On the structure of the singular set for the kinetic Fokker–Planck equations in domains with boundaries
Authors:
Hyung Ju Hwang, Juhi Jang and Juan J. L. Velázquez
Journal:
Quart. Appl. Math. 77 (2019), 19-70
MSC (2010):
Primary 35Q84, 35K65, 35A20; Secondary 35Q70, 35R60, 35R06, 60H15, 60H30, 47D07
DOI:
https://doi.org/10.1090/qam/1507
Published electronically:
June 19, 2018
MathSciNet review:
3897919
Full-text PDF
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Abstract: In this paper we compute asymptotics of solutions of the kinetic Fokker–Planck equation with inelastic boundary conditions which indicate that the solutions are nonunique if $r < r_c$. The nonuniqueness is due to the fact that different solutions can interact in a different manner with a Dirac mass which appears at the singular point $(x,v)=(0,0)$. In particular, this nonuniqueness explains the different behaviours found in the physics literature for numerical simulations of the stochastic differential equation associated to the kinetic Fokker–Planck equation. The asymptotics obtained in this paper will be used in a companion paper (Nonuniqueness for the kinetic–Fokker–Planck equation with inelastic boundary conditions) to prove rigorously nonuniqueness of solutions for the kinetic Fokker–Planck equation with inelastic boundary conditions.
References
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- T. W. Burkhardt, Semiflexible polymer in the half plane and statistics of the integral of a Brownian curve, J. Phys. A: Math. Gen. 26 (1993), 1157-1162.
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- Jean Bertoin, Reflecting a Langevin process at an absorbing boundary, Ann. Probab. 35 (2007), no. 6, 2021–2037. MR 2353380, DOI https://doi.org/10.1214/009117906000001213
- T. W. Burkhardt, J. Franklin, and R. R. Gawronski, Statistics of a confined, randomly accelerated particle with inelastic boundary collisions, Phys. Rev. E, 61 (2000), 2376.
- T. W. Burkhardt and S. N. Kotsev, Equilibrium of a confined, randomly accelerated, inelastic particle: Is there inelastic collapse?, Phys. Rev. E 70 (2004), 026105.
- A. T. Bharucha-Reid, Elements of the theory of Markov processes and their applications, Dover Publications, Inc., Mineola, NY, 1997. Reprint of the 1960 original. MR 1452099
- Haim Brezis, Functional analysis, Sobolev spaces and partial differential equations, Universitext, Springer, New York, 2011. MR 2759829
- François Bouchut, Smoothing effect for the non-linear Vlasov-Poisson-Fokker-Planck system, J. Differential Equations 122 (1995), no. 2, 225–238. MR 1355890, DOI https://doi.org/10.1006/jdeq.1995.1146
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- Yan Guo, Decay and continuity of the Boltzmann equation in bounded domains, Arch. Ration. Mech. Anal. 197 (2010), no. 3, 713–809. MR 2679358, DOI https://doi.org/10.1007/s00205-009-0285-y
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- Lars Hörmander, Linear partial differential operators, Die Grundlehren der mathematischen Wissenschaften, Bd. 116, Academic Press, Inc., Publishers, New York; Springer-Verlag, Berlin-Göttingen-Heidelberg, 1963. MR 0161012
- Lars Hörmander, Hypoelliptic second order differential equations, Acta Math. 119 (1967), 147–171. MR 222474, DOI https://doi.org/10.1007/BF02392081
- Hyung Ju Hwang, Regularity for the Vlasov-Poisson system in a convex domain, SIAM J. Math. Anal. 36 (2004), no. 1, 121–171. MR 2083855, DOI https://doi.org/10.1137/S0036141003422278
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- Hyung Ju Hwang, Juhi Jang, and Jaewoo Jung, On the kinetic Fokker-Planck equation in a half-space with absorbing barriers, Indiana Univ. Math. J. 64 (2015), no. 6, 1767–1804. MR 3436235, DOI https://doi.org/10.1512/iumj.2015.64.5679
- Hyung Ju Hwang, Juhi Jang, and Juan J. L. Velázquez, The Fokker-Planck equation with absorbing boundary conditions, Arch. Ration. Mech. Anal. 214 (2014), no. 1, 183–233. MR 3237885, DOI https://doi.org/10.1007/s00205-014-0758-5
- H. J. Hwang, J. Jang, and J. L. Velazquez, Nonuniqueness for the kinetic-Fokker-Planck equation with inelastic boundary conditions. Preprint. arXiv:1509.03366
- A. M. Il’in and R. Z. Kasminsky, On the equations of Brownian motion, Theory Probab. Appl. 9 (1964), 421–444.
