On the fundamental solution of the Fokker–Planck–Kolmogorov equation
- Autores: Chechkin A.1, Shamaev A.1
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Afiliações:
- Faculty of Mechanics and Mathematics
- Edição: Volume 95, Nº 1 (2017)
- Páginas: 55-59
- Seção: Mathematics
- URL: https://journals.rcsi.science/1064-5624/article/view/224754
- DOI: https://doi.org/10.1134/S1064562417010161
- ID: 224754
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Resumo
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.
Sobre autores
A. Chechkin
Faculty of Mechanics and Mathematics
Autor responsável pela correspondência
Email: a.g.chechkin@gmail.com
Rússia, Moscow, 119991
A. Shamaev
Faculty of Mechanics and Mathematics
Email: a.g.chechkin@gmail.com
Rússia, Moscow, 119991