Advection-diffusion equation

The constant-coefficient one-dimensional advection-diffusion equation isTranslation to coordinates moving at speed $a$ reduces it to the heat equation.

For $y>0$, the displayed function, expressed using the complementary error function, satisfies $\Delta u=u_x$, with $u=1$ on the positive boundary ray and $u_y=0$ on the negative boundary ray. Put $x=a^2-b^2$, $y=2ab$, so $u=\mathrm{erfc}b$. Then $\Delta u=u_{bb}/[4(a^2+b^2)]$ and $u_x=-b{u}_b/[2(a^2+b^2)]$; the derivative identity $u_{bb}=-2b{u}_b$ verifies the equation. Its boundary traces are $u(x,0)=\mathrm{erfc}\sqrt{-x}$ for $x<0$ and $u_y(x,0)=-1/\sqrt{\pi x}$ for $x>0$. At fixed nonzero polar angle it decays at infinity, but along fixed $y>0$ and $x\to +\infty$ it approaches one. The downstream thermal layer has width $O(\sqrt{x})$, so uniform radial decay would be an incompatible far-field condition.

For constant diffusion coefficient $D$ and drift velocity $v\ne 0$, the balance $|v|t\sim \sqrt{Dt}$ gives the characteristic length $D/|v|$ and time $D/v^2$. The fundamental Gaussian distribution of the advection-diffusion equation has a fixed-position exponential factor $\exp [-v^{2}t/(4D)]$. Total probability is still conserved: this describes probability moving away from a fixed observation region, rather than disappearance of the particle. At zero drift, this finite exponential time scale is absent.

At long wavelengths and on a diffusive time scale, a rapidly varying periodic advection-diffusion equation can have a constant effective diffusivity. A multiple-scale expansion solves periodic cell equations for the fast variables. The solvability condition at the next order gives the macroscopic equation. For a periodic sinusoidal shear this is the effective diffusivity of a periodic sinusoidal shear; its transverse zero-mean cell modes decay, leaving the slow conserved concentration. This use of homogenization concerns differential equations, rather than polynomial homogenization.

In coordinates $s=t$, $y=x-t$, the transport derivative $u_t+u_x$ becomes $U_s$. A Heaviside step function moving at that speed becomes stationary, and its twice-integrated profile gives the displayed continuously differentiable solution of $u_t+u_x=u_{xx}+H(x-t)$. Its second spatial derivative has a jump, so the equation holds away from the moving interface and in the distributional sense there.

For $u_t=u_{xx}+\beta u_x$ on $x>0$, integration by parts in its half-line Fourier transform gives ${\hat{u}}_t+(k^2-i\beta k)\hat{u}=-(ik+\beta )u(0,t)-u_x(0,t)$. Its time-integrated identity relates initial data and boundary values. The spectral involution $k\mapsto -k+i\beta$ preserves $\omega =k^2-i\beta k$. Evaluating the relation at both arguments eliminates the unknown Neumann transform from a Dirichlet problem; the residual unknown solution transform vanishes upon closing the upper contour for $x>0$.

For a passive scalar on a half-line, impose constant total solute flux at its inlet, with initially zero concentration and constant positive advection speed $U$ and mass diffusivity $\mathcal{D}$. A Laplace transform in time givesWith $\xi =Ux/\mathcal{D}$, $\vartheta =U^{2}t/\mathcal{D}$ and $z_{\pm }=(\xi \pm \vartheta )/(2\sqrt{\vartheta })$, its inverse isThe complementary error function describes the smeared front. This is a flux boundary condition, not the constant-concentration inlet solution. At large axial Péclet number, both have the leading advancing front $\frac{1}{2}\mathrm{erfc}(z_{-})$.

The half-line solution of $C_t+U{C}_x=D{C}_{xx}$ with initially zero concentration, unit inlet concentration for positive time, and decay at infinity at fixed time. Both complementary error functions are needed to satisfy the inlet exactly. A Laplace transform gives $\tilde{C}=p^{-1}{e}^{(U-\sqrt{U^2+4Dp})x/(2D)}$. A finite layer requires an additional downstream boundary condition.

For the advection-diffusion equation $u_t=u_{xx}+2a{u}_x$, the multiplication $w=e^{ax}u$ gives $w_t=w_{xx}-a^{2}w$. A Dirichlet boundary condition remains a prescribed value, multiplied by $e^{ax}$ at the endpoint. This real exponential conjugation removes the first derivative without changing a bounded spatial interval.

For $u_t=u_{xx}+u_{yy}+\beta u_x$ on $(0,L_x)\times (0,L_y)$, impose zero Dirichlet boundary conditions on the two vertical sides and the top, and a zero Neumann boundary condition at the bottom. The Dirichlet gauge transform for constant drift $u=e^{-\beta x/2}v$ gives $v_t=\Delta v-{\beta }^{2}v/4$. Separation of variables produces the displayed modes, with $m,n\ge 1$ and ${\lambda }_{mn}=(m\pi /L_x{)}^2+((n-1/2)\pi /L_y{)}^2+{\beta }^2/4$. Their spatial parts are orthogonal with weight $e^{\beta x}$; equivalently, expand $e^{\beta x/2}{u}_0$ in the ordinary sine-cosine basis.

