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For the heat kerneldirect partial differentiation givesThus $K$ solves the heat equation. For bounded continuous $f$, differentiation under the integral sign givesWith $Y=(x-y)/\sqrt{4t}$,The Gaussian integral makes the weight have total mass one, and the dominated convergence theorem gives $u(x,t)\to f(x)$. This is the Gaussian approximate identity.

For the viscous Burgers equation with unit viscosity, the Cole-Hopf transformation $w=-2u_x/u$ reduces the equation to $u_t=u_{xx}$. To obtain initial value $g$, choose(up to an irrelevant positive constant), and set $u=K_t\ast f$. ThereforeEquivalently,and the approximate-identity limit gives $w(x,t)\to g(x)$.

Removing the death term with $u(x,t)=e^{\mu t}n(x,t)$ gives the heat equation $u_t=D{u}_{xx}$ with initial data $N\delta (x)$. The heat kernel therefore yieldsFor each fixed $x$, the exponential mortality factor and diffusive prefactor show that $n(x,t)\to 0$ as $t\to \infty$. Its spatial integral is $N{e}^{-\mu t}$, the expected number of surviving larvae.

For the heat operator ${\partial }_x-{\partial }_y^2$, complexify the first frequency. Its symbol iswhose root in $\xi$ is $\xi =i{\eta }^2$ and therefore lies in the closed upper half-plane for real $\eta$. The single steplies strictly below every root and is an explicit Hörmander staircase.

In the frame of a planar interface moving at speed $V$, the steady liquid temperature obeys $-V{T}_z=\kappa T_{zz}$ and approaches $T_{\infty }$. ThusThe Stefan condition, with negligible solid-side heat flux, givesso $T_i-T_{\infty }=L/c_p=S\Delta T$. The kinetic undercooling law then giveswhich requires $S<1$ for advancing solidification.

Scale length with $\kappa /V$, time with $\kappa /V^2$, and temperature with $\Delta T$. The base liquid temperature is ${\Theta }_0=S{e}^{-z}$. For an interface displacement $\zeta e^{i\alpha x+\sigma t}$, write the thermal perturbation asThe heat equation givesLinearizing the Stefan condition giveswhile the kinetic law with stabilizing curvature undercooling givesEliminating $A$ gives the general implicit dispersion relation

At marginal stability $\sigma =0$,and the dispersion relation becomesSince ${\alpha }^2=\lambda (\lambda -1)$ on this curve, the right-hand side is simply $\Gamma {\lambda }^2$. A positive cutoff wavenumber therefore exists exactly whenThe unstable band is $0<\alpha <{\alpha }_c$, whereA sketch of $\Gamma {\lambda }^2$ against the constant $S/(1-S)$ shows no crossing above $\alpha =0$ below threshold and one cutoff above it. As $S\uparrow 1$, ${\lambda }_c$ and ${\alpha }_c$ diverge like $(1-S{)}^{-1/2}$, so the range of the morphological instability of a kinetically limited solidification front becomes unbounded.

Take the Fourier transform in $x$. Since $\widetilde{{\theta }_{xx}}=-k^2\tilde{\theta }$, the transformed heat equation isThereforeThe given transform pair and the convolution theorem yield the heat-kernel solution

When the heat equation is viewed as a second-order equation, its principal symbol contains only the spatial second derivatives:up to an irrelevant sign. It vanishes on $dt$, so the initial plane is characteristic in this second-order sense. The equation remains a well-posed first-order evolution equation in time; these are different notions of order.

Fix $t>0$ and define $w(s,y)=u(t-s,|y|)$ for $0\le s\le t$. The assumed smooth extension and the Neumann boundary condition at zero make $w$ a $C^{1,2}$ function. The heat equation givesThe Itô formula therefore makes $w(s,B_s)$ a local martingale. Stop first when $|B|$ leaves a large compact interval. The exponential growth bound and the finite exponential moments of the maximum of Brownian motion on $[0,t]$ give uniform integrability, so localization and the dominated convergence theorem yieldThis is the Feynman-Kac formula for the Neumann heat problem.

Let $\rho =t\wedge {\tau }_0\wedge {\tau }_1$ and apply the Itô formula to $u(t-s,B_s)$ for $0\le s\le \rho$. The heat equation cancels the drift, so the stopped process is a bounded martingale. The optional sampling theorem for a supermartingale gives $u(t,x)={\mathbb{E}}_x[u(t-\rho ,B_{\rho })]$. On the three mutually exclusive terminal events, the initial and Dirichlet boundary conditions identify this value asThis is the probabilistic representation of the heat equation with time-dependent Dirichlet data.

Let $X=x/ϵ$, $a(X)=1/d(X)$, and seekwith periodic correctors. The leading cell equation makes $u_0$ independent of $X$. At the next order, continuity of microscopic heat flux givesAveraging over one period and using $⟨u_{1X}⟩=0$ yieldsThus the periodic homogenization of a diffusion equation has effective diffusivity $1/\overline{d}$:

For the sawtooth profile, the two triangular areas giveThe homogenized problem is therefore the unit-diffusivity heat equation. Its half-line step solution isIt has the required initial and boundary limits, and direct differentiation verifies $u_t=u_{xx}$.

