Solvability of Kolmogorov-Fokker-Planck equations for vectorjump processes and occupation time on hypersurfaces (Q1607787)

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Solvability of Kolmogorov-Fokker-Planck equations for vectorjump processes and occupation time on hypersurfaces
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    Solvability of Kolmogorov-Fokker-Planck equations for vectorjump processes and occupation time on hypersurfaces (English)
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    13 August 2002
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    The author considers the following stochastic differential equation with jumps in \(R^n\), \[ dy(t)=f(y(t),t)\,dt+ \beta (y(t),t)\,dw(t)+ \int_{R^m}\theta (y(t),u,t)\widetilde{\nu}(du,dt). \] For the solution \(y\) the local time on the \((n-1)\)-dimensional hypersurface is considered. The integro-differential equation, which is an analog of Kolmogorov equation with generalized potential is investigated. Under certain smoothness conditions on the jumps measure and usual conditions on the coefficients, the author proves the existence of a solution and, consequently, the existence of the local time.
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    stochastic differential equation with jump
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    local time
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    hypersurface
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