Transition operators of diffusions reduce zero-crossing

DOI10.1090/S0002-9947-99-02341-7MaRDI QIDQ4226677zbMATH OpenOpenAlexFDO

Authors Steven Neil Evans, R. J. Williams

Publication date 27 January 1999

Published in Transactions of the American Mathematical Society (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/9801146

zbMATH Keywords

diffusionmartingale problempartial differential equationmeasure valued processessign changesvariation diminishingzero crossing

Mathematics Subject Classification ID

Diffusion processes (60J60) Oscillation, zeros of solutions, mean value theorems, etc. in context of PDEs (35B05) Second-order parabolic equations (35K10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Transition functions, generators and resolvents (60J35)

Abstract: If $u(t,x)$ is a solution of a one--dimensional, parabolic, second--order, linear partial differential equation (PDE), then it is known that, under suitable conditions, the number of zero--crossings of the function $u(t,cdot)$ decreases (that is, does not increase) as time $t$ increases. Such theorems have applications to the study of blow--up of solutions of semilinear PDE, time dependent Sturm Liouville theory, curve shrinking problems and control theory. We generalise the PDE results by showing that the transition operator of a (possibly time--inhomogenous) one--dimensional diffusion reduces the number of zero--crossings of a function or even, suitably interpreted, a signed measure. Our proof is completely probabilistic and depends in a transparent manner on little more than the sample--path continuity of diffusion processes.

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Cited in

(2)

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