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In the limit as dy approaches 0, I have
S'_y(x,y)= [p(x/y, y) - p(y, sqrt(y))] p'_x(y, sqrt(y))
and looking at
p(x, y) = x - S(x, y) + C,
I can differentiate with respect to y to get
p'_y(x,y) = - S'_y(x,y),
and making the substitution gives
p'_y(x,y)= -[p(x/y, y) - p(y, sqrt(y))] p'_x(y, sqrt(y)),
which is the partial differential equation.
Are you concerned by the fact that p has rather a lot of points of discontinuity? Perhaps you should be. Derivatives of discontinuous functions can be (ahem) somewhat ill-behaved, as I'm sure you're aware.
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