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Consider the following PDE: (the so-called Fokker-Planck Equation) \begin{cases} \partial_t u = \partial_x \left(u_\infty \partial_x \left( \frac{u}{u_\infty} \right)\right) &\text{ for } t > 0, x \in (0,1) \\ \partial_x \left( \frac{u(x,t)}{u_\infty(x)}\right) = 0 &\text{ for } t>0, x \in \{ 0,1 \} \\ u(0) = u_0 &\text{ in } [0,1] \end{cases} Where $V \in C^2[0,1]$ and $u_\infty = ce^{-V(x)}$ with $c>0$ such that $\|u_\infty\|_2 = 1$. I am interested in the analysis of this PDE, such as existence of solutions, regularity of these and long time beaviour. I do not have much experience in pde. However I am familiar with the theory of linear evolution equations, I am currently trying to write the pde as an abstract Cauchy problem with a linear oeprator and then try proving that it is a generator. If this works out I might get existence of a mild solution.

Any help is greatly appreciated. I was searching the standard literature for advice but could not find any useful information.

  • Are you sure it's the formulation required? The problem doesn't depend upon constant $c$. – Andrew Jan 16 '18 at 14:21
  • I do not understand your question. Sure the problem doesnt depend on $c$ but however it is nice to have a quilibrium solution with unit mass. –  Jan 18 '18 at 07:13

1 Answers1

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Since $c$ doesn't play any role, denote $u_\infty(x)=e^{-V(x)}$, also $D=(0,1)\times(0,\infty)$ is the domain in which the solution is sought. Put $p(x,t)=u(x,t)/u_\infty(x,t)=e^{V(x)}u(x,t)$. The problem for the new function $p$ becomes $$ \begin{cases} \partial_t p =e^{V(x)} \partial_x \left(u_\infty \partial_x p\right)= \partial_x^2p+V'(x)\partial_xp&\text{ in } D \\ \partial_x p= 0 &\text{ for } t>0, x \in \{ 0,1 \} \\ p|_{t=0} =e^{V(x)} u_0(x) &\text{ in } [0,1] \end{cases} $$ The equation is uniformly parabolic in $D$ with smooth enough coefficients and the corresponding results apply.

Nothing is said about the initial function $u_0$ so I will assume for now it belongs to $C^{2+\alpha}([0,1])$, where $\alpha\in(0,1)$. If additionally to require the compatibility conditions (between the initial and boundary data) to be fulfilled, in this case $$ (e^{V(x)}u_0(x))'|_{x=0}= (e^{V(x)}u_0(x))'|_{x=1}=0, $$ then there exists a unique solution $p$ which belongs to the anisotropic Holder space $C^{2+\alpha,1+\alpha/2}(\bar D)$, see, for example O. A. Ladyzhenskaya, V.A. Solonnikov, N.N. Uraltseva, Linear and quasi-linear equations of parabolic type, ch. 4.

Returning to the initial problem one gets

  1. $u\in C^{2,1}(\bar D)$.

Also I think that the solution is smooth wrt $t$ in $\bar D_\varepsilon=D\cap\{t>\varepsilon\}$, $\varepsilon>0$, namely,

  1. $\partial_t^mu\in C(\bar D_\varepsilon)$ for any $m\in \mathbb N$, though I haven't a reference.

  2. If to reduce the regularity of $u_0$, say $u_0\in L_1(0,1)$, then the assertions in $\bar D_\varepsilon$ still hold: $u\in C^{2,1}(\bar D_\varepsilon)$, $\partial_t^mu\in C(\bar D_\varepsilon)$.

  3. If $u_0\in C([0,1])$ then $u$ is continuous up to the moment $t=0$: $u\in C(\bar D)$.
  4. If $u_0$ is non-negative then $u$ is non-negative.
  5. $\lim_{t\to+\infty}u(x,t)=Ke^{-V(x)}$, where $$ K=\left(\int_0^1u_\infty\,dx\right)^{-1} \int_0^1u_0\,dx. $$

Rationale for pp. 5,6 is as following. The boundary conditions of the second kind for $p$ mean physically that the endpoints are isolated and heat doesn't flow through them. In the absence of heat sources the initial distribution $u_0$ is flattened out to the mean "temperature" $K$, i.e. $\lim_{t\to+\infty}p(x,t)=K$ and $\lim_{t\to+\infty}u(x,t)=Ke^{-V(x)}$. Note that it is a stationary solution of the original equation.

To find $K$ we'll integrate the equation and use the boundary conditions: $$ \int_0^t\int_0^1\partial_tu(x,\tau)\,dxd\tau= \int_0^1u(x,t)\,dx-\int_0^1u(x,0)\,dx= $$ $$ \int_0^t\int_0^1 \partial_x \left(u_\infty \partial_x \left( \frac{u}{u_\infty} \right)\right)\,dxd\tau= \int_0^tu_\infty \partial_x \left( \frac{u}{u_\infty} \right)\Bigg|_{x=0}^{x=1}\,d\tau=0, $$ so $$ \int_0^1u(x,t)\,dx=\int_0^1u(x,0)\,dx. $$ Taking the limit $t\to+\infty$ gives $$ \int_0^1K e^{-V(x)}\,dx=\int_0^1u_0(x)\,dx. $$


Update

Rewriting the equation in the form $$ \partial_tp=u_\infty^{-1}\partial_x(u_\infty\partial_xp), $$ the problem for $p$ can be solved by the Fourier method (separation of variables) using the Sturm–Liouville theory. Namely, denote $$ (f,g)=\int_0^1u_\infty fg\,dx $$ a scalar product with weight $u_\infty$ and $\|f\|=(f,f)^{1/2}$. Let $\{\psi_n\}$, s.t. $\|\psi_n\|=1$, and $0=\lambda_1<\lambda_2<\ldots$ be an orthonormal system of eigenfunctions and eigenvalues of the corresponding Sturm–Liouville problem. The first eigenfunction (for $\lambda_1=0$) is constant: $\psi_1=\|u_\infty\|^{-1/2}$. Then for $u_0\in L_2(0,1)$ $$ p(x,t)=\sum_{n=1}^\infty a_n\psi_n(x)e^{-\lambda_n t}=K+\sum_{n=2}^\infty a_n\psi_n(x)e^{-\lambda_n t}, $$ where $a_n=\frac{(\psi_n,u_0)}{\|\psi_n\|}$. From there we have p.6. and also p.2 because the series for $\partial_t^mp$ converge for $t>0$. It follow from this representation that the convergence rate of $u$ to $Ku_\infty$ is exponential (at least as $e^{-\lambda_2t}$).

Andrew
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  • Wow thank you! This sounds very good. How would one prove the non negativity of the solution? Do you know a reference where I could look it up? –  Jan 18 '18 at 09:14
  • I haven't a reference or proof. The reasoning is purely physical: in an isolated system temperature should level between the minimal and maximal initial temperature. – Andrew Jan 18 '18 at 09:20
  • @residuence I've expanded the answer concerning pp.2 and 6. – Andrew Jan 21 '18 at 10:29