 2 V 0

and v is C 1 on M . This also holds if u 2 V 0 \ C.M ; T / and v 2 H 1 . To treat (3.8) for k  1, we use the following inner product on H k .M; T /. Pick a finite set of smooth vector fields fXj g, spanning Tx M for each x 2 M , and set X (3.12) .u; v/H k D .X J u; X J v/L2 ; jJ jk

where X J D rXj1    rXj` are as in (2.39), jJ j D `. Now, we have (3.13)

.X J ru v; X J v/L2 D .ru X J v; X J v/L2 C .ŒX J ; ru v; X J v/L2 :

The first term on the right vanishes, by (3.11). As for the second, as in (2.12) we have the Moser estimate    J  ŒX ; ru v  2  C kukC 1 kvk k C kuk k kvkC 1 : (3.14) H H L This proves (3.8). In order to establish (3.9), it is useful to calculate div ru v. In index notation X D ru v is given by X j D v j Ik uk , so div X D X j Ij yields (3.15)

div ru v D v j IkIj uk C v j Ik uk Ij :

If M is flat, we can simply change the order of derivatives of v; more generally, using the Riemann curvature tensor R, (3.16)

v j IkIj D v j Ij Ik C Rj `jk v ` :

3. Euler flows on bounded regions

555

Noting that Rj `jk D Ric`k is the Ricci tensor, we have (3.17)

  div ru v D ru .div v/ C Ric.u; v/ C Tr .ru/.rv/ ;

where ru and rv are regarded as tensor fields of type .1; 1/. When div v D 0, of course the first term on the right side of (3.17) disappears, so (3.18)

  div v D 0 H) div ru v D Tr .ru/.rv/ C Ric.u; v/:

Note that only first-order derivatives of v appear on the right. Thus P acts on ru v more like the identity than it might at first appear. To proceed further, we use (3.6) to write .1  P /ru v D grad ';

(3.19)

where, parallel to (3.7), ' satisfies (3.20)

' D div ru v on M;



  @' D   ru v on @M: @

The computation of div ru v follows from (3.18). To analyze the boundary value in (3.20), we use the identity h; ru vi D ru h; vi  hru ; vi, and note that when u and v are tangent to @M , the first term on the right vanishes. Hence, f .u; v/; h; ru vi D hru ; vi D II

(3.21)

f is the second fundamental form of @M . Thus (3.20) can be rewritten as where II (3.22)

  ' D Tr .ru/.rv/ C Ric.u; v/ on M;

@' f .u; v/: D II @

Note that in the last expression for @'=@ there are no derivatives of v. Now, by (3.22) and the estimates for the Neumann problem derived in Chap. 5, we have (3.23)

  kr'kH k  C kukC 1 kvkH k C kukH k kvkC 1 ;

which proves (3.9). Note that (3.8)–(3.9) yield the estimate (3.24)

  ˇ ˇ ˇ.P ru v; v/ k ˇ  C kukC 1 kvk k C kuk k kvkC 1 kvk k ; H H H H

given u 2 V k ; v 2 V kC1 . In order to solve (3.1)–(3.3), we use a Galerkin-type method, following [Tem2]. Fix k > n=2 C 1, where n D dim M , and take u0 2 V k . We use

556 17. Euler and Navier–Stokes Equations for Incompressible Fluids

the inner product on V k , derived from (3.12). Now there is an isomorphism B0 W V k ! .V k /0 , defined by hB0 v; wi D .v; w/V k . Using V k  V 0  .V k /0 , we define an unbounded, self-adjoint operator B on V 0 by (3.25)

D.B/ D fv 2 V k W B0 v 2 V 0 g;

ˇ B D B0 ˇD.B/ :

This is a special case of the Friedrichs extension method, discussed in general in Appendix A,  8. It follows from the compactness of the inclusion V k ,! V 0 that B 1 is compact, so V 0 has an orthonormal basis fwj W j D 1; 2; : : : g such that Bwj D j wj ; j % 1. Let Pj be the orthogonal projection of V 0 onto the span of fw1 ; : : : ; wj g. It is useful to note that (3.26)

.Pj u; v/V 0 D .u; Pj v/V 0

and .Pj u; v/V k D .u; Pj v/V k :

Our approximating equation will be (3.27)

@uj C Pj ruj uj D 0; @t

uj .0/ D Pj u0 :

Here, we extend Pj to be the orthogonal projection of L2 .M; TM / onto the span of fw1 ; : : : ; wj g. We first estimate the V 0 -norm (i.e., the L2 -norm) of uj , using

(3.28)

d kuj .t/k2V 0 D 2.Pj ruj uj ; uj /V 0 dt D 2.ruj uj ; uj /L2 :

By (3.11), .ruj uj ; uj /L2 D 0, so (3.29)

kuj .t/kV 0 D kPj u0 kL2 :

Hence solutions to (3.27) exist for all t 2 R, for each j . Our next goal is to estimate higher-order derivatives of uj , so that we can pass to the limit j ! 1. We have (3.30)

d kuj .t/k2V k D 2.Pj ruj uj ; uj /V k D 2.P ruj uj ; uj /V k ; dt

using (3.26). We can estimate this by (3.24), so we obtain the basic estimate: (3.31)

d kuj .t/k2V k  C kuj kC 1 kuj k2V k : dt

This is parallel to (2.13), so what is by now a familiar argument yields our existence result:

3. Euler flows on bounded regions

557

Theorem 3.2. Given u0 2 V k ; k > n=2 C 1, there is a solution to (3.1)–(3.3) for t in an interval I about 0, with (3.32)

u 2 L1 .I; V k / \ Lip.I; V k1 /:

The solution is unique, in this class of functions. The last statement, about uniqueness, as well as results on stability and rate of convergence as j ! 1, follow as in Proposition 2.2. If u is a solution to (3.1)–(3.3) satisfying (3.32) with initial data u0 2 V k , we want to estimate the rate of change of ku.t/k2H k , as was done in (2.18)–(2.20). Things will be a little more complicated, due to the presence of a boundary @M . Following [KL], we define the smoothing operators J" on H k .M; TM / as follows. Assume M is an open subset (with closure M ) of the compact Riemannian f without boundary, and let manifold M E W H ` .M; T / ! H ` .f M ; T /;

0  `  k C 1;

be an extension operator, such as we constructed in Chap. 4. Let R W H ` .f M ; T / ! H ` .M; T / be the restriction operator, and set J " Eu; J" u D Re

(3.33)

where e J " is a Friedrichs mollifier on f M . If we apply J" to the solution u.t/ of current interest, we have

(3.34)

d kJ" u.t/k2H k D 2.J" P ru u; J" u/H k dt

  D 2.J" ru u; J" u/H k C 2 J" .1  P /ru u; J" u H k :

Using (3.9), we estimate the last term by

(3.35)

ˇ  ˇ 2ˇ J" .1  P /ru u; J" u H k ˇ    C .1  P /ru uH k  kukH k  C ku.t/kC 1 ku.t/k2H k :

To analyze the rest of the right side of (3.34), write (3.36)

.J" ru u; J" u/H k D

X  X J J" ru u; X J J" u L2 ;

jJ jk

using (3.12). Now we have (3.37)

X J J" ru u D X J ŒJ" ; ru u C ŒX J ; ru J" u C ru .X J J" u/:

558 17. Euler and Navier–Stokes Equations for Incompressible Fluids

We look at these three terms successively. First, by (3.14),  J  ŒX ; ru J" u 2  C ku.t/k 1 (3.38) C .M / ku.t/kH k .M / : L Next, as in (1.44)–(1.45) of Chap. 16 on hyperbolic PDE, we claim to have an estimate   ŒJ" ; ru u k (3.39)  C ku.t/kC 1 .M / kukH k .M / : H .M / To obtain this, we can use a Friedrichs mollifier e J " on f M with the property that (3.40)

supp w  K ) supp e J " w  K;

f n M: KDM

In that case, if e u D Eu and w e D Ew, then (3.41)

ŒJ" ; ru w D RŒe J " ; re w: u e

Thus (3.39) follows from known estimates for e J ". Finally, the L2 .M /-inner product of the last term in (3.37) with X J J" u is zero. Thus we have a bound ˇ ˇ ˇ.J" ru u; J" u/ k ˇ  C ku.t/kC 1 ku.t/k2 k ; (3.42) H H and hence (3.43)

 d  J" u.t/2 k  C ku.t/kC 1 ku.t/k2 k : H H dt

As before, we can convert this to an integral inequality and take " ! 0, obtaining Z t 2 2 ku.s/kC 1 .M / ku.s/k2H k ds: (3.44) ku.t/kH k  ku0 kH k C C 0

As with the exploitation of (2.19)–(2.20), we have Proposition 3.3. If k > n=2 C 1; u0 2 V k , the solution u to (3.1)–(3.3) given by Theorem 3.2 satisfies u 2 C.I; V k /:

(3.45)

Furthermore, if I is an open interval on which (3.45) holds, u solving (3.1)–(3.3), and if (3.46)

sup ku.t/kC 1 .M /  K < 1; t 2I

then the solution u continues to an interval I 0 , containing I in its interior, u 2 C.I 0 ; V k /.

3. Euler flows on bounded regions

559

We will now extend the result of [BKM], Proposition 2.3, to the Euler flow on a region with boundary. Our analysis follows [Fer] in outline, except that, as in  2, we make use of some of the Zygmund space analysis developed in  8 of Chap. 13. Proposition 3.4. If u 2 C.I; V k / solves the Euler equation, with k > n=2 C 1; I D .a; b/, and if the vorticity w satisfies sup kw.t/kL1  K < 1;

(3.47)

t 2I

then the solution u continues to an interval I 0 , containing I in its interior, u 2 C.I 0 ; V k /. To start the proof, we need a result parallel to (2.23), relating u to w. Lemma 3.5. If uQ and wQ are the 1-form and 2-form on M , associated to u and w, then uQ D ıG A wQ C PhA uQ ;

(3.48)

where G A is the Green operator for , with absolute boundary conditions, and PhA the orthogonal projection onto the space of harmonic 1-forms with absolute boundary conditions. Proof. We know that (3.49)

d uQ D w; Q

ı uQ D 0;

n uQ D 0:

In particular, uQ 2 HA1 .M; ƒ1 /, defined by (9.11) of Chap. 5. Thus we can write the Hodge decomposition of uQ as (3.50)

uQ D .d C ı/G A .d C ı/Qu C PhA uQ :

See Exercise 2 in the first exercise set of  9, Chap. 5. By (3.49), this gives (3.48). Now since G A is the solution operator to a regular elliptic boundary problem, it follows from Theorem 8.9 (complemented by (8.54)–(8.55)) of Chap. 13 that (3.51)

G A W C 0 .M ; ƒ2 / ! C2 .M ; ƒ2 /;

where C2 .M / is a Zygmund space, defined by (8.37)–(8.41) of Chap. 13. Hence, from (3.48), we have (3.52)

kQu.t/kC1  C kw.t/k Q u.t/kL2 : L1 C C kQ

560 17. Euler and Navier–Stokes Equations for Incompressible Fluids

Of course, the last term is equal to C kQu.0/kL2 . Thus, under the hypothesis (3.47), we have (3.53)

ku.t/kC1  K 0 < 1;

t 2 I:

Now the estimate (8.53) of Chap. 13 gives (3.54)

h  i ku.t/kC 1  C 1 C logC ku.t/kH k ;

for any k > n=2 C 1, parallel to (2.26). To prove Proposition 3.4, we can exploit (3.43) in the same way we did (2.19), to obtain, via (3.54), the estimate (3.55)

  dy  C 1 C logC y y; dt

y.t/ D ku.t/k2H k :

A use of Gronwall’s inequality exactly as in (2.27)–(2.31) finishes the proof. As in  2, one consequence of Proposition 3.4 is the classical global existence result when dim M D 2. Proposition 3.6. If dim M D 2 and u0 2 V k ; k > 2, then the solution to the Euler equations (3.1)–(3.3) exists for all t 2 RI u 2 C.R; V k /. Proof. As in (2.36), the vorticity w is a scalar field, satisfying @w C ru w D 0: @t Since u is tangent to @M , this again yields kw.t/kL1 D kw.0/kL1 :

Exercises

ˇ 1. Show that if u 2 L2 .M; TM / and div u D 0, then  uˇ@M is well defined in H 1 .@M /. Hence (3.4) is well defined for k D 0. 2. Show that the result (3.6)–(3.7) specifying .I  P /v follows from (1.44). (Hint: Take p D ıG A v:) Q 3. Show that the result (3.5) that P W H k .M; TM / ! V k follows from (1.44). Show that V k is dense in V ` , for 0  ` < k. 4. For s 2 Œ0; 1/, define V s by (3.4) with s D k, not necessarily an integer. Equivalently, V s D V 0 \ H s .M; TM /:

4. Navier–Stokes equations

561

Demonstrate the interpolation property ŒV 0 ; V k  D V k ;

0 < < 1:

(Hint: Show that P W H s .M; TM / ! V s , and make use of this fact.) 5. Let u be a 1-form on M . Show that d  d u D v, where, in index notation, vj D uj Ik Ik  ukIj Ik : In analogy with (3.15)–(3.16), reorder the derivatives in the last term to deduce that d  d u D r  ru  dd  u C Ric.u/, or equivalently, (3.56)

.d  d C dd  /u D r  ru C Ric.u/;

which is a special case of the Weitzenbock formula. Compare with (4.16) of Chap. 10. e , a compact manifold without boundary, having 6. Construct a Friedrichs mollifier on M the property (3.40).R(Hint: In the model case Rn , consider convolution by "n '.x="/, where we require '.x/dx D 1, and ' 2 C01 .Rn / is supported on jx  e1 j  1=2; e1 D .1; 0; : : : ; 0/:)

4. Navier–Stokes equations We study here the Navier–Stokes equations for the viscous incompressible flow of a fluid on a compact Riemannian manifold M . The equations take the form (4.1)

@u C ru u D Lu  grad p; @t

div u D 0;

u.0/ D u0 :

for the velocity field u, where p is the pressure, which is eliminated from (4.1) by applying P , the orthogonal projection of L2 .M; TM / onto the kernel of the divergence operator. In (4.1), r is the covariant derivative. For divergence-free fields u, one has the identity (4.2)

ru u D div.u ˝ u/;

the right side being the divergence of a second-order tensor field. This is a special case of the general identity div.u ˝ v/ D rv u C .div v/u, which arose in (2.43). The quantity  in (4.1) is a positive constant. If M D Rn ; L is the Laplace operator , acting on the separate components of the velocity field u. Now, if M is not flat, there are at least two candidates for the role of the Laplace operator, the Hodge Laplacian  D .d  d C dd  /; or rather its conjugate upon identifying vector fields and 1-forms via the Riemannian metric (“lowering indices”), and the Bochner Laplacian LB D r  r;

562 17. Euler and Navier–Stokes Equations for Incompressible Fluids

where r W C 1 .M; TM / ! C 1 .M; T  ˝T / arises from the covariant derivative. In order to see what L is in (4.1), we record another form of (4.1), namely (4.3)

@u C ru u D  div S  grad p; @t

div u D 0;

where S is the “stress tensor” S D ru C rut D 2 Def u; also called the “deformation tensor.” This tensor was introduced in Chap. 2,  3; cf. (3.35). In index notation, S jk D uj Ik CukIj , and the vector field div S is given by S jk Ik D uj Ik Ik C ukIj Ik : The first term on the right is r  ru. The second term can be written (as in (3.16)) as  j uk Ik Ij C Rk `k j u` D grad div u C Ric.u/ : Thus, as long as div u D 0, div S D r  ru C Ric.u/: By comparison, a special case of the Weitzenbock formula, derivable in a similar fashion (see Exercise 5 in the previous section), is u D r  ru  Ric.u/ when u is a 1-form. In other words, on ker div, (4.4)

Lu D u C 2 Ric.u/:

The Hodge Laplacian  has the property of commuting with the projection P onto ker div, as long as M has no boundary. For simplicity of exposition, we will restrict attention throughout the rest of this section to the case of Riemannian manifolds M for which Ric is a constant scalar multiple c0 of the identity, so (4.5)

L D  C 2c0

on ker div;

and the right side also commutes with P . Then we can rewrite (4.1) as (4.6)

@u D Lu  P ru u; @t

u.0/ D u0 ;

where, as above, the vector field u0 is assumed to have divergence zero. Let us note that, in any case, L D 2 Def Def is a negative-semidefinite operator.

4. Navier–Stokes equations

563

We will perform an analysis similar to that of  2; in this situation we will obtain estimates independent of , and we will be in a position to pass to the limit  ! 0. We begin with the approximating equation (4.7)

@u" C PJ" ru" J" u" D J" LJ" u" ; @t

u" .0/ D u0 ;

parallel to (2.2), using a Friedrichs mollifier J" . Arguing as in (2.3)–(2.6), we obtain (4.8)

d ku" .t/k2L2 D 4kDef J" u" .t/k2L2  0; dt

hence (4.9)

ku" .t/kL2  ku0 kL2 :

Thus it follows that (4.7) is solvable for all t 2 R whenever   0 and " > 0. We next estimate higher-order derivatives of u" , as in  2. For example, if M D T n , following (2.7)–(2.13), we obtain now

(4.10)

d ku" .t/k2H k  C ku" .t/kC 1 ku" .t/k2H k  4kDef J" u" .t/k2H k dt  C ku" .t/kC 1 ku" .t/k2H k ;

for   0. For more general M , one has similar results parallel to analyses of (2.34) and (2.35). Note that the factor C is independent of . As in Theorem 2.1 (see also Theorem 1.2 of Chap. 16), these estimates are sufficient to establish a local existence result, for a limit point of u" as " ! 0, which we denote by u . Theorem 4.1. Given u0 2 H k .M /; k > n=2 C 1, with div u0 D 0, there is a solution u on an interval I D Œ0; A/ to (4.6), satisfying (4.11)

u 2 L1 .I; H k .M // \ Lip.I; H k2 .M //:

The interval I and the estimate of u in L1 .I; H k .M // can be taken independent of   0. We can also establish the uniqueness, and treat the stability and rate of convergence of u" to u D u as before. Thus, with " 2 Œ0; 1, we compare a solution u D u to (4.6) to a solution u" D w to (4.12)

@w C PJ" rw J" w D J" LJ" w; @t

w.0/ D w0 :

564 17. Euler and Navier–Stokes Equations for Incompressible Fluids

Setting v D u  u" , we have again an estimate of the form (2.16), hence: Proposition 4.2. Given k > n=2 C 1, solutions to (4.6) satisfying (4.11) are unique. They are limits of solutions u" to (4.7), and, for t 2 I , (4.13)

ku .t/  u" .t/kL2  K1 .t/kI  J" kL.H k1 ;L2 / ;

the quantity on the right being independent of  2 Œ0; 1/. Continuing to follow  2, we can next look at

(4.14)

  d kD ˛ J" u .t/k2L2 D  2 D ˛ J" L.u ; D/u ; D ˛ J" u dt  2kDef D ˛ J" u .t/k2L2 ;

parallel to (2.18), and as in (2.19)–(2.20) deduce

(4.15)

d ku .t/k2H k  C ku .t/kC 1 ku .t/k2H k  4kDef u .t/k2H k dt  C ku .t/kC 1 ku .t/k2H k :

This time, the argument leading to u 2 C.I; H k .M //, in the case of the solution to a hyperbolic equation or the Euler equation (2.1), gives for u solving (4.6) with u0 2 H k .M /, (4.16)

u is continuous in t with values in H k .M /; at t D 0;

provided k > n=2 C 1. At other points t 2 I , one has right continuity in t. This argument does not give left continuity since the evolution equation (4.6) is not well posed backward in time. However, a much stronger result holds for positive t 2 I , as will be seen in (4.17) below. Having considered results with estimates independent of   0, we now look at results for fixed  > 0 (or which at least require  to be bounded away from 0). Then (4.6) behaves like a semilinear parabolic equation, and we will establish the following analogue of Proposition 1.3 of Chap. 15. We assume n  2. Proposition 4.3. If div u0 D 0 and u0 2 Lp .M /, with p > n D dim M , and if  > 0, then (4.6) has a unique short-time solution on an interval I D Œ0; T : (4.17)

u D u 2 C.I; Lp .M // \ C 1 ..0; T /  M /:

Proof. It is useful to rewrite (4.6) as (4.18)

@u C P div.u ˝ u/ D Lu; @t

u.0/ D u0 ;

4. Navier–Stokes equations

565

using the identity (4.2). In this form, the parallel with (1.16) of Chap. 15, namely, X @u D u C @j Fj .u/; @t is evident. The proof is done in the same way as the results on semilinear parabolic equations there. We write (4.18) as an integral equation Z (4.19)

u.t/ D e t L u0 

t

  e .t s/L P div u.s/ ˝ u.s/ ds D ‰u.t/;

0

and look for a fixed point of (4.20)

‰ W C.I; X / ! C.I; X /;

X D Lp .M / \ ker div:

As in the proof of Propositions 1.1 and 1.3 in Chap. 15, we fix ˛ > 0, set Z D fu 2 C.Œ0; T ; X / W u.0/ D u0 ; ku.t/  u0 kX  ˛g;

(4.21)

and show that if T > 0 is small enough, then ‰ W Z ! Z is a contraction map. For that, we need a Banach space Y such that ˆ W X ! Y is Lipschitz, uniformly on bounded sets,

(4.22) (4.23)

e

tL

W Y ! X; for t > 0;

and, for some  < 1, (4.24)

ke t L kL.Y;X/  C t  ; for t 2 .0; 1:

The map ˆ in (4.22) is (4.25) We set

ˆ.u/ D P div.u ˝ u/: Y D H 1;p=2 .M / \ ker div,

and these conditions are all seen to hold, as long as p > n; to check (4.24), use (1.15) of Chap. 15. Thus we have the solution u to (4.6), belonging to C.Œ0; T ; Lp .M //. To obtain the smoothness stated in (4.17), the proof of smoothness in Proposition 1.3 of Chap. 15 applies essentially verbatim. Local existence with initial data u0 2 Ln .M / was established in [Kt4]. We also mention results on local existence when u0 belongs to certain Morrey spaces, given in [Fed, Kt5, T2]. Note that the length of the interval I on which u is produced in Proposition 4.3 depends only on ku0 kLp (given M and ). Hence one can get global existence

566 17. Euler and Navier–Stokes Equations for Incompressible Fluids

provided one can bound ku.t/kLp .M / , for some p > n. In view of this we have the following variant of Proposition 2.3 (with a much simpler proof): Proposition 4.4. Given  > 0; p > n, if u 2 C.Œ0; T /; Lp .M // solves (4.6), and if the vorticity w satisfies (4.26)

sup kw.t/kLq  K < 1;

qD

t 2Œ0;T /

np ; nCp

then the solution u continues to an interval Œ0; T 0 /, for some T 0 > T , u 2 C.Œ0; T 0 /; Lp .M // \ C 1 ..0; T 0 /  M /; solving (4.6). Proof. As in the proof of Proposition 2.3, we have u D Aw C P0 u; where P0 is a projection onto a finite-dimensional space of smooth fields, A 2 OPS 1 .M /. Since we know that ku.t/kL2  ku0 kL2 and since A W Lq ! H 1;q  Lp , we have an Lp -bound on u.t/ as t % T , as needed to prove the proposition. Note that we require on q precisely that q > n=2, in order for the corresponding p to exceed n. Note also that when dim M D 2, the vorticity w is scalar and satisfies the PDE (4.27)

@w C ru w D . C 2c0 /wI @t

as long as (4.5) holds, generalizing the  D 0 case, we have kw.t/kL1  e 2c0 t kw.0/kL1 (this time by the maximum principle), and consequently global existence. When dim M D 3; w is a vector field and (as long as (4.5) holds) the vorticity equation is (4.28)

@w C ru w  rw u D Lw: @t

It remains an open problem whether (4.1) has global solutions in the space C 1 ..0; 1/  M / when dim M  3, despite the fact that one thinks this should be easier for  > 0 than in the case of the Euler equation. We describe here a couple of results that are known in the case  > 0. Proposition 4.5. Let k > n=2 C 1;  > 0. If ku0 kH k is small enough, then (4.6) has a global solution in C.Œ0; 1/; H k / \ C 1 ..0; 1/  M /.

4. Navier–Stokes equations

567

What “small enough” means will arise in the course of the proof, which will be a consequence of the first part of the estimate (4.15). To proceed from this, we can pick positive constants A and B such that kDef uk2H k  Akuk2H k  Bkuk2L2 ; so (4.15) yields ˚  d ku.t/k2H k  C ku.t/kC 1  2A kuk2H k C 2Bku.t/k2L2 : dt Now suppose ku0 k2L2  ı

and ku0 k2H k  LıI

L will be specified below. We require Lı to be so small that (4.29)

kvk2H k  2Lı H) kvkC 1 

A : C

Recall that ku.t/kL2  ku0 kL2 . Consequently, as long as ku.t/k2H k  2Lı, we have dy  Ay C 2Bı; y.t/ D ku.t/k2H k : dt Such a differential inequality implies (4.30)

 ˚ y.t/  max y.t0 /; 2BA1 ı ; for t  t0 :

Consequently, if we take L D 2B=A and pick ı so small that (4.29) holds, we have a global bound ku.t/k2H k  Lı, and corresponding global existence. A substantially sharper result of this nature is given in Exercises 4–9 at the end of this section. We next prove the famous Hopf theorem, on the existence of global weak solutions to (4.6), given  > 0, for initial data u0 2 L2 .M /. The proof is parallel to that of Proposition 1.7 in Chap. 15. In order to make the arguments given here resemble those for viscous flow on Euclidean space most closely, we will assume throughout the rest of this section that (4.5) holds with c0 D 0 (i.e., that Ric D 0). Theorem 4.6. Given u0 2 L2 .M /, div u0 D 0;  > 0, the (4.6) has a weak solution for t 2 .0; 1/, (4.31)

    u 2 L1 RC ; L2 .M / \ L2loc RC ; H 1 .M /   \ Liploc RC ; H 2 .M / C H 1;1 .M / :

We will produce u as a limit point of solutions u" to a slight modification of (4.7), namely we require each J" to be a projection; for example, take

568 17. Euler and Navier–Stokes Equations for Incompressible Fluids

J" D ."/, where . / is the characteristic function of Œ1; 1. Then J" commutes with  and with P . We also require u" .0/ D J" u0 ; then u" .t/ D J" u" .t/. Now from (4.9), which holds here also, we have fu" W " 2 .0; 1g is bounded in L1 .RC ; L2 /:

(4.32)

This follows from (4.8), further use of which yields Z (4.33)

T

4 0

kDef u" .t/k2L2 dt D kJ" u0 k2L2  ku" .T /k2L2 ;

as in (1.39) of Chap. 15. Hence, for each bounded interval I D Œ0; T , (4.34)

fu" g is bounded in L2 .I; H 1 .M //:

Now, as in (4.18), we write our PDE for u" as (4.35)

@u" C PJ" div.u" ˝ u" / D u" ; @t

since J" J" u" D u" . From (4.32) we see that (4.36)

fu" ˝ u" W " 2 .0; 1g is bounded in L1 .RC ; L1 .M //:

We use the inclusion L1 .M /  H n=2ı .M /. Hence, by (4.35), for each ı > 0, (4.37)

f@t u" g is bounded in L2 .I; H n=21ı .M //;

so (4.38)

fu" g is bounded in H 1 .I; H n=21ı .M //:

As in the proof of Proposition 1.7 in Chap. 15, we now interpolate between (4.34) and (4.38), to obtain (4.39)

fu" g is bounded in H s .I; H 1ss.n=2C1Cı/ .M //;

and hence, as in (1.45) there, (4.40)

fu" g is compact in L2 .I; H 1 .M //;

for all  > 0. Now the rest of the argument is easy. We can pick a sequence uk D u"k ("k ! 0) such that

4. Navier–Stokes equations

(4.41)

569

uk ! u in L2 .Œ0; T ; H 1 .M //; in norm,

arranging that this hold for all T < 1, and from this it is easy to deduce that u is a desired weak solution to (4.6). Solutions of (4.6) obtained as limits of u" as in the proof of Theorem 4.6 are called Leray–Hopf solutions to the Navier–Stokes equations. The uniqueness and smothness of a Leray–Hopf solution so constructed remain open problems if dim M  3. We next show that when dim M D 3, such a solution is smooth except for at most a fairly small exceptional set. Proposition 4.7. If dim M D 3 and u is a Leray–Hopf solution of (4.6), then there is an open dense subset J of .0; 1/ such that RC nJ has Lebesgue measure zero and (4.42)

u 2 C 1 .J  M /:

Proof. For T > 0 arbitrary, I D Œ0; T , use (4.40). With uk D u"k , passing to a subsequence, we can suppose (4.43)

kukC1  uk kE  2k ;

E D L2 .I; H 1 .M //:

Now if we set (4.44)

.t/ D sup kuk .t/kH 1 ; k

we have (4.45)

.t/  ku1 .t/kH 1 C

1 X

kukC1 .t/  uk .t/kH 1 ;

kD1

hence (4.46)

 2 L2 .I /:

In particular, .t/ is finite almost everywhere. Let (4.47)

S D ft 2 I W .t/ < 1g:

For small  > 0; H 1 .M /  Lp .M / with p close to 6 when dim M D 3, 0 and products of two elements in H 1 .M / belong to H 1=2 .M /, with  0 > 0 small. Recalling that u" satisfies (4.35), we now apply the analysis used in the proof of Proposition 4.3 to uk , concluding that, for each t0 2 S , there exists T .t0 / > 0, depending only on .t0 /, such that, for small  0 > 0, we have     fuk g bounded in C Œt0 ; t0 C T .t0 /; H 1 .M / \ C 1 .t0 ; t0 C T .t0 //  M :

570 17. Euler and Navier–Stokes Equations for Incompressible Fluids

Consequently, if we form the open set JT D

(4.48)

[  t0 ; t0 C T .t0 / ; t0 2S

then any weak limit u of fuk g has the property that u 2 C 1 .JT  M /. It remains only to show that I n JT has Lebesgue measure zero; the denseness of JT in I will automatically follow. To see this, fix ı1 > 0. Since meas.I n S / D 0, there exists ı2 > 0 such that if Sı2 D ft 2 S W T .t/  ı2 g, then meas.I n Sı2 / < ı1 . But JT contains the translate of Sı2 by ı2 =2, so meas.I n JT /  ı1 C ı2 =2. This completes the proof. There are more precise results than this. As shown in [CKN], when M D R3 , the subset of RC  M on which a certain type of Leray–Hopf solution, called “admissible,” is not smooth, must have vanishing one-dimensional Hausdorff measure. In [CKN] it is shown that admissible Leray–Hopf solutions exist. We now discuss some results regarding the uniqueness of weak solutions to the Navier–Stokes equations (4.6). Thus, let I D Œ0; T , and suppose (4.49)

    uj 2 L1 I; L2 .M / \ L2 I; H 1 .M / ;

j D 1; 2;

are two weak solutions to (4.50)

@uj C P div.uj ˝ uj / D uj ; @t

uj .0/ D u0 ;

where u0 2 L2 .M /; div u0 D 0. Then v D u1  u2 satisfies (4.51)

@v C P div.u1 ˝ v C v ˝ u2 / D v; @t

v.0/ D 0:

We will estimate the rate of change of kv.t/k2L2 , using the following: Lemma 4.8. Provided (4.52)

v 2 L2 .I; H 1 .M // and

@v 2 L2 .I; H 1 .M //; @t

then kv.t/k2L2 is absolutely continuous and d kv.t/k2L2 D 2.vt ; v/L2 2 L1 : dt Furthermore, v 2 C.I; L2 /. Proof. The identity is clear for smooth v, and the rest follows by approximation.

4. Navier–Stokes equations

571

By hypothesis (4.49), the functions uj satisfy the first part of (4.52). By (4.50), the second part of (4.52) is satisfied provided uj ˝ uj 2 L2 .I  M /, that is, provided uj 2 L4 .I  M /:

(4.53)

We now proceed to investigate the L2 -norm of v, solving (4.51). If uj satisfy both (4.49) and (4.53), we have

(4.54)

d kv.t/k2L2 D 2.rv u1 ; v/  2.ru2 v; v/  2krvk2L2 dt D 2.u1 ; rv v/  2krvk2L2 ;

since rv D rv and ru2 D ru2 for these two divergence-free vector fields. Consequently, we have (4.55)

d kv.t/k2L2  2ku1 kL4  kvkL4  krvkL2  2krvk2L2 : dt

Our goal is to get a differential inequality implying kv.t/kL2 D 0; this requires estimating kv.t/kL4 in terms of kv.t/kL2 and krvkL2 . Since H 1=2 .M 2 /  L4 .M 2 / and H 1 .M 3 /  L6 .M 3 /, we can use the following estimates when dim M D 2 or 3: (4.56)

1=2

1=2

1=4 C kvkL2

3=4 krvkL2

kvkL4  C kvkL2  krvkL2 C C kvkL2 ; kvkL4 



C C kvkL2 ;

dim M D 2; dim M D 3:

With these estimates, we are prepared to prove the following uniqueness result: Proposition 4.9. Let u1 and u2 be weak solutions to (4.6), satisfying (4.49) and (4.53). Suppose dim M D 2 or 3; if dim M D 3, suppose furthermore that   u1 2 L8 I; L4 .M / :

(4.57)

If u1 .0/ D u2 .0/, then u1 D u2 on I  M . Proof. For v D u1  u2 , we have the estimate (4.55). Using (4.56), we have (4.58)

2ku1 kL4 kvkL4 krvkL2  krvk2L2 C C  3 kvk2L2  ku1 k4L4 C C  1 kvk2L2  ku1 k2L4

when dim M D 2, and (4.59)

2ku1 kL4 kvkL4 krvkL2  krvk2L2 C C  7 kvk2L2  ku1 k8L4 C C  1 kvk2L2  ku1 k2L4

572 17. Euler and Navier–Stokes Equations for Incompressible Fluids

when dim M D 3. Consequently, (4.60)

  d kv.t/k2L2  Cn ./kv.t/k2L2 ku1 kpL4 C ku1 k2L4 ; dt

where p D 4 if dim M D 2 and p D 8 if dim M D 3. Then Gronwall’s inequality gives Z t  o n p kv.t/k2L2  ku1 .0/  u2 .0/k2L2 exp Cn ./ ku1 .s/kL4 C ku1 .s/k2L4 ds ; 0

proving the proposition. We compare the properties of the last proposition with properties that Leray– Hopf solutions can be shown to have: Proposition 4.10. If u is a Leray–Hopf solution to (4.1) and I D Œ0; T , then (4.61)

u 2 L4 .I  M /

if dim M D 2;

and (4.62)

  u 2 L8=3 I; L4 .M /

if dim M D 3:

Also, (4.63)

  u 2 L2 I; L4 .M /

if dim M D 4:

Proof. Since u 2 L1 .I; L2 / \ L2 .I; H 1 /, (4.61) follows from the first part of (4.56), and (4.62) follows from the second part. Similarly, (4.63) follows from the inclusion H 1 .M 4 /  L4 .M 4 /: In particular, the hypotheses of Proposition 4.9 are seen to hold for Leray–Hopf solutions when dim M D 2, so there is a uniqueness result in that case. On the other hand, there is a gap between the conclusion (4.62) and the hypothesis (4.57) when dim M D 3.

