Global analytic expansion of solution for a class of linear parabolic systems with coupling of first order derivatives terms

We derive global analytic representations of fundamental solutions for a class of linear parabolic systems with full coupling of first order derivative terms where coefficient may depend on space and time. Pointwise convergence of the global analytic expansion is proved. This leads to analytic representations of solutions of initial-boundary problems of first and second type in terms of convolution integrals or convolution integrals and linear integral equations. The results have both analytical and numerical impact. Analytically, our representations of fundamental solutions of coupled parabolic systems may be used to define generalized stochastic processes. Moreover, some classical analytical results based on a priori estimates of elliptic equations are a simple corollary of our main result. Numerically, accurate, stable and efficient schemes for computation and error estimates in strong norms can be obtained for a considerable class of Cauchy- and initial-boundary problems of parabolic type. Furthermore, there are obvious and less obvious applications to finance and physics. Warning: The argument given in the current version is only valid in special cases (essentially the scalar case). A more involved argument is needed for systems and will be communicated soon in a replacement,Comment: 24 pages, the paper needs some correction and is under substantial revisio

Regular polynomial interpolation and approximation of global solutions of linear partial differential equations

We consider regular polynomial interpolation algorithms on recursively defined sets of interpolation points which approximate global solutions of arbitrary well-posed systems of linear partial differential equations. Convergence of the 'limit' of the recursively constructed family of polynomials to the solution and error estimates are obtained from a priori estimates for some standard classes of linear partial differential equations, i.e. elliptic and hyperbolic equations. Another variation of the algorithm allows to construct polynomial interpolations which preserve systems of linear partial differential equations at the interpolation points. We show how this can be applied in order to compute higher order terms of WKB-approximations of fundamental solutions of a large class of linear parabolic equations. The error estimates are sensitive to the regularity of the solution. Our method is compatible with recent developments for solution of higher dimensional partial differential equations, i.e. (adaptive) sparse grids, and weighted Monte-Carlo, and has obvious applications to mathematical finance and physics.Comment: 28 page