We consider a controlled state equation of parabolic type on the halfline $(0,+\infty)$ with boundary conditions of Dirichlet type in which the unknown is equal to the sum of the control and of a white noise in time. We study finite horizon and infinite horizon optimal control problem related by menas of backward stochastic differential equations.
We study a linear quadratic problem for a system governed by the heat equation on a halfline with Dirichlet boundary control and Dirichlet boundary noise. We show that this problem can be reformulated as a stochastic evolution equation in a certain weighted L2 space. An appropriate choice of weight allows us to prove a stronger regularity for the boundary terms appearing in the infinite dimensional state equation. The direct solution of the Riccati equation related to the associated non-stochastic problem is used to find the solution of the problem in feedback form and to write the value funct…
By a probabilistic method we provide an explicit fundamental solution of the Cauchy problem associated to the heat equation on the half-line with constant drift and Dirichlet boundary condition at zero.
In this paper, we derive explicit sharp two-sided estimates for the Dirichlet heat kernels, in C^{1,1} open sets D in R^d, of a large class of subordinate Brownian motions with Gaussian components. When D is bounded, our sharp two-sided Dirichlet heat kernel estimates hold for all t>0. Integrating the heat kernel estimates with respect to the time variable t, we obtain sharp two-sided estimates for the Green functions, in bounded C^{1,1} open sets, of such subordinate Brownian motions with Gaussian components.
We give sharp estimates for the heat kernel of the fractional Laplacian with Dirichlet condition for a general class of domains including Lipschitz domains.
This paper studies strongly local symmetric Dirichlet forms on general measure spaces. The underlying space is equipped with the intrinsic metric induced by the Dirichlet form, with respect to which the metric measure space does not necessarily satisfy volume-doubling property. Assuming Nash-type inequality, it is proved in this paper that outside a properly exceptional set, given a pointwise on-diagonal heat kernel upper bound in terms of the volume function, the comparable heat kernel lower bound also holds. The only assumption made on the volume growth rate is that it can be bounded by a co…
In this paper we show that Dirichlet heat kernel estimates for a class of (not necessarily symmetric) Markov processes are stable under non-local Feynman-Kac perturbations. This class of processes includes, among others, (reflected) symmetric stable-like processes on closed $d$-sets in $\bR^d$, killed symmetric stable processes, censored stable processes in $C^{1, 1}$ open sets as well as stable processes with drifts in bounded $C^{1, 1}$ open sets.
In this paper, we consider symmetric $α$-stable processes on (unbounded) horn-shaped regions which are non-uniformly $C^{1,1}$ near infinity. By using probabilistic approaches extensively, we establish two-sided Dirichlet heat estimates of such processes for all time. The estimates are very sensitive with respect to the reference function corresponding to each horn-shaped region. Our results also cover the case that the associated Dirichlet semigroup is not intrinsically ultracontractive. A striking observation from our estimates is that, even when the associated Dirichlet semigroup is intrins…
Under some mild assumptions on the Levy measure and the symbol we obtain gradient estimates of Dirichlet heat kernels for pure-jump isotropic unimodal Levy processes in $R^d$.
In this paper, we derive explicit sharp two-sided estimates for the Dirichlet heat kernels of a large class of symmetric (but not necessarily rotationally symmetric) Lévy processes on half spaces for all $t>0$. These Lévy processes may or may not have Gaussian component. When Lévy density is comparable to a decreasing function with damping exponent $β$,our estimate is explicit in terms of the distance to the boundary, the Lévy exponent and the damping exponent $β$ of Lévy density.
In this paper we discuss non-local operators with killing potentials, which may not be in the standard Kato class. We first discuss factorization of their Dirichlet heat kernels in metric measure spaces. Then we establish explicit estimates of the Dirichlet heat kernels under critical killings in $C^{1,1}$ open subsets of $\mathbb{R}^d$ or in $\mathbb{R}^d\setminus\{0\}$. The decay rates of our explicit estimates come from the values of the multiplicative constants in the killing potentials. Our method also provides an alternative and unified proof of the main results of \cite{CKS10a, CKS10b, …
We consider the Dirichlet form given by \sE(f,f)&=&{1/2}\int_{\bR^d}\sum_{i,j=1}^d a_{ij}(x)\frac{\partial f(x)}{\partial x_i} \frac{\partial f(x)}{\partial x_j} dx &+&\int_{\bR^d\times \bR^d} (f(y)-f(x))^2J(x,y)dxdy. Under the assumption that the $\{a_{ij}\}$ are symmetric and uniformly elliptic and with suitable conditions on $J$, the nonlocal part, we obtain upper and lower bounds on the heat kernel of the Dirichlet form. We also prove a Harnack inequality and a regularity theorem for functions that are harmonic with respect to $\sE$.
