Nonlinear parabolic P.D.E.\ and additive functionals of superdiffusions
Dynkin, E. B. ; Kuznetsov, S. E.
Ann. Probab., Tome 25 (1997) no. 4, p. 662-701 / Harvested from Project Euclid
Suppose that $E$ is an arbitrary domain in $\mathbb{R}^d$, $L$ is a second order elliptic differential operator in $S = \mathbb{R}_+ \times E$ and $S^e$ is the extremal part of the Martin boundary for the corresponding diffusion $\xi$. Let $1 < \alpha \leq 2$. We investigate a boundary value problem [image] involving two measures $\eta$ and $\nu$. For the existence of a solution, we give sufficient conditions in terms of a Martin capacity and necessary conditions in terms of hitting probabilities for an $(L, \alpha)$-superdiffusion $X$. If a solution exists, then it can be expressed by an explicit formula through an additive functional $A$ of $X$. ¶ An $(L, \alpha)$-superdiffusion is a branching measure-valued process. A natural linear additive (NLA) functional $A$ of $X$ is determined uniquely by its potential $h$ defined by the formula $P_{\mu} A(0, \infty) = \int h(r, x) \mu (dr, dx)$ for all $\mu \in \mathscr{M}^*$ (the determining set of $A$). Every potential $h$ is an exit rule for $\xi$ and it has a unique decomposition into extremal exit rules. If $\eta$ and $\nu$ are measures which appear in this decomposition, then (*)can be replaced by an integral equation $$\tag{**} u(r, x) + \int p(r, x; t, dy)u(t, y)^{\alpha} ds = h(r, x),$$ where $p(r, x; t, dy)$ is the transition function of $\xi$. We prove that h is the potential of a NLA functional if and only if (**) has a solution $u$. Moreover, $$u(r, x) = -\log P_{r, x} e^{-A(0, \infty)}.$$ ¶ By applying these results to homogeneous functionals of time-homogeneous superdiffusions, we get a stronger version of theorems proved in an earlier publication. The foundation for our present investigation is laid by a general theory developed in the accompanying paper.
Publié le : 1997-04-14
Classification:  Measure-valued processes,  branching,  natural linear additive functionals,  probabilistic solutions of PDEs,  boundary value problems involving measures,  potentials,  log-potentials,  capacities,  polar sets,  60J60,  35J65,  60J80,  31C15,  60J25,  60J55,  31C45,  35J60
@article{1024404415,
     author = {Dynkin, E. B. and Kuznetsov, S. E.},
     title = {Nonlinear parabolic P.D.E.\ and additive functionals of
 superdiffusions},
     journal = {Ann. Probab.},
     volume = {25},
     number = {4},
     year = {1997},
     pages = { 662-701},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1024404415}
}
Dynkin, E. B.; Kuznetsov, S. E. Nonlinear parabolic P.D.E.\ and additive functionals of
 superdiffusions. Ann. Probab., Tome 25 (1997) no. 4, pp.  662-701. http://gdmltest.u-ga.fr/item/1024404415/