On coupled systems of Kolmogorov equations with applications to stochastic differential games

DOI10.1051/COCV/2016019zbMATH Open1371.35144arXiv1506.04845OpenAlexW2215376844MaRDI QIDQ5269839FDOQ5269839

Luca Lorenzi, Gianmario Tessitore, Davide Addona, Luciana Angiuli

Publication date: 28 June 2017

Published in: ESAIM: Control, Optimisation and Calculus of Variations (Search for Journal in Brave)

Abstract: We prove that a family of linear bounded evolution operators $$ can be associated, in the space of vector-valued bounded and continuous functions, to a class of systems of elliptic operators $$ with unbounded coefficients defined in $IimesRd$ (where $I$ is a right-halfline or $I=R$) all having the same principal part. We establish some continuity and representation properties of $$ and a sufficient condition for the evolution operator to be compact in $C_b(Rd;R^m)$. We prove also a uniform weighted gradient estimate and some of its more relevant consequence.

Full work available at URL: https://arxiv.org/abs/1506.04845

zbMATH Keywords

compactnessunbounded coefficientsgradient estimatesstochastic gamesevolution operatorssemilinear systemsnonautonomous parabolic systems

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Initial value problems for second-order parabolic systems (35K45) Semilinear parabolic equations (35K58) Stochastic games, stochastic differential games (91A15) Linear operators defined by compactness properties (47B07)

Cited In (11)

• Generation of semigroups associated to strongly coupled elliptic operators in \(L^p (\mathbb{R}^d; \mathbb{R}^m)\)
• On a perturbation of a class of Schr"odinger systems in -spaces
• INVARIANT MEASURES FOR SYSTEMS OF KOLMOGOROV EQUATIONS
• On a polynomial scalar perturbation of a Schrödinger system in \(L^{p}\)-spaces
• On vector-valued Schrödinger operators with unbounded diffusion in \(L^p\) spaces
• Vector-valued Schrödinger operators in \(L^p\)-spaces
• Title not available (Why is that?)
• On the \(L^p\)-theory of vector-valued elliptic operators
• Stability of transition semigroups and applications to parabolic equations
• Generation results for vector-valued elliptic operators with unbounded coefficients in \(L^p\) spaces
• On weakly coupled systems of partial differential equations with different diffusion terms

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