Time changes of symmetric Markov processes and a Feynman-Kac formula

We prove a Feynman-Kac formula in the context of symmetric Markov processes and Dirichlet spaces. This result is used to characterize the Dirichlet space of the time change of an arbitrary symmetric Markov process, completing work of Silverstein and Fukushima.     

Regional controllability of semilinear degenerate parabolic equations in bounded domains

In this paper we study controllability properties of semilinear degenerate parabolic equations. Due to degeneracy, classical null controllability results do not hold in general. Thus we investigate results of ‘regional null controllability’, showing that we can drive the solution to rest at time T on a subset of the space domain, contained in the set where the equation is nondegenerate.     

A measure-valued analogue of Wiener measure and the measure-valued Feynman-Kac formula

In this article, we consider a complex-valued and a measure-valued measure on , the space of all real-valued continuous functions on . Using these concepts, we establish the measure-valued Feynman-Kac formula and we prove that this formula satisfies a Volterra integral equation. The work here is patterned to some extent on earlier works by Kluvanek in 1983 and by Lapidus in 1987, but the present setting requires a number of new concepts and results.

     

Brownian-time processes: The PDE connection II and the corresponding Feynman-Kac formula

We delve deeper into our study of the connection of Brownian-time processes (BTPs) to fourth-order parabolic PDEs, which we introduced in a recent joint article with W. Zheng. Probabilistically, BTPs and their cousins BTPs with excursions form a unifying class of interesting stochastic processes that includes the celebrated IBM of Burdzy and other new intriguing processes and is also connected to the Markov snake of Le Gall. BTPs also offer a new connection of probability to PDEs that is fundamentally different from the Markovian one. They solve fourth-order PDEs in which the initial function plays an important role in the PDE itself, not only as initial data. We connect two such types of interesting and new PDEs to BTPs. The first is obtained by running the BTP and then integrating along its path, and the second type of PDEs is related to what we call the Feynman-Kac formula for BTPs. A special case of the second type is a step towards a probabilistic solution to linearized Cahn-Hilliard and Kuramoto-Sivashinsky type PDEs, which we tackle in an upcoming paper.

     

Parabolic finite volume element equations in nonconvex polygonal domains

We study spatially semidiscrete and fully discrete finite volume element approximations of the heat equation with homogeneous Dirichlet boundary conditions in a plane polygonal domain with one reentrant corner. We show that, as a result of the singularity in the solution near the reentrant corner, the convergence rate is reduced from optimal second order, similarly to what was shown for the finite element method in the earlier work 2 . Optimal order convergence may be restored by mesh refinement near the corners of the domain. © 2008 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq, 2009     

Forward Feynman-Kac type representation for semilinear non-conservative partial differential equations

ABSTRACT

We propose a non-linear forward Feynman-Kac type equation, which represents the solution of a nonconservative semilinear parabolic Partial Differential Equations (PDE). We show in particular existence and uniqueness. The solution of that type of equation can be approached via a weighted particle system.     

A sufficient condition for the existence of a “dead zone” for solutions of degenerate semilinear parabolic equations and inequalities

We consider the solutions of degenerate parabolic equations and inequalities of the formLu-u _t = |u| ^q sgnu and sgnu(Lu−u _t )−|u| ^q ≥0, 0<q<1, with the elliptic operatorL in divergent or nondivergent form. We establish a dependence of the maximum modulus of the solution on the domain and on the equation (inequality) such that this dependence guarantees the existence of a “dead zone” of the solution. In this case, the character of degeneracy is unessential. Translated fromMatematicheskie Zametki, Vol. 60, No. 6, pp. 824–831, December, 1996.     

Parabolic equations with measurable coefficients II

We prove the existence and uniqueness of solutions in Sobolev spaces to second-order parabolic equations in non-divergence form. The coefficients (except one of them) of second-order terms of the equations are measurable in both time and one spatial variables, and VMO (vanishing mean oscillation) in other spatial variables.     

A new Leray formula for smooth functions on bounded domains in Cn

By means of a new technique of integral representations in Cn given by the authors, we establish a new abstract formula with a vector function W for smooth functions on bounded domains in Cn, which is different from the well-known Leray formula, This new formula eliminates the term that contains the parameter λ from the classical Leray formula, and especially on some domains the uniform estimates for the -equation are very simple. From the new Leray formula, we can obtain correspondingly many new formulas for smooth functions on many domains in Cn, which are different from the classical ones, when we properly select the vector function W.     

Stochastic partial differential equations in bounded domains with Dirichlet boundary conditions

In this paper we prove the existence of a unique solution for a class of stochastic parabolic partial differential equations in bounded domains, with Dirichlet boundary conditions. The main tool is an equivalence result, provided by the stochastic characteristics method, between the stochastic equations under investigation and a class of deterministic parabolic equations with moving boundaries, depending on random coefficients. We show the existence of the solution to this last problem, thus providing a solution to the former.     

