All Questions
Tagged with ap.analysis-of-pdes pr.probability
105 questions
2
votes
0
answers
95
views
Itō formula for the solution of a SPDE in the distributional sense
Let
$d\in\mathbb N$
$\Lambda\subseteq\mathbb R^d$ be open
$(\Omega,\mathcal A,\operatorname P)$ be a probability space
$(Y_t)_{t\ge0}$ be an $L^2(\Lambda)$-valued process on $(\Omega,\mathcal A,\...
- 167
2
votes
0
answers
171
views
Can Schauder's fixed point theorem apply to a metric space?
I am currently reading the existence proof of Mean Field Game equation, which is a coupled system of Hamilton-Jacobi-Bellman equation and Fokker-Planck equation, see page 42 of the paper here. The ...
- 1,399
1
vote
0
answers
169
views
A question about Stroock's notes on the Weyl lemma
On p.4 of these notes, D. Stroock gives a quick and efficient construction of the Markov transition functions of a certain diffusion. The idea of his construction (on page 4) is to 'freeze' the ...
- 1,461
2
votes
0
answers
66
views
Properties of solution to Burger's equation using Cole-Hopf transformation
I am currently looking at a $1$D-Burger's equation defined by
\begin{equation} \label{ex burgers}
\left\{
\begin{array}{ll}
{} & \frac{\partial V_m}{\partial t} (t,x) = \frac{\sigma^2}{2} \...
- 357
2
votes
0
answers
54
views
What's the state of the art on stochastic representations of hyperbolic PDE?
I saw this paper: https://arxiv.org/abs/1306.2382
Chatterjee gives a representation of many solutions of the wave equation in terms of Brownian motion. I haven't seen much other than this. Is there ...
- 121
2
votes
1
answer
286
views
An inequality for abstract Cauchy problem
Consider the following abstract Cauchy problem: $x'(t)=Ax(t)$, in $(0,T)$, with $x(0)=x_0$, where $A$ generates an analytic $C_0$-semigroup on a Banach space $X$. How we can prove an inequality of ...
- 97
1
vote
0
answers
110
views
Trace and second-order inverse trace on space with Gibbs measure
Consider $(t, x)\in [0,T]\times (\mathbb{R}^d,d\mu)$, where the measure $d\mu(x)=K^{-1}\exp(-U(x))dx$ is a reasonable Gibbs measure (it satisfies a Poincaré or log-Sobolev inequality. One can, for ...
- 73
3
votes
1
answer
302
views
Core of the generator of squared bessel process in $L^2(\mathbb{R}_+)$
Consider the squared bessel process with generator $$Gf(x)=xf''(x)+f'(x), \ \ x\in\mathbb{R}_+.$$ It is known that the Lebesgue measure is an invariant measure for this process and thus, can be ...
- 407
6
votes
2
answers
352
views
Elliptic Regularity with Gibbs Measure Satisfying Bakry-Emery Condition
Consider $\mathbb{R}^d$ with Gibbs measure $d\mu=Z^{-1}\exp(-V(x))dx$, where the potential $V(x)$ is strongly convex ($\nabla^2 V(x) \ge \lambda Id $). We can assume the regularity of $V$ is as good ...
- 73
2
votes
1
answer
194
views
Strong convexity of internal energy with respect to Wasserstein metric
It is well known that the internal energy (see, e.g., Definition 3.32 in and Proposition 3.33 in 1) is geodesically convex with the 2-Wasserstein distance. I was wondering under what condition, the ...
- 422
1
vote
1
answer
508
views
Divergence form degenerate pde and Feynman Kac
Consider
$$ Au:=\operatorname{div}\left(y^{\beta}\nabla u\right) \text{ for } (x,y)\in \mathbb{H} $$
and $u|_{\mathbb{R}}(x,0)=\phi(x)$ and some $\beta\in (0,1)$. For $\phi\in L^{2}(\mathbb{R},dx)$ (...
