On the fundamental solution of the Fokker–Planck–Kolmogorov equation
- Authors: Chechkin A.G.1, Shamaev A.S.1
-
Affiliations:
- Faculty of Mechanics and Mathematics
- Issue: Vol 95, No 1 (2017)
- Pages: 55-59
- Section: Mathematics
- URL: https://journals.rcsi.science/1064-5624/article/view/224754
- DOI: https://doi.org/10.1134/S1064562417010161
- ID: 224754
Cite item
Abstract
The Fokker–Planck–Kolmogorov parabolic second-order differential operator is considered, for which its fundamental solution is derived in explicit form. Such operators arise in numerous applications, including signal filtering, portfolio control in financial mathematics, plasma physics, and problems involving linear-quadratic regulators.
About the authors
A. G. Chechkin
Faculty of Mechanics and Mathematics
Author for correspondence.
Email: a.g.chechkin@gmail.com
Russian Federation, Moscow, 119991
A. S. Shamaev
Faculty of Mechanics and Mathematics
Email: a.g.chechkin@gmail.com
Russian Federation, Moscow, 119991