- Emmanuel Jacob, A Langevin process reflected at a partially elastic boundary: I, Stochastic Process. Appl. 122 (2012), no. 1, 191–216. MR 2860447, DOI https://doi.org/10.1016/j.spa.2011.08.003
- Emmanuel Jacob, Langevin process reflected on a partially elastic boundary II, Séminaire de Probabilités XLV, Lecture Notes in Math., vol. 2078, Springer, Cham, 2013, pp. 245–275. MR 3185917, DOI https://doi.org/10.1007/978-3-319-00321-4_9
- Chanwoo Kim, Formation and propagation of discontinuity for Boltzmann equation in non-convex domains, Comm. Math. Phys. 308 (2011), no. 3, 641–701. MR 2855537, DOI https://doi.org/10.1007/s00220-011-1355-1
- Alessia Elisabetta Kogoj and Ermanno Lanconelli, An invariant Harnack inequality for a class of hypoelliptic ultraparabolic equations, Mediterr. J. Math. 1 (2004), no. 1, 51–80. MR 2088032, DOI https://doi.org/10.1007/s00009-004-0004-8
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- S. N. Kotsev and T. W. Burkhardt, Randomly accelerated particle in a box: Mean absorption time for partially absorbing and inelastic boundaries, Phys. Rev. E 71 (2005), 046115.
- Thomas M. Liggett, Interacting particle systems, Classics in Mathematics, Springer-Verlag, Berlin, 2005. Reprint of the 1985 original. MR 2108619
- Alessandra Lunardi, Schauder estimates for a class of degenerate elliptic and parabolic operators with unbounded coefficients in ${\bf R}^n$, Ann. Scuola Norm. Sup. Pisa Cl. Sci. (4) 24 (1997), no. 1, 133–164. MR 1475774
- J. Milnor, Topology from a Differential Viewpoint, University of Virginia Press,1965
- T. W. Marshall and E. J. Watson, A drop of ink falls from my pen.$\,\ldots $ It comes to earth, I know not when, J. Phys. A 18 (1985), no. 18, 3531–3559. MR 822913
- T. W. Marshall and E. J. Watson, The analytic solutions of some boundary layer problems in the theory of Brownian motion, J. Phys. A 20 (1987), no. 6, 1345–1354. MR 893323
- J. Masoliver and J. M. Porra, Exact Solution to the Mean Exit Time Problem for Free Inertial Processes Driven by Gaussian White Noise, Phys. Rev. Letters 75 (1995), no. 2, 189–192.