For $q_t=q_{xx}+\alpha q_x$, the exponential change of unknown gives $u_t=u_{xx}-{\alpha }^{2}u/4$. Its Fourier sine transform satisfies a closed scalar evolution with a boundary forcing term. The initial transform uses $e^{\alpha x/2}{q}_0(x)$; ordinary integrable-transform arguments require sufficient decay of this weighted datum. For $q_0=e^{-ax}$ this requires $a>\alpha /2$. In contrast, the unweighted sine transform of $q$ couples to its cosine transform through the drift term, so it does not directly diagonalize this half-line problem.

After the Dirichlet gauge transform for constant drift, put $q=\sqrt{p+a^2}$. The Dirichlet Green function of $p-{\partial }_x^2+a^2$ isThe original unweighted resolvent kernel is $e^{-ax}{R}_q(x,y)e^{ay}$. Its poles are $p=-a^2-(n\pi /L{)}^2$. The kernel is even in $q$, so the apparent square-root branch point is removable.

On $z>0$, consider $p_t+a{p}_z=D(z{p}_z{)}_z$ with $a,D>0$, zero scalar flux $ap-Dz{p}_z$ at the endpoints for $t>0$, and unit initial impulse at the origin. Put $r=a/D$ and $\eta =z/(Dt)$. The normalized similarity solution isThe ansatz $p=(Dt{)}^{-1}f(\eta )$ gives $[\eta f^{\prime }+(\eta -r)f{]}^{\prime }=0$. Endpoint decay sets this integrated constant to zero and hence $f\propto {\eta }^r{e}^{-\eta }$; the gamma function normalizes its integral to one. Its scale is $Dt$, so it converges weakly to a unit impulse as $t\downarrow 0$. Its gamma distribution shape is $1+r$, its maximum occurs at $z=at$, and its expected value is $(a+D)t$. For width proportional to $z$, the associated horizontally averaged plume concentration is proportional to $z^{r-1}{e}^{-z/(Dt)}$: its interior maximum is $(a-D)t$ when $a>D$, its supremum occurs at the origin when $a=D$, and it is singular there when $0<a<D$. The physical finite source regularizes this ideal-origin behaviour.

Writing $u=e^{-\beta x/2}v$ transforms $u_t=u_{xx}+\beta u_x$ into $v_t=v_{xx}-{\beta }^{2}v/4$. A prescribed coordinate derivative $u_x=g$ at an endpoint becomes $v_x-(\beta /2)v=e^{\beta x/2}g$ there. Thus a Neumann boundary condition becomes a Robin boundary condition. The signs are coordinate-derivative signs at both endpoints; outward normal derivatives require a sign change at the left endpoint.

On $(0,L)$, the differential operator $\mathcal{L}={\partial }_x^2+\beta {\partial }_x=e^{-\beta x}{\partial }_x(e^{\beta x}{\partial }_x)$ with homogeneous Neumann boundary conditions is self-adjoint in the weighted inner product with weight $e^{\beta x}$. Its eigenfunctions and nonnegative decay rates areTheir squared norms are $N_0=(e^{\beta L}-1)/\beta$ and $N_k=L[1+{\beta }^2/(4q_k^2)]/2$. The Sturm-Liouville eigenfunction expansion givesThis kernel acts against the measure $e^{\beta y}dy$, not Lebesgue measure alone. It is symmetric in $x,y$; the transition density against Lebesgue measure is $e^{\beta y}{K}_{\beta }(x,y,t)$.

For $L>0$, constant $\beta >0$ and $\mathrm{Re}p>0$, on $(0,L)$ put $b=\beta /2$, $\kappa =\sqrt{p+b^2}$ with the principal square root, andThese satisfy $(p-{\partial }_x^2-\beta {\partial }_x)u_p=(p-{\partial }_x^2-\beta {\partial }_x)v_p=0$ and the left and right homogeneous Neumann boundary conditions, respectively. The weighted Wronskian givesThe first derivative jumps by $-e^{-\beta y}$, so the resolvent integrates against $e^{\beta y}dy$. Its time Laplace transform interpretation is ${\mathcal{R}}_p={\int }_0^{\infty }{e}^{-pt}{K}_{\beta }(t)dt$. The factor $p$ records the zero eigenvalue and constant stationary eigenfunction.

For $u_t=u_{xx}+\beta u_x$ with $u_x(0,t)=g(t)$ and $u_x(L,t)=h(t)$, two applications of integration by parts against a Neumann eigenfunction give the boundary forcing $e^{\beta L}{\varphi }_k(L)h-{\varphi }_k(0)g$. Solving the resulting modal linear differential equation givesThe endpoint derivatives are interior limits: the short-time singularity prevents evaluating each homogeneous boundary derivative before the time integral and infinite sum. The constant eigenfunction gives the weighted-mass law ${\partial }_t{\int }_0^L{e}^{\beta x}udx=e^{\beta L}h-g$.

The Cauchy problem with initial value $u_0$ has

The homogeneous Dirichlet boundary condition kernel for $u_t=u_{xx}+\alpha u_x$ on $x>0$. Here $H(r,t)=e^{-r^2/(4t)}/\sqrt{4\pi t}$ is the heat kernel. The exponential reflection weight makes $K_{\alpha }(0,y,t)=0$. Gaussian decay makes its initial-data integral convergent even when the exponentially weighted initial data are not integrable separately.