Parabolic partial differential equation
A parabolic partial differential equation is a type of second-order partial differential equation, describing a wide family of problems in science including heat diffusion and stock option pricing. These problems, also known as evolution problems, describe physical or mathematical systems with a time variable, and which behave essentially like heat diffusing through a medium like a metal plate.
The most important parabolic PDE is the heat equation:
- ,
where is the temperature at time and at position . The symbol signifies the partial derivative with respect to the time variable , and similarly and are second partial derivatives with respect to and .
In plain English, this equation says that the temperature at a given time and point will rise or fall at a rate proportional to the difference between the temperature at that point and the average temperature near that point. [1]
The main generalization of the heat equation is
- ,
where is an elliptic operator. Such a system can be hidden in an equation of the form
if the matrix-valued function has a kernel of dimension 1.
Solution
Under broad assumptions, parabolic PDEs always have solutions for short time, and the difficulty is in determining solutions for all time, or more generally studying the singularities that arise. This is in general quite difficult, as in the Hamilton-Perelman solution of the Poincaré conjecture via Ricci flow.
Examples
See also
Notes
- ^ Indeed, the quantity measures how far off the temperature is from satisfying the mean value property of harmonic functions.