On the fundamental solution of the Fokker–Planck–Kolmogorov equation
- 作者: Chechkin A.1, Shamaev A.1
-
隶属关系:
- Faculty of Mechanics and Mathematics
- 期: 卷 95, 编号 1 (2017)
- 页面: 55-59
- 栏目: Mathematics
- URL: https://journals.rcsi.science/1064-5624/article/view/224754
- DOI: https://doi.org/10.1134/S1064562417010161
- ID: 224754
如何引用文章
详细
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.
作者简介
A. Chechkin
Faculty of Mechanics and Mathematics
编辑信件的主要联系方式.
Email: a.g.chechkin@gmail.com
俄罗斯联邦, Moscow, 119991
A. Shamaev
Faculty of Mechanics and Mathematics
Email: a.g.chechkin@gmail.com
俄罗斯联邦, Moscow, 119991