Necessary conditions for optimality of cauchy problems for parabolic partial delay-differential equations

In this paper, we consider the question concerning the necessary conditions for optimality for systems governed by second-order parabolic partial delay-differential equations indivergence form with Cauchy conditions. All the coefficients of the system are assumed measurable and contain controls and delays in their arguments. An integral maximum principle and its pointwise version for the corresponding controlled system are given.The authors wish to thank Dr. E. Noussair for his valuable discussions in the preparation of this paper.     

Criteria for Validity of the Maximum Norm Principle for Parabolic Systems

We consider systems of partial differential equations, which contain only second derivatives in the x variables and which are uniformly parabolic in the sense of Petrovskii. For such systems we obtain necessary and, separately, sufficient conditions for the maximum norm principle to hold in the layer Rn × ( 0,T ] and in the cylinder × ( 0,T], where is a bounded subdomain of Rn. In this paper the norm is understood in a generalized sense, i.e. as the Minkowski functional of a compact convex body in Rm containing the origin. The necessary and sufficient conditions coincide if the coefficients of the system do not depend on t. The criteria for validity of the maximum norm principle are formulated as a number of equivalent algebraic conditions describing the relation between the geometry of the unit sphere of the given norm and coefficients of the system under consideration. Simpler formulated criteria are given for certain classes of norms: for differentiable norms, p-norms ( 1 p ) in Rm, as well as for norms whose unit balls are m-pyramids, m-bipyramids, cylindrical bodies, m-parallelepipeds. The case m = 2 is studied separately.     

Parabolic Dirac operators and the Navier–Stokes equations over time‐varying domains

We consider parabolic Dirac operators which do not involve fractional derivatives and use them to show the solvability of the in‐stationary Navier–Stokes equations over time‐varying domains. Copyright © 2005 John Wiley & Sons, Ltd.     

Weak Galerkin finite element methods for Parabolic equations

A newly developed weak Galerkin method is proposed to solve parabolic equations. This method allows the usage of totally discontinuous functions in approximation space and preserves the energy conservation law. Both continuous and discontinuous time weak Galerkin finite element schemes are developed and analyzed. Optimal‐order error estimates in both H¹ and L² norms are established. Numerical tests are performed and reported. © 2013 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq, 2013     

Existence and stability of bounded solutions for a system of parabolic equations

In this paper we study the existence and the stability of bounded solutions of the following non-linear system of parabolic equations with homogeneous Dirichlet boundary conditions:

     

On symmetry properties of parabolic equations in bounded domains

We study symmetry properties of nonnegative bounded solutions of fully nonlinear parabolic equations on bounded domains with Dirichlet boundary conditions. We propose sufficient conditions on the equation and domain, which guarantee asymptotic symmetry of solutions.     

A variational formula for controlled backward stochastic partial differential equations and some application

An optimal control problem for a controlled backward stochastic partial differential equation in the abstract evolution form with a Bolza type performance functional is considered. The control domain is not assumed to be convex, and all coefficients of the system are allowed to be random. A variational formula for the functional in a given control process direction is derived, by the Hamiltonian and associated adjoint system. As an application, a global stochastic maximum principle of Pontraygins type for the optimal controls is established.     

On the maximum principle and its application to diffusion equations

In this article, an analog of the maximum principle has been established for an ordinary differential operator associated with a semi‐discrete approximation of parabolic equations. In applications, the maximum principle is used to prove O(h²) and O(h⁴) uniform convergence of the method of lines for the diffusion Equation (1). The system of ordinary differential equations obtained by the method of lines is solved by an implicit predictor corrector method. The method is tested by examples with the use of the enclosed Mathematica module solveDiffusion. The module solveDiffusion gives the solution by O(h²) uniformly convergent discrete scheme or by O(h⁴) uniformly convergent discrete scheme. © 2006 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq, 2007     

Application of viscosity solutions of infinite-dimensional Hamilton-Jacobi-Bellman equations to some problems in distributed optimal control

We apply the recently developed Crandall and Lions theory of viscosity solutions for infinite-dimensional Hamilton-Jacobi equations to two problems in distributed control. The first problem is governed by differential-difference equations as dynamics, and the second problem is governed by a nonlinear divergence form parabolic equation. We prove a Pontryagin maximum principle in each case by deriving the Bellman equation and using the fact that the value function is a viscosity supersolution.This work was supported by the Air Force Office for Scientific Research, Grant No. AFOSR-86-0202. The author would like to thank R. Jensen for several helpful conversations regarding the problems discussed here. He would also like to thank M. Crandall for providing early preprints of his work in progress with P. L. Lions on infinite-dimensional problems.     

Non-degeneracy and uniqueness of solutions to singular mean field equations on bounded domains

The aim of this paper is to complete the program initiated in [51], [23] and then carried out by several authors concerning non-degeneracy and uniqueness of solutions to mean field equations. In particular, we consider mean field equations with general singular data on non-smooth domains. The argument is based on the Alexandrov–Bol inequality and on the eigenvalues analysis of linearized singular Liouville-type problems.