We consider evolution operators $G(t,s)$ associated to a class of nonautonomous elliptic operators with unbounded coefficients, in the space of bounded and continuous functions over $\mathbb{R}^d$. We prove some new pointwise estimates for the spatial derivatives of the function $G(t,s)f$, when $f$ is bounded and continuous or much smoother. We then use these estimates to prove smoothing effects of the evolution operator in $L^p$-spaces. Finally, we show how pointwise gradient estimates have been used in the literature to study the asymptotic behaviour of the evolution operator and to prove summability improving results in the $L^p$-spaces related to the so-called tight evolution system of measures.
Using time dependent Lyapunov functions, we prove pointwise upper bounds for the heat kernels of some nonautonomous Kolmogorov operators with possibly unbounded drift and diffusion coefficients.
In this paper we survey some recent results concerned with nonautonomous Kolmogorov elliptic operators. Particular attention is paid to the case of the nonautonomous Ornstein-Uhlenbeck operator
Using time dependent Lyapunov functions, we prove pointwise upper bounds for the heat kernels of some nonautonomous Kolmogorov operators with possibly unbounded drift and diffusion coefficients and a possibly unbounded potential term.
We consider a class of nonautonomous elliptic operators ${\mathscr A}$ with unbounded coefficients defined in $[0,T]\times\R^N$ and we prove optimal Schauder estimates for the solution to the parabolic Cauchy problem $D_tu={\mathscr A}u+f$, $u(0,\cdot)=g$.
We study a class of nonautonomous, linear, parabolic equations with unbounded coefficients on $\mathbb R^{d}$ which admit an evolution system of measures. It is shown that the solutions of these equations converge to constant functions as $t\to+\infty$. We further establish the uniqueness of the tight evolution system of measures and treat the case of converging coefficients.
We consider a class of nonautonomous second order parabolic equations with unbounded coefficients defined in $I\times\R^d$, where $I$ is a right-halfline. We prove logarithmic Sobolev and Poincaré inequalities with respect to an associated evolution system of measures $\{μ_t: t \in I\}$, and we deduce hypercontractivity and asymptotic behaviour results for the evolution operator $G(t,s)$.
Under suitable conditions, we obtain some characterization of supercontractivity, ultraboundedness and ultracontractivity of the evolution operator $G(t,s)$ associated to a class of nonautonomous second order parabolic equations with unbounded coefficients defined in $I\times\R^d$, where $I$ is a right-halfline. For this purpose, we establish an Harnack type estimate for $G(t,s)$ and a family of logarithmic Sobolev inequalities with respect to the unique tight evolution system of measures $\{μ_t: t \in I\}$ associated to $G(t,s)$. Sufficient conditions for the supercontractivity, ultraboundedn…
We study a class of elliptic operators $A$ with unbounded coefficients defined in $I\times\CR^d$ for some unbounded interval $I\subset\CR$. We prove that, for any $s\in I$, the Cauchy problem $u(s,\cdot)=f\in C_b(\CR^d)$ for the parabolic equation $D_tu=Au$ admits a unique bounded classical solution $u$. This allows to associate an evolution family $\{G(t,s)\}$ with $A$, in a natural way. We study the main properties of this evolution family and prove gradient estimates for the function $G(t,s)f$. Under suitable assumptions, we show that there exists an evolution system of measures for $\{G(t,…
We consider $N$-species nonautonomous competitive systems of partial differential equations of Kolmogorov type. Under the Neumann boundary conditions we give a sufficient condition for the system to be uniformly stable and globally attractive.
We prove smoothing properties and optimal Schauder type estimates for a class of nonautonomous evolution equations driven by time dependent Ornstein-Uhlenbeck operators in a separable Hilbert space. They arise as Kolmogorov equations of linear nonautonomous stochastic differential equations with Gaussian noise.
We determine sufficient conditions for the occurrence of a pointwise gradient estimate for the evolution operators associated to nonautonomous second order parabolic operators with (possibly) unbounded coefficients. Moreover we exhibit a class of operators which satisfy our conditions.
We consider the nonautonomous Ornstein-Uhlenbeck operator in some weighted spaces of continuous functions in $\R^N$. We prove sharp uniform estimates for the spatial derivatives of the associated evolution operator $\OU$, which we use to prove optimal Schauder estimates for the solution to some nonhomogeneous parabolic Cauchy problems associated with the Ornstein-Uhlenbeck operator. We also prove that, for any $t>s$, the evolution operator $P_{s,t}$ is compact in the previous weighted spaces.
In this paper we consider nonautonomous elliptic operators ${\mathcal A}$ with nontrivial potential term defined in $I\times\mathbb R^d$, where $I$ is a right-halfline (possibly $I=\mathbb R$). We prove that we can associate an evolution operator $(G(t,s))$ with ${\mathcal A}$ in the space of all bounded and continuous functions on $\mathbb R^d$. We also study the compactness properties of the operator $G(t,s)$. Finally, we provide sufficient conditions guaranteeing that each operator $G(t,s)$ preserves the usual $L^p$-spaces and $C_0(\mathbb R^d)$.
