Skip to main content
Log in

Classical Fundamental Solution of the Cauchy Problem for Ultraparabolic Kolmogorov-Type Equations with Two Groups of Spatial Variables of Degeneration. I

  • Published:
Journal of Mathematical Sciences Aims and scope Submit manuscript

We construct a classical fundamental solution of the Cauchy problem for the degenerate ultraparabolic Kolmogorov-type equation with two groups of spatial variables of degeneration. We also established exact estimates for this solution and its derivatives.

This is a preview of subscription content, log in via an institution to check access.

Access this article

Price excludes VAT (USA)
Tax calculation will be finalised during checkout.

Instant access to the full article PDF.

Similar content being viewed by others

References

  1. S. D. Ivasyshen and I. P. Medyns’kyi, “Classical fundamental solution of degenerate Kolmogorov equation whose coefficients are independent of the variables of degeneration,” Bukov. Mat. Zh.,2, No. 2-3, 94–106 (2014).

    MATH  Google Scholar 

  2. S. D. Ivasyshen and I. P. Medyns’kyi, “Classical fundamental solutions of the Cauchy problem for ultraparabolic Kolmogorov-type equations with two groups of spatial variables,” in: V. A. Mykhailets’ (editor), “Differential Equations and Related Problems of Analysis” Collection of Work, Institute of Mathematics, Ukrainian National Academy of Sciences, Vol. 13, No. 1, Kyiv (2016), pp. 108–155.

  3. S. D. Ivasyshen and I. P. Medyns’kyi, “On the classical fundamental solutions of the Cauchy problem for ultraparabolic Kolmogorov-type equations with two groups of spatial variables,” Mat. Metody Fiz.-Mekh. Polya,59, No. 2, 28–42 (2016); English translation:J. Math. Sci.,231, No. 4, 507–526 (2018), https://doi.org/10.1007/s10958-018-3830-0.

    Article  MathSciNet  Google Scholar 

  4. N. P. Protsakh and B. I. Ptashnyk, Nonlinear Ultraparabolic Equations and Variational Inequalities [in Ukrainian], Naukova Dumka, Kyiv (2017).

  5. G. Citti, A. Pascucci, and S. Polidoro, “On the regularity of solutions to a nonlinear ultraparabolic equation arising in mathematical finance,” Differ. Integral Equat.,14, No. 6, 701–738 (2001).

    MathSciNet  MATH  Google Scholar 

  6. M. Di Francesco and A. Pascucci, “A continuous dependence result for ultraparabolic equations in option pricing,” J. Math. Anal. Appl.,336, No. 2, 1026–1041 (2007), https://doi.org/10.1016/j.jmaa.2007.03.031.

    Article  MathSciNet  MATH  Google Scholar 

  7. M. Di Francesco and A. Pascucci, “On a class of degenerate parabolic equations of Kolmogorov type,” Appl. Math. Res. Express.,2005, No. 3, 77–116 (2005), https://doi.org/10.1155/AMRX.2005.77.

  8. S. D. Eidelman, S. D. Ivasyshen, and A. N. Kochubei, Analytic Methods in the Theory of Differential and Pseudo-Differential Equations of Parabolic Type, Birkhäuser, Basel (2004). – (Ser. Operator Theory: Adv. and Appl., Vol. 152.), https://doi.org/10.1007/978-3-0348-7844-9.

    Book  Google Scholar 

  9. P. Foschi and A. Pascucci, “Kolmogorov equations arising in finance: direct and inverse problems,” Lect. Notes Seminario Interdisciplinare Matematica, Universita degli Studi della Basilicata,VI, 145–156 (2007).

  10. S. D. Ivasyshen and I. P. Medynskyi “The Fokker–Planck–Kolmogorov equations for some degenerate diffusion processes,” Theory Stochast. Process.,16(32), No. 1, 57–66 (2010).

  11. S. D. Ivasyshen and I. P. Medynskyi “On applications of the Levi method in the theory of parabolic equations,” Маt. Stud.,47, No. 1, 33–46 (2017), https://doi.org/10.15330/ms.47.1.33-46.

    Article  MathSciNet  Google Scholar 

  12. A. Kolmogoroff, “Zufällige Bewegungen (Zur Theorie der Brownschen Bewegung),“ Ann. Math.,35, No. 1, 116–117 (1934), https://doi.org/10.2307/1968123.

    Article  MathSciNet  Google Scholar 

  13. E. Lanconelli and S. Polidoro, “On a class of hypoelliptic evolution operators,” Rend. Sem. Mat. Univ. Politec. Torino. Partial Diff. Eqs.,52, No. 1, 29–63 (1994).

    MathSciNet  MATH  Google Scholar 

  14. A. Pascucci, “Kolmogorov equations in physics and in finance,” in: Elliptic and Parabolic Problems, Birkhäuser, Basel (2005), (H. Brezis (editor), Ser. Progress in Nonlinear Differential Equations and their Applications, Vol. 63). pp. 313–324.

  15. S. Polidoro, “On a class of ultraparabolic operators of Kolmogorov–Fokker–Planck type,” Le Matematiche,49, No. 1, 53–105 (1994).

Download references

Author information

Authors and Affiliations

Authors

Additional information

Translated from Matematychni Metody ta Fizyko-Mekhanichni Polya, Vol. 60, No. 3, pp. 9–31, July–September, 2017.

Rights and permissions

Reprints and permissions

About this article

Check for updates. Verify currency and authenticity via CrossMark

Cite this article

Іvasyshen, S.D., Мedynsky, І.P. Classical Fundamental Solution of the Cauchy Problem for Ultraparabolic Kolmogorov-Type Equations with Two Groups of Spatial Variables of Degeneration. I. J Math Sci 246, 121–151 (2020). https://doi.org/10.1007/s10958-020-04726-z

Download citation

  • Received:

  • Published:

  • Issue Date:

  • DOI: https://doi.org/10.1007/s10958-020-04726-z

Navigation