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Let $\Omega \subset \mathbb{R}^n$ be a compact domain and for given functions $g: \partial \Omega \times [0,T] \to \mathbb{R}$ and $h: \Omega \to \mathbb{R}$ consider the heat equation $$ \begin{cases} \frac{\partial u}{\partial t} - \Delta u &= 0 \qquad \text{on } \Omega \times (0,T]\\ u &= g \qquad \text{on } \partial \Omega \times [0,T]\\ u &= h \qquad \text{on } \Omega \times \{t = 0\} \end{cases} $$ The existence of a weak solution to this equation has been proven Theorem 6.1 in Non-Homogeneous Boundary Value Problems and Applications II (Lions and Magenes, 1972). Throughout this book it is assumed that $\Omega$ is a $C^{\infty}$-domain.

I was wondering if this condition can be relaxed for certain domains, in particular for a hypercube $\Omega = [0,1]^n \subset \mathbb{R}^n$? Texts other than Lions and Magenes only ever seem to the consider homogeneous Dirichlet condition $g \equiv 0$. Furthermore, a book considering parabolic equations that is analogous to Elliptic Problems in Nonsmooth Domains (Grisvard, 2011) doesn't seem to exist.

Is there anything known about the existence of solutions to such PDEs?

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2 Answers 2

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$\newcommand\R{\mathbb R}\newcommand{\Om}{\Omega}$It is convenient to reverse the time by the substitution $t\leftrightarrow T-t$ and also rescale it by a factor of $2$. So, the boundary value problem becomes the following: \begin{align} \frac{\partial u}{\partial t} +\frac12 \Delta u &= 0 \quad \text{on } D, \tag{1}\label{1} \\ u &= f \quad \text{on } C, \tag{2}\label{2} \end{align} where $D:=\Om\times(0,T)$; $C:=\{(x,t)\in\partial D\colon t>0\} =(\partial\Om\times(0,T])\cup(\Om\times\{T\})$ (which corresponds to the "lower boundary" of $D$, according to Doob, p. 218, who chose to not reverse the time); $f(x,t):=g(x,t)$ if $(x,t)\in\partial\Om\times[0,T]$, and $f(x,t):=h(x)$ if $(x,t)\in\Om\times\{T\}$. For the just given definition of $f$ to be consistent, we need the condition $g(x,T)=h(x)$ for all $x\in\partial\Om$; of course, the corresponding consistency condition ($g(x,0)=h(x)$ for all $x\in\partial\Om$) was needed in the original setting, before the time reversal.

Let $(B_t)_{t\ge0}$ be a standard Brownian motion in $\R^n$. For any $z\in D\cup C$, let $\tau_z:=\inf\{t\ge0\colon z+(B_t,t)\notin D\cup C\}$, the exit time of the Brownian motion from $D\cup C$ starting at the point $z$. As in Doob's paper, let $Z(z,C):=B_{\tau_z}$.

Assume that $f$ is continuous. Then, according to Doob's Theorem 2.1, the function $u$ on $D$ defined by the formula \begin{equation*} u(z):=Ef(Z(z,C)) \tag{3}\label{3} \end{equation*} for $z\in D$ will be parabolic, that is, $u$ will satisfy condition \eqref{1}.

Suppose also that for some $y\in\partial\Om$ the following Poincaré condition is satisfied: there exist a nonempty open cone $K_y\subset\R^n$ with the vertex at $y$ and a neighborhood $V_y\subset\R^n$ of $y$ such that $K_y\cap V_y\cap\Om=\emptyset$. Then, using the Kolmogorov 0-1 law, it is easy to see that for each $t\in[0,T]$ we have $\tau_{(y,t)}=0$ almost surely, which in turn implies that $u(z)\to f(y,t)$ as $D\ni z\to(y,t)$.

Let us say that $\partial\Om$ satisfies the Poincaré condition if the Poincaré condition is satisfied for every point in $\partial\Om$.
(Of course, if $\partial\Om$ is $C^1$ or if $\Om$ is the interior of a polytope with a nonempty interior, then $\partial\Om$ satisfies the Poincaré condition.)

We conclude that, if $f$ is continuous and $\partial\Om$ satisfies the Poincaré condition, then formula \eqref{3} gives a solution to problem \eqref{1}--\eqref{2}, with condition \eqref{2} satisfied in the following sense: for each $z_0\in C$ we have $u(z)\to f(z_0)$ as $D\ni z\to z_0$.


More generally (cf. the first full paragraph on p. 230 of Doob's paper), if $f$ is a bounded Baire function and $u$ is given by \eqref{3}, then \eqref{1} will hold and, moreover, we will have $u(z)\to f(z_0)$ as $D\ni z\to z_0$ for each $z_0=(y_0,t_0)\in C$ such that (i) $f$ is continuous at $z_0$ and (ii) either $t_0=T$ or the Poincaré condition is satisfied for $y_0$.

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Even if this question has an accepted answer from Iosif, I'd like to point out that the conditions on the boundary of $\Omega$ can be considerably relaxed for the standard heat equation. Precisely for the mixed problem above, in reference [1] Hidehiko Yamabe is able to define on every bounded open set $\Omega$ in $\Bbb R^n$ a "kernel function" $\mathscr{K}(x,y,t)$ which coincides with the ordinary Green function on regular boundary points (in Wiener's sense), i.e.

  • $\mathscr{K}(x,y,t)$ is a solution of the homogeneous heat equation
  • $\mathscr{K}(x,y,t)\to 0$ if $x$ or $y$ tend to a regular boundary,
  • if $\varphi\in C(\overline{\Omega})$ then $$ \lim_{t\to0}\int\limits_D \mathscr{K}(x,y,t)\varphi(y)\mathrm{d}y=\varphi(x) $$

The construction of $\mathscr{K}(x,y,t)$ is explicit in the sense that it is the limit as $m$ tends to infinity of the composition products of $m$ standard heat kernels. Finally, I can also point out that in the second part of the paper (published later) Yamabe uses $\mathscr{K}(x,y,t)$ to construct a generalized Green's kernel for the Dirichlet problem for Laplace's equation. Well, my two cents.

References

[1] Hidehiko Yamabe, "Kernel functions of diffusion equations. I." (English) Osaka Math. J. 9, 201-214 (1957), MR0104051, Zbl 0081.31302.

Note added after a re-reading of the paper

After a re-reading of the paper I noticed that the description of the method used by Yamabe in the construction of the kernel $\mathscr K(x,y,t)$ I gave above is not correct: he does not use the convolution of heat kernels but their composition product (in the sense of Volterra). Thus the construction, despite being fairly explicit, is impractical in most cases: possibly this is one of the reasons why this interesting paper is not well known.

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