On positive and probability solutions to the stationary Fokker-Planck-Kolmogorov equation (Q1761018): Difference between revisions

Studying the stationary Fokker-Planck-Kolmogorov (SFPK) equation the authors show that under certain conditions a nontrivial non-negative locally integrable solution exists. Use of Lyapunov functions allows the determination of a sufficient condition such that non-negative solutions be globally integrable. This provides a new sufficient condition for the existence of a probability solution to the SFPK equation. An example shows that there may be no Lyapunov function in the presence of a unique probability solution.