- H. P. McKean Jr., A winding problem for a resonator driven by a white noise, J. Math. Kyoto Univ. 2 (1963), 227–235. MR 156389, DOI https://doi.org/10.1215/kjm/1250524936
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- Bernt Øksendal, Stochastic differential equations, Universitext, Springer-Verlag, Berlin, 1985. An introduction with applications. MR 804391
- Andrea Pascucci, Hölder regularity for a Kolmogorov equation, Trans. Amer. Math. Soc. 355 (2003), no. 3, 901–924. MR 1938738, DOI https://doi.org/10.1090/S0002-9947-02-03151-3
- A. Pazy, Semigroups of linear operators and applications to partial differential equations, Applied Mathematical Sciences, vol. 44, Springer-Verlag, New York, 1983. MR 710486
- Linda Preiss Rothschild and E. M. Stein, Hypoelliptic differential operators and nilpotent groups, Acta Math. 137 (1976), no. 3-4, 247–320. MR 436223, DOI https://doi.org/10.1007/BF02392419
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- Yakov G. Sinai, Hyperbolic billiards, Proceedings of the International Congress of Mathematicians, Vol. I, II (Kyoto, 1990) Math. Soc. Japan, Tokyo, 1991, pp. 249–260. MR 1159216
- Elias M. Stein, Harmonic analysis: real-variable methods, orthogonality, and oscillatory integrals, Princeton Mathematical Series, vol. 43, Princeton University Press, Princeton, NJ, 1993. With the assistance of Timothy S. Murphy; Monographs in Harmonic Analysis, III. MR 1232192
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References
- M. Abramovich, I. A. Stegun, Handbook of Mathematical Functions with Formulas, Graphs and Mathematical Tables, Dover, New York, 1974.
- L. Anton, Noncollapsing solution below rc for a randomly forced particle, Phys. Rev. E 65 (2002), 047102.
- T. W. Burkhardt, Semiflexible polymer in the half plane and statistics of the integral of a Brownian curve, J. Phys. A: Math. Gen. 26 (1993), 1157-1162.
- M. A. Burschka and U. M. Titulaer, The kinetic boundary layer for the Fokker-Planck equation: selectively absorbing boundaries, J. Statist. Phys. 26 (1981), no. 1, 59–71. MR 643704, DOI https://doi.org/10.1007/BF01106786
- Marco Bramanti, Giovanni Cupini, Ermanno Lanconelli, and Enrico Priola, Global $L^p$ estimates for degenerate Ornstein-Uhlenbeck operators, Math. Z. 266 (2010), no. 4, 789–816. MR 2729292, DOI https://doi.org/10.1007/s00209-009-0599-3
- Jean Bertoin, Reflecting a Langevin process at an absorbing boundary, Ann. Probab. 35 (2007), no. 6, 2021–2037. MR 2353380, DOI https://doi.org/10.1214/009117906000001213
- T. W. Burkhardt, J. Franklin, and R. R. Gawronski, Statistics of a confined, randomly accelerated particle with inelastic boundary collisions, Phys. Rev. E, 61 (2000), 2376.
- T. W. Burkhardt and S. N. Kotsev, Equilibrium of a confined, randomly accelerated, inelastic particle: Is there inelastic collapse?, Phys. Rev. E 70 (2004), 026105.
- A. T. Bharucha-Reid, Elements of the theory of Markov processes and their applications, Reprint of the 1960 original, Dover Publications, Inc., Mineola, NY, 1997. MR 1452099
- Haim Brezis, Functional analysis, Sobolev spaces and partial differential equations, Universitext, Springer, New York, 2011. MR 2759829
- François Bouchut, Smoothing effect for the non-linear Vlasov-Poisson-Fokker-Planck system, J. Differential Equations 122 (1995), no. 2, 225–238. MR 1355890, DOI https://doi.org/10.1006/jdeq.1995.1146
- S. Chandresekhar, Stochastic problems in physics and astronomy, Rev. Modern Phys. 15 (1943), 1–89. MR 0008130, DOI https://doi.org/10.1103/RevModPhys.15.1
- N. Chernov and R. Markarian, Introduction to the ergodic theory of chaotic billiards, Second edition. Publicacoes Matematicas do IMPA. [IMPA Mathematical Publications] 24o Colloquio Brasileiro de Matematiica. [24th Brazilian Mathematics Colloquium] Instituto de Matematica Pura e Aplicada (IMPA), Rio de Janeiro, 2003. 207 pp.
