Heat kernel

For $u_t=\kappa u_{xx}$ on the real line,has total mass one and converges to the delta distribution as $t$ decreases to zero. The solution is $u(t)=K_t\ast u_0$.

The real Gaussian function heat kernel $(4\pi \epsilon z{)}^{-1/2}\exp [-(\varphi -\theta {)}^2/(4\epsilon z)]$ is integrable only when $\epsilon z>0$. For forward time $z>0$, this requires positive diffusivity. A Cole-Hopf transformation is an algebraic substitution for any nonzero coefficient, but that does not make the real forward convolution valid for negative diffusivity. Constant initial heat data already produce a divergent integral with the wrong sign.

For the heat equation on ${\mathbb{R}}^n$ with diffusion coefficient one, the heat kernel is $K_t(x)=(4\pi t{)}^{-n/2}{e}^{-|x{|}^2/(4t)}$. Its convolution with bounded initial data is smooth for positive time, solves the equation by differentiation under the integral, and returns continuous initial data locally uniformly through the approximate identity property. It is Gaussian filtering with per-coordinate variance $2t$.

For the positive Laplace-Beltrami operator, the kernel solving $({\partial }_t+{\Delta }_x)H=0$ with initial Dirac delta distribution on the diagonal represents the heat semigroup. On a closed manifold with a Riemannian metric it is smooth for $t>0$, symmetric, nonnegative, preserves constants, and obeys the semigroup property.

For a finite free action by Riemannian isometries, the Riemannian heat kernel on the quotient is the image sum shown above. Integrating over a fundamental domain combines all images into the integral on the covering manifold, proving the initial condition and showing that there is no averaging factor in the kernel. The heat trace does have an averaging factor $1/|U|$, because the integral of a quotient function over the cover is $|U|$ times its quotient integral. Mere freeness of a general nondiscrete group action is not enough for this covering formula.

On a closed manifold with a Riemannian metric, an orthonormal eigenbasis for the positive Laplace-Beltrami operator gives this formula, with eigenvalues counted with multiplicity. Polynomial elliptic bounds and exponential time decay give convergence of every derivative away from time zero. The conjugate is necessary for a complex basis.

An approximate Riemannian heat kernel with the correct delta initial limit and a residual extending with enough regularity to time zero. A cutoff Gaussian times transport coefficients supplies a local construction. Increasing the expansion order, or summing the full asymptotic series smoothly, makes the residual regular enough for a Volterra parametrix correction.

If $R=({\partial }_t+{\Delta }_x)P$ is smooth and bounded up to time zero on a closed manifold, the Volterra convolution of kernels solves $Q+R+R\ast Q=0$ by $Q={\sum }_{k\ge 1}(-1{)}^k{R}^{\ast k}$. Bounds by $C^k\mathrm{vol}(M{)}^{k-1}{t}^{k-1}/(k-1)!$ prove convergence. Then $H=P+P\ast Q$ is the exact Riemannian heat kernel and has the same initial delta limit.

The normalized Gaussian mass of an interval isIt is the convolution of an interval indicator with the heat kernel, and has an error function representation. As the variance tends to zero it converges to the interval indicator away from its endpoints, with value one half at an endpoint. This is a concrete approximate identity.

For $x>0$ and the heat equation on a half-line, the zero-initial-data solution with prescribed Dirichlet boundary condition $g$ is ${\int }_0^{t}P(x,t-s)g(s)ds$, whereIts mass concentrates at $t=0$ as $x\downarrow 0$, recovering the boundary trace.

For the heat equation with zero Dirichlet boundary conditions on $(0,L)$,It is also obtained by the method of images, taking the difference between Gaussian sources at $y+2jL$ and $-y+2jL$. The eigenfunction expansion is useful at long times; the image expansion is useful at short times.

For a particle with mass $m$ on $(0,L)$, put $K_0(x;\beta )=\sqrt{m/(2\pi {\hslash }^2\beta )}{e}^{-m{x}^2/(2{\hslash }^2\beta )}$. The method of images gives $K_D(q_f,q_i;\beta )={\sum }_r[K_0(q_f-q_i+2rL;\beta )-K_0(q_f+q_i+2rL;\beta )]$. The diagonal integral isThe reflected intervals tile the real line, giving the subtraction $1/2$. The Poisson summation formula converts this to ${\sum }_{n\ge 1}{e}^{-\beta {\hslash }^2{\pi }^2{n}^2/(2m{L}^2)}$, proving equality between the image and energy eigenstate calculations.

For standard Brownian motion in ${\mathbb{R}}^d$, $p_t(y-x)$ is the transition density from $x$ to $y$. It is the heat kernel for generator $\frac{1}{2}\Delta$. For every unit vector $e$, $\int |{\partial }_e{p}_t(x)|dx=\sqrt{2/\pi }/\sqrt{t}$, which bounds the change in this density under a spatial translation and proves the Gaussian heat-kernel proof of the harmonic Liouville theorem.

For $L>0$ and $t>0$, the Sturm-Liouville eigenfunction expansion for $u_t=u_{xx}$ on $(0,L)$ with homogeneous Neumann boundary conditions givesThe constant eigenfunction mode preserves the spatial integral. This is the $\beta =0$ limit of the weighted Neumann heat kernel with constant drift, and its boundary inputs have the signs in the Neumann boundary-forcing formula.

The heat semigroup acts by convolution with the heat kernel: $P_{t}f=K_t\ast f$. The identity $K_s\ast K_t=K_{s+t}$ gives $P_s{P}_t=P_{s+t}$, and its infinitesimal generator is a constant multiple of the Laplacian.

For a time-independent strictly positive Dirichlet realization of an elliptic operator and $\psi \in L^2(U)$, the eigenfunction expansionsolves $u_t+Lu=0$ with homogeneous Dirichlet boundary conditions. For $t\ge \epsilon >0$, every power ${\lambda }_m^N$ times the exponential is bounded, so the series and all its time derivatives converge in all the Sobolev domains of powers of an elliptic Dirichlet operator. Elliptic regularity and the Sobolev embedding theorem give smoothness up to the spatial boundary for positive time. Parseval identity and the dominated convergence theorem give $u(t)\to \psi$ in $L^2$ as $t\downarrow 0$.

A heat kernel expansion is the short-time asymptotic expansion of the trace or diagonal kernel of an elliptic operator. Its local coefficients are polynomials in background curvatures and field strengths; in quantum field theory they extract ultraviolet divergences and anomalies.

The centered normal densitiesform an approximate identity: for every $f\in L^1(\mathbb{R})$, $f\ast g_t\to f$ at almost every point where the Lebesgue differentiation theorem applies. Their Fourier transforms are $e^{-t{\xi }^2/2}$ in the angular-frequency convention.

For initial data $u_0$ on the real line, Fourier transformation or convolution with the fundamental solution gives

For $u_t=D{u}_{xx}$ and $u(x,0)=1_{[-a,a]}(x)$, convolution with the heat kernel gives

For the heat equation $u_t=\frac{1}{2}{u}_{xx}$ on $x>0$ with the Neumann boundary condition $u_x(t,0)=0$, the method of images givesThus $u(t,x)={\int }_0^{\infty }{K}_t^N(x,y)f(y)dy$. This is also the transition kernel of Reflected Brownian motion.