In this paper, we consider the inviscid limit of inhomogeneous incompressible Navier-Stokes equations under the weak Kolmogorov hypothesis in $\mathbb{R}^3$. In particular, we first deduce the Kolmogorov-type hypothesis in $\mathbb{R}^3$, which yields the uniform bounds of $α^{th}$-order fractional derivatives of $\sqrt{ρ^μ}{\bf u}^μ$ in $L^2_x$ for some $α>0$, independent of the viscosity. The uniform bounds can provide strong convergence of $\sqrt{ρ^μ}\bf u^μ$ in $L^2$ space. This shows that the inviscid limit is a weak solution to the corresponding Euler equations.
The aim of this paper is to establish new pointwise regularity results for solutions to degenerate second order partial differential equations with a Kolmogorov-type operator of the form $$\mathscr{L} :=\sum_{i,j=1}^m \partial^2_{x_i x_j } +\sum_{i,j=1}^N b_{ij}x_j\partial_{x_i}-\partial_t, $$ where $(x,t) \in \mathbb{R}^{N+1}$, $1 \leq m \le N$ and the matrix $B:=(b_{ij})_{i,j=1,\ldots,N}$ has real constant entries. In particular, we show that if the modulus of $L^p$-mean oscillation of $\mathscr{L} u$ at the origin is Dini, then the origin is a Lebesgue point of continuity in $L^p$ average f…
In this article we establish regularity properties for solutions of infinite dimensional Kolmogorov equations. We prove that if the nonlinear drift coefficients, the nonlinear diffusion coefficients, and the initial conditions of the considered Kolmogorov equations are $n$-times continuously Fréchet differentiable, then so are the generalized solutions at every positive time. In addition, a key contribution of this work is to prove suitable enhanced regularity properties for the derivatives of the generalized solutions of the Kolmogorov equations in the sense that the dominating linear operato…
We study value functions which are viscosity solutions of certain Kolmogorov equations. Using PDE techniques we prove that they are $C^{1,α}$ regular on special finite dimensional subspaces. The problem has origins in pricing and hedging of derivatives of risky assets in mathematical finance.
This research introduces a new method for the transition from partial to ordinary differential equations that is based on the Kolmogorov superposition theorem. In this paper, we discuss the numerical implementation of the Kolmogorov theorem and propose an approach that allows us to apply the theorem to represent partial derivatives of multivariate function as a combination of ordinary derivatives of univariate functions. We tested the method by running a numerical experiment with the Poisson equation. As a result, we managed to get a system of ordinary differential equations whose solution coi…
We study the regularity properties of the second order linear operator in $\mathbb{R}^{N+1}$: \begin{equation*} \mathscr{L} u := \sum_{j,k= 1}^{m} a_{jk}\partial_{x_j x_k}^2 u + \sum_{j,k= 1}^{N} b_{jk}x_k \partial_{x_j} u - \partial_t u, \end{equation*} where $A = \left( a_{jk} \right)_{j,k= 1, \dots, m}, B= \left( b_{jk} \right)_{j,k= 1, \dots, N}$ are real valued matrices with constant coefficients, with $A$ symmetric and strictly positive. We prove that, if the operator $\mathscr{L}$ satisfies Hörmander's hypoellipticity condition, and $f$ is a Dini continuous function, then the second ord…
We provide new regularity results for the solutions of the Kolmogorov equation associated to a SPDE with nonlinear diffusion coefficients and a Burgers type nonlinearity. This generalizes previous results in the simpler cases of additive or affine noise. The basic tool is a discrete version of a two sided stochastic integral which allows a new formulation for the derivatives of these solutions. We show that this can be used to generalize the weak order analysis performed in [16]. The tools we develop are very general and can be used to study many other examples of applications.
