Complete integral

The solution $u(x,a)$, $x=(x_1,\dots,x_n)$, $a=(a_1,\dots,a_n)$, of a first-order partial differential equation

$$F\left(x_1,\dots,x_n,u,\frac{\partial u}{\partial x_1},\dots,\frac{\partial u}{\partial x_n}\right)=0,\tag{1}$$

that depends on $n$ parameters $a_1,\dots,a_n$ and in the relevant region satisfies the condition

$$\det|u_{x_ia_k}|\neq0.$$

If $u(x,a)$ is considered as an $n$-parameter family of solutions, then the envelope of any $(n-1)$-parameter subfamily distinguished by the condition $a_i=\omega_i(t_1,\dots,t_{n-1})$, $1\leq i\leq n$, is a solution to \ref{1}. Then the lines of contact between the surfaces given by the complete integral and the envelope are characteristics of \ref{1}. A complete integral can be used to describe the solution of the characteristic system of the ordinary differential equations corresponding to \ref{1}, and thus enables one to reverse Cauchy's method, which reduces the solution of \ref{1} to that of the characteristic system. This approach is used in analytical mechanics, where one has to find the solution of a canonical system of ordinary differential equations

$$\frac{dx_i}{\partial t}=\frac{\partial H}{\partial p_i},\quad\frac{dp_i}{\partial t}=-\frac{\partial H}{\partial x_i},\quad1\leq i\leq n.\tag{2}$$

This system is a characteristic one for the Jacobi equation

$$u_t+H\left(x_i,\dots,x_n,t,\frac{\partial u}{\partial x_1},\dots,\frac{\partial u}{\partial x_n}\right)=0.\tag{3}$$

If the complete integral $u=u(x_1,\dots,x_n,t,a_1,\dots,a_n)=a_0$ for \ref{3} is known, then the $2n$ integrals of the canonical system \ref{2} are given by the equations $u_{a_i}=b_i$, $u_{x_i}=p_i$, $1\leq i\leq n$, where $a_i$ and $b_i$ are arbitrary constants.

Comments

The Jacobi equation is usually called the (time-dependent) Hamilton–Jacobi equation (see also Hamiltonian system).

References

[a1]	P.R. Garabedian, "Partial differential equations" , Wiley (1964)
[a2]	B.A. Dubrovin, A.T. Fomenko, S.P. Novikov, "Modern geometry - methods and applications" , 1 , Springer (1984) (Translated from Russian)