Exercises In the exercises below, assume for simplicity that Ric D 0, so (4.5) holds with c0 D 0. 1. One place dissipated energy can go is into heat. Suppose a “temperature” function T D T .t; x/ satisfies a PDE (4.64)

@T C ru T D ˛T C 4jDef uj2 ; @t

Exercises

573

coupled to (4.6), where ˛ is a positive constant. Show that the total energy Z n o ju.t; x/j2 C T .t; x/ dx E.t/ D M

is conserved, provided u and T possess sufficient smoothness. Discuss local existence of solutions to the coupled equations (4.1) and (4.64). 2. Show that under the hypotheses of Theorem 4.1, u ! v; as  ! 0; v being the solution to the Euler equation (i.e., the solution to the  D 0 case of (4.6)). In what topology can you demonstrate this convergence? 3. Give the details of the interpolation argument yielding (4.39). 4. Combining Propositions 4.3 and 4.5, show that if div u0 D 0; p > n, and ku0 kLp is small enough, then (4.6) has a global solution     u 2 C Œ0; 1/; Lp \ C 1 .0; 1/  M : In Exercises 5–10, suppose dim M D 3. Let u solve (4.6), with vorticity w. 5. Show that the vorticity satisfies d kw.t/k2L2 D 2.rw u; w/  2krwk2L2 : dt   6. Using .rw u; w/ D .u; rw w/  u; .div w/w , deduce that

(4.65)

d kw.t/k2L2  C kukL3  kwkL6  krwkL2  2krwk2L2 : dt Show that kwkL6  C krwkL2 C C kukL2 ;

(4.66) and hence

  d kw.t/k2L2  C kukL3 krwk2L2 C kuk2L2  2krwk2L2 : dt 7. Show that 1=2

1=2

kukL3  C kukL2  kwkL2 C C kukL2 ; and hence, if ku0 kL2 D ˇ;    d 1=2 kw.t/k2L2  C ˇ 1=2 kwkL2 C ˇ krwk2L2 C ˇ 2  2krwk2L2 : dt 8. Show that there exist constants A; B 2 .0; 1/, depending on M , such that (4.67)

krwk2L2  Akwk2L2  Bˇ 2 ;

574 17. Euler and Navier–Stokes Equations for Incompressible Fluids and hence that y.t/ D kw.t/k2L2 satisfies   dy  C ˇ 1=2 y 1=4 C ˇ ˇ 2  Ay C Bˇ 2 dt as long as (4.68)

  C ˇ 1=2 y 1=4 C ˇ < :

9. As long as (4.68) holds, dy=dt  ˇ 2 .1 C B/  Ay. As in (4.30), this gives  ˚ y.t/  max y.t0 /; ˇ 2 .1 C B/A1 ; ; for t  t0 :   Thus (4.68) persists as long as C ˇ.1 C B/1=4 A1=4 C ˇ < . Deduce a global existence result for the Navier–Stokes equations (4.1) when dim M D 3 and   1=2 1=2 C ku0 kL2 kw.0/kL2 C ku0 kL2 < ; (4.69)   C ku0 kL2 1 C .1 C B/1=4 A1=4 < : For other global existence results, see [Bon] and [Che1]. 10. Deduce from (4.65) that   d kw.t/k2L2  C kwk3L3 C kwk2L3 kukL2  2krwk2L2 : dt Work on this, applying 1=2

1=2

kwkL3  C kwkL2  kwkL6 ; in concert with (4.66). 11. Generalize results of this section to the case where no extra hypotheses are made on Ric. Consider also cases where some assumptions are made (e.g. Ric  0, or Ric  0). (Hint: Instead of (4.6) or (4.18), we have @u D u  P div.u ˝ u/ C PBu; Bu D 2 Ric.u/:/ @t 12. Assume u is a Killing field on M , that is, u generates a group of isometries of M . According to Exercise 11 of  1, u provides a steady solution to the Euler equation (1.11). Show that u also provides a steady solution to the Navier–Stokes equation (4.1), provided L is given by (4.4). If M D S 2 or S 3 , with its standard metric, show that such u (if not zero) does not give a steady solution to (4.1) if L is taken to be either the Hodge Laplacian  or the Bochner Laplacian r  r. Physically, would you expect such a vector field u to give rise to a viscous force? 13. Show that a t-dependent vector field u.t/ on Œ0; T /  M satisfying   u 2 L1 Œ0; T /; Lip1 .M / generates a well-defined flow consisting of homeomorphisms. 14. Let u be a solution to (4.1) with u0 2 Lp .M /; p > n, as in Proposition 4.3. Show that, given s 2 .0; 2, ku.t/kH s;p  C t s=2 ;

0 < t < T:

5. Viscous flows on bounded regions

575

Taking s 2 .1 C n=p; 2/, deduce from Exercise 13 that u generates a well-defined flow consisting of homeomorphisms. For further results on flows generated by solutions to the Navier–Stokes equations, see [ChL] and [FGT].

5. Viscous flows on bounded regions In this section we let  be a compact manifold with boundary and consider the Navier–Stokes equations on RC  , (5.1)

@u C ru u D Lu  grad p; @t

div u D 0:

We will assume for simplicity that  is flat, or more generally, Ric D 0 on , so, by (4.4), L D . When @ ¤ ;, we impose the “no-slip” boundary condition (5.2)

u D 0; for x 2 @:

We also set an initial condition (5.3)

u.0/ D u0 :

We consider the following spaces of vector fields on , which should be compared to the spaces V of (1.6) and V k of (3.4). First, set (5.4)

V D fu 2 C01 .; T / W div u D 0g:

Then set (5.5)

W k D closure of V in H k .; T /;

k D 0; 1:

Lemma 5.1. We have W 0 D V 0 and (5.6)

W 1 D fu 2 H01 .; T / W div u D 0g:

Proof. Clearly, W 0  V 0 . As noted in  1, it follows from (9.79)–(9.80) of Chap. 5 that (5.7)

.V 0 /? D frp W p 2 H 1 ./g;

the orthogonal complement taken in L2 .; T /. To show that V is dense in V 0 , suppose u 2 L2 .; T / and .u; v/ D 0 for all v 2 V. We need to conclude that u D rp for some p 2 H 1 ./. To accomplish this, let us make note of the following simple facts. First,

576 17. Euler and Navier–Stokes Equations for Incompressible Fluids

(5.8) r W H 1 ./ ! L2 .; T / has closed range R0 I

 0 R? 0 D ker r D V :

The last identity follows from (5.7). Second, and more directly useful, (5.9)

r W L2 ./ ! H 1 .; T / has closed range R1 ;  1 R? 1 D ker r D fu 2 H0 .; T / W div u D 0g D W ; .1/

the last identity defining W.1/ . Now write  as an increasing union 1  2     % , each j .1/ having smooth boundary. We claim uj D ujj is orthogonal to Wj , defined

as in (5.9). Indeed, if v 2 W.1/ (and you extend v to be 0 on  n j ), then j p ." /v D v" belongs to V if O 2 C01 .R/ and " is small, and v" ! v in H 1 -norm if .0/ D 1, so .u; v/ D lim.u; v" / D 0. From (5.9) it follows that there exist pj 2 L2 .j / such that u D rpj on j I pj is uniquely determined up to an additive constant (if j is connected) so we can make all the pj fit together, giving u D rp. If u 2 L2 .; T /; p must belong to H 1 ./. The same argument works if u 2 H 1 .; T / is orthogonal to V; we obtain u D rp with p 2 L2 ./; one final application of (5.9) then yields (5.6), finishing off the lemma. Thus, if u0 2 W 1 , we can rephrase (5.1), demanding that (5.10)

d .u; v/W 0 C .ru u; v/W 0 D .u; v/W 1 ; for all v 2 V: dt

Alternatively, we can rewrite the PDE as (5.11)

@u C P ru u D Au: @t

Here, P is the orthogonal projection of L2 .; T / onto W 0 D V 0 , namely, the same P as in (1.10) and (3.1), hence described by (3.5)–(3.6). The operator A is an unbounded, positive, self-adjoint operator on W 0 , defined via the Friedrichs extension method, as follows. We have A0 W W 1 ! .W 1 / given by (5.12)

hA0 u; vi D .u; v/W 1 D .d u; dv/L2 ;

the last identity holding because div u D div v D 0. Then set (5.13)

D.A/ D fu 2 W 1 W A0 u 2 W 0 g;

ˇ A D A0 ˇD.A/ ;

using W 1  W 0  .W 1 / . Automatically, D.A1=2 / D W 1 . The operator A is called the Stokes operator. The following result is fundamental to the analysis of (5.1)–(5.2):

5. Viscous flows on bounded regions

577

Proposition 5.2. D.A/  H 2 .; T /. In fact, D.A/ D H 2 .; T / \ W 1 . In fact, if u 2 D.A/ and Au D f 2 W 0 , then .f; v/L2 D .u; v/L2 , for all v 2 V. We know u 2 H 1 , so from Lemma 5.1 and (5.9) we conclude that there exists p 2 L2 ./ such that u D f C rp:

(5.14)

Also we know that div u D 0 and u 2 H01 .; T /. We want to conclude that u 2 H 2 and p 2 H 1 . Let us identify vector fields and 1-forms, so u D f C dp;

(5.15)

ıu D 0;

ˇ uˇ@ D 0:

In order not to interrupt the flow of the analysis of (5.1)–(5.2), we will show in Appendix A at the end of this chapter that solutions to (5.15) possess appropriate regularity. We will define (5.16)

W s D D.As=2 /;

s  0:

Note that this is consistent with (5.5), for s D k D 0 or 1. We now construct a local solution to the initial-value problem for the Navier– Stokes equation, by converting (5.11) into an integral equation: (5.17)

u.t/ D e t A u0 

Z

t

  e .st /A P div u.s/ ˝ u.s/ ds D ‰u.t/:

0

We want to find a fixed point of ‰ on C.I; X /, for I D Œ0; T , with some T > 0, and X an appropriate Banach space. We take X to be of the form (5.18)

X D W s D D.As=2 /;

for a value of s to be specified below. As in the construction in  4, we need a Banach space Y such that (5.19)

ˆ W X ! Y is Lipschitz, uniformly on bounded sets;

where (5.20)

ˆ.u/ D P div.u ˝ u/;

and such that, for some  < 1, (5.21)

ke tA kL.Y;X/  C t  ;

578 17. Euler and Navier–Stokes Equations for Incompressible Fluids

for t 2 .0; 1. We take Y D W 0:

(5.22)

As ke tA kL.W 0 ;W s / C t s=2 for t  1, the condition (5.21) requires s 2 .0; 2/, in (5.18). We need to verify (5.19). Note that, by Proposition 5.2 and interpolation, (5.23)

W s  H s .; T /; for 0  s  2:

Thus (5.19) will hold provided (5.24)

M W H s .; T / ! H 1 .; T ˝ T /; with M.u/ D u ˝ u:

Lemma 5.3. Provided dim   5, there exists s0 < 2 such that (5.24) holds for all s > s0 . Proof. If dim M D n, one has H n=2C"  H n=2C"  H n=2C"

and H n=4  H n=4  H 0 D L2 ;

the latter because H n=4  L4 . Other inclusions (5.25)

Hr  Hr  H;

rD

 n C C " ; 4 2

 D

1 2

 nC" ;

follow by a straightforward interpolation. One sees that (5.24) holds for s > s0 with (5.26)

s0 D

1 n C 4 2

. if n  2/:

For 2  n  5; s0 increases from 1 to 7=4; for n D 6; s0 D 2. Thus we have an existence result: Proposition 5.4. Suppose dim   5. If s0 is given by (5.26) and u0 2 W s for some s 2 .s0 ; 2/, then there exists T > 0 such that (5.17) has a unique solution (5.27)

  u 2 C Œ0; T ; W s :

We can extend the last result a bit once the following is established: Proposition 5.5. Set V s D V 0 \ H s .; T /, for 0  s  1. We have (5.28)

W s D V s ; for 0  s <

1 ; 2

5. Viscous flows on bounded regions

579

and hence (5.29)

P W H s .; T / ! W s ;

for such s. Proof. To deduce (5.29) from (5.28), note that, by (3.5), P W H s .; T / ! H s .; T / for s D 0; 1, hence, by interpolation, for all s 2 Œ0; 1, so P W H s .; T / ! V s , for s 2 Œ0; 1. To establish (5.28), recall that W 1 D D.A1=2 / D V 0 \ H01 .; T /. We hence have W s D ŒV 0 ; V 0 \ H01 .; T /s ; for 0  s  1: Thus (5.28) will follow from the identity (5.30) ŒV 0 ; V 0 \ H01 .; T /s D V 0 \ ŒL2 .; T /; H01 .; T /s ;

0  s  1;

since, as seen in (5.37) of Chap. 4, (5.31)

ŒL2 ./; H01 ./s D H s ./; for 0  s <

1 : 2

Following [FM], we make use of the following result to establish (5.30): Lemma 5.6. There is a continuous projection Q from L2 .; T / onto V 0 such that Q maps H 2 .; T / \ H01 .; T / D D./ to H 2 .; T / \ W 1 D D.A/. Here  is the Laplace operator on , with Dirichlet boundary condition. We know that   (5.32) ŒL2 .; T /; H 2 .; T / \ H01 .; T /1=2 D D ./1=2 D H01 .; T /; so the lemma implies that the projection Q has the property (5.33)

Q W H01 .; T / ! W 1 D V 0 \ H01 .; T /;

and (5.30) is a straightforward consequence of this result. Proof of lemma. We define the continuous operator Q0 W D./ ! D.A/ by (5.34)

Q0 u D A1 Pu;

u 2 D./:

Since Q0 u D u for u 2 D.A/ D D./ \ V 0 and since D.A/ is dense in V 0 , it suffices to show that Q0 can be extended to a bounded operator from L2 .; T / to V 0 . Indeed, by the self-adjointness of A and , we have, for the adjoint, mapping V 0 to L2 .; T /,

580 17. Euler and Navier–Stokes Equations for Incompressible Fluids

(5.35)

Q0 D A1 ;

 W V 0 ,! L2 .; T /;

which is a bounded operator from V 0 to L2 .; T /, since the inclusion  maps D.A/ into D./. This proves the lemma, so Proposition 5.5 is established. We now return to the integral equation (5.17), replacing Y D W 0 in (5.22) by Y D W  D V ;

(5.36)

h 1  2 0; : 2

We take X D W s , as in (5.18), and this time we need s   2 .0; 2/ in order for (5.21) to hold with  < 1. Higher regularity for the Stokes operator gives W s  H s .; T /; for s 2 RC ;

(5.37)

extending (5.23). Thus (5.19) will hold provided we extend (5.24) to (5.38)

M W H s .; T / ! H 1C .; T ˝ T /;

M.u/ D u ˝ u:

Let us write

5 1  ı; s D 2 C   ı D  2ı: 2 2 By the arguments used in Lemma 5.3, we have the following: D

Lemma 5.7. Provided dim   6, if ı 2 .0; 1=2/ is small enough, and  D 1=2  ı, there exists s0 2 .; 2 C / such that (5.38) holds for all s > s0 . Proof. If n  4, then H s ./ is an algebra for s D 5=2  2ı if ı is small enough. If n  5, we can take s0 D .n C 3/=4. Thus we have the following complement to Proposition 5.4: Proposition 5.8. Suppose dim   6. If ı > 0 is small enough, s D 5=2  2ı, s and  u0 2 W s , then there exists T > 0 such that (5.17) has a unique solution in C Œ0; T ; W . There are results on higher regularity of strong solutions, for 0 < t < T . We refer to [Tem3] for a discussion of this. Having treated strong solutions, we next establish the Hopf theorem on the global existence of weak solutions to the Navier–Stokes equations, in the case of domains with boundary. Theorem 5.9. Assume dim   3. Given u0 2 W 0 ;  > 0, the system (5.1)–(5.3) has a weak solution for t 2 .0; 1/, (5.39)

u 2 L1 .RC ; W 0 / \ L2loc .RC ; W 1 /:

5. Viscous flows on bounded regions

581

The proof is basically parallel to that of Theorem 4.6. We sketch the argument. As above, we assume for simplicity that  is Ricci flat. We have the Stokes operator A, a self-adjoint operator on W 0 , defined by (5.12)–(5.13). As in the proof of Theorem 4.6, we consider the family of projections J" D ."A/, where . / is the characteristic function of Œ1; 1. We approximate the solution u by u" , solving @u" C J" P div.u" ˝ u" / D Au" ; u" .0/ D J" u0 : @t   This has a global solution, u" 2 C 1 Œ0; 1/; Range J" . As in (4.32), fu" g is bounded in L1 .RC ; L2 .//. Also, as in (4.33),

(5.40)

Z (5.41)

T

2 0

kru" .t/k2L2 dt D kJ" u0 k2L2  ku" .T /k2L2 ;

for each T 2 RC . Thus, parallel to (4.34), for any bounded interval I D Œ0; T , (5.42)

fu" g is bounded in L2 .I; W 1 /:

Instead of paralleling (4.36)–(4.39), we prefer to use (5.42) to write (5.43)

  fru" u" g bounded in L1 I; L3=2 ./ ;

provided dim   3. In such a case, we also have P W W 1 ! H 1 ./  L3 ./; and hence (5.44)

P W L3=2 ./ ! .W 1 / :

Also fJ" g is uniformly bounded on W 1 and its dual .W 1 / , and A W W 1 ! .W 1 / . Thus, in place of (4.37), we have (5.45)

f@t u" g bounded in L1 .I; .W 1 / /;

so (5.46)

fu" g is bounded in H s .I; .W 1 / /;

 1 8 s 2 0; : 2

Now we interpolate this with (5.42), to get, for all ı > 0, (5.47)

fu" g bounded in H s .I; H 1ı .//;

s D s.ı/ > 0;

582 17. Euler and Navier–Stokes Equations for Incompressible Fluids

hence, parallel to (4.40), (5.48)

fu" g is compact in L2 .I; H 1ı .//;

8 ı > 0:

The rest of the argument follows as in the proof of Theorem 4.6. We also have results parallel to Propositions 4.9–4.10: Proposition 5.10. Let u1 and u2 be weak solutions to (5.11), satisfying (5.49)

uj 2 L1 .I; W 0 / \ L2 .I; W 1 /;

uj 2 L4 .I  /:

Suppose dim  D 2 or 3; if dim  D 3, suppose furthermore that (5.50)

  u1 2 L8 I; L4 ./ :

If u1 .0/ D u2 .0/, then u1 D u2 on I  . The proof of both this result and the following are by the same arguments as used in  4. Proposition 5.11. If u is a Leray–Hopf solution and I D Œ0; T , then (5.51)

u 2 L4 .I  / if dim  D 2

and (5.52)

  u 2 L8=3 I; L4 ./

if dim  D 3:

Thus we have uniqueness of Leray–Hopf solutions if dim  D 2. The following result yields extra smoothness if u0 2 W 1 : Proposition 5.12. If dim  D 2, and u is a Leray–Hopf solution to the Navier– Stokes equations, with u.0/ D u0 2 W 1 , then, for any I D Œ0; T ; T < 1, (5.53)

u 2 L1 .I; W 1 / \ L2 .I; W 2 /;

and (5.54)

@u 2 L2 .I; W 0 /: @t

Proof. Let uj be the approximate solution u" defined by (5.40), with " D "j ! 0. We have (5.55)

   1 d  A1=2 uj .t/2 2 C kAuj .t/k2 2 D  ru uj ; Auj 2 ; j L L L 2 dt

5. Viscous flows on bounded regions

583

upon taking the inner product of (5.40) with Au" . Now there is the estimate (5.56)

ˇ ˇ ˇ ru uj ; Auj ˇ  C kruj k3 3 : j L

To see this, note that since d ı .I  P / D 0, we have, for u 2 W 2 ,   1  .ru u; u/V1 D .d ru u; d u/ D Œd; ru u; d u C Œru C ru  d u; d u ; 2 and R the3 absolute value of each of the last two terms is easily bounded by jruj dV . In order to estimate the right side of (5.56), we use the Sobolev imbedding result (5.57)

H 1=3 ./  L3 ./;

dim  D 2;

kvk1=3 , so which implies kvkL3  C kvk2=3 L2 H1 (5.58)

kruj k3L3  C kruj k2L2  kruj kH 1

 C 0 .ı/1 kruj k4L2 C C 0 ıkruj k2H 1 :

We have kruj k2H 1  C kAuj k2L2 CC kuj k2L2 , by Proposition 5.2, so if ı is picked small enough, we can absorb the kruj k2H 1 -term into the left side of (5.55). We get

(5.59)

 1 d  A1=2 uj .t/2 2 C  kAuj .t/k2 2 L L 2 dt 2 

  C kA1=2 uj .t/k4L2 C C kuj .t/k4L2 C kuj .t/k2L2 :

We want to apply Gronwall’s inequality. It is convenient to set (5.60)

 2 j .t/ D A1=2 uj .t/L2 ;

ˆ. / D 4 C 2 :

The boundedness of u" in L2loc .RC ; W 1 / (noted in (5.42)) implies that, for any T < 1, Z

T

(5.61) 0

j .t/ dt  K.T / < 1;

with K.T / independent of j . If we drop the term .=2/kAuj .t/k2L2 from (5.59), we obtain (5.62)

     d  A1=2 uj .t/2 2  C j .t/A1=2 uj .t/2 2 C C ˆ kuj .t/kL2 ; L L dt

584 17. Euler and Navier–Stokes Equations for Incompressible Fluids

and Gronwall’s inequality yields   2 2 (5.63) A1=2 uj .t/L2  e CK.t / A1=2 u0 L2 C C e CK.t /

Z

t

0

  ˆ kuj .s/kL2 ds:

This implies that uj is bounded in L1 .I; W 1 /, and then integrating (5.59) implies uj is bounded in L2 .I; W 2 /. The conclusions (5.53) and (5.54) follow. The argument used to prove Proposition 5.12 does not extend to the case in which dim  D 3. In fact, if dim  D 3, then (5.57) must be replaced by (5.64)

H 1=2 ./  L3 ./; 1=2

dim  D 3;

1=2

which implies kvkL3  C kvkL2 kvkH 1 , and hence (5.58) is replaced by 3=2

(5.65)

3=2

kruj k3L3  C kruj kL2  kruj kH 1

 C.ı/3 kruj k6L2 C C ıkruj k2H 1 :

Unfortunately, the power 6 of kruj kL2 on the right side of (5.65) is too large in this case for an analogue of (5.60)–(5.63) to work, so such an approach fails if dim  D 3. On the other hand, when dim  D 3, we do have the inequality

(5.66)

1 d  kA1=2 uj .t/k2L2 C kAuj .t/k2L2 2 dt 2    C kA1=2 uj .t/k6L2 C C kuj .t/k6L2 C kuj .t/k2L2 :

We have an estimate kuj .t/kL2  K, so we can apply Gronwall’s inequality to the differential inequality 1 d Yj .t/  C Yj .t/3 C C.K 6 C K 2 / 2 dt to get a uniform bound on Yj .t/ D kA1=2 uj .t/k2L2 , at least on some interval Œ0; T0 . Thus we have the following result. Proposition 5.13. If dim  D 3, and u is a Leray–Hopf solution to the Navier– Stokes equations, with u.0/ D u0 2 W 1 , then there exists T0 D T0 .ku0 kW 1 / > 0 such that (5.67)

    u 2 L1 Œ0; T0 ; W 1 \ L2 Œ0; T0 ; W 2 ;

and (5.68)

  @u 2 L2 Œ0; T0 ; W 0 : @t

Exercises

585

Note that the properties of the solution u on Œ0; T0    in (5.67) are stronger than the properties (5.49)–(5.50) required for uniqueness in Proposition 5.10. Hence we have the following: Corollary 5.14. If dim  D 3 and u1 and u2 are Leray–Hopf solutions to the Navier–Stokes equations, with u0 .0/ D u2 .0/ D u0 2 W 1 , then there exists T0 D T0 .ku0 kW 1 / > 0 such that u1 .t/ D u2 .t/ for 0  t  T0 . Furthermore, if u0 2 W s with s 2 .s0 ; 2/ as in Proposition 5.4, then the strong solution u 2 C.Œ0; T ; W s / provided by Proposition 5.4 agrees with any Leray– Hopf solution, for 0  t  min.T; T0 /. As we have seen, a number of results presented in  4 for viscous fluid flows on domains without boundary extend to the case of domains with boundary. We now mention some phenomena that differ in the two cases. The role of the vorticity equation is altered when @ ¤ ;. One still has the PDE for w D curl u, for example,

(5.69)

@w C ru w D w @t

.dim  D 2/;

@w C ru w  rw u D w @t

.dim  D 3/;

but when @ ¤ ;, the initial value w.0/ alone does not serve to determine w.t/ for t > 0 from such a PDE, and a good boundary condition to impose on w.t; x/ is not available. This is not a problem in the  D 0 case, since u itself is tangent to the boundary. For  > 0, one result is that one can have w.0/ D 0 but w.t/ ¤ 0 for t > 0. In other words, for  > 0, interaction of the fluid with the boundary can create vorticity. The most crucial effect a boundary has lies in complicating the behavior of solutions u in the limit  ! 0. There is no analogue of the -independent estimates of Propositions 4.1 and 4.2 when @ ¤ ;. This is connected to the change of boundary condition, from u j@ D 0 for  positive (however small) to n  uj@ D 0 when  D 0; n being the normal to @. Study of the small- limit is important because it arises naturally. In many cases flow of air can be modeled as an incompressible fluid flow with  105 . However, after more than a century of investigation, this remains an extremely mysterious problem. See the next section for further discussion of these matters.

Exercises 1. Show that D.Ak /  H 2k .; T /, for k 2 ZC . Hence establish (5.37). 2. Extend the L2 -Sobolev space results of this section to Lp -Sobolev space results. 3. Work out results parallel to those of this section for the Navier–Stokes equations, when the no-slip boundary condition (5.2) is replaced by the “slip” boundary condition: (5.70)

2 Def.u/N  pN D 0 on @;

586 17. Euler and Navier–Stokes Equations for Incompressible Fluids where N is a unit normal field to @ and Def.u/ is a tensor field of type .1; 1/, given by (2.60). Relate (5.70) to the identity .Lu  rp; v/ D 2.Def u; Def v/ whenever div v D 0:

6. Vanishing viscosity limits In this section we consider some classes of solutions to the Navier–Stokes equations (6.1)

@u C ru u C rp  D u C F  ; @t

div u D 0;

on a bounded domain, or a compact Riemannian manifold,  (with a flat metric), with boundary @, satisfying the no-slip boundary condition ˇ u ˇRC @ D 0;

(6.2) and initial condition

u .0/ D u0 ;

(6.3)

and investigate convergence as  ! 0 to the solution to the Euler equation @u0 C ru0 u0 C rp 0 D F 0 ; @t

(6.4)

div u0 D 0;

with boundary condition u0 k @;

(6.5)

and initial condition as in (6.3). We assume div u0 ;

(6.6)

u0 k @;

but do not assume u0 D 0 on @. When @ ¤ ;, the problem of convergence u ! u0 is very difficult, and there are not many positive results, though there is a large literature. The enduring monograph [Sch] contains a great deal of formal work, much stimulated by ideas of L. Prandtl. More modern mathematical progress includes a result of [Kt7], that u .t/ ! u0 .t/ in L2 -norm, uniformly in t 2 Œ0; T , provided one has an estimate Z (6.7)

T

Z jru .t; x/j2 dx dt ! 0; as  ! 0;

 0

c

6. Vanishing viscosity limits

587

where ı D fx 2  W dist.x; @/  ıg. Unfortunately, this condition is not amenable to checking. In [W] there is a variant, namely that such convergence holds provided Z (6.8)

T

Z jrT u .t; x/j2 dx dt ! 0; as  ! 0;

 0

./

with ./= ! 1 as  ! 0, where rT denotes the derivative tangent to @. Here we confine attention to two classes of examples. The first is the class of circularly symmetric flows on the disk in 2D. The second is a class of circular pipe flows, in 3D, which will be described in more detail below. Both of these classes are mentioned in [W] as classes to which the results there apply. However, we will seek more detailed information on the nature of the convergence u ! u0 . Our analysis follows techniques developed in [LMNT, MT1, MT2]. See also [Mat, BW, LMN] for other work in the 2D case. Most of these papers also treated moving boundaries, but for simplicity we treat only stationary boundaries here. We start with circularly symmetric flows on the disk  D D D fx 2 R2 W jxj < 1g. Here, we take F   0. By definition, a vector field u0 on D is circularly symmetric provided (6.9)

u0 .R x/ D R u0 .x/;

8 x 2 D;

for each 2 Œ0; 2, where R is counterclockwise rotation by . The general vector field satisfying (6.9) has the form (6.10)

s0 .jxj/x ? C s1 .jxj/x;

with sj scalar and x ? D J x, where J D R =2 , but the condition div u0 D 0 together with the condition u0 k @D, forces s1 D 0, so the type of initial data we consider is characterized by (6.11)

u0 .x/ D s0 .jxj/x ? :

It is easy to see that div u0 D 0 for each such u0 . Another characterization of vector fields of the form (6.11) is the following. For each unit vector ! 2 S 1  R2 , let ˆ! W R2 ! R2 denote the reflection across the line generated by !, i.e., ˆ.a! C bJ !/ D a!  bJ !. Then a vector field u0 on D has the form (6.11) if and only if (6.12)

u0 .ˆ! x/ D ˆ! u0 .x/;

8 ! 2 S 1 ; x 2 D:

A vector field u0 of the form (6.11) is a steady solution to the 2D Euler equation (with F 0 D 0). In fact, a calculation gives (6.13)

ru0 u0 D s0 .jxj/2 x D rp0 .x/;

588 17. Euler and Navier–Stokes Equations for Incompressible Fluids

with Z (6.14)

p0 .x/ D pQ0 .jxj/;

pQ0 .r/ D 

1 r

s0 ./2  d:

Consequently, in this case the vanishing viscosity problem is to show that the solution u to (6.1)–(6.3) satisfies u .t/ ! u0 as  ! 0. The following is the key to the analysis of the solution u . Proposition 6.1. Given that u0 has the form (6.11), the solution u to (6.1)–(6.3) (with F   0) is circularly symmetric for each t > 0, of the form (6.15)

u .t; x/ D s  .t; jxj/x ? ;

and it coincides with the solution to the linear PDE @u D u ; @t

(6.16)

with boundary condition (6.2) and initial condition (6.3). Proof. Let u solve (6.16), (6.2), and (6.3), with u0 as in (6.11). We claim (6.15) holds. In fact, for each unit vector ! 2 R2 , ˆ! u .t; ˆ! x/ also solves (6.16), with the same initial data and boundary conditions as u , so these functions must coincide, and (6.15) follows. Hence div u D 0 for each t > 0. Also we have an analogue of (6.13)–(6.14): ru u D rp  ; (6.17)

p  .t; x/ D pQ  .t; jxj/; Z 1 s  .t; /2  d: pQ  .t; r/ D  r

Hence this u is the solution to (6.1)–(6.3). To restate matters, for  D D, the solution to (6.1)–(6.3) is in this case simply (6.18)

u .t; x/ D e  t  u0 .x/:

The following is a simple consequence. Proposition 6.2. Assume u0 , of the form (6.11), belongs to a Banach space X of R2 -valued functions on D. If fe t  W t  0g is a strongly continuous semigroup on X, then u .t; / ! u0 in X as  ! 0, locally uniformly in t 2 Œ0; 1/. As seen in Chap. 6, fe t  W t  0g is strongly continuous on the following spaces: (6.19)

Lp .D/; 1  p < 1;

Co .D/ D ff 2 C.D/ W f D 0 on @Dg:

6. Vanishing viscosity limits

589

Also, it is strongly continuous on Ds D D../s=2 / for all s 2 RC . We recall from Chap. 5 that (6.20)

D2 D H 2 .D/ \ H01 .D/;

D1 D H01 .D/;

and (6.21)

Ds D ŒL2 .D/; H01 .D/s ;

0 < s < 1:

In particular, by interpolation results given in Chap. 4, (6.22)

Ds D H s .D/;

0<s<

1 : 2

We also mention Proposition 7.4 of Chap. 13, which implies this heat semigroup is strongly continuous on (6.23)

Cb1 .D/ D ff 2 C 1 .D/ W f D 0 on @Dg:

On the other hand, if u0 2 C.D/ but does not vanish on @D, then e t  u0 does not converge uniformly to u0 on D, as t ! 0, though as shown in Corollary 8.2 of Chap. 6, we do have convergence of e t  u0 to u0 uniformly on compact subsets of D. Thus there is a boundary layer attached to @D where uniform convergence fails. We recall Proposition 8.3 of Chap. 6 in the current context. Proposition 6.3. Given u0 2 C 1 .D/, we have, as  & 0, locally uniformly in t 2 RC , e  t u0 u0 .x/ C (6.24) 

X .t/k k1

kŠ

k u0 .x/

 '.x/  2bj .x/.4t/j=2 Ej p : 4t j 0 X

Here, bj 2 C 1 .D/; '.x/ D dist.x; @D/ D 1  jxj, and the special functions Ej .y/ are given by Z 1 1 2 e s .s  y/j ds: (6.25) Ej .y/ D p  y We mention that b0 D u0 on @D and bj j@D D 0 for j odd. Also, E0 .0/ D 1=2. The primary “boundary layer” term is  1  jxj  2u0 .x/E0 p ; 4t p and we see the boundary layer thickness is 4t.