Take $z$ vertically downward from the cold surface. The ice occupies $0<z<h(t)$ and the water occupies $z>h(t)$. The temperature satisfies the heat equationin both phases, withThe remaining interfacial condition is the Stefan conditionA schematic should show the cold surface, the descending phase boundary, the ice temperature rising from $T_b$ to $T_m$, and the water temperature tending from $T_m$ to $T_{\infty }$.

The porous medium equation $u_t=\Delta (u^m)$ with $m>1$ is a nonlinear partial differential equation whose diffusivity vanishes at $u=0$. Unlike the heat equation, it has compactly supported solutions with finite propagation speed.

The nonlinear equationis the potential form of the viscous Burgers equation. The substitution $w=e^u$ converts it to the heat equation $w_t=w_{xx}$.

For a film with fixed lower temperature $T_0$ and upper condition $-\kappa T_z=\alpha (T_s-T_0+\Delta T)$, negligible horizontal thermal diffusion and thermal advection reduce the heat equation to $T_{zz}=0$. Thus $T=T_0-\alpha \Delta Tz/(\kappa +\alpha h)$. The local approximation requires $(h/L{)}^2\ll 1$ and $U{h}^2/(\kappa L)\ll 1$, together with slow time variation relative to $h^2/\kappa$. For $\alpha h/\kappa \ll 1$, $T_s\simeq T_0-\Delta T\alpha h/\kappa$. The coefficient $\kappa$ is thermal diffusivity, and the boundary coefficient $\alpha$ is normalized accordingly.

For a spherically symmetric field $u(r,t)$ in three dimensions,Thus the heat equation becomes $u_t=D{r}^{-1}(ru{)}_{rr}$. Introducing $w=ru$ reduces its spatial part to the one-dimensional second derivative $w_{rr}$, while regularity at the centre requires $w(0,t)=0$.

For $a>0$, the heat equation on a half-line with $u_t+2a{u}_x+a^{2}u=0$ at the left endpoint admits $u=e^{-ax+a^{2}t}$. The solution is spatially decaying and temporally growing. The boundary resolvent has a double pole at $p=a^2$, allowing generalized contributions proportional to $t{e}^{a^{2}t}$. For $a<0$ the root $\sqrt{p}=a$ is absent on the principal square root branch.

A saline Stefan problem couples a heat equation, a solute diffusion equation, a Stefan condition, solute conservation, and a concentration-dependent liquidus at a moving solid-liquid boundary. Different thermal and solutal diffusivities produce nested boundary layers.

The spatial Galerkin method for the heat equation gives a mass matrix $M$ and a diffusion stiffness matrix $S$. With zero forcing, $\frac{d}{dt}(c^{T}Mc)=-2c^{T}Sc\le 0$. The quadratic form $c^{T}Mc$ is the squared L2 norm of the represented finite-element function, proving an energy contraction. For nonzero forcing, the corresponding identity has the additional term $2c^{T}F$, which can be estimated using the Cauchy-Schwarz inequality.

For the periodic-grid recurrencethe exact Von Neumann stability analysis range at fixed $\mu >0$ is $\mu \ge 3$. The Fourier symbol gives $A(\theta ){\xi }^2-4\xi +1=0$, $A=3e^{2i\theta }+8\mu {\sin }^2(\theta /2)$. The root near one obeys $|\xi {|}^2=1+(6-2\mu ){\theta }^2+O({\theta }^4)$, proving instability for $\mu <3$.

For $\mu \ge 3$, $\mathrm{Re}A-3=6(\cos \theta -1{)}^2+4(\mu -3)(1-\cos \theta )\ge 0$. Writing the modal recurrence as $3v^{n+2}-4v^{n+1}+v^n=-(A-3)v^{n+2}$, the BDF2 discrete energy identity proves nonincrease of $|v^{n+1}{|}^2+|2v^{n+1}-v^n{|}^2$. Summing modes proves stability uniformly even when $\mu$ varies within $[3,\infty )$.

This shifted scheme is not a consistent standard heat discretization under $k=\mu h^2$: dividing its extra spatial-shift defect by $2k/3$ produces $3h{u}_x/k+O(h^2/k)$. On a finite interval with Dirichlet boundary conditions it also requires an extra boundary closure. Thus the periodic stability theorem is not a theorem of convergence to the heat equation or of stability for an unspecified boundary treatment.

A Stefan problem is a moving-boundary problem in which a phase boundary moves as latent heat is released or absorbed. Temperature satisfies a heat equation in each phase and the Stefan condition supplies the interfacial energy balance.

For positive diffusivity, the Cole-Hopf transformation with $f=2\alpha {\partial }_{\theta }\log \psi$ converts the negative-flux equation into the heat equation. Step data give a ratio of two Gaussian-tail integrals $J$. At $\theta =-UZ/2$, $J=1$ and $f=U/2$. Its vanishing-viscosity limit selects the shock or rarefaction wave in the Burgers Riemann problem with negative flux, depending on the sign of $U$.