MEMOIRS of the American Mathematical Society Number 961 Non-Divergence Equations Structured on Ho¨rmander Vector Fields: Heat Kernels and Harnack Inequalities Marco Bramanti Luca Brandolini Ermanno Lanconelli Francesco Uguzzoni March 2010 • Volume 204 • Number 961 (end of volume) • ISSN 0065-9266 American Mathematical Society Number 961 Non-Divergence Equations Structured on Ho¨rmander Vector Fields: Heat Kernels and Harnack Inequalities Marco Bramanti Luca Brandolini Ermanno Lanconelli Francesco Uguzzoni March2010 • Volume204 • Number961(endofvolume) • ISSN0065-9266 Library of Congress Cataloging-in-Publication Data Non-divergence equations structured on H¨ormander vector fields: Heat kernels and Harnack in- equalities/MarcoBramanti... [etal.]. p.cm. —(MemoirsoftheAmericanMathematicalSociety,ISSN0065-9266;no. 961) “Volume204,number961(endofvolume).” Includesbibliographicalreferences. 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Postmaster: Send address changes to Memoirs, American Mathematical Society, 201 Charles Street,Providence,RI02904-2294USA. (cid:1)c 2009bytheAmericanMathematicalSociety. Allrightsreserved. Copyrightofindividualarticlesmayreverttothepublicdomain28years afterpublication. ContacttheAMSforcopyrightstatusofindividualarticles. (cid:1) (cid:1) (cid:1) ThispublicationisindexedinScienceCitation IndexR,SciSearchR,ResearchAlertR, (cid:1) (cid:1) CompuMath Citation IndexR,Current ContentsR/Physical,Chemical& Earth Sciences. PrintedintheUnitedStatesofAmerica. (cid:1)∞ Thepaperusedinthisbookisacid-freeandfallswithintheguidelines establishedtoensurepermanenceanddurability. VisittheAMShomepageathttp://www.ams.org/ 10987654321 141312111009 Contents Introduction 1 Part I: Operators with constant coefficients 7 1. Overview of Part I 7 2. Global extension of H¨ormander’s vector fields and geometric properties of the CC-distance 9 2.1. Some global geometric properties of CC-distances 10 2.2. Global extension of H¨ormander’s vector fields 13 3. Global extension of the operator H and existence of a fundamental A solution 15 4. Uniform Gevray estimates and upper bounds of fundamental solutions for large d(x,y) 18 5. Fractional integrals and uniform L2 bounds of fundamental solutions for large d(x,y) 25 6. Uniform global upper bounds for fundamental solutions 30 Homogeneous groups 31 6.2. Upper bounds on fundamental solutions 37 7. Uniform lower bounds for fundamental solutions 54 8. Uniform upper bounds for the derivatives of the fundamental solutions 57 9. Uniform upper bounds on the difference of the fundamental solutions of two operators 60 Part II: Fundamental solution for operators with Ho¨lder continuous coefficients 67 10. Assumptions, main results and overview of Part II 67 11. Fundamental solution for H: the Levi method 74 12. The Cauchy problem 86 13. Lower bounds for fundamental solutions 89 14. Regularity results 93 Part III: Harnack inequality for operators with H¨older continuous coefficients 99 15. Overview of Part III 99 16. Green function for operators with smooth coefficients on regular domains 101 iii iv CONTENTS 17. Harnack inequality for operators with smooth coefficients 108 18. Harnack inequality in the non-smooth case 111 Epilogue 115 19. Applications to operators which are defined only locally 115 20. Further developments and open problems 117 References 121 Abstract In this work we deal with linear second order partial differential operators of the following type: (cid:1)q (cid:1)q H =∂ −L=∂ − a (t,x)X X − a (t,x)X −a (t,x) t t ij i j k k 0 i,j=1 k=1 whereX ,X ,...,X isasystemofrealH¨ormander’svectorfieldsinsomebounded 1 2 q domainΩ⊆Rn,A={a (t,x)}q isarealsymmetricuniformlypositivedefinite ij i,j=1 matrix such that: (cid:1)q λ−1|ξ|2 ≤ a (t,x)ξ ξ ≤λ|ξ|2 ∀ξ ∈Rq,x∈Ω,t∈(T ,T ) ij i j 1 2 i,j=1 for a suitable constant λ > 0 a for some real numbers T < T . The coefficients 1 2 a ,a ,a are Ho¨lder continuous on (T ,T )×Ω with respect to the parabolic CC- ij k 0 1 2 metric (cid:2) d ((t,x),(s,y))= d(x,y)2+|t−s| P (where d is the Carnot-Carath´eodory distance induced by the vector fields X ’s). i We prove the existence of a fundamental solution h(t,x;s,y) for H, satisfying natural properties and sharp Gaussian bounds of the kind: