# Tagged Questions

**0**

votes

**0**answers

86 views

### Reference request: density of $C_c^{\infty}(\mathbb R^d)$ in $L^2(\mathbb R^d,d\rho)$

My question is motivated by an optimal transportation approach to PDE's and gradient flows in metric spaces (see e.g Otto's geometry of dissipative evolution equations: the porous media equation and ...

**3**

votes

**1**answer

173 views

### PDE-Based Triangle Inequality for Optimal Transportation

Suppose $\Omega$ is a suitably regular domain in $\mathbb{R}^n$ and $\rho_0,\rho_1\in\textrm{Prob}(\Omega)$. Benamou and Brenier showed that the $L_2$ transportation distance between $\rho_0$ and ...

**4**

votes

**0**answers

233 views

### Feynman-Kac theorem: probabilistic proof of existence of solution to parabolic PDE

Friedman (in his book: PDEs of Parabolic Type) shows how to construct a solution to the Cauchy problem
$$
\partial_t u(t,x) = b(x) \partial_x u(t,x) + \frac{1}{2} \sigma(x)^2 \partial_{x,x} u(t,x)
$$
...

**2**

votes

**1**answer

277 views

### How fast does the Heat equation with boundary condition $\frac{\partial u}{\partial \vec{n}}=u^2$ decay?

Consider the heat equation $\frac{\partial u}{\partial t}=\frac{1}{2}\Delta u$ in a bounded domain (say the interval [0,$\pi$]) with boundary condition $$\frac{\partial u}{\partial \vec{n}}=u^2$$
with ...

**2**

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**0**answers

132 views

### Estimates on gradients of diffusion semigroups

Consider the Dirichlet or Neumann Laplacian on a manifold with boundary. Suppose we have some estimate of the form
$$||e^{t\Delta} f||_{L^p} \leq C(t)||f||_{L^q}$$ for some $p, q$. For a specific ...

**2**

votes

**1**answer

85 views

### Conditions for existence of $m$-th differentiable root of a non-negative definite matrix

In M.I. Friedlin's famous paper "On the Factorization of Non-Negative Definite Matrices", he shows that if a non-negative definite symmetric matrix $a(x)=\{a^{ij}(x)\}_{i,j=1}^n$ is in ...

**4**

votes

**1**answer

134 views

### diffusions corresponding to estimators

I am an undergraduate math student preparing my thesis. Currently I am reading L.D Brown's (1971) paper Admissible Estimators, Recurrent Diffusions, and Insoluble Boundary Value Problems. Here is a ...

**4**

votes

**2**answers

294 views

### Reference Request: Probability and (Nonlinear) PDEs

I'm a graduate student interested in learning about probability and (mostly evolutionary) PDEs, just for fun (and as an excuse to learn some probability). I'm mostly interested in things along the ...

**3**

votes

**1**answer

108 views

### On-diagonal to off-diagonal heat kernel lower bounds, Davies' argument

Theorem 3.3.4 in Davies' Heat Kernels and Spectral Theory begins with ``on-diagonal'' lower bounds for the heat kernel $K$ of $H$, (i.e. $K = e^{-Ht}$), where $H$ is a uniformly elliptic operator ...

**2**

votes

**1**answer

91 views

### Is $R^n$ stochastically complete for the heat kernel of a Schrödinger operator?

Suppose $V:\mathbb{R}^{n} \to \mathbb{R}$ is just a positive polynomial and $K_{t}(x,y)$ is the heat kernel of $H = -\Delta + V$. Then does it follow
$$\int_{\mathbb{R}^{n}} K_{t}(x, \cdot)\,dy = ...

**3**

votes

**2**answers

184 views

### Elliptic Harnack inequality for 1D Schrodinger operator?

For a nonnegative polynomial $V: \mathbb{R} \to \mathbb{R}$, write $H = -\Delta + V$. I am wondering if there is an elliptic Harnack inequality for H. That is:
There exist $C_{H} > 0$ and ...

**2**

votes

**1**answer

267 views

### Uniqueness of classical solution with degenerate boundary

Consider heat equation on the domain $\Omega = (0,1)\times (0,1)$
in the form of
$$ \partial_{t} u = \frac 1 2 x^{3} (1-x) \partial_{xx} u, \quad
(x,t) \in \Omega$$
with initial data
$u(x,0) = x$ for ...

**0**

votes

**0**answers

154 views

### hitting probability for integrated Ornstein-Uhlenbeck process

Consider an Ornstein-Uhlenbeck position process:
$dV_t=dB_t-\lambda V_tdt$
$dX_t=V_tdt$
where $B_t,V_t,X_t$ are all in $R^d$ with $d\geq 3$. Let $X_0\neq0$, $V_0=0$ .
Let $r>0$ and $S_r$ be the ...

**5**

votes

**2**answers

497 views

### Blow-up for the quasilinear heat equation $u_t= u \ u_{x x}$ or the related $w_t= \left(w_x e^w\right)_x$

What kind of approaches can be used to study the following quasilinear parabolic pde
for a scalar function $u=u(x,t)$ ?
$$
u_t= u \ u_{x x}
$$
The physical problem where this pde comes from dictates ...

**4**

votes

**3**answers

760 views

### Imaginary exponential functional of Brownian motion

Thanks to the work by M. Yor and colleagues, much is known about the following exponential of Brownian motion:
$X= \int_0^{\infty}{\rm d}t \ e^{-t + g \ B(t)}$
where $g$ is a real scale parameter.
...

**1**

vote

**1**answer

514 views

### Entropy of Markov processes

Consider a Markov process $X_t$ with generator $L$ and invariant distribution $\pi$, whose distribution at time $t$ is given by $\pi(t,dx)=\phi(t,x) \pi(dx)$ - in other word, $\phi(t,x)$ is the ...