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This article is cited in 4 scientific papers (total in 4 papers)
Solution to a parabolic differential equation in Hilbert space via Feynman formula - I
I. D. Remizovab a Lobachevsky University of Nizhny Novgorod,
Prospekt Gagarina, 23, Nizhny Novgorod, 603950, Russia
b Bauman Moscow State Technical University,
2nd Baumanskaya Str., 5, Moscow, 105005, Russia,
Abstract:
A parabolic partial differential equation $u'_t(t,x)=Lu(t,x)$ is considered, where $L$ is a linear second-order differential operator with time-independent coefficients, which may depend on $x$. We assume that the spatial coordinate $x$ belongs to a finite- or infinite-dimensional real separable Hilbert space $H$.
Assuming the existence of a strongly continuous resolving semigroup for this equation, we construct a representation of this semigroup by a Feynman formula, i.e. we write it in the form of the limit of a multiple integral over $H$ as the multiplicity of the integral tends to infinity. This representation gives a unique solution to the Cauchy problem in the uniform closure of the set of smooth cylindrical functions on $H$. Moreover, this solution depends continuously on the initial condition. In the case where the coefficient of the first-derivative term in $L$ vanishes we prove that the strongly continuous resolving semigroup exists (this implies the existence of the unique solution to the Cauchy problem in the class mentioned above) and that the solution to the Cauchy problem depends continuously on the coefficients of the equation.
The article is published in the author's wording.
Keywords:
Hilbert space, Feynman formula, Chernoff theorem, multiple integrals, Gaussian measure.
Received: 20.05.2015
Citation:
I. D. Remizov, “Solution to a parabolic differential equation in Hilbert space via Feynman formula - I”, Model. Anal. Inform. Sist., 22:3 (2015), 337–355
Linking options:
https://www.mathnet.ru/eng/mais445 https://www.mathnet.ru/eng/mais/v22/i3/p337
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