e−cd(x,y)2/(t−s) e−d(x,y)2/c(t−s) c(cid:3)(cid:3)B(cid:4)x,√t−s(cid:5)(cid:3)(cid:3) ≤h(t,x;s,y)≤c(cid:3)(cid:3)B(cid:4)x,√t−s(cid:5)(cid:3)(cid:3) c e−d(x,y)2/c(t−s) |Xih(t,x;s,y)|≤ √t−s(cid:3)(cid:3)B(cid:4)x,√t−s(cid:5)(cid:3)(cid:3) c e−d(x,y)2/c(t−s) |XiXjh(t,x;s,y)|+|∂th(t,x;s,y)|≤ t−s(cid:3)(cid:3)B(cid:4)x,√t−s(cid:5)(cid:3)(cid:3) where |B(x,r)| denotes the Lebesgue measure of the d-ball B(x,r). We then use these properties of h as a starting point to prove a scaling invariant Harnack inequality for positive solutions to Hu =0, when a ≡0. All the constants in our 0 ReceivedbytheeditorOctober27,2006. ArticleelectronicallypublishedonNovember9,2009;S0065-9266(09)00605-X. 2000MathematicsSubjectClassification. Primary35H20,35A08,35K65;Secondary35H10, 35A17. Key words and phrases. H¨ormander’svectorfields,heatkernels,Gaussianbounds,Harnack inequalities. (cid:1)c2009 American Mathematical Society v vi ABSTRACT estimates and inequalities will depend on the coefficients a ,a ,a only through ij k 0 their Ho¨lder norms and the number λ. Introduction Object and main results of the paper. Let us consider the heat-type operator in Rn+1 (cid:1)q (cid:1)q (0.1) H =∂ −L=∂ − a (t,x)X X − a (t,x)X −a (t,x) t t ij i j k k 0 i,j=1 k=1 where: (H1) X ,X ,...,X is a system of real smooth vector fields which are de- 1 2 q fined in some bounded domain Ω ⊆ Rn and satisfy Ho¨rmander’s condition in Ω: rank Lie{X ,i=1,2,...,q} = n at any point of Ω (more precise definitions will be i given later); (H2) A = {a (t,x)}q is a real symmetric uniformly positive definite ij i,j=1 matrix satisfying, for some positive constant λ, (cid:1)q λ−1|ξ|2 ≤ a (t,x)ξ ξ ≤λ|ξ|2 ij i j i,j=1 for every ξ ∈Rq, x∈Ω,t∈(T ,T ) for some T <T . 1 2 1 2 If d(x,y) denotes the Carnot-Carath´eodory metric generated in Ω by the X ’s i and (cid:2) d ((t,x),(s,y))= d(x,y)2+|t−s| P is its “parabolic” counterpart in R×Ω, we will assume that: (H3) a ,a ,a are Ho¨lder continuos on C = (T ,T )×Ω with respect to ij k 0 1 2 the distance d . P Underassumptions(H1),(H2),(H3),weshallprovetheexistenceandbasicprop- erties of a fundamental solution h for the operator H, including a representation formula for solutions to the Cauchy problem, a “reproduction property” for h, and regularity results: namely, we will show that h is locally Ho¨lder continuous, far off the pole, together with its derivatives X h,X X h, ∂ h. To be more precise, an j i j t explanation is in order here. The operator H is defined only on the cylinder C. On the other hand, dealing with fundamental solutions, it is convenient to work with an operator defined on the whole space. For this reason we will extend the operator H to the whole Rn+1, in such a way that, outside a compact set in the spacevariables,itcoincideswiththeclassicalheatoperator,andhenceforthwewill study the fundamental solution for this extended operator. 1 2 INTRODUCTION Strictly related to the proof of the existence of h, and of independent interest, are several sharp Gaussian bounds for h that we will establish: e−cd(x,y)2/(t−s) e−d(x,y)2/c(t−s) c(cid:3)(cid:3)B(cid:4)x,√t−s(cid:5)(cid:3)(cid:3) ≤h(t,x;s,y)≤c(cid:3)(cid:3)B(cid:4)x,√t−s(cid:5)(cid:3)(cid:3) c e−d(x,y)2/c(t−s) (0.2) |Xih(t,x;s,y)|≤ √t−s(cid:3)(cid:3)B(cid:4)x,√t−s(cid:5)(cid:3)(cid:3) c e−d(x,y)2/c(t−s) |XiXjh(t,x;s,y)|+|∂th(t,x;s,y)|≤ t−s(cid:3)(cid:3)B(cid:4)x,√t−s(cid:5)(cid:3)(cid:3) wherex,y ∈Rn,0<t−s<T and|B(x,r)|denotesLebesguemeasureofthed-ball B(x,r). The constant c in these estimates depends on the coefficients a ,a ,a ij k 0 only through their Ho¨lder moduli of continuity and the ellipticity constant λ. A precise list of the results we prove about h is contained in Theorem 10.7, stated at the beginning of Part II (see also Remark 10.9). A remarkable consequence of these bounds is a scaling invariant Harnack in- equality for H, and for its stationary counterpart L in (0.1), which will be proved throughout Part III. In that part we will assume a , the zero order term of H, to 0 be identically zero. Precise results are stated in Theorems 15.1 and 15.3 at the beginning of Part III. As we mentioned before, all the results we have described so far are proved for an operator defined on the whole space, which extends H, initially defined only locally. Attheendofthiswork(seeSection19)wewillalsoshowhowtocomeback