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Sibirskii Matematicheskii Zhurnal, 2024, Volume 65, Number 1, Pages 27–37
DOI: https://doi.org/10.33048/smzh.2024.65.103
(Mi smj7837)
 

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
References:
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.
Funding agency Grant number
Russian Science Foundation 22-11-00015
Received: 04.09.2023
Revised: 04.09.2023
Accepted: 25.09.2023
Document Type: Article
UDC: 517.955
MSC: 35R30
Language: Russian
Citation: V. I. Bogachev, S. V. Shaposhnikov, “Kolmogorov equations for degenerate Ornstein–Uhlenbeck operators”, Sibirsk. Mat. Zh., 65:1 (2024), 27–37
Citation in format AMSBIB
\Bibitem{BogSha24}
\by V.~I.~Bogachev, S.~V.~Shaposhnikov
\paper Kolmogorov equations for degenerate Ornstein--Uhlenbeck operators
\jour Sibirsk. Mat. Zh.
\yr 2024
\vol 65
\issue 1
\pages 27--37
\mathnet{http://mi.mathnet.ru/smj7837}
\crossref{https://doi.org/10.33048/smzh.2024.65.103}
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