Document Type
Article
Publication Title
Electronic Journal of Differential Equations
Abstract
Using both probabilistic and classical analytic techniques, we investigate the parabolic Kolmogorov equation $$ L_t v +\frac {\partial v}{\partial t}\equiv \frac 12 a^{ij}(t)v_{x^ix^j} +b^i(t) v_{x^i} -c(t) v+ f(t) +\frac {\partial v}{\partial t}=0 $$ in $H_T:=(0,T) \times E_d$ and its solutions when the coefficients are bounded Borel measurable functions of $t$. We show that the probabilistic solution $v(t,x)$ defined in $\bar H_T$, is twice differentiable with respect to $x$, continuously in $(t,x)$, once differentiable with respect to $t$, a.e. $t \in [0,T)$ and satisfies the Kolmogorov equation $L_t v +\frac {\partial v}{\partial t}=0$ a.e. in $\bar H_T$. Our main tool will be the Aleksandrov-Busemann-Feller Theorem. We also examine the probabilistic solution to the fully nonlinear Bellman equation with time-measurable coefficients in the simple case $b\equiv 0,\,c\equiv 0$. We show that when the terminal data function is a paraboloid, the payoff function has a particularly simple form.
First Page
1
Last Page
14
Publication Date
7-13-2003
Recommended Citation
Kovats, J. (2003) The Kolmogorov equation with time-measurable coefficients. Electronic Journal of Differential Equations, 2003(77), 1-14.
