A probabilistic point of view for the Kolmogorov hypoelliptic equations

DOI10.1051/PS/2023007MaRDI QIDQ6133926zbMATH OpenOpenAlexFDO

Authors Pierre Etoré, José R. León, Clémentine Prieur

Publication date 21 August 2023

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

Copyright license Creative Commons Attribution 4.0 International

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

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)

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.

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Cited in

(2)

• scientific article; zbMATH DE number 7523887 (Why is no real title available?)
• Hypocoercivity for Kolmogorov backward evolution equations and applications

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