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This article is cited in 2 scientific papers (total in 2 papers)
MATHEMATICS
Uniqueness of a probability solution to the Kolmogorov equation with a diffusion matrix satisfying Dini’s condition
V. I. Bogachevabcd, S. V. Shaposhnikovabd a Lomonosov Moscow State University, Moscow, Russia
b National Research University "Higher School of Economics", Moscow, Russia
c St. Tikhon's Orthodox University, Moscow, Russia
d Moscow Center for Fundamental and Applied Mathematics, Moscow, Russia
Abstract:
In this note we study the stationary Kolmogorov equation and prove that, in the case where the diffusion matrix satisfies Dini’s condition and the drift coefficient is locally integrable to a power greater than the dimension, the ratio of two probability solutions belongs to the Sobolev class, and in the case of existence of a Lyapunov function or the global integrability of the coefficients with respect to the solution a probability solution is unique.
Keywords:
Kolmogorov equation, stationary solution, uniqueness of a probability solution.
Citation:
V. I. Bogachev, S. V. Shaposhnikov, “Uniqueness of a probability solution to the Kolmogorov equation with a diffusion matrix satisfying Dini’s condition”, Dokl. RAN. Math. Inf. Proc. Upr., 501 (2021), 11–15; Dokl. Math., 104:3 (2021), 322–325
Linking options:
https://www.mathnet.ru/eng/danma214 https://www.mathnet.ru/eng/danma/v501/p11
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