In this paper we develop a potential theory for 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 of the form \[ Ω=\{(X,Y,t)=(x,x_{m},y,y_{m},t)\in\mathbb R^{m-1}\times\mathbb R\times\mathbb R^{m-1}\times\mathbb R\times\mathbb R\mid x_m>ψ(x,y,y_m,t)\}, \] where $ψ$ is assumed to satisfy a uniform Lipschitz condition adapted to the dilation structure and the (non-Euclidean) Lie group underlying the operator $\mathcal{L}$. Concerning $A=A(X,Y,t)$ we assume that $A$ is bounded, measurable, symmetric and uniformly elliptic (as a matrix in $\mathbb R^{m}$). Beyond the solvability of the Dirichlet problem and other fundamental properties our results include scale and translation invariant boundary comparison principles, boundary Harnack inequalities and doubling properties of associated parabolic measures. All of our estimates are translation- and scale-invariant with constants only depending on the constants defining the boundedness and ellipticity of $A$ and the Lipschitz constant of $ψ$. Our results represent a version, for operators of Kolmogorov type with bounded, measurable coefficients, of the by now classical results of Fabes and Safonov, any several others, concerning boundary estimates for uniformly parabolic equations in (time-dependent) Lipschitz type domains.
The goal of the present paper is to present a new approach to the construction of asymptotic (approximating) solutions to parabolic PDE by using the characteristics.
The aim of this work is to prove the existence of a fundamental solution associated to the Kolmogorov equation L u = f with measurable coefficients in the dilation invariant case. Moreover, we prove Gaussian upper and lower bounds for it, and other related properties.
We prove Gaussian upper and lower bounds for the fundamental solutions of a class of degenerate parabolic equations satisfying a weak Hormander condition. The bound is independent of the smoothness of the coefficients and generalizes classical results for uniformly parabolic equations
We consider weak solutions of degenerate second order partial differential equations of Kolmogorov-Fokker-Planck type with measurable coefficients in divergence form. We give a geometric statement of the Harnack inequality recently proven by Golse, Imbert, Mouhot and Vasseur. As a corollary we obtain a strong maximum principle.
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…
This work is devoted to the study of the obstacle problem associated to the Kolmogorov-Fokker-Planck operator with rough coefficients through a variational approach. In particular, after the introduction of a proper anisotropic Sobolev space and related properties, we prove the existence and uniqueness of a weak solution for the obstacle problem by adapting a classical perturbation argument to the convex functional associated to the case of our interest. Finally, we conclude this work by providing a one-sided associated variational inequality, alongside with an overview on related open problem…
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,…
Two essential quantities for the analysis of approximation schemes of evolution equations are stability and convergence. We derive stability and convergence of fully discrete approximation schemes of solutions to linear parabolic evolution equations governed by time dependent coercive operators. We consider abstract Galerkin approximations in space combined with theta-schemes in time. The level of generality of our analysis comprises both a large class of time-dependent operators and a large choice of approximating Galerkin spaces. In particular the results apply to partial integro differentia…
The aim of this paper is to give Adams-Spanne type estimates for parabolic sublinear operators and their commutators by with rough kernels generated by parabolic fractional integral operators under generic size conditions which are satisfied by most of the operators in harmonic analysis. Their endpoint estimates are also disposed.
In this paper, the author introduces parabolic generalized local Morrey spaces and gets the boundedness of a large class of parabolic rough operators on them. The author also establihes the parabolic local Campanato space estimates for their commutators on parabolic generalized local Morrey spaces. As its special cases, the corresponding results of parabolic sublinear operators with rough kernel and their commutators can be deduced, respec- tively. At last, parabolic Marcinkiewicz operator which satisfies the conditions of these theorems can be considered as an example.
A (2+1)-dimensional linear ultra-parabolic Fokker--Planck--Kolmogorov equation is investigated from the group-theoretical point of view. By using the Berest--Aksenov approach, an algebra of invariance of fundamental solutions of the equation is found. A fundamental solution of the equation under study is computed in an explicit form as a weak invariant solution.
Existence, uniqueness and stability of kinetic and entropy solutions to the boundary value problem for the Kolmogorov-type genuinely nonlinear ultra-parabolic equation with a smooth source term is established. After this, we consider the case when the source term contains a small positive parameter and collapses to the Dirac delta-function, as this parameter tends to zero. In this case, the limiting passage from the original equation with the smooth source to the impulsive ultra-parabolic equation is fulfilled and rigorously justified. The proofs rely on the method of kinetic equation and on t…
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 investigate linear parabolic, second-order boundary value problems with mixed boundary conditions on rough domains. Assuming only boundedness and ellipticity on the coefficient function and very mild conditions on the geometry of the domain, including a very weak compatibility condition between the Dirichlet boundary part and its complement, we prove Hölder continuity of the solution in space and time.