(6.26)

590 17. Euler and Navier–Stokes Equations for Incompressible Fluids

We pass from this class of 2D problems to the following class of 3D problems. We look for solutions to (6.1)–(6.3) with u D u .t; x; z/; p  D p  .t; x; z/, .t; x; z/ 2 RC  , where  D D  R, D being the 2D disk as above. Thus  is an infinitely long circular pipe. In this case, we consider external force fields of the form F  .t; x; z/ D .0; f  .t//;

(6.27)

so F  is parallel to the z-axis, with z-component f  .t/. We take initial data of the following form: u .0; x; z/ D u0 .x/ D .v0 .x/; w0 .x//;

(6.28)

where v0 is a vector field on D and w0 is the z-component of u0 . We require the conditions (6.29)

div u0 D 0; u0 k @;

i:e:;

div v0 D 0; v0 k @D;

and we require the vector field v0 on D to be circularly symmetric, so, as in (6.11), v0 .x/ D s0 .jxj/x ? , hence (6.30)

u0 .x/ D .s0 .jxj/x ? ; w0 .x//:

The fact that  is infinite is inconvenient. To get the theoretical treatment started, it is convenient to modify the set-up by requiring that solutions be periodic (say of period L) in z, so we replace  by L D D  .R=LZ/. In such a case, results of  5 imply that, for each  > 0, (6.1)–(6.3) has a unique strong, short time solution, given mild regularity hypotheses on v0 .x/ and w0 .x/ (a solution that, as we will shortly see, persists for all time t > 0 under the current hypotheses), and the solution is z-translation invariant, i.e., (6.31)

u D .v  .t; x/; w  .t; x//;

p  D p  .t; x/:

ru u D .rv v  ; rv w  /;

div u D div v  :

Consequently, (6.32)

Hence, in the current setting, (6.1) is equivalent to the following system of equations on RC  D: (6.33) (6.34)

@v  C rv v  C rp  D v  ; @t

div v  D 0;

@w  C rv w  D w  C f  : @t

6. Vanishing viscosity limits

591

Note that (6.33) is the Navier–Stokes equation for flow on D, which we have just treated. Given initial data satisfying (6.30), we have (6.35)

v  .t; x/ D e  t  v0 .x/;

where  is the Laplace operator on D, with Dirichlet boundary condition. The results of Proposition 6.2, complemented by (6.19)–(6.23) apply, as do those of Proposition 6.3, taking care of (6.33). It remains to investigate (6.34). For this, we have the initial and boundary conditions (6.36)

w  .0/ D w0 ;

ˇ w  ˇRC @D D 0;

and we ask whether, as  & 0, w  converges to w 0 , solving (6.37)

@w 0 C rv0 w 0 D f 0 .t/; @t

w 0 .0/ D w0 :

We impose no boundary condition on w 0 , which is natural since v 0 D v0 is tangent to @D. Before pursuing this convergence question, we pause to observe a class of steady solutions to (6.33)–(6.34) known as Poiseuille flows. Namely, given ˛ 2 R n 0, (6.38)

u0 .x/ D ˛.0; 1  jxj2 /

is such a steady solution, with (6.39)

p  .t; x/ D 0;

f  .t/ D .0; 4˛/:

An alternative description is to set (6.40)

p  .t; x; z/ D 4˛z;

f  .t/ D 0:

This latter is a common presentation, and one refers to Poiseuille flow as “pressure driven” However, this presentation does not fit into our set-up, since we passed from the infinite pipe D  R to the periodized pipe D  .R=LZ/, and p  in (6.40) is not periodic in z. These Poiseuille flows do fit into our set-up, but we need to represent the force that maintains the flow as an external force. We return to the convergence problem. For notational convenience, we set (6.41)

X D rv D s  .t; jxj/

@ ; @

X D rv0 D s0 .jxj/

@ : @

592 17. Euler and Navier–Stokes Equations for Incompressible Fluids

Thus we examine solutions to @w  D w   X w  C f  .t/; @t ˇ w  .0; x/ D w0 .x/; w  ˇRC @D D 0;

(6.42)

compared to solutions to @w 0 D Xw 0 C f 0 .t/; @t

(6.43)

w 0 .0; x/ D w0 .x/:

We do not assume w0 j@D D 0. In order to separate the two phenomena that make (6.42) a singular perturbation (6.43), namely the appearance of  on the one hand and the replacement of X by X on the other hand, we rewrite (6.42) as @w  D .  X /w  C .X  X /w  C f  .t/; @t

(6.44)

and apply Duhamel’s formula to get Z 

(6.45) w .t/ D e

t .X/

w0 C

t 0

 e .t s/.X/ .X  X /w  .s/ C f  .s/ ds:

By comparison, we can write the solution to (6.43) as w .t/ D e 

(6.46)

tX

Z w0 C

t

f 0 .s/ ds:

0

Consequently, (6.47)

w  .t; x/  w 0 .t; x/ D R1 .; t; x/ C R2 .; t; x/ C R3 .; t; x/;

where

(6.48)

R1 .; t; x/ D e t .X/ w0  e tX w0 ; Z th i f  .s/e .t s/.X/ 1  f 0 .s/ ds; R2 .; t; x/ D 0 Z t @w  ds: e .t s/.X/ .s0  s  / R3 .; t; x/ D @ 0

The term R2 is the easiest to treat. By radial symmetry, e .t s/.X/ 1 D e .t s/ 1;

6. Vanishing viscosity limits

593

and we can write Z R2 .; t; x/ D (6.49)

t

f  .s/  f 0 .s/ ds

0

Z

C

t

h i f  .s/ e .t s/ 1  1 ds:

0

The uniform asymptotic expansion of the last integrand is a special case of (6.24): (6.50)

e .t s/ 1  1 

 1  jxj  2bj .x/..t  s//j=2 Ej p ; 4.t  s/ j 0 X

with bj 2 C 1 .D/; b0 j@D D 1, and Ej as in (6.25). The principal contribution giving the boundary layer effect for the term R2 .; t; x/ is Z (6.51)

2 0

t

 1  jxj  f  .s/E0 p ds: 4.t  s/

Methods initiated in [MT1] and carried out for this case in [MT2] produce a uniform asymptotic expansion for R1 .; t; x/ almost as explicit as that given above for R2 , but with much greater effort. Here we will be content to present simpler estimates on R1 . Our analysis of (6.52)

W  .t; x/ D e t .X/ w0 .x/

starts with the following. Recall that X is divergence free and tangent to @D. Lemma 6.4. Given  > 0, (6.53)

D..  X /j / D D.j /;

j D 1; 2:

Proof. We have, for  > 0, (6.54)

ˇ D.  X / D ff 2 H 2 .D/ W f ˇ@D D 0g;

and (6.55)

ˇ ˇ D..  X /2 / D ff 2 H 4 .D/ W f ˇ@D D f  Xf ˇ@D D 0g:

The first space is clearly equal to D./. Since X is tangent to @D, f j@D D 0 ) Xf j@D D 0, so the second space coincides with ff 2 H 4 .D/ W f j@D D f j@D D 0g, which is D.2 /. Remark: The analogous identity of domains typically fails for larger j .

594 17. Euler and Navier–Stokes Equations for Incompressible Fluids

To proceed, since W  in (6.52) satisfies @t W  D X W  C W  , we can use Duhamel’s formula to write Z t  tX (6.56) W .t/ D e w0 C  e .t s/X W  .s/ ds; 0

hence (6.57)

ke t .X/ w0  e tX w0 kLp  

Z

t 0

kW  .s/kLp ds:

The following provides a useful estimate on the right side of (6.57) when p D 2. Lemma 6.5. Take w0 2 D.2 / D D..X /2 /, and construct W  as in (6.52). Then there exists K 2 .0; 1/, independent of  > 0, such that kW  .t/k2L2  e 2Kt kw0 k2L2 :

(6.58) Proof. We have

d kW  .t/k2L2 D 2 Re.@t W  ; W  / dt D 2 Re.2 W  ; W  /  2 Re.X W  ; W  / (6.59)

 2 Re.X W  ; W  / D 2 Re.XW  ; W  /  2 Re.Œ; X W  ; W  /  2KkW  k2L2 ;

with K independent of . The last estimate holds because (6.60)

g 2 D./ ) j.Xg; g/j  K1 kgk2L2 ;

and (6.61) W  .t/ 2 D.2 / ) Œ; X W  .t/ 2 L2 .D/; and e 2 kW  .t/kH 2  K2 kW  .t/kL2 : kŒ; X W  .t/kL2  K The estimate (6.58) follows. We can now prove the following. Proposition 6.6. Given p 2 Œ1; 1/; w0 2 Lp .D/, we have (6.62)

e t .X/ w0 ! e tX w0 ;

with convergence in Lp -norm.

as  & 0;

6. Vanishing viscosity limits

595

Proof. We know that e t  is a contraction semigroup on Lp .D/ and e tX is a group of isometries on Lp .D/, and we have the Trotter product formula: (6.63)

e t .X/ w0 D lim

n!1

 n e .t =n/ e .t =n/X w0 ;

in Lp -norm, hence e t .X/ is a contraction semigroup on Lp .D/. By (6.58) and (6.57), we have L2 convergence for w0 2 D.2 /, which is dense in L2 .D/. This gives (6.62) for p D 2, by the standard approximation argument, a second use of which gives (6.62) for all p 2 Œ1; 2. Suppose next that p 2 .2; 1/, with dual exponent p 0 2 .1; 2/. The previous results work with X replaced by X , yielding e t .Cx/ g ! e tX g, as  & 0, in 0 0 Lp -norm, for all g 2 Lp .D/. This implies that for w0 2 Lp .D/, convergence in (6.62) holds in the weak topology of Lp .D/. Now, since e tX is an isometry on Lp .D/, we have (6.64)

ke tX w0 kLp  lim sup ke t .X/ w0 kLp ; !0

for each w0 2 Lp .D/. Since Lp .D/ is a uniformly convex Banach space for such p, this yields Lp -norm convergence in (6.62). To produce higher order Sobolev estimates, we have from (6.58) the estimate (6.65)

ke t .X/ w0 kD./  e Kt kw0 kD./ ;

first for each w0 2 D.2 /, hence for each w0 2 D./. Interpolation with the L2 -estimate then gives (6.66)

ke t .X/ w0 kD../s=2 /  e Kt kw0 kD../s=2 / ;

for each s 2 Œ0; 2; w0 2 D../s=2 / D Ds . As noted in (6.22), Ds D H s .D/ for 0  s < 1=2, so we have (6.67)

ke t .X/ w0 kH s .D/  C e Kt kw0 kH s .D/ ;

0s<

1 ; 2

with C and K independent of  2 .0; 1. We can interpolate the estimate (6.67) with (6.68)

ke t .X/ w0 kLp .D/  kw0 kLp .D/ ;

1  p < 1:

Using (6.69)

ŒH s .D/; Lp .D/ D H .1 /s;q. / .D/;

1 1 D C ; q. / 2 p

596 17. Euler and Navier–Stokes Equations for Incompressible Fluids

which follows from material in Chap. 13,  6, we have ke t .X/ w0 kH ;q .D/  C;q e Kt kwkH ;q .D/ ;

(6.70) valid for

2  q < 1;

(6.71)

q 2 Œ0; 1/:

Similar arguments give such operator bounds on e tX . We have the following convergence result. Proposition 6.7. Let ; q satisfy (6.71). Then, for each t 2 .0; 1/, w0 2 H ;q .D/ H) lim e t .X/ w0 D e tX w0 ;

(6.72)

!0

in H ;q -norm. Proof. Given w0 2 H ;q .D/, (6.70) implies fe t .X/ w0 W  2 .0; 1g is bounded in H ;q .D/ for each t 2 .0; 1/, so there is a weak limit point. But Proposition 6.6 yields convergence to e tX w0 in Lq -norm, so e tX w0 is the only possible weak limit point. Norm convergence in H ;q .D/, for each  < , then follows from the compactness of the inclusion H ;q .D/ ,! H ;q .D/. Taking  0 >  such that  0 q < 1, the argument above yields e t .X/ w0 ! e tX w0 0 in H ;q -norm for each w0 2 H  ;q .D/. The conclusion follows by denseness of 0 H  ;q .D/ in H ;q .D/, plus the uniform operator bound (6.70). This concludes our treatment of R1 .; t; x/. As mentioned, more precise results, including boundary layer analyses, are given in [MT1] and [MT2]. We move to an analysis of R3 .; t; x/ in (6.48), i.e., Z (6.73)

R3 .; t; x/ D

0

t

e .t s/.X/ .s0  s  /

@w  ds; @

where w  solves (6.34) and (6.36). Note that @=@ commutes with X; X , and , so z .t; x/ D @w  =@ solves (6.74)

@z D .  X /z ; @t

ˇ ˇ z ˇ

RC @D

D 0;

z .0; x/ D

The maximum principle gives (6.75)

 @w    @w     0 .s/ 1  :   L .D/ @ @ L1 .D/

@w0 : @

6. Vanishing viscosity limits

597

Since the semigroup e t .X/ is positivity preserving, we have Z (6.76)

jR3 .; t; x/j  k@ w0 kL1

t 0

ˇ ˇ e .t s/.X/ ˇs0 .jxj/  s  .s; jxj/ˇ ds:

Also, by radial symmetry, (6.77)

e .t s/.X/ js0  s  j D e .t s/ js0  s  j;

so Z (6.78)

jR3 .; t; x/j  k@ w0 k

L1

t 0

e .t s/ jQs0  sQ j ds;

where (6.79)

sQ0 .x/ D s0 .jxj/;

sQ  .t; x/ D s  .t; jxj/;

and, we recall from (6.41), (6.80)

v  .t; x/ D s  .t; jxj/x ? ;

v0 .x/ D s0 .jxj/x ? :

Turning these around, we have (6.81)

s  .t; jxj/ D

1  v .t; x/  x ? ; jxj2

s0 .jxj/ D

1 v0 .x/  x ? ; jxj2

and also, if fe1 ; e2 g denotes the standard orthonormal basis of R2 , 1  v .t; re1 /  e2 r Z 1 1 d  v .t; re1 /  e2 d D r 0 d Z 1 e2  re1 v  .t; re1 / d; D

s  .t; r/ D (6.82)

0

and similarly Z (6.83)

s0 .r/ D

1 0

e2  re1 v0 .t; re1 / d:

The representation (6.81) is effective away from a neighborhood of fx D 0g, especially near @D, where one reads off the uniform convergence of s  .t; r/ to s0 .r/ except on the boundary layer discussed above in the analysis of v  .t; / ! v0 ./, given v0 2 C 1 .D/.

598 17. Euler and Navier–Stokes Equations for Incompressible Fluids

The representation (6.82)–(6.83) is effective on a neighborhood of fx D 0g, for example the disk D 1=2 D fx 2 R2 W jxj  1=2g, and it shows that s  .t; r/ ! s0 .r/ uniformly on r  1=2 provided v  .t; / ! v0 .t; / in C 1 .D 1=2 /. Results from Chap. 6,  8 (cf. Propositions 8.1–8.2) imply one has such convergence if v0 2 C 1 .D/, and in particular if v0 2 C 1 .D/. Furthermore, the maximum principle implies (6.84)

e  t  jQs0  sQ j  h t  jQs0  sQ  j;

where h t is the free space heat kernel, given (with n D 2) by (6.85)

2 =4 t

h t .x/ D .4t/n=2 e jxj

;

and jQs0  sQ  j is extended by 0 outside D. We hence have the following boundary layer estimates on R3 . Proposition 6.8. Assume v0 ; w0 2 C 1 .D/. Then, given T 2 .0; 1/, we have a uniform bound (6.86)

jR3 .; t; x/j  C;

for t 2 Œ0; T ;  2 .0; 1; x 2 D. Furthermore, as  ! 0, (6.87)

R3 .; t; x/ ! 0 uniformly on D n !./ ;

as long as (6.88)

!./ p ! 1: 

We recall ı D fx 2 D W dist.x; @D/  ıg. Among other results established in [MT1]–[MT2], we mention one here. For k 2 N, set (6.89) V k .D/ D ff 2 L2 .D/ W Xj1    Xj` f 2 L2 .D/; 8 `  k; Xjm 2 X1 .D/g; where X1 .D/ denotes the space of smooth vector felds on D that are tangent to @D. After establishing that (6.90)

f 2 V k .D/ H) lim e t  f D f; in V k -norm; t !0

and (6.91)

f 2 V k .D/ H) lim e t .X/ f D e tX f; in V k -norm; &0

these works proved the following (cf. [MT2], Proposition 3.10).

7. From velocity field convergence to flow convergence

599

Proposition 6.9. Assume v0 2 C 1 .D/ and w0 2 C 1 .D/. Take k 2 N and also assume w0 2 V k .D/. Then, for each t > 0, as  & 0, (6.92)

v  .t; / ! v0 and w  .t; / ! w 0 .t; /; in V k -norm:

Such a result is consistent with Prandtl’s principle, that in the boundary layer it is normal derivatives of the velocity field, not tangential derivatives, that blow up as  ! 0. We mention that the convergence of R2 .; t; x/ to 0 in V k -norm follows from the analysis described in (6.50), and the convergence of R1 .; t; x/ to 0 in V k -norm, given w0 2 C 1 .D/, follows from a parallel analysis, carried out in [MT2], but not here. The convergence of R3 .; t; x/ to 0 in V k -norm, given v0 ; w0 2 C 1 .D/, does not follow from the results on R3 established here; this requires further arguments. The two cases analyzed above are much simpler than the general cases, which might involve turbulent boundary layers and boundary layer separation. Another issue is loss of stability of a solution as  decreases. One can read more about such problems in [Bat, Sch, ChM, OO], and references given there. We also mention [VD], which has numerous interesting illustrations of fluid phenomena, at various viscosities.

Exercises 1. Verify the characterization (6.12) of vector fields of the form (6.11). 2. Verify the calculation (6.13)–(6.14). 3. Produce a proof of (6.90), at least for k D 1. Try for larger k.

7. From velocity field convergence to flow convergence In  6 we have given some results on convergence of the solutions u to the Navier–Stokes equations

(7.1)

@u C ru u C rp  D u on I  ; @t ˇ div u D 0; u ˇI @ D 0; u .0/ D u0 ;

to the solution u to the Euler equation

(7.2)

@u C ru u C rp D 0 on I  ; @t div u D 0; u k @; u.0/ D u0 ;

as  & 0 (given div u0 D 0; u0 k @).

600 17. Euler and Navier–Stokes Equations for Incompressible Fluids

We now tackle the question of what can be said about convergence of fluid flows generated by the t-dependent velocity fields u to the flow generated by u. Given the convergence results of  6, we are motivated to see what sort of flow convergence can be deduced from fairly weak hypotheses on u; u , and the nature of the convergence u ! u. We obtain some such results here; further results can be found in [DL]. We will make the following hypotheses on the t-dependent vector fields u and u . (7.3)

div u.t/ D 0;

u 2 Lip.Œ0; T   /;

(7.4)

u 2 Lip.Œ"; T   /; 8 " > 0;

(7.5)

u 2 L1 .Œ0; T   /:

u.t/ k @;

div u .t/ D 0;

u .t/ k @;

Say  2 .0; 1. Here  is a smoothly bounded domain in Rn , or more generally it could be a compact Riemannian manifold with smooth boundary @. We do not assume any uniformity in  on the estimates associated to (7.4)–(7.5). The field u defines volume preserving bi-Lipschitz maps (7.6)

' t;s W  ! ;

s; t 2 Œ0; T ;

satisfying (7.7)

@ t;s ' .x/ D u.t; ' t;s .x//; @t

' s;s .x/ D x:

Similarly the fields u define volume preserving bi-Lipschitz maps (7.8)

't;s W  ! ;

s; t 2 .0; T ;

satisfying (7.9)

@ t;s ' .x/ D u .t; 't;s .x//; @t 

's;s .x/ D x:

Note that (7.10)

' t;s ı ' s;r D ' t;r ;

r; s; t 2 Œ0; T ;

't;s

r; s; t 2 .0; T :

ı

's;r

D

't;r ;

Our convergence results will be phrased in terms of strong operator convergence on Lp ./ of operators St;0 to S t;0 , where (7.11)

S t;s f0 .x/ D f0 .' s;t .x//; St;s f0 .x/

D

f0 .'s;t .x//;

s; t 2 Œ0; T ; s; t 2 .0; T ;

7. From velocity field convergence to flow convergence

601

and St;0 (as well as '0;t ) will be constructed below. These operators are also characterized as follows. For f D f .t; x/ satisfying (7.12)

@f D ru.t / f .t/; @t

t 2 Œ0; T ;

we set (7.13)

S t;s f .s/ D f .t/;

s; t 2 Œ0; T :

Note that f is advected by the flow generated by u.t/. Clearly (7.14) S t;s W Lp ./ ! Lp ./;

isometrically isomorphically; 8 s; t 2 Œ0; T :

Similarly, for f  D f  .t; x/ solving @f  D ru .t / f  .t/; @t

(7.15) we set (7.16)

St;s f  .s/ D f  .t/;

s; t 2 .0; T ;

and again (7.17) St;s W Lp ./ ! Lp ./;

isometrically isomorphically; 8 s; t 2 .0; T :

Note that (7.18)

S t;s S s;r D S t;r ;

r; s; t 2 Œ0; T ;

St;s Ss;r D St;r ;

r; s; t 2 .0; T :

We will extend the scope of (7.16) to the case s D 0. Then we will show that, given (7.3)–(7.5), p 2 Œ1; 1/; t 2 Œ0; T ; f0 2 Lp ./, (7.19)

u ! u in L1 .Œ0; T ; Lp .// H) St;0 f0 ! S t;0 f0 in Lp -norm:

In light of the relationship (7.20)

St;0 f0 .x/ D f0 .'0;t .x//;

which will be established below, this convergence amounts to some sort of convergence (7.21) for the backward flows '0;t .

'0;t ! ' 0;t

602 17. Euler and Navier–Stokes Equations for Incompressible Fluids

To construct St;0 on Lp ./, we first note that (7.22)

"; ı 2 .0; T ; f0 2 Lip./ H) kSı;" f0  f0 kL1  ku kL1 kf0 kLip j"  ıj;

which in turn implies kSt;ı f0  St;" f0 kL1 D kSt;" .S";ı f0  f0 /kL1 D kS";ı f0  f0 kL1  ku kL1 kf0 kLip  j"  ıj:

(7.23)

Hence lim St;" f0 D St;0 f0

(7.24)

"&0

exists for all f0 2 Lip./, convergence in (7.24) holding in sup-norm, and a fortiori in Lp -norm. The uniform boundedness from (7.17) then implies that (7.24) holds in Lp -norm for each f0 2 Lp ./, as long as p 2 Œ1; 1/, so Lip./ is dense in Lp ./. This defines (7.25)

St;0 W Lp ./ ! Lp ./;

1  p < 1; t 2 .0; T ;

and we have (7.26)

kSt;0 f0 kLp D lim kSt;" f0 kLp  kf0 kLp ; "&0

so St;0 is an isometry on Lp ./ for each p 2 Œ1; 1/. We note that, parallel to (7.22), for "; ı 2 .0; T ; x 2 , (7.27)

dist.'ı;" .x/; x/  ku kL1  j"  ıj;

and, parallel to (7.23), if also t 2 .0; T , (7.28)

dist.'";t .x/; 'ı;t .x// D dist.'";ı .'ı;t .x//; 'ı;t .x//  ku kL1  j"  ıj:

It follows that (7.29)

'0;t .x/ D lim '";t .x/ "&0

exists and '0;t W  !  continuously, preserving the volume. Furthermore, we have

7. From velocity field convergence to flow convergence

603

St;0 f0 .x/ D f0 .'0;t .x//;

(7.30)

first for f0 2 Lip./, then, by limiting arguments, for all f0 2 C./, and furthermore, for all f0 2 Lp ./, in which case (7.30) holds, for each t 2 .0; T , for a.e. x, i.e., (7.30) is an identity in the Banach space Lp ./. We derive some more properties of St;0 . Note from (7.23)–(7.24) that, when f0 2 Lip./; " 2 .0; T , (7.31)

kSt;0 f0  St;" f0 kL1  ku kL1 kf0 kLip  ";

and hence, by uniform operator boundedness, for each f0 2 Lp ./; p 2 Œ1; 1/; s; t 2 .0; T , St;0 f0 D lim St;" f0 "&0

.in Lp -norm/

D lim St;s Ss;" f0

(7.32)

"&0

.by (7.18)/

D St;s Ss;0 f0 : Hence, Ss;t St;0 D Ss;0 on Lp ./; 8 s; t 2 .0; T , or equivalently, Sı;t S t;0 D Sı;0

(7.33)

on Lp ./:

We also have from (7.23)–(7.24) that (7.34)

f0 2 Lip./ H) kSı;0 f0  f0 kL1  ku kL1 kf0 kLip  ı;

and hence, again by uniform operator boundedness and denseness of Lip./, (7.35)

lim Sı;0 f0 D f0 in Lp -norm; 8 f0 2 Lp ./:

ı&0

We now want to compare S t;0 f0 with St;0 f0 . To begin, take f .t/ D S t;0 f0 :

f0 2 Lip./;

(7.36) Then f .t/ satisfies (7.37)

@f D ru .t / f .t/ C ru .t /u.t / f .t/; @t

f .0/ D f0 ;

so Duhamel’s formula gives Z (7.38)

f .t/ D

St;0 f0

t

C 0

St;s ru .s/u.s/ f .s/ ds:

604 17. Euler and Navier–Stokes Equations for Incompressible Fluids

Now, by hypothesis (7.3) on u, we see that, for s 2 Œ0; T , (7.39)

f0 2 Lip./ H) kf .s/kLip  Akf0 kLip H) jru .s/u.s/ f .s/j  Akf0 kLip ju .s/  u.s/j:

Hence

(7.40)

f0 2 Lip./ H) kS t;0 f0  St;0 f0 kLp Z t  kSt;s ru .s/u.s/ f .s/kLp ds 0 Z t ku .s/  u.s/kLp ds:  Akf0 kLip 0

Hence, given p 2 Œ1; 1/; t 2 Œ0; T , (7.41)

u ! u in L1 .Œ0; T ; Lp .// H) St;0 f0 ! S t;0 f0 in Lp -norm;

for all f0 2 Lip./, and hence, by the uniform operator bounds (7.26) and denseness of Lip./ in Lp ./, we have: Proposition 7.1. Under the hypotheses (7.3)–(7.5), given p 2 Œ1; 1/; t 2 Œ0; T , convergence in (7.41) holds for all f0 2 Lp ./. In fact, we can improve Proposition 7.1, as follows. (Compare [DL], Theorem II.4.) Proposition 7.2. Given p 2 .1; 1/; t 2 Œ0; T , (7.42)

f0 2 Lp ./; u ! u in L1 .Œ0; T ; L1 .// H) St;0 f0 ! S t;0 f0 in Lp -norm.

Proof. By Proposition 7.1, the hypotheses of (7.42) imply St;0 f0 ! S t;0 f0

(7.43) in L1 -norm. We also know that (7.44)

kSt;0 f0 kLp D kS t;0 f0 kLp D kf0 kLp ;

for each  2 .0; 1; t 2 Œ0; T . These bounds imply weak compactness in Lp ./, and we see that convergence in (7.43) holds weak in Lp ./. Then another use of (7.44), together with the uniform convexity of Lp ./ for each p 2 .1; 1/ gives convergence in Lp -norm in (7.43).

A. Regularity for the Stokes system on bounded domains

605

A. Regularity for the Stokes system on bounded domains The following result is the basic ingredient in the proof of Proposition 5.2. Assume that  is a compact, connected Riemannian manifold, with smooth boundary, that u 2 H 1 .; T  /;

f 2 L2 .; T  /;

p 2 L2 ./;

and that (A.1)

u D f C dp;

ıu D 0;

ˇ uˇ@ D 0:

We claim that u 2 H 2 .; T  /. More generally, we claim that, for s  0, (A.2)

f 2 H s .; T  / H) u 2 H sC2 .; T  /:

Indeed, given any 2 Œ0; 1/, it is an equivalent task to establish the implication (A.2) when we replace (A.1) by (A.3)

.  /u D f C dp;

ıu D 0;

ˇ uˇ@ D 0:

In this appendix we prove this result. We also treat the following related problem. Assume v 2 H 1 .; T  /; p 2 L2 ./, and (A.4)

.  /v D dp;

ıv D 0;

ˇ v ˇ@ D g:

Then we claim that, for s  0, (A.5)

g 2 H sC3=2 .@; T  / H) v 2 H sC2 .; T  /:

Here, for any x 2  (including x 2 @), Tx D Tx ./ D Tx M , where we take M to be a compact Riemannian manifold without boundary, containing  as an open subset (with smooth boundary @). In fact, take M to be diffeomorphic to the double of . We will represent solutions to (A.4) in terms of layer potentials, in a fashion parallel to constructions in  11 of Chap. 7. Such an approach is taken in [Sol1]; see also [Lad]. A different sort of proof, appealing to the theory of systems elliptic in the sense of Douglis–Nirenberg, is given in [Tem]. An extension of the boundary-layer approach to Lipschitz domains is given in [FKV]. This work has been applied to the Navier–Stokes equations on Lipschitz domains in [DW]. Here the analysis was restricted to Lipschitz domains with connected boundary. This topological restriction was removed in [MiT]. Subsequently, [Mon] produced strong, short time solutions on 3D domains with arbitrarily rough boundary.

606 17. Euler and Navier–Stokes Equations for Incompressible Fluids

Pick 2 .0; 1/. We now define some operators on D0 .M /, so that (A.6)

.  /ˆ  dQ D I on D0 .M; T  /;

ıˆ D 0:

To get these operators, start with the Hodge decomposition on M : (A.7)

d ıG C ıdG C Ph D I

on D0 .M; ƒ /;

where Ph is the orthogonal projection onto the space H of harmonic forms on M , and G is 1 on the orthogonal complement of H. Then (A.6) holds if we set (A.8)

ˆ D .  /1 .ıdG C Ph / 2 OPS 2 .M /; Q D ıG 2 OPS 1 .M /:

Let F .x; y/ and Q.x; y/ denote the Schwartz kernels of these operators. Thus (A.9)

.  x /F .x; y/  dx Q.x; y/ D ıy .x/I;

ıx F .x; y/ D 0:

Note that as dist.x; y/ ! 0, we have (for dim  D n  3) (A.10)

F .x; y/ A0 .x; y/ dist.x; y/2n C    ; Q.x; y/ B0 .x; y/ dist.x; y/1n C    ;

where A0 .Expy v; y/ and B0 .Expy v; y/ are homogeneous of degree zero in v 2 Ty M . We now look for solutions to (A.4) in the form of layer potentials: Z v.x/ D

F .x; y/ w.y/ dS.y/ D F w.x/; @

Z

(A.11)

Q.x; y/  w.y/ dS.y/ D Qw.x/:

p.x/ D @

The first two equations in (A.4) then follow directly from (A.9), and the last equation in (A.4) is equivalent to ‰w D g;

(A.12) where Z (A.13)

‰w.x/ D

F .x; y/w.y/ dS.y/; @

x 2 @;

A. Regularity for the Stokes system on bounded domains

607

defines ‰ 2 OPS 1 .@; T  /:

(A.14)

Note that ‰ is self-adjoint on L2 .@; T  /. The following lemma is incisive: Lemma A.1. The operator ‰ is an elliptic operator in OPS 1 .@/. We can analyze the principal symbol of ‰ using the results of  11 in Chap. 7, particularly the identity (11.12) there. This implies that, for x 2 @; 2 Tx .@/;  the outgoing unit normal to @ at x, Z ‰ .x; / D Cn

(A.15)

1 1

ˆ .x; C / d :

From (A.8), we have ˆ .x; /ˇ D jj4  ^ ˇ;

(A.16)

; ˇ 2 Tx M:

This is equal to jj2 P? ˇ, where P? is the orthogonal projection of Tx onto ./? . Thus ˆ .x; /ˇ D A./ˇ  B./ˇ;

(A.17) with

A./ˇ D jj2 ˇ;

B./ˇ D jj4 .ˇ  /:

Hence Z

1

(A.18)

Z

1

A. C / d  D

1

1

Z

with 1 D

1 1

.j j2 C  2 /1 d  D 1 j j1 ;

1 d : 1 C 2

Also Z (A.19)

Z

1

B. C /ˇ d  D

1

1

j j2 C  2

2 

.ˇ  / C  2 .ˇ  / d 

1

D 2 j j3 .ˇ  / C 3 j j1 .ˇ  /;

with Z (A.20)

2 D

1 1

1 d ; .1 C  2 /2

Z 3 D

1

1

2 d : .1 C  2 /2

608 17. Euler and Navier–Stokes Equations for Incompressible Fluids

We have (A.21)

 ‰ .x; / D Cn j j1 1 I  2 P  3 P ;

where P is the orthogonal projection of Tx onto the span of , and P is similarly defined. Note that 2 C 3 D 1 ; 0 < j . Hence 0 < 2 < 1 and 0 < 3 < 1 . In fact, use of residue calculus readily gives 1 D ;

2 D

 ; 4

3 D

3 : 4

Thus the symbol (A.21) is invertible, in fact positive-definite. Lemma A.1 is proved. We also have, for any  2 R, (A.22)

‰ W H  .@; T  / ! H C1 .@; T  /; Fredholm, of index zero.

