H\"older and Lipschitz continuity of the solutions to parabolic equations of the non-divergence type

TL;DR

This paper proves H"older and Lipschitz continuity of solutions to certain non-divergence parabolic PDEs using probabilistic methods, under various regularity assumptions on coefficients.

Contribution

It establishes new regularity results for solutions of non-divergence parabolic equations with minimal coefficient regularity, employing probabilistic coupling techniques.

Findings

Solutions are H"older continuous in space under ellipticity and continuity.

Enhanced regularity, including Lipschitz continuity, is achieved with Dini continuity of coefficients.

Fundamental solutions exhibit H"older and Lipschitz continuity in space under additional assumptions.

Abstract

We consider time-inhomogeneous, second order linear parabolic partial differential equations of the non-divergence type, and assume the ellipticity and the continuity on the coefficient of the second order derivatives and the boundedness on all coefficients. Under the assumptions we show the H\"older continuity of the solution in the spatial component. Furthermore, additionally assuming the Dini continuity of the coefficient of the second order derivative, we have the better continuity of the solution. In the proof, we use a probabilistic method, in particular the coupling method. As a corollary, under an additional assumption we obtain the H\"older and Lipschitz continuity of the fundamental solution in the spatial component.