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Teoriya Veroyatnostei i ee Primeneniya, 1960, Volume 5, Issue 2, Pages 196–214
(Mi tvp4825)
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This article is cited in 233 scientific papers (total in 233 papers)
Ergodic Properties of Recurrent Diffusion Processes and Stabilization of the Solution to the Cauchy Problem for Parabolic Equations
R. Z. Khas'minskii Moscow
Abstract:
In this paper the existence of a unique invariant measure for Markov processes satisfying the conditions
$1^\circ-9^\circ$ is proved. This result is applied to obtain the asymptotic properties of the solution to the Cauchy problem for the parabolic equation $\partial u/\partial t=Lu$ when $t\to+\infty$. It is established that these properties depend on properties of the solution to the extremal Dirichlet problem for the equations $Lu=0$ and $Lu=-1$. The sufficient conditions for them expressed in terms of the behaviour of the coefficients in the equation
$Lu=\partial u/\partial t$ are given in the appendix.
Received: 06.06.1959
Citation:
R. Z. Khas'minskii, “Ergodic Properties of Recurrent Diffusion Processes and Stabilization of the Solution to the Cauchy Problem for Parabolic Equations”, Teor. Veroyatnost. i Primenen., 5:2 (1960), 196–214; Theory Probab. Appl., 5:2 (1960), 179–196
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