Past exam of the stochastic analysis and partial differential equations course of the University of Oxford / 2025 / 3 / a / iii / Solution

A second-order nondivergence-form elliptic operator on a domain $D\subseteq {\mathbb{R}}^d$ has the formOnly the symmetric part of $a$ affects the Hessian matrix term, so one may take $a(x)$ symmetric. The operator is a uniformly elliptic operator if there is a constant $\kappa >0$, independent of $x$, such thatA common bounded-coefficient convention additionally requires an upper bound $\sum a_{jk}(x){\xi }_j{\xi }_k\le \Lambda |\xi {|}^2$ with $\Lambda <\infty$. The lower bound says that the principal quadratic form cannot degenerate in any direction or at any location.

For an explicit stochastic example, standard $d$-dimensional Brownian motion has infinitesimal generatorIts principal quadratic form is $|\xi {|}^2/2$, so it is uniformly elliptic with $\kappa =\Lambda =1/2$. More generally, a sufficiently regular stochastic differential equation $d{X}_t=b(X_t)dt+\Sigma (X_t)d{B}_t$ has diffusion generator $b\cdot \nabla +\frac{1}{2}(\Sigma {\Sigma }^{\mathsf{T}}):D^2$; it is uniformly elliptic when $\Sigma {\Sigma }^{\mathsf{T}}$ has a uniformly positive lower bound. A conservative diffusion process has no zeroth-order term, since its infinitesimal generator annihilates constants.