ProofComplete

The Heat Equation - Key Proof

We prove the strong maximum principle for the heat equation, a fundamental result with immediate applications to uniqueness and qualitative properties of solutions.

ProofStrong Maximum Principle for the Heat Equation

Let uu satisfy ut=k2uu_t = k\nabla^2 u in a space-time cylinder Ω×(0,T]\Omega \times (0, T] where ΩRn\Omega \subset \mathbb{R}^n is a bounded domain. Define the parabolic boundary as: Γ=(Ω×{0})(Ω×[0,T])\Gamma = (\overline{\Omega} \times \{0\}) \cup (\partial\Omega \times [0, T])

Claim: If uu attains its maximum MM at some interior point (x0,t0)(x_0, t_0) with t0>0t_0 > 0, then uMu \equiv M in Ω×[0,t0]\Omega \times [0, t_0].

Step 1: Weak Maximum Principle

First, we establish that maxΩ×[0,T]u=maxΓu\max_{\Omega \times [0,T]} u = \max_\Gamma u.

Suppose for contradiction that uu attains a maximum MM at an interior point (x1,t1)(x_1, t_1) with t1>0t_1 > 0 and M>maxΓuM > \max_\Gamma u. Define: v(x,t)=u(x,t)+ϵ(x2+t)v(x,t) = u(x,t) + \epsilon(|x|^2 + t) for small ϵ>0\epsilon > 0.

Then vv also attains its maximum at some interior point (xϵ,tϵ)(x_\epsilon, t_\epsilon), and for small enough ϵ\epsilon: vt(xϵ,tϵ)0,v(xϵ,tϵ)=0,2v(xϵ,tϵ)0v_t(x_\epsilon, t_\epsilon) \geq 0, \quad \nabla v(x_\epsilon, t_\epsilon) = 0, \quad \nabla^2 v(x_\epsilon, t_\epsilon) \leq 0

At (xϵ,tϵ)(x_\epsilon, t_\epsilon): vt=ut+ϵv_t = u_t + \epsilon 2v=2u+2nϵ\nabla^2 v = \nabla^2 u + 2n\epsilon

Since uu satisfies the heat equation: ϵ=vtut=k(2v2u)ut=k2nϵk2u\epsilon = v_t - u_t = k(\nabla^2 v - \nabla^2 u) - u_t = k \cdot 2n\epsilon - k\nabla^2 u

But 2v0\nabla^2 v \leq 0 at a maximum, so 2u2nϵ<0\nabla^2 u \leq -2n\epsilon < 0. This gives: ut=k2u<2nkϵ<0u_t = k\nabla^2 u < -2nk\epsilon < 0

contradicting vt0v_t \geq 0 at the maximum. Thus maxΩ×[0,T]u=maxΓu\max_{\Omega \times [0,T]} u = \max_\Gamma u.

Step 2: Strong Form

Now suppose uu attains its maximum MM at an interior point (x0,t0)(x_0, t_0) with t0>0t_0 > 0.

Define S={t[0,t0]:u(x0,t)=M}S = \{t \in [0, t_0] : u(x_0, t) = M\}. Since uu is continuous and achieves MM at t0t_0, we have SS \neq \emptyset and t0St_0 \in S.

Let t=infSt^* = \inf S. We claim t=0t^* = 0.

If t>0t^* > 0, then u(x0,t)=Mu(x_0, t^*) = M (by continuity) and u(x0,t)<Mu(x_0, t) < M for t[tδ,t)t \in [t^* - \delta, t^*) for some δ>0\delta > 0.

Consider uu in a small ball Br(x0)×[t,t+τ]B_r(x_0) \times [t^*, t^* + \tau]. By the weak maximum principle on this cylinder: maxBr(x0)×[t,t+τ]u=M\max_{B_r(x_0) \times [t^*, t^*+\tau]} u = M

But at (x0,t)(x_0, t^*), we have ut(x0,t)0u_t(x_0, t^*) \geq 0 (since uu is increasing at x0x_0 from tt^*) and 2u(x0,t)0\nabla^2 u(x_0, t^*) \leq 0 (since u(x0,t)=Mu(x_0, t^*) = M).

The heat equation gives: 0ut=k2u00 \leq u_t = k\nabla^2 u \leq 0

Thus 2u(x0,t)=0\nabla^2 u(x_0, t^*) = 0, which means u(x,t)=Mu(x, t^*) = M in a neighborhood of x0x_0. By continuity arguments (repeated application in space), uMu \equiv M in Ω×{t}\Omega \times \{t^*\}.

By similar reasoning backward in time, uMu \equiv M in Ω×[0,t]\Omega \times [0, t^*], contradicting the definition of tt^* unless t=0t^* = 0.

Remark

The strong maximum principle shows that the heat equation has a powerful smoothing effect: if temperature ever equals the maximum at an interior point, it must have been that maximum everywhere earlier. This reflects the fact that heat diffuses away from hot spots—an interior maximum can only occur if it was "imposed" from the initial condition or boundary.