In this paper, we construct the fundamental solution to a degenerate diffusion of Kolmogorov type and develop a time-discrete variational scheme for its adjoint equation. The so-called mean squared derivative cost function plays a crucial role occurring in both the fundamental solution and the variational scheme. The latter is implemented by minimizing a free energy functional with respect to the Kantorovich optimal transport cost functional associated with the mean squared derivative cost. We establish the convergence of the scheme to the solution of the adjoint equation generalizing previous…
We consider strongly degenerate parabolic operators of the form \[ \mathcal{L}:=\nabla_X\cdot(A(X,Y,t)\nabla_X)+X\cdot\nabla_Y-\partial_t \] in unbounded domains \[ Ω=\{(X,Y,t)=(x,x_{m},y,y_{m},t)\in\mathbb R^{m-1}\times\mathbb R\times\mathbb R^{m-1}\times\mathbb R\times\mathbb R\mid x_m>ψ(x,y,t)\}. \] We assume that $A=A(X,Y,t)$ is bounded, measurable and uniformly elliptic (as a matrix in $\mathbb R^{m}$) and concerning $ψ$ and $Ω$ we assume that $Ω$ is what we call an (unbounded) Lipschitz domain: $ψ$ satisfies a uniform Lipschitz condition adapted to the dilation structure and the (non-Euc…
We consider degenerate Kolmogorov-Fokker-Planck operators $$ \mathcal{L}u=\sum_{i,j=1}^{q}a_{ij}(x,t)\partial_{x_{i}x_{j}}^{2}u+\sum_{k,j=1}^{N}b_{jk}x_{k}\partial_{x_{j}}u-\partial_{t}u,\qquad (x,t)\in\mathbb{R}^{N+1},N\geq q\geq1 $$ such that the corresponding model operator having constant $a_{ij}$ is hypoelliptic, translation invariant w.r.t. a Lie group operation in $\mathbb{R}^{N+1}$ and $2$-homogeneous w.r.t. a family of nonisotropic dilations. The coefficients $a_{ij}$ are bounded and Hölder continuous in space (w.r.t. some distance induced by $\mathcal{L}$ in $\mathbb{R}^{N}$) and onl…
We produce uniform and decaying bounds in time for derivatives of the solution to the backwards Kolmogorov equation associated to a stochastic processes governed by a time dependent dynamics. These hold under assumptions over the integrability properties in finite time of the derivatives of the transition density associated to the process, together with the assumption of remaining close over all $[0,\infty)$, or decaying in time, to some static measure. We moreover provide examples which satisfy such a set of assumptions. Finally, the results are interpreted in the McKean-Vlasov context for mo…
We prove a Harnack inequality for distributional solutions to a type of degenerate elliptic PDEs in $N$ dimensions. The differential operators in question are related to the Kolmogorov operator, made up of the Laplacian in the last $N-1$ variables, a first-order term corresponding to a shear flow in the direction of the first variable, and a bounded measurable potential term. The first-order coefficient is a smooth function of the last $N-1$ variables and its derivatives up to certain order do not vanish simultaneously at any point, making the operators in question hypoelliptic.
We report on recent results and a new line of research at the crossroad of two major theories in the analysis of partial differential equations. The celebrated De Giorgi-Nash-Moser theory shows H{ö}lder estimates and the Harnack inequality for uniformly elliptic or parabolic equations with rough coefficients in divergence form. The theory of hypoellipticity of H{ö}rmander shows, under general "bracket" conditions, the regularity of solutions to partial differential equations combining first and second order derivative operators when ellipticity fails in some directions. We discuss recent exten…
We are concerned with the inviscid limit of the Navier-Stokes equations to the Euler equations in $\R^3$. We first observe that a pathwise Kolmogorov hypothesis implies the uniform boundedness of the $α^{th}$-order fractional derivative of the velocity for some $α>0$ in the space variables in $L^2$, which is independent of the viscosity $μ>0$. Then it is shown that this key observation yields the $L^2$-equicontinuity in the time and the uniform bound in $L^q$, for some $q>2$, of the velocity independent of $μ>0$. These results lead to the strong convergence of solutions of the Navier-Stokes eq…
We consider a reaction-diffusion-advection problem in a perforated medium, with nonlinear reactions in the bulk and at the microscopic boundary, and low diffusion scaling. The microstructure changes in time; the microstructural evolution is known a priori. The aim of the paper is the rigorous derivation of a homogenized model. We use appropriately scaled function spaces, which allow us to show compactness results, especially regarding the time-derivative and we prove strong two-scale compactness results of Kolmogorov-Simon-type, which allow to pass to the limit in the nonlinear terms. The deri…
We are concerned with the inviscid limit of the Navier-Stokes equations to the Euler equations for compressible fluids in $\mathbb{R}^3$. Motivated by the Kolmogorov hypothesis (1941) for incompressible flow, we introduce a Kolmogorov-type hypothesis for barotropic flows, in which the density and the sonic speed normally vary significantly. We then observe that the compressible Kolmogorov-type hypothesis implies the uniform boundedness of some fractional derivatives of the weighted velocity and sonic speed in the space variables in $L^2$, which is independent of the viscosity coefficient $μ>0$…
We provide the explicit solutions of linear, left-invariant, (convection)-diffusion equations and the corresponding resolvent equations on the 2D-Euclidean motion group SE(2). These diffusion equations are forward Kolmogorov equations for stochastic processes for contour enhancement and completion. The solutions are group-convolutions with the corresponding Green's function, which we derive in explicit form. We mainly focus on the Kolmogorov equations for contour enhancement processes which, in contrast to the Kolmogorov equations for contour completion, do not include convection. The Green's …
We extend the De Giorgi--Nash--Moser theory to a class of kinetic Fokker-Planck equations and deduce new results on the Landau-Coulomb equation. More precisely, we first study the H{ö}lder regularity and establish a Harnack inequality for solutions to a general linear equation of Fokker-Planck type whose coefficients are merely measurable and essentially bounded, i.e. assuming no regularity on the coefficients in order to later derive results for non-linear problems. This general equation has the formal structure of the hypoelliptic equations "of type II" , sometimes also called ultraparabolic…