We estimate the heat kernel of the smooth open set for the isotropic unimodal pure-jump Lévy process with infinite Lévy measure and weakly scaling Lévy-Kchintchine exponent.
In this paper, we study transition density functions for pure jump unimodal Lévy processes killed upon leaving an open set $D$. Under some mild assumptions on the Lévy density, we establish two-sided Dirichlet heat kernel estimates when the open set $D$ is $C^{1, 1}$. Our result covers the case that the Lévy densities of unimodal Lévy processes are regularly varying functions whose indices are equal to the Euclidean dimension. This is the first results on two-sided Dirichlet heat kernel estimates for Lévy processes such that the weak lower scaling index of the Lévy densities is not necessarily…
We give a direct proof of the sharp two-sided estimates, recently established in [4,9], for the Dirichlet heat kernel of the fractional Laplacian with gradient perturbation in $C^{1, 1}$ open sets by using Duhamel formula. We also obtain a gradient estimate for the Dirichlet heat kernel. Our assumption on the open set is slightly weaker in that we only require $D$ to be $C^{1,θ}$ for some $θ\in (α/2, 1]$.
We prove tightness of a family of path measures $ν_{\varepsilon}$ on tubes $L(\varepsilon)$ of small diameters around a closed and connected submanifold $L$ of another Riemannian manifold $M$. Together with a convergence result for Dirichlet semigroups on tubular neighbourhoods, that implies weak convergence of the measures as the tube radius $\varepsilon$ tends to zero to a measure supported by the path space of the submanifold. As a consequence, we obtain weak convergence of the measures obtained by conditioning Brownian motion to stay within the tubes $L(\varepsilon)$ up to a finite time $T…
We consider a large class of symmetric pure jump Markov processes dominated by isotropic unimodal Lévy processes with weak scaling conditions. First, we establish sharp two-sided heat kernel estimates for these processes in $C^{1,1}$ open sets. As corollaries of our main results, we obtain sharp two-sided Green function estimates and a scale invariant boundary Harnack inequality with explicit decay rates in $C^{1,1}$ open sets.
We apply the Davies method to give a quick proof for upper estimate of the heat kernel for the non-local Dirichlet form on the ultra-metric space. The key observation is that the heat kernel of the truncated Dirichlet form vanishes when two spatial points are separated by any ball of radius larger than the truncated range. This new phenomenon arises from the ultra-metric property of the space.
We provide sharp two-sided estimates on the Dirichlet heat kernel $k_1(t,x,y)$ for the Laplacian in a ball. The result accurately describes the exponential behaviour of the kernel for small times and significantly improves the qualitatively sharp results known so far. As a consequence we obtain the full description of the kernel $k_1(t,x,y)$ in terms of its global two-sided sharp estimates.
Let $M$ be a complete Riemannian manifold and $D\subset M$ a smoothly bounded domain with compact closure. We use Brownian motion and the classic results on the Stieltjes moment problem to study the relationship between the Dirichlet spectrum of $D$ and the heat content asymptotics of $D.$ Central to our investigation is a sequence of invariants associated to $D$ defined using exit time moments. We prove that our invariants determine that part of the spectrum corresponding to eigenspaces which are not orthogonal to constant functions, that our invariants determine the heat content asymptotics …
In this paper, we discuss estimates of transition densities of subordinate Brownian motions in open subsets of Euclidean space. When $D$ is a $C^{1,1}$ domain, we establish sharp two-sided estimates for the transition densities of a large class of subordinate Brownian motions in $D$ whose scaling order is not necessarily strictly below $2$. Our estimates are explicit and written in terms of the dimension, the Euclidean distance between two points, the distance to the boundary and Laplace exponent of the corresponding subordinator only.
