Mathematics – Probability
Scientific paper
2011-12-24
Mathematics
Probability
35 pages
Scientific paper
We introduce the concept of quasiderivative and give an example constructed by random time change, Girsanov's Theorem and Levy's Theorem. As an application, we investigate the smoothness and estimate the derivatives up to second order for probabilistic solutions to Dirichlet problems for linear degenerate elliptic partial differential equations of second order, under the assumption of non-degeneracy with respect to the normal to the boundary and an interior condition to control the moments of quasiderivatives, which is weaker than non-degeneracy. The probabilistic solution is the unique solution to the associated Dirichlet problem.
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