All Questions
12 questions
1
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0
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89
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Heat kernel and estimates
In the article by Hairer-Labbe (A simple construction of the continuum
parabolic Anderson model on $\mathbb{R}^2$), they used the following "well known" fact (picture below) in holder spaces....
- 573
1
vote
1
answer
433
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Derivative of Wasserstein distance $W^p_p$ along solutions of the continuity equation (contradicting statements in different sources)
Let $(\rho^{(i)}_t,{\bf v}^{(i)}_t)$ for $i = 1,2$ be two solutions of the continuity equation $$\partial \rho^{(i)}_t + \nabla\cdot \left({\bf v}^{(i)}_t \rho^{(i)}_t\right) = 0 \label{1}\tag{1}$$ on ...
- 730
2
votes
0
answers
94
views
Convergence of Green's function of fractional heat equation
For the fractional heat equation
\begin{equation} \partial_t u + (-\Delta^s)u=0 \text{ in } \mathbb{R}^d \times (0,\infty),
\end{equation} where $s \in (0,1)$ where the fractional laplacian is the ...
- 21
2
votes
1
answer
697
views
Reference for representation of heat equation with Neumann boundary condition on smooth domain using reflected Brownian motion
We know that the solution of the heat equation $\partial_tu=\frac 12\Delta u$ with Dirichlet boundary condition $u\rvert_{\partial\Omega}=g$ is $u(t,x)=\mathbb{E}[g(B_\tau)\mid B_t=x]$, with $\tau$ ...
- 715
2
votes
0
answers
86
views
Continuity of the entropy of the solution of a parabolic PDE at $t=0$
Consider the following initial value problem for a parabolic PDE :
$$\begin{cases}
\textrm{div}\big(A\,\nabla u(t,x) + b(x)\, u(t,x)\big) \,=\,\partial_t u(t,x) \quad x\in\mathbb R^d\,,\ t>0 \\[4pt]...
- 311
2
votes
1
answer
171
views
Mean value formula for fractional heat equation
For the solution $u(z) = u(t,x)$ of the heat equation $u_t -\Delta u = 0$ we have
$$u(z_0) = \int_{\Omega_r(z_0)}u(z) K_r(z_0-z) dz,$$
where $$\Omega_r(z_0) = \left\{z \in \mathbb{R}^{N+1}: \Gamma(z_0-...
- 161
2
votes
1
answer
286
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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
0
votes
1
answer
279
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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
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
1
vote
0
answers
108
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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
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
2
votes
1
answer
319
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 ...
- 1,399