Email this article On the Superposition Principle for Fokker–Planck–Kolmogorov Equations
- Authors: Bogachev V.I.1,2,3, Röckner M.4, Shaposhnikov S.V.1,2
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Affiliations:
- Faculty of Mechanics and Mathematics, Moscow State University
- National Research University Higher School of Economics
- St.-Tikhon’s Orthodox University
- Bielefeld University
- Issue: Vol 100, No 1 (2019)
- Pages: 363-366
- Section: Mathematics
- URL: https://journals.rcsi.science/1064-5624/article/view/225696
- DOI: https://doi.org/10.1134/S1064562419040136
- ID: 225696
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Abstract
Abstract—A generalization of the superposition principle for probability solutions to the Cauchy problem for the Fokker–Planck–Kolmogorov equation is given, according to which such a solution is generated by a solution to the corresponding martingale problem.
About the authors
V. I. Bogachev
Faculty of Mechanics and Mathematics,Moscow State University; National Research University Higher School of Economics; St.-Tikhon’s Orthodox University
Author for correspondence.
Email: vibogach@mail.ru
Russian Federation, Moscow, 119991; Moscow, 101000; Moscow, 115184
M. Röckner
Bielefeld University
Email: vibogach@mail.ru
Germany, Bielefeld, D-33501
S. V. Shaposhnikov
Faculty of Mechanics and Mathematics,Moscow State University; National Research University Higher School of Economics
Email: vibogach@mail.ru
Russian Federation, Moscow, 119991; Moscow, 101000
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