On the Superposition Principle for Fokker–Planck–Kolmogorov Equations

On the Superposition Principle for Fokker–Planck–Kolmogorov Equations

—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.

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Bibliographische Detailangaben
Veröffentlicht in:Doklady. Mathematics 2019-07, Vol.100 (1), p.363-366
Hauptverfasser: Bogachev, V. I., Röckner, M., Shaposhnikov, S. V.
Format: Artikel
Sprache:eng
Schlagworte:
Cauchy problems
Martingales
Mathematics
Mathematics and Statistics
Superposition (mathematics)
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Beschreibung
Zusammenfassung:—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.
ISSN:1064-5624
1531-8362
DOI:10.1134/S1064562419040136