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Kolmogorov equations for degenerate Ornstein–Uhlenbeck operators
V. I. Bogachevab, S. V. Shaposhnikovab a Lomonosov Moscow State University, Faculty of Mechanics and Mathematics
b National Research University Higher School of Economics, Moscow
Abstract:
We consider Kolmogorov operators with constant diffusion matrices and linear drifts, i.e., Ornstein–Uhlenbeck operators, and show that all solutions to the corresponding stationary Fokker–Planck–Kolmogorov equations (including signed solutions) are invariant measures for the generated semigroups. This also gives a relatively explicit description of all solutions.
Keywords:
Kolmogorov equation, Fokker–Planck–Kolmogorov equation, Ornstein–Uhlenbeck operator.
Received: 04.09.2023 Revised: 04.09.2023 Accepted: 25.09.2023
Citation:
V. I. Bogachev, S. V. Shaposhnikov, “Kolmogorov equations for degenerate Ornstein–Uhlenbeck operators”, Sibirsk. Mat. Zh., 65:1 (2024), 27–37
Linking options:
https://www.mathnet.ru/eng/smj7837 https://www.mathnet.ru/eng/smj/v65/i1/p27
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