- Chiara Cinti, Kaj Nyström, and Sergio Polidoro, A note on Harnack inequalities and propagation sets for a class of hypoelliptic operators, Potential Anal. 33 (2010), no. 4, 341–354. MR 2726902, DOI https://doi.org/10.1007/s11118-010-9172-2
- S. J. Cornell, M. R. Swift, and A. J. Bray, Inelastic Collapse of a Randomly Forced Particle, Phys. Rev. Lett. 81 (1998), no. 6, 10.
- William Feller, The parabolic differential equations and the associated semi-groups of transformations, Ann. of Math. (2) 55 (1952), 468–519. MR 0047886, DOI https://doi.org/10.2307/1969644
- William Feller, Diffusion processes in one dimension, Trans. Amer. Math. Soc. 77 (1954), 1–31. MR 0063607, DOI https://doi.org/10.2307/1990677
- J. Florencio and F. C. Sá Barreto, O. F. de Alcantara, Comment on “Inelastic Collapse of a Randomly Forced Particle”, 84, Phys. Rev. Lett. (2000).
- A. Friedman, Partial Differential Equations of Parabolic Type, R. E. Krieger Publishing Company, 1983.
- Avner Friedman, Stochastic differential equations and applications. Vol. 2, Probability and Mathematical Statistics, Vol. 28, Academic Press [Harcourt Brace Jovanovich, Publishers], New York-London, 1976. MR 0494491
- David Gilbarg and Neil S. Trudinger, Elliptic partial differential equations of second order, Grundlehren der Mathematischen Wissenschaften, Vol. 224, Springer-Verlag, Berlin-New York, 1977. MR 0473443
- Yan Guo, Regularity for the Vlasov equations in a half-space, Indiana Univ. Math. J. 43 (1994), no. 1, 255–320. MR 1275462, DOI https://doi.org/10.1512/iumj.1994.43.43013
- Yan Guo, Singular solutions of the Vlasov-Maxwell system on a half line, Arch. Rational Mech. Anal. 131 (1995), no. 3, 241–304. MR 1354697, DOI https://doi.org/10.1007/BF00382888
- Yan Guo, Decay and continuity of the Boltzmann equation in bounded domains, Arch. Ration. Mech. Anal. 197 (2010), no. 3, 713–809. MR 2679358, DOI https://doi.org/10.1007/s00205-009-0285-y
- Yan Guo, Chanwoo Kim, Daniela Tonon, and Ariane Trescases, Regularity of the Boltzmann equation in convex domains, Invent. Math. 207 (2017), no. 1, 115–290. MR 3592757, DOI https://doi.org/10.1007/s00222-016-0670-8
- Patrick S. Hagan, Charles R. Doering, and C. David Levermore, Mean exit times for particles driven by weakly colored noise, SIAM J. Appl. Math. 49 (1989), no. 5, 1480–1513. MR 1015075, DOI https://doi.org/10.1137/0149090
- Lars Hörmander, Linear partial differential operators, Die Grundlehren der mathematischen Wissenschaften, Bd. 116, Academic Press, Inc., Publishers, New York; Springer-Verlag, Berlin-Göttingen-Heidelberg, 1963. MR 0161012
- Lars Hörmander, Hypoelliptic second order differential equations, Acta Math. 119 (1967), 147–171. MR 0222474, DOI https://doi.org/10.1007/BF02392081
- Hyung Ju Hwang, Regularity for the Vlasov-Poisson system in a convex domain, SIAM J. Math. Anal. 36 (2004), no. 1, 121–171. MR 2083855, DOI https://doi.org/10.1137/S0036141003422278
- Hyung Ju Hwang and Juan J. L. Velázquez, Global existence for the Vlasov-Poisson system in bounded domains, Arch. Ration. Mech. Anal. 195 (2010), no. 3, 763–796. MR 2591973, DOI https://doi.org/10.1007/s00205-009-0239-4
- Hyung Ju Hwang, Juhi Jang, and Jaewoo Jung, The Fokker-Planck equation with absorbing boundary conditions in bounded domains, SIAM J. Math. Anal. 50 (2018), no. 2, 2194–2232. MR 3788197, DOI https://doi.org/10.1137/16M1109928
- Hyung Ju Hwang, Juhi Jang, and Jaewoo Jung, On the kinetic Fokker-Planck equation in a half-space with absorbing barriers, Indiana Univ. Math. J. 64 (2015), no. 6, 1767–1804. MR 3436235, DOI https://doi.org/10.1512/iumj.2015.64.5679
- Hyung Ju Hwang, Juhi Jang, and Juan J. L. Velázquez, The Fokker-Planck equation with absorbing boundary conditions, Arch. Ration. Mech. Anal. 214 (2014), no. 1, 183–233. MR 3237885, DOI https://doi.org/10.1007/s00205-014-0758-5
- H. J. Hwang, J. Jang, and J. L. Velazquez, Nonuniqueness for the kinetic-Fokker-Planck equation with inelastic boundary conditions. Preprint. arXiv:1509.03366
- A. M. Il’in and R. Z. Kasminsky, On the equations of Brownian motion, Theory Probab. Appl. 9 (1964), 421–444.
