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The inhomogeneous linear transport equation has the characteristic integrating-factor formula

Statement

Let U⊆Rn×R be a region. Assume a∈C1(U;Rn) and c,f∈C(U), and assume that for each (x,t)∈U there is a unique characteristic X(s;t,x) on the closed interval with endpoints 0 and t, its space-time graph remains in U, and the characteristic family has the usual flow consistency. If u∈C1(U) solves

ut+a⋅∇xu+c u=f,u(x,0)=u0(x),

then

u(x,t)=e−∫0tc(X(τ;t,x),τ) dτu0(X(0;t,x))+∫0te−∫stc(X(τ;t,x),τ) dτf(X(s;t,x),s) ds.

Conversely, any C1 function satisfying this formula solves the transport equation on U.

Facts & Assumptions

Given: A C1 transport field a, continuous coefficients c,f, a classical transport solution, and a unique flow-consistent characteristic through each (x,t)∈U whose whole segment to time 0 remains in U.

[L1]

If all partial derivatives exist on a neighbourhood and are continuous at a point, then the map is totally differentiable there with Jacobian derivative makes the stated C1 function totally differentiable on the open region; The chain rule for total derivatives: D(g∘f)(a)=Dg(f(a))∘Df(a) then computes its derivative along a differentiable characteristic curve, whose space-time derivative is (X′(s),1).

[L2]

Along a characteristic, the PDE becomes the scalar linear ODE v′+cv=f (A transport equation restricts to a linear ODE along each characteristic).

[L3]

A scalar first-order linear ODE is solved by the integrating-factor formula (A scalar first-order linear ODE has a unique solution given by the integrating-factor formula).

[L4]

A characteristic satisfies X′(s)=a(X(s),s), and uniqueness makes the characteristic family a single-valued flow (Linear transport equations and their characteristic flow).

Proof

technique · direct
1.1L2given

Fix (x,t)∈U and let v(s)=u(X(s;t,x),s). The characteristic segment stays in U, so [L2] gives v′(s)+c(X(s;t,x),s)v(s)=f(X(s;t,x),s) and v(0)=u0(X(0;t,x)).

2.1L3givenstep 1.1

If t=0, the displayed formula is exactly the initial condition. If t≠0, apply [L3] to the scalar ODE from step 1.1 on the interval with endpoints 0 and t; continuity of c,f, the characteristic, and its in-domain graph makes the two composed coefficients continuous there, while oriented integrals cover either order of the endpoints. This yields the displayed formula for v(t)=u(x,t).

3.1L1L3L4given∎

Conversely, suppose a C1 function satisfies the displayed formula and fix the characteristic Y(s)=X(s;t,x). Flow consistency gives X(r;s,Y(s))=Y(r) for every relevant r,s. Substitution in the displayed formula therefore writes v(s)=u(Y(s),s) exactly as the [L3] integrating-factor solution with coefficients p(s)=c(Y(s),s) and q(s)=f(Y(s),s). Hence v′+pv=q. By [L1] and [L4], v′=ut+a⋅∇xu, proving the PDE at (x,t). At t=0, [L4] gives X(0;0,x)=x and the integral vanishes, so the formula also gives u(x,0)=u0(x).

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