The Cauchy-Dirichlet Problem for a Class of Linear Parabolic Differential Equations with Unbounded Coefficients in an Unbounded Domain

We consider the Cauchy-Dirichlet problem in for a class of linear parabolic partial differential equations. We assume that is an unbounded, open, connected set with regular boundary. Our hypotheses are unbounded and locally Lipschitz coefficients, not necessarily differentiable, with continuous data and local uniform ellipticity. We construct a classical solution to the nonhomogeneous Cauchy-Dirichlet problem using stochastic differential equations and parabolic differential equations in bounded domains.