scientific article; zbMATH DE number 1443581
The parabolic equation \[ D_t u(t,x)= \textstyle{{1\over 2}}\text{Tr}[CD^2 u]+ \langle Ax+ F(x), Du\rangle,\quad x\in \mathbb{R}^d,\;t>0, \] \[ u(0,x)= \varphi(x),\quad x\in\mathbb{R}^d, \] is considered, where \(Du\) is the gradient, \(A\) is a matrix, \(C\) is a symmetric nonnegative matrix, \(F\in C^2_b(\mathbb{R}^d; \mathbb{R}^d)\). The formula \(P_t\varphi(x)= E[\varphi(X(t, x))]\), \(\varphi\in B_b(\mathbb{R}^d)\), \(t\geq 0\) defines the semigroup, where \(X(t,x)\) is the solution to the stochastic differential equation \[ dX(t)= (AX(t)+ F(X(t)))\;dt+ C^{{1\over 2}}dW(t),\quad X(0)= x, \] \(W\) is a standard Brownian motion. The author proves that if \(W\) is locally Lipschitz continuous, there exists a strict solution \(u(t,x)= P_t\varphi(x)\) of the parabolic equation and there is a corrected estimate \[ |DP_t\varphi(x)|\leq e^{{ht\over 2}} \|\Lambda(t)\|\|\varphi\|_0,\quad \Lambda(t)= Q^{-{1\over 2}}_t e^{tA},\quad Q_t= \int^t_0 e^{sA} Ce^{sA^*} ds. \]
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