We next characterize Ker ‰, which we claim is a one-dimensional subspace of C 1 .@; T  /. The ellipticity of ‰ implies that Ker ‰ is a finite-dimensional subspace of C 1 .@; T  /. If w 2 Ker ‰, consider v D F w; p D Qw, defined by (A.11), on  ˇ[ O (where O D M n ). We have .  /v D dp on ; ıv D 0 on , and v ˇ@ D 0, so, since solutions to (A.3) are unique for any > 0, we deduce that v D 0 on . Similarly, v D 0 on O. In other words, (A.23)

ˆ.w/ D 0

on  [ O;

where  is the area element of @, so w is an element of D0 .M; T  /, supported on @. Since ˆ 2 OPS 2 .M /; ˆ.w/ 2 C.M; T  /, so (A.23) implies ˆ.w/ D 0 on M . Consequently, by (A.6), (A.24)

w D dQ.w/ on M:

The right side is equal to d ıG.w/ D Pd .w/. It follows that d.w/ D 0, which uniquely determines w, up to a constant scalar multiple, on each component of @, namely as a constant multiple of . It follows that (A.25)

w 2 Ker ‰ ” w D C d  ;

for some constant C , assuming  and O are connected. In our situation, O is diffeomorphic to , which is assumed to be connected. Consequently, whenever g 2 H sC3=2 .@; T  / satisfies Z hg; i dS D 0;

(A.26) @

A. Regularity for the Stokes system on bounded domains

609

the unique solution to (A.4) is given by (A.11), with w 2 H sC1=2 .@; T  /:

(A.27)

ˇ Note that if ıv D 0 on  and v ˇ@ D g, then the divergence theorem implies that (A.26) holds. Thus this construction applies to all solutions of (A.4). Next we reduce the analysis of (A.3) to that of (A.4). Thus, let f 2 e 2 H s .M; T  /. Now let u1 2 H sC2 .M; T  /; p1 2 H s .; T  /. Extend f to f sC1 H .M / solve (A.28)

e C dp1 ; .  /u1 D f

ıu1 D 0

on M;

ˇ e and p1 D Qf e. If u solves (A.3), take v D u  u1 ˇ , which hence u1 D ˆf  solves (A.4), with p replaced by p  p1 , and (A.29)

ˇ g D u1 ˇ@ 2 H sC3=2 .@; T  /:

Furthermore, since ıu1 D 0 on M , we have (A.26), as remarked above. We are in a position to establish the results stated at the beginning of this appendix, namely: Proposition A.2. Assume u; v 2 H 1 .; T  /; f 2 L2 .; T  /; p 2 L2 ./, and > 0. If (A.30)

.  /u D f C dp;

ˇ uˇ@ D 0;

ıu D 0;

then, for s  0, (A.31)

f 2 H s .; T  / H) u 2 H sC2 .; T  /;

and if (A.32)

.  /v D dp;

ıv D 0;

ˇ v ˇ@ D g;

then, for s  0, (A.33)

g 2 H sC3=2 .@; T  / H) v 2 H sC2 .; T  /:

Proof. As seen above, it suffices to deduce (A.33) from (A.32), and we can assume g satisfies (A.26), so Z (A.34)

v.x/ D

F .x; y/w.y/ dS.y/; @

x 2 ;

610 17. Euler and Navier–Stokes Equations for Incompressible Fluids

where F .x; y/ is the Schwartz kernel of the operator ˆ in (A.6)–(A.8), and g 2 H sC3=2 .@; T  / H) w 2 H sC1=2 .@; T  /:

(A.35)

Now V D dv satisfies

(A.36)

Z V .x/ D

lim

x 0 !x;x 0 2

.  /V D 0; dx F .x 0 ; y/w.y/ dS.y/ D Gw.x/;

x 2 @;

@

where, parallel to Proposition 11.3 of Chap. 7, we have (A.37)

G 2 OPS 0 .@/:

Hence (A.35) implies Gw 2 H sC1=2 .@; ƒ2 T  /. Now standard estimates for the Dirichlet problem (A.36) yield V 2 H sC1 ./ if w 2 H sC1=2 .@/; hence, if v satisfies (A.32), (A.38)

v D ıV 2 H s ./;

ˇ v ˇ@ D g;

and regularity for the Dirichlet problem yields the desired conclusion (A.33). Thus Proposition A.2 is proved.

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18 Einstein’s Equations

Introduction In this chapter we discuss Einstein’s gravitational equations, which state that the presence of matter and energy creates curvature in spacetime, via (0.1)

Gjk D 8Tjk ;

where Gjk D Ricjk  .1=2/Sgjk is the Einstein tensor, Tjk is the stress-energy tensor due to the presence of matter, and  is a positive constant. In  1 we introduce this equation and relate it to previous discussions of stress-energy tensors and their relation to equations of motion. We recall various stationary action principles that give rise to equations of motion and show that (0.1) itself results from adding a term proportional to the scalar curvature of spacetime to standard Lagrangians and considering variations of the metric tensor. In  2 we consider spherically symmetric spacetimes and derive the solution to the empty-space Einstein equations due to Schwarzschild. This solution provides a model for the gravitational field of a star. After some general comments on stationary and static spacetimes in  3, we study in  4 orbits of free particles in Schwarzschild spacetime. Comparison with orbits for the classical Kepler problem enables us to relate the formula for a Schwarzschild metric to the mass of a star. In  5 we consider the coupling of Einstein’s equations with Maxwell’s equations for an electromagnetic field. In  6 we consider fluid motion and study a relativistic version of the Euler equations for fluids. We look at some steady solutions, and comparison with the Newtonian analogue leads to identification of the constant  in (0.1) with the gravitational constant of Newtonian theory. In  7 we consider some special cases of gravitational collapse, showing that in some cases no amount of fluid pressure can prevent such collapse, a phenomenon very different from that predicted by the classical theory. In  8 we consider the initial-value problem for Einstein’s equations, first in empty space. We discuss two ways of transforming the equations into hyperbolic form: via the use of “harmonic coordinates” (following [CBr2]), and via a M.E. Taylor, Partial Differential Equations III: Nonlinear Equations, Applied Mathematical Sciences 117, DOI 10.1007/978-1-4419-7049-7 6, c Springer Science+Business Media, LLC 1996, 2011 

615

616 18. Einstein’s Equations

modification of the equation due to [DeT]. We then consider Einstein’s equations in the presence of an electromagnetic field, and in the presence of matter, with emphasis on the initial-value problem for relativistic fluids. In  9 and 10, we consider an alternative picture of the initial-value problem for Einstein’s equations, regarding the initial data as specifying the first and second fundamental forms of a spacelike hypersurface (subject to constraints arising from the Gauss–Codazzi equations) and discussing the solution in terms of the evolution of such hypersurfaces (as “time slices”). Such a picture has been prominent in investigations by physicists for some time (see [MTW]) and has also played a significant role in recent mathematical work, such as in [CBR, CK, CBY2].

1. The gravitational field equations According to general relativity, the presence of matter in the universe (a fourdimensional spacetime) influences its Lorentz metric tensor, via the equation (1.1)

G jk D 8T jk ;

where  is a positive (experimentally determined) constant, G jk is the Einstein tensor, defined in terms of the Ricci tensor by (1.2)

1 G jk D Ricjk  Sg jk ; 2

S D Ricj j being the scalar curvature, and T jk is the stress-energy tensor due to the presence of matter. We will review some facts about the stress-energy tensor, introduced in Chap. 2, and show how the stationary action principle–as used in  11 of Chap. 2 to produce Maxwell’s equations for an electromagnetic field, and the Lorentz force law for the influence of this field on charged matter, from a Lagrangian–can be extended to a variational principle that also leads to (1.1). This cannot be regarded as a derivation of (1.1), from more elementary physical principles, but it does provide a context for the equation. We follow the point of view of [Wey]. In the relativistic set-up, as mentioned in  18 of Chap. 1, one has a fourdimensional manifold M with a Lorentz metric .gjk /, which we take to have signature .; C; C; C/. A particle with positive mass moves on a timelike curve in M , that is, one whose tangent Z satisfies hZ; Zi < 0. One parameterizes such a path by arc length, or “proper time,” so that hZ; Zi D 1. The stress-energy tensor T due to some matter field on M is a symmetric tensor field of type .0; 2/ with the property that an observer on such a path (with basically a Newtonian frame of mind) “observes” an energy density equal to T .Z; Z/.

1. The gravitational field equations

617

For example, consider a diffuse cloud of matter. We will model this as a continuous substance, whose motion is described by a vector field u, satisfying hu; ui D 1. Suppose this substance has mass density  dV , measured by an observer whose velocity is u. Suppose this matter does not interact with itself; sometimes this is called a “dust.” Then an observer measures the mass-energy of the moving matter. The stress-energy tensor is given by b T D u ˝ u; i.e., T jk D uj uk ;

(1.3)

b is the tensor field of type (2,0) obtained from T via the metric, that is, where T by raising indices. For the electromagnetic field F , an antisymmetric tensor field of type (0,2) on M , in (11.34) of Chap. 2 we produced the formula T jk D

(1.4)

1  j k` 1 jk i `  F ` F  g F Fi ` : 4 4

Also in  11 of Chap. 2 we considered the equations governing the interaction of the electromagnetic field on a Lorentz manifold with a charged dust cloud, modeled as a charged continuous substance. We produced the Lagrangian (1.5)

LD

1 1 hF ; F i C hA; J i C hu; ui D L1 C L2 C L3 : 8 2

Here, F; , and u are as above. Part of Maxwell’s equations assert d F D 0;

(1.6)

so, at least locally, we can write F D d A for a 1-form A on M , called the electromagnetic potential. The vector field J is the current, which has the form J D u, where  dV is the charge density of the substance, measured by an observer with velocity u. We assumed there is only one type of matter present, so  is a constant multiple of . Also we assumed the law of conservation of mass: (1.7)

div.u/ D 0:

We then examined the action integral Z (1.8)

I.A; u/ D

L dV

and showed that, for a compactly supported 1-form ˇ on M , (1.9)

ˇ d I.A C ˇ; u/ˇD0 D d

Z h



˛ ˝ ˛i 1 ˝ ˇ; d F F C ˇ; J dV: 4

618 18. Einstein’s Equations

Thus the condition that I.A; u/ be stationary with respect to variations of A implies the remaining Maxwell equation: d F F D 4J b ;

(1.10)

where J b is the 1-form obtained from J by lowering indices. A popular way to write (1.9) is as Z Z h i 1 (1.11) ı L dV D  F jk Ik C J j ˇj dV: 4 Furthermore, we showed that when the motion of the charged substance was varied, leading to a variation u./ of u, with w D @ u, compactly supported, then (1.12)

ˇ d  I A; u./ ˇD0 D  d

Z

˝ ˛ eJ ; w dV; ru u  F

or equivalently, for the variation of the motion of the charged matter, Z (1.13)

ı

Z L dV D



 uk uj Ik  F j k J k wk dV:

Then the condition that I.A; u/ be stationary with respect to variations of u is that e J D 0; ru u  F

(1.14)

the Lorentz force law. Having varied A and u in the action integral, we next vary the metric. We claim that the variation of an action integral of the form (1.8) with respect to the metric is given by Z (1.15)

ı

1 L dV D 2

Z

T jk .ıgjk / dV;

where T jk is the stress-energy tensor associated with the Lagrangian L. We look separately at the three terms in (1.5). First, we consider (1.16)

L3 D

1 hu; ui; 2

jk

T3 D uj uk :

R To examine the variation in L3 dV , it is necessary to recognize that  depends on the metric, via the identity  dV D m dy ds, where m is constant. Thus

1. The gravitational field equations

Z

Z L3 dV D ı

ı

619

1 gjk uj uk m dy ds 2

Z 1 uj uk .ıgjk /m dy ds 2 Z 1 uj uk .ıgjk / dV; D 2 D

(1.17)

yielding (1.15) in this case. Next, consider (1.18)

L1 D 

1 hF ; F i; 8

T1jk D

1  j k` 1 jk i `  F ` F  g F Fi ` : 4 4

Now hF ; Fi D .1=2/Fjk Fi ` g j i g k` , and (1.19)

    ı Fjk Fi ` g j i g k` D Fjk Fi ` .ıgj i /g k` C g j i .ıg k` / ;

while dV D

(1.20)

p

1 jgj dx H) ı.dV/ D  gjk ıg jk dV: 2

Hence Z (1.21) 8 ı

1 L1 dV D n 2

Z

i h 1 .ıg jk / Fj ` Fk` C F ` k F`j  gjk F i ` Fi ` dV: 2

Using ıgjk D g j ` .ıg`i /g i k and Fjk D Fkj , which implies Fj ` D F ` j , we obtain Z Z i h 1 1 (1.22) 8 ı L1 dV D  .ıgjk / 2F j ` F k`  g jk F i ` Fi ` dV; 2 2 which also yields (1.15). For the middle term in (1.5), namely, L2 D hA; J i D .e=m/hA; ui, we have Z (1.23)

ı

Z hA; J i dV D ı

e hA; ui dV D 0; m

consistent with the standard choice of stress-energy tensor for the coupled system: (1.24)

T jk D uj uk C

1  j k` 1 jk i `  F ` F  g F Fi ` : 4 4

As noted in Chap. 2,  11, if the stationary conditions (1.10) and (1.14) are satisfied, and (1.6)–(1.7) hold, then this tensor has zero divergence (i.e., T jk Ik D 0).

620 18. Einstein’s Equations

Now Einstein hypothesized that “gravity” is a purely geometrical effect. Independently, both Einstein and Hilbert hypothesized that it could be captured by adding a fourth term, L4 , to the Lagrangian (1.5). The term L4 should depend only on the metric tensor on M , not on the electromagnetic or matter fields (or any other field). It should be “natural.” The most natural scalar field to take is one proportional to the scalar curvature: L4 D ˛S;

(1.25)

where ˛ is a real constant. We are hence led to calculate the variation of the integral of scalar curvature, with respect to the metric: Theorem 1.1. If M is a manifold with nondegenerate metric tensor .gjk /, associated Einstein tensor Gjk D Ricjk  .1=2/Sgjk , scalar curvature S , and volume element dV , then, with respect to a compactly supported variation of the metric, we have Z Z Z jk (1.26) ı S dV D Gjk ıg dV D  G jk ıgjk dV: To establish this, we first obtain formulas for the variation of the Riemann curvature tensor, then of the Ricci tensor and the scalar curvature. Let  i jk be the connection coefficients. Then ı i jk is a tensor field. The formula (3.54) of e and e and R are the curvatures of the connections r Appendix C states that if R e r D r C "C , then (1.27)

eX C /.Y; u/  ".r eY C /.X; u/ C "2 ŒCX ; CY u: e .R  R/.X; Y /u D ".r

It follows that ıRi jk` D ı i j `Ik  ı i jkI` :

(1.28) Contracting, we obtain (1.29)

ı Ricjk D ı i j i Ik  ı i jkIi :

Another contraction yields (1.30)

    g jk ı Ricjk D g jk ı ` j ` Ik  gjk ı ` jk I`

since the metric tensor has vanishing covariant derivative. The identities (1.28)–(1.30) are called “Palatini identities.” Note that the right side of (1.30) is the divergence of a vector field. This will be significant for our calculation of (1.26). By the divergence theorem, it implies that

1. The gravitational field equations

Z (1.31)

621

  g jk ı Ricjk dV D 0;

as long as ıgjk (hence ı Ricjk ) is compactly supported. We now compute the left side of (1.26). Since S D gjk Ricjk , we have (1.32)

ıS D Ricjk ıg jk C g jk ı Ricjk :

Thus, since ı.dV/ is given by (1.20), we have

(1.33)

ı.S dV/ D Ricjk ıg jk dV C g jk .ı Ricjk / dV C S ı.dV/   1 D Ricjk  Sgjk ıg jk dV C g jk .ı Ricjk / dV: 2

The last term integrates to zero, by (1.31), so we have (1.26). For some purposes it is useful to consider analogues of (1.26), involving variations of the metric which do not have compact support (see, e.g., [Yo4] and [Yo5]). Note that verifying (1.26) did not require the computation of ı i jk in terms of ıgjk , though this can be done explicitly. Indeed, formula (3.63) of Appendix C implies (1.34)

ı`jk D

i 1h ıg`j Ik  ıg`kIj C ıgjkI` : 2

From Theorem 1.1 together with (1.15), we see that if L is a matter Lagrangian, such as in (1.5), then the stationary condition for (1.35)

Z   1 ı S C 8L dV; 2

with respect to variations of the metric tensor, yields the gravitational equation (1.1). An alternative formulation of (1.1) is the following. Take the trace of both sides of (1.1). We have (1.36)

 1 n G j j D Ricj j  Sg j j D 1  S 2 2

when n D dim M . Since n D 4 here, this implies (1.37)

S D 8;

 D Tjj:

Then substitution of 8 for S in (1.1) yields (1.38)

  1 Ricjk D 8 T jk  g jk : 2

622 18. Einstein’s Equations

We now derive a geometrical interpretation of the Einstein tensor. Let D e0 be any unit timelike vector in Tp M , part of an orthonormal basis fe0 ; e1 ; e2 ; e3 g of Tp M , where hej ; ej i D C1 for j  1; 1 for j D 0. From the definiton of the Ricci tensor, we obtain (1.39)

Ric. ; / D

3 X ˝

3 X ˛ R.ej ; / ; ej D  K. ^ ej /;

j D1

j D1

where K. ^ ej / denotes the sectional curvature with respect to the 2-plane in Tp M spanned by and ej . Compare with Proposition 4.7 of Appendix C, but note the sign change due to the different signature of the metric here. Also, the scalar curvature of M at p is given by (1.40)

SD

X

K.ej ^ ek /

.0  j; k  3/:

j ¤k

Hence, for G D Ric  .1=2/Sg, we have (1.41)

X 1 K.ej ^ ek /: G. ; / D Ric. ; / C S D 2 1j
Now let V be the spacelike hypersurface, formed by the geodesics through p normal to . The second fundamental form of V vanishes at p (see the proof of Proposition 4.7 in Appendix C, analyzing the sectional curvature). It follows that the scalar curvature of V at p is given by (1.42)

S.V / D 2

X

K.ej ^ ek /;

1j
with K.ej ^ ek / as in (1.41). Hence (1.43)

S.V / D 2G. ; /:

Thus the gravitational equation (1.1) can be written as (1.44)

S.V / D 16;

where (1.45)

 D T . ; /

is the energy density, measured by an observer with 4-velocity . Note that if T is given by (1.3), then T . ; / D hu; i2 , which is nonnegative (in fact, positive where  ¤ 0). Also, if T is the stress-energy tensor (1.4) of the electromagnetic

1. The gravitational field equations

623

field, then, as observed in calculations  leading to(11.33) in Chap. 2, T . ; / is the observed measurement of .1=8/ jEj2 C jBj2 , also nonnegative (and positive where the electromagnetic field does not vanish). Typically, a stress-energy tensor for ordinary matter has the property that (1.46)

T . ; /  0; for timelike.

If  > 0 at p, we see that S.V / has the same sign as the constant . Below we will argue that  is positive. Note that the equation (1.14) indicates that uncharged matter should move along geodesics. Let us consider the influence of the geometry on the relative motion of nearby neutral particles, whose motion is along nearby timelike geodesics in M . Say one geodesic 0 .s/ has unit timelike tangent vector D 00 .s/I h ; i D ˇ1. If there is a one-parameter family of geodesics  .s/, then W .s/ D @  .s/ˇD0 is a vector field along 0 that satisfies the Jacobi equation (1.47)

r r W D R. ; W / :

See Exercise 10 in  3 of Appendix C. Let us vary the geodesic 0 in the following specific fashion. Let V be the hypersurface described above, spanned by geodesics through p D 0 .0/ with tangent vector in . /?  Tp M . We extend over V by radial parallel transport and, given q 2 V , close to p, consider the geodesic satisfying .0/ D q; 0 .0/ D (see Fig. ˇ 1.1). If  is a one-parameter family of such geodesics, with W .s/ D @  .s/ˇD0 , then (1.48)

W .0/ ? 2 Tp M

and r W .0/ D 0:

F IGURE 1.1 Nearby Timelike Geodesics

624 18. Einstein’s Equations

Note that .d=ds/hW; i D hr W; i and ˝ ˛ d2 hW; i D hr2 W; i D R. ; W / ; D 0: ds 2 Hence, if (1.48) holds, then W .s/ ? .s/ all along 0 . Now we have .d=ds/hW; W i D 2hr W; W i, and (1.49)

d d2 hW; W i D 2 hr W; W i D 2hr2 W; W i C 2hr W; r W i: 2 ds ds

Hence, at p, d2 hW; W i D 2hR.W; / ; W i: ds 2

(1.50)

If we let Wj be an orthonormal basis of Tp .V /, we obtain, via (1.39), (1.51)

3 h 1 i d2 X  ; hW ; W i D 2 Ric. ;

/ D 16 T . ;

/ C j j ds 2 2 j D1

at p. Note that if T is given by (1.3), then (1.52)

1 1 T . ; / C  D h ; ui2 C hu; ui  0; 2 2

when and u are both unit timelike vectors. In particular, T .u; u/C=2 D =2, in this case. Generally, a stress-energy tensor T is said to satisfy the “strong energy condition” if T . ; / C =2  0 for all unit timelike . For such stress-energy tensors, we have (at p)

(1.53)

3 d2 X hWj ; Wj i  0 ds 2

if  > 0;

j D1

D 0 if  D 0;  0 if  < 0:

Now, it is clear that an attractive gravitational force would make (1.53)  0 (and in fact < 0 in a nontrivial matter field), while a repulsive force would make (1.53)  0. Since we observe gravity to be attractive, we conclude that the constant  in (1.1) is > 0. Further discussion of the determination of  will be given in  6, after (6.73)–(6.74).

Exercises

625

Exercises 1. If M is a Riemannian manifold of dimension 2, show that Gjk D 0. Deduce from Theorem 1.1 that Z (1.54) K dA D C.M / M

is independent of the metric on M . Relate this to the Gauss–Bonnet formula established in  5 of Appendix C, on connections and curvature. 2. As shown in (3.31) of Appendix C, the Einstein tensor satisfies G jk Ik D 0;

(1.55)

as a consequence of the Bianchi identity. Hence, Einstein’s equations (1.1) imply T jk Ik D 0:

(1.56)

Compute this when T jk is given by (1.24). Compare with the calculation (11.54) of Chap. 2. 3. A fluid, with 4-velocity field u (satisfying hu; ui D 1), density , and pressure p (measured by an observer with velocity u), has stress-energy tensor (1.57)

Tjk D . C p/uj uk C pgjk :

Thus a dust, with the stress-energy tensor (1.3), is a zero-pressure fluid. Compute T jk Ik in this case, and show that the conservation law (1.7) and the geodesic equation ru u D 0 (which is (1.14) in the absence of an electromagnetic field) are modified to (1.58)

. C p/ru u D ….u/ grad p;

div.u/ D p div u;

where ….u/ denotes projection orthogonal to u (with respect to the Lorentz metric), namely, in components, .….u/ grad p/j D pIk .g jk C uj uk /. 4. Recall from (1.37) that when (1.1) holds, the scalar curvature of spacetime is given by S D 8T j j . Deduce that if T jk is given by (1.24), then S D 8;

(1.59) while if it is given by (1.57), then

S D 8.  3p/:

(1.60)

5. Show that if T jk is given by (1.3), then Ric.u; u/ D 4;

(1.61) and if it is given by (1.24), then (1.62)

Ric.u; u/ D 4 C .jEj2 C jBj2 /;

626 18. Einstein’s Equations where E and B are the electric and magnetic fields, measured by an observer with 4-velocity u, while if it is given by (1.57), then (1.63)

Ric.u; u/ D 4. C 3p/:

2. Spherically symmetric spacetimes and the Schwarzschild solution We investigate solutions to Einstein’s equations (1.1) which are spherically symmetric. Generally, a Lorentz 4-manifold .M; g/ is said to be spherically symmetric provided there is an effective action of SO.3/ as a group of isometries of M . The generic orbit O will be diffeomorphic to S 2 . We will assume that O is spacelike, that is, the metric induced on O is positive-definite. Given p 2 O, let Kp be the subgroup of SO.3/ fixing pI Kp is a circle group. Thus Kp acts as a group of rotations on Tp O, and it also acts on Np O D Tp O? . Since Np O has a metric of signature .1; 1/, and Kp acts on it as a compact, connected group of isometries, it follows that Kp acts trivially on Np O. On a neighborhood of O  M , diffeomorphic to .a; b/  .c; d /  S 2 , we can introduce coordinates so that the metric is (2.1)

ds2 D C.r; t/ dt2 C D.r; t/ dr 2 C 2E.r; t/ dr dt C F .r; t/ d! 2 ;

Where the functions C; D; E, and F are smooth and positive, and d! 2 is the standard Riemannian metric on the unit sphere, S 2  R3 . Assume that @F=@r ¤ p 0 on O. Then we can change variables, replacing r by r 0 D F .r; t/, and get the simpler form (2.2)

ds 2 D C.r; t/ dt2 C D.r; t/ dr 2 C 2E.r; t/ dr dt C r 2 d! 2 ;

with new functions C.r; t/, and so on. Next, we can replace t by t 0 , such that (2.3)

 dt0 D .r; t/ C.r; t/ dt  E.r; t/ dr ;

where .r; t/ is an integrating factor, chosen to be positive and to make the right side of (2.3) a closed form. Then the metric on M takes the form (2.4)

ds2 D e .r;t / dt2 C e .r;t / dr2 C r 2 d! 2 :

We take spherical coordinates .'; / on S 2 , where ' D 0 defines the north pole and ' D =2 defines the equator. (Physics texts often give ' and  the opposite roles.) Then d! 2 D d' 2 C sin2 ' d 2 :

2. Spherically symmetric spacetimes and the Schwarzschild solution

627

The formula for the Einstein tensor Gjk for such a metric is fairly complicated. Rather than just write it down, we will take a leisurely path through the calculation, making some general observations about the Einstein tensor, and other measures of curvature, along the way. Some of these calculations will have further uses in subsequent sections. Among alternative derivations of the formula for the Ricci tensor for a metric of the form (2.4), we mention one using differential forms, on pp. 87–90 of [HT]. The metric (2.4) has the general form (2.5)

U S gjk D gjk C gjk ;

2 C 1 .U /;

on a product M D U  S , where g U is the metric tensor of a manifold U; g S is the metric tensor of S . To be more precise, if .x 0 ; x 00 / D .x0 ; : : : ; xL1 ; xL ; : : : ; xLCM 1 / 2 U  S; U U gjk is the metric tensor for U if 0  j; k  L  1, and we fill in gjk to be zero for S other indices. Similarly, we set gjk D hj CL;kCL for 0  j; k  M  1, where S hjk is the metric tensor for S , and we fill in gjk to be zero for other indices. 2 2 In the example (2.4), we have U  R ; S D S , so L D M D 2. With obvious notation, jk g jk D gU C

(2.6)

1 jk gS :

We want to express the curvature tensor Rj k`m of M in terms of the tensors Rj k`m and S Rj k`m and the function and then obtain formulas for the Ricci tensor, scalar curvature, and Einstein tensor of M . Recall that if  j k` are the connection coefficients on M , then U

(2.7)

Rj k`m D @`  j km  @m  j k` C  j `   km   j  m   k` ;

where we use the summation convention (sum on ). Meanwhile, (2.8)

 ` jk D

 1 `  g @k gj C @j gk  @ gjk : 2

Using (2.5) and (2.6), we can first express  ` jk in terms of the connection coefficients on the factors U and S : (2.9)

 ` jk D U  ` jk C S  ` jk C B ` jk ;

628 18. Einstein’s Equations

where  1 `  S S S g gj @k C gk @j  gjk @ 2  1 S D  ` j @k # C  ` k @j #  gjk @` : 2

B ` jk D (2.10)

Here we have set # D log ;

(2.11)

and, in a product coordinate system such as described above,  ` j D 1 if j D ` is an index for S; 0 otherwise. We can write  ` j D e.`/ı ` j ;

(2.12)

where e.`/ D 1 if `  L; e.`/ D 0 if ` < L. Note that  ` j produces a welldefined tensor field of type .1; 1/ on M D U  S , namely Tx M  Tx 0 U ˚ Tx 00 S , and .x/ is the projection of Tx M onto Tx 00 S , annihilating Tx 0 U . Now, given p D .p 0 ; p 00 / 2 M D U  S , let us use product-exponential coordinates centered at p, namely, the product of an exponential coordinate system on U centered at p 0 and an exponential coordinate system on S centered at p 00 . In such a coordinate system, we have Rj k`m D U Rj k`m C S Rj k`m C D j k`m ;

(2.13) with (2.14)

D j k`m D @` B j km  @m B j k` C B j ` B  km  B j  m B  k` ;

at p:

The formula (2.10) for B ` jk is valid in any coordinate system. In productexponential coordinates we have (2.15)

@` B j km D

 1 j S  k @` @m # C  j m @` @k #  gkm @` @j ; 2

@m B j k` D

 1 j S  k @m @` # C  j ` @m @k #  gk` @m @j ; 2

at p. Also,

at p, so

(2.16)

@` B j km  @m B j k` 1 S D  j m @` @k #   j ` @m @k #  gkm @` @j 2

S C gk` @m @j



;

2. Spherically symmetric spacetimes and the Schwarzschild solution

629

at p. From (2.10) we have (2.17)

4B j ` B  km D  j k @` # @m # C  j m @` # @k # S j  gk` @

S @m #  g`m @j

S @k #   j ` hd#; d igkm ;

where (2.18)

hd#; d i D @ # @ :

Antisymmetrizing (2.17) with respect to ` and m, we have

(2.19)

    4 B j ` B  km  B j  m B  k` D  j m @` #   j ` @m # @k #  S  S C gkm @` #  gk` @m # @j   S S C  j m gk` hd#; d i:   j ` gkm

We can produce a formula for D j k`m where each term is manifestly a tensor. To get this, first note that the tensor whose components in a product-exponential S coordinate system are @` @k # is #I`Ik  .1=2/hd ; d#ig`k . In fact, in any product coordinate system, #I`Ik D @` @k #    `k @ # (2.20)

D @` @k #  U   `k @ #  B  `k @ # 1 S  U   `k @ #: D @` @k # C hd ; d#ig`k 2

The last identity follows from (2.10) plus the fact that we are summing only over  < L. Then, from (2.16) and (2.19) we obtain (2.21) i 1h S Ij S Ij D j k`m D  j m #IkI`   j ` #IkIm  gkm Im I` C gk` 2 i 1h S Ij S Ij C  j m #Ik #I`   j ` #Ik #Im C gkm #I`  gk` #Im ; 4 in any product coordinate system. Contracting (2.13), we have (2.22)

S Rickm D RicU km C Rickm C Fkm ;

Fkm D D j kj m :

Thus, in product-exponential coordinates centered at p 2 M , we have (2.23)

Fkm D @j B j km  @m B j kj C B j j B  km  B j  m B  kj ;

at p. We evaluate this more explicitly, using (2.16) and (2.19).

630 18. Einstein’s Equations

Contracting (2.16) over j D `, we have

(2.24)

@j B j km  @m B j kj 1 S D  j m @j @k #   j j @m @k #  gkm @j @j 2 1 1 S D  M @m @k #  gkm L ; 2 2 D @j @j . Since

at p, where M D dim S and L (2.25)

L

X

D

@j @j

km D gU @k @m

S C gkj @m @j



2 C 1 .U /, we have D U ;

j L1

at p. Note that U is the Laplace operator on U . (For our case of primary interest, U has a Lorentz metric, so we use U rather than U :) Contracting (2.19) over j D `, we have

(2.26)

B j j B  km  B j  m B  kj 1 1 S D  M.@m #/.@k #/  .M  2/hd#; d igkm : 4 4

Thus we obtain, at p,

(2.27)

1 1 1 S  M.@m #/.@k #/ Fkm D  M @m @k #  .U /gkm 2 2 4 1 S  .M  2/hd#; d igkm : 4

To write this in tensor form, we recall the computation (2.20). Hence, in any product coordinate system, (2.28)

 1 1  1 Fkm D  M #IkIm C #Ik #Im  U 2 2 2

 S  hd#; d i gkm :

The scalar curvature of M is S D g km Rickm . By (2.22), we have (2.29)

S D SU C

1

SS C ˇ;

ˇ D g km Fkm :

The formula (2.27) yields

(2.30)

1 1 km @m @k #  M 1 U ˇ D  M gU 2 2 1 1 km  M gU .@m #/.@k #/  .M  2/M 4 4

1

hd#; d i;

2. Spherically symmetric spacetimes and the Schwarzschild solution

631

at p. Note that km km @m @k # D gU @m (2.31) gU



1

@k



1

D

U

2 km gU .@m



/.@k /;

at p. Hence (2.32)

ˇ D M

1

U

1  .M 2  3M / 4

2

hd ; d i:

As a check on this calculation, consider the simple case dim U D dim S D 1, with (2.33)

g U D dx02 ;

g S D dx12 ;

g D dx02 C

.x0 / dx12 :

Of course, SU D SS D 0 here, and (2.29) and (2.32) yield for the scalar curvature of M , (2.34)

S D

1

.x0 /

00

.x0 / C

1 2

2

.x0 /

0

.x0 /2 :

Since S D 2K; K being the Gauss curvature of the two-dimensional surface M , this formula agrees with the E D 1; G D case of formula (3.37) in Appendix C, for the Gauss curvature of a surface with metric E d u2 C G dv 2 . We now look at the Einstein tensor of M; Gjk D Ricjk  .1=2/Sgjk . In view of (2.22) and (2.29), we have

(2.35)

1 S U S Gjk D RicU jk C Ricjk C Fjk  SU .gjk C gjk / 2 1 1 1 U S  SS .gjk C gjk /  ˇgjk : 2 2

Rearranging terms, we can write (2.36)

1 U S S C Gjk  .SU gjk C SS Gjk D Gjk 2

1 U gjk /

1 C Fjk  ˇgjk : 2

Before considering the case dim S D 2, let us first consider the case dim U D dim S D 1. Then U and S are flat, and (2.36) becomes Gjk D Fjk .1=2/ˇgjk . Let us parameterize U and S by arc length. The case M D 1 of (2.27) is 1 1 1 1 S Fjk D  @j @k #  .U /gjk  .@j #/.@k #/ C 2 2 4 4

1

S hd ; d igjk :

Here, U D 00 .x0 /; @j @k # D # 00 .x0 / for j D k D 0; 0 otherwise, and @j # D # 0 for j D 0; 0 otherwise. Also, in this case (2.32) (or (2.34)) implies ˇ D  1 00 C.1=2/ 2 . 0 /2 . It readily follows that Fjk D .1=2/ˇgjk , hence Gjk D 0. This is part of a more general result.