- 5,474
1
vote
0
answers
358
views
"Brownian motion" related to the $p$-Laplace operator
The link between the Brownian motion and the Laplace operator is well-known.
What stochastic process plays an analogous role with respect to the $p$-Laplace operator?
user124345
7
votes
2
answers
345
views
Probabilistic characterization of first Neumann eigenvalue
In this MO post, a question has been asked (and answered) about the probabilistic interpretation of the first Dirichlet eigenvalue of the Laplacian in terms of boundary hitting times.
I wish to ask ...
- 1,407
3
votes
0
answers
167
views
Asymptotic behaviour of principal eigenfunctions and large deviations
Dear Math Overflowers,
I am currently interested in a particular problem involving Large Deviations. I am only going to talk about the PDE side of the problem, but I'll be happy to provide more ...
- 5,380
5
votes
1
answer
395
views
Universal decay rate of the Fisher information along the heat flow
I'm looking for a reference for the following fact: In the torus $\mathbb T^d$ let me denote by $u_t=u(t,x)$ the (unique, distributional) solution of the heat equation
$$
\partial_t u=\Delta u
$$
...
- 5,380
5
votes
0
answers
242
views
Spectral gap for the Brownian motion with drift on a compact manifold
Let $M$ be a compact Riemannian manifold without boundary, $X$ a smooth vector field on $M$. Consider the Brownian motion $t\mapsto B_t$ on $M$ with drift $X$, so that its generator is $L=\Delta +X$. ...
- 3,669
4
votes
0
answers
185
views
gaussian upper bound on spherical heat kernel
It is known that the heat kernel on n-sphere satisfies $p_t(x,y)\leq Ct^{-n/2}e^{-d(x,y)^2/5t}$ for all $t\in (0,T)$. Can something be said about how big C needs to be?
user127604
5
votes
2
answers
470
views
Improving equi-integrability for a family $\mathcal F$ in $L^1(\Omega)$
Let $\mathcal F$ be a weakly compact subset of $L^1(\Omega)$. Dunford–Pettis theorem says that $\mathcal F$ is uniformly integrable. Also, by de la Vallée-Poussin theorem we can find an increasing ...
- 1,245
4
votes
1
answer
773
views
*Full proof* references for Markov generators with various boundary conditions
(Note: I've migrated this question from math.stackexchange, as the lack of answers there made me believe it was perhaps too advanced for that forum.)
Consider the one-dimensional heat equation
$$\...
- 891
1
vote
2
answers
899
views
Solving the Poisson equation using a random walk on $\mathbb Z ^d$
How do I solve the Poisson equation with the help of a discrete random walk on $\mathbb Z ^d$?
- 11
6
votes
0
answers
334
views
Hints on an expository article about Kardar-Parisi-Zhang (KPZ)
It seems the KPZ is the next big thing in mathematical physics and probability. The skeletal idea is probably that while classical averages are in the Gaussian universality class, lots of other ...
- 267
5
votes
1
answer
408
views
Is there a Feynman-Kac formula for vector-valued Schrödinger operators?
Given a vector function
$$f=(f_1,\ldots,f_n)\in L^2(\mathbb R,\mathbb R^n)$$
(for some $n\in\mathbb N$), let us define
$$\Delta f:=(\Delta f_1,\ldots,\Delta f_n),$$
where $\Delta$ is the Laplacian ...
- 891
0
votes
1
answer
279
views
Expected properties for a PDE whose solution is supposed to be something that doesn't exist
My understanding of Lecture #33, 34: The Characteristic Function for a Diffusion:
As an alternative to directly computing the characteristic function of a random variable $X_t$ in a stochastic ...
- 247
5
votes
3
answers
1k
views
PDE-oriented textbook on probability and random processes?
I was trained in reaction-diffusion (parabolic/elliptic) PDEs, and my research now focuses on applied optimal tranport. I'd like to learn probability and stochastic processes, mostly their connection ...