In this paper, we consider the following symmetric non-local Dirichlet forms of pure jump type on metric measure space $(M,d,μ)$: $$\mathcal{E}(f,g)=\int_{M\times M} (f(x)-f(y))(g(x)-g(y))\,J(dx,dy),$$ where $J(dx,dy)$ is a symmetric Radon measure on $M\times M\setminus {\rm diag}$ that may have different scalings for small jumps and large jumps. Under general volume doubling condition on $(M,d,μ)$ and some mild quantitative assumptions on $J(dx, dy)$ that are allowed to have light tails of polynomial decay at infinity, we establish stability results for two-sided heat kernel estimates as well…
This paper provides sharp Dirichlet heat kernel estimates in inner uniform domains, including bounded inner uniform domains, in the context of certain (possibly non-symmetric) bilinear forms resembling Dirichlet forms. For instance, the results apply to the Dirichlet heat kernel associated with a uniformly elliptic divergence form operator with symmetric second order part and bounded measurable coefficients in inner uniform domains in $\mathbb R^n$. The results are applicable to any convex domain, to the complement of any convex domain, and to more exotic examples such as the interior and exte…
We provide general lower and upper bounds for Laplace Dirichlet heat kernel of convex $\mathcal C^{1,1}$ domains. The obtained estimates precisely describe the exponential behaviour of the kernels, which has been known only in a few special cases so far. Furthermore, we characterize a class of sets for which the estimates are sharp, i.e. the upper and lower bounds coincide up to a multiplicative constant. In particular, this includes sets of the form $\{x\in \R^n: x_n>a|(x_1,...,x_{n-1})|^p\}$ where $p\geq2$, $n\geq2 $ and $a>0$.
In this paper, we prove the existence of martingale solutions to the stochastic heat equation taking values in a Riemannian manifold, which admits Wiener (Brownian bridge) measure on the Riemannian path (loop) space as an invariant measure using a suitable Dirichlet form. Using the Andersson-Driver approximation, we heuristically derive a form of the equation solved by the process given by the Dirichlet form. Moreover, we establish the log-Sobolev inequality for the Dirichlet form in the path space. In addition, some characterizations for the lower bounds of the Ricci curvature are presented r…
This paper proves the strong parabolic Harnack inequality for local weak solutions to the heat equation associated with time-dependent (nonsymmetric) bilinear forms. The underlying metric measure Dirichlet space is assumed to satisfy the volume doubling condition, the strong Poincaré inequality, and a cutoff Sobolev inequality. The metric is not required to be geodesic. Further results include a weighted Poincaré inequality, as well as upper and lower bounds for non-symmetric heat kernels.
Suppose that $d\geq2$ and $α\in(1,2)$. Let D be a bounded $C^{1,1}$ open set in $\mathbb{R}^d$ and b an $\mathbb{R}^d$-valued function on $\mathbb{R}^d$ whose components are in a certain Kato class of the rotationally symmetric α-stable process. In this paper, we derive sharp two-sided heat kernel estimates for $\mathcal{L}^b=Δ^{α/2}+b\cdot\nabla$ in D with zero exterior condition. We also obtain the boundary Harnack principle for $\mathcal{L}^b$ in D with explicit decay rate.
We consider sub-Laplacians in open bounded sets in a homogeneous Carnot group and study their spectral properties. We prove that these operators have a pure point spectrum, and prove the existence of the spectral gap. In addition, we give applications to the small ball problem for a hypoelliptic Brownian motion and the large time behavior of the heat content in a regular domain.