- Emmanuel Jacob, A Langevin process reflected at a partially elastic boundary: I, Stochastic Process. Appl. 122 (2012), no. 1, 191–216. MR 2860447, DOI https://doi.org/10.1016/j.spa.2011.08.003
- Emmanuel Jacob, Langevin process reflected on a partially elastic boundary II, Séminaire de Probabilités XLV, Lecture Notes in Math., vol. 2078, Springer, Cham, 2013, pp. 245–275. MR 3185917, DOI https://doi.org/10.1007/978-3-319-00321-4_9
- Chanwoo Kim, Formation and propagation of discontinuity for Boltzmann equation in non-convex domains, Comm. Math. Phys. 308 (2011), no. 3, 641–701. MR 2855537, DOI https://doi.org/10.1007/s00220-011-1355-1
- Alessia Elisabetta Kogoj and Ermanno Lanconelli, An invariant Harnack inequality for a class of hypoelliptic ultraparabolic equations, Mediterr. J. Math. 1 (2004), no. 1, 51–80. MR 2088032, DOI https://doi.org/10.1007/s00009-004-0004-8
- A. Kolmogoroff, Zufällige Bewegungen (zur Theorie der Brownschen Bewegung), Ann. of Math. (2) 35 (1934), no. 1, 116–117 (German). MR 1503147, DOI https://doi.org/10.2307/1968123
- S. N. Kotsev and T. W. Burkhardt, Randomly accelerated particle in a box: Mean absorption time for partially absorbing and inelastic boundaries, Phys. Rev. E 71 (2005), 046115.
- Thomas M. Liggett, Interacting particle systems, Reprint of the 1985 original, Classics in Mathematics, Springer-Verlag, Berlin, 2005. MR 2108619
- Alessandra Lunardi, Schauder estimates for a class of degenerate elliptic and parabolic operators with unbounded coefficients in $\textbf {R}^n$, Ann. Scuola Norm. Sup. Pisa Cl. Sci. (4) 24 (1997), no. 1, 133–164. MR 1475774
- J. Milnor, Topology from a Differential Viewpoint, University of Virginia Press,1965
- T. W. Marshall and E. J. Watson, A drop of ink falls from my pen.$\ldots$ It comes to earth, I know not when, J. Phys. A 18 (1985), no. 18, 3531–3559. MR 822913
- T. W. Marshall and E. J. Watson, The analytic solutions of some boundary layer problems in the theory of Brownian motion, J. Phys. A 20 (1987), no. 6, 1345–1354. MR 893323
- J. Masoliver and J. M. Porra, Exact Solution to the Mean Exit Time Problem for Free Inertial Processes Driven by Gaussian White Noise, Phys. Rev. Letters 75 (1995), no. 2, 189–192.
