Gaussian estimates for fundamental solutions of second order parabolic systems with time-independent coefficients

Auscher, McIntosh and Tchamitchian studied the heat kernels of second order elliptic operators in divergence form with complex bounded measurable coefficients on $\mathbb{R}^n$. In particular, in the case when $n=2$ they obtained Gaussian upper bound estimates for the heat kernel without imposing further assumption on the coefficients. We study the fundamental solutions of the systems of second order parabolic equations in the divergence form with bounded, measurable, time-independent coefficients, and extend their results to the systems of parabolic equations

Regularity of a degenerate parabolic equation appearing in Vecer's unified pricing of Asian options

Vecer derived a degenerate parabolic equation with a boundary condition characterizing the price of Asian options with generally sampled average. It is well understood that there exists a unique probabilistic solution to such a problem but it remained unclear whether the probabilistic solution is a classical solution. We prove that the probabilistic solutions to Vecer's PDE are regular.Comment: 6 page

The Green function estimates for strongly elliptic systems of second order

We establish existence and pointwise estimates of fundamental solutions and Green's matrices for divergence form, second order strongly elliptic systems in a domain $\Omega \subseteq \mathbb{R}^n$, $n \geq 3$, under the assumption that solutions of the system satisfy De Giorgi-Nash type local H\"{o}lder continuity estimates. In particular, our results apply to perturbations of diagonal systems, and thus especially to complex perturbations of a single real equation.Comment: bibliography correcte

Neumann functions for second order elliptic systems with measurable coefficients

We study Neumann functions for divergence form, second order elliptic systems with bounded measurable coefficients in a bounded Lipschitz domain or a Lipschitz graph domain. We establish existence, uniqueness, and various estimates for the Neumann functions under the assumption that weak solutions of the system enjoy interior H\"older continuity. Also, we establish global pointwise bounds for the Neumann functions under the assumption that weak solutions of the system satisfy a certain natural local boundedness estimate. Moreover, we prove that such a local boundedness estimate for weak solutions of the system is in fact equivalent to the global pointwise bound for the Neumann function. We present a unified approach valid for both the scalar and the vectorial cases.Comment: 23 pages, 0 figure; accepted in Trans. Amer. Math. So

Green's matrices of second order elliptic systems with measurable coefficients in two dimensional domains

We study Green's matrices for divergence form, second order strongly elliptic systems with bounded measurable coefficients in two dimensional domains. We establish existence, uniqueness, and pointwise estimates of the Green's matrices.Comment: 18 page