632 18. Einstein’s Equations

Lemma 2.1. If M is a two-dimensional manifold with a nondegenerate metric tensor, then its Einstein tensor always vanishes, Gjk D 0. Proof. Generally, Rick m is produced from Rjk `m via a natural map (2.37)

 W End.ƒ2 Tp M / ! End.Tp M /:

Since ı jk j m D .n  1/ı k m , we see that .I / D .n  1/I , when n D dim M . Now, if dim M D 2, then ƒ2 Tp M is one-dimensional. Hence Rick m must be a scalar multiple of ı k m , so Rickm must be a scalar multiple of gkm . Comparing traces, we see that the multiple must be S=2, so Ricjk D

1 Sgjk 2

when dim M D 2:

This precisely says that Gjk D 0. Compare the derivation of (3.35) in Appendix C. Let us now consider the case dim S D 2. From (2.28), we have (2.38)

1 1 1 S S Fjk D #Ij Ik  .U /gjk C hd ; d#igjk  #Ij #Ik 2 2 2

in any product coordinate system. Contracting this, or alternatively taking the M D 2 case of (2.32), we have (2.39)

ˇ D 2

1

U

C

1 2

2

hd ; d i:

S D 0. When dim S D 2, we have from Lemma 2.1 that Gjk U If also dim U D 2, then Gjk D 0, so (2.36) yields

(2.40)

Gjk D 

1 S SU gjk C SS 2

1 U gjk



1 C Fjk  ˇgjk ; 2

with Fjk and ˇ given by (2.38) and (2.39). Now, whenever a two-dimensional surface U has a metric tensor of the form (2.41)

0 dx02 C 1 dx12 ;

with j D j .x0 ; x1 /, we readily obtain from (2.8) the formulas for the connection coefficients:       1 @0 0 @1 0 1 @1 0 @0 1 U 0 U 1 ; :  jk D  jk D 2 0 @1 0 @0 1 2 1 @0 1 @1 1

2. Spherically symmetric spacetimes and the Schwarzschild solution

633

In the case (2.4), we have 0 D e  ;

(2.42)

1 D e  ;

where  and  are functions of .u0 ; u1 /. This yields   1 @0  @1  ;  0 jk D 2 @1  e  @0     1 e  @1  @0  U 1 :  jk D @1  @0  2



U

(2.43)

Also, in the case (2.4), Consequently, by (2.20), (2.44)

D

#Ij Ik D @j @k # C

.r/ D r 2 , where r D x1 , and # D 2 log r. 1 2

1

S hd ; d igjk  wjk ;

where @1 @1 # D 2=r 2 ; @j @k # D 0 for other indices, and    1 e  @1  wjk D @0  r

(2.45)

@0  ; @1 

for 0  j; k  1; wjk D 0 for other indices. Hence for the metric tensor (2.4), the 4  4 matrix .Gjk / splits into two 2  2 blocks: e jk C G b jk : Gjk D G

(2.46) The upper left block is

(2.47)

e jk D  1 SS 1 g U  1 ˇg U  @j @k # C wjk  1 .@j #/.@k #/ G jk 2 2 jk 2  U 1 1  1 1 D SS  2U C hd ; d i gjk  wjk ; 2 2

since, for # D 2 log r, we have @j @k # C .1=2/.@j #/.@k #/ D 0. The lower right block is

(2.48)

b jk D  1 SU g S  1 ˇ g S  1 .U /g S G jk jk jk 2 2 2  S 1 1 1 D  SU  U C hd ; d i gjk : 2 2

634 18. Einstein’s Equations

Thus, for metrics of the form (2.4), Gjk has 6 nonzero components, out of 16 (or, if symmetry is taken into account in counting components, it has 5 nonzero components, out of 10). When the metric tensor of U has the form e  dt 2 C e  dr 2 , the calculation of Gauss curvature in (3.37) of Appendix C gives

(2.49)

  SU D e .C/=2 @r .r e ./=2 / C @t .t e ./=2 / 1 1 D e  rr C e  t t  r .r  r /e  C t .t  t /e  : 2 2

Here, r D @; t D @=@t, and so forth. Of course, the unit sphere S 2 has Gauss curvature 1, so SS D 2. Also, we have, for .r/ D r 2 , (2.50)

U

D 2e  C r.r  r /e  ;

1

hd ; d i D 4e  :

The formulas (2.45), (2.49), and (2.50) specify all the ingredients in (2.47) and (2.48). We conclude that, for a metric of the form (2.4), with .x0 ; x1 ; x2 ; x3 / D .t; r; '; /, all the nontrivial components of G are specified by the following five formulas:  e    1  r ;  e r r2 t D G10 D ; r  1 D 2 1 C rr  e  ; r   1 1 1 1 D r 2 e  rr C r2 C .r  r /  r r 2 2 r 2  1 2   1 2 1  r e t t C t  t  t ; 2 2 2 D sin2 ' G22 :

(2.51)

G00 D 

(2.52)

G01

(2.53)

G11

(2.54)

G22

(2.55)

G33

Having determined the Einstein tensor for a spherically symmetric spacetime that has been put in the form (2.4), we now examine when the empty-space Einstein equation is satisfied, namely, when Gjk D 0. If we require all components Gjk to vanish, then (2.52) implies @=@t D 0, or  D .r/. Furthermore, (2.51) and (2.53) imply (2.56)

@r . C / D 0;

or .r/ C .r; t/ D f .t/. Now, replacing t by t 0 D '.t/ has the effect of adding an arbitrary function of t to  in (2.4), so we can arrange that  C  D 0. Thus the metric (2.4) takes the form

2. Spherically symmetric spacetimes and the Schwarzschild solution

(2.57)

635

ds 2 D e .r/ dt 2 C e .r/ dr 2 C r 2 d! 2 :

Note that the coefficients are independent of t! We say the metric is static. The observation that a spherically symmetric solution to G D 0 must be static (under the additional hypotheses made at the beginning of this section) is known as Birkhoff’s theorem. For the metric (2.57), the component G01 , given by (2.52), certainly vanishes, and G00 D 0 D G11 if and only if (2.58)

r 0 .r/ D e .r/  1:

If we set .r/ D e .r/ , this ODE becomes r 0 .r/ D 1  .r/, a nonhomogeneous Euler equation with general solution .r/ D 1  K=r. Hence (2.59)

e .r/ D 1 

K : r

It remains to check that G22 vanishes for this metric, that is, that (2.60)

2  00 .r/ C  0 .r/2 C  0 .r/ D 0: r

This is straightforward to check. Rather than substituting .r/, given by (2.59), into (2.60), we can differentiate (2.58) to get r 00 C 0 D  0 e  ; adding r. 0 /2 C  0 to both sides and again using (2.58), we obtain (2.60). We have derived the following metric, known as the Schwarzschild metric, satisfying the vacuum Einstein equation G D 0: (2.61)

 K 2  K 1 2 ds 2 D  1  dt C 1  dr C r 2 d! 2 : r r

We can readily check that this is not a flat metric in a funny coordinate system, unless K D 0. Indeed, by (2.13) we have R0 101 D U R0 101 , since D 0 101 D 0 by (2.21). Now U R0 101 is a nonzero multiple of SU , and, by (2.49), we have SU D

2K ; r3

in this case. We have a solution to G D 0 upon taking any real K in (2.61), but the metrics most relevant to observed phenomena are those for which K > 0. Indeed, as will be seen in  4, geodesic orbits for the metric (2.61) have the property that, for large r and small “velocity,” they approximate orbits for the Newtonian problem (2.62)

xR D grad V .x/;

V .x/ D 

1K : 2 jxj

636 18. Einstein’s Equations

If K > 0, these are orbits for the Kepler problem, that is, for the two-body planetary motion problem. If K < 0, these are orbits for the Coulomb problem, for the motion of charged particles with like charges, hence for motion under a repulsive force. Repulsive gravitational fields have not been observed. Note that if we take K > 0 in (2.61), then the formula is degenerate at r D K. Only on fr > Kg is @=@t a timelike vector. It is this region that is properly said to carry the Schwarzschild metric. It follows from the fact that the sectional curvature of the plane spanned by @=@t and @=@r is SU that the Schwarzschild metric (2.61) is singular at r D 0. On the other hand, the apparent singularity in the Schwarzschild metric at r D K actually arises from a coordinate singularity, which can be removed as follows. First, set Z  K 1 (2.63) vDtC 1 dr D t C r C K log.r  K/: r Using coordinates .v; r; ; '/, the metric tensor (2.61) takes the form (2.64)

 K 2 dv C 2 dv dr C r 2 d! 2 : ds2 D  1  r

These coordinates are called Eddington–Finkelstein coordinates. The region fr > Kg in .t; r; ; '/-coordinates corresponds to the region fr > Kg in the new coordinate system, but the metric (2.64) is smooth and nondegenerate on the larger region fr > 0g. Note that if '; , and v are held constant and r & K, then t % 1. The shell † D fr D Kg is a null surface for the metric (2.64); that is, the restriction of the metric to † is everywhere degenerate. Thus, for each p 2 †, the light cone formed by null geodesics through p is tangent to † at p. Figure 2.1 depicts the extended Schwarzschild metric, in Eddington–Finkelstein coordinates. The function v arises from considering null geodesics in the Schwarzschild spacetime for which ! 2 S 2 is constant or, equivalently, considering null geodesics in the two-dimensional spacetime (2.65)

 K 2  K 1 2 dt C 1  ds2 D  1  dr : r r

On the region r > K, there are a family of null geodesics given by v D const. and a family of null geodesics given by u D const., where (2.66)

u D t  r  K log.r  K/:

The coordinates .u; r; ; '/ are called outgoing Eddington–Finkelstein coordinates (the ones above then being called incoming), and in this coordinate system the Schwarzschild metric takes the form

2. Spherically symmetric spacetimes and the Schwarzschild solution

637

F IGURE 2.1 Extended Schwarzschild Metric

 K 2 du  2 du dr C r 2 d! 2 : ds2 D  1  r

(2.67)

As above, the region fr > Kg in .t; r; ; '/-coordinates corresponds to the region fr > Kg in the new coordinate system. The incoming and outgoing Eddington–Finkelstein coordinates yield two different extensions of Schwarzschild spacetime. These two extensions were sewn together by M. Kruskal and P. Szekeres. As an intermediate step from (2.64) and (2.67) to “Kruskal coordinates,” use the coordinates .u; v; ; '/. In this coordinate system, the Schwarzschild metric becomes  K ds2 D  1  du dv C r 2 d! 2 ; r

(2.68)

where r is determined by 1 .v  u/ D r C K log.r  K/: 2

(2.69)

Now make a further coordinate change: (2.70)

D

 1  v=2K e  e u=2K ; 2

D

 1  v=2K e C e u=2K : 2

Then, in the Kruskal coordinates . ; ; ; '/, the metric becomes (2.71)

ds2 D F .; /2 .d  2 C d 2 / C r. ; /2 d! 2 ;

638 18. Einstein’s Equations

F IGURE 2.2 Kruskal Coordinates

where r is determined by (2.72)

 2  2 D .r  K/e r=K ;

and F is given by (2.73)

F .; /2 D

4K 2 r=K e : r2

Figure 2.2 depicts the extended Schwarzschild spacetime in Kruskal coordinates.

Exercises 1. Use Lemma 2.1 together with Theorem 1.1 to show that whenever M is a compact manifold of dimension 2, endowed with a Riemannian metric, the integrated scalar curvature Z S dA M

is independent of the choice of Riemannian metric on M . How does this fit in with proofs of the Gauss–Bonnet theorem, given in  5 of Appendix C? 2. Suppose M is a manifold with a nondegenerate metric tensor. Show that dim M D 3; Ricjk D 0 H) Ri jk` D 0: (Hint: Show that the map (2.37) is an isomorphism when dim M D 3:)

3. Stationary and static spacetimes

639

3. Suppose in (2.4) you replace S 2 , with its standard metric, by hyperbolic space H2 , with Gauss curvature 1, obtaining (2.74)

ds 2 D e  dt 2 C e  dr 2 C r 2 gH :

Show that in the formulas (2.46)–(2.48) for the Einstein tensor, the only change occurs in (2.47), where SS D 2 is replaced by 2. Show that this has the effect precisely of replacing e  by Ce  in the formulas (2.51) and (2.53) for G00 and G11 . Deduce that a solution to the vacuum Einstein equations arises if  D  and e  D 1 

K ; r

for some K 2 R. Taking K > 0, we have a metric of the form (2.75)

 K 2  K 1 2 dr C r 2 gH ; dt  1 C ds2 D 1 C r r

so r, rather than t, takes the place of “time,” and the Killing vector @=@t is not timelike. Taking K D ;  > 0, we have a metric of the form (2.76)

   1 ds2 D  dr2 C r 2 gH  1 dt2 C 1 r r

.r ¤ /;

and the Killing vector @=@t is timelike on fr < g. Show that (2.77)

dr2 C r 2 gH

can be interpreted as the flat Minkowski metric on the interior of the forward light cone in R3 . What does this mean for (2.75)?

3. Stationary and static spacetimes Let M be a four-dimensional manifold with a Lorentz metric, of signature .1; 1; 1; 1/. We say M is stationary if there is a timelike Killing field Z on M , generating a one-parameter group of isometries. We then have a fibration M ! S , where S is a three-dimensional manifold and the fibers are the integral curves of Z, and S inherits a natural Riemannian metric. We call S the “space” associated to the spacetime M . Given x 2 M , let Vx denote the subspace of Tx M consisting of vectors parallel to Z.x/, and let Hx denote the orthogonal complement of Vx , with respect to the Lorentz metric on M . We then have complementary bundles V and H. Indeed, p W M ! S has the structure of a principal G-bundle with connection, with G D R. For each x; Hx is naturally isomorphic to Tp.x/ S . The curvature of this bundle is the V-valued 2-form ! given by (3.1)

!.X; Y / D P0 ŒX; Y

640 18. Einstein’s Equations

whenever X and Y are smooth sections of H. Here, P0 is the orthogonal projection of Tx M onto V. Since G D R, this gives rise in a natural fashion to an ordinary 2-form on M . We remark that the integral curves of Z are all geodesics if and only if the length of Z is constant on M . This is a restrictive condition, which we certainly will not assume to hold. Thus such an integral curve C can have a nonvanishing second fundamental form IIC .X; Y /, which for X; Y 2 Vx takes values in Hx . We have the following quantitative statement: Proposition 3.1. If Z is a Killing field and U1 is a smooth section of H, then (3.2)

1 hIIC .Z; Z/; U1 i D  LU1 hZ; Zi: 2

Proof. The left side of (3.2) is equal to (3.3)

hrZ Z; U1 i D hZ; rZ U1 i D hZ; rU1 Z  LZ U1 i:

Now hZ; LZ U1 i D .LZ g/.Z; U1 / D 0, so the right side of (3.3) is equal to the right side of (3.2), and the proof is complete. Let E0 and E1 denote the bundles V and H, respectively, so TM D E0 ˚ E1 . Let Pj .x/ denote the orthogonal projection of Tx M onto Ejx . Thus P0 is as in (3.1). If r is the Levi–Civita connection on M , we define another metric connection (with torsion) e D r 0 ˚ r 1; r

(3.4)

j D Pj rX on sections of Ej . Thus where rX

(3.5)

eX D P0 rX P0 C P1 rX P1 D rX  CX ; r

where CX has the form  (3.6)

CX D

0 IIX1 IIX0 0



as in (4.40) of Appendix C; C is a section of Hom.TM ˝ TM; TM /. Let us set (3.7)

TX D CP0 X ;

AX D CP1 X :

The Weingarten formula states that (3.8)

CXt D CX I

3. Stationary and static spacetimes

641

see (4.41) of Appendix C. Note that if x 2 C, an integral curve of Z, then X; Y 2 Vx H) CX Y D IIC .X; Y /:

(3.9)

The following is a special case of a result of B. O’Neill, [ON]. It says that A in (3.7) measures the extent to which H is not integrable. Proposition 3.2. If X and Y are sections of H, then 1 CX Y D  P0 ŒX; Y : 2

(3.10)

Proof. Since C is clearly a tensor, it suffices to prove this when X and Y are “basic,” namely, when they, arise from vector fields on M . Note that P0 ŒX; Y D P0 rX Y  P0 rY X D AX Y  AY X; so it suffices to show that AX X D 0. If U is a section of V, then hU; AX X i D hU; rX X i D hrX U; X i; where h ; i is the inner product on Tx X . Now, under our hypotheses, ŒX; U is vertical, so hrX U; X i D hrU X; X i, hence hU; AX X i D

1 LU hX; X i D 0; 2

since hX; X i is constant on each integral curve C. Note that CX is uniquely determined by (3.8)–(3.10), together with the fact that it interchanges V and H. We want to study the behavior of a geodesic on a stationary spacetime M . We begin with the following result: Proposition 3.3. Let be a constant-speed geodesic on M , with velocity vector T . If Z is a Killing field, then hT; Zi is constant on . Proof. We have (3.11)

˛ d ˝ T .s/; Z. .s// D hT; rT Zi; ds

if rT T D 0. Now generally the Lie derivative of the metric tensor g is given by .LZ g/.X; Y / D hrX Z; Y i C hX; rY Zi, so the right side of (3.11) is equal to .1=2/.LZ g/.T; T /. Since Z is a Killing field precisely when LZ g D 0, the proposition is proved.

642 18. Einstein’s Equations

Thus, if is a geodesic on M , satisfying hT; T i D C2 ;

(3.12) we have

hT; Zi D C1 :

(3.13)

There is the following relation. Set T D T0 C T1 D ˛Z C T1 ;

(3.14)

where T0 is a section of V and T1 a section of H. Then, by orthogonality, C2 D ˛ 2 hZ; Zi C hT1 ; T1 i, while hT; Zi D ˛hZ; Zi D C1 , so (3.15)

C2 D

C12 C hT1 ; T1 i; hZ; Zi

˛D

C1 : hZ; Zi

In Einstein’s theory, a constant-speed, timelike geodesic in M represents the path of a freely falling observor. Let us consider the corresponding path in “space,” namely, the path .s/ D p ı .s/, where p W M ! S is the natural projection. We want a formula for the acceleration of . Note that if 0 .s/ D T D T0 C T1 D ˛Z C T1 , as in (3.14), then  0 .s/ D V .s/ is the vector in T.s/ S whose horizontal lift is T1 .s/. By slight abuse of notation, we simply say V .s/ D T1 .s/. Similarly, (3.16)

rVS V D P1 rT T1 ;

where P1 is the orthogonal projection of Tx M on Hx ; x D .s/. We can restate e given by this, using a modification of the Levi–Civita connection r on M to r, (3.5). Then, via the identification used in (3.16), we have (3.17)

eT T1 D CT T0 ; rVS V D r

using rT T D 0. In fact, this plus (3.5) yields e T T0  C T T1  C T T0 ; rVS V D r where the first two terms on the right are sections of V and the last term is a section eT T0 D CT T1 . of H. Thus we get (3.17), plus the identity r Consequently, if U1 is a vector field on M , identified with a section of H on X , we have ˛ ˝ ˛ ˝ hrVS V; U1 i D  CT0 T0 ; U1 C T0 ; CT1 U1 (3.18) ˛ 1˝ ˛ ˝ D  IIC .T0 ; T0 /; U1  T0 ; !.T1 ; U1 / : 2

3. Stationary and static spacetimes

643

Here, IIC is the second fundamental form of the integral curve C of Z, and ! is the “bundle curvature” of M ! S , as in (3.1). The first identity in (3.18) makes use of (3.8), while the last identity follows from (3.9) to (3.10). Consequently, if we define !T1 W H ! V by !T1 U1 D !.T1 ; U1 /, with adjoint !Tt 1 W V ! H, we have 1 rVS V D IIC .T0 ; T0 /  ! t .T1 ; T0 /; 2

(3.19)

where ! t .T1 ; T0 / D !Tt 1 T0 . Note that the formula (3.2) for IIC can be rewritten as IIC .Z; Z/ D

(3.20)

1 grad ˆ; 2

ˆ D hZ; Zi;

where hZ; Zi is a smooth function on M , constant on each integral curve C, hence effectively a function on S . Thus IIC .T0 ; T0 / D ˛ 2 IIC .Z; Z/ D

(3.21)

C12 1 grad ˆ; 2 ˆ2

where C1 is the constant C1 D hT; Zi of Proposition 3.3. We can rewrite ! t .T1 ; T0 / as follows. Let ˇ W H ! H be the skew-adjoint map satisfying !.T1 ; U1 / D hˇ.T1 /; U1 iZ:

(3.22) We then have (3.23)

! t .T1 ; T0 / D C1 ˇ.T1 /;

using the identity ˛hZ; Zi D C1 from (3.15). Note that effectively ˇ is a section of End T S , that is, a tensor field of type (1,1) on S . In summary, recalling the identification of V and T1 , we have the following: Proposition 3.4. If is a constant-speed, timelike geodesic on a stationary spacetime M , then the curve  D p ı on S , with velocity V .s/ D  0 .s/, has acceleration satisfying (3.24)

rVS V D

1 2 1 C1 grad ˆ1  C1 ˇ.V /: 2 2

Note a formal similarity between the “force” term containing ˇ.V / here and the Lorentz force due to an electromagnetic field, on a Lorentz 4-manifold. Given initial data for .s/, namely, (3.25)

.0/ D x0 2 M;

0 .0/ D T .0/ D T0 .0/ C T1 .0/;

644 18. Einstein’s Equations

we have C1 D hT0 .0/; Z.x0 /i. The initial condition for  is (3.26)

.0/ D p.x0 /;

 0 .0/ D T0 .0/:

Conversely, once we obtain the path .s/ on S , by solving (3.24) subject to the initial data (3.26), we can reconstruct .s/ as follows. We define T on the surface † D p 1 ./ so that (3.27)

p.x/ D .s/ H) T .x/ D ˛.s/Z C V .s/;

with ˛.s/ specified by the identity (3.15), namely, (3.28)

 1 ˛.s/ D C1 ˆ .s/ :

Then T is tangent to † and is the integral curve of T through x0 . The Lorentz manifold M is said to be a static spacetime if the subbundle H is integrable, that is, the bundle curvature ! of (3.1) vanishes. Note that if  is the 1-form on M obtained from Z by lowering indices, then (3.29)

.d /.X; Y / D X hZ; Y i  Y hZ; X i  hZ; ŒX; Y i:

If X and Y are sections of H, this gives (3.30)

hZ; ŒX; Y i D .d /.X; Y /;

so vanishing of d  on H  H is a necessary and sufficient condition for integrability of H. As a complement to (3.30), we remark that, since Z is a Killing field, (3.31)

hX; dˆi D .d /.X; Z/;

for any vector field X on M , where, as in (3.20), ˆ D hZ; Zi. This follows from the identities .LZ /.X / D .LZ g/.Z; X /;

LZ  D d.cZ/  .d /cZ:

If M is static, a calculation using (3.30)–(3.31) implies (3.32)

  d ˆ1  D 0:

Hence there is a function t 2 C 1 .M / such that (3.33)

 D ˆ dt:

3. Stationary and static spacetimes

645

It follows that the tangent space to any three-dimensional surface ft D cg D Sc is given by Tp Sc D Hp , for p 2 Sc , and furthermore, the flow FZt generated by Z (which preserves H) takes Sc to ScCt . Each Sc is naturally isometric to the Riemannian manifold S , and the metric tensor on M has the form (3.34)

ds 2 D ˆ.x/ dt 2 C gS .dx; dx/;

where ˆ is given by (3.20) and gS is the metric tensor on S . So, when M is static, we obtain a diffeomorphism ‰ W S  R ! M by identifying S with S0 D ft D 0g and then setting ‰.x; t/ D FZt x. The geodesic on M yields a path on S  R: (3.35)

  ‰ 1 . .s// D .s/; t.s/ ;

where .s/ is the path in S studied above. The function t.s/ is defined by (3.35). Note that dt D ˛.s/; ds

(3.36)

where ˛.s/ is given by (3.27)–(3.28). Thus we can reparameterize by t, obtaining Q .t/ such that Q .t.s// D .s/. We see that (3.37)

  Q .t/ D x.t/; t ;

x.t/ D .s/:

The quantities v.t/ D x 0 .t/ and a.t/ D rvS v.t/ are the velocity and acceleration vectors of the path x.t/. We have (3.38)

v.t/ D x 0 .t/ D

1 1 V .s/ D  ˆ.x/V .s/: ˛.s/ C1

Furthermore, (3.39)

rvS v D

ˆ2 S 1 d  ˆ V: r V  2 V C1 dt C1

Note that dˆ=dt D hv; grad ˆi. If we use (3.24), recalling that ˇ D 0 in this case, we obtain the following result: Proposition 3.5. A static spacetime M can be written as a product S  R, with Lorentz metric of the form (3.34). A timelike geodesic on such a static spacetime can be reparameterized to have the form (3.37), with velocity v.t/ D x 0 .t/, and with acceleration given by (3.40)

1 1 rvS v D  grad ˆ C hv; grad ˆiv: 2 ˆ

646 18. Einstein’s Equations

By (3.15) we have hV; V i D C2 C C12 =ˆ, hence hv; vi D ˆ C

(3.41)

C2 2 ˆ : C12

In particular, if .s/ is lightlike, so C2 D 0, we have hv; vi D ˆ:

(3.42)

This identity suggests rescaling the metric on S , that is, looking at g # D ˆ1 gS . We will pursue this next. Note that the null geodesics on a Lorentz manifold M (i.e., the “light rays”), coincide with those of any conformally equivalent metric, though they may be parameterized differently. This is particularly easy to see via identifying the geodesic flow with the Hamiltonian flow on T  M , using the Lorentz metric to define the total “energy.” If M is static, we can multiply the metric (3.34) by ˆ1 , obtaining the new metric ds 2 D dt 2 C g # .dx; dx/;

(3.43)

g# D ˆ1 gS :

If is a geodesic for this new metric on M , the equation (3.40) for the projected path x.t/ on S becomes rv# v D 0;

(3.44)

as the ˆ D 1 case of (3.40). Consequently, null geodesics in a static spacetime project to geodesics on the space S , with the rescaled metric g# D ˆ1 gS . Let us see what happens to geodesics that need not be lightlike. For the moment, we take M to be stationary, and define ˆ by (3.20). In order to clarify the role of the exponent of ˆ, we consider on S a conformally rescaled metric of the form g# D ˆa gS . Farther along, we will again take a D 1, and then we will specialize to the case of M static. The connection coefficients for the two metrics gS and g # are related by (3.45)

#

 j k` D

S

 j k` C

 a  .@` ˆ/ ı j k C .@k ˆ/ ı j `  g j .@ ˆ/gk` : 2ˆ

Equivalently, the connections r S and r # are related by

(3.46)

rV# W D rVS W C

a  hV; grad ˆiW C hW; grad ˆiV 2ˆ 

hV; W i grad ˆ :

3. Stationary and static spacetimes

647

In particular, (3.47)

rV# V D rVS V C

a a hV; grad ˆiV  hV; V i grad ˆ: ˆ 2ˆ

Here, h ; i is the inner product for gS , and grad ˆ is obtained from dˆ via the metric gS . If .s/ is a geodesic (not necessarily lightlike) on a stationary spacetime M , then the construction of the projected path .s/ on S given by  D p ı shows that V D  0 .s/ satisfies hV; V i D C2 C

(3.48)

C12 ; ˆ

as noted after Proposition 3.5. Hence, in the lightlike case, g # .V; V / D ˆa1 C12 . If we want to reparameterize  to have constant speed (in the lightlike case), we set Q .r/ D .s/;

(3.49)

dr D ˆ.1a/=2 ; ds

so g # .Q 0 ; Q 0 / D C12 if .s/ is lightlike. Let w D Q 0 .r/ D ˆ.1a/=2 V .s/:

(3.50)

Then (regardless of whether is lightlike) (3.51)

# rw w D ˆ1a rV# V C

1  a a ˆ hgrad ˆ; V iV: 2

If we use (3.46), this becomes

(3.52)

  a a hV; V i grad ˆ ˆ1a rVS V C hV; grad ˆiV  ˆ 2ˆ 1  a a ˆ hgrad ˆ; V iV: C 2

If we use (3.48) for hV; V i and (3.24) for rVS V , we see that (3.51) is equal to 

 a C2 C12 1a ˆ grad ˆ  ˆa C2 C 1 grad ˆ 2 2 ˆ 1 C a a C1 C ˆ hV; grad ˆiV  ˆ1a ˇ.V /: 2 2

648 18. Einstein’s Equations

From here on, we take a D 1. We have (3.53)

# rw wD

C1 C2 ˆ grad ˆ  ˆˇ.w/: 2 2

This is a generalization of (3.44). If M is static, ˇ.V / D 0, and if is lightlike, # C2 D 0, so rw w D 0 in that case. Note that if M is static, then w is a constant multiple of v, defined by (3.38), and (3.53) is then equivalent to (3.54)

rv# v D

C2 ˆ grad ˆ: 2C12

In (3.54), grad ˆ is obtained from dˆ via gS . If we use g # , call the vector field so produced grad# ˆ. We have grad# f D ˆ grad f: We have established the following: Proposition 3.6. Let M D S  R be a static spacetime, with metric of the form (3.34). Let be a timelike geodesic on M , reparameterized to have the form (3.37), yielding a curve x.t/ on S , with velocity v.t/ D x 0 .t/. With respect to the rescaled metric g# D ˆ1 gS on S , this curve satisfies the equation (3.55)

rv# v D

C2 grad# ˆ: 2C12

Recall that C1 and C2 are given by (3.12)–(3.13). We mention that, while the factor C2 =C12 is constant on each orbit, it varies from orbit to orbit. For example, if at time t0 a particle moving along is “at rest,” so 0 .s0 / is parallel to Z, where t.s0 / D t0 , then C2 =C12 D ˆ.x0 /1 , where x0 D x.t0 /, as follows from (3.15).

Exercises Exercises 1–5 deal with the Kerr metric, which, in .t; r; ; '/-coordinates, is (3.56) ds2 D  where

2 2 2 2 2 sin2 '  2 2 A 2 ' d C dta sin dr C d' C 2 .r Ca2 / d a dt ; A 2  A D r 2  Kr C a2 ;

2 D r 2 C a2 cos2 ':

Here, K > 0 and a are constants. Note that the case a D 0 gives the Schwarzschild metric (2.61). 1. Show that the Kerr metric provides a solution to the vacuum Einstein equation Gjk D 0:

4. Orbits in Schwarzschild spacetime

649

2. Show that @=@t is a Killing field and hence that the Kerr metric is stationary. 3. Show that the Kerr metric is not static (if a ¤ 0). Compute the 2-form ! of (3.1). 4. Contrast the metric induced by (3.56) on surfaces t D const. with the three-dimensional Riemannian metric constructed at the beginning of this section. 5. Try to provide a “simple” derivation of the metric (3.56).

4. Orbits in Schwarzschild spacetime We want to describe timelike geodesics in the Schwarzschild metric, which (for r > K) is a static, Ricci-flat metric of the form (4.1)

ds 2 D ˆ.r/ dt 2 C ˆ1 .r/ dr 2 C r 2 d! 2 ;

ˆ.r/ D 1 

K ; r

where d! 2 is the standard metric on the unit sphere S 2 . This is of the form (3.34), with ˆ depending only on r, and gS .dx; dx/ D ˆ.r/1 dr 2 C r 2 d! 2 . Thus, by Proposition 3.6, a timelike geodesic (reparameterized) within the region r > K   has the form Q .t/ D x.t/; t , where v.t/ D x 0 .t/ satisfies the equation (3.55), namely, (4.2)

rv# v D  grad# ˆ;

D

C2 : 2C12

This involves the rescaled metric g# D ˆ1 gS , which has the form (4.3)

g # .dx; dx/ D ˆ.r/2 dr 2 C ˆ.r/1 r 2 d! 2 :

Symmetry implies that x.t/ is confined to a plane, so we can restrict attention to the associated planar problem, with (4.4)

g# .dx; dx/ D ˆ.r/2 dr 2 C ˆ.r/1 r 2 d 2 D ˛.r/1 dr 2 C ˇ.r/1 d 2 :

We use the method discussed in  17 of Chap. 1 to treat this problem. We have a Hamiltonian system of the form (4.5)

yPj D

@F ; @ j

P 1 D 

@F ; @y1

P 2 D 0;

with (4.6)

F .y1 ; 1 ; 2 / D

1 1 ˛.y1 / 21 C ˇ.y1 / 22 C ˆ.y1 /; 2 2

650 18. Einstein’s Equations

where y1 D r; y2 D . The first set of equations in (4.5) yields rP D ˆ.r/2 1 ;

(4.7)

ˆ.r/ P D L 2 ; r

where L is the constant value of 2 along the integral curve of (4.5). Now F .y1 ; 1 ; L/ D E is constant along any such integral curve. Solving for 1 and substituting into the first equation in (4.7), we have  ˆ.r/ 1=2 rP D ˙ˆ.r/ 2E  2ˆ.r/  L2 2 : r

(4.8)

We can rewrite this as (4.9)

 2 2 1=2 e C 2K  L C KL ; rP D ˙ˆ.r/ 2E r r2 r3

e D E  : E

Compare this with (17.16) of Chap. 1: (4.10)

 2K L2 1=2 rP D ˙ 2E C  2 ; r r

for the Kepler problem, with potential v.r/ D K=r. We have a shift in E, a correspondence K 7! K, and an extra term KL2 =r 3 , within large parentheses in (4.9). Next, setting u D 1=r, we have (4.11)

dr du d D r 2 ; dt d dt

parallel to (17.21) of Chap. 1, and using P D Lˆ.r/=r 2 we have (4.12)

dr du D Lˆ.r/ I dt d

hence, via (4.9), (4.13)

1=2 1 e du D 2E C 2Ku  L2 u2 C KL2 u3 : d L

Compare the Kepler problem, where dr=dt D Ld u=d, and hence, from (4.10), (4.14)

1=2 1 du D 2E C 2Ku  L2 u2 : d L

4. Orbits in Schwarzschild spacetime

651

It is useful also to consider a second-order ODE for u D u./. Squaring (4.13) and taking the -derivative, we obtain (either u0 ./ D 0 or) d 2u K 3 C u D 2 C Ku2 : d 2 L 2

(4.15)

Following [ABS], p. 207, we write this as d 2u C u D A C "u2 : d 2

(4.16)

The " D 0 case arises from the study of the Kepler problem; cf. (17.24) of Chap. 1. A phase-plane analysis of (4.16) is useful. If v D du=d, we have the “Hamiltonian system” (4.17)

du D v D @v F .u; v/; d

dv D A  u C "u2 D @u F .u; v/; d

where F .u; v/ D

(4.18)

1 2 1 2 " v C u  Au  u3 : 2 2 3

Of course, orbits for (4.18) lie on level curves F .u; v/ D E1 , bringing us back to (4.13). See Figs. 4.1–4.4. In these four figures we have, respectively " D 0;

0 < A" <

3 ; 16

3 1 < A" < ; 16 4

A" D

1 : 4

Also, in Figs. 4.2–4.3, we have p 2A 1  4A" D ˛D p ; 2" 1 C 1  4A" p 1 C 1  4A" : ˇD 2" 1

We perceive the periodicity of u as a function of , on those level curves diffeomorphic to the circle. The period is not 2, generally, if " ¤ 0, so we have precession of the perihelion. Not all the closed orbits for (4.33) depicted in Figs. 4.2–4.4 correspond to bound orbits for the solution x.t/ to (4.2). One mechanism behind this arises already in the " D 0 case. Take a level curve in Fig. 4.1 which crosses the vertical axis fu D 0g. Now u D 0 means r D 1, so as u ! 0 along such an orbit, x.t/ tends to infinity; this endures for an infinite span of time. Such situations also arise for positive values of ".

