On the fundamental solution and a variational formulation for a degenerate diffusion of Kolmogorov type

DOI10.3934/DCDS.2018146MaRDI QIDQ1661119zbMATH OpenOpenAlexWikidataFDO

Authors Manh Hong Duong, Hoang Minh Tran

Publication date 16 August 2018

Published in Discrete and Continuous Dynamical Systems (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1703.07622

zbMATH Keywords

optimal transporthypoelliptic diffusionvariational formulationdegenerate diffusionfundamental solution

Mathematics Subject Classification ID

Diffusion processes (60J60) Variational methods applied to PDEs (35A15) Initial value problems for second-order parabolic equations (35K15) Partial differential equations of mathematical physics and other areas of application (35Q99) Dynamical aspects of finite-dimensional Hamiltonian and Lagrangian systems (37J99)

Abstract: In this paper, we construct the fundamental solution to a degenerate diffusion of Kolmogorov type and develop a time-discrete variational scheme for its adjoint equation. The so-called mean squared derivative cost function plays a crucial role occurring in both the fundamental solution and the variational scheme. The latter is implemented by minimizing a free energy functional with respect to the Kantorovich optimal transport cost functional associated with the mean squared derivative cost. We establish the convergence of the scheme to the solution of the adjoint equation generalizing previously known results for the Fokker-Planck equation and the Kramers equation.

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