Stochastic partial differential equations with unbounded and degenerate coefficients

In this article, using DiPerna-Lions theory (DiPerna and Lions, 1989) [1], we investigate linear second order stochastic partial differential equations with unbounded and degenerate non-smooth coefficients, and obtain several conditions for existence and uniqueness. Moreover, we also prove the L¹-integrability and a general maximal principle for generalized solutions of SPDEs. As applications, we study nonlinear filtering problem and also obtain the existence and uniqueness of generalized solutions for a degenerate nonlinear SPDE.     

A “maximum principle for semicontinuous functions” applicable to integro-partial differential equations

We formulate and prove a non-local “maximum principle for semicontinuous functions” in the setting of fully nonlinear and degenerate elliptic integro-partial differential equations with integro operators of second order. Similar results have been used implicitly by several researchers to obtain compare/uniqueness results for integro-partial differential equations, but proofs have so far been lacking.     

一类非线性算子方程解的存在唯一性及其应用

该文在更广泛的条件下,利用锥理论和Banach压缩映象原理证明了序Banach空间中一类非线性算子方程解的存在唯一性定理,并应用到Banach空间中二阶非线性混合型微分积分方程初值问题,改进并推广了已有的一些结果.     

Construction and Study of Exact Solutions to A Nonlinear Heat Equation

We construct and study exact solutions to a nonlinear second order parabolic equation which is usually called the “nonlinear heat equation” or “nonlinear filtration equation” in the Russian literature and the “porous medium equation” in other countries. Under examination is the special class of solutions having the form of a heat wave that propagates through cold (zero) background with finite velocity. The equation degenerates on the boundary of a heat wave (called the heat front) and its order decreases. The construction of these solutions by passing to an overdetermined system and analyzing its solvability reduces to integration of nonlinear ordinary differential equations of the second order with an initial condition such that the equations are not solvable with respect to the higher derivative. Some admissible families of heat fronts and the corresponding exact solutions to the problems in question are obtained. A detailed study of the global properties of solutions is carried out by the methods of the qualitative theory of differential equations and power geometry which are adapted for degenerate equations. The results are interpreted from the point of view of the behavior and properties of heat waves with a logarithmic front.     

二阶完全非线性蜕化抛物方程

本文研究了一个空间变量的二阶完全非线性蜕化抛物方程ｕｔ＝Ｆ（ｕｘｘ，ｕｘ，ｘ，ｔ）的第一边值问题。在仅要求Ｆ及其一阶导数满足结构条件的情形，给出了蜕化问题连续解的存在唯一性。这个工作将渗流方程的结果推广到非常一般的情形。     

Singular and degenerate anisotropic parabolic equations with a nonlinear source

The Dirichlet problem in arbitrary domain for degenerate and singular anisotropic parabolic equations with a nonlinear source term is considered. We state conditions that guarantee the existence and uniqueness of a global weak solution to the problem. A similar result is proved for the parabolic p-Laplace equation.     

Uniqueness of Oblique Derivative Problems for Second Order Equations of Mixed Type with Nonsmooth Degenerate Line

In [], the authors discussed the Tricomi problem of second order mixed equations with nonsmooth degenerate line, but they only consider some special mixed equations. In [], the author discussed the uniqueness of solutions of the Tricomi problem for some second order mixed equations with nonsmooth degenerate line. The present article deals with oblique derivative problems for general second order mixed equations with nonsmooth parabolic degenerate line, and prove the uniqueness of solutions of the problems. We first give the formulation of the problems for the equations, and then prove the uniqueness of solutions for the above problems.     

二阶椭圆和抛物型偏微分方程的非线性非局部边值问题与温控系统稳定性

本文讨论了由温度控制中提出的二阶椭圆和抛物型偏微分方程的非线性非局部边值问题.通过把问题化为变分不等方程,利用单调算子理论、凸分析和非线性发展方程理论,研究了其弱解的适定性和增长估计.证明了当反馈因(辶回)路的总增益适当小的时候,系统是全局渐近稳定的.     

UNIQUENESS OF VISCOSITY SOLUTIONS OF FULLY NONLINEAR SECOND ORDER PARABOLIC PDE''''S

This paper investigates the maximum principle for viscosity solutions of fully nonlinear, second order parabolic, possibly degenerate partial differential equations. Using this maximum principle the anthor prove that viscosity solutions of initial and bo unoary value problem for parabolic equations are unique.     

An Inverse Problem of Identifying the Radiative Coefficient in a Degenerate Parabolic Equation

The authors investigate an inverse problem of determining the radiative coefficient in a degenerate parabolic equation from the final overspecified data. Being different from other inverse coefficient problems in which the principle coefficients are assumed to be strictly positive definite, the mathematical model discussed in this paper belongs to the second order parabolic equations with non-negative characteristic form, namely, there exists a degeneracy on the lateral boundaries of the domain. Based on the optimal control framework, the problem is transformed into an optimization problem and the existence of the minimizer is established. After the necessary conditions which must be satisfied by the minimizer are deduced, the uniqueness and stability of the minimizer are proved. By minor modification of the cost functional and some a priori regularity conditions imposed on the forward operator, the convergence of the minimizer for the noisy input data is obtained in this paper. The results can be extended to more general degenerate parabolic equations.     

