Khasminskii's theorem for the Kolmogorov equation with partially degenerate diffusion matrix

DOI10.1134/S0001434624030155MaRDI QIDQ6569617zbMATH OpenFDO

Authors S. V. Shaposhnikov, D. V. Shatilovich

Publication date 9 July 2024

Published in Mathematical Notes (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1134/S0001434624030155

zbMATH Keywords

invariant measure of diffusion processKolmogorov equationLyapunov function

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Diffusion processes (60J60)

Review text

The authors study the stationary Kolmogorov equation with partially degenerate diffusion matrix and discontinuous drift coefficient.\N\NA nonnegative locally finite Borel measure \(\mu\) which is a solution of the Kolmogorov equation and for which \(\mu(\mathbb R^d)=1\) is called a probability solution. Conditions for the existence of a probability solution of the Kolmogorov equation are given by Khasminskii's theorem.\N\NThe authors provide new sufficient conditions for the existence of a probability solution. Examples demonstrating the application of these conditions are presented.

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Cites work

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• Uniqueness problems for degenerate Fokker-Planck-Kolmogorov equations
• Zvonkin’s transform and the regularity of solutions to double divergence form elliptic equations

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