0
votes
0answers
76 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
1answer
169 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
0answers
220 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
1answer
274 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
votes
0answers
131 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
1answer
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
1answer
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
2answers
289 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
1answer
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
1answer
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
2answers
183 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
1answer
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
0answers
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
2answers
494 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
3answers
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
1answer
513 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 ...