652 18. Einstein’s Equations

F IGURE 4.1 Orbits for (4.16), " D 0

F IGURE 4.2 Orbits for (4.16), 0 < A" <

F IGURE 4.3 Orbits for (4.16),

3 16

3 16

< A" <

1 4

4. Orbits in Schwarzschild spacetime

F IGURE 4.4 Orbits for (4.16), A" =

653

1 4

F IGURE 4.5 Crossing the Threshold

In addition, in the case under consideration in this section, there is another mechanism at work. Namely, consider a level curve that crosses the vertical line fu D 1=Kg, as in Fig. 4.5. From (4.9) we see that as u % 1=K (so r & K), t % 1. Now, in this case, it does not take the body “forever” to cross the threshold. When one switches to Eddington–Finkelstein coordinates (or to Kruskal coordinates), one can see the planet entering the zone r < K in finite “proper time.” The analysis of the geodesic within this region is not radically different from that done above, though there are some differences, since in this region the Killing field @=@t is not timelike. We leave it to the reader to work out the nature of the orbit in this region, but note that indeed, a body crossing the threshold will not be able to exit.

654 18. Einstein’s Equations

Let us look at the problem of determining the period p."/ of a solution w D w."; / to an ODE of the form d 2w C w D " .w/: d 2

(4.19)

This is related to (4.16) by w D u  A; a solution, let us take

d w."; 0/ D 0: d

w."; 0/ D a;

(4.20)

.w/ D .w C A/2 . To specify uniquely

If v D dw=d (and we denote this by w), P then we have the system wP D v;

(4.21)

vP D w C " .w/;

as in (4.17), and orbits lie on level curves of the function F" , given by (4.22)

1 1 F" .w; v/ D v 2 C w 2  "‰.w/; 2 2

Z ‰.w/ D

.w/ dw:

It is clear that, for " small, we have smooth, real-valued functions ."; / and '."; /, uniquely specified by w C iv D ."; /e i'."; / :

(4.23) By (4.20), we have (4.24)

."; 0/ D a;

'."; 0/ D 0:

.0; / D a;

'.0; / D :

Note also that (4.25)

Then p."/ is a smooth function of ", satisfying (4.26)

p.0/ D 2;

  ' "; p."/ D 2:

We can derive a system of ODE for ; ', as functions of . The system (4.21) implies wP C i vP D v  iw C i " .w/ D i.w C iv/ C i " .w/: Writing the left side as .d=d/.e i' / D .P  i '/e P i' and the right side as ie i' C i " . cos '/, we obtain

4. Orbits in Schwarzschild spacetime

(4.27)

655

P D " . cos '/ sin '; 'P D 1  "1 . cos '/ cos ':

A particularly significant quantity we can compute is p 0 .0/. By (4.26), we have p 0 .0/

@' @' .0; 2/ C .0; 2/ D 0; @ @"

so (4.28)

p 0 .0/ D 

@' .0; 2/: @"

To compute the right side of (4.28), write (4.29)

 D a C "1 ./ C ;

' D  C "'1 ./ C :

Substituting into (4.27), we obtain (4.30)

P1 D  .a cos / sin ;

'P1 D 

1 .a cos / cos : a

Also, from (4.24) we have '1 .0/ D 0, so (4.31) In the case

p 0 .0/ D '1 .2/ D

1 a

Z

2

.a cos / cos  d: 0

.w/ D .w C A/2 , we can evaluate the integral, to get p 0 .0/ D 2A:

(4.32)

The integral that arises in (4.31) is often interpreted as an average, and the calculation above is sometimes said to involve the “method of averaging.” For more on this topic, one can see [SV]. The accuracy achieved when these formulas were applied to the calculation of the precession of the perihelion of the planet Mercury–or rather that part of it not attributable to perturbations produced by the other planets–provided early positive evidence in favor of Einstein’s theory of gravity. We end this section with a remark on the value of K in (4.1), in terms of Newtonian concepts. Newtonian theory should be accurate for a planetary orbit on which r is large and the velocity of the planet is small. Let us evaluate the quantity , defined in (4.2). We have (4.33)

 D

C2 1 hT; T i D ; 2 2 hT; Zi2 2C1

656 18. Einstein’s Equations

by (3.12)–(3.13). Now, “small velocity” means T is essentially parallel to Z; hence hT; T i  hT; Zi2 , and so 

(4.34)

1 : 2

If also r is large, then (4.9) becomes

(4.35)

 K 1  e K L2 1=2  2 2E C rP  ˙ 1  r r r h 2 e 2 C 2K 2 i1=2 L K  2EK e C .1  4E/ e   ˙ 2E : r r2

e << 1. Also A" << 1, For the Newtonian approximation to be valid, we need E with A" D 3K 2 =.2L2 /; in other words, K 2 << L2 . Thus, (4.36)

 2 1=2 eCK  L rP  ˙ 2E : r r2

If we compare this with the formula (4.10) arising from the Kepler problem, we see one difference; (4.10) has 2K instead of K. Since, in appropriate units, the K in (4.10) is the gravitational mass of the attracting body (e.g., the Sun), we conclude that in (4.36), K should be twice the gravitational mass. Thus, it is common to write the Schwarzschild metric as (4.37)

 2M  2  2M 1 2 ds2 D  1  dt C 1  dr C r 2 d! 2 r r

and identify M as the “mass” of the solution, as seen at infinity.

Exercises 1. In Fig. 4.3, consider the orbit with .ˇ; 0/ as forward and backward limit points. Assume ˇ < 1=K. Interpret the behavior of the corresponding solution x.t/ of (4.2). 2. Study timelike geodesics for the metric (4.1) inside fr < Kg. 3. Study the behavior of timelike geodesics on a spacetime with a Kerr metric, given by (3.56). One might consult the treatment in [Chan2].

5. Coupled Maxwell–Einstein equations The coupled Maxwell–Einstein equations are (5.1)

Gjk D 8Tjk ;

d F D 0;

d F F D 0;

5. Coupled Maxwell–Einstein equations

657

in a spacetime in which there is an electromagnetic field F , but no matter. The last two equations in (5.1) are the Maxwell equations, discussed in  11 of Chap. 2. The stress-energy tensor of F is given by (1.4), that is, (5.2)

Tjk D

 1  ` 1 Fj Fk`  Fi ` F i ` gjk : 4 4

We look for spherically symmetric solutions to (5.1). Thus, as in  2, we first take the metric to have the form (2.4), so that Gjk is given by (2.51)–(2.55). The hypothesis that F is spherically symmetric restricts its form severely. In fact, we can write F D d A C c.t; r/; where A is a 1-form and  is the standard area form on S 2 . The equation d F D 0 implies c.t; r/ D c, constant. If we assume the electromagnetic field decays to zero as r ! 1, then c D 0. We will make this hypothesis. By averaging with respect to the SO.3/ action, we can arrange that A be invariant under this action. This implies that, for each orbit O of SO.3/, the pull-back jO A 2 ƒ1 .O/ vanishes. Indeed, ƒ1 .O/ has no SO.3/-invariant elements other than zero; equivalently, the sphere S 2 has no SO.3/-invariant vector fields, other than zero. Hence, A has the form A D a.t; r/ dt C b.t; r/ dr;

(5.3) so (5.4)

FD

 @b @t



@a  dt ^ dr D E.t; r/ dt ^ dr: @r

Thus, the only nonzero components of Fjk are F01 D F10 . We deduce that all off-diagonal components of Tjk vanish and that 4T00 D (5.5) 4Tjj

1  2 1 e E ; 4T11 D  e  E 2 ; 2 2 1 .C/ 2 D e E gjj if j D 2; 3: 2

In particular, since T10 D 0, it follows that G10 D 0, so (2.52) implies @=@t D 0, that is,  D .r/. If we exploit G00 D 8T00 and G11 D 8T11 , using (2.51) and (2.53), we get (5.6)

E.t; r/2 D 

  e  e  1  rr  e  D  2 1 C rr  e  : 2 r r

658 18. Einstein’s Equations

In particular, @r . C / D 0. Thus, as in the argument following (2.56), we can fix the t-coordinate so that  C  D 0, and hence the metric is again in the static form (2.57): (5.7)

ds2 D e .r/ dt2 C e .r/ dr2 C r 2 d! 2 :

Now the right side of (5.6) is a function of r alone, so E D E.r/; that is, the electromagnetic field F has the form F D E.r/ dt ^ dr:

(5.8)

Then the equation d F F D 0 is equivalent to @r e  e  r 2 r 2 D r 4 , so we have E.r/ D

(5.9)

p  gF 01 D 0, where g D

q ; r2

for some constant q. If we substitute this formula for E in (5.6), we obtain the ODE (5.10) If we set (5.11)

 q 2  r 0 .r/ D 1  2 e   1: r .r/ D e .r/ , this becomes  d  q 2 r C 1 .r/ D 1  2 ; dr r

a nonhomogeneous Euler equation with general solution q 2 =r 2 , so e .r/ D 1 

(5.12)

.r/ D 1  K=r C

Q2 K C 2; r r

where we have set Q2 D q 2 . Hence we obtain the metric (5.13)

  Q2  Q2 1 2 K K ds 2 D  1  C 2 dt 2 C 1  C 2 dr C r 2 d! 2 : r r r r

This is known as the Reissner–Nordstr¨om solution. It becomes the Schwarzschild solution when Q D 0. It remains to check that G22 D 8T22 , which by (5.5) is equal to E.r/2 r 2 D 2 q =r 2 . In this case, (2.54) yields G22 D

 1 2   00 2 r e  .r/ C  0 .r/ C  0 .r/ ; 2 r

6. Relativistic fluids

659

so we need (5.14)

2 2q 2  00 .r/ C  0 .r/2 C  0 .r/ D 4 e .r/ : r r

This can be obtained from (5.10) in a fashion similar to the deduction of (2.60) from (2.58), so we can conclude that (5.8), (5.9), (5.13) is our desired spherically symmetric solution to the Maxwell–Einstein equations (5.1).

Exercises 1. Using the method of  3 and 4, study the timelike geodesics (i.e., possible paths of an uncharged particle in free fall) for a spacetime with the Reissner–Nordstr¨om metric (5.13). Exercises 2–4 deal with the Kerr–Newman metric, given in .t; r; ; '/-coordinates by

(5.15) ds2 D  where

2 2 2 2 2 sin2 '  2 2 A dta sin2 ' d C dr C d' C 2 .r Ca2 / d a dt ; 2 A   A D r 2  Kr C a2 C Q2 ;

2 D r 2 C a2 cos2 ':

Here, K > 0; a, and Q are constants. Note that the case a D 0 gives the Reissner– Nordstr¨om metric (5.13) while the case Q D 0 gives the Kerr metric (3.56). 2. Show that (5.15), together with FD (5.16)

Q 2 .r  a2 cos2 '/ dr ^ .dt  a sin2 ' d/ 4   2Q C 4 ar.cos '/.sin '/ d' ^ .r 2 C a2 / d  a dt ; 

provides a solution to (5.1). 3. Show that (5.15) is stationary, but not static, if a ¤ 0. 4. Study the timelike geodesics on a spacetime with the metric (5.15).

6. Relativistic fluids In general relativity, the motion of an ideal fluid is governed by Einstein’s equation

(6.1)

Gjk D 8Tjk ;

where Tjk has the form (6.2)

Tjk D . C p/uj uk C pgjk :

660 18. Einstein’s Equations

This is the stress-energy tensor of a fluid, with 4-velocity u, satisfying hu; ui D 1. The pressure is p, and the density is , both of these quantities being measured by an observer traveling with velocity u. The condition that div G D 0 leads to fluid equations. In fact, a computation gives (6.3)

div T D . C p/ru u C Lu . C p/ u C . C p/.div u/u C grad p:

Note that, since hu; ui D 1; u ? ru u. Thus we can separate (6.3) into components orthogonal to and parallel to u and conclude that div T D 0 if and only if

(6.4)

. C p/ru u D ….u/ grad p; div.u/ D p div u;

where ….u/ denotes projection orthogonal to u with respect to the Lorentz metric. The case p D 0 is that of a dust; then (6.4) reduces to (6.5)

ru u D 0;

div.u/ D 0:

For an isentropic fluid, the pressure p is a function of , so there is an equation of state p D p./:

(6.6)

One can compare (6.4) with the nonrelativistic fluid equations, (5.12)–(5.13), of Chap. 16, which are, (with X 00 ./ D rp=),  (6.7)

 @v

 C rv v D rp;

@t @ C div.v/ D 0: @t

This is an approximation to (6.4) when gjk  jk (the Minkowski metric), u  .1; v/; jvj << 1, and jpj << . As in the study of nonrelativistic fluids in Chaps. 16 and 17, it is of interest to consider the vorticity of a fluid flow. First, if uQ is the 1-form corresponding to u via the Lorentz metric, we consider the 2-form (6.8)

Q D d uQ :

We can express this in terms of the linear map (6.9)

„u W Tp M ! Tp M;

„u X D rX u:

6. Relativistic fluids

661

In fact, (6.10)

Q

.X; Y / D hrX u; Y i  hrY u; X i D h.„u  „u /X; Y i:

In particular, Q D 0 if and only if „u D „u . Note that since hu; ui D 1, we have 0 D X hu; ui D 2hrX u; ui, so h„u X; ui D 0, that is, „u W Tp M ! †p ;

(6.11)

†p D .up /? :

We also define Au W †p ! †p ;

(6.12)

ˇ Au D „u ˇ†p :

Part of the significance of Au is in determining whether the subbundle † of TM is integrable, as shown by the following: Lemma 6.1. The bundle † is integrable if and only if Au D Au . Proof. If X and Y are sections of †, then (6.13)

  uQ ŒX; Y D d uQ .X; Y / D h„u X; Y i  hX; „u Y i;

the last identity by (6.10). By (6.11)–(6.12), we obtain ˛   ˝ uQ ŒX; Y D .Au  Au /X; Y ;

(6.14)

whenever X and Y are sections of †. The lemma follows, by Frobenius’s theorem. It is useful to remark that the following formula holds: div u D Tr Au ;

(6.15)

whenever hu; ui D 1. To see this, pick fej W 1  j  3g to give a local orthonormal frame field for †. We have

(6.16)

div u D

3 X

hrej u; ej i  hru u; ui D

j D1

3 X

hrej u; ej i;

j D1

the last identity holding since 2hru u; ui D uhu; ui D 0. This gives (6.15). The vorticity is the vector field W , defined as follows. If ! is the volume form on M (a 4-form), W is uniquely specified by the identity (6.17)

W ! D uQ ^ d uQ :

662 18. Einstein’s Equations

Note that if we wedge both sides of (6.17) with uQ and use the anticommutator identity ^uQ W C W ^uQ D hW; uQ iI , we obtain (6.18)

hW; uQ i D 0;

i.e., Wp 2 †p :

We can restate Lemma 6.1 in terms of the behavior of W : Lemma 6.2. The bundle † is integrable if and only if W D 0. Proof. By (6.13), we see that † is integrable if and only if (6.19)

d uQ .X; Y / D 0;

8 X; Y 2 †p ;

for all p 2 M . If we pick the basis ff0 D uQ ; f1 ; f2 ; f3 g of Tp M to be the dual basis to fu; e1 ; e2 ; e3 g, and write d uQ .p/ as a linear combination of fj ^ fk , we see that (6.19) holds if and only if d uQ .p/ D uQ ^ ˛, for some ˛ 2 Tp ; in turn this holds if and only if uQ ^ d uQ D 0, which holds if and only if W D 0. We can derive a “vorticity equation,” via calculations parallel to those used in (5.21)–(5.26) of Chap. 16. First, (6.3)–(6.4) imply (6.20)

. C p/ru uQ C .Lu p/Qu C dp D 0:

Next, we have Lu uQ  ru uQ D .1=2/d hu; ui D 0, so Lu uQ C B uQ C dq D 0;

(6.21) where, assuming p D p./, (6.22)

dq D

dp ; Cp

BD

Lu p D Lu q: Cp

Applying the exterior derivative to (6.21) yields (6.23)

Lu Q D d.B uQ /:

Q If we start with We next produce an equation for Lu .Qu ^ /. Q D uQ ^ Lu Q C .Lu uQ / ^ ; Q Lu .Qu ^ / and use (6.21)–(6.23), we obtain (6.24)

Q D d.q /: Q Lu .Qu ^ /

6. Relativistic fluids

663

We can also produce an equation involving Lu W . Note the following characterization of W , equivalent to (6.17): (6.25)

Q ^ ˛ D hW; ˛i!; .Qu ^ /

for every 1-form ˛. Beginning with Q ^ ˛ D Lu .Qu ^ Q ^ ˛/  uQ ^ Q ^ Lu ˛; Lu .Qu ^ / and making a computation parallel to that of (5.25)–(5.26) of Chap. 16, one obtains (6.26)

Q Lu W C .div u/W D #.q /;

Q is uniquely defined by where the vector field #.q / (6.27)

Q ˛i! D d.q / Q ^ ˛; h#.q /;

for all 1-forms ˛. The equation (6.26) can be compared with (5.26) of Chap. 16; the primary difference is that the right side of (5.26) is zero. Q D d.Qu ^ dq/ and #.q / Q D #.Qu ^ dq/, so another way to Note that d.q / write (6.24) is as   Q D d uQ ^ dp ; (6.28) Lu .Qu ^ / Cp and another way to write (6.26) is as (6.29)

Lu W C .div u/W D #

 uQ ^ dp  : Cp

We can produce a vorticity equation of A. Lichnerowicz as follows. Note that (6.30)

.Lu C B/Qu D e q Lu .e q uQ /;

so (6.21) yields (6.31)

Lu .e q uQ / C d.e q / D 0;

and applying the exterior derivative gives (6.32)

Lu  D 0;

 D d w; Q

wQ D e q uQ :

Note that  D e q . Q C dq ^ uQ /, and hence (6.33)

Q uQ ^  D e q uQ ^ :

664 18. Einstein’s Equations

We can rewrite the form (6.31) of the first part of the Euler equations (6.4), using Lu .e q uQ / D u d.e q uQ /  d.e q /. Thus (6.31) is equivalent to u  D 0:

(6.34)

The second part of the Euler equations (6.4) can be rewritten as div u D 

(6.35)

Lu  ; Cp

which is also equivalent to div w D Lw ‰./;

(6.36) with (6.37)

w D e q u;

‰./ D log e 2q . C p/:

This in turn is equivalent to (6.38)

d F wQ D Lw ‰:

Note that if we multiply (6.34) by e q and then apply the exterior derivative, we obtain the following variant of (6.32): (6.39)

Lw  D 0:

One relation between uQ ^ Q and  is given in (6.33). If the Euler equation, in the form (6.34), holds, we can deduce another relation, via the anticommutator relation ^uQ u C u ^uQ D I . Applying this to  and using (6.33), we obtain (6.40)

Q u  D 0 H)  D e q u .Qu ^ /:

Putting (6.33) and (6.40) together, we get (6.41)

 D 0 ” uQ ^ Q D 0;

whenever  satisfies (6.34). This enables us to prove the following: Proposition 6.3. Assume u solves the relativistic Euler equation. Let S be a spacelike hypersurface, and assume the vorticity W vanishes on O  S . Then W vanishes on the union U of the integral curves of u through points in O. Proof. That  vanishes on U follows from (6.41) and (6.39); applying (6.41) again, we have uQ ^ Q D 0 on U, hence W D 0 on U.

6. Relativistic fluids

665

Note incidentally, that, when u  D 0,  D e q W u !:

(6.42)

Next we will derive a second-order PDE for w. Q To do this, we use (6.32) and (6.38) to compute w, Q where  D dd F  d F d . We have wQ D d.Lw ‰/  d F :

(6.43) It is convenient to write (6.44)

‰ D ˆ.e 2q /;

e 2q D hw; wi;

so (6.45)

Lw ‰ D 2ˆ0 .hw; wi/ hrw w; wi:

˝ ˛ Since X; d hw; wi D X hw; wi D 2hrX w; wi, we have (6.46)

Q d hw; wi D 2w r w:

Similarly, (6.47)

Q C .rw w/ r w; Q d hrw w; wi D w r.rw w/

so (6.48)

Q C A.w; rw/; d.Lw ‰/ D 2ˆ0 w r.rw w/

where (6.49)

Q A.w; rw/ D 2ˆ0 .rw w/ r wQ C 4ˆ00 hrw w; wi w r w:

Hence we have the coupled system (6.50)

Q C A.w; rw/ D d F ; wQ  2ˆ0 w r.rw w/

A computation using (6.44), (6.37), and (6.22) gives (6.51)

ˆ0 D

0 .p/  1 : 2e 2q

In component notation, Q D w r.rw w/ Q is given by (6.52)

Q` D .w j w k wj Ik /I` D w j w k wj IkI` C R` ;

Lw  D 0:

666 18. Einstein’s Equations

where R` involves only first-order derivatives. Now (6.53)

w  D 0 H) w j wj I` D w j w`Ij :

Using this, one sees that (6.54)

e` ; Q` D w j w k w`Ij Ik C R

e` involves only first-order derivatives. Thus, we replace the system where R (6.50) by (6.55)

2 e wQ  2ˆ0 rw;w wQ C A.w; rw/ D d F ;

Lw  D 0:

The left side of the first equation in (6.55) is a second-order, quasi-linear operator acting on w; Q its principal symbol is scalar, and provided 0 .p/  1 (i.e., 0 provided p ./  1), it is hyperbolic, and every hypersurface that is spacelike for the Lorentz metric gjk is also spacelike for this operator. Of course, we have d F  on the right, and a second equation involving w and . Since Lw  involves first-order derivatives of w as well as of , the question of well-posedness of the initial-value problem for (6.55) requires further investigation. Following [CBr3], we clarify this by applying rw to both sides of the first equation. Since the operator rw has scalar principal symbol, (6.56)

rw d F  D d F rw  C B0 .w; rw; r/:

Meanwhile, (6.57)

.rw /.X; Y / D .Lw /.X; Y /  .rX w; Y /  .X; rY w/;

so (6.58)

Lw  D 0 H) rw d F  D B.D 2 w; r/:

Thus we replace the system (6.55) by (6.59)

2 /wQ  e B.D 2 w; r/ D 0; rw .  2ˆ0 rw;w

Lw  D 0;

which is analytically more tractable. Note that the first equation here contains no higher derivatives on  than the first equation of (6.55). Now the fluid velocity is also coupled to the gravitational field, via (6.1)–(6.2), so all of these equations have to be treated simultaneously. We will discuss this further in  8. In preparation for that, let us mention that the first equation in (6.59), when written in local coordinates, involves the metric tensor and derivatives of the metric tensor, up to third order.

6. Relativistic fluids

667

We next construct some examples of static, spherically symmetric solutions to (6.1)–(6.2), which provide models for stable stars. We look for a solution involving a metric of the form ds 2 D e .r/ dt 2 C e .r/ dr 2 C r 2 d! 2 ;

(6.60)

and use x0 D t; x1 D r, as in  2. For the fluid to be static, we need u0 D e =2 ;

(6.61)

u1 D u2 D u3 D 0;

so Tjk D . C p/e  ıj 0 ık0 C pgjk :

(6.62)

Using (2.51)–(2.55), we see that (6.1) is equivalent to the following set of equations, recording Gjj D 8Tjj for j D 0; 1, and 2, respectively: 1  rr  e  D 8r 2 e  ; (6.63) rr

1 C rr  e  D 8pr 2 e  ; 1 1 1 C r2 C .r  r /  r r D 16p e  : 2 r 2

If we assume p and  are related by an equation of state, p D p./, as in (6.6), then (6.63) is a system of three equations, in three unknowns: .r/; .r/, and p.r/. The system can be simplified a bit. If we apply e  .d=dr/e  to the middle equation in (6.63) and subtract r times the last equation, we get (6.64)

 0 . 0 C 0 / D 16re  p 0 :

Meanwhile, taking the difference of the first two equations in (6.63) gives (6.65)

 0 . 0 C 0 / D 8re  .p C / 0 :

Comparing these two equations, we have (6.66)

1 p 0 .r/ D  .p C / 0 .r/: 2

It is instructive to rederive this last equation, as a consequence of the vanishing of T jk Ik . In fact, if u is given by (6.61), then div u D 0, so by (6.3) the vanishing of div T is equivalent to (6.67)

. C p/ru u C Lu . C p/ u C grad p D 0:

668 18. Einstein’s Equations

Now uj Ik D @k uj C  j `k u` , where  j `k is given by (2.9). When u has the form (6.61), then uk uj Ik D u0 uj I0 D .@0 uj C  j 00 u0 /u0 . Also, by (2.9),  j 00 D U j  00 C B j 00 , and by (2.10), B j 00 D 0, while (2.43) implies (6.68)

U

 0 00 D 0;

U

 1 00 D

1 r e  : 2

Thus, when u has the form (6.61), uk uj Ik D

(6.69)

1 r e  ıj1 : 2

Now, in the static, spherically symmetric case,  D .r/ and p D p.r/, so clearly Lu . C p/ D u0 @0 . C p/ D 0, and the only nontrivial component of the left side of (6.67) is (6.70)

T 1k Ik D

1 . C p/ 0 .r/e  C p 0 .r/e  : 2

Thus we again derive (6.66). We can use (6.66) to eliminate r from the second equation in (6.63). The result, together with the first equation in (6.63), gives a 2  2 system for .r/ and p.r/: 1  e  8re  ; r 1  e 2 p 0 .r/ D  8re  p; pC r 0 .r/ D

(6.71)

under the hypothesis that  D .p/. It is common to replace .r/ by a function giving the metric (6.60) a form more resembling (2.61). We define M.r/ by (6.72)

 2M.r/ 1 e .r/ D 1  ; r

so that M.r/ D r.1  e  /=2. The system (6.71) takes the form (6.73)

M 0 .r/ D 4r 2 ;

p 0 .r/ D 

.p C /.M C 4r 3 p/ ; r.r  2M /

known as the Oppenheimer–Volkov equation. In the Newtonian limit, p << ; 4r 3 p << M , and 2M << r, and these equations become (6.74)

M 0 .r/ D 4r 2 ;

p 0 .r/ D 

M : r2

Exercises

669

In fact, this is precisely the equation for a static fluid in Newtonian mechanics, in which the force of gravity exactly balances the force due to the pressure gradient. In such a case, M.r/ is the gravitational mass of the matter enclosed in the ball fjxj  rg in R3 . The relation between density and gravitational mass, given by the first equation of (6.74) (in the limit when Newtonian mechanics applies) serves to identify the constant  in Einstein’s equation (1.1), with the gravitational constant of Newtonian theory. The Oppenheimer–Volkov system (6.73) has consequences significantly different from the Newtonian approximation (6.74), for very dense objects. For example, it leads to theoretical upper bounds on the mass of a stable neutron star which are stronger than those obtainable from (6.74). Discussions of this can be found in [Str, Wa, Wein]. In treating (6.73), it is natural to set M.0/ D 0 and let p.0/ D p0 run over a range of values. We assume that p 0 ./ > 0 in the equation of state, so  D .p/ in (6.73), with 0 .p/ > 0. Despite the vanishing of the denominator in the second equation of (6.73) at r D 0, there is no real singularity there. Indeed, one easily verifies that 4 0 r 3 C O.r 5 /; 3 2 .p0 C 0 /.3p0 C 0 /r 2 C O.r 4 /; p.r/ D p0  3

M.r/ D (6.75)

with 0 D .p0 /. For a numerical treatment of (6.73), it is convenient to use (6.75) for r very small, and then use a difference scheme, to produce an approximate solution for larger r.

Exercises 1. Assume u.p/ ¤ 0 and W .p/ ¤ 0. Using (6.42), show that the linear span Lp of u.p/ and W .p/ is given by Lp D fv 2 Tp M W v  D 0g: Using (6.32), show that the resulting subbundle L of TM is invariant under the flow generated by u (in regions where u and W are both nonvanishing). In light of this, derive analogues of the Kelvin and Helmholtz theorems, established for nonrelativistic fluids in  5 of Chap. 16 and  1 of Chap. 17. 2. Consider a static, spherically symmetric, charged fluid and associated electromagnetic field. Discuss the equations of motion. 3. Compute the second terms in the power-series expansions of M.r/ and of p.r/ about r D 0 in (6.75), namely, the coefficients of r 5 and of r 4 , respectively. 4. Write some computer programs to solve numerically the Oppenheimer–Volkov system (6.73), with initial data M.0/ D 0; p.0/ D p0 . Try various equations of state, such as (6.76)

p./ D k4=3 ;

670 18. Einstein’s Equations with k D const., used in models of white dwarf stars. For another example, fix 0 2 .0; 1/, and use (6.77)

p./ D 13 ; p./ D k

4=3

4=3

for   0 ; for   0 ;

;

1=3

=3). with k picked so 0 =3 D k0 (i.e., k D 0 See [Str] and [Wein] for discussions of variants of (6.77) used in models of neutron stars. 5. Suppose the equation of state were p./ D

(6.78)

 3

for all  2 RC . Produce a solution to (6.73) of the form (6.79)

M.r/ D Ar;

p.r/ D Br 1 ;

for certain constants A; B. Relate this to the assertion that (6.78) cannot be a realistic equation of state at low density.

7. Gravitational collapse In many cases, solutions to Einstein’s equations, particularly coupled to matter, develop singularities in finite time, sometimes as part of the phenomenon of gravitational collapse. We begin this section with some simple examples in which gravitational collapse occurs. Let us consider a homogeneous, isotropic universe, containing a fluid with uniform density and pressure. We write the metric as (7.1)

ds 2 D dt 2 C A.t/g S ;

where gS is a constant-curvature metric on a 3-manifold S . The stress-energy tensor has the form (6.2), with (7.2)

 D .t/;

p D p./;

u D .1; 0; 0; 0/:

We can compute the Einstein tensor of this metric using formulas from  2. We have M D U  S , where dim U D 1 and dim S D 3. From (2.22) we have (7.3)

Ricjk D RicSjk C Fjk ;

and Fjk is given by (2.28), with # D log A.t/. Hence (keeping in mind (2.20)) we have (7.4)

n o 3 1 F00 D  A2 AA00  .A0 /2 ; 2 2

7. Gravitational collapse

671

and, for 1  j; k  3, n o 1 1 S : Fjk D  A1 AA00  .A0 /2 gjk 2 2

(7.5)

By (2.29), the scalar curvature of M is S D A1 SS C ˇ;

(7.6) where

ˇ D g jk Fjk D 3A1 A00 :

(7.7)

Then, by (2.36), the Einstein tensor of M is given by 1 1 S C A1 SS ıj 0 ık0 C Fjk  ˇgjk : Gjk D Gjk 2 2

(7.8) In particular, (7.9)

G00 D

1 1 1 1 3 A SS C F00 C ˇ D A1 SS C .A1 A0 /2 ; 2 2 2 4

and, for 1  j; k  3, (7.10)

o n 3 1 S S S S C Fjk  A00 gjk D Gjk  A00  A1 .A0 /2 gjk : Gjk D Gjk 2 4

Now, if S has constant sectional curvature (and hence constant scalar curvature SS ), then S Ricj k must be a scalar multiple of ı j k , and the multiple must be SS =3, so 1 S S D  SS gjk : Gjk 6

(7.11)

If Tjk is given by (7.2), then Einstein’s equations yield the following pair of equations for A.t/ and .t/:

(7.12)

3  A0 2 1 SS D 8; C 4 A 2 A A00 

SS 1 .A0 /2 C D 8Ap./: 4 A 6

672 18. Einstein’s Equations

To put this in a slightly different form, we set A.t/ D R.t/2 and note that if S has constant sectional curvature K, then SS D 6K. The we can rewrite (7.12) as

(7.13)

8 R2 ; 3 2RR00 C .R0 /2 C K D 8p./R2 : .R0 /2 C K D

It is useful to perform some elementary operations on these equations. Note that taking the difference yields (7.14)

3

R00 D 4. C 3p/; R

while multiplying the first equation in (7.13) by 3 and taking the difference yields (7.15)

d  R0  K D 2  4. C p/: dt R R

On the other hand, applying d=dt to the first part of (7.13) gives (7.16)

R d R0 d  R0  D 6K 3 C 6 ; dt R R dt R

and substituting (7.15) into (7.16) then gives (7.17)

d d .R3 / D p .R3 /: dt dt

One can also deduce (7.17) from the identity T jk Ik D 0 (with j D 0), in a fashion analogous to the derivation of (6.66) via (6.67)–(6.70). In turn, (7.17) implies the relation (7.18)

dR 1 d D ; R 3  C p./

which gives R as a function of , or  as a function of R. Let us fix R0 D R.t0 / and 0 D .t0 /. We can now regard (7.14) as a dynamical equation for R: (7.19)

4 R00 D  '.R/; 3

'.R/ D . C 3p/R;

given  and p./ as functions of R, and then the first part of (7.13) can be regarded as the conservation law: (7.20)

1 0 2 4 .R /   .R/ D K; 2 3

.R/ D R2 :

7. Gravitational collapse

673

In other words, if we write (7.19) as a first-order system: (7.21)

4 V 0 D  '.R/; 3

R0 D V;

then the orbits lie on level curves (7.22)

F .V; R/ D K;

F .V; R/ D

1 2 4 V   .R/: 2 3

Thus we will examine these level curves. To do this, we look at (7.18), which gives (7.23)

Z

R D R0 e . /=3 ;

./ D



0

d :  C p./

If we assume that the equation of state satisfies (7.24)

p.0/ D 0;

p 0 ./  1;

then (if say 0 D 1) for   1, we have .1=2/ log   ./  log , so R0 1=3  R  R0 1=6 , with reversed inequalities for   1. Hence .R0 =R/3    .R0 =R/6 for   1, so .R/ has the property (7.25)

R  R0 H)

R03  R

.R/ 

R06 : R4

R  R0 H)

R06  R4

.R/ 

R03 : R

Similarly, (7.26)

In Fig. 7.1 we depict the level curves of F .V; R/ and the resulting phase-plane portrait of the system (7.21). Note that all the orbits .R.t/; V .t// in the region V < 0 have the property R.t/ & 0; V .t/ & 1, as t increases. In particular, if V .t0 / < 0, then R0 .t/ is bounded away from zero for t  t0 , so R.t/ must reach zero at a finite time t1 > t0 Š Similarly, if V .t0 / > 0, then R.t/ must vanish for some finite t < t0 . Of course, at R D 0;  D C1, and the metric is singular. If K > 0, one must have a singularity both at a finite time before t0 and at a finite time after t0 . If K  0, there must be such a singularity either at some finite t < t0 or at some finite t > t0 . That such complete collapse must occur is not surprising in the case of a dust, where p D 0. However, it is striking that, given any realistic equation of state, the pressure cannot prevent the collapse to infinite density, even in the case K > 0 and the total amount of matter in the universe is finite.

