Closed formula for heat kernel - MathOverflow most recent 30 from http://mathoverflow.net 2013-05-23T13:31:29Z http://mathoverflow.net/feeds/question/108523 http://www.creativecommons.org/licenses/by-nc/2.5/rdf http://mathoverflow.net/questions/108523/closed-formula-for-heat-kernel Closed formula for heat kernel Kofi 2012-10-01T07:15:39Z 2012-10-01T19:09:35Z <p>Is there, similar to the Mehler kernel, a closed formula for the heat kernel of the heat equation associated to the Laplacian $$-\sum_j \frac{d^2}{dx_j^2} + 2\sqrt{-1} \sum_j \lambda_j \frac{d}{dx_j} + \sum_{ij} a_{ij}x_ix_j$$ on $\mathbb{R}^n$? Here, the matrix $(a_{ij})$ is supposed to be symmetric and positive definite, while the $\lambda_j$ can be arbitrary.</p> http://mathoverflow.net/questions/108523/closed-formula-for-heat-kernel/108531#108531 Answer by Liviu Nicolaescu for Closed formula for heat kernel Liviu Nicolaescu 2012-10-01T09:25:38Z 2012-10-01T19:09:35Z <p>Yes there is. Here is how you do it. First find an orthogonal change in variables </p> <p>$$x_j=\sum_{jk} s_{jk}y_k$$</p> <p>$(s_{jk})$ orthogonal matrix, so that in the new coordinates we have</p> <p>$$\sum_{i,j}a_{ij} x_ix_j = \sum_j \mu_j^2 y_j^2,$$</p> <p>where $\mu_j^2$ are the eigenvalues of the symmetric matrix $(a_{ij})$. </p> <p>Note that $\newcommand{\ii}{\boldsymbol{i}}$ $\newcommand{\pa}{\partial}$</p> <p>$$\frac{\pa}{\pa x_k}=\sum_j\frac{\pa y_j}{\pa x_k}\frac{\pa }{\pa y_j} =\sum_j t_{jk}\frac{\pa}{\pa y_j},$$</p> <p>where $(t_{jk})$ is the inverse of the orthogonal matrix $(s_{jk})$ so that $t_{jk}=s_{kj}$.</p> <p>Then for some real numbers $r_j$ </p> <p>$$-\sum_j\frac{\pa^2}{\pa x_j^2}+2\ii\sum_j\lambda_j\frac{\pa }{\pa x_j}+\sum_{i,j}a_{ij}x_ix_j$$</p> <p>$$=-\sum_j\frac{\pa^2}{\pa y_j^2} +2\ii\sum_j r_j\frac{\pa}{\pa y_j} +\sum_j \mu_j^2 y_j^2$$</p> <p>$$=\underbrace{\sum_j \left(\ii\frac{\pa}{\pa y_j}+r_j\right)^2 +\sum_j\mu_j^2y_j^2-\sum_j r_j^2}_{=: L}.$$</p> <p>Next set</p> <p>$$R^2 :=\sum_j r_j^2, \;\; w(t,y) := R^2t +\sum_j \ii r_j y_j,$$</p> <p>$$L_0 :=\sum_j\left(-\frac{\pa^2}{\pa y_j^2} +\mu_j^2y_j^2\right),$$</p> <p>and observe that</p> <p>$$\pa_t +L =e^{w}(\pa_t+L_0) e^{-w}.$$</p> <p>Thus, if $K$ is a fundamental solution of $\pa_t+L_0$, then</p> <p>$$(\pa_t +L) (e^{w} K) = e^{w} (\pa_t+L_0)K=e^{w} \delta_0=\delta_0$$</p> <p>so that $e^{w}K$ is a fundamental solution of $\pa_t+L$. You can find $K$ using Mehler's formula.</p> http://mathoverflow.net/questions/108523/closed-formula-for-heat-kernel/108532#108532 Answer by Piero D'Ancona for Closed formula for heat kernel Piero D'Ancona 2012-10-01T09:26:21Z 2012-10-01T09:26:21Z <p>Lars Hörmander did some work on classifying Mehler-type formulas for general quadratic fomrs in $\xi$ and $x$. Take a look at his paper on Math.Zeitschrift 219 (1995) pp.413-449</p>