*Charles L. Epstein and Rafe1 Mazzeo*

- Published in print:
- 2013
- Published Online:
- October 2017
- ISBN:
- 9780691157122
- eISBN:
- 9781400846108
- Item type:
- chapter

- Publisher:
- Princeton University Press
- DOI:
- 10.23943/princeton/9780691157122.003.0001
- Subject:
- Mathematics, Probability / Statistics

This book proves the existence, uniqueness and regularity results for a class of degenerate elliptic operators known as generalized Kimura diffusions, which act on functions defined on manifolds with ...
More

This book proves the existence, uniqueness and regularity results for a class of degenerate elliptic operators known as generalized Kimura diffusions, which act on functions defined on manifolds with corners. It presents a generalization of the Hopf boundary point maximum principle that demonstrates, in the general case, how regularity implies uniqueness. The book is divided in three parts. Part I deals with Wright–Fisher geometry and the maximum principle; Part II is devoted to an analysis of model problems, and includes degenerate Hölder spaces; and Part III discusses generalized Kimura diffusions. This introductory chapter provides an overview of generalized Kimura diffusions and their applications in probability theory, model problems, perturbation theory, main results, and alternate approaches to the study of similar degenerate elliptic and parabolic equations.Less

This book proves the existence, uniqueness and regularity results for a class of degenerate elliptic operators known as generalized Kimura diffusions, which act on functions defined on manifolds with corners. It presents a generalization of the Hopf boundary point maximum principle that demonstrates, in the general case, how regularity implies uniqueness. The book is divided in three parts. Part I deals with Wright–Fisher geometry and the maximum principle; Part II is devoted to an analysis of model problems, and includes degenerate Hölder spaces; and Part III discusses generalized Kimura diffusions. This introductory chapter provides an overview of generalized Kimura diffusions and their applications in probability theory, model problems, perturbation theory, main results, and alternate approaches to the study of similar degenerate elliptic and parabolic equations.

*Charles L. Epstein and Rafe Mazzeo*

- Published in print:
- 2013
- Published Online:
- October 2017
- ISBN:
- 9780691157122
- eISBN:
- 9781400846108
- Item type:
- book

- Publisher:
- Princeton University Press
- DOI:
- 10.23943/princeton/9780691157122.001.0001
- Subject:
- Mathematics, Probability / Statistics

This book provides the mathematical foundations for the analysis of a class of degenerate elliptic operators defined on manifolds with corners, which arise in a variety of applications such as ...
More

This book provides the mathematical foundations for the analysis of a class of degenerate elliptic operators defined on manifolds with corners, which arise in a variety of applications such as population genetics, mathematical finance, and economics. The results discussed in this book prove the uniqueness of the solution to the martingale problem and therefore the existence of the associated Markov process. The book uses an “integral kernel method” to develop mathematical foundations for the study of such degenerate elliptic operators and the stochastic processes they define. The precise nature of the degeneracies of the principal symbol for these operators leads to solutions of the parabolic and elliptic problems that display novel regularity properties. Dually, the adjoint operator allows for rather dramatic singularities, such as measures supported on high codimensional strata of the boundary. The book establishes the uniqueness, existence, and sharp regularity properties for solutions to the homogeneous and inhomogeneous heat equations, as well as a complete analysis of the resolvent operator acting on Hölder spaces. It shows that the semigroups defined by these operators have holomorphic extensions to the right half plane. The book also demonstrates precise asymptotic results for the long-time behavior of solutions to both the forward and backward Kolmogorov equations.Less

This book provides the mathematical foundations for the analysis of a class of degenerate elliptic operators defined on manifolds with corners, which arise in a variety of applications such as population genetics, mathematical finance, and economics. The results discussed in this book prove the uniqueness of the solution to the martingale problem and therefore the existence of the associated Markov process. The book uses an “integral kernel method” to develop mathematical foundations for the study of such degenerate elliptic operators and the stochastic processes they define. The precise nature of the degeneracies of the principal symbol for these operators leads to solutions of the parabolic and elliptic problems that display novel regularity properties. Dually, the adjoint operator allows for rather dramatic singularities, such as measures supported on high codimensional strata of the boundary. The book establishes the uniqueness, existence, and sharp regularity properties for solutions to the homogeneous and inhomogeneous heat equations, as well as a complete analysis of the resolvent operator acting on Hölder spaces. It shows that the semigroups defined by these operators have holomorphic extensions to the right half plane. The book also demonstrates precise asymptotic results for the long-time behavior of solutions to both the forward and backward Kolmogorov equations.