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:
- Lomonosov Moscow State University
- Higher School of Economics
- St. Tikhons Orthodox University
- Universität Bielefeld
- Issue: Vol 487, No 5 (2019)
- Pages: 483-486
- Section: Mathematics
- URL: https://journals.eco-vector.com/0869-5652/article/view/15870
- DOI: https://doi.org/10.31857/S0869-56524875483-486
- ID: 15870
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Abstract
We give a generalization of the so-called superposition principle for probability solutions to the Cauchy problem for the Fokker-Planck-Kolmogorov equation, according to which such a solution is generated by a solution to the corresponding martingale problem.
About the authors
V. I. Bogachev
Lomonosov Moscow State University; Higher School of Economics; St. Tikhons Orthodox University
Author for correspondence.
Email: vibogach@mail.ru
Russian Federation, 1, Leninskie gory, Moscow, 119991; 20, Myasnitskaya str., Moscow, 101000; 23/5a, Novokuznetskaya street, Moscow, 115184
M. Röckner
Universität Bielefeld
Email: vibogach@mail.ru
Germany, 25, Universitätsstraße, Bielefeld, D-33615
S. V. Shaposhnikov
Lomonosov Moscow State University; Higher School of Economics
Email: starticle@mail.ru
Russian Federation, 1, Leninskie gory, Moscow, 119991; 20, Myasnitskaya str., Moscow, 101000
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