- 5,380
4
votes
1
answer
821
views
Looking for access to McKean's original paper?
I'm looking for the PDF version/scan of Henry P McKean Jr.'s paper on propagation of chaos. The reference is as follows -
Propagation of chaos for a class of non-linear parabolic equations., In ...
- 175
3
votes
1
answer
241
views
Particular Elliptic pde of divergence form with indicator boundary data and Feynman-Kac formula
Consider divergence form elliptic pde in smooth boundary domain D
$$ Au:=\sum_{i,j}\partial_{i}(a_{ij}(x)\partial_{i}u(x)), $$
with boundary data $u|_{\partial D}:=1_{A}$ for $A\subset \partial D$. ...
- 5,474
1
vote
0
answers
98
views
Limit density at the boundary of a killed diffusion process
To simplify the question, we start with standard Brownian motion(BM) $B_t$. Then,
$$\lim_{\epsilon \to 0} \frac{1}{\epsilon}\mathbb P( 1- \epsilon <B_1 < 1 ) = \phi(1),$$
where $\phi$ is the ...
- 1,399
4
votes
2
answers
367
views
Fokker-Planck equation for a truncated process
Let $X_t = x + bt + \sigma W_t$ be an arithmetic Brownian motion, where $x$ is a random variable independent to $W$, and $\sigma>0$. Suppose the initial distribution is given by $\mathbb P(X_0 \in ...
- 1,399
12
votes
3
answers
3k
views
Gaussian distribution, maximum entropy and the heat equation
I have asked this question on MathSE, but I got no replies, so I thought of trying here.
Consider the Gaussian distribution on $\mathbb{R}$ with mean $m$ and variance $t=\sigma^2$. This has the ...
- 577
4
votes
1
answer
391
views
On Brownian motions
I have a question about Brownian motions and its heat kernel.
Using Dirichlet form theory, we can construct Brownian motions on manifolds, domains of Euclidean space under mild assumptions. For ...
- 721
3
votes
1
answer
115
views
Reference: random sum of eigenfunctions $\sum a_{n}\phi_{k}(z)$, $a_{n}\sim N(0,1)$
Let L be a linear differential operator with eigenfuctions $\phi_{k}$ then for $a_{n}\sim N(0,1)$ consider
$$h(z):=\sum a_{n}\phi_{k}(z).$$
Is there a general theory for such sums? For $L=\Delta$, h ...
- 5,474
7
votes
0
answers
394
views
Fixed radius mean value property implies harmonicity?
Let $f$ be a continuous real-valued function on $\mathbb{R}^n$. It is well known that the following are equivalent:
$f$ is harmonic.
$f$ satisfies the ball mean value property
$$
f(x)=\frac{1}{|B(x,r)...
- 527
3
votes
0
answers
140
views
Sufficient condition for the unique solvability of Dirichlet problem of Hamilton-Jacobi equation
It shall be an old story in PDE.
I am looking for a sufficient condition of Dirichlet problem for the existence of the unique viscosity solution of the equation in the form of
$$\inf_{a \in [-1,1]} \{...
- 1,399
3
votes
0
answers
240
views
Using compactness method to prove the existence of a pathwise solution to an SPDE
For given initial data $u_0\in H^k$ for some $k$, I want to prove the existence of solution to some PDE with multiplicative white noise. I modify the SPDE by regularizing it and then use the ...
1
vote
0
answers
108
views
Cauchy Problem and stochastic representation for discontinuous initial data
Where can I read more about the Cauchy problem, i.e. solutions to
$$ \frac{\partial u}{\partial t}+Lu=0 \text{ and } u(0,x)=f(x)$$
for some elliptic differential operator $L$ where $f$ is not ...
- 237
1
vote
0
answers
90
views
Measurability of solution of diffusion equation in sub sigma algebra
I want to solve the following problem:
Get $\omega \in \Omega \subset \mathbb{R}$, $x \in D \subset \mathbb{R}^2$ and $0<a_i\leq a(.,.)\leq a_x<\infty$.
