The Riccati differential equation and a diffusion-type equation (Q554283)

This article examines the Cauchy problem for parabolic PDEs on \(\mathbb R\) of the form \[ \frac{\partial u}{\partial t}= Q\left(\frac{\partial}{\partial x}, x, t\right)u, \tag{1} \] where \(Q\) is a time-dependent quadratic form in \(\frac{\partial}{\partial x}\) and \(x\). The authors give an explicit formula for the fundamental solution (or heat kernel) of (1). They also show, using the parabolic maximum principle, that solutions to the corresponding Cauchy problem, satisfying a Tikhonov-type growth condition at infinity, are unique. Finally, they consider a number of examples of equations of the form (1), many of which have arisen in applications, and give the formula for the corresponding fundamental solution in each case. The non-homogeneous equation is also considered.