On degenerate elliptic-parabolic operators of second order and their associated diffusions

DOI10.1002/cpa.3160250603zbMath0344.35041OpenAlexW2028121921MaRDI QIDQ4111940

Daniel W. Stroock, Srinivasa R. S. Varadhan

Publication date: 1972

Published in: Communications on Pure and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/cpa.3160250603

Mathematics Subject Classification ID

Degenerate elliptic equations (35J70) Oscillation, zeros of solutions, mean value theorems, etc. in context of PDEs (35B05) Diffusion processes (60J60) Second-order parabolic equations (35K10) Partial differential equations of mixed type and mixed-type systems of partial differential equations (35M99)

Related Items (78)

Smoothness of harmonic functions for processes with jumps. ⋮ Optimal stopping of a Hilbert space valued diffusion: an infinite dimensional variational inequality ⋮ A functional law of the iterated logarithm for weakly hypoelliptic diffusions at time zero ⋮ Numerical computation for backward doubly SDEs with random terminal time ⋮ Uniqueness for degenerate parabolic equations in weighted \(L^1\) spaces ⋮ The principal eigenvalue and maximum principle for second order elliptic operators on Riemannian manifolds ⋮ On the structure of the singular set for the kinetic Fokker–Planck equations in domains with boundaries ⋮ Ergodicity conditions for nonlinear discrete time stochastic dynamical systems with Markovian noise ⋮ Higher-order degenerate elliptic equations: spaces, operators, boundary- value problems ⋮ Backwards SDE with random terminal time and applications to semilinear elliptic PDE ⋮ Optimal control of diffustion processes and hamilton-jacobi-bellman equations part I: the dynamic programming principle and application ⋮ Optimal control of diffusion processes and hamilton–jacobi–bellman equations part 2 : viscosity solutions and uniqueness ⋮ Uniqueness of solutions to degenerate parabolic and elliptic equations in weighted Lebesgue spaces ⋮ Spectral analysis of hypoelliptic Višik-Ventcel' boundary value problems ⋮ On the Asymptotic Estimates for Exit Probabilities and Minimum Exit Rates of Diffusion Processes Pertaining to a Chain of Distributed Control Systems ⋮ Stochastic Operators and Semigroups and Their Applications in Physics and Biology ⋮ Feller semigroups and degenerate elliptic operators III ⋮ A strong maximum principle for globally hypoelliptic operators ⋮ The Dirichlet Problem for Semilinear Second-Order Degenerate Elliptic Equations and Applications to Stochastic Exit Time Control Problems ⋮ Singular integrals and Feller semigroups with jump phenomena ⋮ On the hierarchical optimal control of a chain of distributed systems ⋮ On a degenerate variational inequality with Neumann boundary conditions ⋮ Initial-boundary value problems for conservative Kimura-type equations: solvability, asymptotic and conservation law ⋮ The transition from ergodic to explosive behavior in a family of stochastic differential equations ⋮ Stochastic nonlinear Schrödinger equations in the defocusing mass and energy critical cases ⋮ Solvability of the Nonlinear Dirichlet Problem with Integro-differential Operators ⋮ Stability and invariant measure asymptotics in a model for heavy particles in rough turbulent flows ⋮ Dual processes and their application to infinite interacting systems ⋮ On the first boundary value problems for some degenerate second order elliptic differential equations ⋮ The Malliavin calculus, a functional analytic approach ⋮ On some systems of real or complex vector fields and their related Laplacians ⋮ Nonuniqueness for the kinetic Fokker-Planck equation with inelastic boundary conditions ⋮ Symmetry properties of positive solutions of elliptic equations on symmetric domains ⋮ Le problème de temps d'arret optimal déterministe et l'inéquation variationnelle du premier ordre associee ⋮ The quasiderivative method for derivative estimates of solutions to degenerate elliptic equations ⋮ Control variations with an increasing number of switchings ⋮ Optimal control of diffusion processes pertaining to an opioid epidemic dynamical model with random perturbations ⋮ Stochastic Perron’s method and verification without smoothness using viscosity comparison: Obstacle problems and Dynkin games ⋮ The stochastic solution to a Cauchy problem for degenerate parabolic equations ⋮ Semigroups and boundary value problems. II ⋮ Verification by stochastic Perron's method in stochastic exit time control problems ⋮ Stochastic calculus and degenerate boundary value problems ⋮ Stochastic averaging and asymptotic behavior of the stochastic Duffing--van der Pol equation ⋮ Asymptotic analysis of transport processes ⋮ Propagation of maxima and strong maximum principle for viscosity solutions of degenerate elliptic equations. I: Convex operators ⋮ On the Poisson equation and diffusion approximation. III ⋮ On the second order derivative estimates for degenerate parabolic equations ⋮ Maximum principle and propagation for intrinsicly regular solutions of differential inequalities structured on vector fields ⋮ Uniqueness of solutions to degenerate elliptic problems with unbounded coefficients ⋮ Maximum principles and classical solutions for degenerate parabolic equations ⋮ Almost sure properties of controlled diffusions and worst case properties of deterministic systems ⋮ Some global properties of symmetric diffusion processes ⋮ Backward stochastic differential equations with subdifferential operator and related variational inequalities ⋮ The Cauchy Problem for Degenerate Parabolic Equations with Discontinuous Drift ⋮ A stochastic partially reversible investment problem on a finite time-horizon: free-boundary analysis ⋮ On extremal solutions of martingale problems ⋮ Construction of branching diffusion processes and their optimal stochastic control ⋮ Semigroups and boundary value problems. II ⋮ The Poisson kernel for certain degenerate elliptic operators ⋮ Construction of fundamental solutions of hypoelliptic equations by the use of a probabilistic method ⋮ On unique ergodicity for degenerate diffusions ⋮ Probabilistic methods in partial differential equations ⋮ A strong maximum principle for degenerate elliptic operators ⋮ Integral conditions for uniqueness of solutions to degenerate parabolic equations ⋮ Stochastic representation of solutions to degenerate elliptic and parabolic boundary value and obstacle problems with Dirichlet boundary conditions ⋮ Large deviation principle for dynamical systems coupled with diffusion-transmutation processes ⋮ Stochastic Perron’s method and verification without smoothness using viscosity comparison: The linear case ⋮ Dirichlet Problem for Degenerate Elliptic Equations ⋮ Stochastic representation and interior regularity of solutions of degenerate elliptic-parabolic equations ⋮ Cubature Methods and Applications ⋮ On singular perturbations in variational inequalities ⋮ Stochastic Representation and Singularities of Solutions of Second Order Equations with Semidefinite Characteristic Form ⋮ The effect of classical noise on a quantum two-level system ⋮ Sensitivity of steady states in a degenerately damped stochastic Lorenz system ⋮ Stochastic methods for Dirichlet problems ⋮ On Gerber-Shiu functions and optimal dividend distribution for a Lévy risk process in the presence of a penalty function ⋮ Asymptotic theory of mixing stochastic ordinary differential equations ⋮ A note on the strong maximum principle

Cites Work

• Principe du maximum, inégalité de Harnack et unicité du problème de Cauchy pour les opérateurs elliptiques dégénérées
• Unnamed Item

This page was built for publication: On degenerate elliptic-parabolic operators of second order and their associated diffusions