Let $a( x;. )$ and $f(x;.)$ be $\...
- 111
2
votes
0
answers
157
views
Better Sobolev inequality holds in this case when assuming doubling and Poincare inequality?
Let $X$ be a Polish space and let $m$ be a locally finite Borel measure on $X$.
Let $\epsilon$ be a strongly local, regular Dirichlet form on $L^2(X,m)$ with Domain $V :=\{f\in L^2(X,m):\epsilon(f)&...
- 471
4
votes
1
answer
725
views
Heuristic probabilistic argument for the Navier-Stokes existence and smoothness conjecture
The Collatz Conjecture is a famous conjecture that has never been proven; nevertheless, there exists a simple heuristic probabilistic argument which supports its truth - in Wikipedia's words, "If one ...
- 2,649
0
votes
0
answers
184
views
Reference request: density of $C_c^{\infty}(\mathbb R^d)$ in $L^2(\mathbb R^d,d\rho)$
My question is motivated by an optimal transportation approach to PDE's and gradient flows in metric spaces (see e.g Otto's geometry of dissipative evolution equations: the porous media equation and ...
- 5,380
4
votes
1
answer
444
views
PDE-Based Triangle Inequality for Optimal Transportation
Suppose $\Omega$ is a suitably regular domain in $\mathbb{R}^n$ and $\rho_0,\rho_1\in\textrm{Prob}(\Omega)$. Benamou and Brenier showed that the $L_2$ transportation distance between $\rho_0$ and $\...
- 705
11
votes
1
answer
2k
views
Feynman-Kac theorem: probabilistic proof of existence of solution to parabolic PDE
Friedman (in his book: PDEs of Parabolic Type) shows how to construct a solution to the Cauchy problem
$$
\partial_t u(t,x) = b(x) \partial_x u(t,x) + \frac{1}{2} \sigma(x)^2 \partial_{x,x} u(t,x)
$$
...
- 271
3
votes
1
answer
423
views
How fast does the Heat equation with boundary condition $\frac{\partial u}{\partial \vec{n}}=u^2$ decay?
Consider the heat equation $\frac{\partial u}{\partial t}=\frac{1}{2}\Delta u$ in a bounded domain (say the interval [0,$\pi$]) with boundary condition $$\frac{\partial u}{\partial \vec{n}}=u^2$$
with ...
- 165
1
vote
0
answers
168
views
Estimates on gradients of diffusion semigroups
Consider the Dirichlet or Neumann Laplacian on a manifold with boundary. Suppose we have some estimate of the form
$$||e^{t\Delta} f||_{L^p} \leq C(t)||f||_{L^q}$$ for some $p, q$. For a specific ...
- 11
2
votes
1
answer
106
views
Conditions for existence of $m$-th differentiable root of a non-negative definite matrix
In M.I. Friedlin's famous paper "On the Factorization of Non-Negative Definite Matrices", he shows that if a non-negative definite symmetric matrix $a(x)=\{a^{ij}(x)\}_{i,j=1}^n$ is in $C^2(\mathbb{R}^...
- 41
2
votes
0
answers
413
views
On the infinitesimal generator of a 1-dimensional stochastic heat equation: core and explicit form
Denote $E = C([0, 1])$. I am consider a 1-dimensional stochastic heat equation on $h$:
$$\partial_tu(t, x) = \partial_x^2u(t, x) - V'(u(t, x)) + \dot{W}(t, x), \quad\text{ for all } (t, x) \in (0, \...
- 199
4
votes
1
answer
159
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 ...
- 43
10
votes
2
answers
1k
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 ...
- 101
4
votes
1
answer
243
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 ...
- 363
3
votes
1
answer
138
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
$$\int_{\mathbb{R}^{n}} K_{t}(x, \cdot)\,dy = 1?$$...
- 363
4
votes
2
answers
264
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 $\delta \...
- 363