Fundamental solution for Cauchy initial value problem for parabolic PDEs with discontinuous unbounded first-order coefficient at the origin. Extension of the classical parametrix method (Q829571): Difference between revisions

The authors prove the existence of a fundamental solution of the Cauchy initial boundary value problem on the whole space for a parabolic partial differential equation with discontinuous unbounded first-order coefficient at the origin. We recall that the Fundamental Solution may be interpreted as the transfer density of probability for diffusion random non-homogeneous in the time, as well as in the space, Markov process and satisfies the well-known Chapman-Kolmogorov equation. They establish also non-asymptotic, rapidly decreasing at infinity, upper and lower estimates for the fundamental solution by extending the classical parametrix method introduced by E. E. Levi.