totheoriginaloperator, deducinglocalresultsfromtheaboveglobaltheorems(see Theorems 19.1 and 19.2). We could also say that the final goal of all our theory is toprovelocalpropertiesofouroperators,sothatthetheoryitselfislocal,inspirit, although it exploits, for technical convenience, objects that are defined globally. An announcement of the results contained in this paper has appeared in [13]. Previous results and bibliographic remarks. Gaussian estimates for the fundamentalsolutionofsecondorderpartialdifferentialoperatorsofparabolictype, or, somehow more generally, for the density function of heat diffusion semigroups, have a long history, starting with Aronson’s work [1]. The relevance of two-sided Gaussian estimates to get scaling invariant Harnack inequalities for positive solu- tions was firstly pointed out by Nash in the Appendix of his celebrated paper [46]. However, a complete implementation of the method outlined by Nash was given much later by Fabes and Stroock in [22], also inspired by some ideas of Krylov and Safonov (see [32], [33], [50]). Since then, the full strength of Gaussian esti- mateshas beenenlightened by several authors, showing their deeprelationship not only with the scaling invariant Harnack inequality, but also with the ultracontrac- tivity property of heat diffusion semigroups, with inequalities of Nash, Sobolev or Poincar´e type, and with the doubling property of the measure of “intrinsic” balls. We directly refer to the recent monograph by Saloff-Coste [51] for a beautiful ex- position of this circle of ideas, and for an exhaustive list of references on these subjects. Here we explicitly recall just the results in literature strictly close to the core of our work. INTRODUCTION 3 For heat operators of the kind (cid:1)q (0.3) H =∂ − X2 t i i=1 withX leftinvarianthomogeneousvectorfieldsonaCarnotgroupinRn,Gaussian i bounds have been proved by Varopoulos ([57], [58], see also [59]): (0.4) 1 e−c(cid:7)y−1◦x(cid:7)2/t ≤h(t,x,y)≤ c e−(cid:7)y−1◦x(cid:7)2/ct ctQ/2 tQ/2 for any x,y ∈ Rn,t > 0, where Q is the homogeneous dimension of the group, and (cid:7)·(cid:7) any homogeneous norm of the group. Two-sided Gaussian estimates and a scaling invariant Harnack inequality for the operator (cid:1)q H =∂ − X (a X ) t i ij j i,j=1 have been proved by Saloff-Coste and Stroock in [52], where {a } is a uniformly ij positive matrix with measurable entries, and the vector fields X are left invariant i with respect to a connected unimodular Lie group with polynomial growth. Inabsenceofagroupstructure,Gaussianboundsforoperators(0.3)havebeen proved, on a compact manifold and for finite time, by Jerison-Sanchez-Calle [30], with an analytic approach (see also the previous partial result in [53]), and, on the whole Rn+1, by Kusuoka-Stroock, [35], [36], using the Malliavin stochastic calculus. Unlike the study of “sum of squares” H¨ormander’s operators, the investiga- tion of non-divergence operators of H¨ormander type has a relatively recent history. Stationary operators of kind (cid:1)q (0.5) L= a (x)X X ij i j i,j=1 with X ,...,X system of H¨ormander’s vector fields have been studied by Xu [60], 1 q Bramanti, Brandolini [10], [11], Capogna, Han [15]. A first attempt to study Cordesand/orAlexandrov-Bakelman-Pucciestimatesforoperators(0.5)withmea- surable coefficients a and particular classes of vector fields X are contained in ij i [19], [20], [21]. Evolution operators of kind (0.1) have been considered by Bonfiglioli, Lan- conelli, Uguzzoni [3], [4], [6], Bramanti, Brandolini [12]. In [9] also more general operators of kind (cid:1)q (0.6) L= a (x)X X +a (x)X ij i j 0 0 i,j=1 with X ,X ,...,X system of H¨ormander’s vector fields have been studied. 0 1 q In these papers, the matrix {a } is assumed symmetric and uniformly elliptic, ij and the entries a typically belong to some function space defined in terms of the ij vector fields X and the metric they induce. In particular, these operators do not i have smooth coefficients, so they are no longer hypoelliptic. Therefore the mere existenceofafundamentalsolutionistroublesome. Fortheoperators(0.1)(without lowerorderterms)withX leftinvarianthomogeneousHo¨rmander’svectorfieldson i a stratified Lie group and under assumptions (H1), (H2), (H3), it has been proved