A probabilistic point of view for the Kolmogorov hypoelliptic equations

DOI10.1051/PS/2023007zbMATH Open1517.60080arXiv2109.06529OpenAlexW4324296285MaRDI QIDQ6133926FDOQ6133926

Authors: Pierre Etoré, José R. León, Clémentine Prieur 

Publication date: 21 August 2023

Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)

Abstract: In this work, we propose a method for solving Kolmogorov hypoelliptic equations based on Fourier transform and Feynman-Kac formula. We first explain how the Feynman-Kac formula can be used to compute the fundamental solution to parabolic equations with linear or quadratic potential. Then applying these results after a Fourier transform we deduce the computation of the solution to a a first class of Kolmogorov hypoelliptic equations. Then we solve partial differential equations obtained via Feynman-Kac formula from the Ornstein-Uhlenbeck generator. Also, a new small time approximation of the solution to Kolmogorov hypoelliptic equations is provided. We finally present the results of numerical experiments to check the practical efficiency of this approximation.

Full work available at URL: https://arxiv.org/abs/2109.06529

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zbMATH Keywords

asymptotic expansionFeynman-Kac formulahypoelliptic Kolmogorov equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Transition functions, generators and resolvents (60J35)

Cited In (2)

• Hypocoercivity for Kolmogorov backward evolution equations and applications
• Title not available (Why is that?)

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