674 18. Einstein’s Equations

F IGURE 7.1 Orbits for (7.21)

One can cut and paste a portion of some of the spacetimes described above with a portion of Schwarzschild spacetime to give a model of collapse of a star, with spherical symmetry. The collapse of a rotating star is much more complicated. For further discussion, see [MS] and references given therein. It is worth mentioning the widely held belief that such a collapse, generally accompanied by gravitational radiation, should rapidly approximate a Kerr solution. There are a number of general results on the inevitability of gravitational collapse, accompanied by singularity formation. A detailed treatment is given in [HE], and we mention only one relatively simple case here. We show that under certain mild conditions, an irrotational dust must give rise to a singularity in spacetime. We begin with a pair of geometrical lemmas. Lemma 7.1. If u is a vector field satisfying (7.27)

hu; ui D 1;

ru u D 0;

Au D Au ;

then (7.28)

Lu .div u/ D Ric.u; u/  Tr A2u :

Proof. Let fej W 1  j  3g be a local orthonormal frame field for †, the bundle of 3-planes orthogonal to u. Then (6.16) yields (7.29)

Lu .div u/ D hru rej u; ej i C hrej u; ru ej i:

7. Gravitational collapse

675

Here and below, we use the summation convention. Now write the first term on the right side of (7.29) as (7.30)

hru rej u; ej i D hrej ru u; ej i C hrŒu;ej  u; ej i C hR.u; ej /u; ej i D hAu Œu; ej ; ej i  Ric.u; u/;

using ru u D 0. If Au D Au , we have (7.31)

hrej u; ru ej i  hAu Œu; ej ; ej i D hAu ej ; ru ej C Œu; ej i D hAu ej ; Au ej i  2hAu ej ; ru ej i;

since Œu; ej D ru ej  rej u. The expression hAu ej ; Au ej i (summed over j ) is equal to Tr A2u if Au D Au . Furthermore, hAu ej ; ru ej i D Ajk hek ; ru ej i; where .Ajk / is the matrix of Au , with respect to the basis fej g, which is symmetric. Since hek ; ru ej i is antisymmetric in .j; k/, we deduce that hAu ej ; ru ej i D 0 (summed over j ). This proves (7.28). Recall from Lemma 6.1 that Au D Au is an integrability condition, and, by Lemma 6.2, it is equivalent to vanishing vorticity. Note that if Au D Au , then Tr A2u 

1 .Tr Au /2 ; 3

as can be seen by putting Au in diagonal form. Using (6.15), we can deduce the following: Lemma 7.2. Under the hypotheses of Lemma 7.1, (7.32)

1 Lu .div u/   .div u/2  Ric.u; u/: 3

Proposition 7.3. Suppose M is a spacetime containing a dust, so the Einstein equations hold, with Tjk given by (7.33)

Tjk D uj uk ;

with   0 and hu; ui D 1. Assume that the motion of the dust is irrotational. Finally, assume that, for some p 2 M , (7.34)

div u.p/ D b < 0:

676 18. Einstein’s Equations

Let be the orbit of u (a unit-speed geodesic) such that .0/ D p. If ./ is defined for  2 Œ0; a/, then a  3=b. Furthermore, if a D 3=b, then (7.35)

   ./ ! C1

  and S ./ ! C1;

as  % a:

Proof. Under our hypotheses, Corollary 7.2 applies, so we have (7.32). Also, by (1.61), Ric.u; u/ D 4;

(7.36) which is  0. Hence,

1 f ./ D div u. .// H) f 0 ./   f ./2 ; 3

(7.37)

so the hypothesis (7.34) implies f ./  

(7.38)

3b ; 3  b

for 0   < a, provided f ./ is smooth on Œ0; a/. This shows that a  3=b. Also, if a D 3=b, then f ./ ! 1 as  % a, in such a fashion that Z

a

(7.39)

f ./ d  D 1:

0

To conclude the proof of (7.35), note that, given a dust, by (6.5) we have div.u/ D 0, hence Lu  C  div u D 0, or Lu .log / D div u;

i.e.,

d log . .// D f ./: d

Hence (7.39) implies the first part of (7.35). By (1.59) we have S D 8; so the second part of (7.35) also holds.

Exercises 1. Obtain more explicit solutions to (7.13) for a dust (i.e., when p D 0). (Hint: Use (7.17).) 2. Assume p D 0. Let M have a metric of the form (7.1), by solving (7.12). Let B be a ball in the 3-manifold S, used in (7.1), and let  be the subset of M formed by timelike geodesics through @B, orthogonal to S. Glue  to an appropriate piece of Schwarzschild spacetime (whose boundary is also swept out by timelike geodesics) so as to model the collapse of a dust ball. In what sense do (6.1) and (6.2) hold on a neighborhood of the interface?

8. The initial-value problem

677

3. Consider the behavior of a homogeneous, isotropic universe filled with a uniform fluid (i.e., consider solutions to (7.12)), when one does not require that the equation of state satisfy p 0 ./  1.

8. The initial-value problem To begin, we look at the initial-value problem for the empty-space Einstein equations, which can be written as Ricjk D 0:

(8.1)

In our first formulation of the initial-value problem, we try to prescribe, on a 3-dimensional surface S D fx0 D 0g  M , the initial data (8.2)

ˇ ı gjk ˇS D g jk ;

ı ˇ @0 gjk ˇS D k jk :

Here, @0 D @=@x0 . Take M open in R4 ; S D M \ fx0 D 0g. We will see shortly that compatibility conditions will be required on these data. In local .x0 ; : : : ; x3 /coordinates we have Ricjk D (8.3)

1 `m  g @` @m gjk  @j @k g`m 2  C @k @m g`j C @` @j gkm C Mjk .g; rg/

D Ljk .g; D/g C Mjk .g; rg/: Now it is easy to see that S D fx0 D 0g is characteristic for L. This results from the coordinate independence of the condition (8.1). We can get around this problem by choosing coordinate systems of a special nature. One way to do this is the following, used by [CBr2], following [Lan]. Rewrite (8.3) as (8.4)

1 1 1 Ricjk D  g `m @` @m gjk C gj ` @k ` C gk` @j ` C Hjk .g; rg/; 2 2 2

where (8.5)

` D g jk  ` jk D

 1 jk `m  g g @k gj m C @j gkm  @m gjk ; 2

and the  ` jk are the Christoffel symbols for the metric tensor .gjk /, in the coordinates .x0 ; : : : ; x3 /. If  is the Laplace–Beltrami operator defined by the Lorentz metric .gjk /, then (8.6)

u D gjk uIj Ik D g jk @j @k u  ` @` u:

678 18. Einstein’s Equations

Hence x` D ` :

(8.7)

In other words, if the coordinates xj satisfy xj D 0 (we call them “harmonic coordinates”), then ` D 0. Thus, in a harmonic coordinate system, Ricjk is equal to ejk D  1 g `m @` @m gjk C Hjk .g; rg/: R 2

(8.8)

At this point we can solve the initial-value problem g`m @` @m gjk  2Hjk .g; rg/ D 0; ı ˇ ˇ ı gjk ˇS D g jk ; @0 gjk ˇS D k jk ;

(8.9) ı

as long as g jk defines a Lorentz inner product on Tp M , for which Tp S is spacelike, for each p 2 S . In such a case, this is a quasi-linear hyperbolic system, to which the results of Chap. 16,  3, apply. We will also have a solution to (8.1), if we can show that j D 0. To that end, we establish the following: ejk D 0, then j satisfies a system of PDE of the form Lemma 8.1. If R (8.10)

j` .g; rg/ @` m D 0: @k @k j C Bm

ejk D 0, then Proof. By (8.4) and (8.8), if R Ricjk D

1 1 gj ` @k ` C gk` @j ` ; 2 2

and hence (8.11) Thus

G jk D

 1 k j @  C @j k  g jk @` ` : 2

  2G jk Ik D @k j C @j k Ik  gjk .@` ` /Ik ;

and a straightforward calculation gives (8.12)

j` .g; rg/ @` m : 2G jk Ik D @k @k j C Bm

Since G jk Ik D 0, we have (8.10).

8. The initial-value problem

679

ejk D 0, we We note for future reference that, without the assumption that R have j` ejk Ik ; (8.13) @k @k j C Bm .g; rg/ @` m D 2T

ejk D R ejk  1 R e` ` gjk : T 2

Now, (8.10) is a linear hyperbolic system for j . We can deduce that j D 0 on a neighborhood of S if we have ˇ j ˇS D 0;

(8.14)

ˇ @0 j ˇS D 0:

Arranging this requires placing appropriate compatibility conditions on the Cauchy data (8.2). We now turn to this. From (8.5) we have (8.15)

ı `0 ˇ 1 ı `0 ı j ı ı ` ˇS D k  g k j C F ` .g/rS g; 2 ı

ı

ı

ı

where the last term is linear in rS g D .@1 g; @2 g; @3 g/. Also, from (8.11) we see that (8.16)

2G 0 k D @k 0 C gk` @0 `  ı 0 k @` ` ;

ejk D 0. Consequently, provided R (8.17)

ˇ ˇ ˇ ejk D 0; ` ˇ D 0 H) 2G 0 k ˇ D gı k` @0 ` ˇ : R S S S

At this point it is convenient to record the following observation: ı ˇ ı Lemma 8.2. The restriction G 0 k ˇS is given in terms of g jk ; k jk , and their tangential derivatives; it does not involve @20 gjk .

Proof. From (8.3) we have

(8.18)

1 G 0 k D g 0j g `m .@k @m g`j C @` @j gkm  @` @m gjk  @j @k g`m / 2 e k .g; rg/:  12 ı 0 k g j i g `m .@i @m g`j  @` @m gj i / C H

The contribution of the terms involving @20 is 1=2 times g 0j g `0 ı 0 k @20 g`j C g 00 g 0m @20 gkm  g0j g 00 @20 gjk  ı 0 k g 00 g `m @20 g`m .ı 0 k g j 0 g `0 @20 g`j  ı 0 k g j i g 00 @20 gj i /; which clearly vanishes.

680 18. Einstein’s Equations

ˇ Let the resulting formula for G 0 k ˇS be ı ı  ˇ ı ı G 0 k ˇS D G 0 k g jk ; DS2 g jk ; k jk ; rS k jk :

(8.19)

We now state a local existence result: Proposition 8.3. Suppose the initial data (8.2) are C 1 on S and satisfy the consistency condition ı ı  ı ı G 0 k g jk ; DS2 g jk ; k jk ; rS k jk D 0:

(8.20)

ı

Assume S is spacelike for g jk . Then the initial-value problem (8.1)–(8.2) has a C 1 -solution on a neighborhood of S . Proof. Start with the tensor field (8.21)

ı

ı

e gjk .x/ D g jk .x 0 / C x0 k jk .x 0 /;

x 0 D .x1 ; x2 ; x3 /;

which defines a Lorentz metric on a neighborhoodˇ of S . Then the Einstein tensor e 0 k ˇ D 0. e jk of this metric satisfies (8.19) and hence G G S Now define smooth “harmonic” coordinates y0 ; : : : ; y3 , by solving e j D 0; y

(8.22) with Cauchy data

ˇ ˇ yj ˇS D xj ˇS ;

(8.23)

ˇ ˇ dyj ˇS D dxj ˇS ;

e is the analogue of (8.6) for the metric e where u gjk . Rewrite the initial-value problem (8.1)–(8.2), in this new coordinate system. Then (8.2) takes the form (8.24)

ı

gjk .0; y 0 / D g jk .y 0 /; ı

@ gjk .0; y 0 / D kQjk .y 0 /I @y0 ı

the functions g jk are not changed, but the k jk do undergo a change. Due to the e jk , we have tensor character of G (8.25)

ı ı G 0 k .g jk ; DS2 g jk ; kQjk ; rS kQjk / D 0:

Now solve the system (8.9) for gjk , in the .y0 ; : : : ; y3 /-coordinates, using the initial data (8.24). We claim that .y0 ; : : : ; y3 / are harmonic coordinates for the Lorentz metric gjk . In fact, by Lemma 8.1 it suffices to show that if ` are given

8. The initial-value problem

681

ˇ ˇ by (8.5), then ` ˇS D 0 and .@=@y0 /` ˇS D 0. Note that (8.22), together with ˇ (8.15), implies that ` ˇS D 0 when ` is determined by any metric gjk satisfying (8.26)

g jk D O.y02 /: gjk  e

ˇ ˇ Thus we have ` ˇS D 0 in our case. Next, by (8.25) and Lemma 8.2, G 0 k ˇS D 0, ˇ so (8.17) implies .@=@y0 /` ˇS D 0. Since .y0 ; : : : ; y3 / are harmonic coordinates for the metric gjk , we have (8.1) as a consequence of (8.9). Converting back to .x0 ; : : : ; x3 /-coordinates, we also have (8.2), as a consequence of (8.26). This completes the proof. For simplicity, we have not specified which Sobolev spaces are needed for the initial data. Due to the special structure of Einstein’s equations, one can obtain solutions with less regularity than is needed for general second-order, quasi-linear hyperbolic systems. Results on this can be found in [HKM] and in Chap. 5 of [Tay]. We have the following local uniqueness result: 0 Proposition 8.4. Suppose gjk and gjk are two smooth solutions to (8.1)–(8.2), on a neighborhood of S . ˇThen there exists a C 1 -diffeomorphism ' on a neighborhood of S , such that ' ˇS D id . and '  g D g 0 .

Proof. Without loss of generality, one can assume that the coordinates .x0 ; : : : ; x3 / are ˇ harmonic for ˇ the metric gjk . Parallel to (8.22)–(8.23), solve 0 yj D 0; yj ˇS D xj ; dyj ˇS D dxj , where 0 is the Laplace–Beltrami operator for the metric g 0 . Then the diffeomorphism '.y/ D x does the trick, since the system (8.9) for g (in the x-coordinates) is precisely the same as the system for g 0 (in the y-coordinates), and solutions to this quasi-linear hyperbolic system are locally unique. We have seen that one way to “hyperbolicize” the equation (8.1) is to use harmonic coordinates. We now discuss an alternative method, due to D. DeTurck [DeT]. In this method, (8.1) is modified to (8.27)

  Ric.g/  div W 1 div G.W / D 0;

where W is a convenient second-order symmetric tensor field, which we will specify below, and G acts linearly on S 2 T  , by the rule (8.28)

1 G.W /jk D Wjk  .Tr W /gjk : 2

In fact, if the initial data for gjk are given by (8.2), we set (8.29)

ı

ı

Wjk .x/ D e g jk .x/ D g jk .x 0 / C x0 k jk .x 0 /;

682 18. Einstein’s Equations

as in (8.21). Note that, upon lowering an index, W defines an invertible endomorphism on the tangent bundle T ; we denote the inverse by W 1 . For any given invertible W , B D div .W 1 div G.W // depends on the metric tensor gjk ; a calculation shows that it is given by (8.30)

Bjk D

 1 `m  g @j @k g`m C @m @k g`j C @` @j gmk C Cjk .g; rg/: 2

Comparison with (8.3) gives (8.31)

1 Ricjk  Bjk D  g `m @` @m gjk C Mjk .g; rg/  Cjk .g; rg/: 2

Thus the equation (8.27) is strictly hyperbolic. Again, the results of Chap. 16,  3, apply. We now want to show that if the initial data (8.2) satisfy the compatibility conditions of Proposition 8.3, then Bjk D 0, so again we get a solution to (8.1). More precisely, we establish the vanishing of u D W 1 div G.W /:

(8.32)

In fact, applying div ı G to both sides of (8.27) and using Gjk Ik D 0, we have div G div u D 0;

(8.33)

when g satisfies (8.27). Note that, for any covariant vector field v, 1 `m g .v`ImIj  vj I`Im  v`Ij Im / 2 1 D .g `m vj I`Im  Ric` j v` /; 2

.div G div v/j D (8.34)

so (8.33) is a strictly hyperbolic equation for u. Now, the construction (8.29) of W guarantees that div G.W / D 0 on S D fx0 D 0g, so ˇ uˇS D 0:

(8.35)

ˇ Thus, the vanishing of u would follow from @0 uˇS D 0. To get this, we use a lemma: Lemma 8.5. If v is a covariant vector field on a Lorentz manifold .M; g/, then (8.36)

ˇ ˇ ˇ v ˇS D 0; G.div v/0 j ˇS D 0 H) @0 v ˇS D 0:

Proof. We have G.div v/0 j D

1 I0 .vj C v 0 Ij  ı 0 j g `m v`Im /: 2

8. The initial-value problem

683

Hence ˇ 1 v ˇS D 0 H) G.div v/0 j D g 00 @0 vj on S; for j D 1; 2; 3: 2 ˇ In particular, the hypotheses in (8.33) yield that @0 vj ˇS D 0, for j D 1; 2; 3. Granted that, we see that, on S; g`m v`Im D g 00 v0I0 , so ˇ 1 G.div v/0 0 ˇS D g 00 @0 v0 2

on S;

and this yields the complete implication (8.36). Now, ˇ the compatibility conditions (8.20) on1the initial data imply that Ric0 j ˇS D 0, so if (8.27) holds, then u D W div G.W / satisfies all the ˇ ˇ hypotheses of (8.36). Thus @0 u S D 0, so we have the following result: Proposition 8.6. If the initial data satisfy the compatibility conditions (8.20), then the solution to the hyperbolic system (8.27) is also a solution to (8.1). Having examined the empty-space case, we next consider Einstein’s equations coupled with Maxwell’s equations for an electromagnetic field, (5.1). In parallel with the approach to the empty-space case in (8.9), we will consider the system

(8.37)

  1 1  ng `m @` @m gjk C Hjk .g; rg/ D 8 Tjk  gjk ; 2 2 F D 0;

where, in the first equation,  D T j j and (8.38)

Tjk D

 1  ` 1 Fj Fk`  Fi ` F i ` gjk 4 4

is the stress-energy tensor for the electromagnetic field, as in (5.2). We have obtained the second equation in (8.37) from d F D 0 D d F F , by using  D dd F  d F d . In local coordinates, this operator depends on gjk and derivatives up to second order; in fact, (8.39)

.F/jk D g `m @` @m Fjk C Ejk .D 2 g; rF /:

Let us pose initial data on a compact hypersurface S , including the data (8.2), with (8.40)

ı

g jk 2 H sC1 .S /;

ı

k jk 2 H s .S /:

684 18. Einstein’s Equations

We assume that S is spacelike for these data and that s > 7=2. We also specify (8.41)

ˇ Fjk ˇS 2 H s .S /;

ˇ @0 Fjk ˇS 2 H s1 .S /:

We will postpone placing compatibility conditions on these data. If we identify a neighborhood of S with I  S; I D .a; a/, then, for a sufficiently small, we will obtain a solution to (8.37)–(8.41) satisfying (8.42)

    g 2 C I; H sC1 .S / \ C 1 I; H s .S / ;    F 2 C I; H s .S / \ C 1 .I; H s1 .S / :

The local existence of solutions to (8.37) is established by a slight variant of the method developed in  1–3 of Chap. 16 to treat hyperbolic systems. One obtains first-order systems for .'; /, with ' D .ƒgjk ; @0 gjk / and D .ƒFjk ; @0 Fjk /. From there one solves approximating systems for .'" ; " / and uses energy estimates plus Gronwall’s inequality to establish (8.43)

k'" .t/k2H s C k

2 " .t/kH s1

 C;

for jtj < a. We require that s > 7=2, so H s .S /  C 2Cr .S / for some r > 0. From (8.43) it follows that a limit point exists, yielding a solution to (8.37)–(8.41). As in Chap. 16, one establishes uniqueness, and the continuity described in (8.42). The reason one uses different Sobolev estimates for '.t/ and for .t/ is the occurence of second-order derivatives of gjk in (8.39), compensated by the fact that no derivatives of Fjk are ˇ involved in ˇ the first equation of (8.37). Now, assume that F ˇS and @0 F ˇS satisfy the compatibility conditions (8.44)

d F D 0 D d FF

on S:

Since d D d  and d F D d F , we have (8.45)

.d F / D 0;

.d F F / D 0:

We deduce that d F D 0 D d F F on I  S . As discussed in  1, this implies that Tjk , given by (8.38), satisfies (8.46)

T jk Ik D 0:

ˇ ˇ We next want to show that if gjk ˇS and @0 gjk ˇS satisfy appropriate compatibility conditions, then ` D x` D 0, so in fact the Einstein equations Gjk D 8Tjk follow from (8.37). Lemma 8.7. Assume that weˇ have a solution to (8.37)–(8.41) on I  S and that (8.46) holds. Assume that ` ˇS D 0, for 0  `  3, and that, for 0  k  3,

8. The initial-value problem

(8.47)

ı

ı

ı

685

ı

G 0 k .g jk ; DS2 g jk ; k jk ; rS k jk / D 8T 0 k :

Then ` D 0 on I  S . ejk D 8Tjk . In fact, (8.39) Proof. If (8.39) holds, then (8.13) holds, with T e` ` D 8, so implies that R   ejk C 4gjk D 8 Tjk  1 gjk C 1 gjk D 8Tjk : ejk D R T 2 2 Now, a computation parallel to that yielding (8.17) shows that in the present case, (8.48)

ˇ ˇ ˇ ı e0 k : ` ˇS D 0 H) 2Gk0 ˇS D g k` @0 ` ˇS C 2T

Hence, if (8.47) holds, the hypothesis ` D 0 on S yields (8.49)

ˇ ` ˇS D 0;

ˇ @0 ` ˇS D 0:

ejk Ik D 0, so (8.13) gives Also, by (8.46), we have T (8.50)

j` @k @k j C Bm .g; rg/@` m D 0;

and the initial-value problem (8.49)–(8.50) has only ` D 0 as a solution, so the lemma is proved. From here, one obtains the following parallel to Proposition 8.3: Proposition 8.8. Suppose the initial data in (8.40)–(8.41) satisfy the consistency conditions (8.44) and (8.47). Then there is a solution to Gjk D 8Tjk satisfying these initial conditions, where Tjk is the electromagnetic stress-energy tensor, given by (8.38). We next consider Einstein’s equations coupled with the equations of fluid motion. We use the form (6.59) of these equations, namely, (8.51)

2 rw .  2ˆ0 rw;w /wQ  e B.D 3 g; D 2 w; r/ D 0

and (8.52)

Lw  D 0:

686 18. Einstein’s Equations

As in (8.37), we write Einstein’s equations as (8.53)

  1 1  g `m @` @m gjk C Hjk .g; rg/ D 8 Tjk  gjk ; 2 2

where  D T j j and this time Tjk D . C p/uj uk C pgjk

(8.54)

is the stress-energy tensor for a fluid with 4-velocity u, density , and pressure p. As in (6.37), w D e q u;

(8.55)

dq D

dp ; Cp

and wQ is the 1-form associated with w. Since we want (8.51)–(8.53) to be a system of equations for .w; ; g/, let us rewrite (8.54) as (8.56)

Tjk D 

Cp wj wk C pgjk ; hw; wi

   D  hw; wi ;

p D p./:

The formula for  as a function of hw; wi follows implicitly from (8.55), since e 2q D hw; wi. We have made a slight notational change from (6.59) to (8.51), recording the dependence of e B on D 3 g. Clearly, the coefficients of the operator rw .  0 2 2ˆ rw;w / also depend on D 3 g. Recall that ˆ0 D

(8.57)

0 .p/  1 : 2e 2q

Also, as long as the equation of state satisfies 0 .p/  1, (8.51) is strictly hyperbolic, and any hypersurface that is spacelike for the metric gjk is also spacelike for (8.51). Let us pose initial data on a compact hypersurface S , including the data (8.2), with (8.58)

ı

g jk 2 H `C2 .S /;

ı

k jk 2 H `C1 .S /:

We assume that S is spacelike for these data and that ` > 7=2. We also specify (8.59)

ˇ wj ˇS 2 H `C1 .S /;

ˇ @0 wj ˇS 2 H ` .S /;

and (8.60)

ˇ jk ˇS 2 H ` .S /:

ˇ @20 wj ˇS 2 H `1 .S /;

9. Geometry of initial surfaces

687

Of course, there will be compatibility conditions that we will ultimately want to place on such data, as discussed below, but ˇ these are not needed for the solvability of (8.51)–(8.53). We will assume that w ˇS is timelike: ˇ (8.61) hw; wiˇS  C0 < 0: We identify a neighborhood of S with I  S; I D ."; "/. Using the methods of Chap. 16, in a fashion parallel to our discussion of (8.37)–(8.41), we obtain a solution to (8.51)–(8.53) satisfying (8.58)–(8.60) and     g 2 C I; H `C2 .S / \ C 1 I; H `C1 .S / ;     (8.62) w 2 C I; H `C1 .S / \ C 2 I; H `1 .S / ;    2 C I; H ` .S / : We leave to the reader the demonstration that appropriate consistency conditions on the initial data then imply that the Euler equations (6.4) are satisfied. This in turn implies T jk Ik D 0, and hence Lemma 8.7 is applicable. From there one proceeds as before to show that when the initial data satisfy the consistency conditions, one has a solution to (6.1)–(6.2). As in the case of nonrelativistic (compressible) fluids, one also considers the phenomenon of shock waves in relativistic fluids. For some work on this, see [Lich3, Lich4, ST, ST2, Tau2].

Exercises 1. Write out the principal symbol L.x; / of the operator L in (8.3), and verify that det L.x; / D 0; for all 2 R4 n 0. 2. Show that under appropriate consistency conditions on the initial data, solutions to (8.51)–(8.53) also satisfy the Euler equations (6.4). (Hint: For one approach, see [CBr3].) 3. Discuss the appropriate initial-value problem for the relativistic motion of a charged fluid, coupled both to the metric of spacetime and to an electromagnetic field. The resulting equations are the equations of relativistic magnetohydrodynamics. Material on this can be found in [Lich3]. 4. Make use of finite propagation speed to eliminate the hypothesis that the initial surface S be compact, in the results of this section.

9. Geometry of initial surfaces It is of interest to consider further when the initial data (8.2) satisfy the consistency ı condition (8.20). When g jk is restricted to T S , we get a Riemannian metric on ı

S I hjk D g jk , for 1  j  3. Let us assume for now that the coordinate

688 18. Einstein’s Equations

system .x0 ; : : : ; x3 / has not only the property that S D fx0 D 0g but also the ı property that the vector field @=@x0 is orthogonal to S . Thus g 0k D 0 for 1  k  3. Suppose also that @=@x0 D N is a unit vector on S; hN; N i D 1 (i.e., ˇ ı g 00 D 1). Using the Gauss–Codazzi equations, we can express G 0 k ˇS in terms of the metric tensor hjk of S and the second fundamental form of S  M , which we denote as Kjk . Denote the associated Weingarten map by A W Tp S ! Tp S . The Gauss equation, (4.14) of Appendix C, implies that, for X tangent to S , RicM .X; X /  RicS .X; X / (9.1)

D hRM .N; X /X; N i C

3 X ˝

˛ .ƒ2 A/.Ej ^ X /; X ^ Ej ;

j D1

where fE1 ; E2 ; E3 g is an orthonormal basis of Tp S . From this, we have (9.2)

SM  SS D 2 Tr ƒ2 A  2 RicM .N; N /;

where SM is the scalar curvature of M , and SS the scalar curvature of S . Compare with (4.72) of Appendix C. There is a sign difference, since here hN; N i D 1. Since G00 D Ric00  .1=2/SM g00 , we have SM  SS D 2 Tr ƒ2 A  2G00  SM g00 ; or equivalently, (9.3)

ˇ 1 G 0 0 ˇS D  SS C Tr ƒ2 A: 2

Meanwhile, the Codazzi equation, (4.16) of Appendix C, implies (9.4)

KjkI` D K`kIj  Rk0j ` :

We define the mean curvature H of S  M to be H D .1=3/Tr A D .1=3/K j j . The identity (9.4) implies Kj k I` D K` k Ij  Rk 0j ` , and hence (9.5)

Kj k Ik D 3HIj C Ric0j :

Since G 0 j D Ric0 j  .1=2/SM g 0 j D Ric0 j , for 1  j  3, we have (9.6)

ˇ G 0 j ˇS D Kj k Ik  3HIj ;

1  j  3:

9. Geometry of initial surfaces

689

We have the following result: Proposition 9.1. If S is a Riemannian 3-manifold with metric tensor hjk , and Kjk is a smooth section of S 2 T  .S /, then there exists a Lorentz 4-manifold M that is Ricci flat (i.e., satisfies (8.1)), for which S is a spacelike hypersurface, with induced metric tensor hjk and second fundamental form Kjk , if and only if SS  Kjk K jk C K j j K k k D 0

(9.7) and

Kj k Ik  3HIj D 0:

(9.8)

Proof. We have just seen the necessity of (9.7) and (9.8). For the converse, if hjk and Kjk are given, satisfying (9.7) and (9.8), set (9.9)

ı

g jk D hjk if 1  j; k  3;

ı

g 00 D 1;

ı

g jk D 0; otherwise.

Also, set (9.10)

ı

k jk D 2Kjk

if 1  j; k  3;

ı

k jk D 0; otherwise:

Note that, for any metric gjk satisfying (8.2) with these initial data, hjk and Kjk do specify the first and second fundamental forms of S D fx0 D 0g. See (4.69) ı

ı

of Appendix C. The fact that this prescription yields g jk and hjk , which satisfy the compatibility conditions of Proposition 8.3, thus follows from (9.4) and (9.6). The index raising and covariant differentiation performed in (9.7) and (9.8) are operations defined by the metric tensor hjk on S . Note that (9.7) follows from (9.3), via the identity Tr ƒ2 A D

1 1 .Tr A/2  Tr A2 ; 2 2

which is readily verified by using a basis that diagonalizes A. In the physics literature, (9.7) is called the Hamiltonian constraint and (9.8) is called the momentum constraint. Together, (9.7) and (9.8) are called the constraint equations. Note that special hypotheses about the coordinates used on M disappear in the formulation of Proposition 9.1, which is convenient. We can define the trace-free part of Kjk : (9.11)

Qjk D Kjk  H hjk :

690 18. Einstein’s Equations

Then the system (9.7)–(9.8) becomes (9.12)

SS  Qjk Qjk C 6H 2 D 0;

(9.13)

Qj k Ik  2HIj D 0:

This system has been studied in [Lich1, Yo1, OY1, CBr5, CBr6, CBY]. Following their work, we will investigate this system more closely in the special case when H is taken to be constant on S , which we now assume to be compact. Then (9.13) specifies that Qjk is a divergence-free (trace-free, order 2, symmetric) tensor field. We show how to construct all such fields on a compact Riemannian manifold .S; h/. Let us define DTF on vector fields by 1 (9.14) DTF X D Def X  .div X /h; n

DTF W C 1 .S; T / ! C 1 .S; S02 T  /;

where Def is the deformation operator, .Def X /jk D .Xj Ik CXkIj /=2, and where S02 T  denotes the bundle of second-order, trace-free, covariant tensors. A calculation yields ˇ  DTF D divˇS 2 T  :

(9.15)

0

Hence (9.16)

 DTF X D div Def X C DTF

1 grad div X: n

 The operator L D DTF DTF is a second-order, elliptic, self-adjoint operator, and there is a Weitzenbock formula, which implies

(9.17) kDTF X k2L2 D

1 1  1 1 krX k2L2 C  kdiv X k2L2  RicS .X /; X L2 : 2 2 n 2

Compare with formulas (4.26)–(4.31) of Chap. 10. The kernel of L, which is equal to ker DTF , consists of conformal Killing fields, as noted in (3.39) of Chap. 2. It is a finite-dimensional subspace of C 1 .S; T /. Let E be the inverse of L on the orthogonal complement of ker L, and zero on ker L. It follows that (9.18)

E W H s .S; T / ! H sC2 .S; T /;

for all s  1, by the elliptic regularity results in Chap. 5,  1, and more generally for all s 2 R, by the construction of E 2 OPS 2 .S / in Chap. 7. Now set (9.19)

 P1 D DTF E DTF ;

P1 W H s .S; S02 T  / ! H s .S; S02 T  /:

9. Geometry of initial surfaces

691

The operator P1 is the orthogonal projection onto the range of DTF in L2 , that is, the image of DTF acting on H 1 .S; T /, and P0 D I  P1 is the orthogonal  projection onto the kernel of DTF in L2 .S; S02 T  /. From (9.19) it follows that P0 W C 1 .S; S02 T  / ! C 1 .S; S02 T  /:

(9.20)

The set of smooth, divergence-free, trace-free, second-order, symmetric tensor fields Qjk is precisely the image of P0 in (9.20). Now, if we have a Riemannian metric hjk on S and a solution Qjk to (9.13), with H constant, the scalar curvature may not satisfy (9.12). In [Yo1] and [OY1], following Lichnerowicz, who treated the case H D 0, it was shown that the triple .hjk ; H; Qjk / leads to a new triple .hjk ; H; Qjk /, where hjk is a conformal multiple of hjk : hjk D ' 4 hjk ;

(9.21)

H is unchanged, and Qjk is a smooth multiple of Qjk , involving a different power of ', as we will see below. Then (9.12)–(9.13) hold for this new triple, provided ' satisfies a certain elliptic PDE, which we proceed to derive. For these calculations, denote covariant differentiation associated to h and h by r and r, respectively. Then (9.22)

rkQ

jk

D rk Q

jk

C .

j

ik

  j i k /Q

ik

C .

k

ik

ji

  k i k /Q ;

where the connection coefficients are related by (9.23)



i

jk

D  i jk C

 2 i ı j @k ' C ı i k @j '  hjk @i ' : ' jk

Consequently, for any symmetric, second-order tensor field Q , rkQ

jk

D rk Q

jk

C

10 jk 2 Q @k '  Qk k @j ': ' '

The last term vanishes if Qk k D 0. If, furthermore, Q (9.24)

rk Q

jk

D

 rk Qjk C @k

C

jk

D

Qjk , then

 10 @k ' Qjk : '

692 18. Einstein’s Equations

The last term here vanishes if (9.25)

Q

jk

D ' 10 , so we have

D ' 10 Qjk H) r k Q

jk

D ' 10 rk Qjk

when Qjk is symmetric and has trace zero. Note that (9.25) implies Qjk D ' 2 Qjk . Thus, if Qjk is constructed as above, as an element in the range of P0 , so it has trace zero and solves rk Qj k D 0, we also have r k Qj k D 0 whenever hjk is related to hjk by (9.21). The scalar curvatures of .S; h/ and .S; h/ are related by S S D ' 4 SS  8' 5 ';