- H. P. McKean Jr., A winding problem for a resonator driven by a white noise, J. Math. Kyoto Univ. 2 (1963), 227–235. MR 0156389, DOI https://doi.org/10.1215/kjm/1250524936
- F. Nier, Boundary conditions and subelliptic estimates for geometric Kramers-Fokker-Planck operators on manifolds with boundaries, Mem. Amer. Math. Soc. 252 (2018), no. 1200, v+144. MR 3778533
- Bernt Øksendal, Stochastic differential equations, An introduction with applications, Universitext, Springer-Verlag, Berlin, 1985. MR 804391
- Andrea Pascucci, Hölder regularity for a Kolmogorov equation, Trans. Amer. Math. Soc. 355 (2003), no. 3, 901–924. MR 1938738, DOI https://doi.org/10.1090/S0002-9947-02-03151-3
- A. Pazy, Semigroups of linear operators and applications to partial differential equations, Applied Mathematical Sciences, vol. 44, Springer-Verlag, New York, 1983. MR 710486
- Linda Preiss Rothschild and E. M. Stein, Hypoelliptic differential operators and nilpotent groups, Acta Math. 137 (1976), no. 3-4, 247–320. MR 0436223, DOI https://doi.org/10.1007/BF02392419
- Ya. G. Sinaĭ, Distribution of some functionals of the integral of a random walk, Teoret. Mat. Fiz. 90 (1992), no. 3, 323–353 (Russian, with English and Russian summaries); English transl., Theoret. and Math. Phys. 90 (1992), no. 3, 219–241. MR 1182301, DOI https://doi.org/10.1007/BF01036528
- Yakov G. Sinai, Hyperbolic billiards, Proceedings of the International Congress of Mathematicians, Vol. I, II (Kyoto, 1990) Math. Soc. Japan, Tokyo, 1991, pp. 249–260. MR 1159216
- Elias M. Stein, Harmonic analysis: real-variable methods, orthogonality, and oscillatory integrals, with the assistance of Timothy S. Murphy; Monographs in Harmonic Analysis, III, Princeton Mathematical Series, vol. 43, Princeton University Press, Princeton, NJ, 1993. MR 1232192
- D. Stroock and S. R. S. Varadhan, On degenerate elliptic-parabolic operators of second order and their associated diffusions, Comm. Pure Appl. Math. 25 (1972), 651–713. MR 0387812, DOI https://doi.org/10.1002/cpa.3160250603
- Jet Wimp, On the zeros of a confluent hypergeometric function, Proc. Amer. Math. Soc. 16 (1965), 281–283. MR 0173793, DOI https://doi.org/10.2307/2033862
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Additional Information
Hyung Ju Hwang
Affiliation:
Department of Mathematics, Pohang University of Science and Technology, Pohang, GyungBuk 790-784, Republic of Korea
MR Author ID:
672369
Email:
hjhwang@postech.ac.kr
Juhi Jang
Affiliation:
Department of Mathematics, University of Southern California, Los Angeles, California 90089 – and – Korea Institute for Advanced Study, Seoul, Korea
MR Author ID:
834174
Email:
juhijang@usc.edu
Juan J. L. Velázquez
Affiliation:
Institute of Applied Mathematics, University of Bonn, Endenicher Allee 60, 53115 Bonn, Germany
MR Author ID:
289301
Email:
velazquez@iam.uni-bonn.de
Keywords:
Fokker–Planck equation,
nonuniqueness of solutions,
measure-valued solutions,
inelastic boundary condition,
singular set
Received by editor(s):
March 4, 2018
Published electronically:
June 19, 2018
Additional Notes:
The first author was partly supported by the Basic Science Research Program (NRF-2017R1E1A1A03070105) through the National Research Foundation of Korea.
The second author was supported in part by NSF grants DMS-1608492 and DMS-1608494.
The authors acknowledge support through the CRC 1060: The Mathematics of Emergent Effects at the University of Bonn, that is funded through the German Science Foundation (DFG)
Article copyright:
© Copyright 2018
Brown University