Cauchy problem for nonautonomous Kolmogorov equations (Q4342425)

Existence and uniqueness of the strict solutions of an initial value problem for a nonautonomous Kolmogorov equation in a space of unbounded functions is studied. From some time past the interest in such a problem has increased, also motivated by applications to stochastic partial differential equations, Hamilton-Jacobi equations in Hilbert spaces, semigroup theory. Several authors studied the problem when the linear closed operator \(A(t)\) and the bounded nonnegative symmetric operator \(Q(t)\) are independent on \(t\). Now the author is interested in the case when \(A(t)\) and \(Q(t)\) explicitly depend on \(t\). The solutions proposed are in a space of unbounded functions with respect to the \(x\) variable. The paper is organized in 6 sections. In the second section the elementary properties of the evolution operator \(U(t,s)\) is proved. In Section 3 the differentiability of such operator with respect to the \(t\) variable is studied. Section 4 deals with a proof of the existence of strict solutions and Section 5 presents the study of the differentiability of the evolution operator with respect to the \(s\) variable. In the last section the uniqueness of the strict solution is proved.