This paper aims at proving the local boundedness and continuity of solutions of the heat equation in the context of Dirichlet spaces under some rather weak additional assumptions. We consider symmetric local regular Dirichlet forms which satisfy mild assumptions concerning (a) the existence of cut-off functions, (b) a local ultracontractivity hypothesis, and (c) a weak off-diagonal upper bound. In this setting, local weak solutions of the heat equation, and their time derivatives, are shown to be locally bounded; they are further locally continuous, if the semigroup admits a locally continuous…
In [4], it is proved that we can have a continuous first-passage-time density function of one dimensional standard Brownian motion when the boundary is Hölder continuous with exponent greater than 1/2. For the purpose of extending [4] into multidimensional domains, we show that there exists a continuous first-passage-time density function of standard $d$-dimensional Brownian motion in moving boundaries in $\mathbb{R}^{d}$, $d\geq 2$, under a $C^{3}$-diffeomorphism. Similarly as in [4], by using a property of local time of standard $d$-dimensional Brownian motion and the heat equation with Diri…
We study the time regularity of local weak solutions of the heat equation in the context of local regular symmetric Dirichlet spaces. Under two basic and rather minimal assumptions, namely, the existence of certain cut-off functions and a very weak $L^2$ Gaussian type upper-bound for the heat semigroup, we prove that the time derivatives of a local weak solution of the heat equation are themselves local weak solutions. This applies, for instance, to local weak solutions of parabolic equations with uniformly elliptic symmetric divergence form second order operators with measurable coefficients.…
In this paper, we consider a large class of purely discontinuous rotationally symmetric Levy processes. We establish sharp two-sided estimates for the transition densities of such processes killed upon leaving an open set D. When D is a κ-fat open set, the sharp two-sided estimates are given in terms of surviving probabilities and the global transition density of the Levy process. When D is a C^{1, 1} open set and the Levy exponent of the process is given by Ψ(ξ)= ϕ(|ξ|^2) with ϕbeing a complete Bernstein function satisfying a mild growth condition at infinity, our two-sided estimates are expl…
In this paper, we consider symmetric jump processes of mixed-type on metric measure spaces under general volume doubling condition, and establish stability of two-sided heat kernel estimates and heat kernel upper bounds. We obtain their stable equivalent characterizations in terms of the jumping kernels, variants of cut-off Sobolev inequalities, and the Faber-Krahn inequalities. In particular, we establish stability of heat kernel estimates for $α$-stable-like processes even with $α\ge 2$ when the underlying spaces have walk dimensions larger than $2$, which has been one of the major open prob…
In classical PDE theory, Widder's theorem gives a representation for nonnegative solutions of the heat equation on $\mathbb{R}^n$. We show that an analogous theorem holds for local weak solutions of the canonical "heat equation" on a symmetric local Dirichlet space satisfying a local parabolic Harnack inequality.
In this paper, we consider the following symmetric Dirichlet forms on a metric measure space $(M,d,μ)$: $$\mathcal{E}(f,g) = \mathcal{E}(^{(c)}(f,g)+\int_{M\times M} (f(x)-f(y))(g(x)-g(y))\,J(dx,dy),$$ where $\mathcal{E}(^{(c)}$ is a strongly local symmetric bilinear form and $J(dx,dy)$ is a symmetric Random measure on $M\times M$. Under general volume doubling condition on $(M,d,μ)$ and some mild assumptions on scaling functions, we establish stability results for upper bounds of heat kernel (resp.\ two-sided heat kernel estimates) in terms of the jumping kernels, the cut-off Sobolev inequali…
We introduce the class of bounded variation (BV) functions in a general framework of strictly local Dirichlet spaces with doubling measure. Under the 2-Poincaré inequality and a weak Bakry-Émery curvature type condition, this BV class is identified with the heat semigroup based Besov class $\mathbf{B}^{1,1/2}(X)$ that was introduced in our previous paper. Assuming furthermore a quasi Bakry-Émery curvature type condition, we identify the Sobolev class $W^{1,p}(X)$ with $\mathbf{B}^{p,1/2}(X)$ for $p>1$. Consequences of those identifications in terms of isoperimetric and Sobolev inequalities wit…
We introduce heat semigroup-based Besov classes in the general framework of Dirichlet spaces. General properties of those classes are studied and quantitative regularization estimates for the heat semigroup in this scale of spaces are obtained. As a highlight of the paper, we obtain a far reaching $L^p$-analogue, $p \ge 1$, of the Sobolev inequality that was proved for $p=2$ by N. Varopoulos under the assumption of ultracontractivity for the heat semigroup. The case $p=1$ is of special interest since it yields isoperimetric type inequalities.
Consider the following equation $$\partial_t u_t(x)=\frac{1}{2}\partial _{xx}u_t(x)+λσ(u_t(x))\dot{W}(t,\,x)$$ on an interval. Under Dirichlet boundary condition, we show that in the long run, the second moment of the solution grows exponentially fast if $λ$ is large enough. But if $λ$ is small, then the second moment eventually decays exponentially. If we replace the Dirichlet boundary condition by the Neumann one, then the second moment grows exponentially fast no matter what $λ$ is. We also provide various extensions.
