Related papers: Remarks on parabolic Kolmogorov operator

We determine sufficient conditions for the occurrence of a pointwise gradient estimate for the evolution operators associated to nonautonomous second order parabolic operators with (possibly) unbounded coefficients. Moreover we exhibit a…

We prove the unique weak solvability of stochastic differential equations with time-inhomogeneous drift in essentially the largest (scaling-invariant) Morrey class, i.e.\,with integrability parameter $q>1$ close to $1$. The constructed weak…

We obtain Calder{\'o}n-Zygmund estimates for some degenerate equations of Kolmogorov type with inhomogeneous coefficients. We then derive the well-posedness of the martingale problem associated to related degenerate operators, and therefore…

In this paper, we study the weak differentiability of global strong solution of stochastic differential equations, the strong Feller property of the associated diffusion semigroups and the global stochastic flow property in which the…

A class of (possibly) degenerate integro-differential equations of parabolic type is considered, which includes the Kolmogorov equations for jump diffusions. Existence and uniqueness of the solutions are established in Bessel potential…

We study a class of nonautonomous, linear, parabolic equations with unbounded coefficients on $\mathbb R^{d}$ which admit an evolution system of measures. It is shown that the solutions of these equations converge to constant functions as…

We study the solution to Kolmogorov-Feller equation and by using it provide pricing formulas of well known some options under jump-diffusion model.

This paper studies three ways to construct a nonhomogeneous jump Markov process: (i) via a compensator of the random measure of a multivariate point process, (ii) as a minimal solution of the backward Kolmogorov equation, and (iii) as a…

In the present article, solvability in Sobolev spaces is investigated for a class of degenerate stochastic integro-differential equations of parabolic type. Existence and uniqueness is obtained, and estimates are given for the solution.

This paper describes the structure of solutions to Kolmogorov's equations for nonhomogeneous jump Markov processes and applications of these results to control of jump stochastic systems. These equations were studied by Feller (1940), who…

We show that the weak solutions of parabolic equation $\partial_t u - \Delta u + b(t,x) \cdot \nabla u=0$, $(t,x) \in (0,\infty) \times \mathbb R^d$, $d \geqslant 3$, for $b(t,x)$ in a wide class of time-dependent vector fields capturing…

Parabolic integro-differential Kolmogorov equations with different space-dependent operators are considered in H\"{o}lder-type spaces defined by a scalable L\'{e}vy measure. Probabilistic representations are used to prove continuity of the…

In this paper we study the global boundedness for the solutions to a class of possibly degenerate parabolic equations by De-Giorgi's iteration. As applications, we show the existence of weak solutions for possibly degenerate stochastic…

We obtain Sobolev regularity estimates for solutions of non-local parabolic equations with locally unbounded drift satisfying some minimal assumptions. These results yield Krylov bound for the corresponding Feller stable process as well as…

This paper constructs a solvability theory for a system of stochastic partial differential equations. On account of the Kolmogorov continuity theorem, solutions are looked for in certain H\"older-type classes in which a random field is…

This work is concerned with the development of a family of Galerkin finite element methods for the classical Kolmogorov's equation. Kolmogorov's equation serves as a sufficiently rich, for our purposes, model problem for kinetic-type…

We investigate uniqueness, in suitable weighted Lebesgue spaces, of solutions to a class of fractional parabolic and elliptic equations with a drift.

We obtain exact results for fractional equations of Fokker-Planck type using evolution operator method. We employ exact forms of one-sided Levy stable distributions to generate a set of self-reproducing solutions. Explicit cases are…

We consider backward fractional Kolmogorov equations with singular Besov drift of low regularity and singular terminal conditions. To treat drifts beyond the socalled Young regime, we assume an enhancement assumption on the drift and…

We present a deep learning algorithm for the numerical solution of parametric families of high-dimensional linear Kolmogorov partial differential equations (PDEs). Our method is based on reformulating the numerical approximation of a whole…