I studied equations of the form $u_t+f(u)_x=0$ are called conservation laws. Recently, somewhere I read that heat equation is a parabolic conservation law(I know that heat equation is a parabolic pde). I have the following doubts
Why heat equation is called a conservation law?
In general when do we say that a PDE is a conservation law?
(So far I thought equations of the form $u_t+f(u)_x=0$ are called conservation principle as they represent conservation in the integral form)
I will answer to the second question before answering to the first: I think the answer will be clearer.
To answer this question, consider the equations in the form $$ u_t+f(u)_x=0\quad x\in\Bbb R^n, n\ge 1\label{1}\tag{1} $$ which are usually called "Conservation laws", and let's do the simplifying assumption that \eqref{1} is a scalar conservation law, i.e. $u$ is a real valued function. Then, a more comfortable way to write \eqref{1} is the following: $$ u_t+\operatorname{div}\mathbf{f}(u)=0\label{1'}\tag{1'} $$ where $$ \mathbf{f}(u)=\mathbf{f}\big(u(x,t)\big)=\left. \begin{pmatrix} f\big(u(x,t)\big)\\ f\big(u(x,t)\big)\\ \vdots\\ f\big(u(x,t)\big) \end{pmatrix}\quad\right\}\text{ $n$ rows}. $$ Now consider a domain $V\in\Bbb R^n$ bounded by an hypersurface $\partial V$, integrate the two sides of the equation over it and apply the divergence (Gauss-Green) theorem: we have $$ \frac{\mathrm{d}}{\mathrm{d}t}\int\limits_V u(x,t)\,\mathrm{d} x + \int\limits_{\partial V} \mathbf{f}\big(u(x,t)\big)\cdot\nu_x\,\mathrm{d}\sigma_x = 0 \label{2}\tag{2} $$ Thus the variation of the total quantity $u$ with respect to the time $t$ on the domain $V$ equals the flux of the vector $\mathbf{f}(u)$ across the boundary of the domain: there is no annihilation nor generation of the quantity $u$ inside $V$, or in simple words, the available total quantity of $u$ is conserved.
In sum, every evolution equation of the form $$ \mathbf{u}_t(x,t)+\operatorname{div}\mathbf{A}\big(x,t,\mathbf{u}(x,t)\big)=0\quad x\in\Bbb R^n,\mathbf{u}\in\Bbb R^m, \mathbf{A}\in M^{m\times n}(\Bbb R)\label{3}\tag{3} $$ is a conservation law since its integral form is totally analogous to \eqref{2} and gives rise to the same interpretation.
The heat equation has the form \eqref{1'} since $$ u_t-\Delta u=0\iff u_t-\operatorname{div}\cdot\operatorname{grad} u=0, $$ therefore it give rise to a formula of type \eqref{2} with $\mathbf{f}(u)= -\operatorname{grad}u$ so it express, by definition, a (very particular) scalar conservation law.