Positive solutions of quasilinear parabolic systems with nonlinear boundary conditions

The aim of this paper is to investigate the existence, uniqueness, and asymptotic behavior of solutions for a coupled system of quasilinear parabolic equations under nonlinear boundary conditions, including a system of quasilinear parabolic and ordinary differential equations. Also investigated is the existence of positive maximal and minimal solutions of the corresponding quasilinear elliptic system as well as the uniqueness of a positive steady-state solution. The elliptic operators in both systems are allowed to be degenerate in the sense that the density-dependent diffusion coefficients Di(ui) may have the property Di(0)=0 for some or all i. Our approach to the problem is by the method of upper and lower solutions and its associated monotone iterations. It is shown that the time-dependent solution converges to the maximal solution for one class of initial functions and it converges to the minimal solution for another class of initial functions; and if the maximal and minimal solutions coincide then the steady-state solution is unique and the time-dependent solution converges to the unique solution. Applications of these results are given to three model problems, including a porous medium type of problem, a heat-transfer problem, and a two-component competition model in ecology. These applications illustrate some very interesting distinctive behavior of the time-dependent solutions between density-independent and density-dependent diffusions.     

The unique solvability of a certain nonlocal nonlinear problem with a spatial operator strongly monotone with respect to the gradient

We consider a nonlinear degenerate parabolic equation whose spatial operator depends on a nonlocal characteristic of the solution. We prove the uniqueness of the solution in the class of vector-valued functions that take on values in Sobolev spaces.     

On nonnegative solutions of elliptic and parabolic equations

A theorem on the nonexistence of a nonnegative nontrivial generalized solution inR ⁿ is proved for general quasilinear second-order degenerate elliptic equations. Analogous results are obtained for a large class of systems of partial differential equations, second-order parabolic and inverse parabolic equations, which are nonlinear and may be degenerate.Translated from Trudy Seminara imeni I. G. Petrovskogo, No. 16, pp. 114–136, 1992.     

Probability methods and nonlinear analysis

The concepts of accretive and differentiable operator in a Banach space B are used to show that certain approximations to a solution of a nonlinear evolution equation converge. When B is a space of continuous functions it is shown that the approximations and the solution be represented as integrals with respect to a signed measure on a function space. As an example, a new proof is given for the existence and uniqueness of solutions to a nonlinear parabolic differential equations with coefficients dependent upon solutions. Integral representations of these solutions follow.     

Adaptive stochastic weak approximation of degenerate parabolic equations of Kolmogorov type

Degenerate parabolic equations of Kolmogorov type occur in many areas of analysis and applied mathematics. In their simplest form these equations were introduced by Kolmogorov in 1934 to describe the probability density of the positions and velocities of particles but the equations are also used as prototypes for evolution equations arising in the kinetic theory of gases. More recently equations of Kolmogorov type have also turned out to be relevant in option pricing in the setting of certain models for stochastic volatility and in the pricing of Asian options. The purpose of this paper is to numerically solve the Cauchy problem, for a general class of second order degenerate parabolic differential operators of Kolmogorov type with variable coefficients, using a posteriori error estimates and an algorithm for adaptive weak approximation of stochastic differential equations. Furthermore, we show how to apply these results in the context of mathematical finance and option pricing. The approach outlined in this paper circumvents many of the problems confronted by any deterministic approach based on, for example, a finite-difference discretization of the partial differential equation in itself. These problems are caused by the fact that the natural setting for degenerate parabolic differential operators of Kolmogorov type is that of a Lie group much more involved than the standard Euclidean Lie group of translations, the latter being relevant in the case of uniformly elliptic parabolic operators.     

Harnack estimates for quasi-linear degenerate parabolic differential equations

We establish the intrinsic Harnack inequality for non-negative solutions of a class of degenerate, quasilinear, parabolic equations, including equations of the p-Laplacian and porous medium type. It is shown that the classical Harnack estimate, while failing for degenerate parabolic equations, it continues to hold in a space-time geometry intrinsic to the degeneracy. The proof uses only measure-theoretical arguments, it reproduces the classical Moser theory, for non-degenerate equations, and it is novel even in that context. Hölder estimates are derived as a consequence of the Harnack inequality. The results solve a long standing problem in the theory of degenerate parabolic equations.     

Global gradient estimates for degenerate parabolic equations in nonsmooth domains

This paper studies the global regularity theory for degenerate nonlinear parabolic partial differential equations. Our objective is to show that weak solutions belong to a higher Sobolev space than assumed a priori if the complement of the domain satisfies a capacity density condition and if the boundary values are sufficiently smooth. Moreover, we derive integrability estimates for the gradient. The results extend to the parabolic systems as well. The higher integrability estimates provide a useful tool in several applications.      

Uniqueness of solutions to degenerate parabolic and elliptic equations in weighted Lebesgue spaces

We investigate uniqueness for degenerate parabolic and elliptic equations in the class of solutions belonging to weighted Lebesgue spaces and not satisfying any boundary condition. The uniqueness result that we provide relies on the existence of suitable positive supersolutions of the adjoint equations. Under proper assumptions on the behavior at the boundary of the coefficients of the operator, such supersolutions are constructed, mainly using the distance function from the boundary.     

Teoremi di esistenza e di unicitá per le soluzioni deboli dei problemi al contorno per una classe di sistemi parabolici di equazioni del secondo ordine

In this paper we give some existence and uniqueness theorems for weak solutions of boundary value problems for a particular class of parabolic systems of linear partial differential equations of the second order with real coefficients. In particular some uniqueness theorems for equations with complex coefficients are deduced from the previous results.     

The homogeneous dirichlet problem for quasilinear anisotropic degenerate parabolic-hyperbolic equation with L initial value

The aim of this paper is to prove the well-posedness (existence and uniqueness) of the L^p entropy solution to the homogeneous Dirichlet problems for the anisotropic degenerate parabolic-hyperbolic equations with L^p initial value. We use the device of doubling variables and some technical analysis to prove the uniqueness result. Moreover we can prove that the L^p entropy solution can be obtained as the limit of solutions of the corresponding regularized equations of nondegenerate parabolic type.