We consider nonlinear Kolmogorov-Fokker-Planck type equations of the form \begin{equation}\label{abeqn} (\partial_t+X\cdot\nabla_Y)u=\nabla_X\cdot(A(\nabla_X u,X,Y,t)). \end{equation} The function $A=A(ξ,X,Y,t):\R^m\times\R^m\times\R^m\times\R\to\R^m$ is assumed to be continuous with respect to $ξ$, and measurable with respect to $X,Y$ and $t$. $A=A(ξ,X,Y,t)$ is allowed to be nonlinear but with linear growth. We establish higher integrability and local boundedness of weak sub-solutions, weak Harnack and Harnack inequalities, and H{ö}lder continuity with quantitative estimates. In addition we e…
We consider a class of ultra-parabolic Kolmogorov-type operators satisfying the Hormander's condition. We prove an intrinsic Taylor formula with global and local bounds for the remainder given in terms of the norm in the homogeneous Lie group naturally associated to the differential operator.
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 prove space and time regularity for solutions of fully nonlinear parabolic integro-differential equations with rough kernels. We consider parabolic equations $u_t = \I u$, where $\I$ is translation invariant and elliptic with respect to the class $\mathcal L_0(σ)$ of Caffarelli and Silvestre, $σ\in(0,2)$ being the order of $\I$. We prove that if $u$ is a viscosity solution in $B_1 \times (-1,0]$ which is merely bounded in $\R^n \times (-1,0]$, then $u$ is $C^β$ in space and $C^{β/σ}$ in time in $\overline{B_{1/2}} \times [-1/2,0]$, for all $β< \min\{σ, 1+α\}$, where $α>0$. Our proof combine…
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 $G(t,s)$.
We consider a class of possibly degenerate second order elliptic operators $\cal A$ on $\R^n$. This class includes hypoelliptic Ornstein-Uhlenbeck type operators having an additional first order term with unbounded coefficients. We establish global Schauder estimates in Hölder spaces both for elliptic equations and for parabolic Cauchy problems involving ${\cal A}$. The Hölder function spaces are defined with respect to a non-euclidean metric related to the operator $\cal A$.
On Cauchy Problems for Parabolic Equations with Rough Coefficients
School of Mathematical Sciences（复旦大学数学科学学院；黎曼几何与动力系统研究中心及当代应用数学上海市重点实验室）；LMNS and Shanghai Key Laboratory for Contemporary Applied Mathematics, Fudan University
This article focuses on parabolic equations with rough diffusion coefficients which are ill-posed in the classical sense of distributions due to the presence of a singular forcing. Inspired by the philosophy of rough paths and regularity structures, we introduce a notion of modelled distribution which is suitable in this context. We prove two general tools for reconstruction and integration, as well as a product lemma which is tailor made for the reconstruction of the rough diffusion operator. This yields a partially automated deterministic theory, which we apply to obtain an existence and uni…
We introduce a new class of strongly degenerate nonlinear parabolic PDEs $$((p-2)Δ_{\infty,X}^N+Δ_X)u(X,Y,t)+(m+p)(X\cdot\nabla_Yu(X,Y,t)-\partial_tu(X,Y,t))=0,$$ $(X,Y,t)\in\mathbb R^m\times \mathbb R^m\times \mathbb R$, $p\in (1,\infty)$, combining the classical PDE of Kolmogorov and the normalized $p$-Laplace operator. We characterize solutions in terms of an asymptotic mean value property and the results are connected to the analysis of certain tug-of-war games with noise. The value functions for the games introduced approximate solutions to the stated PDE when the parameter that controls …
We consider a possibly degenerate Kolmogorov-Ornstein-Uhlenbeck operator of the form L = Tr(BD 2) + Az, D , where A, B are N x N matrices, z $\in$ R N , N $\ge$ 1, which satisfy the Kalman condition which is equivalent to the hypoellipticity condition. We prove the following stability result: the Schauder and Sobolev estimates associated with the corresponding parabolic Cauchy problem remain valid, with the same constant, for the parabolic Cauchy problem associated with a second order perturbation of L, namely for L + Tr(S(t)D 2) where S(t) is a non-negative N x N matrix depending continuously…
We deal with a class of semilinear parabolic PDEs on the space of continuous functions that arise, for example, as Kolmogorov equations associated to the infinite-dimensional lifting of path-dependent SDEs. We investigate existence of smooth solutions through their representation via forward-backward stochastic systems, for which we provide the necessary regularity theory. Because of the lack of smoothing properties of the parabolic operators at hand, solutions in general will only share the same regularity as the coefficients of the equation. To conclude we exhibit an application to Hamilton-…
An integro-differential Kolmogorov equation is considered in Hölder-type spaces defined by a scalable Lévy measure. Some properties of those spaces and estimates of the solution are derived using probabilistic representations.
