First order parabolic partial differential equation

Linear first order parabolic partial differential equations in finite domains are solved using the Laplace transform technique in this section. Parabolic PDEs are first order in the time variable and second order in the spatial variable. The method involves applying the Laplace transform in the time variable to convert the partial differential equation to an ordinary differential equation in the Laplace domain. This becomes a boundary value problem (BVP) in the spatial direction with s, the Laplace variable as a parameter. The boundary conditions in x are converted to the Laplace domain and the differential equation in the Laplace domain is solved by using the techniques illustrated in chapter 3.1 for solving linear boundary value problems. Once an analytical solution is obtained in the Laplace domain, the solution is inverted to the time domain to obtain the final analytical solution (in time and spatial coordinates). Certain simple problems can be inverted to the time domain using Maple. This is best illustrated with the following examples. 

A one-dimensional Fokker-Planck equation was used by Smoluchowski [19], and the bivariate Fokker-Planck equation in phase space was investigated by Klein [21] and Kramers [22], Note that, in essence, the Rayleigh equation [23] is a monovariate Fokker-Planck equation in velocity space. Physically, the Fokker-Planck equation describes the temporal change of the pdf of a particle subjected to diffusive motion and an external drift, manifest in the second- and first-order spatial derivatives, respectively. Mathematically, it is a linear second-order parabolic partial differential equation, and it is also referred to as a forward Kolmogorov equation. The most comprehensive reference for Fokker-Planck equations is probably Risken s monograph [14]. 

Transient heat conduction or mass transfer in solids with constant physical properties (diffusion coefficient, thermal diffusivity, thermal conductivity, etc.) is usually represented by a linear parabolic partial differential equation. In this chapter, we describe how one can arrive at the analytical solutions for linear first order hyperbolic partial differential equations and parabolic partial differential equations in finite domains using the Laplace transform technique. 

Parabolic partial differential equations are solved using the Laplace transform technique in this section. Diffusion like partial differential equations are first order... 

Using the boundary conditions (equations (5.54) and (5.55)) the boundary values uo and un+i can be eliminated. Hence, the method of lines technique reduces the nonlinear parabolic PDE (equation (5.48)) to a nonlinear system of N coupled first order ODEs (equation (5.52)). This nonlinear system of ODEs is integrated numerically in time using Maple s numerical ODE solver (Runge-Kutta, Gear, and Rosenbrock for stiff ODEs see chapter 2.2.5). The procedure for using Maple to solve nonlinear parabolic partial differential equations with linear boundary conditions can be summarized as follows ... 

Lawson JD, Motiis JL (1978) The extrapolation of first order methods for parabolic partial differential equations. 1. SIAM J Numer Anal 15 1212-1224... 

Analytical procedures for calculating the non-Gaussian probability density function of the response are generally based on the assumption of Markov processes. Therefore, in a preceding step, the equation of motion (6) has to be transformed by methods of classical mechanics into a set of first order differential equations. From this equation a parabolic partial differential equation, the so-called Fokker-Planck-equatlon, can be derived ... 

A similar equation can be set up for the pressure drop. The combined model now contains K+1 coupled parabolic partial differential equations and one ordinary first order differential equation. They are solved by discretization in the radial direction by use of the orthogonal collocation method, and integration of the resulting set of coupled first order differential equations by use of a semi-implicit Runge-Kutta method. With this model and the used solution method, one can now concentrate on the effective transport properties given in PeH, Pcm and the wall heat transfer coefficient, with the latter being the most important parameter for design. 

In a conventional variational scheme, we cannot introduce an energy functional for a parabolic type of partial differential equation (PDE), since the first order partial differential term of time is involved. In order to overcome this problem (formally), we introduce a method based on the convolution integral. 

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