(9.26)

where  is the Laplace operator on .S; h/. Now we want to satisfy the analogue of (9.12), namely, (9.27)

S S D Qjk Q

jk

 6H 2 D ' 12 Qjk Qjk  6H 2 D ' 12 f  6H 2 :

By (9.26), we want ' to be a smooth, positive solution to the PDE (9.28)

' D

1 3 1 SS '  f ' 7 C H 2 ' 5 D F .x; '/: 8 8 4

Equations of this form are discussed in  1 of Chap. 14. If f > 0 on S and H ¤ 0, then Theorem 1.10 of Chap. 14 implies the solvability of (9.28), which is a special case of (1.50) of Chap. 14. We thus have Proposition 9.2. Let S be a compact, connected 3-manifold, with metric tensor hjk ; Qjk a smooth, divergence-free, trace-free section of S 2 T  .S /, and let H be a nonzero constant. Then there exists a positive ' 2 C 1 .S / such that if (9.29)

hjk D ' 4 hjk ;

Qjk D ' 2 Qjk ;

then there is a Ricci-flat Lorentz manifold M , containing S as a spacelike hypersurface, with induced metric hjk and second fundamental form (9.30)

K jk D Qjk C H hjk ;

provided Qjk Qjk D f is not identically zero on S . Proof. The argument above gives the result provided f .x/ > 0 on S . It remains to weaken this condition on f . First, if the scalar curvature SS of .S; h/ is negative on fx 2 S W f .x/ D 0g D †, then Theorem 1.10 of Chap. 14 still implies the solvability of (9.28). On the other hand, we can make a preliminary conformal

9. Geometry of initial surfaces

693

deformation of the metric tensor of S to make its scalar curvature negative on any proper closed subset of S , such as †, as long as † is not all of S , so Proposition 9.2 is proved. If Qjk is taken to be zero, then (9.28) becomes (9.31)

' D

1 3 SS ' C H 2 ' 5 : 8 4

Integrating both sides, we see that if there is a positive solution ', then Z SS .x/'.x/ dV .x/ < 0: S

In particular, (9.31) has no positive solution if SS  0 on S . Here is a positive result: Proposition 9.3. Let S be a compact, connected 3-manifold with metric tensor hjk . Assume the scalar curvature of .S; h/ satisfies SS .x/ < 0 on S . Let H be a nonzero constant. Then there is a positive ' 2 C 1 .S / such that if hjk D ' 4 hjk , then there is a Ricci-flat Lorentz manifold M , containing S as a spacelike hypersurface, with induced metric hjk and second fundamental form (9.32)

K jk D H hjk :

Proof. The equation (9.31) has the same form as (1.49) in Chap. 14, as the equation for the conformal factor needed to alter .S; h/, with scalar curvature SS , to .S; h/, with scalar curvature S S D 3H 2 . Thus solvability follows from Proposition 1.11 of Chap. 14. If H D 0, then (9.28) becomes (9.33)

' D

1 1 SS '  f ' 7 ; 8 8

jk Rwhere we recallRthat f7D Qjk Q . The solvability of (9.33) implies the identity dV , so there is no positive solution if SS  0 on S . On S SS ' dV D S f ' the other hand, Theorem 1.10 of Chap. 14 applies if SS .x/ > 0 on S and f > 0 on S , so we have the following:

Proposition 9.4. Let S be a compact, connected 3-manifold with metric tensor hjk . Assume the scalar curvature of .S; h/ satisfies SS .x/ > 0 on S . Let Qjk be a smooth, divergence-free, trace-free section of S 2 T  .S /. Then there is a positive ' 2 C 1 .S / such that if hjk and Qjk are given by (9.29), then there is a

694 18. Einstein’s Equations

Ricci-flat Lorentz manifold M , containing S as a spacelike hypersurface, with induced metric hjk and second fundamental form K jk D Qjk ;

(9.34)

provided Qjk is nowhere vanishing. In such a case, the mean curvature of S  M vanishes. Next, following [CBIM], we extend Proposition 9.3 to allow H to be nonconstant, provided it does not vary too much. As before, we have a compact, 3-manifold S , with Riemannian metric tensor h, scalar curvature SS . Let H be a smooth, real-valued function on S . We want to construct a positive ' 2 C 1 .S / and a second-order, symmetric, trace-free tensor field Qjk on S (i.e., Q 2 C 1 .S; S02 T  /) such that if we change the metric tensor to hjk D ' 4 hjk , and set Qjk D ' 2 Qjk , as in (9.29), then S is a spacelike hypersurface of a Ricci-flat Lorentz 4-manifold, with induced metric hjk and with second fundamental form K jk D Qjk C H hjk , as in (9.30). In order to achieve this, we need to satisfy the Gauss–Codazzi system S S  Qjk Q

(9.35)

jk

C 6H 2 D 0;

r k Qj k  2r j H D 0;

which one converts to

(9.36)

1 3 1 SS '  jQj2 ' 7 C H 2 ' 5 ; 8 8 4 rk Qjk  2' 6 hjk HIk D 0;

' D

where jQj2 D Qjk Qjk . As before (and as noted in [Yo3] and [CBY]), we get from (9.35) to (9.36) via the identities (9.25) and (9.26). The first equation in (9.36) is the same as (9.28). The second equation in (9.36) is  DTF Q C 2' 6 grad H D 0:

(9.37) We look for Q in the form (9.38)

Q D DTF X C Qb ;

 DTF Qb D 0;

where X is a vector field on S . As in (9.14), DTF X D Def X  .1=3/.div X /h. Pick Qb 2 R.P0 /. Then (9.37) becomes (9.39)

LX D 2' 6 grad H;

9. Geometry of initial surfaces

695

where (9.40)

 LX D DTF DTF X D div Def X C

1 grad div X: 3

Assume that L is invertible, that is, .S; h/ has no conformal Killing fields. Thus, given ', we solve (9.39) for X; X D 2L1 .' 6 grad H /. Then it remains to solve for ': (9.41)

' D

1 1 3 SS '  jE.' 6 / C Qb j2 ' 7 C H 2 ' 5 ; 8 8 2

where (9.42)

Eu D 2DTF ı L1 .u grad H /;

E 2 OPS 1 :

This has a slightly more complicated form than (9.28), though of course it reduces to (9.28) when H is constant. We will establish the following: Proposition 9.5. Let S be a compact 3-manifold with metric tensor h. Assume the scalar curvature SS < 0 on S . Let H 2 C 1 .S / be a given positive function. Then we can find a positive ' 2 C 1 .S /, solving (9.41), with Qb D 0, provided (9.43)

kDTF L1 ukL1  A0 kukL1 ;

with (9.44)

A0 krH kL1 <

p 3Hmin :

As a preparation to proving this, we first obtain some a priori estimates for a positive solution ' 2 C 1 .S / to (9.41), with Q b D 0, that is, to (9.45)

  ' D f x; E.' 6 /; ' ;

where (9.46)

  1 1 3 f x; E.' 6 /; ' D SS '  jE.' 6 /j2 ' 7 C H 2 ' 5 : 8 8 2

Note that if '.x0 / D 'min > 0, then '.x0 /  0, so if (9.45) holds, then f .x0 ; E.' 6 /; '.x0 //  0. Hence (9.47)

 1 1 3 H.x0 /2 '.x0 /5  SS .x0 / '.x0 /  '.x0 / 2 8 8

696 18. Einstein’s Equations

if SS   < 0 on S . This implies (9.48)

'  a0 on S I

a04 D

1 2 Hmax : 12

We next derive an upper bound on a solution to (9.48), using the hypothesis (9.43)–(9.44). Suppose '.x1 / D 'max . Then '.x1 /  0, so if (9.45) holds, then f .x1 ; E.' 6 /; '.x1 //  0. Now

(9.49)

  f x1 ; E.' 6 /; '.x1 / h i 1 1 7 3 12 8 H.x1 /2 'max : D 'max  jE.' 6 /j2 C SS .x1 /'max 2 8 8

The hypothesis (9.43)–(9.44) implies (9.50)

p 6 kE.' 6 /kL1  2A0 krH kL1 k' 6 kL1 < 2 3Hmin 'max ;

so

(9.51)

3 1 12 12 H.x1 /2 'max  jE.' 6 /j2  'max ; 2 8  1 2

D 3Hmin  A20 krH k2L1 > 0; 2

and hence (9.52)

  1 5 f x1 ; E.' 6 /; '.x1 /  'max C SS .x1 /'max : 8

5 C .1=8/SS .x1 /'max  0. Thus, If the left side of (9.52) is  0, this requires 'max if jSS j  , a solution to (9.45) must satisfy

(9.53)

'  a1 on S;

a14 D

=4 D : 2 8 3Hmin  A20 krH k2L1

For the rest of the discussion, we modify the formula (9.46), replacing it by (9.54)

  1 1 3 f x; E.' 6 /; ' D SS .'/  jE.' 6 /j2 ˛.'/ C H 2 ' 5 ; 8 8 2

where (9.55)

.'/ D ';

'  a0 ;

˛.'/ D ' 7 ;

'  a0 :

9. Geometry of initial surfaces

697

In addition, we require the functions  and ˛ to be smooth and monotonic on R, for ˛ to be linear on '  0, for .'/  ' on R, and for .'/ to be some positive constant (say 0 ) for '  a0 =2. To prove Proposition 9.5, we will use the Leray–Schauder fixed-point theorem, in the following form (cf. Theorem B.5 in Chap. 14): Theorem. Let V be a Banach space, F W Œ0; 1  V ! V a continuous, compact map such that F .0; v/ D v0 , independent of v. Suppose there exists M < 1 such that, for all .; x/ 2 Œ0; 1  V , (9.56)

F .; x/ D x H) kxk < M:

Then F1 W V ! V , given by F1 .x/ D F .1; x/, has a fixed point. We will apply this to V D C.S / and (9.57)

  F .; '/ D .  1/1 ‰ .'/  ' ;

where, picking b D .a0 C a1 /=2, we set (9.58)

  ‰ .'/ D .1  /.'  b/ C f x; E.' 6 /; ' ;

with f as in (9.54). Note that (9.59)

F .0; '/ D .  1/1 b D b:

Also, (9.60)

  F .; '/ D ' ” ' D f x; E.' 6 /; ' C .1  /.'  b/:

To check (9.56), we need to estimate 'max and 'min whenever  2 Œ0; 1 and ' satisfies (9.60). The case  D 0 is clear, so we may assume  > 0. If '.x0 / D 'min , then ‰.'/  0 at x0 , so (9.61)

    f x0 ; E.' 6 /; '.x0 / C .1  / '.x0 /  b  0:

If '.x0 / < b and  2 .0; 1 , this requires f .x0 ; E.' 6 /; '.x0 //  0, or (in place of (9.47)) (9.62)

 3 1 5 H.x0 /2 'min  SS .x0 / .'min /: 2 8

5 2  .=12/Hmax .'min /, which in turn forces 'min > 0. Since This forces 'min .'/  ' and SS > 0, this implies (9.47). Therefore, again we get the estimate (9.48).

698 18. Einstein’s Equations

If '.x1 / D 'max , then ‰ .'/  0 at x1 , so (9.63)

    f x1 ; E.' 6 /; '.x1 / C .1  / '.x1 /  b  0:

If '.x1 / > b and  2 .0; 1 , this requires f .x1 ; E.' 6 /; '.x1 //  0, which is equal to (9.46) if 'max > b, so as before we have the estimate (9.53). Thus the fixed-point theorem applies to our situation, so Proposition 9.5 is proved. Thus, in rough parallel with Proposition 9.3, we have the following: Proposition 9.6. Let S be a compact 3-manifold with metric tensor hjk . Assume the scalar curvature SS < 0 on S . Let H 2 C 1 .S / be a positive function satisfying the hypothesis (9.43)–(9.44). Then there is a positive ' 2 C 1 .S / such that if hjk D ' 4 hjk , there is a Ricci-flat Lorentz 4-manifold M , containing S as a spacelike hypersurface, with induced metric hjk and second fundamental form (9.64)

K jk D Qjk C H hjk ;

where (9.65)

Q D 2' 2 DTF L1 .' 6 rH /:

In particular, the mean curvature of S  M is H . See [CBY] for a discussion of some cases where S is diffeomorphic to R3 , and asymptotically flat, and [CO] for a further analysis, when also H D 0. In this case, one can make a preliminary conformal change of metric to achieve SS D 0, so that (9.33) becomes 1 ' D  f ' 7 : 8

Exercises

ˇ 1. Show that the identities (9.3) and (9.6) for G 0 j ˇS imply Lemma 8.2. 2. Put together Proposition 9.4 and Birkhoff’s theorem, and make some deductions, regarding .Qjk / and solutions to (9.33), and symmetry properties that they cannot have. 3. Suppose that one wants to solve (1.1), namely, (9.66)

G jk D 8T jk :

Show that the equation (9.7)–(9.8) on S get replaced by (9.67)

SS  Kjk K jk C K j j K k k D 2; Kj k Ik  3HIj D Jj ;

10. Time slices and their evolution

699

where (9.68)

ˇ  D 8T00 ˇS ;

ˇ Jj D 8T0j ˇS :

Study this system, particularly in the case H D const. 4. Extend Proposition 9.5 as follows. Replace (9.43)–(9.44) by the hypothesis that, for some p > 3, (9.69)

kDTF L1 ukL1  Ap kukLp ;

with (9.70)

Ap krH kLp <

p 3 Hmin :

5. Note that solving the constraint equations (9.7)–(9.8) with Kjk D 0 is reduced to solving (9.33) with f D 0, namely, ' D

1 SS ': 8

Consider solutions to this, both on compact and on noncompact S. Relate the solution '.x/ D 1 C

M jxj

on flat R3 (outside the origin) to the Schwarzschild metric.

10. Time slices and their evolution Suppose M is a Lorentz manifold whose metric satisfies the empty-space Einstein equation (8.1), and on M we have a smooth function t such that  D grad t is timelike. Thus M is foliated by the surfaces Sc , on which t D c, called time slices. One can choose local coordinates .t; x1 ; x2 ; x3 / on an open set O  M with respect to which the metric is (10.1)

ds 2 D .t; x/2 dt 2 C

3 X

gjk .t; x/ dxj dxk :

j;kD1

This can be done by picking local coordinates .x1 ; x2 ; x3 / arbitrarily on one slice Sc and then taking xj to be constant on each integral curve of  through such a coordinate patch. The function (10.2)

 1=2 .t; x/ D h; i

  is called the lapse function of this foliation. Note that gjk .c; x/ defines the Riemannian metric induced on Sc and that N D  D 1 @=@t is a unit timelike normal to Sc .

700 18. Einstein’s Equations

Each Sc has a second fundamental form Kjk .c; x/, and, by Proposition 9.1, for each c; Kjk D Kjk .c/ must satisfy the constraint equations (9.7)–(9.8), where the covariant derivatives are given by the Riemannian metric on Sc . Note that @gjk D 2Kjk : @t

(10.3)

The following identity complements the constraint equation: Proposition 10.1. If the Einstein equation (8.1) holds, then (10.4)

@Kjk D Ij Ik C .RicSjk C 3HKjk  2Kj ` K ` k /: @t

Proof. Calculating the components RjM0k0 of the Riemann tensor of M , in coordinates .x0 ; : : : ; x3 /, with x0 D t, one obtains, for 1  j; k  3, (10.5)

2 RjM0k0 D 1 Ij Ik C 1 @t Kjk C Kj ` K ` k :

Now (9.1) implies (10.6)

` 2 RjM0k0 D RicSjk  RicM jk C 3HKjk  Kj ` K k ;

so, for any metric of the form (10.1), we have (10.7)

@Kjk D Ij Ik C .RicSjk C 3HKjk  2Kj ` K ` k /  RicM jk : @t

This proves (10.4). Note that @t .Kj k / D g k` .@t Kj ` /C.@t g k` /Kj ` . Using (10.3)–(10.4), we have (10.8)

@Kj k D Ij Ik C .RicSj k C 3HKj k /: @t

Taking the trace yields (10.9)

3

@H D  C .SS C 9H 2 /: @t

The importance of the evolution equations (10.3)–(10.4) is highlighted by the following result: Proposition 10.2. If the evolution equations (10.3)–(10.4) hold for 0  t  T and the constraint equations (9.7)–(9.8) hold at t D 0, then the Einstein equation (8.1) holds for t 2 Œ0; T (and hence so do the constraint equations).

10. Time slices and their evolution

701

Proof. To begin, from (10.7) we see that if (10.4) holds, then RicM jk D 0, for t 2 Œ0; T ; 1  j; k  3. Hence, in view of the form of the metric (10.1), (10.10)

Ricj k D 0; for 0  t  T; 1  j; k  3:

From now on we drop the M from RicM . It remains to show that Ric0 k D 0 for 0  t  T; 0  k  3. We will obtain a first order 4  4 system for Ric0 k , making use of the Ricci identity Ricj k Ik D

(10.11)

1 SM Ij ; 2

which gives (10.12)

1 Ricj 0 I0 D Ricj 1 I1  Ricj 2 I2  Ricj 3 I3 C SM Ij : 2

By (10.10) we have (10.13)

SM D Ric0 0 ;

SM Ij D @j Ric0 0 :

Now, if  ` jk are the connection coefficients of M , we have (10.14)

Ricj k I` D @` Ricj k C  k m` Ricj m   m j ` Ricm k :

Thus, again by (10.10), (10.15)

1  j; k  3 H) Ricj k I` D  k 0` Ricj 0   0 j ` Ric0 k :

Hence, for 1  j  3, (10.16)

Ricj 0 I0 D

3

X 1 @j Ric0 0  . k 0k Ricj 0   0 jk Ric0 k /; 2 kD1

and we can replace the left side of (10.16) by (10.17)

Ricj 0 I0 D @t Ric0 0 C  0 m0 Ricj m   m j 0 Ricm 0 :

It is convenient to rewrite the terms on the right side of (10.12) when j D 0, using (10.18)

Ricj ` D g `m Ricj m D g `m Ricmj D g j i g `m Ricm i :

702 18. Einstein’s Equations

We obtain Ricj ` Ik D g j i g `m Ricm i Ik , and hence (10.19) Ric0 ` Ik D 2 g `m @k Ricm 0  2 g `m  0 i k Ricm i C 2 g `m  i mk Rici 0 : Consequently, we obtain a 4  4 system of the form @t Ric0 0 D 22

3 X

g km @k Ricm 0 C A.Ric/;

m;kD1

(10.20) @t Ricj 0 D

1 @j Ric0 0 C Bj .Ric/; 2

1  j  3;

where A.Ric/ and Bj .Ric/ are linear in Ric. The system (10.20) is readily seen to be a linear, symmetrizable hyperbolic system; compare with the treatment of (3.3) in Chap. 16. Thus the quantities Ricj 0 vanish identically provided they vanish at t D 0. But the hypothesis that the constraint equations hold at t D 0 is equivalent to Gj 0 D 0 at t D 0; 0  j  3, by (9.3)–(9.6), and together with (10.10) this implies SM D 0 at t D 0, and hence that (10.21)

Ricj 0 D 0 at t D 0; 0  j  3:

This finishes the proof of Proposition 10.2. Note that if we regard the lapse function  as an unknown, as well as gjk and Kjk , which are 3  3 symmetric matrices, then (10.3)–(10.4) is a system of 12 equations in 13 unknowns. This underdetermined property is a consequence of one’s ability to perform an arbitrary change of t-variable (t 0 D t 0 .t/) without affecting the foliation of M . We might insist that  D 1, thus producing a determined 12  12 system, but that would lead to breakdown in finite time, since then (10.9) and the constraint equation (9.7) would imply 3

@H D Kjk K jk  3H 2 : @t

This breakdown might well be due to a bad choice of coordinates rather than to an actual breakdown for Einstein’s equations. Instead of trying to specify .t; x/ a priori, one might imposean extra equation involving . In [CBR] the following approach is taken. Let ejk .x/ be an arbitrary Riemannian metric on S , and set (10.22)

.t; x/ D e.t; x/1=2 g.t; x/1=2 ;

where e D det.ejk /, and g D det.gjk /. If we set (10.23)

kij D Kij ;

k D k j j D 3H;

10. Time slices and their evolution

703

a computation yields, for a metric of the form (10.1), the identity kij C 3k`.i RicS j / `  2RS i ` j m k`m  2k RicS ij  2a.i rj / k (10.24)

 4kri aj  k`.i rj / a`  a` r` kij  3kai aj  42 ki ` kj m k `m ˚

D k`.i RicM j / ` C 2k RicM ij  r.i 2 G M 0 j /  @t RicM ij ;

when  satisfies (10.22), where aj D 1 @j ;

(10.25)

andrj denotes the Levi–Civita connection on St , associated with the metric ten sor gij .t/ , and kij is given by (10.26)

2 kij ; kij D 2 @2t kij  g`m r`;m

and we use the notation (10.27)

f.ij / D fij C fj i :

Now, when the right side of (10.24) is required to vanish, we can couple the resulting equation to (10.3), obtaining the system (10.28)

@t gij D  2kij ; kij D  3k`.i RicS j / ` C 2RS i ` j m k`m C 2k RicS ij

(10.29)

C 2a.i rj / k C 4kri aj C k`.i rj / a` C a` r` kij C 3kai aj C 42 ki ` kj m k `m :

As before,  is given by (10.22). This system has a hyperbolic character (compare with the discussion of the system (8.37)). The initial-value problem is well posed, and one has finite propagation speed. Furthermore, as shown in [CBR], if such a system is satisfied, then if we use the Lorentz metric (10.1), the Einstein tensor M Gjk D Gjk for this metric satisfies a homogeneous linear hyperbolic system of the following form (here, 1  j; k; `  3): @t G jk C 2 .r j G k0 C r k G j 0  gjk r` G `0 / D 0; (10.30)

G j 0 C f j .G  ; r` G k0 / D 0; @t G 00 C rj G j 0 D 0:

Here, f j is linear in its arguments. In the middle equation, 0  ;   3, while 1  j; k; `  3. Note that the last equation in (10.30) is just part of (1.55), a consequence of the Bianchi identity.

704 18. Einstein’s Equations

Suppose now that the system (10.28)–(10.29) is satisfied and also that, at t D 0, the constraint equations (9.7)–(9.8) and the (10.4) hold. The constraint equations give directly that G 0j D 0 at t D 0, for 0  j  3. In view of (10.7), the equation (10.4) implies RicM jk D 0 at t D 0, for 1  j; k  3. Now X

SM D 2 RicM 00 C

g jk RicM jk ;

1j;k3 2 and RicM 00 D G00  .1=2/ SM , so we deduce that SM D 0 at t D 0, and hence

(10.31)

G jk D 0;

at t D 0;

0  j; k  3:

Now the identity (1.55) (a consequence of Bianchi’s identity) implies (10.32)

@t G j 0 C

3 X

rk G jk D 0 on M;

0  j  3:

kD1

In concert with (10.31), this implies (10.33)

@t G j 0 D 0;

at t D 0;

for 0  j  3. Thus all the Cauchy data for (10.30) vanish at t D 0. Thus, under our current hypotheses, we have a solution to Einstein’s equations G jk D 0 on M . Another approach makes use of “maximal slicing,” namely, requiring H D 0. In view of (10.9), this requires  D SS . Now, using (9.7), we see that when H D 0; SS D Kjk K jk D jKj2 , so we hence have the lapse equation (10.34)

 D jKj2 :

This has no nontrivial solution if S is compact, but it does if S is unbounded and “asymptotically flat.” The use of the evolution equations with maximal slicing plays an important role in [CK]. The use of the evolution equations, with various approaches to the lapse function, and also some variants, involving a “shift vector,” has played an important role in numerical work. A number of papers on this can be found in [EFH]. We also mention the recent work [CBY2], which has implications for both the theoretical and the numerical study of Einstein’s equations.

Exercises 1. Derive the curvature identity (10.5). 2. Show that if S is a three-dimensional Riemannian manifold, with metric tensor gjk , then 1 S S S S D gi k RicS Rijk` j ` C gj ` Rici k  gjk Rici `  gi ` Ricjk  2 SS .gi k gj `  gjk gi ` /:

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3. Rewrite the proof of Proposition 10.2 in a coordinate-invariant manner. Show that Ric0 0 defines a t-dependent family of 0-forms r on St , that Ricj 0 ; 1  j  3, defines a family of 1-forms  on St , and that (10.20) can be written in the form @t r D 22 ı C A.r; /; 1 @t  D dr C B.r; /; 2 where ı W ƒ1 .St / ! ƒ0 .St / is determined by the Riemannian metric on each slice St . Here, each St is identified with a single slice Sc , via the vector field .

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Index

A absolute boundary condition, 559 area functional, 152 second variation, 168 arithmetic-geometric mean inequality, 272, 289 Ascoli’s theorem, 160 B Bakelman’s estimate, 258 Banach space, 96, 588, 603 barrier, 292 lower, 214 upper, 214 Belousov–Zhabotinski system, 351 Bernoulli’s law, 432, 454, 539, 540 Bernstein’s theorem, 184 Besov space, 59 Bianchi identity, 625 bi-Lipschitz maps volume preserving, 600 Birkhoff ’s theorem, 635 blow-up, 420 Bochner Laplacian, 561 Boltzmann equation, 457 boundary gradient estimate, 210, 236, 287 boundary layer, 589 boundary problem regular, 191 Brusselator, 348, 352 C Caccioppoli inequality, 244 calculus of variations, 222 Calderont–Zygmund theorem, 18 catenoid, 156 Cauchy–Kowalewsky theorem, 445, 521 circularly symmetric flows, 587 Codazzi equation, 167

completely nonlinear, 128, 139, 387, 423, 437 concave, 273 conformal, 112, 119 conformal Laplacian, 117 conservation law, 452, 537 scalar, 457 system, 472, 498, 509 constraint equations, 689 contraction mapping principle, 117, 314 convex, 108, 223 covering Lemma Calderont–Zygmund, 19 Vitali, 239 Wiener, 87 D Deformation tensor, 552, 562, 690 DeGiorgi–Nash–Moser theory, 196 difference scheme, 469 Dirichlet boundary condition, 591 Dirichlet problem, 107, 130, 194, 208, 332 div-curl lemma, 29, 83, 93, 511 divergence form, 143 divergence theorem, 620 Duhamel’s formula, 592, 594, 603 dust, 617 E Eddington–Finkelstein coordinates, 636 eikonal equation, 505 Einstein’s equations, 435, 615, 634 initial-value problem, 677 Einstein tensor, 616, 631 elliptic, 47, 127 strongly, 229, 236 underdetermined, 132 uniformly, 215 very strongly, 229

712 Index elliptic boundary problem, 185 energy, 325 conservation, 455 Enneper’s surface, 156 enstrophy, 552 entropy, 456, 485 condition, 501 inequality, 460 Kruzhkov’s condition, 460 entropy-flux pair, 498, 510 equation of state, 450, 456, 485 Euler characteristic, 119 Euler equations, 449, 476, 534, 539, 553, 586, 599 exterior derivative, 535

F Finite propagation speed, 424, 440, 463, 687 Fisher equation, 346 Fitzhugh–Nagumo equations, 335, 341, 347, 349, 362 fixed-point theorem Brouwer, 302 Leray–Schauder, 115, 294, 303, 697 Schauder, 221, 302 fluid flow compressible, 427, 440, 448, 473, 482, 485, 503 incompressible, 532 irrotational, 454, 540 relativistic, 659 stationary, 539 steady, 454 viscous, 561 Fourier transform, 17 Friedrichs mollifier, 3, 377, 414, 542, 558 Frobenius’s theorem, 540 fuzzy function, 74 sharply defined, 75

G Gagliardo–Nierenberg inequality, 8, 29 Galerkin method, 422 modified, 377 G˚arding inequality, 388, 392 Gauss–Bonnet formula, 119, 175, 625, 638

Gauss–Codazzi equations, 688 Gauss curvature, 112, 119, 170, 183, 282, 288, 294, 438, 631 Gauss map, 184 Geometrical optics, 504 nonlinear, 507 Glimm scheme, 495, 524 gravitational collapse, 670 gravitational constant, 669 Gronwall inequality, 358, 379, 416, 418, 421, 546 growth condition controllable, 230

H Hamiltonian, 649 Hardy space, 86, 256 harmonic, 154 harmonic coordinates, 146, 247, 678 harmonic map, 166, 225, 247, 255, 325 Harnack inequality, 199, 262, 401 Hausdorff measure, 237 helicity, 542 helicoid, 156 Helmholtz theorem, 453, 538 Hessian, 282 H¨odge decomposition, 94, 534, 540, 553, 559 H¨odge Laplacian, 545, 561 H¨older continuity, 99, 201, 269, 273, 402 H¨older inequality, 4 reverse, 244 H¨older space, 40, 135 holomorphic, 155 Hopf theorem, 567, 580 hyperbolic system, 703 genuinely nonlinear, 475, 520 linearly degenerate, 483 second-order, 432 strictly, 428, 472, 509, 518 symmetric, 414, 446, 542 symmetrizable, 426

I Implicit function theorem, 120 instability diffusion-driven, 347

Index integral equation, 314, 363 interpolation, 5, 25, 589, 595 complex, 96 Marcinkiewicz, 18 inverse function theorem, 114 isometric imbedding, 133, 147, 153, 225, 325 isothermal coordinates, 112

K Kelvin circulation theorem, 453, 537 Kepler problem, 650 Kerr metric, 648 Kerr–Newman metric, 659 Killing field conformal, 690 timelike, 639 Kolmogorov–Petrovskii–Piskunov equation, 346 Kruskal coordinates, 637 Krylov–Safanov estimates, 258

L Laplace operator, 112, 154, 232, 591 lapse function, 699 layer potential, 605 Legendre–Hadamard condition, 229 Leray projection, 533 Lie derivative, 451, 534 linearization, 127 Liouville’s theorem, 184 liquid crystal, 226 Littlewood–Paley theory, 22, 28, 51 local solvability, 129 longitudinal wave, 480 Lorentz force law, 618 Lorentz metric, 616 lower solution, 118, 283

M Maximal function grand, 86 Hardy-Littlewood, 87 maximum principle, 100, 110, 177, 182, 210, 214, 236, 283, 319, 384, 596, 598

713

Maxwell–Einstein equations, 656, 683 Maxwell’s equations, 617 mean curvature, 153, 219 prescribed, 257 vector, 153 membrane, 216 method of continuity, 113, 209, 234, 281 minimal submanifold, 153, 332 minimal surface, 152, 441 associated, 156 conjugate, 156 stable, 174 Weierstrass–Enneper representation, 156 minimal surface equation, 177, 195, 213, 235 minimization, 222, 234 constrained, 225 Monge–Ampere equation, 128, 282 hyperbolic, 438 Morrey’s lemma, 212, 241, 300 Morrey space, 202, 297, 299 Moser estimates, 13, 62, 66, 338, 378, 415, 430, 543 Moser iteration, 197, 397 Murat’s lemma, 511 N Nash imbedding theorem, 151 Nash–Moser estimates, 387, 396 Navier–Stokes equations, 561, 575, 586, 591, 599 Neumann problem, 334, 555 nonlinear Klein–Gordon equation, 441 no-slip boundary condition, 575, 586 O Oleinik condition (E), 465 Oppenheimer–Volkov equation, 668 orbit heteroclinic, 345, 493 homoclinic, 345

P Palatini identities, 620 parabolic, 314, 376, 387 Petrowski, 390

714 Index paradifferential operator, 62, 67, 140, 387 parametrix, 36, 135 paraproduct, 73 partition of unity Littlewood–Paley, 22, 41, 52, 60, 300 pattern formation, 349 Plateau problem, 158, 257 Poincar´e disk, 124 Poiseuille flows, 591 Poisson integral, 160 Prandtl’s principle, 599 predator-prey equations, 352 pressure, 450, 534 pressure driven, 591 proper time, 616 pseudodifferential operator, 17, 50, 102, 428, 545 elliptic, 607

Q Quasi-linear, 128, 137, 208, 376, 389, 396, 414

R Rankine–Hugoniot condition, 464, 476, 493 rarefaction wave, 467, 474 reaction-diffusion equations, 335, 407 regularity, 135, 185 partial, 236 Schauder, 137 Reissner–Nordstr¨om metric, 658 relativity, 616 Rellich’s theorem, 16, 322 Ricci tensor, 145, 173, 247, 555, 616 Riemann invariant, 503, 511, 514 Riemann mapping theorem, 157 Riemann problem, 466, 474 Riemann surface, 124 Riemann tensor, 554

S Scalar curvature, 616 Schwartz kernel, 18 Schwarzschild metric, 636, 649, 656

second fundamental form, 167, 286, 332, 555 sectional curvature, 326 semigroup heat, 589 holomorphic, 31 semilinear, 107, 244, 314, 424 shock interaction, 496 shock speed, 476 shock wave, 466, 479 spherically symmetric, 498 simple wave, 498 sine-Gordon equation, 442 Sobolev estimates, 595 Sobolev imbedding theorem, 4, 26, 37, 43, 318, 329, 379, 416 Sobolev space, 2, 97 soliton equations, 507 spacelike surface, 434, 678, 680, 689 spacetime, 615 spherically symmetric, 626 static, 635, 644 stationary, 639 splitting method, 353, 362 Stefan problem, 362 Stirling’s formula, 16 Stokes operator, 576 stream function, 454 streamline, 454, 539 stress-energy tensor, 616, 625 stress tensor, 562 strong energy condition, 624 symbol, 17, 50 symbol smoothing, 56, 65, 67, 387 symmetrizer, 426, 508 Synge’s theorem, 175

T Theorema Egregium, 169 timelike, 616 transport equation, 505 traveling wave, 343, 495 Triebel space, 59 Trotter product formula nonlinear, 341–342, 353 Trudinger’s estimate, 29 Trudinger’s inequality, 15, 121

Index U Uniformization theorem, 124, 157 upper solution, 118, 290

V Vacuum, 491 vibrating membrane, 524 vibrating string, 482, 514, 515, 517 viscosity method, 457, 493 viscous profile, 493 vortex line, 539 vortex tube, 453, 538 strength of, 453 vorticity, 451, 535, 660 vorticity equation, 451, 535, 539, 662 Lichnerowicz, 663

W Wave map, 444 Weingarten formula, 152, 169 Weitzenbock formula, 561, 562, 690

Y Yamabe problem, 116 Young measure, 75, 509 Young’s inequality, 54, 59

Z Zygmund space, 42, 47, 97, 99, 135, 300, 547

715