We establish the existence and uniqueness, in bounded as well as unbounded Lipschitz type cylinders of the forms $U_X\times V_{Y,t}$ and $Ω\times \mathbb R^{m}\times \mathbb R$, of weak solutions to Cauchy-Dirichlet problems for the strongly degenerate parabolic operator \[ \mathcal{L}:= \nabla_X\cdot(A(X,Y,t)\nabla_X)+X\cdot\nabla_Y-\partial_t, \] assuming that $A=A(X,Y,t)=\{a_{i,j}(X,Y,t)\}$ is a real $m\times m$-matrix valued, measurable function such that $A(X,Y,t)$ is symmetric, bounded and uniformly elliptic. Subsequently we solve the continuous Dirichlet problem and establish the repres…
The classical Feynman-Kac identity builds a bridge between stochastic analysis and partial differential equations (PDEs) by providing stochastic representations for classical solutions of linear Kolmogorov PDEs. This opens the door for the derivation of sampling based Monte Carlo approximation methods, which can be meshfree and thereby stand a chance to approximate solutions of PDEs without suffering from the curse of dimensionality. In this article we extend the classical Feynman-Kac formula to certain semilinear Kolmogorov PDEs. More specifically, we identify suitable solutions of stochastic…
We establish Hölder estimates for the time derivative of solutions of non-local parabolic equations under mild assumptions for the boundary data. As a consequence we are able to extend the Evans-Krylov estimate for rough kernels to parabolic equations.
In this paper, we show a weighted Hardy inequality in a limiting case for functions in weighted Sobolev spaces with respect to an invariant measure. We also prove that the constant in the left-hand side of the inequality is optimal. As applications, we establish the existence and nonexistence of positive exponentially bounded weak solutions to a parabolic problem involving the Ornstein-Uhlenbeck operator perturbed by a critical singular potential in two dimensional case, according to the size of the coefficient of the critical potential. These results can be considered as counterparts in the l…
We give general conditions to state the weighted Hardy inequality \[ c\int_{\mathbb{R}^N}\frac{φ^2} {|x|^2}dμ\leq\int_{\mathbb{R}^N}|\nabla φ|^2 dμ+C\int_{\mathbb{R}^N} φ^2dμ,\quad φ\in C_c^{\infty}(\mathbb{R}^N),\,c\leq c_{0,μ}, \] with respect to a probability measure $dμ$. Moreover, the optimality of the constant $c_{0,μ}$ is given. The inequality is related to the following Kolmogorov equation perturbed by a singular potential \[ Lu+Vu=\left(Δu+\frac{\nabla μ}μ\cdot \nabla u\right)+\frac{c}{|x|^2}u \] for which the existence of positive solutions to the corresponding parabolic problem can …
We establish $L_{q,p}$-estimates and solvability for mixed Dirichlet-conormal problems for parabolic equations in a cylindrical Reifenberg-flat domain with a rough time-dependent separation.
We consider divergence-form parabolic equation with measurable uniformly elliptic matrix and the vector field in a large class containing, in particular, the vector fields in $L^p$, $p>d$, as well as some vector fields that are not even in $L_{\rm loc}^{2+\varepsilon}$, $\varepsilon>0$. We establish Hölder continuity of the bounded soutions, sharp two-sided Gaussian bound on the heat kernel, Harnack inequality.
We consider partial differential equations (PDE) of drift-diffusion type in the unit interval, supplemented by either two conservation laws or by a conservation law and a further boundary condition. We treat two different cases: (i) uniform parabolic problems; (ii) degenerated problems at the boundaries. The former can be treated in a very general and complete way, much as the traditional boundary value problems. The latter, however, bring new issues, and we restrict our study to a class of forward Kolmogorov equations that arise naturally when the corresponding stochastic process has either o…
We give necessary and sufficient conditions for the existence of weak solutions of a parabolic problem corresponding to the Kolmogorov operators perturbed by a multipolar inverse square potential with respect to the Gaussian probability measure which is the unique invariant measure for Ornstein-Uhlenbeck type operators. We state the optimality of the constant and, then, the nonexistence of positive exponentially bounded solutions to the parabolic problem.
We study a class of non-linear parabolic systems relevant in turbulence theory. Those systems can be viewed as simplified versions of the Prandtl one-equation and Kolmogorov two-equation models of turbulence. We restrict our attention to the case of one space dimension. We consider initial data for which the diffusion coefficients may vanish. We prove that, under this condition, those systems are locally well-posed in the class of Sobolev spaces of high enough regularity, but also that there exist smooth initial data for which the corresponding solutions blow up in finite time. We are able to …
We obtain Schauder estimates for a class of concave fully nonlinear nonlocal parabolic equations of order $σ\in (0,2)$ with rough and non-symmetric kernels. As a application, we prove that the solution to a translation invariant equation with merely bounded data is $C^σ$ in $x$ variable and $Λ^1$ in $t$ variable, where $Λ^1$ is the Zygmund space.
In this paper we study both the Cauchy problem and the initial boundary value problem for the equation $\partial_tu+\mbox{div}\left(\nablaΔu-{\bf g}(\nabla u)\right)=0$. This equation has been proposed as a continuum model for kinetic roughening and coarsening in thin films. In the Cauchy problem, we obtain that local existence of a weak solution is guaranteed as long as the vector-valued function ${\bf g}$ is continuous and the initial datum $u_0$ lies in $C^1(\mathbb{R}^N)$ with $\nabla u_0(x)$ being uniformly continuous and bounded on $\mathbb{R}^N$ and that the global existence assertion a…