In this paper, we use probabilistic approach to prove that there exists a unique weak solution to the Dirichlet boundary value problem for second order elliptic equations whose coefficients are signed measures, and we will give a probabilistic representation of the solutions. This is the first time to study Dirichlet boundary value problems with this generality. The heat kernel estimates play a crucial role in our approach.
With a view toward fractal spaces, by using a Korevaar-Schoen space approach, we introduce the class of bounded variation (BV) functions in a general framework of strongly local Dirichlet spaces with a heat kernel satisfying sub-Gaussian estimates. Under a weak Bakry-Émery curvature type condition, which is new in this setting, this BV class is identified with a heat semigroup based Besov class. As a consequence of this identification, properties of BV functions and associated BV measures are studied in detail. In particular, we prove co-area formulas, global $L^1$ Sobolev embeddings and isope…
We present a concrete family of fractals, which we call the (two-dimensional) thin scale irregular Sierpiński gaskets and each of which is equipped with a canonical strongly local regular symmetric Dirichlet form. We prove that any fractal $K$ in this family satisfies the full off-diagonal heat kernel estimates with some space-time scale function $Ψ_{K}$ and the singularity of the associated energy measures with respect to the canonical volume measure (uniform distribution) on $K$, and also that the decay rate of $r^{-2}Ψ_{K}(r)$ to $0$ as $r\downarrow 0$ can be made arbitrarily slow by suitab…
In \cite{GRV}, a Feller process called Liouville Brownian motion on $\R^2$ has been introduced. It can be seen as a Brownian motion evolving in a random geometry given formally by the exponential of a (massive) Gaussian Free Field $e^{γX}$ and is the right diffusion process to consider regarding 2d-Liouville quantum gravity. In this note, we discuss the construction of the associated Dirichlet form, following essentially \cite{fuku} and the techniques introduced in \cite{GRV}. Then we carry out the analysis of the Liouville resolvent. In particular, we prove that it is strong Feller, thus obta…
For $d\geq 1$ and $0<β<α<2$, consider a family of pseudo differential operators $\{Δ^α + a^βΔ^{β/2}; a \in [0, 1]\}$ that evolves continuously from $Δ^{α/2}$ to $ Δ^{α/2}+ Δ^{β/2}$. It gives arise to a family of Lévy processes \{$X^a, a\in [0, 1]\}$, where each $X^a$ is the sum of independent a symmetric $α$-stable process and a symmetric $β$-stable process with weight $a$. For any $C^{1,1}$ open set $D$, we establish explicit sharp two-sided estimates (uniform in $a\in [0,1]$) for the transition density function of the subprocess $X^{a, D}$ of $X^a$ killed upon leaving the open set $D$. The i…
In the context of a metric measure Dirichlet space satisfying volume doubling and Poincaré inequality, we prove the parabolic Harnack inequality for weak solutions of the heat equation associated with local nonsymmetric bilinear forms. In particular, we show that these weak solutions are locally bounded.
The main result of this note is the existence of martingale solutions to the stochastic heat equation (SHE) in a Riemannian manifold by using suitable Dirichlet forms on the corresponding path/loop space. Moreover, we present some characterizations of the lower bound of the Ricci curvature by functional inequalities of various associated Dirichlet forms.
Scuola Superiore Meridionale - Università degli Studi di Napoli “Federico II”（那不勒斯费德里科二世大学南方高等学院）；Cornell University（康奈尔大学）；Dipartimento di Matematica “Giuseppe Peano” - Università degli Studi di Torino（都灵大学皮亚诺数学系）
We show that for a strongly local, regular symmetric Dirichlet form over a complete, locally compact geodesic metric space, full off-diagonal heat kernel estimates with walk dimension strictly larger than two (\emph{sub-Gaussian} estimates) imply the singularity of the energy measures with respect to the symmetric measure, verifying a conjecture by M.\ T.\ Barlow in [Contemp.\ Math., vol.\ 338, 2003, pp.\ 11--40]. We also prove that in the contrary case of walk dimension two, i.e., where full off-diagonal \emph{Gaussian} estimates of the heat kernel hold, the symmetric measure and the energy m…
