The Feynman-Kac formula for a system of parabolic equations
The author obtains an estimate for the spatial gradient of solutions of the heat equation, subject to a homogeneous Neumann boundary condition, in terms of the gradient of the initial data. The proof is accomplished via the maximum principle; the main assumption is that the sufficiently smooth boundary be convex.
In this paper we characterize those bounded linear transformations carrying into the space of bounded continuous functions on , for which the convolution identity holds. It is shown that such a transformation is just the Fourier transform combined with an appropriate change of variable.
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