TITLE: Example solutions for PDE
QUESTION [1 upvotes]: $$
\newcommand{\R}{\mathbb{R}}
\newcommand{\1}{\mathbf{1}}
\newcommand{\id}{\mathbb{1}}
\newcommand{\allone}{\mathbb{A}}
$$
Which smooth funcion $f: \mathbb{R}^n \rightarrow \mathbb{R}$ solves the PDE
$$
\tag{1}
\label{PDE}
\text{d}f(x) \cdot x = f(x) + \lambda \,  x \cdot \1
$$
or in coordinates
$$
\sum_{i=1}^n \partial_if(x) \, x_i = f(x) + \lambda \, \sum_{i=0}^nx_i
$$
for some $\lambda \in \mathbb{R}$? I denote $\1 = (1, \cdots, 1)$.
Some solutions I found already are

Any 1-homogeneous function, with $\lambda = 0$, by Euler's theorem for homogeneous functions;

$f(x) = x \cdot \ln{x} = \sum_{i=0}^n x_i \ln{x_i}$, with $\lambda = 1$



To provide some context, this PDE appears in the study of the Hamiltonian structure of Riemannian Evolutionary Games; more precisely it is the condition that the potential of a Hessian metric should satisfy for the corresponding system to be Hamiltonian with respect to a constant coefficient Poisson structure.

Edit: I have not been clear in stating the problem. The answer of Sal provides solution $f_{\lambda}(x)$ to $\eqref{PDE}$ for any fixed $\lambda$. I am looking for functions $f$ such that there exists $\lambda$ such that $\eqref{PDE}$ holds true. For example it is easy to check that in $n$ dimensions
$$
\tag{2}
\label{f}
f(x) = a Mx \cdot \ln{x} + b \cdot x
$$
admits values of $\lambda$ such that $\eqref{PDE}$ holds true, whenever $M$ is a matrix such that
$$
(Mx) \cdot \1 \text{ is proportional to } x \cdot \1
$$
(see related question about this space).
Indeed if $f$ is in the form \eqref{f} then
$$
x \cdot df(x) = f(x) + a \,  (Mx) \cdot \1
$$
So the question would now be whether there exists other forms beyond \eqref{f} such that \eqref{PDE} holds true for some $\lambda$.

REPLY [2 votes]: Let me demonstrate how to solve the specific case $n=2$ using the method of characteristics. The case arbitrary $n$ is below. The PDE for $f(x_1,x_2)$ is
$$\tag{1}
x_1\partial_1f+x_2\partial_2f=f+\lambda (x_1+x_2)
$$
Together with initial condition $f(x_1,g(x_1))=\psi(x_1)$ along some curve in the $x_1,x_2$ plane which is the graph of $x_2=g(x_1)$. Parametrize the characteristics with $z$ and differentiate
$$\tag{2}
\frac{df}{dz}=\frac{dx_1}{dz}\partial_1f+\frac{dx_2}{dz}\partial_2f:=\text{RHS of (1)}
$$
On the characteristic curves we have the following coupled ODEs
$$\tag{3}
\frac{dx_1}{dz}=x_1  \\
\frac{dx_2}{dz}=x_2 \\
\frac{df}{dz}=f+\lambda (x_1+x_2)
$$
We choose $z=0$ along the initial data curve $f(a_1,g(a_1))=\psi(a_1)$. The first two equations in (3) may be integrated directly
$$\tag{4}
x_1(z,a_1)=a_1e^z \\
x_2(z,a_1)=g(a_1)e^z
$$
We can substitute these into the last equation in (3)
$$
\frac{df}{dz}-f=\lambda e^z(a_1+g(a_1))
$$
This is a linear, inhomogeneous, first order equation that we may solve directly (eg. using integrating factor or homogeneous plus particular solution), with the initial condition $f(z=0)=\psi(a_1)$
$$\tag{5}
f(z,a_1)=\psi(a_1)e^z+\lambda z e^z (a_1+g(a_1))
$$
What remains is to invert the co-ordinate transformation defined in (4) back to $x_1,x_2$ from $z,a_1$. For example, if $g(a)=a^2$, then the solution is
$$
f(x_1,x_2)=\frac{x_1^2}{x_2}\psi\left(\frac{x_2}{x_1}\right)+\lambda(x_1+x_2)\ln\left(\frac{x_1^2}{x_2}\right)
$$
Which you can check does solve (1) for arbitrary $\psi$. Now you can generate all kinds of specific solutions by choosing particular forms for $\psi$.
Looking over the calculations, the only change for arbitrary $n$ is the initial condition:
$$
f(x_1,x_2,\dots ,x_{n-1},g)=\psi(x_1,x_2,\dots ,x_{n-1})
$$
Where $g=g(x_1,x_2,\dots ,x_{n-1})$. The co-ordinate transformation in (4) becomes
$$
x_i(z,a_1,\dots,a_{n-1})=a_ie^z \qquad, \qquad i\neq n \\
x_n(z,a_1,\dots,a_{n-1})=g e^z
$$
And the solution is
$$\tag{6}
f(z,a_1,\dots,a_{n-1})=\psi(a_1,\dots,a_{n-1})e^z+\lambda z e^z (a_1+\cdots+a_{n-1}+g)
$$
Where again the solution is to be expressed in the original co-ordinates after inverting the co-ordinate transform. If we choose $g=a_1^2$ (for simplicity) then the inversion may be done neatly for arbitrary $n$
$$\tag{7}
e^z=\frac{x_1^2}{x_n} \\
a_i=\frac{x_i x_n}{x_1^2}
$$
Substituting (7) into (6)
$$
f(x)= \frac{x_1^2}{x_n} \psi(a)\big|_{a=a(x)}+\lambda (x_1+\cdots+x_n) \ln\left( \frac{x_1^2}{x_n}\right)
$$
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