Past exam of the short options course of the University of Oxford / 2021 / 5 / c

Use the Fourier transform convention $\hat{u}(s,t)={\int }_{\mathbb{R}}{e}^{-isx}u(x,t)dx$. Then $\widehat{u_{xx}}=-s^2\hat{u}$ and $\widehat{xu}=i{\partial }_s\hat{u}$, soThus the transformed partial differential equation and initial condition areThe last equality is the Fourier transform of the Dirac delta distribution. The two terms in ${\partial }_x(xu)=u+x{u}_x$ must be transformed together; dropping $u$ would give the wrong equation.

Substitute $\hat{u}=e^{-b(t)s^2}$ into the transformed partial differential equation. Comparing coefficients gives $b^{\prime }=1-2b$, $b(0)=0$, whenceThe stated Gaussian Fourier transform pair, with its inverse factor $1/(2\pi )$, givesThis is a normal distribution density with mean zero and variance $1-e^{-2t}$. Its total integral is one. As $t\downarrow 0$ it converges to $\delta$ in the sense of distributions, while as $t\to \infty$ it tends to the standard normal distribution density. This is the transition density from zero of the Ornstein-Uhlenbeck process with drift $-x$ and diffusion coefficient $\sqrt{2}$.