On the uniqueness of integrable and probability solutions to the Cauchy problem for the Fokker-Planck-Kolmogorov equations (Q656409): Difference between revisions

The author addresses the problem of the uniqueness of solutions to the Fokker-Planck-Kolmogorov equations. The Cauchy problem under consideration is \[ \partial_t \mu = L^*\mu, \mu|_{t=0} = \nu, \tag{1} \] in which \(L^*\) is the adjoint of the operator \(L\) given by \[ Lu(x,t) = \Delta u(x,t) + (b(x,t),\nabla u(x,t)). \] The solutions, \(\mu\), are Borel locally finite measures on \(\mathbb R^d \times (0,1)\) with continuous density \(\varrho(x,t)\), i.e., \(\mu = \varrho(x,t) dxdt\), and satisfy (1) in a distribution sense. Two classes of solutions to (1) are considered, integrable (for which \(\sup_{t \in (01)}\|\varrho (\cdot,t)\|_{L^1(\mathbb R^d)} < \infty\)) and probability (for which \(\varrho\) is positive and \(\|\varrho (\cdot,t)\|_{L^1(R^d)} = 1\) for any \(t \in (0,1)\)). Some examples are given to show the difference in these two classes of solutions. The theorem on integrable solutions provides the following result: Let \(b \in L_{loc}^p(\mathbb R^d \times (0,1))\) for some \(p > d+2\). If there exists a positive function \(V \in C^2(\mathbb R^d)\) such that \(V(x) \rightarrow \infty\) as \(|x| \rightarrow \infty\) and for some \(C > 0\) the inequalities \(LV(x,t) \geq -C\) and \(|\nabla V(x)|\leq C\) hold then the solution to (1) is unique within the class of integrable solutions. A variation of this theorem is then stated that gives sufficient conditions for the uniqueness of probability solutions to (1).