On the superposition principle for Fokker-Planck-Kolmogorov equations

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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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